PROSPECTUS SUPPLEMENT (To Prospectus dated June 18, 1996)
$414,824,951 (Approximate)
Mortgage Capital Funding, Inc.
Multifamily/Commercial Mortgage Pass-Through Certificates, Series 1996-MC1
------------------
The Multifamily/Commercial Mortgage Pass-Through Certificates, Series
1996-MC1 (the "Certificates") will consist of 16 classes (each, a "Class") of
Certificates, designated as (i) the Class X-1 and Class X-2 Certificates
(collectively, the "Class X Certificates"); (ii) the Class A-1, Class A-2A and
Class A-2B Certificates (collectively, the "Class A Certificates"); (iii) the
Class B, Class C, Class D, Class E, Class F, Class G, Class H, Class J and Class
K Certificates (collectively with the Class X and Class A Certificates, the
"REMIC Regular Certificates"); and (iv) the Class R-I and Class R-II
Certificates
(continued on next page)
------------------
THE OFFERED CERTIFICATES DO NOT REPRESENT AN INTEREST IN OR OBLIGATION OF
CITIBANK, N.A., CITICORP BANKING CORPORATION, MORTGAGE CAPITAL FUNDING, INC. OR
THEIR ULTIMATE PARENT, CITICORP, EXCEPT AS SET FORTH HEREIN. NEITHER THE OFFERED
CERTIFICATES NOR THE MORTGAGE LOANS ARE INSURED OR GUARANTEED BY THE UNITED
STATES GOVERNMENT, THE FEDERAL DEPOSIT INSURANCE CORPORATION OR ANY OTHER
GOVERNMENTAL AGENCY OR INSTRUMENTALITY.
THESE SECURITIES HAVE NOT BEEN APPROVED OR DISAPPROVED BY THE SECURITIES AND
EXCHANGE COMMISSION OR ANY STATE SECURITIES COMMISSION, NOR HAS THE SECURITIES
AND EXCHANGE COMMISSION OR ANY STATE SECURITIES COMMISSION PASSED UPON THE
ACCURACY OR ADEQUACY OF THIS PROSPECTUS SUPPLEMENT OR THE ACCOMPANYING
PROSPECTUS. ANY REPRESENTATION TO THE CONTRARY IS A CRIMINAL OFFENSE.
THE ATTORNEY GENERAL OF THE STATE OF NEW YORK HAS NOT PASSED ON OR ENDORSED
THE MERITS OF THIS OFFERING. ANY REPRESENTATION TO THE CONTRARY IS UNLAWFUL.
Prospective Investors should review the information set forth under "Risk
Factors" beginning on page S-24 in this Prospectus Supplement and the
information set forth under "Risk Factors" beginning on page 17 in the
Prospectus before purchasing any of the Offered Certificates.
Assumed Final
Initial Pass-Through Distribution
Class Certificate Balance (1) Rate Date (2)
- ----- ----------------------- ------------ ------------
Class X-1 ........ N/A(3) 0.796% (4) October 15, 2004
Class X-2 ........ N/A(5) 0.960% (6) October 15, 2019
Class A-1 ........ $ 29,966,951 6.12% (7) October 15, 2004
Class A-2A ....... $150,000,000 7.35% July 15, 2005
Class A-2B ....... $145,624,000 7.90% February 15, 2006
Class B .......... $ 14,470,000 7.90% February 15, 2006
Class C .......... $ 31,353,000 7.80% April 15, 2006
Class D .......... $ 19,294,000 7.80% April 15, 2006
Class E .......... $ 16,882,000 7.70% May 15, 2006
Class F .......... $ 7,235,000 7.70% May 15, 2006
(footnotes on next page)
------------------
The Offered Certificates will be purchased by Citibank, N.A. and Goldman,
Sachs & Co. (together, in such capacity, the "Underwriters") from the Sponsor
and will be offered by the Underwriters from time to time to the public in
negotiated transactions or otherwise at varying prices to be determined at the
time of sale (which prices will include interest from the Delivery Date (as
defined below), in the case of the Class A-1 Certificates, and from the Cut-off
Date, in the case of the other Offered Certificates). Proceeds to the Sponsor
from the sale of the Offered Certificates will be an amount equal to 106.6% of
the initial aggregate Certificate Balance of the Offered Certificates, plus
accrued interest, before deducting expenses payable by the Sponsor. The Offered
Certificates are offered by the Underwriters, subject to prior sale, when, as
and if delivered to and accepted by the Underwriters and subject to their right
to reject orders in whole or in part. It is expected that delivery of the
Offered Certificates will be made in book-entry form through the Same-Day Funds
Settlement System of The Depository Trust Company ("DTC"), on or about July 10,
1996 (the "Delivery Date"), against payment therefor in immediately available
funds.
CITIBANK [logo] Goldman, Sachs & Co.
The Underwriters are acting as co-lead managers in connection with all
activities relating to this offering.
------------------
The date of this Prospectus Supplement is June 27, 1996
<PAGE>
(footnotes from previous page)
- ----------
(1) Subject to a variance of plus or minus 5%.
(2) The "Assumed Final Distribution Date" with respect to any Class of Offered
Certificates is the Distribution Date on which the final distribution would
occur for such Class of Certificates based upon the assumption that no
Mortgage Loan is prepaid prior to its stated maturity and otherwise based
on the Maturity Assumptions (as described herein). The actual performance
and experience of the Mortgage Loans will likely differ from such
assumptions. See "Yield and Maturity Considerations" herein. The "Rated
Final Distribution Date" for each Class of Offered Certificates has been
set to June 15, 2028, which is the first Distribution Date that is at least
two years after the end of the remaining amortization schedule of the
Mortgage Loan with the longest remaining amortization schedule,
irrespective of its scheduled maturity.
(3) The Class X-1 Certificates will not have a Certificate Balance and will
accrue interest on a Notional Amount that is equal to the aggregate Stated
Principal Balance (as defined herein) of the Group 1 Loans outstanding from
time to time.
(4) Approximate initial Pass-Through Rate. For each Distribution Date
subsequent to the initial Distribution Date, the related Pass-Through Rate
will be variable and will, in general, equal the excess, if any, of the
weighted average of the Net Mortgage Rates (as defined herein) of the Group
1 Loans from time to time, over the Pass-Through Rate applicable to the
Class A-1 Certificates (or, if such Certificates are no longer outstanding,
that would otherwise have been applicable thereto from time to time) from
time to time.
(5) The Class X-2 Certificates will not have a Certificate Balance and will
accrue interest on a Notional Amount that is equal to 99.9% of the
aggregate Stated Principal Balance of all the Mortgage Loans outstanding
from time to time.
(6) Approximate initial Pass-Through Rate. Subsequent to the initial
Distribution Date, the related Pass-Through Rate will be variable and will,
in general, equal the excess, if any, of (i) the weighted average of the
Net Mortgage Rates of the Group 1 Loans (in each case, net of the
applicable Pass-Through Rate for the Class X-1 Certificates) and the Net
Mortgage Rates of the Group 2 Loans from time to time, over (ii) the
weighted average of the Pass-Through Rates applicable to the Class A, Class
B, Class C, Class D, Class E, Class F, Class G, Class H, Class J and Class
K Certificates from time to time.
(7) Initial Pass-Through Rate. The related Pass-Through Rate will remain at
6.12% per annum for each Distribution Date, up to and including the
Distribution Date in October 1996. Thereafter the related Pass-Through Rate
will be variable, will reset every six months and will, in general, equal
the lesser of (i) the applicable value of Six-Month LIBOR plus 0.37% and
(ii) 11.375% per annum.
------------------
(continued from previous page)
(collectively, the "REMIC Residual Certificates"). Only the Class X, Class A,
Class B, Class C, Class D, Class E and Class F Certificates (collectively, the
"Offered Certificates") are offered hereby. The respective Classes of Offered
Certificates will be issued in the aggregate principal amounts (as to each
Class, a "Certificate Balance") and will accrue interest at the per annum rates
(as to each Class, a "Pass-Through Rate") set forth or otherwise described in
the table below.
The Certificates will represent in the aggregate the entire beneficial
ownership interest in a trust fund (the "Trust Fund") to be established by
Mortgage Capital Funding, Inc. (the "Sponsor"), which Trust Fund will consist
primarily of a segregated pool (the "Mortgage Pool") of 162 conventional, fixed
and adjustable rate, multifamily and commercial mortgage loans (the "Mortgage
Loans"). As of July 1, 1996 (the "Cut-off Date"), the Mortgage Loans will have
an aggregate principal balance, after taking into account all payments of
principal due on or before such date, whether or not received, of $482,357,812
(the "Initial Pool Balance"), subject to a variance of plus or minus 5%.
The Mortgage Pool consists of two separate sub-pools (each, a "Loan
Group"), designated as "Loan Group 1" (and the Mortgage Loans included therein,
the "Group 1 Loans") and "Loan Group 2" (and the Mortgage Loans included
therein, the "Group 2 Loans"), each of which is described more fully herein. In
general, the Group 1 Loans provide for mortgage interest rates that adjust
semi-annually based on Six-Month LIBOR (calculated as described herein), and the
Group 2 Loans provide for mortgage interest rates that are fixed for the
remaining terms thereof (or, in two cases, for mortgage interest rates that
adjust monthly based on One-Month LIBOR (calculated as described herein),
subject to floors of 9.750% and 9.875% per annum, respectively). As of the
Cut-off Date, the Group 1 Loans and the Group 2 Loans will have aggregate
principal balances, after taking into account all payments of principal due on
or before such date, whether or not received, of $29,966,951 and $452,390,861,
respectively, in each case subject to a variance of plus or minus 5%. The Class
X-1 and Class A-1 Certificates initially will correspond to and evidence
interests generally in Loan Group 1 (such Certificates, the "Group 1
Certificates"). The Class X-2, Class A-2A, Class A-2B, Class B, Class C, Class
D, Class E, Class F, Class G, Class H, Class J and Class K Certificates
initially will correspond to and evidence interests generally in Loan Group 2
(such Certificates, the "Group 2 Certificates"; the Group 1 Certificates and the
Group 2 Certificates, each a "Certificate Group").
One-hundred and fifty-two of the Mortgage Loans (the "Balloon Loans"),
which represent 96.8% of the Initial Pool Balance, provide for monthly payments
of principal based on amortization schedules significantly longer than the
remaining terms of such Mortgage Loans, thereby leaving substantial principal
amounts due and payable (each such payment, together with the corresponding
interest payment, a "Balloon Payment") on their respective maturity dates,
unless prepaid prior thereto. Ten of the Mortgage Loans, which represent 3.2% of
the Initial Pool Balance, are self-amortizing. Seventy-one of the Mortgage Loans
(the "Citibank Mortgage Loans"), which represent 58.2% of the Initial Pool
Balance, are currently held by Citibank, N.A. (in such capacity, the "Mortgage
Loan Seller"), a commonly controlled affiliate of the Sponsor, and were acquired
by the Mortgage Loan Seller from various unaffiliated banks, savings
institutions or other entities in the secondary market and/or originated
pursuant to various conduit programs. Eighty-six of the Mortgage Loans (the
"ContiTrade Mortgage Loans"), which represent 39.7% of the Initial Pool Balance,
are currently held by ContiTrade Services L.L.C. ("ContiTrade"), an indirectly
wholly-owned subsidiary of ContiFinancial Corporation, and were acquired by
ContiTrade from various unaffiliated banks, savings institutions or other
entities and/or originated pursuant to various conduit programs. Continental
Grain Company currently owns approximately 81% of ContiFinancial Corporations'
outstanding capital stock. Five of the Mortgage Loans (the "PNC Mortgage
Loans"), which represent 2.1% of the Initial Pool Balance, were originated and
are currently held by PNC Bank, National Association ("PNC Bank"). On or before
the Delivery Date, the Mortgage Loan Seller will acquire the ContiTrade Mortgage
Loans from ContiTrade and the PNC
S-2
<PAGE>
Mortgage Loans from PNC Bank and will, at the direction of the Sponsor, transfer
all of the Mortgage Loans, without recourse, to the Trustee for the benefit of
holders of the Certificates (the "Certificateholders"). See "Description of the
Mortgage Pool" and "Risk Factors--The Mortgage Loans" herein.
Distributions of interest on and principal of the Certificates will be
made, to the extent of available funds, on the 15th day of each month or, if any
such 15th day is not a business day, then on the next succeeding business day,
beginning in August 1996 (each, a "Distribution Date"). As more fully described
herein, distributions allocable to interest accrued on each Class of the REMIC
Regular Certificates (the REMIC Residual Certificates will not accrue interest)
will be made on each Distribution Date based on the Pass-Through Rate then
applicable to such Class and the Certificate Balance or, in the case of each
Class of the Class X Certificates, the notional principal amount (the "Notional
Amount") of such Class outstanding immediately prior to such Distribution Date.
The initial Certificate Balance or Notional Amount, as the case may be, of each
Class of Offered Certificates is set forth or described on the cover page
hereof. Distributions allocable to principal of the respective Classes of
Certificates with Certificate Balances (the "Sequential Pay Certificates") will
be made in the amounts and in accordance with the priorities described herein
until the Certificate Balance of each such Class is reduced to zero. No Class of
Class X Certificates or REMIC Residual Certificates will have a Certificate
Balance or entitle the holders thereof to receive distributions of principal. As
more fully described herein, any prepayment premiums, penalties or fees
("Prepayment Premiums") actually collected on the Mortgage Loans will be
distributed among the respective Classes of Certificates in the amounts and in
accordance with the priorities described herein. See "Description of the
Certificates--Distributions" herein.
As and to the extent described herein, the Class B, Class C, Class D, Class
E, Class F, Class G, Class H, Class J, Class K and REMIC Residual Certificates
(collectively, the "Subordinate Certificates") will be subordinate to the Class
X and Class A Certificates (collectively, the "Senior Certificates"); the Class
C, Class D, Class E, Class F, Class G, Class H, Class J, Class K and REMIC
Residual Certificates will be subordinate to the Class B Certificates; the Class
D, Class E, Class F, Class G, Class H, Class J, Class K and REMIC Residual
Certificates will be subordinate to the Class C Certificates; the Class E, Class
F, Class G, Class H, Class J, Class K and REMIC Residual Certificates will be
subordinate to the Class D Certificates; the Class F, Class G, Class H, Class J,
Class K and REMIC Residual Certificates will be subordinate to the Class E
Certificates; and the Class G, Class H, Class J, Class K and REMIC Residual
Certificates will be subordinate to the Class F Certificates. See "Description
of the Certificates--Distributions" and "--Subordination; Allocation of Losses
and Certain Expenses" herein.
The yield to maturity of each Class of Offered Certificates will depend on,
among other things, the rate and timing of principal payments (including by
reason of prepayments, loan extensions, defaults and liquidations) and losses on
or in respect of the Mortgage Loans that result in a reduction of the
Certificate Balance or Notional Amount of such Class. The yield to maturity of
the Class X Certificates will be highly sensitive to the rate and timing of
principal payments (including by reason of prepayments, defaults and
liquidations) and losses on or in respect of, in the case of the Class X-1
Certificates, the Group 1 Loans and, in the case of the Class X-2 Certificates,
the Group 2 Loans (and, to a lesser extent, the Group 1 Loans), and investors in
the Class X Certificates should fully consider the associated risks, including
the risk that an extremely rapid rate of amortization and prepayment of the
related Notional Amount could result in the failure of such investors to recoup
their initial investments. The ratings of Standard & Poor's Ratings Services, a
Division of McGraw-Hill Companies, Inc., and Fitch Investors Service, L.P. on
the Offered Certificates, as specified herein, do not represent any assessment
of (i) the likelihood or frequency of principal prepayments on the Mortgage
Loans, (ii) the degree to which such prepayments might differ from those
originally anticipated or (iii) whether and to what extent Prepayment Premiums
will be received. Also, such ratings do not represent any assessment of the
yield to maturity that investors may experience or the possibility that the
Class X Certificateholders might not fully recover their investment in the event
of rapid prepayments of the Mortgage Loans (including both voluntary and
involuntary prepayments). See "Ratings" herein. Any delay in collection of a
Balloon Payment on any Mortgage Loan that would otherwise be distributable in
reduction of the Certificate Balance of a Class of Offered Certificates, whether
such delay is due to borrower default or to modification of the related Mortgage
Loan as described herein, will likely extend the weighted average life of such
Class of Offered Certificates. See "Risk Factors", "Description of the
Certificates--Distributions"and "Yield and Maturity Considerations" herein. See
also "Yield and Maturity Considerations" and "Risk Factors--Prepayments; Average
Life of Certificates; Yields" in the Prospectus.
As described herein, two separate "real estate mortgage investment conduit"
("REMIC") elections will be made with respect to the Trust Fund for federal
income tax purposes (the REMICs formed thereby being herein referred to as
"REMIC I" and "REMIC II", respectively). The Offered Certificates will evidence
"regular interests" in REMIC II. See "Certain Federal Income Tax Consequences"
herein and "Material Federal Income Tax Consequences" in the Prospectus.
There is currently no secondary market for the Offered Certificates, and
there can be no assurance that such a market will develop or, if it does
develop, that it will continue. See "Risk Factors--Limited Liquidity" herein.
The Prospectus that accompanies this Prospectus Supplement contains
important information regarding this offering that is not contained herein, and
prospective investors are urged to read both the Prospectus and this Prospectus
Supplement in full to obtain material information concerning the Offered
Certificates. Sales of the Offered Certificates may not be consummated unless
the purchaser has received both the Prospectus and this Prospectus Supplement.
S-3
<PAGE>
SUMMARY OF PROSPECTUS SUPPLEMENT
The following summary is qualified in its entirety by reference to the
detailed information appearing elsewhere in this Prospectus Supplement and in
the accompanying Prospectus. Certain capitalized terms used in this Summary may
be defined elsewhere in this Prospectus Supplement, including in Annex A hereto,
or in the Prospectus. An "Index of Principal Definitions" is included at the end
of both this Prospectus Supplement and the Prospectus. Terms that are used but
not defined in this Prospectus Supplement will have the meanings specified in
the Prospectus.
Title of Certificates
and Designation of Classes..Mortgage Capital Funding, Inc.,
Multifamily/Commercial Mortgage Pass-Through
Certificates, Series 1996-MC1 (the
"Certificates"), will consist of 16 classes (each,
a "Class") of Certificates, designated as: (i)
the Class X-1 and Class X-2 Certificates
(collectively, the "Class X Certificates"); (ii)
the Class A-1, Class A-2A and Class A-2B
Certificates (collectively, the "Class A
Certificates"); (iii) the Class B, Class C, Class
D, Class E, Class F, Class G, Class H, Class J and
Class K Certificates (collectively with the Class
X and Class A Certificates, the "REMIC Regular
Certificates"); and (iv) the Class R-I and Class
R-II Certificates (collectively, the "REMIC
Residual Certificates"). Only the Class X, Class
A, Class B, Class C, Class D, Class E and Class F
Certificates (collectively, the "Offered
Certificates") are offered hereby.
The Class G, Class H, Class J and Class K
Certificates and the REMIC Residual Certificates
(collectively, the "Private Certificates") have
not been registered under the Securities Act of
1933, as amended, and are not offered hereby.
Accordingly, to the extent this Prospectus
Supplement contains information regarding the
terms of the Private Certificates, such
information is provided solely because of its
potential relevance to a prospective purchaser of
an Offered Certificate.
Sponsor ...................Mortgage Capital Funding, Inc., a Delaware
corporation. The Sponsor is a direct, wholly-owned
subsidiary of Citicorp Banking Corporation, which
is a direct, wholly-owned subsidiary of Citicorp.
The Sponsor is a commonly controlled affiliate of
Citibank, N.A., which is the Mortgage Loan Seller
and co-lead Underwriter. See "Mortgage Capital
Funding, Inc." in the Prospectus and "Method of
Distribution" herein. Neither the Sponsor nor any
of its affiliates has insured or guaranteed the
Offered Certificates.
Master Servicer .............GMAC Commercial Mortgage Corporation, a California
corporation. See "Servicing of the Mortgage
Loans--The Master Servicer" herein.
Special Servicer ............Hanford/Healy Asset Management Company, a
California general partnership. See "Servicing of
the Mortgage Loans--The Special Servicer" herein.
Trustee .....................State Street Bank and Trust Company, a trust
company chartered under the laws of the
Commonwealth of Massachusetts. See "Description of
the Certificates--The Trustee" herein. The Trustee
will also have certain duties with respect to
REMIC administration (in such capacity, the "REMIC
Administrator").
Mortgage Loan Seller ........Citibank, N.A., a national banking
association. See "Description of the Mortgage
Pool--The Mortgage Loan Seller" herein.
Cut-off Date ................July 1, 1996.
S-4
<PAGE>
Delivery Date ...............On or about July 10, 1996.
Record Date .................With respect to the Class A-1 Certificates and
each Distribution Date, the fifth day of the month
in which such Distribution Date occurs or, if such
day is not a business day, the immediately
preceding business day. With respect to each other
Class of Offered Certificates and each
Distribution Date, the last business day of the
calendar month immediately preceding the month in
which such Distribution Date occurs.
Distribution Date ...........The 15th day of each month or, if any such
15th day is not a business day, the next
succeeding business day, commencing in August
1996.
Determination Date ..........The fifth day of each month or, if any such
fifth day is not a business day, the immediately
preceding business day, commencing in August 1996.
P&I Advance Date ............The second business day preceding each
Distribution Date.
Collection Period ...........With respect to any Distribution Date, the period
that begins immediately following the
Determination Date in the calendar month preceding
the month in which such Distribution Date occurs
(or, in the case of the initial Distribution Date,
that begins immediately following the Cut-off
Date) and ends on the Determination Date in the
calendar month in which such Distribution Date
occurs.
Interest Accrual Period .....With respect to the Class A-1 Certificates and
each Distribution Date, the period that begins on
the 15th day of the calendar month preceding the
month in which such Distribution Date occurs (or,
in the case of the initial Distribution Date, that
begins on the Delivery Date) and ends on the 14th
day of the calendar month in which such
Distribution Date occurs. With respect to each
other Class of Offered Certificates and each
Distribution Date, the calendar month immediately
preceding the month in which such Distribution
Date occurs.
Registration and
Denominations ...............The Offered Certificates will be issued in
book-entry format in denominations of: (i) in the
case of the Class X Certificates, $5,000,000
notional principal amount and in any whole dollar
denomination in excess thereof; and (ii) in the
case of the other Offered Certificates, $100,000
actual principal amount and in any whole dollar
denomination in excess thereof. Each Class of
Offered Certificates will be represented by one or
more Certificates registered in the name of Cede &
Co., as nominee of The Depository Trust Company (
"DTC"). No person acquiring an interest in an
Offered Certificate (any such person, a
"Certificate Owner") will be entitled to receive
a fully registered physical certificate (a
"Definitive Certificate") representing such
interest, except under the limited circumstances
described herein and in the Prospectus. See
"Description of the Certificates--Registration and
Denominations" herein and "Description of the
Certificates--Book-Entry Registration and
Definitive Certificates" in the Prospectus.
The Mortgage Pool ...........The Mortgage Pool will consist of 162 multifamily
and commercial mortgage loans (the "Mortgage
Loans"), with an aggregate Cut-off Date Balance of
$482,357,812 (the "Initial Pool Balance"), subject
to a variance of plus or minus 5%. All numerical
information provided herein with respect to the
Mortgage Loans is provided on an approximate
basis. All weighted average information provided
herein
S-5
<PAGE>
with respect to the Mortgage Loans reflects
weighting by related Cut-off Date Balance. All
percentages of the Mortgage Pool, or of any
specified sub-group thereof, referred to herein
without further description are approximate
percentages by aggregate Cut-off Date Balance. See
"Description of the Mortgage Pool--Changes in
Mortgage Pool Characteristics" herein.
The "Cut-off Date Balance" of each Mortgage Loan
is the unpaid principal balance thereof as of the
Cut-off Date, after application of all payments of
principal due on or before such date, whether or
not received. The Cut-off Date Balances of the
Mortgage Loans will range from $315,503 to
$17,990,250, and the average Cut-off Date Balance
will be $2,977,517. The Cut-off Date Balances of
the Mortgage Loans have been calculated assuming
that no principal prepayments are received thereon
from June 1, 1996 through and including the
Cut-off Date.
Each Mortgage Loan is evidenced by a promissory
note (a "Mortgage Note") and, except as otherwise
described below, is secured by a mortgage, deed of
trust or similar security instrument (a
"Mortgage") that creates a first mortgage lien on
a fee simple (or, in four cases, a leasehold)
interest in real property (a "Mortgaged Property")
used for commercial or multifamily residential
purposes, together with all buildings and
improvements and certain personal property located
thereon.
Seven separate sets of Mortgage Loans (the
"Cross-Collateralized Mortgage Loans"),
representing 3.0%, 1.9%, 0.8%, 0.8%, 0.7%, 0.5%
and 0.2% of the Initial Pool Balance,
respectively, are, solely as among the
Cross-Collateralized Mortgage Loans in each such
particular set, cross-defaulted and
cross-collateralized with each other. See
"Description of the Mortgage
Pool--Cross-Collateralized Mortgage Loans" herein
and Annex A hereto.
Four of the Mortgage Loans, representing 2.5%,
1.4%, 0.9% and 0.7%, respectively, of the Initial
Pool Balance, are, in each such case, without
regard to the cross-collateralization described in
the previous paragraph, secured by one or more
Mortgages encumbering multiple Mortgaged
Properties. With respect to each such Mortgage
Loan, the related Mortgaged Properties are located
in the same state and are of the same property
type. Accordingly, the total number of Mortgage
Loans reflected herein is 162, while the total
number of Mortgaged Properties reflected herein is
176.
In general, the Mortgage Loans constitute
nonrecourse obligations of the related borrower
and, upon any such borrower's default in the
payment of any amount due under the related
Mortgage Loan, the holder thereof may look only to
the related Mortgaged Property or Properties for
satisfaction of the borrower's obligation. In
those cases where recourse to a borrower or
guarantor is permitted by the loan documents, the
Sponsor has not undertaken an evaluation of the
financial condition of any such person, and
prospective investors should thus consider all of
the Mortgage Loans to be nonrecourse. None of the
Mortgage Loans is insured or guaranteed by the
United States, any governmental agency or
instrumentality or any private mortgage insurer.
See "Description of the Mortgage Pool--General".
S-6
<PAGE>
Set forth below are the number of Mortgage Loans,
and the approximate percentage of the Initial Pool
Balance represented by such Mortgage Loans, that
are secured by Mortgaged Properties located in the
seven states with the highest concentrations:
Percentage of
Number of Initial Pool
State Mortgage Loans Balance
----- -------------- -------
New York ........ 25 13.8%
California ...... 18 13.4%
Florida ......... 15 8.4%
North Carolina .. 13(1) 7.1%
Texas ........... 11 6.4%
Pennsylvania .... 5 6.1%
Virginia ........ 4(2) 5.7%
----------
(1) Fourteen Mortgaged Properties.
(2) Seven Mortgaged Properties.
The remaining Mortgaged Properties are located
throughout 26 other states, with no more than 4.1%
of the Initial Pool Balance secured by Mortgaged
Properties located in any such other state.
Set forth below are the number of Mortgage Loans,
and the approximate percentage of the Initial Pool
Balance represented by such Mortgage Loans, that
are secured by Mortgaged Properties operated for
each indicated purpose:
Percentage of
Number of Initial Pool
Property Type Mortgage Loans Balance(4)
------------- -------------- ----------
Multifamily ....... 81(1) 45.3%
Retail ............ 33(2) 30.8%
Self-Storage ...... 35(3) 14.3%
Nursing Facility .. 5 4.2%
Office ............ 3 1.9%
Industrial ........ 3 1.3%
Retail/Office ..... 1 1.1%
Mobile Home Park .. 1 1.0%
----------
(1) Ninety-one Mortgaged Properties,
including one Mortgaged Property
(securing a Mortgage Loan which
represents 0.3% of the Initial Pool
Balance) that constitutes a cooperative.
(2) Thirty-four Mortgaged Properties.
(3) Thirty-eight Mortgaged Properties.
(4) The sum of the percentages in this
column does not equal 100.0% due to
rounding.
S-7
<PAGE>
All of the Mortgage Loans provide for scheduled
payments of principal and interest ("Monthly
Payments") to be due on the first day of each
month (as to each Mortgage Loan, the "Due Date"),
except that, in the case of certain Mortgage
Loans, the related Balloon Payment (as defined
below) may be due on a day other than the first
day of the month (any resulting "Balloon Payment
Interest Shortfalls" to be covered by the Master
Servicer out of its own funds). See "Servicing of
the Mortgage Loans--Servicing and Other
Compensation and Payment of Expenses" herein.
One-hundred and fifty-two of the Mortgage Loans
(the "Fixed-Rate Loans"), representing 93.3% of
the Initial Pool Balance, bear interest at a rate
per annum (a "Mortgage Rate") that is fixed for
the remaining term of the Mortgage Loan. Ten of
the Mortgage Loans (the "ARM Loans"), representing
6.7% of the Initial Pool Balance, accrue interest
at Mortgage Rates that are subject to adjustment
on a semi-annual (or, in two such cases, a
monthly) basis, in general, by adding a specified
percentage (a "Gross Margin") to the value of a
base index (an "Index"), subject to rounding
conventions and specified floors and caps. As of
the Cut-off Date, the Mortgage Rates for the
Mortgage Loans will range from 7.36% per annum to
10.875% per annum, with a weighted average
Mortgage Rate of 8.69% per annum. For purposes of
calculating certain distributions on the
Certificates, the Mortgage Pool has been divided
into two sub-pools (each, a "Loan Group"),
designated as "Loan Group 1" and "Loan Group 2",
respectively, based upon the Mortgage Rates for
the Mortgage Loans.
Loan Group 1 consists of eight ARM Loans (the
"Group 1 Loans"), with an aggregate Cut-off Date
Balance of $29,966,951 (the "Initial Group 1
Balance"), that provide for semi-annual
adjustments to their respective Mortgage Rates in
April and October of each year, subject to floors
that range from 6.0% to 8.625% per annum and caps
that range from 11.75% to 12.88% per annum. The
Index for each Group 1 Loan is Six-Month LIBOR,
calculated as described under "Description of the
Mortgage Pool--Certain Terms and Conditions of the
Mortgage Loans--The ARM Loans" herein. Each Group
1 Loan has a Gross Margin of 2.75%. As of the
Cut-off Date, the Mortgage Rates for the Group 1
Loans will range from 8.0% to 8.625% per annum,
with a weighted average Mortgage Rate of 8.21% per
annum.
Loan Group 2 consists of the 152 Fixed-Rate Loans
and the two remaining ARM Loans (collectively, the
"Group 2 Loans") and will have an aggregate
Cut-off Date Balance of $452,390,861 (the "Initial
Group 2 Balance"). The two ARM Loans in Loan Group
2, which collectively represent 0.5% of the
Initial Pool Balance, provide for monthly
adjustments to their Mortgage Rates, subject to
floors of 9.75% and 9.875% per annum,
respectively, and caps of 13.75% and 13.875% per
annum, respectively. The Index for such ARM Loans
is One-Month LIBOR, calculated as described under
"Description of the Mortgage Pool--Certain Terms
and Conditions of the Mortgage Loans--The ARM
Loans" herein. Each Group 2 Loan that is an ARM
Loan has a Gross Margin of 3.75%. As of the
Cut-off Date, the Mortgage Rates for the Group 2
Loans will range from 7.36% to 10.875% per annum,
with a weighted average Mortgage Rate of 8.72% per
annum.
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No Mortgage Loan permits negative amortization or
the deferral of accrued interest. See "Description
of the Mortgage Pool--Certain Terms and Conditions
of the Mortgage Loans--Mortgage Rates;
Calculations of Interest".
One-hundred and fifty-two of the Mortgage Loans
(the "Balloon Loans"), which represent 100% of the
Initial Group 1 Balance, 96.6% of the Initial
Group 2 Balance and 96.8% of the Initial Pool
Balance, provide for monthly payments of principal
based on amortization schedules significantly
longer than the remaining terms of such Mortgage
Loans, thereby leaving substantial principal
amounts due and payable (each such payment,
together with the corresponding interest payment,
a "Balloon Payment") on their respective maturity
dates, unless prepaid prior thereto. Ten of the
Mortgage Loans, which represent zero percent of
the Initial Group 1 Balance, 3.4% of the Initial
Group 2 Balance and 3.2% of the Initial Pool
Balance, are self-amortizing (the "Self-Amortizing
Loans").
As of the Cut-off Date, 161 Mortgage Loans, which
represent 100.0% of the Initial Group 1 Balance,
97.3% of the Initial Group 2 Balance and 97.4% of
the Initial Pool Balance, either (a) prohibit
voluntary principal prepayments, in whole or in
part, prior to a specified date (a "Lock-Out
Expiration Date") (76 Mortgage Loans, representing
zero percent of the Initial Group 1 Balance, 61.5%
of the Initial Group 2 Balance and 57.7% of the
Initial Pool Balance), which in no such case
occurs earlier than February 1, 1997 or later than
May 1, 2003, or (b) (without duplication of clause
(a) above) require for a specified period that any
voluntary principal prepayment be accompanied by a
prepayment premium, penalty or fee (a "Prepayment
Premium") (85 Mortgage Loans, representing 100.0%
of the Initial Group 1 Balance, 35.7% of the
Initial Group 2 Balance and 39.7% of the Initial
Pool Balance). Of the 76 Mortgage Loans that, as
of the Cut-off Date, prohibit voluntary principal
prepayments, in whole or in part, prior to a
Lock-Out Expiration Date, all of such Mortgage
Loans also require, for a specified period
following the related Lock-Out Expiration Date,
that any voluntary principal prepayment be
accompanied by a Prepayment Premium. Prepayment
Premiums on the Mortgage Loans are generally
calculated either as a percentage (which declines
over time) of the principal amount prepaid or on
the basis of a yield maintenance formula (subject,
in certain instances, to a minimum equal to a
specified percentage of the amount prepaid). The
prepayment terms of each of the Mortgage Loans are
more particularly described in Annex A. See "Risk
Factors--The Mortgage Loans--Prepayment Premiums"
and "Description of the Mortgage Pool--Certain
Terms and Conditions of the Mortgage
Loans--Prepayment Provisions" herein.
As of the Cut-off Date, the Mortgage Loans will
have the following additional characteristics: (i)
remaining terms to stated maturity ranging from 42
months to 279 months and a weighted average
remaining term to stated maturity of 110 months;
(ii) remaining amortization terms ranging from 113
months to 359 months and a weighted average
remaining amortization term of 311 months; (iii)
Cut-off Date LTV Ratios (that is, in each case, a
loan- to-value ratio based upon (a) the Cut-off
Date Balance of the Mortgage Loan and (b)
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the appraised value of the related Mortgaged
Property based upon the most recent third-party
appraisal available to the Sponsor) ranging from
36.0% to 78.8% and a weighted average Cut-off Date
LTV Ratio of 68.4%; and (iv) 1995 Debt Service
Coverage Ratios (calculated as more particularly
described in Annex A attached hereto) ranging from
1.13x to 3.05x and a weighted average 1995 Debt
Service Coverage Ratio of 1.52x.
As of the Cut-off Date, the Group 1 Loans will
have the following additional characteristics: (i)
remaining terms to stated maturity ranging from 62
months to 99 months and a weighted average
remaining term to stated maturity of 90 months;
(ii) remaining amortization terms ranging from 278
months to 341 months and a weighted average
remaining amortization term of 327 months; (iii)
Cut-off Date LTV Ratios ranging from 57.6% to
72.6% and a weighted average Cut-off Date LTV
Ratio of 64.9%; and (iv) 1995 Debt Service
Coverage Ratios ranging from 1.39x to 1.81x and a
weighted average 1995 Debt Service Coverage Ratio
of 1.67x.
As of the Cut-off Date, the Group 2 Loans will
have the following additional characteristics: (i)
remaining terms to stated maturity ranging from 42
months to 279 months and a weighted average
remaining term to stated maturity of 111 months;
(ii) remaining amortization terms ranging from 113
months to 359 months and a weighted average
remaining amortization term of 310 months; (iii)
Cut-off Date LTV Ratios ranging from 36.0% to
78.8% and a weighted average Cut-off Date LTV
Ratio of 68.6%; and (iv) 1995 Debt Service
Coverage Ratios ranging from 1.13x to 3.05x and a
weighted average 1995 Debt Service Coverage Ratio
of 1.50x.
For more detailed statistical information
regarding Loan Group 1, Loan Group 2 and the
entire Mortgage Pool, see Annex A hereto.
All of the Mortgage Loans were originated during
the years 1992 to 1996, except for one Mortgage
Loan that was originated prior to 1992 but was
consolidated and restated in 1992.
Seventy-one of the Mortgage Loans (the "Citibank
Mortgage Loans"), which represent 58.2% of the
Initial Pool Balance, are currently held by the
Mortgage Loan Seller. Eighty-six of the Mortgage
Loans (the "ContiTrade Mortgage Loans"), which
represent 39.7% of the Initial Pool Balance, are
currently held by ContiTrade Services L.L.C.
("ContiTrade") and will be sold to the Mortgage
Loan Seller by ContiTrade on or before the
Delivery Date. Five of the Mortgage Loans (the
"PNC Mortgage Loans"), which represent 2.1% of the
Initial Pool Balance, were originated and are
currently held by PNC Bank, National Association
("PNC Bank") and will be sold to the Mortgage Loan
Seller by PNC Bank on or before the Delivery Date.
On or before the Delivery Date (but after the
transfer of the ContiTrade Mortgage Loans from
ContiTrade to the Mortgage Loan Seller and the
transfer of the PNC Mortgage Loans from PNC Bank
to the Mortgage Loan Seller), the Mortgage Loan
Seller will, at the direction of the Sponsor,
transfer all of the Mortgage Loans, without
recourse, to the Trustee for the benefit of
holders of the Certificates (the
"Certificateholders"). In connection with such
assignment, the Mortgage Loan Seller will make
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certain representations and warranties regarding
the characteristics of the Mortgage Loans and, as
more particularly described herein, will be
obligated to cure any material breach of any such
representation or warranty or repurchase the
affected Mortgage Loan. Because Citibank, N.A., in
its capacity as Mortgage Loan Seller, is selling
the Mortgage Loans without recourse, it will have
no obligations with respect to the Offered
Certificates other than pursuant to such
representations, warranties and repurchase
obligations. The Sponsor will make no
representations or warranties with respect to the
Mortgage Loans and will have no obligation to
repurchase or substitute for Mortgage Loans with
deficient documentation or which are otherwise
defective. See "Description of the Mortgage Pool"
and "Risk Factors--The Mortgage Loans" herein and
"Description of the Trust Funds" and "Certain
Legal Aspects of Mortgage Loans" in the
Prospectus.
The Mortgage Loans will be serviced and
administered by the Master Servicer and, if
circumstances require, the Special Servicer,
pursuant to the Pooling Agreement (as defined
below) and generally in accordance with the
discussion set forth under "Servicing of the
Mortgage Loans" herein and "Description of the
Pooling Agreements" in the Prospectus. The
compensation to be received by the Master Servicer
(including Master Servicing Fees) and the Special
Servicer (including Standby Fees, Special
Servicing Fees, Workout Fees and Liquidation Fees)
for their services is described herein under
"Servicing of the Mortgage Loans--Servicing and
Other Compensation; Payment of Expenses".
Description of the
Certificates ................The Certificates will be issued pursuant to a
Pooling and Servicing Agreement, to be dated as of
the Cut-off Date (the "Pooling Agreement"), among
the Sponsor, the Master Servicer, the Special
Servicer, the Trustee, the Mortgage Loan Seller
and the REMIC Administrator and will represent in
the aggregate the entire beneficial ownership
interest in a trust fund (the "Trust Fund")
consisting of the Mortgage Pool and certain
related assets.
A. Certificate Balances and
Notional Amounts ......Upon intial issuance, the Class A-1, Class A-2A,
Class A-2B, Class B, Class C, Class D, Class E and
Class F Certificates will have the respective
Certificate Balances set forth on the cover page
hereof (in each case, subject to a variance of
plus or minus 5%).
Upon initial issuance, the Class G, Class H, Class
J and Class K Certificates (collectively with the
Class A, Class B, Class C, Class D, Class E and
Class F Certificates, the "Sequential Pay
Certificates") will have an aggregate Certificate
Balance of $67,532,861 (subject to a variance of
plus or minus 5%), which represents the remaining
portion of the Initial Pool Balance.
The "Certificate Balance" of any Class of
Sequential Pay Certificates outstanding at any
time will be the then aggregate stated principal
amount thereof. On each Distribution Date, the
Certificate Balance of each Class of Sequential
Pay Certificates will be reduced by any
distributions of principal actually made on such
Class of Certificates on such Distribution Date
and will be further reduced by any losses on or in
respect of the Mortgage Loans (referred to herein
as "Realized
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<PAGE>
Losses") and by certain Trust Fund expenses
(referred to herein as "Additional Trust Fund
Expenses") deemed allocated to such Class of
Certificates on such Distribution Date. See
"Description of the Certificates--Distributions"
and "--Subordination; Allocation of Losses and
Certain Expenses" herein.
Neither Class of Class X Certificates will have a
Certificate Balance; each such Class of
Certificates will instead represent the right to
receive distributions of interest accrued as
described herein on a notional principal amount (a
"Notional Amount"). The Notional Amount of the
Class X-1 Certificates will equal the aggregate
Stated Principal Balance (as defined herein) of
the Group 1 Loans outstanding from time to time.
The Notional Amount of the Class X-2 Certificates
will equal 99.9% of the aggregate Stated Principal
Balance of all the Mortgage Loans outstanding from
time to time. The Notional Amount of each Class of
Class X Certificates is used solely for the
purpose of determining the amount of interest to
be distributed on such Class of Certificates and
does not represent the right to receive any
distributions of principal.
No Class of REMIC Residual Certificates will have
a Certificate Balance.
A Class of Offered Certificates will be considered
outstanding until its Certificate Balance or
Notional Amount, as the case may be, is reduced to
zero; provided, however, that reimbursements of
any previously allocated Realized Losses and
Additional Trust Fund Expenses may thereafter be
made with respect thereto. See "Description of the
Certificates--Certificate Balances and Notional
Amounts" and "--Distributions" herein.
B. Pass-Through Rates .....The Pass-Through Rate applicable to the Class A-1
Certificates for each Distribution Date, up to and
including the Distribution Date in October 1996,
will equal 6.12% per annum. The Pass-Through Rate
applicable to the Class A-1 Certificates for each
subsequent Distribution Date will, in general,
equal the lesser of (i) the applicable value of
Six-Month LIBOR (which value shall be selected as
described herein), plus 0.37%, and (ii) 11.375%
per annum. The Pass-Through Rate for the Class A-1
Certificates will be subject to adjustment as of
the commencement of such Class of Certificates'
Interest Accrual Period for the Distribution Date
in November 1996, and every six months thereafter.
The Pass-Through Rate applicable to the Class X-1
Certificates for the initial Distribution Date
will equal approximately 0.796% per annum. The
Pass-Through Rate applicable to the Class X-1
Certificates for each Distribution Date subsequent
to the initial Distribution Date will, in general,
equal the excess, if any, of (i) the weighted
average of the Net Mortgage Rates in effect for
the Group 1 Loans as of the first day of the
related Collection Period (weighted on the basis
of the respective Stated Principal Balances of
such Mortgage Loans immediately following the
prior Distribution Date), over (ii) the
Pass-Through Rate applicable to the Class A-1
Certificates (or, if such Certificates are no
longer outstanding, that would otherwise have been
applicable thereto) for such current Distribution
Date.
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<PAGE>
The Pass-Through Rates applicable to the Class
A-2A, Class A-2B, Class B, Class C, Class D, Class
E and Class F Certificates will, at all times, be
equal to 7.35%, 7.9%, 7.9%, 7.8%, 7.8%, 7.7% and
7.7% per annum, respectively.
The Pass-Through Rate applicable to the Class X-2
Certificates for the initial Distribution Date
will equal approximately 0.960% per annum. The
Pass-Through Rate applicable to the Class X-2
Certificates for each subsequent Distribution Date
will, in general, equal the excess, if any, of (i)
the weighted average of the Net Mortgage Rates in
effect for the Group 1 Loans (in each case, net of
the Pass-Through Rate applicable to the Class X-1
Certificates for such Distribution Date) and the
Net Mortgage Rates in effect for the Group 2 Loans
as of the first day of the related Collection
Period (weighted on the basis of the respective
Stated Principal Balances of such Mortgage Loans
immediately following the prior Distribution
Date), over (ii) the weighted average of the
Pass-Through Rates applicable to the respective
Classes of Sequential Pay Certificates for such
current Distribution Date (weighted on the basis
of the respective Certificate Balances of such
Classes of Certificates immediately prior to such
current Distribution Date).
The Pass-Through Rates applicable to the Class G,
Class H, Class J and Class K Certificates will, at
all times, be equal to 7.15%, 5.7%, 5.7% and 5.7%,
respectively.
The "Net Mortgage Rate" with respect to any
Mortgage Loan is a per annum rate equal to the
related Mortgage Rate in effect from time to time,
minus the applicable Master Servicing Fee Rate
(which ranges on a loan-by-loan basis from 0.14%
per annum to 2.005% per annum and the weighted
average of which is equal to 0.224% per annum as
of the Cut-off Date). See "Servicing of the
Mortgage Loans--Servicing and Other Compensation
and Payment of Expenses ", "Description of the
Certificates--Pass-Through Rates" and
"--Distributions--Distributions of Prepayment
Premiums" herein.
C. The Certificate Groups..The Class X-1 and Class A-1 Certificates initially
will correspond to and evidence interests
generally in Loan Group 1 (such Certificates, the
"Group 1 Certificates"); and the Class X-2, Class
A-2A, Class A-2B, Class B, Class C, Class D, Class
E, Class F, Class G, Class H, Class J and Class K
Certificates initially will correspond to and
evidence interests generally in Loan Group 2 (such
Certificates, the "Group 2 Certificates "; the
Group 1 Certificates and the Group 2 Certificates,
each a "Certificate Group"). Distributions of
interest on and, except in the case of the Class
X-1 Certificates, principal of the Group 1
Certificates will initially be based on interest
and/or principal due or collected, as the case may
be, on or with respect to the Group 1 Loans.
Distributions of interest on and, except in the
case of the Class X-2 Certificates, principal of
the Group 2 Certificates will initially be based
on interest and/or principal due or collected, as
the case may be, on or with respect to the Group 2
Loans. See "Description of the Certificates--The
Certificate Groups" herein.
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<PAGE>
D. Distributions of
Interest and Principal..The total of all payments or other collections (or
advances in lieu thereof) on or in respect of the
Mortgage Loans (exclusive of Prepayment Premiums)
that are available for distributions of interest
on and principal of the Certificates on any
Distribution Date is herein referred to as the
"Available Distribution Amount" for such date. See
"Description of the Certificates--Distributions--
The Available Distribution Amount" herein.
On each Distribution Date, the Trustee will apply
the Available Distribution Amount for such date
for the following purposes and in the following
order of priority:
(1) to pay interest to the holders of the
respective Classes of Class A and Class X
Certificates, up to an amount equal to, and pro
rata as among such Classes in accordance with,
all Distributable Certificate Interest in
respect of each such Class of Certificates for
such Distribution Date;
(2) to pay principal: (a) first to the
holders of the Class A-1 Certificates, second
to the holders of the Class A-2A Certificates
and third to the holders of the Class A-2B
Certificates, in each case, up to an amount
equal to the lesser of (i) the then outstanding
Certificate Balance of such Class of
Certificates and (ii) the remaining Principal
Distribution Amount (as defined below) with
respect to Loan Group 1 for such Distribution
Date; and (b) first to the holders of the Class
A-2A Certificates, second to the holders of the
Class A-2B Certificates and third to the
holders of the Class A-1 Certificates, in each
case, up to an amount equal to the lesser of
(i) the then outstanding Certificate Balance of
such Class of Certificates and (ii) the
remaining Principal Distribution Amount with
respect to Loan Group 2 for such Distribution
Date; provided that, if the remaining portion
of the Available Distribution Amount for such
Distribution Date is less than the Principal
Distribution Amounts with respect to the two
Loan Groups for such date, payments pursuant to
this clause (2) in respect of such Principal
Distribution Amounts shall be made on a pro
rata basis in accordance with the relative
sizes of such Principal Distribution Amounts;
(3) to reimburse the holders of the
respective Classes of Class A Certificates, up
to an amount equal to, and pro rata as among
such Classes in accordance with, the respective
amounts of Realized Losses and Additional Trust
Fund Expenses, if any, previously deemed
allocated to such Classes of Certificates and
for which no reimbursement has previously been
paid; and
(4) to make payments on the Subordinate
Certificates as contemplated below;
provided that, on each Distribution Date after the
aggregate Certificate Balance of the Subordinate
Certificates has been reduced to zero, and in any
event on the final Distribution Date in connection
with a termination of the Trust Fund (see
"Description of the Certificates--Termination"
herein), the payments of principal to be made as
contemplated by clause (2) above with respect to
the Class A
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<PAGE>
Certificates, will be so made to the holders of
the respective Classes of such Certificates, up to
an amount equal to, and pro rata as among such
Classes in accordance with, the respective then
outstanding Certificate Balances of such Classes
of Certificates, and without regard to the
Principal Distribution Amounts with respect to the
two Loan Groups for such date.
On each Distribution Date, following the
above-described distributions on the Class A and
Class X Certificates, the Trustee will apply the
remaining portion, if any, of the Available
Distribution Amount for such date to make payments
to the holders of each of the remaining Classes of
Sequential Pay Certificates, in alphabetical order
of Class designation, in each case for the
following purposes and in the following order of
priority (i.e., payments under clauses (1), (2)
and (3) below, in that order, to the holders of
the Class B Certificates, then payments under
clauses (1), (2) and (3) below, in that order, to
the holders of the Class C Certificates, and in
such manner with respect to the Class D, Class E,
Class F, Class G, Class H, Class J and Class K
Certificates):
(1) to pay interest to the holders of such
Class of Certificates, up to an amount equal to
all Distributable Certificate Interest in
respect of such Class of Certificates for such
Distribution Date;
(2) if the Certificate Balances of the Class
A Certificates and each other Class of
Sequential Pay Certificates, if any, with an
earlier alphabetical Class designation have
been reduced to zero, to pay principal to the
holders of such Class of Certificates, up to an
amount equal to the lesser of (a) the then
outstanding Certificate Balance of such Class
of Certificates and (b) the aggregate of the
remaining Principal Distribution Amounts for
both Loan Groups for such Distribution Date;
and
(3) to reimburse the holders of such Class
of Certificates, up to an amount equal to all
Realized Losses and Additional Trust Fund
Expenses, if any, previously deemed allocated
to such Class of Certificates and for which no
reimbursement has previously been paid;
provided that, on the final Distribution Date in
connection with a termination of the Trust Fund,
the payments of principal to be made as
contemplated by clause (2) above with respect to
any Class of Sequential Pay Certificates, will be
so made to the holders of such Class of
Certificates, up to an amount equal to the entire
then outstanding Certificate Balance of such Class
of Certificates, and without regard to the
Principal Distribution Amounts with respect to the
two Loan Groups for such date.
Any portion of the Available Distribution Amount
for any Distribution Date that is not otherwise
payable to the holders of REMIC Regular
Certificates as contemplated above, will be paid
to the holders of the REMIC Residual Certificates.
Reimbursement of previously allocated Realized
Losses and Additional Trust Fund Expenses will not
constitute distributions of principal for any
purpose and will not result in an additional
reduction in the
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<PAGE>
Certificate Balance of the Class of Certificates
in respect of which any such reimbursement is
made.
The "Distributable Certificate Interest" in
respect of any Class of REMIC Regular Certificates
for any Distribution Date will generally equal one
month's interest at the applicable Pass-Through
Rate accrued on the Certificate Balance or
Notional Amount, as the case may be, of such Class
of Certificates outstanding immediately prior to
such Distribution Date, reduced (to not less than
zero) by such Class of Certificates' allocable
share (calculated as described herein) of any Net
Aggregate Prepayment Interest Shortfall (as
defined herein) for such Distribution Date, and
increased by any Class Interest Shortfall in
respect of such Class of Certificates for such
Distribution Date. Distributable Certificate
Interest will be calculated on thebasis of a
360-day year consisting of twelve 30-day
months.See "Description of the
Certificates--Distributions--Distributable
Certificate Interest" and "Servicing of the
Mortgage Loans--Servicing and Other Compensation
and Payment of Expenses" herein.
The "Class Interest Shortfall" with respect to any
Class of REMIC Regular Certificates for any
Distribution Date will equal: (a) in the case of
the initial Distribution Date, zero; and (b) in
the case of any subsequent Distribution Date, the
sum of (i) the excess, if any, of (A) all
Distributable Certificate Interest in respect of
such Class of Certificates for the immediately
preceding Distribution Date, over (B) all
distributions of interest made with respect to
such Class of Certificates on the immediately
preceding Distribution Date, and(ii) to the extent
permitted by applicable law, other than in the
case of the Class X Certificates, one month's
interest on any such excess at the Pass-Through
Rate applicable to such Class of Certificates for
the current Distribution Date.
The "Principal Distribution Amount" with respect
to each Loan Group for any Distribution Date,
will, in general, equal the aggregate ofthe
following:
(a) the principal portions of all Scheduled
Payments (other than Balloon Payments) and any
Assumed Scheduled Payments due or deemed due,
as the case may be, in respect of the Mortgage
Loans in such Loan Group for their respective
Due Dates occurring during the related
Collection Period;
(b) all voluntary principal prepayments
received on the Mortgage Loans in such Loan
Group during the related Collection Period;
(c) with respect to any Balloon Loan in such
Loan Group as to which the related stated
maturity date occurred during or prior to the
related Collection Period, any payment of
principal (exclusive of any voluntary principal
prepayment and any amount described in clause
(d) below) made by or on behalf of the related
borrower during the related Collection Period,
net of any portion of such payment that
represents a recovery of the principal portion
of any Scheduled Payment (other than a Balloon
Payment) due, or the principal portion of any
Assumed Scheduled Payment deemed due,
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in respect of such Mortgage Loan on a Due Date
during or prior to the related Collection
Period and not previously recovered;
(d) the portion of all Liquidation Proceeds,
Condemnation Proceeds and Insurance Proceeds
(each as defined in the Prospectus) received on
the Mortgage Loans in such Loan Group during
the related Collection Period that were
identified and applied by the Master Servicer
as recoveries of principal thereof, in each
case net of any portion of such amounts that
represents a recovery of the principal portion
of any Scheduled Payment (other than a Balloon
Payment) due, or the principal portion of any
Assumed Scheduled Payment deemed due, in
respect of the related Mortgage Loan on a Due
Date during or prior to the related Collection
Period and not previously recovered; and
(e) if such Distribution Date is subsequent
to the initial Distribution Date, the excess,
if any, of (i) the Principal Distribution
Amount for such Loan Group for the immediately
preceding Distribution Date, over (ii) the
aggregate distributions of principal made on
the Sequential Pay Certificates in respect of
such Principal Distribution Amount on such
immediately preceding Distribution Date.
The "Scheduled Payment" due on any Mortgage Loan
on any related Due Date will, in general, be the
scheduled payment of principal and/or interest due
thereon on such date (taking into account any
waiver, modification or amendment of the terms of
such Mortgage Loan, whether agreed to by the
Master Servicer or Special Servicer or in
connection with a bankruptcy or similar proceeding
involving the related borrower).
An "Assumed Scheduled Payment" is an amount deemed
due in respect of: (i) any Balloon Loan that is
delinquent in respect of its Balloon Payment
beyond the first Determination Date that follows
its stated maturity date and as to which no
arrangements have been agreed to for collection of
the delinquent amounts; or (ii) any Mortgage Loan
as to which the related Mortgaged Property or
Properties have been acquired on behalf of the
Certificateholders through foreclosure, deed in
lieu of foreclosure or otherwise (each such
property, upon acquisition, an "REO Property").
The Assumed Scheduled Payment deemed due on any
such Balloon Loan on its stated maturity date and
on each successive Due Date that it remains or is
deemed to remain outstanding shall equal the
Scheduled Payment that would have been due thereon
on such date if the related Balloon Payment had
not come due, but rather such Mortgage Loan had
continued to amortize in accordance with such
loan's amortization schedule, if any, in effect
immediately prior to maturity and had continued to
accrue interest in accordance with its terms in
effect immediately prior to maturity. The Assumed
Scheduled Payment deemed due on any such Mortgage
Loan as to which the related Mortgaged Property or
Properties have become REO Property or Properties,
on each Due Date for so long as such REO Property
or Properties remain part of the Trust Fund, shall
equal the Scheduled Payment (or, in the case of a
Balloon Loan described in the prior sentence, the
Assumed Scheduled Payment) due on the last Due
Date prior to the acquisition of such REO Property
or Properties.
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<PAGE>
E. Distribution of
Prepayment Premiums ...Any Prepayment Premium actually collected with
respect to a Group 1 Loan during any particular
Collection Period will be distributed to the
holders of the Class X-1 Certificates on the
related Distribution Date. Any Prepayment Premium
actually collected with respect to a Group 2 Loan
during any particular Collection Period will, in
general, be distributed to the holders of the
respective Classes of the Group 2 Certificates in
the amounts and priorities described under
"Description of the Certificates--Distributions--
Distributions of Prepayment Premiums" herein.
P&I Advances ................Subject to a recoverability determination as
described herein, and further subject to certain
limitations involving Mortgage Loans as to which
the related Mortgaged Property has declined in
value as described herein, the Master Servicer is
required to make advances (each, a "P&I Advance")
with respect to each Distribution Date for the
benefit of the Certificateholders in an amount
generally equal to the aggregate of all Scheduled
Payments (other than Balloon Payments) and any
Assumed Scheduled Payments, in each case net of
related Master Servicing Fees and Workout Fees,
that (a) were due or deemed due, as the case may
be, in respect of the Mortgage Loans during the
related Collection Period and (b) were not paid by
or on behalf of the related borrowers or otherwise
collected as of the close of business on the last
day of the related Collection Period. If the
Master Servicer fails to make a required P&I
Advance, the Trustee will be required to make such
P&I Advance.
As more fully described herein, the Master
Servicer and the Trustee will each be entitled to
interest on any P&I Advances made, and the Master
Servicer, the Special Servicer and the Trustee
will each be entitled to interest on certain
servicing expenses incurred, by or on behalf of
it. Such interest will accrue from the date any
such P&I Advance is made or such servicing expense
is incurred at a rate per annum equal to the
"prime rate" as published in the "Money Rates"
section of The Wall Street Journal, as such "prime
rate" may change from time to time (the
"Reimbursement Rate"), and will be paid, either
out of default interest collected in respect of
the related Mortgage Loan, or contemporaneously
with the reimbursement of such P&I Advance or such
servicing expense, out of general collections on
the Mortgage Pool then held by the Master
Servicer. See "Description of the
Certificates--P&I Advances" and "Servicing of the
Mortgage Loans--Servicing and Other Compensation
and Payment of Expenses" herein and "Description
of the Certificates--Advances in Respect of
Delinquencies" and "Description of the Pooling
Agreements--Certificate Account" in the
Prospectus.
Subordination; Allocation
of Losses and Certain
Expenses ...................As and to the extent described herein, the Class
B, the Class C, the Class D, the Class E, the
Class F and the Private Certificates
(collectively, the "Subordinate Certificates")
will, in the case of each Class thereof, be
subordinated with respect to distributions of
interest and principal to the Class A and Class X
Certificates (collectively, the "Senior
Certificates") and, further, to each other Class
of Subordinate Certificates, if any, with an
earlier alphabetical Class designation.
S-18
<PAGE>
If, following the distributions to be made in
respect of the Certificates on any Distribution
Date, the aggregate Stated Principal Balance of
the Mortgage Pool that will be outstanding
immediately following such Distribution Date is
less than the then aggregate Certificate Balance
of the Sequential Pay Certificates, the
Certificate Balances of the Class K, Class J,
Class H, Class G, Class F, Class E, Class D, Class
C and Class B Certificates will be reduced,
sequentially in that order, in the case of each
such Class until such deficit (or the related
Certificate Balance) is reduced to zero (whichever
occurs first). If any portion of such deficit
remains at such time as the Certificate Balances
of such Classes of Certificates are reduced to
zero, then, the respective Certificate Balances of
the Class A-1, Class A-2A and Class A-2B
Certificates will be reduced, pro rata in
accordance with the relative sizes of the
remaining Certificate Balances of such Classes of
Certificates, until such deficit (or each such
Certificate Balance) is reduced to zero. Any such
deficit may be the result of Realized Losses
incurred in respect of the Mortgage Loans and/or
Additional Trust Fund Expenses. The foregoing
reductions in the Certificate Balances of the
Sequential Pay Certificates will be deemed to
constitute an allocation of any such Realized
Losses and Additional Trust Fund Expenses.
Treatment of REO
Properties .................Notwithstanding that any Mortgaged Property may be
acquired as part of the Trust Fund through
foreclosure, deed in lieu of foreclosure or
otherwise, the related Mortgage Loan will, for
purposes of, among other things, determining
distributions on, and allocations of Realized
Losses and Additional Trust Fund Expenses to, the
Certificates, as well as determining Master
Servicing Fees and Special Servicing Fees,
generally be treated as having remained
outstanding until each such REO Property is
liquidated. Among other things, such Mortgage Loan
will be taken into account when determining
Pass-Through Rates and the Principal Distribution
Amount for the related Loan Group. Operating
revenues and other proceeds derived from each REO
Property (after application thereof to pay certain
costs and taxes, including certain reimbursements
payable to the Master Servicer, the Special
Servicer and/or the Trustee, incurred in
connection with the operation and disposition of
such REO Property) will be "applied" or treated by
the Master Servicer as principal, interest and
other amounts "due" on the related Mortgage Loan,
and, subject to a recoverability determination as
more fully described herein (see "Description of
the Certificates--P&I Advances"), the Master
Servicer will make P&I Advances in respect of such
Mortgage Loan, in all cases as if such Mortgage
Loan had remained outstanding.
Controlling Class ...........The holder (or holders) of Certificates
representing a majority interest in the
Controlling Class will have the right, subject to
certain conditions described herein, to replace
the Special Servicer. The "Controlling Class"
will, in general, be the most subordinate Class of
Sequential Pay Certificates then outstanding whose
then Certificate Balance is at least equal to 25%
of the initial Certificate Balance thereof. In
addition, as more particularly described herein,
any single holder of Certificates representing a
majority interest in the Controlling Class will
have the option of purchasing defaulted Mortgage
Loans from time to time at the Purchase Price
specified herein. See "Servicing of the Mortgage
S-19
<PAGE>
Loans--The Special Servicer" and "--Sale of
Defaulted Mortgage Loans" herein.
Extension Adviser ...........The holder or holders of Offered Certificates with
an aggregate principal balance equal to more than
50% of the aggregate Certificate Balance from time
to time of all of the Offered Certificates with
Certificate Balances (exclusive, if applicable, of
the Controlling Class and any Class of Offered
Certificates subordinate thereto) will have the
right, subject to certain conditions described
herein, to elect an adviser (the "Extension
Adviser") from whom the Special Servicer will
seek approval prior to extending the maturity of
any Mortgage Loan beyond the third anniversary of
such Mortgage Loan's stated maturity date. The
Master Servicer will act as the initial Extension
Advisor until removed or replaced as described
herein. See "Servicing of Mortgage Loans--The
Extension Adviser" herein.
Optional Termination ........At its option, the Master Servicer or any single
holder (other than the Sponsor or the Mortgage
Loan Seller) of Certificates representing a
majority interest in the Controlling Class may
purchase all of the Mortgage Loans and REO
Properties, and thereby effect a termination of
the Trust Fund and early retirement of the then
outstanding Certificates, on any Distribution Date
on which the remaining aggregate Stated Principal
Balance of the Mortgage Pool is less than 1.0% of
the Initial Pool Balance. See "Description of the
Certificates--Termination" herein and in the
Prospectus.
Certain Federal Income Tax
Consequences ...............For federal income tax purposes, two separate
"real estate mortgage investment conduit"
("REMIC") elections will be made with respect to
certain segregated asset pools which make up the
Trust Fund, the resulting REMICs being herein
referred to as REMIC I and REMIC II, respectively.
The assets of "REMIC I" will include the Mortgage
Loans, any REO Properties acquired on behalf of
the Certificateholders and the Certificate Account
(as defined in the Prospectus). For federal income
tax purposes, (i) the separate, uncertificated
regular interests in REMIC I will be the "regular
interests" in REMIC I and will constitute the
assets of REMIC II, (ii) the Class R-I
Certificates will be the sole class of "residual
interests" in REMIC I, (iii) the REMIC Regular
Certificates will be the "regular interests" in,
and generally will be treated as debt obligations
of, REMIC II, and (iv) the Class R-II Certificates
will be the sole class of "residual interests" in
REMIC II. See "Certain Federal Income Tax
Consequences--General" herein.
For federal income tax reporting purposes, it is
anticipated that the Class A-1, Class A-2A, Class
A-2B, Class B, Class C and Class D Certificates
will not, and the Class E, Class F, Class X-1 and
Class X-2 Certificates will, be treated as having
been issued with original issue discount. The
prepayment assumption that will be used for
purposes of computing the accrual of original
issue discount, market discount and premium, if
any, for federal income tax purposes will be that
the Mortgage Loans prepay at a CPR of 0% and that
there are no extensions of maturity for the
Mortgage Loans. However, no representation is made
that the Mortgage Loans will not prepay or that,
if they do, they will prepay at any particular
rate.
S-20
<PAGE>
If the method for computing original issue
discount described in the Prospectus results in a
negative amount for any period, a
Certificateholder will be permitted to offset such
amount only against the future original issue
discount (if any) from such Certificate. See
"Certain Federal Income Tax Consequences" herein
and "Material Federal Income Tax
Consequences--REMICs--Taxation of Owners of REMIC
Regular Certificates--Original Issue Discount" in
the Prospectus.
The Offered Certificates will be treated as
"qualifying real property loans" within the
meaning of Section 593(d) of the Internal Revenue
Code of 1986 (the "Code") and "real estate
assets" within the meaning of Section 856(c)(5)(A)
of the Code. In addition, interest (including
original issue discount) on the Offered
Certificates will be interest described in Section
856(c)(3)(B) of the Code. However, the Offered
Certificates will generally only be considered
assets described in Section 7701(a)(19)(C) of the
Code to the extent that the Mortgage Loans are
secured by residential property and, accordingly,
an investment in the Offered Certificates may not
be suitable for some thrift institutions.
For further information regarding the federal
income tax consequences of investing in the
Offered Certificates, see "Certain Federal
IncomeTax Consequences" herein and "Material
Federal Income Tax Consequences" in the
Prospectus.
ERISA Considerations ........A fiduciary of any employee benefit plan or other
retirement arrangement subject to the Employee
Retirement Income Security Act of 1974, as amended
("ERISA"), or Section 4975 of the Code (each such
plan or other retirement arrangement, a "Plan")
should review carefully with its legal advisors
whether the purchase or holding of Offered
Certificates could give rise to a transaction that
is prohibited or that is not otherwise permitted
either under ERISA or Section 4975 of the Code or
whether there exists any statutory or
administrative exemption applicable to an
investment therein.
The U.S. Department of Labor has issued to
Citicorp an individual prohibited transaction
exemption, Prohibited Transaction Exemption 90-88,
and to Goldman, Sachs & Co. an individual
prohibited transaction exemption, Prohibited
Transaction Exemption 89-88 (together, the
"Exemptions"), which generally exempt from the
application of certain of the prohibited
transaction provisions of Section 406 of ERISA and
the excise taxes imposed on such prohibited
transactions by Section 4975(a) and (b) of the
Code and Section 502(i) of ERISA, transactions
relating to the purchase, sale and holding of
pass-through certificates underwritten by an
underwriting syndicate or selling group of which
Citibank, N.A., as an affiliate of Citicorp, or
Goldman, Sachs & Co., respectively, is a manager
and the servicing and operation of related asset
pools, provided that certain conditions are
satisfied. The Sponsor expects that the Exemptions
will generally apply to the Senior Certificates,
but that they will not apply to the Class B, Class
C, Class D, Class E and Class F Certificates. As a
result, no transfer of a Class B, Class C, Class
D, Class E or Class F Certificate or any interest
therein may be made to a Plan or to any person who
is directly or indirectly purchasing such
Certificate or
S-21
<PAGE>
interest therein on behalf of, as named fiduciary
of, as trustee of, or with assets of a Plan,
unless the purchase and holding of any such
Certificate or interest therein is exempt from the
prohibited transaction provisions of Section 406
of ERISA and Section 4975 of the Code under
Prohibited Transaction Class Exemption 95-60,
which provides an exemption from the prohibited
transaction rules for certain transactions
involving an insurance company general account.
See "ERISA Considerations" herein and in the
Prospectus.
Ratings .....................It is a condition to their issuance that the
following Classes of Certificates (collectively,
the "Rated Certificates") receive the indicated
credit ratings from Standard & Poor's Ratings
Services, a Division of the McGraw-Hill Companies,
Inc. ("S&P") and Fitch Investors Service, L.P.
("Fitch" and, together with S&P, the "Rating
Agencies"):
Class S&P Fitch
----- --- -----
Class X-1 Not Rated "AAA"
Class X-2 Not Rated "AAA"
Class A-1 "AAA" "AAA"
Class A-2A "AAA" "AAA"
Class A-2B "AAA" "AAA"
Class B "AA+" "AAA"
Class C "A+" "AA-"
Class D "A-" "A"
Class E "BBB" "B-"
Class F "BBB-" "B"
Class G "BB" "BB"
Class H "B" "BBB-"
Class J "B-" "BBB"
The ratings of the Rated Certificates address the
timely payment thereon of interest and, to the
extent applicable, the ultimate payment thereon of
principal on or before the Rated Final
Distribution Date. The ratings of the Rated
Certificates do not, however, address the tax
attributes thereof or of the Trust Fund. In
addition, the ratings on the Rated Certificates do
not represent any assessment of (i) the likelihood
or frequency of principal prepayments on the
Mortgage Loans, (ii) the degree to which such
prepayments might differ from those originally
anticipated or (iii) whether and to what extent
Prepayment Premiums will be received. Also a
security rating does not represent any assessment
of the yield to maturity that investors may
experience or the possibility that the Class X
Certificateholders might not fully recover their
investment in the event of rapid prepayments of
the Mortgage Loans (including both voluntary and
involuntary prepayments). See "Ratings" herein.
The ratings of the Rated Certificates also do not
address certain other matters as described under
"Ratings" herein. There is no assurance that any
such rating will not be lowered, qualified or
withdrawn by a Rating Agency, if, in its judgment,
circumstances so
S-22
<PAGE>
warrant. There can be no assurance whether any
other rating agency will rate any of the
Certificates, or if one does, what rating such
agency will assign. A security rating is not a
recommendation to buy, sell or hold securities and
may be subject to revision or withdrawal at any
time by the assigning rating agency. See "Ratings"
herein and "Risk Factors--Limited Nature of Credit
Ratings" in the Prospectus.
Legal Investment ............The Offered Certificates will not be "mortgage
related securities" within the meaning of the
Secondary Mortgage Market Enhancement Act of 1984.
As a result, the appropriate characterization of
the Offered Certificates under various legal
investment restrictions, and thus the ability of
investors subject to these restrictions to
purchase the Offered Certificates, may be subject
to significant interpretative uncertainties.
Investors should consult their own legal advisors
to determine whether and to what extent the
Offered Certificates constitute legal investments
for them. See "Legal Investment" herein and in the
Prospectus.
S-23
<PAGE>
RISK FACTORS
Prospective purchasers of Offered Certificates should consider, among other
things, the following factors (as well as the factors set forth under "Risk
Factors" in the Prospectus) in connection with an investment therein.
The Certificates
Limited Liquidity. There is currently no secondary market for the Offered
Certificates. The Sponsor has been advised by the Underwriters that they
presently intend to make a secondary market in the Offered Certificates;
however, neither Underwriter has any obligation to do so and any market making
activity may be discontinued at any time. There can be no assurance that a
secondary market for the Offered Certificates will develop or, if it does
develop, that it will provide holders of Offered Certificates with liquidity of
investment or that it will continue for the life of the Offered Certificates.
The Offered Certificates will not be listed on any securities exchange. See
"Risk Factors--Certain Factors Adversely Affecting Resale of the Offered
Certificates" in the Prospectus.
Certain Yield Considerations. The yield on any Offered Certificate will
depend on (a) the price at which such Certificate is purchased by an investor
and (b) the rate, timing and amount of distributions on such Certificate. The
rate, timing and amount of distributions on any Offered Certificate will, in
turn, depend on, among other things, (v) the Pass-Through Rate for such
Certificate, (w) the rate and timing of principal payments (including principal
prepayments) and other principal collections on or in respect of the Mortgage
Loans and the extent to which such amounts are to be applied or otherwise result
in a reduction of the Certificate Balance or Notional Amount of the Class of
Certificates to which such Certificate belongs, (x) the rate, timing and
severity of Realized Losses on or in respect of the Mortgage Loans and of
Additional Trust Fund Expenses and the extent to which such losses and expenses
result in a reduction of the Certificate Balance or Notional Amount of the Class
of Certificates to which such Certificate belongs, (y) the timing and severity
of any Net Aggregate Prepayment Interest Shortfalls and the extent to which such
shortfalls are allocated in reduction of the Distributable Certificate Interest
payable on the Class of Certificates to which such Certificate belongs and (z)
the extent to which Prepayment Premiums are collected and, in turn, distributed
on the Class of Certificates to which such Certificate belongs. Except for the
Pass-Through Rates on the Class A-2A, Class A-2B, Class B, Class C, Class D,
Class E and Class F Certificates (which are, in each case, fixed), it is
impossible to predict with certainty any of the factors described in clauses
(v), (w), (x), (y) and (z) of the preceding sentence. Accordingly, investors may
find it difficult to analyze the effect that such factors might have on the
yield to maturity of any Class of Offered Certificates. The yield to maturity of
the Class X Certificates will be highly sensitive to the rate and timing of
principal payments (including by reason of prepayments, defaults and
liquidations) on or in respect of the Group 1 Loans, in the case of the Class
X-1 Certificates, and the Group 2 Loans (and, to a lesser extent, the Group 1
Loans), in the case of the Class X-2 Certificates, and investors in the Class X
Certificates should fully consider the associated risks, including the risk that
an extremely rapid rate of amortization and prepayment of the related Notional
Amount could result in the failure of such investors to recoup their initial
investments. See "Description of the Mortgage Pool", "Description of the
Certificates--Distributions" and "--Subordination; Allocation of Losses and
Certain Expenses" and "Yield and Maturity Considerations" herein. See also
"Yield and Maturity Considerations" in the Prospectus.
Potential Conflicts of Interest. As described herein, the Special Servicer
will have considerable latitude in determining whether to liquidate or modify
defaulted Mortgage Loans. See "Servicing of the Mortgage Loans--Modifications,
Waivers, Amendments and Consents" and "--The Extension Adviser" herein. Subject
to the conditions described herein, the holder or holders of Certificates
representing a majority interest in the Controlling Class can replace the
existing Special Servicer and substitute any such holder or an affiliate thereof
as the successor. The "Controlling Class" will, in general, be the most
subordinate Class of Sequential Pay Certificates then outstanding whose then
Certificate Balance is at least equal to 25% of its initial Certificate Balance.
Investors in the Offered Certificates should consider that, although the Special
Servicer will be obligated to act in accordance with the terms of the Pooling
Agreement and will be governed by the servicing standard described herein, it
may have interests when dealing with defaulted Mortgage Loans that are in
conflict with those of holders of the Offered Certificates.
The Mortgage Loans
Nature of the Mortgaged Properties. The Mortgaged Properties consist
solely of multifamily rental (except in the case of one Mortgaged Property that
is a cooperative property) and commercial properties. Lending on the security of
income-producing properties is generally viewed as exposing a lender to a
greater risk of loss than lending
S-24
<PAGE>
on the security of one- to four-family residences. Multifamily and commercial
real estate lending typically involves larger loans, and repayment is typically
dependent upon the successful operation of the related real estate project.
Income from and the market value of the Mortgaged Properties would be adversely
affected if space in the Mortgaged Properties could not be leased, if tenants
were unable to meet their obligations or if for any other reason rental payments
could not be collected. Successful operation of an income-producing real estate
project is dependent upon, among other things, economic conditions generally and
in the area of such project, the degree to which such project competes with
other projects in the area, operating costs and the performance of the
management agent, if any. In some cases, that operation may also be affected by
circumstances outside the control of the borrower or lender, such as the quality
or stability of the surrounding neighborhood, the development of competing
projects or businesses, maintenance expenses (including energy costs), the
imposition of rent control or stabilization laws (in the case of multifamily
rental properties) and changes in the tax laws. If the cash flow from a
particular property is reduced (for example, if leases are not obtained or
renewed, if tenant defaults increase or rental rates decline or, in the case of
a property occupied by its owner, if the owner's business declines), the
borrower's ability to repay the loan may be impaired and the resale value of the
particular property may decline. See "Description of the Mortgage
Pool--Additional Mortgage Loan Information--Tenant Matters" herein.
Lending on the security of commercial properties, which represent security
for 53.6% of the Initial Pool Balance, is generally perceived as involving
greater risk than lending on the security of multifamily residential properties,
and certain types of commercial properties are exposed to particular risks. For
instance, shopping centers and retail stores (including combination
retail/office facilities), which represent security for 31.9% of the Initial
Pool Balance, are directly affected by the strength of retail sales generally.
The retailing industry is currently undergoing consolidation due to many
factors, including growth in discount retailing and mail order merchandisers. If
the sales by tenants in the Mortgaged Properties that contain retail space were
to decline, the rents that are based on a percentage of revenues may decline and
tenants may be unable to pay the fixed portion of their rents or other occupancy
costs. In addition, anchor tenants in shopping centers traditionally have been a
major factor in the public's perception of a shopping center. The failure of an
anchor tenant to renew its lease, the termination of an anchor tenant's lease,
the bankruptcy or economic decline of an anchor tenant, or the cessation of the
business of an anchor tenant (notwithstanding its continued payment of rent) can
have a material negative effect on the economic viability of a shopping center
property. The failure of any anchor tenant to operate from its premises may give
certain other tenants at the same premises the right to terminate or reduce
rents under their leases.
Management. The successful operation of a real estate project is dependent
on the performance and viability of the property manager of such project. The
property manager is responsible for responding to changes in the local market,
planning and implementing the rental structure, including establishing levels of
rent payments, and ensuring that maintenance and capital improvements can be
carried out in a timely fashion. Accordingly, by controlling costs, providing
appropriate service to tenants and seeing to the maintenance of improvements,
sound property management can improve cash flow, reduce vacancy, leasing and
repair costs and preserve building value. On the other hand, management errors
can, in some cases, impair the long term viability of a real estate project.
Fourteen groups of Mortgage Loans (representing, in aggregate, 24.0% of the
Initial Pool Balance) have the same or related management. No group of Mortgage
Loans with the same or related management represents more than 4.1% of the
Initial Pool Balance.
Risks Particular to Multifamily Properties. In the case of multifamily
lending in particular, adverse economic conditions, either local or national,
may limit the amount of rent that can be charged and may result in a reduction
in timely rent payments or a reduction in occupancy levels. Occupancy and rent
levels may also be affected by construction of additional housing units, local
military base closings and national and local politics, including current or
future rent stabilization and rent control laws and agreements. In addition, the
level of mortgage interest rates may encourage tenants to purchase single-family
housing. Further, the cost of operating a multifamily property may increase,
including the costs of utilities and the costs of required capital expenditures.
All of these conditions and events may increase the possibility that a borrower
may be unable to meet its obligations under its Mortgage Loan.
Risks Particular to Self-Storage Facilities. Self-storage properties are
considered vulnerable to competition because both acquisition costs and
break-even occupancy are relatively low. The conversion of self-storage
facilities to alternative uses would generally require substantial capital
expenditures. Thus, if the operation of any of the self-storage Mortgaged
Properties becomes unprofitable due to decreased demand, competition, age of
improvements or other factors such that the borrower becomes unable to meet its
obligations on the related Mortgage
S-25
<PAGE>
Loan, the liquidation value of that self-storage Mortgaged Property may be
substantially less, relative to the amount owing on the Mortgage Loan, than
would be the case if the self-storage Mortgaged Property were readily adaptable
to other uses. Tenant privacy, anonymity and efficient access may heighten
environmental risks. The environmental assessments discussed herein did not
include an inspection of the contents of the self-storage units included in the
self-storage Mortgaged Properties and there is no assurance that all of the
units included in the self-storage Mortgaged Properties are free from hazardous
substances or other pollutants or contaminants or will remain so in the future;
however, substantially all of the lease agreements used in connection with such
Mortgaged Properties prohibit the storage of hazardous substances, pollutants or
contaminants.
Risks Particular to Retail and Office Properties. With respect to Mortgage
Loans secured by retail properties or office buildings, in addition to risks
generally associated with real estate, such Mortgage Loans are also affected
significantly by adverse changes in consumer spending patterns, local
competitive conditions (such as the supply of retail or office space or the
existence or construction of new competitive shopping centers, shopping malls or
office buildings), alternative forms of retailing (such as direct mail and video
shopping networks which reduce the need for retail space by retail companies),
the quality and philosophy of management, the attractiveness of the properties
to tenants and their customers or clients, the public perception of the safety
of customers at shopping malls and shopping centers, and the need to make major
repairs or improvements to satisfy the needs of major tenants.
Retail properties may be adversely affected if a significant tenant ceases
operations at such locations (which may occur on account of a voluntary decision
not to renew a lease, bankruptcy or insolvency of such tenant, such tenant's
general cessation of business activities or for other reasons). Significant
tenants at a retail property play an important part in generating customer
traffic and making a retail property a desirable location for other tenants at
such property. In addition, certain tenants at retail properties may be entitled
to terminate their leases if an anchor tenant ceases operations at such
property. In such cases, there can be no assurance that any such anchor tenants
will continue to occupy space in the related shopping centers.
Risks Particular to Nursing Home Properties. Nursing home facilities
typically receive a substantial portion of their revenues from government
reimbursement programs, primarily Medicaid and Medicare. Medicaid and Medicare
are subject to statutory and regulatory changes, retroactive rate adjustments,
administrative rulings, policy interpretations, delays by fiscal intermediaries
and government funding restrictions, all of which can adversely affect revenues
from operation. Moreover, governmental payors have employed cost-containment
measures that limit payments to health care providers and there are currently
under consideration various proposals for national health care relief that could
further limit these payments. In addition, providers of long-term nursing care
and other medical services are highly regulated by federal, state and local law
and are subject to, among other things, federal and state licensing
requirements, facility inspections, rate setting, reimbursement policies, and
laws relating to the adequacy of medical care, distribution of pharmaceuticals,
equipment, personnel, operating policies and maintenance of and additions to
facilities and services, any or all of which factors can increase the cost of
operation, limit growth and, in extreme cases, require or result in suspension
or cessation of operations.
Under applicable federal and state laws and regulations, Medicare and
Medicaid reimbursements are generally not permitted to be made to any person
other than the provider who actually furnished the related medical goods and
services. Accordingly, in the event of foreclosure on a Mortgaged Property that
is operated as a nursing home facility, none of the Trustee, the Special
Servicer or a subsequent lessee or operator of the Mortgaged Property would
generally be entitled to obtain from federal or state governments any
outstanding reimbursement payments relating to services furnished at the
respective Mortgaged Properties prior to such foreclosure. Furthermore, in the
event of foreclosure, there can be no assurance that the Trustee (or Special
Servicer) or purchaser in a foreclosure sale would be entitled to the rights
under any required licenses and regulatory approvals and such party may have to
apply in its own right for such licenses and approvals. There can be no
assurance that a new license could be obtained or that a new approval would be
granted. In addition, nursing home facilities are generally "special purpose"
properties that could not be readily converted to general residential, retail or
office use, and transfers of nursing homes and other health care related
facilities are subject to regulatory approvals under state, and in some cases
federal, law not required for transfers of other types of commercial operations
and other types of real estate, all of which may adversely affect the
liquidation value.
Risks Particular to Industrial Properties. Industrial properties may be
adversely affected by reduced demand for industrial space occasioned by a
decline in a particular industry segment, and an industrial property that suited
the
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particular needs of its original tenant may be difficult to relet to another
tenant or may become functionally obsolete relative to newer properties.
Risks Particular to Ground Leases. Four Mortgage Loans representing 2.5% of
the Initial Pool Balance, are secured by first mortgage liens on the borrower's
leasehold interest in the related Mortgaged Property. None of the related ground
leases expire less than ten years after the stated maturity of the related
Mortgage Loan, and the related borrower's estate, which is encumbered by the
leasehold mortgage, is not likely to be altered or terminated during the term of
the related Mortgage Loan, provided that the ground lessor recognizes any
non-disturbance rights of the borrower. With respect to three of such Mortgage
Loans, the related ground lessor has subordinated its interest in the Mortgaged
Property to the interest of the holder of the related Mortgages. With respect to
the fourth of such Mortgage Loans, the related ground lessor has granted the
holder of the Mortgage the right to cure any default or breach by the lessee.
See "Certain Legal Aspects of Mortgage Loans--Foreclosure--Leasehold Risks" in
the Prospectus.
Risks of Subordinate Financing. Two of the Mortgaged Properties,
representing security for Mortgage Loans which represent 1.5% of the Initial
Pool Balance, are encumbered by subordinated debt. In each such case, the holder
of the subordinate debt has agreed not to foreclose for so long as the related
Mortgage Loan is outstanding and the Trust Fund is not pursuing a foreclosure
action. All of the Mortgage Loans either prohibit the related borrower from
encumbering the Mortgaged Property with additional secured debt or require the
consent of the holder of the first lien prior to so encumbering such property.
Other than as indicated above, the Sponsor is unable to confirm if any other
secured subordinate financing currently encumbers any Mortgaged Property.
Limited Recourse. The Mortgage Loans generally are nonrecourse obligations
of the borrowers. In those cases where recourse to a borrower or guarantor is
permitted by the loan documents, the Sponsor has not undertaken any evaluation
of the financial condition of any such person. Accordingly, prospective
investors should consider all of the Mortgage Loans to be nonrecourse loans as
to which recourse in the case of default will be limited to the related
Mortgaged Property or Properties securing such Mortgage Loan. In the case of
nonrecourse loans, in the event of a default under such a loan, recourse
generally may be had only against the specific property and other assets that
have been pledged to secure the loan. Consequently, payment on each Mortgage
Loan prior to maturity is dependent primarily on the sufficiency of the net
operating income of the related Mortgaged Property or Properties and, at
maturity (whether at scheduled maturity or, in the event of a default under the
related Mortgage Loan, upon the acceleration of such maturity) upon the then
market value of the related Mortgaged Property or the ability of the related
borrower to refinance the Mortgaged Property. Neither the Certificates nor the
Mortgage Loans are insured or guaranteed by any governmental entity, by any
private mortgage insurer, or by the Sponsor, the Mortgage Loan Seller,
ContiTrade, PNC Bank, any originator, the Master Servicer, the Special Servicer,
the Trustee, the REMIC Administrator, any of their respective affiliates or, in
general, by any other person. However, as more fully described under
"Description of the Mortgage Pool--Representations and Warranties; Repurchases"
herein, the Mortgage Loan Seller will be obligated to repurchase a Mortgage Loan
if certain of its representations and warranties concerning such Mortgage Loan
are materially breached.
Environmental Law Considerations. Under various federal, state and local
environmental laws, ordinances and regulations, a current or previous owner or
operator of real property may be liable for the costs of removal or remediation
of hazardous or toxic substances on, under, adjacent to or in such property.
Such laws often impose liability whether or not the owner or operator knew of,
or was responsible for, the presence of such hazardous or toxic substances on
any property. The cost of any required remediation and the owner's liability
therefor as to any property is generally not limited under such enactments and
could exceed the value of the property and/or the aggregate assets of the owner.
In addition, the presence of hazardous or toxic substances at a property, or the
failure to properly remediate adverse environmental circumstances and/or
conditions on such property, may adversely affect the owner's or operator's
ability to borrow using such property as collateral in connection with a
refinancing or otherwise. Persons who arrange for the disposal or treatment of
hazardous or toxic substances may also be liable for the costs of removal or
remediation of such substances at the disposal or treatment facility. Certain
laws impose liability for release of asbestos into the air and third parties may
seek recovery from owners or operators of real properties for personal injury
associated with exposure to asbestos.
Under some environmental laws, such as the federal Comprehensive
Environmental Response, Compensation, and Liability Act of 1980, as amended
("CERCLA"), as well as certain state laws, a secured lender (such as the Trust
Fund) may be liable, as an "owner" or "operator", for the costs of responding to
a release or threat of a release of hazardous substances on or from a borrower's
property, if agents or employees of a lender are deemed to have
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participated in the management of the borrower, regardless of whether a previous
owner caused the environmental damage. The Trust Fund's potential exposure to
liability for cleanup costs pursuant to CERCLA may increase if the Trust Fund
actually takes possession of a borrower's property, or control of its day-to-day
operations, as for example through the appointment of a receiver.
An environmental site assessment (or an update of a previously conducted
assessment) was performed at each of the Mortgaged Properties on or after
January 1, 1994, which assessments or updates were conducted consistent with
industry-wide standards. No assessment revealed any material adverse
environmental condition or circumstance at any Mortgaged Property, except in
those cases in which an operations and maintenance plan, periodic monitoring of
nearby properties or the establishment of an escrow reserve to cover the
estimated cost of remediation was recommended, which recommendations are
consistent with industry wide practices, and which recommended actions have been
or are expected to be implemented. In addition, with respect to one Mortgage
Loan, which represents 0.6% of the Initial Pool Balance, certain subsurface
contamination has been identified at the related Mortgaged Property, and the
responsible tenant has agreed in writing to remediate the soil contamination and
any ground water contamination and to be responsible for the cost of any such
remediation. There can be no assurance that all environmental conditions and
risks have been identified in such environmental assessments.
The information contained herein is based on the environmental assessments
and has not been independently verified by the Sponsor, the Mortgage Loan
Seller, ContiTrade, PNC Bank, the Underwriters, the Master Servicer, the Special
Servicer, the Trustee, the REMIC Administrator, or any of their respective
affiliates.
The Pooling Agreement requires that the Special Servicer obtain an
environmental site assessment of a Mortgaged Property prior to acquiring title
thereto or assuming its operation. Such requirement precludes enforcement of the
security for the related Mortgage Loan until a satisfactory environmental site
assessment is obtained (or until any required remedial action is taken), but
will decrease the likelihood that the Trust Fund will become liable for a
material adverse environmental condition at the Mortgaged Property. However,
there can be no assurance that the requirements of the Pooling Agreement will
effectively insulate the Trust Fund from potential liability for a materially
adverse environmental condition at any Mortgaged Property. See "Servicing of the
Mortgage Loans" herein and "Description of the Pooling Agreements--Realization
Upon Defaulted Mortgage Loans", "Risk Factors--Environmental Risks" and "Certain
Legal Aspects of Mortgage Loans--Environmental Risks" inthe Prospectus.
Limitations on Enforceability of Cross-Collateralization. The Mortgage Pool
includes seven sets of Cross-Collateralized Mortgage Loans as described under
"Description of the Mortgage Pool--Cross-Collateralized Mortgage Loans" herein.
These arrangements seek to reduce the risk that the inability of one or more of
the Mortgaged Properties securing any such set of Cross-Collateralized Mortgage
Loans to generate net operating income sufficient to pay debt service will
result in defaults and ultimate losses. However, the Cross-Collateralized
Mortgage Loans constituting one such set are secured by mortgage liens on
Mortgaged Properties located in North Carolina and South Carolina. Because, in
general, foreclosure actions are brought in state court and the courts of one
state cannot exercise jurisdiction over property in another state, it may be
necessary upon a default under any such Mortgage Loan to foreclose on the
related Mortgaged Properties in a particular order rather than simultaneously in
order to ensure that the lien of the related Mortgages is not impaired or
released.
Geographic Concentration. Twenty-five of the Mortgage Loans, which
represent 13.8% of the Initial Pool Balance, are secured by liens on Mortgaged
Properties located in New York; 18 of the Mortgage Loans, which represent 13.4%
of the Initial Pool Balance, are secured by liens on Mortgaged Properties
located in California; 15 of the Mortgage Loans, which represent 8.4% of the
Initial Pool Balance, are secured by liens on Mortgaged Properties located in
Florida; 13 of the Mortgage Loans, which represent 7.1% of the Initial Pool
Balance, are secured by liens on Mortgaged Properties located in North Carolina;
11 of the Mortgage Loans, which represent 6.4% of the Initial Pool Balance, are
secured by liens on Mortgaged Properties located in Texas; five of the Mortgage
Loans, which represent 6.1% of the Initial Pool Balance, are secured by liens on
Mortgaged Properties located in Pennsylvania; and four of the Mortgage Loans,
which represent 5.7% of the Initial Pool Balance, are secured by liens on
Mortgaged Properties located in Virginia. In general, a concentration of
Mortgaged Properties in a particular state or region increases the exposure of
the Mortgage Pool to any adverse economic or other developments that may occur
in such state or region.
Related Parties. Certain borrowers are affiliated or under common control
with one another (although no group of affiliated borrowers are obligors on
Mortgage Loans representing more than 3.0% of the Initial Pool Balance). In
addition, tenants in certain Mortgaged Properties also may be tenants in other
Mortgaged Properties, and
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certain tenants may be owned by affiliates of the borrowers or otherwise related
to or affiliated with a borrower. In such circumstances, any adverse
circumstances relating to a borrower or tenant or a respective affiliate and
affecting one of the related Mortgage Loans or Mortgaged Properties could arise
in connection with the other related Mortgage Loans or Mortgaged Properties. In
particular, the bankruptcy or insolvency of any such borrower or tenant or
respective affiliate could have an adverse effect on the operation of all of the
related Mortgaged Properties and on the ability of such related Mortgaged
Properties to produce sufficient cash flow to make required payments on the
related Mortgage Loans. For example, if a person that owns or directly or
indirectly controls several Mortgaged Properties experiences financial
difficulty at one Mortgaged Property, it could defer maintenance at one or more
other Mortgaged Properties in order to satisfy current expenses with respect to
the Mortgaged Property experiencing financial difficulty, or it could attempt to
avert foreclosure by filing a bankruptcy petition that might have the effect of
interrupting Monthly Payments for an indefinite period on all the related
Mortgage Loans. See "Certain Legal Aspects of Mortgage Loans--Bankruptcy Laws"
in the Prospectus. In general, except as described below, the particular groups
of affiliated borrowers described above have been structured in a manner that is
intended to avoid a bankruptcy proceeding relating to any such borrower in the
event a substantial equity owner of such borrower were to become insolvent or
subject to bankruptcy proceedings and to avoid the consolidation of the assets
of the borrower with those of such equity owner under such circumstances.
However, there can be no assurance that such arrangements will be successful or
that any borrower will not become insolvent or subject to bankruptcy
proceedings. With respect to one group of Mortgage Loans, which represent 2.5%
of the Initial Pool Balance, the affiliated borrowers have not been so
structured, but such borrowers have entered into an agreement that contains debt
service coverage ratio and loan-to-value ratio covenants with respect to each of
such Mortgage Loans which, if not met, operate to trigger an event of default
under the related Mortgage Loan and all other such Mortgage Loans. In addition,
a number of the borrowers are limited or general partnerships. Under certain
circumstances, the bankruptcy of the general partner in a partnership may result
in the dissolution of such partnership. The dissolution of a borrower
partnership, the winding-up of its affairs and the distribution of its assets
could result in an acceleration of its payment obligations under the related
Mortgage Loan.
Other Concentrations. Fifty-six of the Mortgage Loans have Cut-off Date
Balances that are higher than the average Cut-off Date Balance. The largest
single Mortgage Loan has a Cut-off Date Balance that represents approximately
3.7% of the Initial Pool Balance, and the ten largest Mortgage Loans have
Cut-off Date Balances that represent in the aggregate approximately 23.6% of the
Initial Pool Balance. In general, concentrations in a mortgage pool of loans
with larger than average balances can result in losses that are more severe,
relative to the size of the pool, than would be the case if the aggregate
balance of such pool were more evenly distributed.
Risk of Changes in Concentrations. As payments in respect of principal
(including in the form of voluntary principal prepayments, Liquidations Proceeds
and the repurchase prices for any Mortgage Loans repurchased due to breaches of
representations or warranties or defaults) are received with respect to the
Mortgage Loans, the remaining Mortgage Loans as a group may exhibit increased
concentration with respect to the type of properties, property characteristics,
number of borrowers and affiliated borrowers and geographic location. Because
principal on the Sequential Pay Certificates is payable in sequential order, the
Classes thereof that have a lower priority with respect to the payment of
principal are relatively more likely to be exposed to any risks associated with
changes in concentrations of borrower, loan or property characteristics.
Balloon Payments. One-hundred and fifty-two of the Mortgage Loans, which
represent 96.8% of the Initial Pool Balance, are Balloon Loans which will have
substantial payments (that is, Balloon Payments) due at their stated maturities
unless previously prepaid. Mortgage Loans with Balloon Payments involve a
greater risk to the lender than self-amortizing loans, because the ability of a
borrower to make a Balloon Payment typically will depend upon its ability either
to refinance the loan or to sell the related Mortgaged Property at a price
sufficient to permit the borrower to make the Balloon Payment. The ability of a
borrower to accomplish either of these goals will be affected by a number of
factors occurring at the time of attempted sale or refinancing, including the
level of available mortgage rates, the fair market value of the property, the
borrower's equity in the related property, the financial condition of the
borrower and operating history of the property, tax laws, prevailing economic
conditions and the availability of credit for multifamily or commercial
properties, as the case may be. See "Description of Mortgage Pool--Certain Terms
and Conditions of the Mortgage Loans" and "--Additional Mortgage Loan
Information" herein and "Risk Factors--Balloon Payments" in the Prospectus.
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In order to maximize recoveries on defaulted Mortgage Loans, the Pooling
Agreement enables the Special Servicer to extend, modify or otherwise deal with
Mortgage Loans that are in material default or as to which a payment default
(including the failure to make a Balloon Payment) is reasonably foreseeable;
subject, however, to the limitations described under "Servicing of the Mortgage
Loans--Modifications, Waivers, Amendments and Consents" and "--The Extension
Adviser" herein. There can be no assurance, however, that any such extension or
modification will increase the present value of recoveries in a given case. Any
delay in collection of a Balloon Payment that would otherwise be distributable
in respect of a Class of Offered Certificates, whether such delay is due to
borrower default or to modification of the related Mortgage Loan by the Special
Servicer, will likely extend the weighted average life of such Class of Offered
Certificates. See "Yield and Maturity Considerations" herein andin the
Prospectus.
Prepayment Premiums. Most of the Mortgage Loans require, for a specified
period following the related date of origination or, if applicable, the related
Lock-out Expiration Date, that any voluntary principal prepayment be accompanied
by a Prepayment Premium. Prepayment Premiums are generally calculated either as
a percentage (which declines over time) of the principal amount prepaid or on
the basis of a yield maintenance formula (subject, in certain instances, to a
minimum equal to a specified percentage of the amount prepaid). See "Description
of the Mortgage Pool--Certain Terms and Conditions of the Mortgage
Loans--Prepayment Provisions" herein.
As more fully described herein, any Prepayment Premiums actually collected
on the Mortgage Loans will be distributed to the holders of the Class or Classes
of Certificates entitled thereto as described under "Description of the
Certificates--Distributions--Prepayment Premiums" herein. The Sponsor, however,
makes no representation as to the collectability of any Prepayment Premium.
The enforceability, under the laws of a number of states, of provisions
similar to the provisions of the Mortgage Loans providing for the payment of a
Prepayment Premium upon an involuntary prepayment is unclear. No assurance can
be given that, at any time that any Prepayment Premium is required to be made in
connection with an involuntary prepayment, the obligation to pay such Prepayment
Premium will be enforceable under applicable law or, if enforceable, the
foreclosure proceeds will be sufficient to make such payment. Liquidation
Proceeds recovered in respect of any defaulted Mortgage Loan will, in general,
be applied to cover outstanding servicing expenses and unpaid principal and
interest prior to being applied to cover any Prepayment Premium due in
connection with the liquidation of such Mortgage Loan. See "Certain Legal
Aspects of Mortgage Loans--Default Interest and Limitations on Prepayments" in
the Prospectus.
No Prepayment Premium will be payable in connection with any repurchase of
a Mortgage Loan by the Mortgage Loan Seller for a material breach of
representation or warranty on the part of the Mortgage Loan Seller or any
failure to deliver documentation relating thereto, nor will any Prepayment
Premium be payable in connection with the purchase of all of the Mortgage Loans
and any REO Properties by the Master Servicer or any single holder of
Certificates evidencing a majority interest in the Controlling Class in
connection with the termination of the Trust Fund or in connection with the
purchase of defaulted Mortgage Loans by the Master Servicer, Special Servicer or
any single holder of Certificates evidencing a majority interest in the
Controlling Class. See "Description of the Mortgage Pool--Assignment of the
Mortgage Loans; Repurchases" and "--Representations and Warranties; Repurchases"
and "Description of the Certificates--Termination" herein.
Limited Information. The information set forth in this Prospectus
Supplement with respect to the Mortgage Loans is derived principally from (i) a
review of the available credit and legal files relating to the Mortgage Loans,
(ii) inspections of the Mortgaged Properties undertaken by or on behalf of the
Mortgage Loan Seller, (iii) unaudited operating statements for the Mortgaged
Properties supplied by the borrowers and/or (iv) information supplied by
entities from which the Mortgage Loan Seller acquired, or which currently
service, certain of the Mortgage Loans. Furthermore, in those cases where the
Mortgage Loan Seller acquired a Mortgage Loan from ContiTrade that was not
originated on behalf of ContiTrade or acquired such Mortgage Loan from another
unaffiliated entity, neither the Mortgage Loan Seller nor the Sponsor has
generally examined the books and records of such entity, and neither the
Mortgage Loan Seller nor the Sponsor has had access to all personnel of such
entity who might be knowledgeable about such Mortgage Loan; accordingly, in
those cases, available information does not permit the Sponsor to determine
fully the origination, credit appraisal and underwriting practices of the
originators of such Mortgage Loans or the manner in which such Mortgage Loans
were serviced prior to their acquisition by the Mortgage Loan Seller. In
addition, while seasoning to the degree that has been experienced by some of the
Mortgage Loans would generally be
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considered to reduce the likelihood of defaults, the fact that such Mortgage
Loans are not newly-originated means that the related borrowers, in certain such
cases, are not required, or cannot practicably be compelled, to provide the
Mortgage Loan Seller with all of the information that a lender would typically
obtain from a borrower in connection with the origination of such loan;
accordingly, information contained herein with respect to several of the
Mortgage Loans is not as complete as would be the case if those loans had been
newly originated.
DESCRIPTION OF THE MORTGAGE POOL
General
The Mortgage Pool will consist of 162 multifamily and commercial mortgage
loans (the "Mortgage Loans") with an aggregate Cut-off Date Balance of
$482,357,812 (the "Initial Pool Balance"), subject to a variance of plus or
minus 5%. See "Description of the Trust Funds" and "Certain Legal Aspects of
Mortgage Loans" in the Prospectus. The "Cut-off Date Balance" of each Mortgage
Loan is the unpaid principal balance thereof as of July 1, 1996 (the "Cut-off
Date"), after application of all payments of principal due on or before such
date, whether or not received. The Cut-off Date Balances of the Mortgage Loans
have been calculated assuming that no principal prepayments are received thereon
from June 1, 1996 through and including the Cut-off Date. All numerical
information provided herein with respect to the Mortgage Loans is provided on an
approximate basis. All weighted average information provided herein with respect
to the Mortgage Loans reflects weighting by related Cut-off Date Balance. All
percentages of the Mortgage Pool, or of any specified sub-group thereof,
referred to herein without further description are approximate percentages by
aggregate Cut-off Date Balance.
Except as otherwise described below, each Mortgage Loan is evidenced by a
promissory note (a "Mortgage Note") and secured by a mortgage, deed of trust or
other similar security instrument (a "Mortgage") that creates a first mortgage
lien on a fee simple (or, in four cases, a leasehold) interest in real property
(a "Mortgaged Property"), improved by (i) an apartment building or complex
consisting of five or more rental (or, in one case, cooperatively owned) living
units or a mobile home park (a "Multifamily Mortgaged Property"; and any
Mortgage Loan secured thereby, a "Multifamily Loan") (82 Mortgage Loans,
representing 46.4% of the Initial Pool Balance), or (ii) a retail shopping mall
or center, a self-storage facility, a nursing facility, an office building or
complex, industrial buildings or a combination retail/office complex (a
"Commercial Mortgaged Property"; and any Mortgage Loan secured thereby, a
"Commercial Loan") (80 Mortgage Loans which represent 53.6% of the Initial Pool
Balance).
Seven separate sets of Mortgage Loans (the "Cross-Collateralized Mortgage
Loans"), representing 3.0%, 1.9%, 0.8%, 0.8%, 0.7%, 0.5% and 0.2% of the Initial
Pool Balance, respectively, are, solely as among the Cross-Collateralized
Mortgage Loans in each such particular set, cross-defaulted and
cross-collateralized with each other. See "--Cross-Collateralized Mortgage
Loans" below and Annex A hereto.
Four of the Mortgage Loans, representing 2.5%, 1.4%, 0.9% and 0.7% of the
Initial Pool Balance, are, in each such case, without regard to the
cross-collateralization described in the previous paragraph, secured by one or
more Mortgages encumbering multiple Mortgaged Properties. Accordingly, the total
number of Mortgage Loans reflected herein is 162, while the total number of
Mortgaged Properties reflected herein is 176.
In general, the Mortgage Loans constitute nonrecourse obligations of the
related borrower and, upon any such borrower's default in the payment of any
amount due under the related Mortgage Loan, the holder thereof may look only to
the related Mortgaged Property or Properties, for satisfaction of the borrower's
obligation. In addition, in those cases where recourse to a borrower or
guarantor is permitted by the loan documents, the Sponsor has not undertaken an
evaluation of the financial condition of any such person, and prospective
investors should thus consider all of the Mortgage Loans to be nonrecourse. None
of the Mortgage Loans is insured or guaranteed by the United States, any
governmental entity or instrumentality, or any private mortgage insurer. See
"Risk Factors--The Mortgage Loans--Limited Recourse" herein.
Twenty-five of the Mortgage Loans, which represent 13.8% of the Initial
Pool Balance, are secured by liens on Mortgaged Properties located in New York,
and 18 of the Mortgage Loans, which represent 13.4% of the Initial Pool Balance,
are secured by liens on Mortgaged Properties located in California. See
"--Certain Legal Aspects of Mortgage Loans Under New York and California Law"
below. The remaining Mortgaged Properties are located
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throughout 31 other states, with no more than 8.4% of the Initial Pool Balance
secured by Mortgaged Properties located in any such other state.
Seventy-one of the Mortgage Loans (the "Citibank Mortgage Loans"), which
represent 58.2% of the Initial Pool Balance, are currently held by Citibank,
N.A. (in such capacity, the "Mortgage Loan Seller"), a commonly controlled
affiliate of the Sponsor and were acquired by the Mortgage Loan Seller from
various unaffiliated banks, savings institutions and other entities in the
secondary market and/or acquired pursuant to various conduit programs.
Eighty-six of the Mortgage Loans (the "ContiTrade Mortgage Loans"), which
represent 39.7% of the Initial Pool Balance, are currently held by ContiTrade
Services L.L.C. ("ContiTrade"), an indirectly wholly-owned subsidiary of
ContiFinancial Corporation. Continental Grain Company currently owns
approximately 81% of ContiFinancial Corporation's outstanding capital stock. The
ContiTrade Mortgage Loans were acquired by ContiTrade from First Security
Commercial Mortgage, L.P. ("First Security"), Parallel Capital Corporation
("Parallel Capital", and together with First Security, the "ContiTrade Mortgage
Loan Originators") or third parties in the secondary market or pursuant to
ContiTrade's conduit program. The Mortgage Loans that ContiTrade acquired from
First Security and Parallel Capital were originated by the respective ContiTrade
Mortgage Loan Originator. Five of the Mortgage Loans (the "PNC Mortgage Loans"),
which represent 2.1% of the Initial Pool Balance, were originated and are
currently held by PNC Bank, National Association ("PNC Bank"). The ContiTrade
Mortgage Loans and the PNC Mortgage Loans will be sold to the Mortgage Loan
Seller by ContiTrade and PNC Bank, respectively, on or before the Delivery Date.
On or before the Delivery Date (but after the transfer of the ContiTrade
Mortgage Loans and the PNC Mortgage Loans to the Mortgage Loan Seller), the
Mortgage Loan Seller will, at the direction of the Sponsor, transfer all of the
Mortgage Loans, without recourse, to the Trustee for the benefit of the
Certificateholders. See "--The Mortgage Loan Seller" and "--Assignment of the
Mortgage Loans; Repurchase" below.
Certain Terms and Conditions of the Mortgage Loans
Due Dates. All of the Mortgage Loans provide for scheduled payments of
principal and/or interest ("Monthly Payments") to be due on the first day of
each month (as to each Mortgage Loan, the "Due Date"), except that, in the case
of certain Mortgage Loans, the related Balloon Payment (as defined below) may be
due on a day other than the first day of the month. In general, all of the
Mortgage Loans provide for a grace period of not more than ten days.
Mortgage Rates; Calculations of Interest. All of the Mortgage Loans accrue
interest on the basis of a 360-day year consisting of twelve 30-day months.
One-hundred and fifty-two of the Mortgage Loans (the "Fixed-Rate Loans"),
representing 93.3% of the Initial Pool Balance, bear interest at a rate per
annum (a "Mortgage Rate") that is fixed for the remaining term of the Mortgage
Loan. Ten of the Mortgage Loans (the "ARM Loans"), representing 6.7% of the
Initial Pool Balance, accrue interest at Mortgage Rates that are subject to
adjustment on a semi-annual (or, in two such cases, a monthly) basis following
the Cut-off Date, generally, by adding a specified percentage (a "Gross Margin")
to the value of a base index (an "Index"), subject to rounding conventions and
specified minimum and maximum Mortgage Rates.
For purposes of calculating distributions on the Certificates, the Mortgage
Pool has been divided into two sub-pools (each, a "Loan Group"), designated as
"Loan Group 1" and "Loan Group 2," respectively, based generally upon the
Mortgage Rates for the Mortgage Loans. Loan Group 1, which will have an
aggregate Cut-off Date Balance of $29,966,951 (the "Initial Group 1 Balance"),
consists of the eight ARM Loans that provide for semi-annual adjustments to
their respective Mortgage Rates. Loan Group 2, which will have an aggregate
Cut-off Date Balance of $452,390,861 (the "Initial Group 2 Balance"), consists
of the Fixed-Rate Loans and the two ARM Loans that provide for monthly
adjustments to their respective Mortgage Rates. As of the Cut-off Date, the
Mortgage Rates of the Mortgage Loans will range from 7.36% to 10.875% per annum,
and the weighted average Mortgage Rate of the Mortgage Loans will be 8.69% per
annum; the Mortgage Rates of the Group 1 Loans will range from 8.0% to 8.625%
per annum, and the weighted average Mortgage Rate of such Mortgage Loans will be
8.21% per annum; and the Mortgage Rates of the Group 2 Loans will range from
7.36% to 10.875% per annum, and the weighted average Mortgage Rate of such
Mortgage Loans will be 8.72% per annum.
The ARM Loans. The ARM Loans are subject to minimum and maximum lifetime
Mortgage Rates, in each case as described herein. The eight ARM Loans
constituting Loan Group 1 represent 6.2% of the Initial Pool Balance and provide
that Mortgage Rate adjustments may occur semi-annually in April and October, and
the two ARM Loans included in Loan Group 2 represent 0.5% of the Initial Pool
Balance and provide that Mortgage Rate adjustments may
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occur monthly. Any date on which the Mortgage Rate for any ARM Loan is subject
to adjustment is herein referred to as a "Mortgage Rate Adjustment Date" for
such Mortgage Loan.
Five of the ARM Loans in Loan Group 1 have minimum lifetime Mortgage Rates
of 6.0% per annum, and the remaining three ARM Loans in Loan Group 1 have
minimum lifetime Mortgage Rates of 6.375%, 7.8125% and 8.625% per annum,
respectively. The two ARM Loans in Loan Group 2 have minimum lifetime Mortgage
Rates of 9.75% and 9.875% per annum, respectively.
Five of the ARM Loans in Loan Group 1 have maximum lifetime Mortgage Rates
of 11.75% per annum, and the remaining three ARM Loans in Loan Group 1 have
maximum lifetime Mortgage Rates of 12.5625%, 12.625% and 12.875% per annum,
respectively. The two ARM Loans in Loan Group 2 have maximum lifetime Mortgage
Rates of 13.75% and 13.875% per annum, respectively.
The Monthly Payments on each ARM Loan are subject to adjustment in response
to changes in the related Mortgage Rate to an amount that would amortize fully
the principal balance of the Mortgage Loan over its then remaining amortization
term and pay one month's interest thereon at the applicable Mortgage Rate.
Each Group 1 Loan has a Gross Margin of 2.75% per annum and each of the two
ARM Loans in Loan Group 2 has a Gross Margin of 3.75% per annum. The weighted
average Gross Margin of all of the ARM Loans is 2.82% per annum.
The Loan Group 1 Loans are subject to Mortgage Rate adjustments based on
Six-Month LIBOR, as calculated below. With respect to five of the ARM Loans in
Loan Group 1 (the "Six-Month LIBOR Formula 1 Loans"), "Six-Month LIBOR" is
determined on each LIBOR Determination Date by reference to the offered
quotations appearing on the display page designated as "LIBO" on the Reuters
Monitor Money Rates Service or such other page as may replace the LIBO page (the
"Reuters Screen LIBO Page") for six-month United States dollar deposits in the
London interbank market, as of 11:00 a.m. (London time) on such LIBOR
Determination Date. If on any LIBOR Determination Date two or more such offered
quotations appear on the Reuters Screen LIBO page, Six-Month LIBOR for the
immediately succeeding LIBOR Reference Period will be equal to the arithmetic
mean of such offered quotations (rounded upwards, if necessary, to the nearest
whole multiple of 1/16%). If on any LIBOR Determination Date fewer than two such
offered quotations appear on the Reuters Screen LIBO Page, Six-Month LIBOR for
the immediately succeeding LIBOR Reference Period will be equal to the
arithmetic mean of the quotations offered by the Reference Banks for six-month
United States dollar deposits in the London Interbank Market, as of 11:00 a.m.
(London time) on such LIBOR Determination Date (rounded upwards, if necessary,
to the nearest whole multiple of 1/16%); provided, however, that (i) if only one
Reference Bank offers such a quotation, Six-Month LIBOR for the immediately
succeeding LIBOR Reference Period will be equal to that quotation (rounded
upwards, if necessary, to the nearest whole multiple of 1/16%), or (ii) if no
Reference Banks offer such a quotation, Six-Month LIBOR for the immediately
succeeding LIBOR Reference Period will be Six-Month LIBOR as determined on the
previous LIBOR Determination Date. The foregoing calculation of Six-Month LIBOR
is herein referred to as "Six-Month LIBOR Formula 1".
With respect to the other three ARM Loans in Loan Group 1, "Six-Month
LIBOR" is determined on each LIBOR Determination Date and, for the immediately
succeeding LIBOR Reference Period, is equal to the rate of interest per annum
(determined on a 360-day year, actual days elapsed basis) offered by the
principal office of Citibank, N.A. in London to prime banks in the London inter
market at 10:00 a.m. (London time) on such LIBOR Determination Date as the rate
per annum at which such principal office of Citibank, N.A. in London would be
willing to make a deposit with such prime banks in an amount equal to $1,000,000
during such LIBOR Reference Period.
A "LIBOR Determination Date" is the day that is two LIBOR Business Days
prior to the first day of each LIBOR Reference Period. A "LIBOR Reference
Period" is each successive six-month calendar period, commencing on the first
day of April and October of each year and ending on the day preceding the next
LIBOR Reference Period. "Reference Banks" are leading banks engaged in
transactions in Eurodollar deposits in the international Eurocurrency market
with an established place of business in London. A "LIBOR Business Day" is each
day on which commercial banks are open for domestic and international business
(including dealings in U.S. Dollar deposits) in London and New York City.
The two ARM Loans in Loan Group 2 are subject to Mortgage Rate adjustments
based on the average of the interbank offered rates for one-month United States
dollar deposits in the London market.
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Amortization of Principal. One-hundred and fifty-two of the Mortgage Loans
(the "Balloon Loans"), which represent 96.8% of the Initial Pool Balance,
provide for monthly payments of principal based on amortization schedules
significantly longer than their remaining terms, thereby leaving substantial
principal amounts due and payable (each such payment, together with the
corresponding interest payment, a "Balloon Payment") on their respective
maturity dates, unless previously prepaid. Ten of the Mortgage Loans, which
represent 3.2% of the Initial Pool Balance, are self-amortizing (the
"Self-Amortizing Loans"). The original term to stated maturity of each Mortgage
Loan was between 6 and 25 years. The original amortization schedules of the
Mortgage Loans ranged from 12 to 30 years. As of the Cut-off Date, the remaining
terms to stated maturity of the Mortgage Loans will range from 42 months to 279
months, and the weighted average remaining term to stated maturity of the
Mortgage Loans will be 110 months; the remaining terms to stated maturity of the
Group 1 Loans will range from 62 months to 99 months, and the weighted average
remaining term to stated maturity of such Mortgage Loans will be 90 months; and
the remaining terms to stated maturity of the Group 2 Loans will range from 42
months to 279 months, and the weighted average remaining term to stated maturity
of such Mortgage Loans will be 111 months. As of the Cut-off Date, the remaining
amortization terms of the Mortgage Loans will range from 113 months to 359
months, and the weighted average remaining amortization term of the Mortgage
Loans will be 311 months; the remaining amortization terms of the Group 1 Loans
will range from 278 months to 341 months, and the weighted average remaining
amortization term of such Mortgage Loans will be 327 months; and the remaining
amortization terms of the Group 2 Loans will range from 113 months to 359
months, and the weighted average remaining amortization term of such Mortgage
Loans will be 310 months. See "Risk Factors--The Mortgage Loans--Balloon
Payments" herein. No Mortgage Loan permits negative amortization or the deferral
of accrued interest.
Prepayment Provisions. As of the Cut-off Date, 161 Mortgage Loans, which
represent 100.0% of the Initial Loan Group 1 Balance, 97.3% of the Initial Loan
Group 2 Balance and 97.4% of the Initial Pool Balance, either (a) prohibit
voluntary principal prepayments, in whole or in part, prior to a specified date
(each, a "Lock-Out Expiration Date") (76 Mortgage Loans, which represent zero
percent of the Initial Loan Group 1 Balance, 61.5% of the Initial Loan Group 2
Balance and 57.7% of the Initial Pool Balance), which in no such case occurs
earlier than February 1, 1997 or later than May 1, 2003, or (b) (without
duplication of clause (a) above) require for a specified period that any
voluntary principal prepayment be accompanied by an additional premium, penalty,
or fee (a "Prepayment Premium") (85 Mortgage Loans, which represent 100.0% of
the Initial Loan Group 1 Balance, 35.7% of the Initial Loan Group 2 Balance and
39.7% of the Initial Pool Balance). Of the 76 Mortgage Loans that, as of the
Cut-off Date, prohibit voluntary principal prepayments, in whole or in part,
prior to a Lock-Out Expiration Date, all of such Mortgage Loans also require,
for a specified period following the related Lock-Out Expiration Date that any
voluntary principal prepayment be accompanied by a Prepayment Premium.
Prepayment Premiums are generally calculated either as a percentage (which
declines over time) of the principal amount prepaid or on the basis of a yield
maintenance formula (subject, in certain instances, to a minimum equal to a
specified percentage of the principal amount prepaid). The prepayment terms of
each of the Mortgage Loans are more particularly described in Annex A hereto.
As more fully described herein, Prepayment Premiums actually collected on
the Mortgage Loans will be distributed to the respective Classes of
Certificateholders in the amounts and priorities described under "Description of
the Certificates--Distributions--Distributions of Prepayment Premiums" herein.
The Sponsor makes no representation as to the enforceability of the provision of
any Mortgage Loan requiring the payment of a Prepayment Premium or as to the
collectability of any Prepayment Premium. See "Risk Factors--The Mortgage
Loans--Prepayment Premiums" herein and "Certain Legal Aspects of Mortgage
Loans--Default Interest and Limitations on Prepayments" in the Prospectus.
Cross-Collateralized Mortgage Loans. Seven separate sets of Mortgage Loans
(the "Cross-Collateralized Mortgage Loans") representing 3.0%, 1.9%, 0.8%, 0.8%,
0.7%, 0.5% and 0.2% of the Initial Pool Balance, respectively, are, solely as
among the Cross-Collateralized Mortgage Loans in each such particular set,
cross-defaulted and cross-collateralized with each other. All of the
Cross-Collateralized Mortgage Loans are Group 2 Loans.
With respect to the seven such sets of Cross-Collateralized Mortgage Loans,
the aggregate principal amount of each Mortgage Loan is evidenced by a separate
Mortgage Note and secured by a separate Mortgage, which Mortgage contains
provisions creating the cross-collateralization and cross-default arrangements.
With respect to two sets of Cross-Collateralized Mortgage Loans, representing
1.9% and 0.7% of the Initial Pool Balance, respectively, the
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borrower may release a Mortgaged Property from the lien of the related Mortgage
upon payment of a release price as specified in the related loan documentation;
and, with respect to one set of Cross-Collateralized Mortgage Loans,
representing 0.8% of the Initial Pool Balance, the borrower may release a
Mortgaged Property from the lien of the related Mortgage upon payment of a
release price as specified in the related loan documentation if the debt service
coverage ratio equals or exceeds 1.6x. See Annex A hereto for information
regarding the Cross-Collateralized Mortgage Loans and see "Risk Factors--The
Mortgage Loans--Limitations on Enforceability of Cross-Collateralization"
herein.
Four of the Mortgage Loans, representing 2.5%, 1.4%, 0.9% and 0.7%,
respectively, of the Initial Pool Balance, are, in each such case, without
regard to the cross-collateralization described in the previous paragraph,
secured by one or more Mortgages encumbering multiple Mortgaged Properties. With
respect to each such Mortgage Loan, the related Mortgaged Properties are located
in the same state and are of the same property type. The Mortgage Loan
documentation with respect to one of such Mortgage Loans permits the borrower to
release a Mortgaged Property from the lien of the related Mortgage upon payment
of a release price as specified in the related Mortgage Note. Each of these four
Mortgage Loans is evidenced by a single Mortgage Note, and despite the related
multiple Mortgaged Properties, none is treated as a set of Cross-Collateralized
Mortgage Loans. Accordingly, the total number of Mortgage Loans reflected herein
is 162, while the total number of Mortgaged Properties reflected herein is 176.
"Due-on-Sale" and "Due-on-Encumbrance" Provisions. All of the Mortgage
Loans contain both "due-on-sale" and "due-on-encumbrance" clauses that in each
case, subject to limited exception, permit the holder of the Mortgage to
accelerate the maturity of the related Mortgage Loan if the borrower sells or
otherwise transfers or encumbers the related Mortgaged Property or prohibit the
borrower from doing so without the consent of the holder of the Mortgage. See
"--Additional Mortgage Loan Information--Subordinate Financing" herein. The
Master Servicer or the Special Servicer, as applicable, will determine, in a
manner consistent with the servicing standard described herein under "Servicing
of the Mortgage Loans--General", whether to exercise any right the holder of any
Mortgage may have under any such clause to accelerate payment of the related
Mortgage Loan upon, or to withhold its consent to, any transfer or further
encumbrance of the related Mortgaged Property; provided, however, that neither
the Master Servicer nor the Special Servicer shall waive any right it has, or
grant any consent that it may otherwise withhold, under any related
"due-on-encumbrance" clause until it has received written confirmation from each
Rating Agency that such action would not result in the downgrade, qualification
or withdrawal of the rating then assigned by any Rating Agency to any Class of
Certificates. See "Description of the Pooling Agreements--Due-on-Sale and
Due-on-Encumbrance Provisions" and "Certain Legal Aspects of Mortgage
Loans--Due-on-Sale and Due-on-Encumbrance" in the Prospectus.
Additional Mortgage Loan Information
General. For a detailed presentation of certain characteristics of the
Mortgage Loans and Mortgaged Properties, on an individual basis and in tabular
format, see Annex A hereto. Certain capitalized terms that appear herein are
defined in Annex A.
Delinquencies. As of the Cut-off Date, no Mortgage Loan will be 30 days or
more delinquent in respect of any Monthly Payment.
Tenant Matters. Thirty-three Mortgaged Properties, which represent security
for 28.5% of the Initial Pool Balance, are leased in large part to one or more
Major Tenants or are wholly or in large part owner-occupied. Four companies are
Major Tenants or Anchor Tenants with respect to more than one Mortgage Loan,
with such groups of Mortgage Loans representing 4.6%, 1.9%, 1.1% and 0.7% of the
Initial Pool Balance. With respect to one Mortgage Loan, which represents 0.2%
of the Initial Pool Balance, the sole tenant has vacated the premises; however,
the borrower is current with respect to its payments under the related Mortgage
Note, principals of the borrower have personally guaranteed the borrower's
payments under the related Mortgage Note up to 25% of the principal amount of
the Mortgage Note and the originator of such Mortgage Loan has guaranteed twelve
months of the borrower's payments under the related Mortgage Note. With respect
to a second Mortgage Loan, which represents 0.3% of the Initial Pool Balance,
the sole tenant has filed a petition under Chapter 11 of the U.S. Bankruptcy
Code; however, the borrower is current with respect to its payments under the
related Mortgage Note, and the former parent company has guaranteed the tenant's
lease payments in an amount that equals approximately 94% of the borrower's
payments under the Mortgage Note until July 31, 2000 (the maturity date of the
Mortgage Loan is October 1, 2005). The Sponsor believes that the below-market
lease rental rate and the tenant's prior performance at the Mortgaged Property
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make it unlikely that the tenant would not ratify the lease contract. However,
as a result of the filing of the bankruptcy petition, no assurance can be given
that the borrower will continue to make timely payments under the related
Mortgage Note.
With respect to one Mortgage Loan, which represents 1.6% of the Initial
Pool Balance and is secured by a Multifamily Mortgaged Property, a recent site
inspection by the Mortgage Loan Seller indicated that items of deferred
maintenance exist at the Mortgaged Property and that the Mortgaged Property has
experienced a notable deterioration in tenant quality. Such circumstances may
materially and adversely affect the property's ability to attract and keep
tenants. While the borrower is current with respect to its payments under the
related Mortgage Note, no assurance can be given that the borrower will continue
to make timely payments under the related Mortgage Note.
"Major Tenants" means the two largest tenants of a Commercial Mortgaged
Property, provided that each tenant rents at least 20% of the Leasable Square
Footage (as defined in Annex A) at such property. "Anchor Tenant" means a tenant
of a retail or office Mortgaged Property that, because of characteristics such
as size, diversity of merchandise, name recognition and/or range of advertising,
attracts customers to the property from a broad geographic area in a manner that
benefits all of the tenants of such Mortgaged Property.
Ground Leases. Four Mortgage Loans, which represent 2.5% of the Initial
Pool Balance, are secured by first mortgage liens on the applicable borrower's
leasehold interest in the related Mortgaged Property. None of the related ground
leases expire less than ten years after the stated maturity of the related
Mortgage Loan, and the borrower's estate, which is encumbered by the leasehold
mortgage, is not likely to be altered or terminated during the term of the
related Mortgage Loan, provided that the ground lessor recognizes any
non-disturbance rights of the borrower. With respect to three of such Mortgage
Loans, the related ground lessor has subordinated its interest in the Mortgaged
Property to the interest of the holder of the related Mortgage Loan. With
respect to the fourth of such Mortgage Loans, the related ground lessor has
granted the holder of the Mortgage Loan the right to cure any default or breach
by the lessee. See "Certain Legal Aspects--Foreclosure--Leasehold Risks" in the
Prospectus.
Subordinate Financing. Two of the Mortgaged Properties, which represent
security for 1.5% of the Initial Pool Balance, are encumbered by subordinated
debt. In each of such cases, the holder of the subordinated debt has agreed not
to foreclose for so long as the related Mortgage Loan is outstanding, and the
Trust Fund is not pursuing a foreclosure action. All of the Mortgage Loans
either prohibit the related borrower from encumbering the Mortgaged Property
with additional secured debt or require the lender's consent prior to so
encumbering such property. Other than as indicated above, the Sponsor is unable
to confirm if any other subordinate financing currently encumbers any Mortgaged
Property and no assurance can be given that subordinate financing will not exist
as to any Mortgaged Property in the future. See "Risk Factors--The Mortgage
Loans--Risks of Subordinate Financing".
The existence of subordinated indebtedness may increase the difficulty
of refinancing the related Mortgage Loan at maturity and the possibility that
reduced cash flow could result in deferred maintenance. Also, in the event that
the holder of the subordinated debt has filed for bankruptcy or been placed in
involuntary receivership, foreclosing on the Mortgaged Property could be
delayed. See "Risk Factors--The Mortgage Loans--Risks of Subordinate Financing"
and "Certain Legal Aspects of Mortgage Loans--Subordinate Financing" in the
Prospectus.
Certain Underwriting Matters
Environmental Assessments. Each of the Mortgaged Properties was subject to
a "Phase I" environmental assessment or an update of a previously conducted
assessment, which assessment or update was conducted generally in accordance
with industry-wide standards, on or after January 1, 1994, in connection with
the origination, or the Mortgage Loan Seller's acquisition, of the related
Mortgage Loan. No such assessment revealed any material adverse environmental
condition or circumstance at any Mortgaged Property, except in those cases in
which an operations and maintenance plan, periodic monitoring of nearby
properties or the establishment of an escrow reserve to cover the estimated cost
of remediation was recommended, which recommendations are consistent with
industry wide practices, and which recommended actions have been or are expected
to be implemented. In addition, with respect to one Mortgage Loan, which
represents 0.6% of the Initial Pool Balance, certain subsurface contamination
has been identified at the related Mortgaged Property and the responsible tenant
has agreed in writing to remediate the soil contamination and any ground water
contamination and to be responsible for the cost of any such remediation.
The information contained herein is based on the environmental assessments
and has not been independently verified by the Sponsor, the Mortgage Loan
Seller, ContiTrade, PNC Bank, the Underwriters, the Master Servicer, the Special
Servicer, the Trustee, the REMIC Administrator, or any of their respective
affiliates.
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Property Condition Assessments. Inspections of all of the Mortgaged
Properties (or updates of previously conducted inspections) were conducted by
independent licensed engineers prior either to origination of the related
Mortgage Loan or following origination but prior to the Delivery Date. Such
inspections were generally commissioned to inspect the exterior walls, roofing,
interior construction, mechanical and electrical systems and general condition
of the site, buildings and other improvements located at a Mortgaged Property.
With respect to certain of the Mortgage Loans, the resulting reports indicated a
variety of deferred maintenance items and recommended capital improvements. The
estimated cost of the necessary repairs or replacements at a Mortgaged Property
was included in the related property condition assessment. In some (but not all)
instances, cash reserves were established to fund such deferred maintenance or
replacement items.
Appraisals and Market Studies. An appraisal of each of the related
Mortgaged Properties was performed (or an existing appraisal updated) on or
after June 1, 1993 in conjunction with the origination, or the Mortgage Loan
Seller's acquisition, of each Mortgage Loan, by an independent MAI or
state-certified appraiser to establish that the appraised value of the related
Mortgaged Property or Properties exceeded the original principal balance of the
Mortgage Loan (or, in the case of a set of related Cross-Collateralized Mortgage
Loans, the aggregate original principal balance of such set). Each such
appraisal conforms to the appraisal guidelines set forth in Title XI of the
Federal Financial Institutions Reform, Recovery and Enforcement Act of 1989
("FIRREA"). In general, such appraisals represent the analysis and opinions of
the respective appraisers at or before the time made, and are not guarantees of,
and may not be indicative of, present or future value. There can be no assurance
that another appraiser would not have arrived at a different valuation, even if
such appraiser used the same general approach to and same method of appraising
the property. In addition, appraisals seek to establish the amount a typically
motivated buyer would pay a typically motivated seller. Such amount could be
significantly higher than the amount obtained from the sale of a Mortgaged
Property under a distress or liquidation sale.
None of the Sponsor, the Mortgage Loan Seller, the Underwriters,
ContiTrade, the Master Servicer, the Special Servicer, the Trustee, the REMIC
Administrator, or any of their respective affiliates has prepared or conducted
its own separate appraisal or reappraisal of any Mortgaged Property.
Zoning and Building Code Compliance. The Mortgage Loan Seller has attempted
to establish that the use and operation of the Mortgaged Properties were in
compliance in all material respects with all applicable zoning, land-use,
environmental, building, fire and health ordinances, rules, regulations and
orders applicable to the related Mortgaged Properties. Evidence of such
compliance may have been in the form of legal opinions, certifications from
government officials and/or representations by the related borrower contained in
the related Mortgage Loan documents. Certain violations may exist, but the
Mortgage Loan Seller does not consider them to be material. In many cases, the
use, operation and/or structure of the related Mortgaged Property constitutes a
permitted nonconforming use and/or structure, which may not be rebuilt to its
current state in the event of a material casualty event; however,it is expected
that insurance proceeds would be available for application to the related
Mortgage Loan if suchwere to occur.
Hazard, Liability and Other Insurance. Substantially all of the Mortgages
require that each Mortgaged Property be insured by a hazard insurance policy in
an amount (subject to a customary deductible) at least equal to the lesser of
the outstanding principal balance of the related Mortgage Loan and 100% of the
full insurable replacement cost of the improvements located on the related
Mortgaged Property, and if applicable, the related hazard insurance policy
contains appropriate endorsements to avoid the application of co-insurance and
does not permit reduction in insurance proceeds for depreciation; provided that,
in the case of certain of the Mortgage Loans, the hazard insurance may be in
such other amounts as was required by the related originators. In addition, if
any portion of a Mortgaged Property securing any Mortgage Loan was, at the time
of the origination of such Mortgage Loan, in an area identified in the Federal
Register by the Flood Emergency Management Agency as having special flood
hazards, and flood insurance was available, a flood insurance policy meeting any
requirements of the then current guidelines of the Federal Insurance
Administration is in effect with a generally acceptable insurance carrier, in an
amount representing coverage not less than the least of (1) the outstanding
principal balance of such Mortgage Loan, (2) the full insurable value of such
Mortgaged Property, (3) the maximum amount of insurance available under the
National Flood Insurance Act of 1968, as amended and (4) 100% of the replacement
cost of the improvements located on the related Mortgaged Property. In general,
the standard form of hazard insurance policy covers physical damage to, or
destruction of, the improvements on the Mortgaged Property by fire, lightning,
explosion, smoke, windstorm and hail, riot or strike and civil commotion,
subject to the conditions and exclusions set forth in each policy.
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Each Mortgage generally also requires the related borrower to maintain
comprehensive general liability insurance against claims for personal and bodily
injury, death or property damage occurring on, in or about the related Mortgaged
Property in an amount customarily required by institutional lenders.
Each Mortgage generally further requires the related borrower to maintain
business interruption insurance in an amount not less than 100% of the projected
rental income from the related Mortgaged Property for not less than six months.
In addition to the foregoing and to certain other policies required to be
maintained by each borrower pursuant to the related Mortgage, each Mortgage
generally further requires the borrower thereunder to maintain insurance
covering the major components of the central heating, air conditioning and
ventilating systems, boilers, other pressure vessels, high pressure piping and
machinery, elevators and escalators, if any, and any other similar equipment
installed in the improvements against physical damage thereto and loss of
occupancy and use of the improvements arising out of an accident or breakdown of
such equipment, in an amount at least equal to the full replacement cost of the
building(s) housing the equipment or, in the case of certain of the Mortgage
Loans, in amounts which are customarily required by institutional lenders.
Certain Legal Aspects of Mortgage Loans Under New York and California Law
General. As of the Cut-off Date, twenty-five of the Mortgage Loans, which
represent 13.8% of the Initial Pool Balance, are secured by liens on Mortgaged
Properties located in New York, and 18 of the Mortgage Loans, which represent
13.4% of the Initial Pool Balance, are secured by liens on Mortgaged Properties
located in California. The following discussion contains general summaries of
certain legal aspects of loans secured by income-producing properties in New
York and California. The summaries do not purport to be complete nor do the
summaries reflect the laws of any other state. The summaries relate only to the
topics covered and are qualified in their entirety by reference to the
applicable state laws being discussed. See also "Certain Legal Aspects of
Mortgage Loans" in the Prospectus.
New York. The Mortgage Loans relating to the Mortgaged Properties located
in New York will be secured by a Mortgage which provides for both judicial
foreclosure and non-judicial foreclosure. In practice, however, non-judicial
foreclosure has fallen into almost total disuse due to various procedural and
practical shortcomings, including very complex and technical procedural
requirements and the inability to obtain the appointmentof a receiver.
Upon a default and after the expiration of applicable grace and notice
periods, a mortgagee may commence a judicial foreclosure by filing a complaint
in the county where the mortgaged property is located and by serving a summons
and complaint on the owner of the mortgaged property and all defendants named
therein. All persons and entities having an interest in the mortgaged property
(and the borrower, if different from the owner of the mortgaged property) must
be named defendants in the complaint. Once a foreclosure action is commenced, it
is the practice in New York to file a lis pendens or notice of pendency in the
office of the county clerk for the county in which the mortgaged property is
located. Any person or entity acquiring an interest in the mortgaged property
after the filing of the lis pendens is bound by the foreclosure.
In most instances, the court having jurisdiction over the foreclosure
proceeding will appoint a referee to compute the sums due to the mortgagee and
to file an oath and report therewith. Once the oath and report is filed, the
mortgagee will apply for a confirmation of the report and a judgment of
foreclosure and sale.
Upon the entry of a judgment of foreclosure and sale in favor of the
mortgagee, and upon compliance with certain notice and publication requirements,
the mortgaged property will be sold to the highest bidder at a public auction
held in the county where the mortgaged property is located. The auction is
usually conducted by the referee. At any time prior to the close of the bidding
at the auction, the borrower may redeem the mortgaged property by paying the
mortgagee the full amount of the judgment of foreclosure and sale. The borrower
is not permitted to redeem the mortgaged property after the close of the
auction.
In the event that the proceeds received by the mortgagee at the auction are
less than the amount required to be paid pursuant to the judgment of foreclosure
and sale, and provided the loan documents so permit, the mortgagee will be
entitled to submit a motion for a deficiency judgment within 90 days after the
delivery of the deed to the purchaser at the auction. A motion for deficiency
judgment may only be submitted if the complaint commencing the foreclosure
action and the judgment of foreclosure and sale comply with certain
requirements. The amount of the deficiency is
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calculated by subtracting the greater of (i) the sale price received at the
auction or (ii) the fair market value of the mortgaged property on the date of
the auction from the amount of the total debt owed to the mortgagee.
California. Provided the deed of trust contains a private power of sale,
California law permits the beneficiary of a deed of trust (the lender) to
foreclose non-judicially or judicially upon a default by the trustor (the
property owner). If the deed of trust does not contain a private power of sale,
then the beneficiary may only foreclose judicially. The commencement of a
judicial foreclosure does not prevent a lender from foreclosing non-judicially,
or vice versa.
Most beneficiaries choose non-judicial foreclosure, because the process may
typically be completed within a much shorter time frame than judicial
foreclosure. However, a beneficiary is barred from obtaining a deficiency
judgment after a non-judicial foreclosure.
Non-judicial Foreclosure. A non-judicial foreclosure is conducted by the
trustee under the deed of trust and involves a public sale similar to an
auction. The trustee initiates a non-judicial foreclosure proceeding by
recording a Notice of Default and Election to Sell ("NOD") in the real property
records. Unless there are delays caused by the filing of a bankruptcy petition,
the issuance of an injunction or any other postponements ordered by a court, a
non-judicial foreclosure may be completed in as few as 111 days after the NOD is
recorded.
California law permits the trustor and any junior lienholders to reinstate
any monetary obligations secured by the foreclosing beneficiary's deed of trust
by paying the amount in default and certain other amounts prescribed by statute,
such as trustee's fees, attorneys' fees and other costs of enforcement, no later
than five business days before the date of the trustee's sale. Thus, if the
beneficiary declares the entire principal amount of the indebtedness to be due
because of the failure to pay an interest installment or some other amount, the
trustor is permitted to pay only the delinquent payment and the other amounts
prescribed by statute to prevent the trustee's sale. Upon payment of these
amounts, the balance of the loan is reinstated. The trustor and any junior
lienholders do not have any reinstatement rights with respect to nonmonetary
defaults; however, a non-judicial foreclosure for nonmonetary defaults may be
subject to equitable limitations or the reluctance of a trustee to conduct the
nonjudicial foreclosure sale. During the last five business days before the
sale, the trustor must pay the beneficiary the full amount of all obligations
due and owing to the beneficiary to prevent the trustee's sale.
The beneficiary may make a credit bid at the sale. All other bids must be
backed by cash or certain types of cash equivalents. The property is sold to the
party who makes the highest bid. Upon payment of the bid amount, the trustee
delivers a trustee's deed to the successful bidder.
Neither the trustor nor any junior lienholders have a right to redeem the
property following a non-judicial foreclosure sale. The beneficiary may not
obtain a deficiency judgment against the trustor in the event that the sales
proceeds from the trustee's sale are insufficient to satisfy the indebtedness.
Judicial Foreclosure. The beneficiary commences a judicial foreclosure by
filing a complaint after a default by the trustor. The beneficiary must name the
trustor and all junior lienholders as defendants in order for their interests in
the property to be extinguished by the foreclosure sale. The trustor can
reinstate a monetary obligation at any time before an entry of judgment by
paying the beneficiary the amount in default, its attorney's fees and costs and
expenses of enforcement.
Upon an entry of judgment in favor of the beneficiary and after the
expiration of certain notice periods, the property may be sold by the county
sheriff or a court-appointed receiver. At any time prior to the foreclosure
sale, the trustor may redeem the property by paying the beneficiary the full
amount of the judgment.
Only the beneficiary may make a credit bid at the sale. The property is
sold to the party who makes the highest bid. The party conducting the sale will
issue a deed to the successful bidder after payment of the purchase price and
the expiration of the applicable redemption period.
The trustor is entitled to maintain possession of the property during the
applicable redemption period. The trustor has a right to redeem the property
after a judicial foreclosure sale,unless the beneficiary waived its right to a
deficiency judgment or the beneficiary was prohibited from seeking a deficiency
judgment, in which case no post sale right of redemption exists. If the trustor
has a right to redeem the property, the period during which the property may be
redeemed is three months from the date of sale if the proceeds of the sale were
sufficient to satisfy the debt, or one year if the proceeds were insufficient to
satisfy the debt. Junior lienholders do not have a right to redeem the property
unless the junior lien was created before July 1, 1983.
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If the beneficiary desires a deficiency judgment and is not otherwise
prohibited from obtaining one, the beneficiary must file an application with the
court within three months of the foreclosure sale. A deficiency judgment may not
exceed the difference between the indebtedness and the fair value of the
property, as determined by the court.
California's "One-Action" Rule. In addition to the anti-deficiency rules
discussed above, a beneficiary's ability to enforce an obligation secured by
real property is subject to California's "one-action" rule. Among other things,
the one-action rule provides that any suit by a beneficiary to enforce any
obligation secured by real property must include an action for judicial
foreclosure. In that respect, the one-action rule requires the beneficiary to
exhaust the collateral before seeking a judgment against the trustor or
otherwise proceeding against property of the trustor that is not pledged as
security for the indebtedness. A non-judicial foreclosure proceeding is not an
"action" for purposes of the one-action rule, but, as discussed above, no
deficiency judgment is available after a non-judicial foreclosure.
A beneficiary who violates the one-action rule may be deemed to have waived
its security for the indebtedness and, in some cases, may be prevented from
collecting the indebtedness altogether.
The Mortgage Loan Seller
The Mortgage Loan Seller was originally organized on June 16, 1812, and now
is a national banking association organized under the National Bank Act of 1864.
The Mortgage Loan Seller is a wholly-owned indirect subsidiary of Citicorp (a
Delaware corporation). The Mortgage Loan Seller is Citicorp's principal
subsidiary. As of March 31, 1996, the total assets of the Mortgage Loan Seller
and its consolidated subsidiaries represented approximately 81% of the total
assets of Citicorp and its consolidated subsidiaries. The Mortgage Loan Seller
is a commercial bank offering a wide range of banking and trust services to its
customers in the New York City metropolitan area and, through its subsidiaries
and affiliates, in Ivarious parts of the United States and around the world.
The Consolidated Balance Sheets of the Mortgage Loan Seller as of December
31, 1995 and as of December 31, 1994 are set forth in the Annual Report and Form
10-K of Citicorp and its subsidiaries for the year ended December 31, 1995 and
as of March 31, 1996 are set forth in the Financial Review and Form 10-Q for the
quarter ended March 31, 1996. Consolidated Balance Sheets of the Mortgage Loan
Seller subsequent to March 31, 1996 will be included in the Form 10-Q's
(quarterly) and Form 10-K's (annually) subsequently filed by Citicorp with the
Securities and Exchange Commission (the "SEC"), which will be filed not later
than 45 days after the end of the calendar quarter or 90 days after the end of
the calendar year to which the report relates. For further information regarding
Citibank, reference is made to the March 1996 10-Q and to any subsequent reports
on Forms 10-K, 10-Q or 8-K filed by Citicorp with the SEC, which are
incorporated herein by reference. All such reports are available from the SEC,
450 Fifth Street, NW, Washington, D.C. 20549 at prescribed rates.
The information set forth herein concerning the Mortgage Loan Seller has
been provided by the Mortgage Loan Seller, and the Sponsor makes no
representation or warranty as to the accuracy or completeness of such
information.
Assignment of the Mortgage Loans; Repurchases
On or prior to the Delivery Date, at the direction of the Sponsor, the Mortgage
Loan Seller will assign the Mortgage Loans, without recourse, to the Trustee for
the benefit of the Certificateholders. In connection with such assignment, the
Mortgage Loan Seller will be required in accordance with the Pooling Agreement
to deliver the following documents, among others, to the Trustee with respect to
each Mortgage Loan: (a) the original Mortgage Note, endorsed (without recourse)
to the order of Trustee; (b) the original or a copy of the related Mortgage(s),
together with originals or copies of any intervening assignments of such
document(s), in each case with evidence of recording thereon; (c) the original
or a copy of any related assignment(s) of rents and leases (if any such item is
a document separate from the Mortgage), together with originals or copies of any
intervening assignments of such document(s), in each case with evidence of
recording thereon; (d) an assignment of each related Mortgage in favor of the
Trustee, in recordable form; (e) an assignment of any related assignment(s) of
rents and leases (if any such item is a document separate from the Mortgage) in
favor of the Trustee, in recordable form; (f) an original or copy of the related
lender's title insurance policy (or, if a title insurance policy has not yet
been issued, a commitment for title insurance "marked-up" at the closing of such
Mortgage Loan); and (g) in the case of four Mortgage Loans, the related ground
lease.
The Trustee will be required to review the documents delivered thereto by
the Mortgage Loan Seller with respect to each Mortgage Loan within a specified
period following such delivery, and the Trustee will hold the related
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documents in trust. If it is found during the course of such review or at any
other time that any of the above-described documents was not delivered with
respect to any Mortgage Loan or that any such document is defective, and in
either case such omission or defect materially and adversely affects the value
of the related Mortgage Loan or the interests of Certificateholders therein, and
if the Mortgage Loan Seller cannot deliver the document or cure the defect
within a period of 120 days following its receipt of notice of such omission or
defect, then, except as otherwise provided below, the Mortgage Loan Seller will
be obligated to repurchase (or cause an affiliate to purchase) the affected
Mortgage Loan within such 120-day period at a price (the "Purchase Price")
generally equal to the unpaid principal balance of such Mortgage Loan, together
with any accrued but unpaid interest thereon to but not including the Due Date
in the Collection Period of the repurchase, and any related unreimbursed
Servicing Advances (as defined herein). This cure/repurchase obligation will
constitute the sole remedy available to the Certificateholders for any failure
on the part of the Mortgage Loan Seller to deliver any of the above-described
documents with respect to any Mortgage Loan or for any defect in any such
document, and neither the Sponsor nor any of its other affiliates will be
obligated to repurchase the affected Mortgage Loan if the Mortgage Loan Seller
defaults on its obligation to do so. Notwithstanding the foregoing, if any of
the above-described documents is not delivered with respect to any Mortgage Loan
because it has been submitted for recording, and neither such document nor a
copy thereof, in either case with evidence of recording thereon, can be obtained
because of delays on the part of the applicable recording office, then the
Mortgage Loan Seller will not be required to repurchase (or cause an affiliate
to purchase) the affected Mortgage Loan on the basis of such missing document so
long as it continues in good faith to obtain such document or such copy.
The Pooling Agreement will require the Master Servicer to cause within a
specified number of days following the Delivery Date the assignments in favor of
the Trustee with respect to each Mortgage Loan described in clauses (d) and (e)
of the second preceding paragraph to be submitted for recording in the real
property records of the appropriate jurisdictions. See "Description of the
Pooling Agreements--Assignment of Mortgage Loans; Repurchases" in the
Prospectus.
Representations and Warranties; Repurchases
In the Pooling Agreement, the Mortgage Loan Seller will be required
to represent and warrant with respect to the Mortgage Loans as of the Delivery
Date or as of such other date specifically provided in the related
representation or warranty, among other things, substantially to the effect
that: (i) the information set forth in the schedule of Mortgage Loans (the
"Mortgage Loan Schedule") attached to the Pooling Agreement (which will contain
a limited portion of the information set forth in Annex A) is true and correct
in all material respects as of the Cut-off Date; (ii) each Mortgage securing a
Mortgage Loan is a valid first lien on the related Mortgaged Property subject
only to (A) the lien of current real estate taxes and assessments not yet due
and payable, (B) covenants, conditions and restrictions, rights of way,
easements and other matters of public record, and (C) exceptions and exclusions
specifically referred to in the related lender's title insurance policy (the
exceptions set forth in the foregoing clauses (A), (B) and (C) collectively,
"Permitted Encumbrances"); (iii) immediately prior to the transfer thereof to
the Trustee, the Mortgage Loan Seller had good and marketable title to, and was
the sole owner and holder of, each Mortgage Loan and had full right and
authority to sell, assign and transfer each Mortgage Loan; (iv) the Mortgage(s)
and Mortgage Note for each Mortgage Loan and all other documents to which the
related borrower is a party and which evidence or secure such Mortgage Loan, are
the legal, valid and binding obligations of the related borrower (subject to any
non-recourse provisions contained in any of the foregoing agreements and any
applicable state anti-deficiency legislation), enforceable in accordance with
their respective terms, except as such enforcement may be limited by bankruptcy,
insolvency, reorganization, receivership, moratorium or other laws relating to
or affecting the rights of creditors generally and by general principles of
equity regardless of whether such enforcement is considered in a proceeding in
equity or at law; (v) no Mortgage Loan was, as of the Cut-off Date, 30 days or
more delinquent in respect of any Monthly Payment, without giving effect to any
applicable grace period; (vi) there is no valid offset, defense or counterclaim
to any Mortgage Loan; (vii) the Mortgage Loan Seller has not waived any material
default, breach, violation or event of acceleration existing under any Mortgage
or Mortgage Note; (viii) the Mortgage Loan Seller has not received actual notice
that (a) there is any proceeding pending or threatened for the total or partial
condemnation of any Mortgaged Property, or (b) there is any material damage at
any Mortgaged Property that materially and adversely affects the value of such
Mortgaged Property; (ix) all insurance coverage required under each Mortgage
securing a Mortgage Loan is in full force and effect with respect to the related
Mortgaged Property; (x) at origination, each Mortgage Loan complied in all
material respects with all requirements of federal and state law, including
those requirements
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pertaining to usury, relating to the origination of such Mortgage Loan; (xi)
since January 1, 1994, one or more environmental site assessments (or an update
of a previously conducted assessment) has been performed with respect to each
Mortgaged Property, and the Mortgage Loan Seller, having made no independent
inquiry other than reviewing the resulting report(s) and/or employing an
environmental consultant to perform the assessments referenced herein, has no
knowledge of any material and adverse environmental condition or circumstance
affecting such Mortgaged Property that was not disclosed in the related
report(s), and the statements set forth above under the caption "--Certain
Underwriting Matters--Environmental Assessments" are true and correct; (xii) the
lien of each Mortgage is insured by a title insurance policy issued by a
nationally recognized title insurance company that insures the originator, its
successors and assigns, as to the first priority lien of such Mortgage in the
original principal amount of the related Mortgage Loan after all advances of
principal, subject only to Permitted Encumbrances (or, if a title insurance
policy has not yet been issued in respect of any Mortgage Loan, a policy meeting
the foregoing description is evidenced by a commitment for title insurance
"marked-up" at the closing of such loan); (xiii) the proceeds of each Mortgage
Loan have been fully disbursed, and there is no requirement for future advances
thereunder; (xiv) the terms of the Mortgage Note and Mortgage(s) for each
Mortgage Loan have not been impaired, waived, altered or modified in any
material respect, except as specifically set forth in the related Mortgage File;
(xv) there are no delinquent taxes, ground rents, water charges, sewer rents,
insurance premiums, assessments, including assessments payable in future
installments, or other similar outstanding charges affecting the related
Mortgaged Property; and (xvi) except in four cases involving leasehold estates,
the related borrower's interest in each Mortgaged Property securing a Mortgage
Loan consists of a fee simple estate in real property.
If the Mortgage Loan Seller discovers or is notified of a breach of any of
the foregoing representations and warranties, which breach materially and
adversely affects the value of any Mortgage Loan or the interests of
Certificateholders therein, and if the Mortgage Loan Seller cannot cure such
breach within a period of 120 days following its discovery or receipt of notice
of such breach, then the Mortgage Loan Seller will be obligated to repurchase
(or cause an affiliate to purchase) the affected Mortgage Loan within such
120-day period at the applicable Purchase Price.
The foregoing cure/repurchase obligation will constitute the sole remedy
available to the Certificateholders for any breach of any of the foregoing
representations and warranties, and neither the Sponsor nor any of its other
affiliates will be obligated to repurchase any affected Mortgage Loan in
connection with a breach of such representations and warranties if the Mortgage
Loan Seller defaults on its obligation to do so. The Mortgage Loan Seller will
be the sole Warranting Party (as defined in the Prospectus) in respect of the
Mortgage Loans. See "Description of the Pooling Agreements--Representations and
Warranties; Repurchases" in the Prospectus.
Changes in Mortgage Pool Characteristics
The description in this Prospectus Supplement of the Mortgage Pool and the
Mortgaged Properties is based upon the Mortgage Pool as expected to be
constituted at the time the Offered Certificates are issued, as adjusted for the
scheduled principal payments due on the Mortgage Loans on or before the Cut-off
Date. Prior to the issuance of the Offered Certificates, a Mortgage Loan may be
removed from the Mortgage Pool if the Sponsor deems such removal necessary or
appropriate or if it is prepaid. A limited number of other mortgage loans may be
included in the Mortgage Pool prior to the issuance of the Offered Certificates,
unless including such Mortgage Loans would materially alter the characteristics
of the Mortgage Pool as described herein. The Sponsor believes that the
information set forth herein will be representative of the characteristics of
the Mortgage Pool as it will be constituted at the time the Offered Certificates
are issued, although the range of Mortgage Rates and maturities, as well as the
other characteristics of the Mortgage Loans described herein, may vary.
A Current Report on Form 8-K (the "Form 8-K") will be available to
purchasers of the Offered Certificates on or shortly after the Delivery Date and
will be filed, together with the Pooling Agreement, with the SEC within fifteen
days after the initial issuance of the Offered Certificates. In the event
Mortgage Loans are removed from or added to the Mortgage Pool as set forth in
the preceding paragraph, such removal or addition will be noted in the Form 8-K.
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SERVICING OF THE MORTGAGE LOANS
General
The Master Servicer and the Special Servicer, either directly or through
sub-servicers, will each be required to service and administer the respective
Mortgage Loans for which it is responsible, in the best interests and for the
benefit of the Certificateholders, in accordance with any and all applicable
laws, the terms of the Pooling Agreement, related insurance policies and the
respective Mortgage Loans and, to the extent consistent with the foregoing, the
following standard (the "Servicing Standard"): the same manner in which, and
with the same care, skill, prudence and diligence with which, the Master
Servicer or Special Servicer, as the case may be, generally services and
administers similar mortgage loans or assets, as applicable, for other
portfolios or held in its own portfolios, whichever servicing procedure is of a
higher standard, but without regard to (i) any relationship that the Master
Servicer or the Special Servicer, as the case may be, or any affiliate thereof
may have with the related borrower; (ii) the ownership of any Certificate by the
Master Servicer or the Special Servicer, as the case may be, or any affiliate
thereof; (iii) the Master Servicer's obligation to make Advances (as defined
herein); (iv) the Special Servicer's obligation to make (or to direct the Master
Servicer to make) Servicing Advances (as defined herein); and (v) the Master
Servicer's or the Special Servicer's, as the case may be, right to receive
compensation for its services under the Pooling Agreement or with respect to any
particular transaction.
In general, the Master Servicer will be responsible for the servicing and
administration of all the Mortgage Loans as to which no Servicing Transfer Event
(as defined herein) has occurred and all Corrected Mortgage Loans (as defined
herein), and the Special Servicer will be obligated to service and administer
each Mortgage Loan (other than a Corrected Mortgage Loan) as to which a
Servicing Transfer Event has occurred (each, a "Specially Serviced Mortgage
Loan") and each Mortgaged Property acquired in respect of a defaulted Mortgage
Loan on behalf of the Certificateholders through foreclosure, deed-in-lieu of
foreclosure or otherwise (upon acquisition, an "REO Property"). A "Servicing
Transfer Event" with respect to any Mortgage Loan consists of any of the
following events: (i) the related borrower has failed to make when due any
Balloon Payment, which failure has continued unremedied for 30 days; (ii) the
related borrower has failed to make when due any Monthly Payment (other than a
Balloon Payment) or any other payment required under the related Mortgage Note
or the related Mortgage(s), which failure continues unremedied for 60 days;
(iii) the Master Servicer has determined in its good faith and reasonable
judgment, that a default in the making of a Monthly Payment or any other payment
required under the related Mortgage Note or the related Mortgage(s) is likely to
occur within 30 days and is likely to remain unremedied for at least 60 days or,
in the case of a Balloon Payment, for at least 30 days; (iv) there shall have
occurred a default under the related loan documents, other than as described in
clause (i) or (ii) above, that materially impairs the value of the related
Mortgaged Property as security for the Mortgage Loan or otherwise materially and
adversely affects the interests of Certificateholders, which default has
continued unremedied for the applicable grace period under the terms of the
Mortgage Loan (or, if no grace period is specified, 60 days); (v) a decree or
order of a court or agency or supervisory authority having jurisdiction in the
premises in an involuntary case under any present or future federal or state
bankruptcy, insolvency or similar law or the appointment of a conservator or
receiver or liquidator in any insolvency, readjustment of debt, marshalling of
assets and liabilities or similar proceedings, or for the winding-up or
liquidation of its affairs, shall have been entered against the related borrower
and such decree or order shall have remained in force undischarged or unstayed
for a period of 60 days; (vi) the related borrower shall have consented to the
appointment of a conservator or receiver or liquidator in any insolvency,
readjustment of debt, marshalling of assets and liabilities or similar
proceedings of or relating to such borrower or of or relating to all or
substantially all of its property; (vii) the related borrower shall have
admitted in writing its inability to pay its debts generally as they become due,
filed a petition to take advantage of any applicable insolvency or
reorganization statute, made an assignment for the benefit of its creditors, or
voluntarily suspended payment of its obligations; and (viii) the Master Servicer
shall have received notice of the commencement of foreclosure or similar
proceedings with respect to the related Mortgaged Property or Properties. The
Master Servicer shall continue to collect information and prepare all reports to
the Trustee required under the Pooling Agreement with respect to any Specially
Serviced Mortgage Loans and REO Properties, and further to render incidental
services with respect to any Specially Serviced Mortgage Loans and REO
Properties as are specifically provided for in the Pooling Agreement. Neither
the Master Servicer nor the Special Servicer shall have any responsibility for
the performance by the other of its duties under the Pooling Agreement.
A Mortgage Loan will cease to be a Specially Serviced Mortgage Loan (and
will become a "Corrected Mortgage Loan" as to which the Master Servicer will
re-assume servicing responsibilities) at such time as such of the following
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as are applicable occur with respect to the circumstances identified above that
caused the Mortgage Loan to be characterized as a Specially Serviced Mortgage
Loan (and provided that no other Servicing Transfer Event then exists):
(w) with respect to the circumstances described in clauses (i) and
(ii) of the preceding paragraph, the related borrower has made three
consecutive full and timely Monthly Payments under the terms of such
Mortgage Loan (as such terms may be changed or modified in connection with
a bankruptcy or similar proceeding involving the related borrower or by
reason of a modification, waiver or amendment granted or agreed to by the
Special Servicer);
(x) with respect to the circumstances described in clauses (iii), (v),
(vi) and (vii) of the preceding paragraph, such circumstances cease to
exist in the good faith and reasonable judgment of the Special Servicer;
(y) with respect to the circumstances described in clause (iv) of the
preceding paragraph, such default is cured; and
(z) with respect to the circumstances described in clause (viii) of
the preceding paragraph, such proceedings are terminated.
The Master Servicer and Special Servicer will each be required to service
and administer the respective groups of related Cross-Collateralized Mortgage
Loans as a single Mortgage Loan as and when it deems necessary and appropriate,
consistent with the Servicing Standard. If any Cross-Collateralized Mortgage
Loan becomes a Specially Serviced Mortgage Loan, then each other Mortgage Loan
that is cross-collateralized with it shall also become a Specially Serviced
Mortgage Loan. Similarly, no Cross-Collateralized Mortgage Loan shall
subsequently become a Corrected Mortgage Loan, unless and until all Servicing
Transfer Events in respect of each other Mortgage Loan that is
cross-collateralized with it, are remediated or otherwise addressed as
contemplated above.
Set forth below is a description of certain pertinent provisions of the
Pooling Agreement relating to the servicing of the Mortgage Loans. Reference is
also made to the Prospectus, in particular to the section captioned "Description
of the Pooling Agreements," for additional important information regarding the
terms and conditions of the Pooling Agreement as such terms and conditions
relate to the rights and obligations of the Master Servicer and the Special
Servicer thereunder.
The Master Servicer
The following information has been provided by GMAC Commercial Mortgage
Corporation, a California corporation (the "Master Servicer"). None of the
Sponsor, the Underwriters, the Trustee, the REMIC Administrator, the Special
Servicer or any of their respective affiliates takes any responsibility therefor
or makes any representation or warranty as to the accuracy or completeness
thereof.
The principal servicing offices of the Master Servicer are located at 650
Dresher Road, Horsham, Pennsylvania 19044. As of May 31, 1996, the Master
Servicer had a net worth of approximately $36.7 million and was the servicer of
a portfolio of multifamily and commercial mortgage loans, secured by properties
located in 50 states and totalling approximately $18.3 billion in aggregate
outstanding principal amounts.
The Special Servicer
The following information has been provided by Hanford/Healy Asset
Management Company, a California general partnership (the "Special Servicer").
None of the Sponsor, the Underwriters, the Trustee, the REMIC Administrator, the
Master Servicer or any of their respective affiliates takes any responsibility
therefor or makes any representation or warranty as to the accuracy or
completeness of such information.
The Special Servicer is a privately owned company whose principal
headquarters offices are located in San Francisco, California. The Special
Servicer is part of The Hanford/Healy Companies, a diversified real estate
services firm which provides real estate asset management, valuation, consulting
and research services to a broad range of clients, including investment banks,
commercial banks, insurance companies, pension funds and their advisers, and
governmental agencies. The Hanford/Healy Companies and their affiliates employ
over 100 real estate personnel, including more than 50 dedicated to asset
management activities. In addition to its San Francisco headquarters office, the
Hanford/Healy Companies have offices in Newport Beach, California; Portland,
Oregon; Phoenix, Arizona; and
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Tampa, Florida. Since inception, the Special Servicer has managed commercial
mortgage loan and real estate portfolios in excess of $4 billion throughout 35
states and the District of Columbia and currently manages assets with an
aggregate book value of approximately $1.4 billion.
Notwithstanding the discussion in the Prospectus under "Description of the
Pooling Agreements--Evidence as to Compliance", the Special Servicer will
deliver an annual accountants' report only if, and in such form as may be,
required by the Rating Agencies.
Sub-Servicers
The Master Servicer and Special Servicer may each delegate its servicing
obligations in respect of the Mortgage Loans serviced thereby to one or more
third-party servicers (each, a "Sub-Servicer"); provided that the Master
Servicer or Special Servicer, as the case may be, will remain obligated under
the Pooling Agreement for such delegated duties. Seventy-two Mortgage Loans,
representing 54.6% of the Initial Pool Balance, are currently being primary
serviced by third-party servicers that are entitled to and will become
Sub-Servicers of such loans on behalf of the Master Servicer. Each sub-servicing
agreement between the Master Servicer or Special Servicer, as the case may be,
and a Sub-Servicer (each, a "Sub-Servicing Agreement") must provide that, if for
any reason the Master Servicer or Special Servicer, as the case may be, is no
longer acting in such capacity, the Trustee or any successor to such Master
Servicer or Special Servicer may assume such party's rights and obligations
under such Sub-Servicing Agreement or may terminate such Sub-Servicer. The
Master Servicer and Special Servicer will each be required to monitor the
performance of Sub-Servicers retained by it.
The Master Servicer and Special Servicer will each be solely liable for all
fees owed by it to any Sub-Servicer retained thereby, irrespective of whether
its compensation pursuant to the Pooling Agreement is sufficient to pay such
fees. Each Sub-Servicer retained thereby will be reimbursed by the Master
Servicer or Special Servicer, as the case may be, for certain expenditures which
it makes, generally to the same extent the Master Servicer or Special Servicer
would be reimbursed under the Pooling Agreement. See "--Servicing and Other
Compensation and Payment of Expenses" herein.
Servicing and Other Compensation and Payment of Expenses
The principal compensation to be paid to the Master Servicer in respect of
its master servicing activities will be the Master Servicing Fee. The "Master
Servicing Fee" will be payable monthly on a loan-by-loan basis from amounts
received in respect of interest on each Mortgage Loan (including Specially
Serviced Mortgage Loans and Mortgage Loans as to which the related Mortgaged
Property has become an REO Property), will accrue at the applicable Master
Servicing Fee Rate and will be computed on the basis of the same principal
amount and for the same period respecting which any related interest payment on
the related Mortgage Loan is computed. The "Master Servicing Fee Rate" will
range from 0.14% to 2.005% per annum, on a loan by loan basis, with a weighted
average Master Servicing Fee Rate of 0.224% per annum as of the Cut-off Date.
The Master Servicing Fee Rate with respect to each Mortgage Loan is set forth in
Annex A hereto. As additional servicing compensation, the Master Servicer will
be entitled to retain all assumption and modification fees, late payment
charges, charges for beneficiary statements or demands, amounts collected for
checks returned for insufficient funds and any similar fees, in each case to the
extent actually paid by a borrower with respect to a Mortgage Loan that is not a
Specially Serviced Mortgage Loan. The Master Servicer will also be entitled to:
(a) Prepayment Interest Excesses and Balloon Payment Interest Excesses (each
described below) collected on the Mortgage Loans; and (b) any default interest
actually collected on the Mortgage Loans, but only to the extent that (i) such
default interest is allocable to the period (not to exceed 60 days) when the
related Mortgage Loan did not constitute a Specially Serviced Mortgage Loan or
REO Property and (ii) such default interest is not allocable to pay any portion
of a Workout Fee or Liquidation Fee (each as defined below) payable to the
Special Servicer with respect to the related Mortgage Loan or to cover interest
payable to the Master Servicer, the Special Servicer or the Trustee with respect
to any Advances made in respect of the related Mortgage Loan. In addition, the
Master Servicer will be authorized to invest or direct the investment of funds
held in any and all accounts maintained by it or the Trustee that constitute
part of the Certificate Account, in certain government securities and other
investment grade obligations specified in the Pooling Agreement ("Permitted
Investments"), and the Master Servicer will be entitled to retain any interest
or other income earned on such funds, but will be required to cover any losses
from its own funds without any right to reimbursement.
If a borrower prepays a Mortgage Loan, in whole or in part, after the Due
Date but before the Determination Date in any calendar month, the amount of
interest (net of related Master Servicing Fees) accrued on such prepayment from
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such Due Date to, but not including, the date of prepayment (or any later date
through which interest accrues) will, to the extent actually collected,
constitute a "Prepayment Interest Excess". Conversely, if a borrower prepays a
Mortgage Loan, in whole or in part, after the Determination Date in any calendar
month and does not pay interest on such prepayment through the end of such
calendar month, then the shortfall in a full month's interest (net of related
Master Servicing Fees) on such prepayment will constitute a "Prepayment Interest
Shortfall". Similarly, if the Due Date for any Balloon Payment occurs after the
first day of, but before the Determination Date in, any calendar month, the
amount of interest (net of related Master Servicing Fees) accrued on the related
Balloon Loan from the beginning of such month to the maturity date will, to the
extent actually collected in connection with the payment of such Balloon Payment
on or before such Determination Date, constitute a "Balloon Payment Interest
Excess". Conversely, if the Due Date for any Balloon Payment occurs after the
Determination Date in any calendar month, the amount of interest (net of related
Master Servicing Fees) that would have accrued on the related Balloon Loan from
the stated maturity date through the end of such calendar month will, to the
extent not paid by the borrower, constitute a "Balloon Payment Interest
Shortfall". Prepayment Interest Excesses and Balloon Payment Interest Excesses
collected on the Mortgage Loans will be retained by the Master Servicer as
additional servicing compensation. The Master Servicer will cover, out of its
own funds, any Balloon Payment Interest Shortfalls and, to the extent of that
portion of its Master Servicing Fees (in the case of each loan, calculated at
0.04% per annum) and all other of its servicing compensation for the same
Collection Period, Prepayment Interest Shortfalls incurred with respect to the
Mortgage Loans during any Collection Period.
The principal compensation to be paid to the Special Servicer in respect of
its special servicing activities will be the Standby Fee, the Special Servicing
Fee, the Workout Fee and the Liquidation Fee. The "Standby Fee" will accrue with
respect to each Mortgage Loan (including a Specially Serviced Mortgage Loan and
a Mortgage Loan as to which the related Mortgaged Property has become an REO
Property) in the same manner as the Master Servicing Fee (but at a rate of .005%
per annum), and will be payable by the Master Servicer out of its Master
Servicing Fees with respect to such Mortgage Loan. The "Special Servicing Fee"
will accrue with respect to each Specially Serviced Mortgage Loan and each
Mortgage Loan as to which the related Mortgaged Property has become an REO
Property, at a rate equal to 0.250% per annum (the "Special Servicing Fee
Rate"), on the basis of the same principal amount and for the same period
respecting which any related interest payment due or deemed due on such Mortgage
Loan is computed, and will be payable monthly from general collections on the
Mortgage Loans and any REO Properties held by the Master Servicer from time to
time. A "Workout Fee" will in general be payable with respect to each Corrected
Mortgage Loan. As to each Corrected Mortgage Loan, the Workout Fee will be
payable out of, and will be calculated by application of a "Workout Fee Rate" of
1.0% to, each collection of interest and principal (including scheduled
payments, prepayments, Balloon Payments and payments at maturity) received on
such Mortgage Loan for so long as it remains a Corrected Mortgage Loan. The
Workout Fee with respect to any Corrected Mortgage Loan will cease to be payable
if such loan again becomes a Specially Serviced Mortgage Loan or if the related
Mortgaged Property becomes an REO Property; provided that a new Workout Fee will
become payable if and when such Mortgage Loan again becomes a Corrected Mortgage
Loan. If the Special Servicer is terminated (other than for cause) or resigns,
it shall retain the right to receive any and all Workout Fees payable with
respect to Mortgage Loans that became Corrected Mortgage Loans during the period
that it acted as Special Servicer and were still such at the time of such
termination or resignation (and the successor Special Servicer shall not be
entitled to any portion of such Workout Fees), in each case until the Workout
Fee for any such loan ceases to be payable in accordance with the preceding
sentence. A "Liquidation Fee" will be payable with respect to each Specially
Serviced Mortgage Loan as to which the Special Servicer obtains a full or
discounted payoff with respect thereto from the related borrower and, except as
otherwise described below,with respect to any Specially Serviced Mortgage Loan
or REO Property as to which the Special Servicer receives any Liquidation
Proceeds. As to each such Specially Serviced Mortgage Loan and REO Property, the
Liquidation Fee will be payable from, and will be calculated by application of a
"Liquidation Fee Rate" of 1.0% to, the related payment or proceeds.
Notwithstanding anything to the contrary described above, no Liquidation Fee
will be payable based on, or out of, Liquidation Proceeds received in connection
with the repurchase of any Mortgage Loan by the Mortgage Loan Seller for a
breach of representation or warranty or for defective or deficient Mortgage Loan
documentation so long as such repurchase occurs within 120 days of the Mortgage
Loan Seller's notice or discovery of such breach, defect or deficiency, the
purchase of any Specially Serviced Mortgage Loan or REO Property by the Master
Servicer, the Special Servicer or any holder of Certificates evidencing a
majority interest in the Controlling Class or the purchase of all of the
Mortgage Loans and REO Properties by the Master Servicer or any holder of
Certificates evidencing a majority interest in the Controlling Class in
connection with the
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termination of the Trust Fund. If, however, Liquidation Proceeds are received
with respect to any Corrected Mortgage Loan and the Special Servicer is properly
entitled to a Workout Fee, such Workout Fee will be payable based on and out of
the portion of such Liquidation Proceeds that constitute principal and/or
interest. The Special Servicer will be entitled to additional servicing
compensation in the form of late payment charges, assumption fees and
modification fees received on or with respect to Specially Serviced Mortgage
Loans. The Special Servicer will also be entitled to any default interest
actually collected on the Mortgage Loans, but only to the extent that (i) such
default interest is not allocable to pay any portion of a Workout Fee or
Liquidation Fee payable to the Special Servicer with respect to the related
Mortgage Loan or to cover interest payable to the Master Servicer, the Special
Servicer or the Trustee with respect to any Advances made in respect of the
related Mortgage Loan and (ii) such default interest is not otherwise payable to
the Master Servicer as additional servicing compensation. In addition, the
Special Servicer will be authorized to invest or direct the investment of funds
held in any accounts maintained by it that constitute part of the Certificate
Account, in Permitted Investments, and the Special Servicer will be entitled to
retain any interest or other income earned on such funds, but will be required
to cover any losses from its own funds without any right to reimbursement.
The Master Servicer and the Special Servicer will, in general, each be
required to pay its overhead and any general and administrative expenses
incurred by it in connection with its servicing activities under the Pooling
Agreement, including the fees of any Sub-Servicers retained by it, and will not
be entitled to reimbursement therefor except as expressly provided in the
Pooling Agreement. In general, customary, reasonable and necessary "out of
pocket" costs and expenses incurred by the Master Servicer or Special Servicer
in connection with the servicing of a Mortgage Loan after a default, delinquency
or other unanticipated event, or in connection with the administration of any
REO Property, will constitute "Servicing Advances" (Servicing Advances and P&I
Advances, collectively, "Advances") and, in all cases, will be reimbursable from
future payments and other collections, including in the form of Insurance
Proceeds, Condemnation Proceeds and Liquidation Proceeds, on or in respect of
the related Mortgage Loan or REO Property ("Related Proceeds"). Notwithstanding
the foregoing, the Master Servicer and the Special Servicer will each be
permitted to pay, or to direct the payment of, certain servicing expenses
directly out of the Certificate Account and at times without regard to the
relationship between the expense and the funds from which it is being paid
(including in connection with the remediation of any adverse environmental
circumstance or condition at a Mortgaged Property or an REO Property, although
in such specific circumstances the Master Servicer may advance the costs
thereof). In addition, the Special Servicer may from time to time require the
Master Servicer to reimburse it for any Servicing Advance made thereby (in which
case, such Servicing Advance will be deemed to have been made by the Master
Servicer). Furthermore, if the Special Servicer is required under the Pooling
Agreement to make any Servicing Advance but does not desire to do so, the
Special Servicer may, in its sole discretion, request that the Master Servicer
make such Advance, such request to be made in writing and in a timely manner
that does not adversely affect the interests of any Certificateholder; provided,
however, that the Special Servicer will have an obligation to make any such
Servicing Advance that is necessary to avoid (i) a penalty, (ii) material harm
to a Mortgaged Property or (iii) any other material adverse consequence to the
Trust Fund (an "Emergency Advance"). The Master Servicer shall make any such
Servicing Advance (other than an Emergency Advance) that it is requested by the
Special Servicer to so make within ten (10) days of the Master Servicer's
receipt of such request. The Special Servicer shall be relieved of any
obligations with respect to an Advance that it requests the Master Servicer to
make (regardless of whether or not the Master Servicer makes that Advance),
other than an Emergency Advance.
If the Master Servicer or Special Servicer is required under the Pooling
Agreement to make a Servicing Advance, but neither does so within 15 days after
such Servicing Advance is required to be made, then the Trustee will, if it has
actual knowledge of such failure, be required to give the defaulting party
notice of such failure and, if such failure continues for three more days, the
Trustee will be required to make such Servicing Advance.
The Master Servicer, the Special Servicer and the Trustee will be obligated
to make Servicing Advances only to the extent that such Servicing Advances are,
in the reasonable and good faith judgment of the Master Servicer, the Special
Servicer or the Trustee, as the case may be, ultimately recoverable from Related
Proceeds.
As and to the extent described herein, the Master Servicer, the Special
Servicer and the Trustee are each entitled to receive interest at the
Reimbursement Rate on Servicing Advances made thereby. See "Description of the
Pooling Agreements--Certificate Account" and "--Servicing Compensation and
Payment of Expenses" in the Prospectus and "Description of the Certificates--P&I
Advances" herein.
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The Extension Adviser
Election of the Extension Adviser. The holder or holders of Offered
Certificates with an aggregate principal balance equal to more than 50% of the
aggregate Certificate Balance of all the Offered Certificates with Certificate
Balances (exclusive, if applicable, of the Controlling Class (as defined below)
and any Class of Offered Certificates subordinate to the Controlling Class) will
be entitled to (i) elect an adviser (the "Extension Adviser") from whom the
Special Servicer will seek approval as described below and/or (ii) replace an
existing Extension Adviser. Upon (i) the receipt by the Trustee of written
requests for an election of an Extension Adviser from the holders of Offered
Certificates with an aggregate principal balance representing more than 50% of
the aggregate Certificate Balance of all the Offered Certificates with
Certificate Balances (exclusive, if applicable, of the Controlling Class and any
Class of Offered Certificates subordinate to the Controlling Class), or (ii) the
resignation or removal of the person acting as Extension Adviser, an election of
an Extension Adviser will be held commencing as soon as practicable thereafter.
Any Extension Adviser may be removed at any time by the written vote of holders
of Offered Certificates with an aggregate principal balance representing more
than 50% of the aggregate Certificate Balance of all the Offered Certificates
with Certificate Balances (exclusive, if applicable, of the Controlling Class
and any Class of Offered Certificates subordinate to the Controlling Class). The
Master Servicer will act as the initial Extension Adviser until removed or
replaced as described above.
Duties of the Extension Adviser. If any person or entity has been elected
and is serving as Extension Adviser, then the Special Servicer will not be
permitted to grant any extension of the maturity of a Specially Serviced
Mortgage Loan beyond the third anniversary of such loan's original stated
maturity date if such Extension Adviser has objected to such action in writing
within ten days of its receiving from the Special Servicer written notice
thereof and sufficient information to make an informed decision (provided that
if such written objection has not been received by the Special Servicer within
such ten-day period, then such Extension Adviser's approval will be deemed to
have been given). In addition, the Extension Adviser will confirm to its
reasonable satisfaction that all conditions precedent to granting any such
extension have been satisfied. See "--Modifications, Waivers, Amendments and
Consents" below.
Limitation on Liability of Extension Adviser. The Extension Adviser will be
acting solely as representative of the interests of the Certificateholders
entitled to vote in the election thereof, and will have no liability to the
Trust Fund or the Certificateholders for any action taken, or for refraining
from the taking of any action, in good faith pursuant to the Pooling Agreement,
or for errors in judgment. By its acceptance of a Certificate, each
Certificateholder confirms its understanding that the Extension Adviser may take
actions that favor the interests of one or more Classes of the Certificates over
other Classes of the Certificates, and that the Extension Adviser may have
special relationships and interests that conflict with those of holders of some
Classes of the Certificates and agrees to take no action against the Extension
Adviser or any of its officers, directors, employees, principals or agents as a
result of such a special relationship or conflict.
Limitation on Liability of the Master Servicer and the Special Servicer.
The Master Servicer and the Special Servicer will be entitled to the same
limitations on liability when acting in accordance with a direction or approval
or refraining from acting in accordance with a direction or objection of the
Extension Adviser as it would if such direction, approval or objection, as the
case may be, were an express term of the Pooling Agreement.
Compensation of the Extension Adviser. The Pooling and Servicing Agreement
will not provide for any compensation to be paid to the Extension Adviser out of
the Trust Fund.
Modifications, Waivers, Amendments and Consents
The Master Servicer and the Special Servicer each may, consistent with the
Servicing Standard, agree to any modification, waiver or amendment of any term
of, forgive interest on and principal of, capitalize interest on, permit the
release, addition or substitution of collateral securing, and/or permit the
release of the borrower on or any guarantor of any Mortgage Loan it is required
to service and administer, without the consent of the Trustee or, except as
contemplated by clause (ii) below, any Certificateholder, subject, however, to
each of the following limitations, conditions and restrictions:
(i) with limited exception, the Master Servicer may not agree to any
modification, waiver or amendment of any term of, or take any of the other
above referenced actions with respect to, any Mortgage Loan it is required
to service and administer that would affect the amount or timing of any
related payment of principal, interest or
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other amount payable thereunder or, in the Master Servicer's good faith and
reasonable judgment, would materially impair the security for such Mortgage
Loan or reduce the likelihood of timely payment of amounts due thereon;
however, the Special Servicer may agree to any modification, waiver or
amendment of any term of, or take any of the other above referenced actions
with respect to, a Specially Serviced Mortgage Loan that would have any
such effect, but only if a material default on such Mortgage Loan has
occurred or, in the Special Servicer's reasonable and good faith judgment,
a default in respect of payment on such Mortgage Loan is reasonably
foreseeable, and such modification, waiver, amendment or other action is
reasonably likely to produce a greater recovery to Certificateholders on a
present value basis than would liquidation;
(ii) if any person or entity has been selected and is serving as
Extension Adviser, the Special Servicer may not extend the date on which
any Balloon Payment is scheduled to be due on any Specially Serviced
Mortgage Loan beyond the third anniversary of such loan's original stated
maturity date unless such Extension Adviser has approved or is deemed to
have approved such extension;
(iii) neither the Master Servicer nor the Special Servicer shall make
or permit any modification, waiver or amendment of any term of, or take any
of the other above referenced actions with respect to, any Mortgage Loan
that would (A) cause either REMIC I or REMIC II to fail to qualify as a
REMIC under the Code or, except as otherwise described under "--REO
Properties" below, result in the imposition of any tax on "prohibited
transactions" or "contributions" after the startup date of either such
REMIC under the REMIC Provisions or (B) cause any Mortgage Loan to cease to
be a "qualified mortgage" within the meaning of Section 860G(a)(3) of the
Code (neither the Master Servicer nor the Special Servicer shall be liable
for judgments as regards decisions made under this subsection which were
made in good faith and, unless it would constitute bad faith or gross
negligence to do so, each of the Master Servicer and the Special Servicer
may rely on opinions of counsel in making such decisions);
(iv) neither the Master Servicer nor the Special Servicer shall permit
any borrower to add or substitute any collateral for an outstanding
Mortgage Loan, which collateral constitutes real property, unless the
Master Servicer or the Special Servicer, as the case may be, shall have
first determined in accordance with the Servicing Standard, based upon a
Phase I environmental assessment (and such additional environmental testing
as the Master Servicer or Special Servicer, as the case may be, deems
necessary and appropriate), that such additional or substitute collateral
is in compliance with applicable environmental laws and regulations and
that there are no circumstances or conditions present with respect to such
new collateral relating to the use, management or disposal of any hazardous
materials for which investigation, testing, monitoring, containment,
clean-up or remediation would be required under any then applicable
environmental laws and/or regulations; and
(v) with limited exceptions, neither the Master Servicer nor the
Special Servicer shall release any collateral securing an outstanding
Mortgage Loan;
provided that (x) the limitations, conditions and restrictions set forth in
clauses (i) through (v) above will not apply to any modification of any term of
any Mortgage Loan that is required under the terms of such Mortgage Loan in
effect on the Delivery Date or that is solely within the control of the related
borrower, and (y) notwithstanding clauses (i) through (v) above, neither the
Master Servicer nor the Special Servicer will be required to oppose the
confirmation of a plan in any bankruptcy or similar proceeding involving a
borrower if in their reasonable and good faith judgment such opposition would
not ultimately prevent the confirmation of such plan or one substantially
similar.
Sale of Defaulted Mortgage Loans
The Pooling Agreement grants to the Master Servicer, the Special Servicer
and any holder of Certificates evidencing a majority interest in the Controlling
Class a right to purchase from the Trust Fund certain defaulted Mortgage Loans
in the priority described below. If the Special Servicer has determined, in its
good faith and reasonable judgment, that any defaulted Mortgage Loan will become
the subject of a foreclosure, the Special Servicer will be required to promptly
so notify in writing the Trustee and the Master Servicer, and the Trustee will
be required, within 10 days after receipt of such notice, to notify any holder
of Certificates evidencing a majority interest in the Controlling Class. Such
Certificateholder may, at its option, purchase from the Trust Fund, at a price
equal to the applicable Purchase Price, any such defaulted Mortgage Loan. If
such Certificateholder has not purchased such defaulted Mortgage Loan within 15
days of its having received notice in respect thereof, either the Special
Servicer or the Master Servicer, in that order, may, at its option, purchase
such defaulted Mortgage Loan from the Trust Fund, at a price equal to the
applicable Purchase Price.
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The Special Servicer may offer to sell any such defaulted Mortgage Loan not
otherwise purchased pursuant to the prior paragraph, if and when the Special
Servicer determines, consistent with the Servicing Standard, that such a sale
would be in the best economic interests of the Trust Fund. Such offer is to be
made in a commercially reasonable manner for a period of not less than 10 days.
Unless the Special Servicer determines that acceptance of any offer would not be
in the best economic interests of the Trust Fund, the Special Servicer shall
accept the highest cash offer received from any person that constitutes a fair
price (which may be less than the Purchase Price) for such Mortgage Loan;
provided that none of the Special Servicer, the Master Servicer, the Sponsor,
the holder of any Certificate or an affiliate of any such party may purchase
such Mortgage Loan for less than the Purchase Price unless at least two other
offers are received from independent third parties. See also "Description of the
Pooling Agreements--Realization Upon Defaulted Mortgage Loans" in the
Prospectus.
REO Properties
If title to any Mortgaged Property is acquired by the Special Servicer on
behalf of the Certificateholders, the Special Servicer, on behalf of such
holders, will be required to sell the Mortgaged Property within two years of
acquisition, unless (i) the Internal Revenue Service grants an extension of time
to sell such property (an "REO Extension") or (ii) the Special Servicer obtains
an opinion of independent counsel generally to the effect that the holding of
the property for more than two years after its acquisition will not result in
the imposition of a tax on the Trust Fund or cause REMIC I or REMIC II to fail
to qualify as a REMIC under the Code. Subject to the foregoing, the Special
Servicer will generally be required to solicit bids for any Mortgaged Property
so acquired in such a manner as will be reasonably likely to realize a fair
price for such property. The Special Servicer may retain an independent
contractor to operate and manage any REO Property; however, the retention of an
independent contractor will not relieve the Special Servicer of its obligations
with respect to such REO Property.
In general, the Special Servicer will be obligated to operate and manage
any Mortgaged Property acquired as REO Property in a manner that would, to the
extent commercially feasible, maximize the Trust Fund's net after-tax proceeds
from such property. After the Special Servicer reviews the operation of such
property and consults with the REMIC Administrator to determine the REMIC
Administrator's federal income tax reporting position with respect to income it
is anticipated that the Trust Fund would derive from such property, the Special
Servicer could determine that it would not be commercially feasible to manage
and operate such property in a manner that would avoid the imposition of a tax
on "net income from foreclosure property" within the meaning of the REMIC
Provisions or a tax on "prohibited transactions" under Section 860F of the Code
(either such tax referred to herein as an "REO Tax"). To the extent that income
the Trust Fund receives from an REO Property is subject to a tax on (i) "net
income from foreclosure property", such income would be subject to federal tax
at the highest marginal corporate tax rate (currently 35%) and (ii) "prohibited
transactions", such income would be subject to federal tax at a 100% rate. The
determination as to whether income from an REO Property would be subject to an
REO Tax will depend on the specific facts and circumstances relating to the
management and operation of each REO Property. Generally, income from an REO
Property that is directly operated by the Special Servicer would be apportioned
and classified as "service" or "non-service" income. The "service" portion of
such income could be subject to federal tax either at the highest marginal
corporate tax rate or at the 100% rate on "prohibited transactions," and the
"non-service" portion of such income could be subject to federal tax at the
highest marginal corporate tax rate or, although it appears unlikely, at the
100% rate applicable to "prohibited transactions". Any REO Tax imposed on the
Trust Fund's income from an REO Property would reduce the amount available for
distribution to Certificateholders. Certificateholders are advised to consult
their own tax advisors regarding the possible imposition of REO Taxes in
connection with the operation of commercial REO Properties by REMICs.
Inspections; Collection of Operating Information
The Master Servicer is required to perform physical inspections of each
Mortgaged Property at least once every two years (or, if the related Mortgage
Loan has a then-current balance greater than $5,000,000, at least once every
year). In addition, the Special Servicer, subject to statutory limitations or
limitations set forth in the related loan documents, is required to perform a
physical inspection of each Mortgaged Property as soon as practicable after
servicing of the related Mortgage Loan is transferred thereto. The Special
Servicer and the Master Servicer will each be required to prepare a written
report of each such inspection performed thereby describing the condition of the
Mortgaged Property.
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With respect to each Mortgage Loan that requires the borrower to deliver
annual operating statements with respect to the related Mortgaged Property, the
Master Servicer or the Special Servicer, depending on which is obligated to
service such Mortgage Loan, is also required to make reasonable efforts to
collect and review such statements. However, there can be no assurance that any
operating statements required to be delivered will in fact be delivered, nor is
the Master Servicer or the Special Servicer likely to have any practical means
of compelling such delivery in the case of an otherwise performing Mortgage
Loan.
Termination of the Special Servicer
The holder or holders of Certificates evidencing a majority interest in the
Controlling Class may at any time replace any Special Servicer. Such holder(s)
shall designate a replacement to so serve by the delivery to the Trustee of a
written notice stating such designation. The Trustee shall, promptly after
receiving any such notice, so notify the Rating Agencies. If the designated
replacement is acceptable to the Trustee, which approval may not be unreasonably
withheld, the designated replacement shall become the Special Servicer as of the
date the Trustee shall have received: (i) written confirmation from both Rating
Agencies stating that if the designated replacement were to serve as Special
Servicer under the Pooling Agreement, the then-current rating or ratings of one
or more Classes of the Certificates would not be qualified, downgraded or
withdrawn as a result thereof; (ii) a written acceptance of all obligations of
the Special Servicer, executed by the designated replacement; and (iii) an
opinion of counsel to the effect that the designation of such replacement to
serve as Special Servicer is in compliance with the Pooling Agreement, that the
designated replacement will be bound by the terms of the Pooling Agreement and
that the Pooling Agreement will be enforceable against such designated
replacement in accordance with its terms. The existing Special Servicer shall be
deemed to have resigned simultaneously with such designated replacement's
becoming the Special Servicer under the Pooling Agreement.
The "Controlling Class" will be the most subordinate Class of Sequential
Pay Certificates outstanding (the Class A-1, Class A-2A and Class A-2B
Certificates being treated as a single Class for this purpose) that has a
Certificate Balance at least equal to 25% of its initial Certificate Balance
(or, if no Class of Sequential Pay Certificates has a Certificate Balance at
least equal to 25% of its initial Certificate Balance, then the "Controlling
Class" will be the Class of Sequential Pay Certificates with the largest
Certificate Balance then outstanding).
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DESCRIPTION OF THE CERTIFICATES
General
The Sponsor's Multifamily/Commercial Mortgage Pass-Through Certificates,
Series 1996-MC1 (the "Certificates") will be issued pursuant to a Pooling and
Servicing Agreement, to be dated as of the Cut-off Date (the "Pooling
Agreement"), among the Sponsor, the Master Servicer, the Special Servicer, the
Trustee, the Mortgage Loan Seller and the REMIC Administrator, and will
represent in the aggregate the entire beneficial ownership interest in a trust
fund (the "Trust Fund") that includes: (i) the Mortgage Loans and all payments
thereunder and proceeds thereof received after the Cut-off Date (exclusive of
payments of principal, interest and other amounts due thereon on or before the
Cut-off Date); (ii) any REO Properties; and (iii) such funds or assets as from
time to time are deposited in the Certificate Account (see "Description of the
Pooling Agreements--Certificate Account" in the Prospectus).
The Certificates will consist of 16 classes (each, a "Class") to be
designated as: (i) the Class X-1 Certificates and the Class X-2 Certificates
(collectively, the "Class X Certificates"); (ii) the Class A-1 Certificates, the
Class A-2A Certificates and the Class A-2B Certificates (collectively, the
"Class A Certificates"); (iii) the Class B Certificates, the Class C
Certificates, the Class D Certificates, the Class E Certificates, the Class F
Certificates, the Class G Certificates, the Class H Certificates, the Class J
Certificates and the Class K Certificates (collectively with the Class X and
Class A Certificates, the "REMIC Regular Certificates"); and (iv) the Class R-I
Certificates and the Class R-II Certificates (collectively, the "REMIC Residual
Certificates"). Only the Class X, Class A, Class B, Class C, Class D, Class E
and Class F Certificates (collectively, the "Offered Certificates") are offered
hereby.
The Class G, Class H, Class J and Class K Certificates and the REMIC
Residual Certificates (collectively, the "Private Certificates") have not been
registered under the Securities Act and are not offered hereby. Accordingly, to
the extent this Prospectus Supplement contains information regarding the terms
of the Private Certificates, such information is provided solely because of its
potential relevance to a prospective purchaser of an Offered Certificate.
Registration and Denominations
The Offered Certificates will be issued in book-entry format in
denominations of: (i) in the case of the Class X Certificates, $5,000,000
notional principal amount and in any whole dollar denomination in excess
thereof; and (ii) in the case of the other Offered Certificates, $100,000 actual
principal amount and in any whole dollar denomination in excess thereof.
Each Class of Offered Certificates will initially be represented by one or
more Certificates registered in the name of the nominee of The Depository Trust
Company ("DTC"). The Sponsor has been informed by DTC that DTC's nominee will be
Cede & Co. No beneficial owner of an Offered Certificate (each, a "Certificate
Owner") will be entitled to receive a fully registered physical certificate (a
"Definitive Certificate") representing its interest in such Class, except under
the limited circumstances described under "Description of the
Certificates--Book-Entry Registration and Definitive Certificates" in the
Prospectus. Unless and until Definitive Certificates are issued in respect of
the Offered Certificates, beneficial ownership interests in each such Class of
Certificates will be maintained and transferred on the book-entry records of DTC
and its participating organizations (its "Participants"), and all references to
actions by holders of each such Class of Certificates will refer to actions
taken by DTC upon instructions received from the related Certificate Owners
through its Participants in accordance with DTC procedures, and all references
herein to payments, notices, reports and statements to holders of each such
Class of Certificates will refer to payments, notices, reports and statements to
DTC or Cede & Co., as the registered holder thereof, for distribution to the
related Certificate Owners through its Participants in accordance with DTC
procedures. The form of such payments and transfers may result in certain delays
in receipt of payments by an investor and may restrict an investor's ability to
pledge its securities. See "Description of the Certificates--Book-Entry
Registration and Definitive Certificates" and "Risk Factors--Book-Entry
Registration" in the Prospectus.
The Trustee will initially serve as registrar (in such capacity, the
"Certificate Registrar") for purposes of recording and otherwise providing for
the registration of the Offered Certificates and, if and to the extent
Definitive Certificates are issued in respect thereof, of transfers and
exchanges of the Offered Certificates.
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Certificate Balances and Notional Amounts
Upon initial issuance, the Class A-1, Class A-2A, Class A-2B, Class B,
Class C, Class D, Class E, Class F, Class G, Class H, Class J and Class K
Certificates (collectively, the "Sequential Pay Certificates") will have the
following Certificate Balances (in each case, subject to a variance of plus or
minus 5%):
Initial Percent of Percent of
Class Certificate Balance Initial Pool Balance Credit Support
---------- ------------------- -------------------- --------------
Class A-1 $ 29,966,951 6.2% 32.5%
Class A-2A $150,000,000 31.1% 32.5%
Class A-2B $145,624,000 30.2% 32.5%
Class B $ 14,470,000 3.0% 29.5%
Class C $ 31,353,000 6.5% 23.0%
Class D $ 19,294,000 4.0% 19.0%
Class E $ 16,882,000 3.5% 15.5%
Class F $ 7,235,000 1.5% 14.0%
Class G $ 32,559,000 6.75% 7.25%
Class H $ 18,088,000 3.75% 3.5%
Class J $ 3,617,000 .75% 2.75%
Class K $ 13,268,861 2.75% --
The "Certificate Balance" of any Class of Sequential Pay Certificates
outstanding at any time will be the then aggregate stated principal amount
thereof. On each Distribution Date, the Certificate Balance of each Class of
Sequential Pay Certificates will be reduced by any distributions of principal
actually made on such Class of Certificates on such Distribution Date, and will
be further reduced by any Realized Losses and Additional Trust Fund Expenses
deemed allocated to such Class of Certificates on such Distribution Date. See
"--Distributions" and "--Subordination; Allocation of Realized Losses and
Certain Expenses" below.
Neither Class of Class X Certificates will have a Certificate Balance. Each
Class of Class X Certificates will represent the right to receive distributions
of interest accrued as described herein on a notional principal amount (a
"Notional Amount"). The Notional Amount of the Class X-1 Certificates will equal
the aggregate Stated Principal Balance of the Group 1 Loans outstanding from
time to time. The Class X-1 Certificates will have an initial Notional Amount of
$29,966,951 (subject to a variance of plus or minus 5%). The Notional Amount of
the Class X-2 Certificates will equal 99.9% of the aggregate Stated Principal
Balance of all the Mortgage Loans outstanding from time to time. The Class X-2
Certificates will have an initial Notional Amount of $481,875,454 (subject to a
variance of plus or minus 5%).
The "Stated Principal Balance" of each Mortgage Loan will generally equal
the Cut-off Date Balance thereof, reduced (to not less than zero) on each
Distribution Date by (i) any payments or other collections (or advances in lieu
thereof) of principal of such Mortgage Loan that have been or, if they had not
been applied to cover Additional Trust Fund Expenses, would have been
distributed on the Certificates on such date, and (ii) the principal portion of
any Realized Loss incurred in respect of or allocable to such Mortgage Loan
during the related Collection Period.
A Class of Offered Certificates will be considered to be outstanding until
its Certificate Balance or Notional Amount, as the case may be, is reduced to
zero; provided, however, that reimbursement of any previously allocated Realized
Losses and Additional Trust Fund Expenses may thereafter be made with respect
thereto.
Pass-Through Rates
The Pass-Through Rate applicable to the Class A-1 Certificates: (a) for
each Distribution Date up to and including the Distribution Date in October
1996, will equal approximately 6.12% per annum; and (b) for each subsequent
Distribution Date, will, in general, equal the lesser of (i) the applicable
value of Six-Month LIBOR, plus
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0.37% and (ii) 11.375% per annum. For purposes of the foregoing, the "applicable
value of Six-Month LIBOR" will be, with respect to any Distribution Date, the
value thereof calculated in accordance with Six-Month LIBOR Formula 1 on the
most recent LIBOR Determination Date for the Six-Month LIBOR Formula 1 Loans
that precedes the commencement of the Interest Accrual Period for the Class A-1
Certificates for such Distribution Date. The Pass-Through Rate for the Class A-1
Certificates will be subject to adjustment as of the commencement of such Class
of Certificates' Interest Accrual Period for the Distribution Date in November
1996, and every six months thereafter.
The Pass-Through Rate applicable to the Class X-1 Certificates: (a) for the
initial Distribution Date, will equal approximately 0.796% per annum; and (b)
for each subsequent Distribution Date, will, in general, equal the excess, if
any, of (i) the weighted average of the Net Mortgage Rates in effect for the
Group 1 Loans as of the first day of the related Collection Period (weighted on
the basis of the respective Stated Principal Balances of such Mortgage Loans
immediately following the prior Distribution Date), over (ii) the Pass-Through
Rate applicable to the Class A-1 Certificates (or, if such Certificates are no
longer outstanding, that would otherwise have been appliable thereto)for such
current Distribution Date.
The Pass-Through Rates applicable to the Class A-2A, Class A-2B, Class B,
Class C, Class D, Class E and Class F Certificates will, at all times, be equal
to 7.35%, 7.9%, 7.9%, 7.8%, 7.8%, 7.7% and 7.7% per annum, respectively.
The Pass-Through Rate applicable to the Class X-2 Certificates: (a) for the
initial Distribution Date, will equal approximately 0.960 % per annum; and (b)
for each subsequent Distribution Date, will, in general, equal the excess, if
any, of (i) the weighted average of the Net Mortgage Rates in effect for the
Group 1 Loans (in each case, net of the Pass-Through Rate applicable to the
Class X-1 Certificates for such Distribution Date) and the Net Mortgage Rates in
effect for the Group 2 Loans as of the first day of the related Collection
Period (weighted on the basis of the respective Stated Principal Balances of
such Mortgage Loans immediately following the prior Distribution Date), over
(ii) the weighted average of the Pass-Through Rates applicable to the respective
Classes of Sequential Pay Certificates for such current Distribution Date
(weighted on the basis of the respective Certificate Balances of such Classes of
Certificates immediately prior to such current Distribution Date).
The Pass-Through Rates applicable to the Class G, Class H, Class J and
Class K Certificates will, at all times, be equal to 7.15%, 5.7%, 5.7% and 5.7%,
respectively.
The "Net Mortgage Rate" with respect to any Mortgage Loan is a per annum
rate equal to the related Mortgage Rate in effect from time to time, minus the
applicable Master Servicing Fee Rate. See "Servicing of the Mortgage
Loans--Servicing and Other Compensation and Payment of Expenses" herein.
The "Collection Period" for each Distribution Date is the period that
begins immediately following the Determination Date in the calendar month
preceding the month in which such Distribution Date occurs (or, in the case of
the initial Distribution Date, immediately following the Cut-off Date) and ends
on the Determination Date in the calendar month in which such Distribution Date
occurs. The "Determination Date" will be the fifth day of each month or, if any
such fifth day is not a business day, the immediately preceding business day.
The Certificate Groups
The Class X-1 and Class A-1 Certificates initially will correspond to and
evidence interests solely in Loan Group 1 (such Certificates, the "Group 1
Certificates"); and the Class X-2, Class A-2A, Class A-2B, Class B, Class C,
Class D, Class E, Class F, Class G, Class H, Class J and Class K Certificates
initially will correspond to and evidence interests solely in Loan Group 2 (such
Certificates, the "Group 2 Certificates"; the Group 1 Certificates and the Group
2 Certificates, each a "Certificate Group"). Distributions of interest on and,
except in the case of the Class X-1 Certificates, principal of the Group 1
Certificates will initially be based on interest and/or principal due or
collected, as the case may be, on or with respect to the Group 1 Loans.
Distributions of interest on and, except in the case of the Class X-2
Certificates, principal of the Group 2 Certificates will initially be based on
interest and/or principal due or collected, as the case may be, on or with
respect to the Group 2 Loans. In general, the exceptions to the foregoing would
arise as a result of the subordination of the Subordinate Certificates in
connection with losses and defaults on the Mortgage Loans (in particular, the
Group 1 Loans) and, further, because no payments of principal may be made with
respect to the Subordinate Certificates for so long as any Class of Class A
Certificates is outstanding. The initial Certificate Balance of the Class A-1
Certificates and the initial Notional Amount of the Class X-1 Certificates will
each equal the aggregate Cut-off Date Balance of the Group 1 Loans, the
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Pass-Through Rate for the Class X-1 Certificates will be calculated based upon
the Net Mortgage Rates in effect with respect to the Group 1 Loans and the
Pass-Through Rate for the Class A-1 Certificates, and the Pass-Through Rate for
the Class A-1 Certificates will be calculated based upon the same formula for
Six-Month LIBOR as is applicable to five of the Group 1 Loans. The aggregate
initial Certificate Balance of the Group 2 Certificates with Certificate
Balances will equal the aggregate Cut-off Date Balance of the Group 2 Loans, and
the fixed Pass-Through Rates for such Certificates have been set taking into
account the Net Mortgage Rates (or, in the case of the two Group 2 Loans that
are ARM Loans, the minimum Net Mortgage Rates) for the Group 2 Loans.
Distributions
General. Distributions on or with respect to the Certificates will be made
by the Trustee, to the extent of available funds, on the 15th day of each month
or, if any such 15th day is not a business day, then on the next succeeding
business day, commencing in August 1996 (each, a "Distribution Date"). Except as
otherwise described below, all such distributions will be made to the persons in
whose names the Certificates are registered at the close of business on the
related Record Date and, as to each such person, will be made by wire transfer
in immediately available funds to the account specified by the Certificateholder
at a bank or other entity having appropriate facilities therefor, if such
Certificateholder will have provided the Trustee with wiring instructions no
less than five business days prior to the related Record Date and is the
registered owner of Certificates with an aggregate initial principal amount of
at least $5,000,000 (or, alternatively, is the registered owner of all the Class
X Certificates of any Class thereof), or otherwise by check mailed to such
Certificateholder. Until Definitive Certificates are issued in respect thereof,
Cede & Co. will be the registered holder of the Offered Certificates. See
"--Registration and Denominations" above. The final distribution on any
Certificate (determined without regard to any possible future reimbursement of
any Realized Losses or Additional Trust Fund Expense previously allocated to
such Certificate) will be made in like manner, but only upon presentation and
surrender of such Certificate at the location that will be specified in a notice
of the pendency of such final distribution. Any distribution that is to be made
with respect to a Certificate in reimbursement of a Realized Loss or Additional
Trust Fund Expense previously allocated thereto, which reimbursement is to occur
after the date on which such Certificate is surrendered as contemplated by the
preceding sentence (the likelihood of any such distribution being remote), will
be made by check mailed to the Certificateholder that surrendered such
Certificate. All distributions made on or with respect to a Class of
Certificates will be allocated pro rata among such Certificates based on their
respective percentage interests in such Class.
With respect to any Distribution Date, the "Record Date" will be: (i) in
the case of the Class A-1 Certificates, the fifth day of the month in which such
Distribution Date occurs or, if such day is not a business day, the preceding
business day; and (ii) in the case of each other Class of Certificates, the last
business day of the calendar month immediately preceding the month in which such
Distribution Date occurs.
The Available Distribution Amount. With respect to any Distribution Date,
distributions of interest on and principal of the Certificates will be made from
the Available Distribution Amount for such Distribution Date. The "Available
Distribution Amount" for any Distribution Date will, in general, equal (a) all
amounts on deposit in the Certificate Account as of the close of business on the
related Determination Date, exclusive of any portion thereof that represents one
or more of the following:
(i) Monthly Payments collected but due on a Due Date subsequent to the
related Collection Period;
(ii) Prepayment Premiums (which are separately distributable on the
Certificates as hereinafter described);
(iii) amounts that are payable or reimbursable to any person other
than the Certificateholders (including amounts payable to the Master
Servicer, the Special Servicer or the Trustee as compensation or in
reimbursement of outstanding Advances and amounts payable in respect of
Additional Trust Fund Expenses); and
(iv) amounts deposited in the Certificate Account in error; plus
(b) to the extent not already included in clause (a), any P&I Advances made
with respect to such Distribution Date and payments made by the Master Servicer
to cover Balloon Payment Interest Shortfalls incurred during the related
Collection Period.
See "Description of the Pooling Agreements--Certificate Account" in the
Prospectus.
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Application of the Available Distribution Amount. On each Distribution
Date, the Trustee will apply the Available Distribution Amount for such date for
the following purposes and in the following order of priority:
(1) to pay interest to the holders of the respective Classes of Class
A and Class X Certificates, up to an amount equal to, and pro rata as among
such Classes in accordance with, all Distributable Certificate Interest in
respect of each such Class of Certificates for such Distribution Date;
(2) to pay principal: (a) first to the holders of the Class A-1
Certificates, second to the holders of the Class A-2A Certificates and
third to the holders of the Class A-2B Certificates, in each case, up to an
amount equal to the lesser of (i) the then outstanding Certificate Balance
of such Class of Certificates and (ii) the remaining Principal Distribution
Amount with respect to Loan Group 1 for such Distribution Date; and (b)
first to the holders of the Class A-2A Certificates, second to the holders
of the Class A-2B Certificates and third to the holders of the Class A-1
Certificates, in each case, up to an amount equal to the lesser of (i) the
then outstanding Certificate Balance of such Class of Certificates and (ii)
the remaining Principal Distribution Amount with respect to Loan Group 2
for such Distribution Date; provided that, if the remaining portion of the
Available Distribution Amount for such Distribution Date is less than the
Principal Distribution Amounts with respect to the two Loan Groups for such
date, payments pursuant to this clause (2) in respect of such Principal
Distribution Amounts shall be made on a pro rata basis in accor- dance with
the relative sizes of such Principal Distribution Amounts;
(3) to reimburse the holders of the respective Classes of Class A
Certificates, up to an amount equal to, and pro rata as among such Classes
in accordance with, the respective amounts of Realized Losses and
Additional Trust Fund Expenses, if any, previously deemed allocated to such
Classes of Certificates and for which no reimbursement has previously been
paid; and
(4) to make payments on the Subordinate Certificates as contemplated
below;
provided that, on each Distribution Date after the aggregate Certificate Balance
of the Subordinate Certificates has been reduced to zero, and in any event on
the final Distribution Date in connection with a termination of the Trust Fund
(see "--Termination" below), the payments of principal to be made as
contemplated by clause (2) above with respect to the Class A Certificates, will
be so made to the holders of the respective Classes of such Certificates, up to
an amount equal to, and pro rata as among such Classes in accordance with, the
respective then outstanding Certificate Balances of such Classes of
Certificates, and without regard to the Principal Distribution Amounts with
respect to the two Loan Groups for such date.
On each Distribution Date, following the above-described distributions on
the Class A and Class X Certificates, the Trustee will apply the remaining
portion, if any, of the Available Distribution Amount for such date for the
following purposes and in the following order of priority:
(1) to pay interest to the holders of the Class B Certificates, up to
an amount equal to all Distributable Certificate Interest in respect of
such Class of Certificates for such Distribution Date;
(2) if the Certificate Balances of the Class A Certificates have been
reduced to zero, to pay principal to the holders of the Class B
Certificates, up to an amount equal to the lesser of (a) the then
outstanding Certificate Balance of such Class of Certificates and (b) the
aggregate of the remaining Principal Distribution Amounts for both Loan
Groups for such Distribution Date;
(3) to reimburse the holders of the Class B Certificates, up to an
amount equal to all Realized Losses and Additional Trust Fund Expenses, if
any, previously deemed allocated to such Class of Certificates and for
which no reimbursement has previously been paid;
(4) to pay interest to the holders of the Class C Certificates, up to
an amount equal to all Distributable Certificate Interest in respect of
such Class of Certificates for such Distribution Date;
(5) if the Certificate Balances of the Class A and Class B
Certificates have been reduced to zero, to pay principal to the holders of
the Class C Certificates, up to an amount equal to the lesser of (a) the
then outstanding Certificate Balance of such Class of Certificates and (b)
the aggregate of the remaining Principal Distribution Amounts for both Loan
Groups for such Distribution Date;
(6) to reimburse the holders of the Class C Certificates, up to an
amount equal to all Realized Losses and Additional Trust Fund Expenses, if
any, previously deemed allocated to such Class of Certificates and for
which no reimbursement has previously been received;
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(7) to pay interest to the holders of the Class D Certificates, up to
an amount equal to all Distributable Certificate Interest in respect of
such Class of Certificates for such Distribution Date;
(8) if the Certificate Balances of the Class A, Class B and Class C
Certificates have been reduced to zero, to pay principal to the holders of
the Class D Certificates, up to an amount equal to the lesser of (a) the
then outstanding Certificate Balance of such Class of Certificates and (b)
the aggregate of the remaining Principal Distribution Amounts for both Loan
Groups for such Distribution Date;
(9) to reimburse the holders of the Class D Certificates, up to an
amount equal to all Realized Losses and Additional Trust Fund Expenses, if
any, previously deemed allocated to such Class of Certificates and for
which no reimbursement has previously been received;
(10) to pay interest to the holders of the Class E Certificates, up to
an amount equal to all Distributable Certificate Interest in respect of
such Class of Certificates for such Distribution Date;
(11) if the Certificate Balances of the Class A, Class B, Class C and
Class D Certificates have been reduced to zero, to pay principal to the
holders of the Class E Certificates, up to an amount equal to the lesser of
(a) the then outstanding Certificate Balance of such Class of Certificates
and (b) the aggregate of the remaining Principal Distribution Amounts for
both Loan Groups for such Distribution Date;
(12) to reimburse the holders of the Class E Certificates, up to an
amount equal to all Realized Losses and Additional Trust Fund Expenses, if
any, previously deemed allocated to such Class of Certificates and for
which no reimbursement has previously been received;
(13) to pay interest to the holders of the Class F Certificates, up to
an amount equal to all Distributable Certificate Interest in respect of
such Class of Certificates for such Distribution Date;
(14) if the Certificate Balances of the Class A, Class B, Class C,
Class D and Class E Certificates have been reduced to zero, to pay
principal to the holders of the Class F Certificates, up to an amount equal
to the lesser of (a) the then outstanding Certificate Balance of such Class
of Certificates and (b) the aggregate of the remaining Principal
Distribution Amounts for both Loan Groups for such Distribution Date;
(15) to reimburse the holders of the Class F Certificates, up to an
amount equal to all Realized Losses and Additional Trust Fund Expenses, if
any, previously deemed allocated to such Class of Certificates and for
which no reimbursement has previously been received;
(16) to pay interest to the holders of the Class G Certificates, up to
an amount equal to all Distributable Certificate Interest in respect of
such Class of Certificates for such Distribution Date;
(17) if the Certificate Balances of the Class A, Class B, Class C,
Class D, Class E and Class F Certificates have been reduced to zero, to pay
principal to the holders of the Class G Certificates, up to an amount equal
to the lesser of (a) the then outstanding Certificate Balance of such Class
of Certificates and (b) the aggregate of the remaining Principal
Distribution Amounts for both Loan Groups for such Distribution Date;
(18) to reimburse the holders of the Class G Certificates, up to an
amount equal to all Realized Losses and Additional Trust Fund Expenses, if
any, previously deemed allocated to such Class of Certificates and for
which no reimbursement has previously been received;
(19) to pay interest to the holders of the Class H Certificates, up to
an amount equal to all Distributable Certificate Interest in respect of
such Class of Certificates for such Distribution Date;
(20) if the Certificate Balances of the Class A, Class B, Class C,
Class D, Class E, Class F and Class G Certificates have been reduced to
zero, to pay principal to the holders of the Class H Certificates, up to an
amount equal to the lesser of (a) the then outstanding Certificate Balance
of such Class of Certificates and (b) the aggregate of the remaining
Principal Distribution Amounts for both Loan Groups for such Distribution
Date;
(21) to reimburse the holders of the Class H Certificates, up to an
amount equal to all Realized Losses and Additional Trust Fund Expenses, if
any, previously deemed allocated to such Class of Certificates and for
which no reimbursement has previously been received;
(22) to pay interest to the holders of the Class J Certificates, up to
an amount equal to all Distributable Certificate Interest in respect of
such Class of Certificates for such Distribution Date;
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(23) if the Certificate Balances of the Class A, Class B, Class C,
Class D, Class E, Class F, Class G and Class H Certificates have been
reduced to zero, to pay principal to the holders of the Class J
Certificates, up to an amount equal to the lesser of (a) the then
outstanding Certificate Balance of such Class of Certificates and (b) the
aggregate of the remaining Principal Distribution Amounts for both Loan
Groups for such Distribution Date;
(24) to reimburse the holders of the Class J Certificates, up to an
amount equal to all Realized Losses and Additional Trust Fund Expenses, if
any, previously deemed allocated to such Class of Certificates and for
which no reimbursement has previously been received;
(25) to pay interest to the holders of the Class K Certificates, up to
an amount equal to all Distributable Certificate Interest in respect of
such Class of Certificates for such Distribution Date;
(26) if the Certificate Balances of the Class A, Class B, Class C,
Class D, Class E, Class F, Class G, Class H and Class J Certificates have
been reduced to zero, to pay principal to the holders of the Class K
Certificates, up to an amount equal to the lesser of (a) the then
outstanding Certificate Balance of such Class of Certificates and (b) the
aggregate of the remaining Principal Distribution Amounts for both Loan
Groups for such Distribution Date;
(27) to reimburse the holders of the Class K Certificates, up to an
amount equal to all Realized Losses and Additional Trust Fund Expenses, if
any, previously deemed allocated to such Class of Certificates and for
which no reimbursement has previously been received; and
(28) to pay to the holders of the REMIC Residual Certificates, the
balance, if any, of the Available Distribution Amount for such Distribution
Date;
provided that, on the final Distribution Date in connection with a termination
of the Trust Fund, the payments of principal to be made as contemplated by any
of clauses (2), (5), (8), (11), (14), (17), (20), (23) and (26) above with
respect to any Class of Sequential Pay Certificates, will be so made, up to an
amount equal to the entire then outstanding Certificate Balance of such Class of
Certificates, and without regard to the Principal Distribution Amounts with
respect to the two Loan Groups for such date.
Distributable Certificate Interest. The "Distributable Certificate
Interest" in respect of each Class of REMIC Regular Certificates for each
Distribution Date is equal to the Accrued Certificate Interest in respect of
such Class of Certificates for such Distribution Date, reduced by such Class of
Certificates' allocable share (calculated as described below) of any Net
Aggregate Prepayment Interest Shortfall for such Distribution Date, and
increased by any Class Interest Shortfall in respect of such Class of
Certificates for such Distribution Date.
The "Accrued Certificate Interest" in respect of each Class of REMIC
Regular Certificates for each Distribution Date is equal to one month's interest
at the Pass-Through Rate applicable to such Class of Certificates for such
Distribution Date accrued on the related Certificate Balance or Notional Amount,
as the case may be, outstanding immediately prior to such Distribution Date.
Accrued Certificate Interest will be calculated on the basis of a 360-day year
consisting of twelve 30-day months.
The "Class Interest Shortfall" with respect to any Class of REMIC Regular
Certificates for any Distribution Date will equal: (a) in the case of the
initial Distribution Date, zero; and (b) in the case of any subsequent
Distribution Date, the sum of (i) the excess, if any, of (A) all Distributable
Certificate Interest in respect of such Class of Certificates for the
immediately preceding Distribution Date, over (B) all distributions of interest
made with respect to such Class of Certificates on the immediately preceding
Distribution Date, and (ii), to the extent permitted by applicable law, other
than in the case of the Class X Certificates, one month's interest on any such
excess at the Pass-Through Rate applicable to such Class of Certificates for the
current Distribution Date.
With respect to any Distribution Date, the "Interest Accrual Period" will
be: (i) in the case of the Class A-1 Certificates, the period that begins on the
15th day of the calendar month preceding the month in which such Distribution
Date occurs (or, in the case of the initial Distribution Date, that begins on
the Delivery Date) and ends on the 14th day of the calendar month in which such
Distribution Date occurs; and (ii) in the case of each other Class of REMIC
Regular Certificates, the calendar month immediately preceding the month in
which such Distribution Date occurs.
To the extent of that portion of its Master Servicing Fees (in the
case of each loan, calculated at 0.04% per annum) and all other of its servicing
compensation for the related Collection Period, the Master Servicer is required
to make a non-reimbursable payment with respect to each Distribution Date to
cover the aggregate of any Prepayment
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Interest Shortfalls incurred with respect to the Mortgage Pool during each
Collection Period. The "Net Aggregate Prepayment Interest Shortfall" for any
Distribution Date will be the amount, if any, by which (a) the aggregate of all
Prepayment Interest Shortfalls incurred with respect to the Mortgage Pool during
the related Collection Period, exceeds (b) any such payment made by the Master
Servicer with respect to such Distribution Date to cover such Prepayment
Interest Shortfalls. See "Servicing of the Mortgage Loans--Servicing and Other
Compensation and Payment of Expenses" herein. The Net Aggregate Prepayment
Interest Shortfall, if any, for each Distribution Date will be allocated on such
Distribution Date: first, to the respective Classes of REMIC Regular
Certificates (other than the Senior Certificates) sequentially in reverse
alphabetical order of Class designation, in each case up to the amount of the
Accrued Certificate Interest in respect of such Class of Certificates for such
Distribution Date; and thereafter, among the respective Classes of Senior
Certificates, pro rata, in accordance with the respective amounts of Accrued
Certificate Interest for each such Class of Senior Certificates for such
Distribution Date.
Principal Distribution Amount. The "Principal Distribution Amount" with
respect to each Loan Group for any Distribution Date will, in general, equal the
aggregate of the following:
(a) the principal portions of all Scheduled Payments (other than
Balloon Payments) and any Assumed Scheduled Payments due or deemed due, as
the case may be, in respect of the Mortgage Loans in such Loan Group for
their respective Due Dates occurring during the related Collection Period;
(b) all voluntary principal prepayments received on the Mortgage Loans
in such Loan Group during the related Collection Period;
(c) with respect to any Balloon Loan in such Loan Group as to which
the related stated maturity date occurred during or prior to the related
Collection Period, any payment of principal (exclusive of any voluntary
principal prepayment and any amount described in clause (d) below) made by
or on behalf of the related borrower during the related Collection Period,
net of any portion of such payment that represents a recovery of the
principal portion of any Scheduled Payment (other than a Balloon Payment)
due, or the principal portion of any Assumed Scheduled Payment deemed due,
in respect of such Mortgage Loan on a Due Date during or prior to the
related Collection Period and not previously recovered;
(d) the portion of all Liquidation Proceeds, Condemnation Proceeds and
Insurance Proceeds received on the Mortgage Loans in such Loan Group during
the related Collection Period that were identified and applied by the
Master Servicer as recoveries of principal thereof, in each case net of any
portion of such amounts that represents a recovery of the principal portion
of any Scheduled Payment (other than a Balloon Payment) due, or the
principal portion of any Assumed Scheduled Payment deemed due, in respect
of the related Mortgage Loan on a Due Date during or prior to the related
Collection Period and not previously recovered; and
(e) if such Distribution Date is subsequent to the initial
Distribution Date, the excess, if any, of (i) the Principal Distribution
Amount with respect to such Loan Group for the immediately preceding
Distribution Date, over (ii) the aggregate distributions of principal made
on the Sequential Pay Certificates in respect of such Principal
Distribution Amount on such immediately preceding Distribution Date.
The "Scheduled Payment" due on any Mortgage Loan on any related Due Date
will, in general, be the scheduled payment of principal and/or interest due
thereon on such date (taking into account any waiver, modification or amendment
of the terms of such Mortgage Loan, whether agreed to by the Master Servicer or
Special Servicer or in connection with a bankruptcy or similar proceeding
involving the related borrower).
An "Assumed Scheduled Payment" is an amount deemed due in respect of: (i)
any Balloon Loan that is delinquent in respect of its Balloon Payment beyond the
first Determination Date that follows its stated maturity date and as to which
no arrangements have been agreed to for collection of the delinquent amounts; or
(ii) any Mortgage Loan as to which the related Mortgaged Property or Properties
have become REO Property or Properties. The Assumed Scheduled Payment deemed due
on any such Balloon Loan on its stated maturity date and on each successive Due
Date that it remains or is deemed to remain outstanding shall equal the
Scheduled Payment that would have been due thereon on such date if the related
Balloon Payment had not come due, but rather such Mortgage Loan had continued to
amortize in accordance with such loan's amortization schedule, if any, in effect
immediately prior to maturity and had continued to accrue interest in accordance
with such loan's terms in effect immediately prior to maturity. The
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Assumed Scheduled Payment deemed due on any such Mortgage Loan as to which the
related Mortgaged Property or Properties have become REO Property or Properties,
on each Due Date for so long as such REO Property or Properties remain part of
the Trust Fund, shall equal the Scheduled Payment (or, in the case of a Balloon
Loan described in the prior sentence, the Assumed Scheduled Payment) due on the
last Due Date prior to the acquisition of such REO Property or Properties.
Distributions of Prepayment Premiums. Any Prepayment Premium (whether
described in the related Mortgage Loan documents as a fixed prepayment premium
or a yield maintenance amount) actually collected with respect to a Mortgage
Loan during any particular Collection Period will be distributed on the related
Distribution Date as follows:
1. If such Prepayment Premium is with respect to a Group 1 Loan, to
the holders of the Class X-1 Certificates.
2. If such Prepayment Premium is with respect to a Group 2 Loan:
(a) First, on a pro rata basis in accordance with their
respective entitlements, (i) to the holders of the Class X-2
Certificates, up to an amount equal to (A) the present value
(discounted at the Discount Rate (as defined below) for the Class X-2
Certificates plus the Spread Rate (as defined below) for the Class X-2
Certificates) of the aggregate interest that would have been paid in
respect of the Class X-2 Certificates from the Distribution Date
occurring in the following month until the Notional Amount of the
Class X-2 Certificates would have been reduced to zero had the related
prepayment not occurred, minus (B) the present value (discounted at
the Discount Rate for the Class X-2 Certificates plus the Spread Rate
for the Class X-2 Certificates) of the aggregate interest that is to
be paid in respect of the Class X-2 Certificates from the Distribution
Date occurring in the following month until the Notional Amount of the
Class X-2 Certificates is to be reduced to zero after taking account
of the related prepayment; (ii) to the holders of the Class A-2A
Certificates, up to an amount equal to (A) the present value
(discounted at the Discount Rate for the Class A-2A Certificates plus
the Spread Rate for the Class A-2A Certificates) of the aggregate
principal and interest that would have been paid in respect of the
Class A-2A Certificates from the Distribution Date occurring in the
following month until the Certificate Balance of the Class A-2A
Certificates would have been reduced to zero had the related
prepayment not occurred, minus (B) the sum of the amount of the
related prepayment distributed in respect of the Class A-2A
Certificates and the present value (discounted at the Discount Rate
for the Class A-2A Certificates plus the Spread Rate for the Class
A-2A Certificates) of the aggregate principal and interest that is to
be paid in respect of the Class A-2A Certificates from the
Distribution Date occurring in the following month until the
Certificate Balance of the Class A-2A Certificates is to be reduced to
zero after taking account of the related prepayment; and (iii) to the
holders of the Class A-2B Certificates, up to an amount equal to (A)
the present value (discounted at the Discount Rate for the Class A-2B
Certificates plus the Spread Rate for the Class A-2B Certificates) of
the aggregate principal and interest that would have been paid in
respect of the Class A-2B Certificates from the Distribution Date
occurring in the following month until the Certificate Balance of the
Class A-2B Certificates would have been reduced to zero had the
related prepayment not occurred, minus (B) the sum of the amount of
the related prepayment distributed in respect of the Class A-2B
Certificates and the present value (discounted at the Discount Rate
for the Class A-2B Certificates plus the Spread Rate for the Class
A-2B Certificates) of the aggregate principal and interest that is to
be paid in respect of the Class A-2B Certificates from the
Distribution Date occurring in the following month until the
Certificate Balance of the Class A-2B Certificates is to be reduced to
zero after taking account of the related prepayment;
(b) then, to the extent of any portion of such Prepayment Premium
remaining following the distributions described in the preceding
clause (a), to the holders of the remaining Group 2 Certificates
(other than the Class G, Class H, Class J and Class K Certificates),
in alphabetical order of Class designation, in each case in the same
manner as described for the Class A-2A and Class A-2B Certificates in
clauses (a)(ii) and (a)(iii) above (except that the Discount Rate and
Spread Rate for each such Class shall correspond to the applicable
rate set forth in the definitions below); and
(c) then, to the extent of any portion of such Prepayment Premium
remaining following the distributions described in the preceding
clauses (a) and (b), to the holders of the Class R-II Certificates.
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The foregoing calculations (as well as the calculation of Discount Rates
described in the next paragraph) will be made by assuming no future prepayments
on or in respect of the Mortgage Loans during, and by otherwise applying the
Maturity Assumptions to, the period subsequent to the end of the Collection
Period in which the related prepayment was received. If more than one prepayment
occurs with respect to Loan Group 2 during any Collection Period, then the
foregoing calculations shall be applied collectively for all such prepayments in
the aggregate.
For purposes of the foregoing, the "Discount Rate" with respect to any
Class of Offered Certificates is the rate determined by the Trustee, in its good
faith, to be the yield (interpolated and rounded to the nearest one-thousandth
of a percent, if necessary) in the secondary market for United States Treasury
securities with a maturity equal to the earlier of the maturity of the
particular Mortgage Loan being prepaid and the final Distribution Date for such
Class of Certificates (without taking into account the related principal
prepayment but giving effect to all prior prepayments).
The "Spread Rate" for the Class X-2 Certificates is 1.0% per annum, for the
Class A-2A and A-2B Certificates is 0.20% per annum, for the Class B
Certificates is 0.30% per annum, for the Class C Certificates is 0.40% per
annum, for the Class D Certificates is 0.50% per annum, for the Class E
Certificates is 1.00% per annum and for the Class F Certificates is 1.50% per
annum. The Class G, Class H, Class J and Class K will not receive any Prepayment
Premiums. The assumed LIBOR rate, if applicable, shall be the LIBOR rate in
effect for the next Interest Accrual Period.
The Prepayment Premiums, if any, collected on the Mortgage Loans during any
Collection Period may not be sufficient to fully compensate Certificateholders
of any Class for any loss in yield attributable to the related prepayments of
principal. See "Risk Factors--The Mortgage Loans--Prepayment Premiums" herein.
Treatment of REO Properties. Notwithstanding that any Mortgaged Property
may be acquired as part of the Trust Fund through foreclosure, deed in lieu of
foreclosure or otherwise, the related Mortgage Loan will be treated, for
purposes of, among other things, determining distributions on the Certificates,
allocations of Realized Losses and Additional Trust Fund Expenses to the
Certificates, and the amount of Master Servicing Fees and Special Servicing Fees
payable under the Pooling Agreement, as having remained outstanding until such
REO Property is liquidated. Among other things, such Mortgage Loan will be taken
into account when determining Pass-Through Rates and the Principal Distribution
Amount for the related Loan Group. In connection therewith, operating revenues
and other proceeds derived from such REO Property (after application thereof to
pay certain costs and taxes, including certain reimbursements payable to the
Master Servicer, the Special Servicer and/or the Trustee, incurred in connection
with the operation and disposition of such REO Property) will be "applied" by
the Master Servicer as principal, interest and other amounts "due" on such
Mortgage Loan, and, subject to the recoverability determination described below
(see "--P&I Advances"), the Master Servicer will be required to make P&I
Advances in respect of such Mortgage Loan, in all cases as if such Mortgage Loan
had remained outstanding.
Subordination; Allocation of Losses and Certain Expenses
As and to the extent described herein, the rights of holders of the Class
B, the Class C, the Class D, the Class E, the Class F and the Private
Certificates (collectively, the "Subordinate Certificates") to receive
distributions of amounts collected or advanced on the Mortgage Loans will, in
the case of each Class thereof, be subordinated to the rights of holders of the
Class A and the Class X Certificates (collectively, the "Senior Certificates")
and, further, to the rights of holders of each other Class of Subordinate
Certificates, if any, with an earlier alphabetical Class designation. This
subordination is intended to enhance the likelihood of timely receipt by holders
of the respective Classes of Senior Certificates of the full amount of
Distributable Certificate Interest payable in respect of their Certificates on
each Distribution Date, and the ultimate receipt by holders of the respective
Classes of Class A Certificates of principal equal to, in each such case, the
entire Certificate Balance of such Class of Certificates. Similarly, but to
decreasing degrees, this subordination is also intended to enhance the
likelihood of timely receipt by holders of the other Classes of Offered
Certificates of the full amount of Distributable Certificate Interest payable in
respect of their Certificates on each Distribution Date, and the ultimate
receipt by holders of the other Classes of Offered Certificates of principal
equal to, in each such case, the entire Certificate Balance of such Class of
Certificates. The subordination of any Class of Subordinate Certificates will be
accomplished by, among other things, the application of the Available
Distribution Amount on each Distribution Date in the order of priority described
under "--Distributions--Application of the Available Distribution Amount" above.
No other form of Credit Support will be available for the benefit of holders of
the Offered Certificates.
If, following the distributions to be made in respect of the Certificates
on any Distribution Date, the aggregate Stated Principal Balance of the Mortgage
Pool that will be outstanding immediately following such Distribution Date
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is less than the then aggregate Certificate Balance of the Sequential Pay
Certificates, the Certificate Balances of the Class K, Class J, Class H, Class
G, Class F, Class E, Class D, Class C and Class B Certificates will be reduced,
sequentially in that order, in the case of each such Class until such deficit
(or the related Certificate Balance) is reduced to zero (whichever occurs
first). If any portion of such deficit remains at such time as the Certificate
Balances of such Classes of Certificates are reduced to zero, then the
respective Certificate Balances of the Class A-1, Class A-2A and Class A-2B
Certificates will be reduced, pro rata in accordance with the relative sizes of
the remaining Certificate Balances of such Classes of Certificates, until such
deficit (or each such Certificate Balance) is reduced to zero. Any such deficit
may be the result of Realized Losses incurred in respect of the Mortgage Loans
and/or Additional Trust Fund Expenses. The foregoing reductions in the
Certificate Balances of the Sequential Pay Certificates will be deemed to
constitute an allocation of any such Realized Losses and Additional Trust Fund
Expenses.
"Realized Losses" are losses on or in respect of the Mortgage Loans arising
from the inability of the Master Servicer and/or the Special Servicer to collect
all amounts due and owing under any such Mortgage Loan, including by reason of
the fraud or bankruptcy of a borrower or a casualty of any nature at a Mortgaged
Property, to the extent not covered by insurance. The Realized Loss in respect
of a liquidated Mortgage Loan (or related REO Property or Properties) is an
amount generally equal to the excess, if any, of (a) the outstanding principal
balance of such Mortgage Loan as of the date of liquidation, together with (i)
all accrued and unpaid interest thereon at the related Mortgage Rate to but not
including the Due Date in the Collection Period in which the liquidation
occurred and (ii) all related unreimbursed Servicing Advances and outstanding
liquidation expenses, over (b) the aggregate amount of Liquidation Proceeds, if
any, recovered in connection with such liquidation. If any portion of the debt
due under a Mortgage Loan is forgiven, whether in connection with a
modification, waiver or amendment granted or agreed to by the Master Servicer or
the Special Servicer or in connection with the bankruptcy or similar proceeding
involving the related borrower, the amount so forgiven also will be treated as a
Realized Loss.
"Additional Trust Fund Expenses" include, among other things, (i) all
Special Servicing Fees,Workout Fees and Liquidation Fees paid to the Special
Servicer, (ii) any interest paid to the Master Servicer, the Special Servicer
and/or the Trustee in respect of unreimbursed Advances, (iii) the cost of
various opinions of counsel required or permitted to be obtained in connection
with the servicing of the Mortgage Loans and the administration of the Trust
Fund, (iv) certain unanticipated, non-Mortgage Loan specific expenses of the
Trust Fund, including certain reimbursements to the Trustee as described under
"Description of the Pooling Agreements--Certain Matters Regarding the Trustee"
in the Prospectus, certain reimbursements to the Master Servicer, the Special
Servicer, the REMIC Administrator and the Sponsor as described under
"Description of the Pooling Agreements--Certain Matters Regarding the Master
Servicer, Special Servicer, REMIC Administrator and Sponsor" in the Prospectus
and certain federal, state and local taxes, and certain tax-related expenses,
payable out of the Trust Fund as described under "Certain Federal Income Tax
Consequences--Possible Taxes on Income From Foreclosure Property" herein and
"Material Federal Income Tax Consequences--Prohibited Transactions Tax and Other
Taxes" in the Prospectus, (v) if not advanced by the Master Servicer, any
amounts expended on behalf of the Trust Fund to remediate an adverse
environmental condition at any Mortgaged Property securing a defaulted Mortgage
Loan (see "Description of the Pooling Agreements--Realization Upon Defaulted
Mortgage Loans" in the Prospectus), and (vi) any other expense of the Trust Fund
not specifically included in the calculation of "Realized Loss" for which there
is no corresponding collection from a borrower. Additional Trust Fund Expenses
will reduce amounts payable to Certificateholders and, consequently, may result
in a loss on the Offered Certificates.
P&I Advances
With respect to each Distribution Date, the Master Servicer will be
obligated, subject to the recoverability determination described below, to make
advances (each, a "P&I Advance") out of its own funds or, subject to the
replacement thereof as provided in the Pooling Agreement, funds held in the
Certificate Account that are not required to be part of the Available
Distribution Amount for such Distribution Date, in an amount generally equal to
the aggregate of all Scheduled Payments (other than Balloon Payments) and any
Assumed Scheduled Payments, in each case net of related Master Servicing Fees
and Workout Fees, that were due or deemed due, as the case may be, in respect of
the Mortgage Loans during the related Collection Period and that were not paid
by or on behalf of the related borrowers or otherwise collected as of the close
of business on the last day of the related Collection Period. The Master
Servicer's obligations to make P&I Advances in respect of any Mortgage Loan will
continue through liquidation of such Mortgage Loan or disposition of any REO
Property acquired in respect thereof. Notwithstanding
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the foregoing, if it is determined that an Appraisal Reduction Amount exists
with respect to any Required Appraisal Mortgage Loan (as defined below), then,
with respect to the Distribution Date immediately following the date of such
determination and with respect to each subsequent Distribution Date for so long
as such Appraisal Reduction Amount exists, in the event of subsequent
delinquencies thereon, the interest portion of the P&I Advance in respect of
such Mortgage Loan will be reduced (no reduction to be made in the principal
portion, however) to equal to the product of (i) the amount of the interest
portion of such P&I Advance that would otherwise be required to be made for such
Distribution Date without regard to this sentence, multiplied by (ii) a fraction
(expressed as a percentage), the numerator of which is equal to the Stated
Principal Balance of such Mortgage Loan, net of such Appraisal Reduction Amount,
and the denominator of which is equal to the Stated Principal Balance of such
Mortgage Loan. See "--Appraisal Reductions" below. If the Master Servicer fails
to make a required P&I Advance, the Trustee will be required to make such P&I
Advance. See "--The Trustee" below.
The Master Servicer and the Trustee will each be entitled to recover any
P&I Advance made out of its own funds from any amounts collected in respect of
the Mortgage Loan as to which such P&I Advance was made, whether in the form of
late payments, Insurance Proceeds, Condemnation Proceeds, Liquidation Proceeds
or otherwise ("Related Proceeds"). Notwithstanding the foregoing, neither the
Master Servicer nor the Trustee will be obligated to make any P&I Advance that
it determines in its reasonable good faith judgment would, if made, not be
recoverable out of Related Proceeds (a "Nonrecoverable P&I Advance"), and the
Master Servicer will be entitled to recover any P&I Advance that at any time is
determined to be a Nonrecoverable P&I Advance out of funds received on or in
respect of other Mortgage Loans. See "Description of the Certificates--Advances
in Respect of Delinquencies" and "Description of the Pooling
Agreements--Certificate Account" in the Prospectus.
The Master Servicer and the Trustee will each be entitled with respect to
any Advance made thereby, and the Special Servicer will be entitled with respect
to any Servicing Advance made thereby, to interest accrued on the amount of such
Advance for so long as it is outstanding at a rate per annum (the "Reimbursement
Rate") equal to the "prime rate" as published in the "Money Rates" section of
The Wall Street Journal, as such "prime rate" may change from time to time. Such
interest on any Advance will be payable to the Master Servicer, the Special
Servicer or the Trustee, as the case may be, out of default interest collected
in respect of the related Mortgage Loan or, in connection with the reimbursement
of such Advance, out of any amounts then on deposit in the Certificate Account.
To the extent not offset by default interest actually collected in respect of
any defaulted Mortgage Loan, interest accrued on outstanding Advances made in
respect thereof will result in a reduction in amounts payable on the
Certificates.
Appraisal Reductions
Upon the earliest of (i) the date on which any Mortgage Loan becomes a
Modified Mortgage Loan (as defined below), (ii) the 90th day following the
occurrence of any uncured delinquency in Monthly Payments with respect to any
Mortgage Loan, (iii) the date on which a receiver is appointed and continues in
such capacity in respect of a Mortgaged Property securing any Mortgage Loan and
(iv) the date on which a Mortgaged Property securing any Mortgage Loan becomes
an REO Property (each such Mortgage Loan, a "Required Appraisal Loan"), the
Master Servicer or the Special Servicer, as applicable, will be required, within
30 days (or such longer period as the Master Servicer or the Special Servicer,
as applicable, is diligently and in good faith proceeding to obtain such
appraisal), to obtain an appraisal of the related Mortgaged Property from an
independent MAI-designated appraiser, unless such an appraisal had previously
been obtained within the prior twelve months. The cost of such appraisal will be
advanced by the Master Servicer or the Special Servicer, as the case may be,
subject to its right to be reimbursed therefor as a Servicing Advance. As a
result of any such appraisal, it may be determined that an Appraisal Reduction
Amount exists with respect to the related Required Appraisal Loan. The
"Appraisal Reduction Amount" for any Required Appraisal Loan will equal the
excess, if any, of (a) the sum of, as of the Determination Date immediately
succeeding the date on which the appraisal is obtained, (i) the Stated Principal
Balance of such Required Appraisal Loan, (ii) to the extent not previously
advanced by or on behalf of the Master Servicer or the Trustee, all unpaid
interest on the Required Appraisal Loan through the most recent Due Date prior
to such Determination Date at a per annum rate equal to the related Net Mortgage
Rate, (iii) all accrued but unpaid Master Servicing Fees and Special Servicing
Fees in respect of such Required Appraisal Loan, (iv) all related unreimbursed
Advances made by or on behalf of the Master Servicer, the Special Servicer or
the Trustee with respect to such Required Appraisal Loan plus interest accrued
thereon at the Reimbursement Rate and (v) all currently due and unpaid real
estate taxes and assessments, insurance premiums, and, if applicable, ground
rents in respect of the related Mortgaged Property, net of any escrow reserves
held by the Master Servicer or Special Servicer to cover any such item, over (b)
90% of an amount equal to (i)
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the appraised value of the related Mortgaged Property or REO Property as
determined by such appraisal, net of (ii) the amount of any liens on such
property that are prior to the lien of the Required Appraisal Loan.
With respect to each Required Appraisal Loan (unless such Mortgage Loan has
become a Corrected Mortgage Loan and has remained current for twelve consecutive
Monthly Payments, and no other Servicing Transfer Event has occurred with
respect thereto during the preceding twelve months), the Special Servicer is
required, within 30 days of each anniversary of such loan's becoming a Required
Appraisal Loan, to order an update of the prior appraisal (the cost of which
will be a Servicing Advance). Based upon such appraisal, the Special Servicer is
to redetermine and report to the Trustee the Appraisal Reduction Amount, if any,
with respect to such Mortgage Loan.
A "Modified Mortgage Loan" is any Mortgage Loan as to which any Servicing
Transfer Event has occurred and which has been modified by the Special Servicer
in a manner that: (A) affects the amount or timing of any payment of principal
or interest due thereon (other than, or in addition to, bringing current Monthly
Payments with respect such Mortgage Loan); (B) except as expressly contemplated
by the related Mortgage, results in a release of the lien of the Mortgage on any
material portion of the related Mortgaged Property without a corresponding
principal prepayment in an amount not less than the fair market value (as is) of
the property to be released; or (C) in the reasonable good faith judgment of the
Special Servicer, otherwise materially impairs the security for such Mortgage
Loan or reduces the likelihood of timely payment of amounts due thereon.
Reports to Certificateholders; Certain Available Information
Trustee Reports. Based on information provided in monthly reports prepared
by the Master Servicer and the Special Servicer and delivered to the Trustee,
the Trustee will prepare and/or forward on each Distribution Date to each
Certificateholder and each Rating Agency, the following statements and reports
(collectively, the "Trustee Reports") substantially in the form of Annex B and
substantially containing the information set forth below:
(1) A statement (a "Distribution Date Statement") setting forth, among
other things: (i) the amount of distributions, if any, made on such
Distribution Date to the holders of each Class of Sequential Pay
Certificates and applied to reduce the respective Certificate Balances
thereof; (ii) the amount of distributions, if any, made on such
Distribution Date to the holders of each Class of REMIC Regular
Certificates allocable to Distributable Certificate Interest; (iii) the
number of outstanding Mortgage Loans at the close of business on the
related Determination Date and the aggregate Stated Principal Balance of
the Mortgage Loans immediately before and after such Distribution Date;
(iv) as of the Determination Date in the prior calendar month, the number
and aggregate unpaid principal balance of Mortgage Loans (A) delinquent one
month, (B) delinquent two months, (C) delinquent three or more months, (D)
that are Specially Serviced Mortgage Loans but are not delinquent or (E) as
to which foreclosure proceedings have been commenced; (v) with respect to
any Mortgage Loan as to which the related Mortgaged Property became an REO
Property during the related Collection Period, the Stated Principal Balance
and unpaid principal balance of such Mortgage Loan as of the date such
Mortgaged Property became an REO Property; (vi) as to any Mortgage Loan
repurchased or otherwise liquidated or disposed of during the related
Collection Period, the loan number thereof and the amount of any
Liquidation Proceeds and/or other amounts, if any, received thereon during
the related Collection Period and the portion thereof included in the
Available Distribution Amount for such Distribution Date; (vii) with
respect to any REO Property included in the Trust Fund as of the close of
business on the last day of the related Collection Period, (A) the loan
number of the related Mortgage Loan, (B) the book value of such REO
Property and (C) the amount of any income collected with respect to such
REO Property (net of related expenses) and other amounts, if any, received
on such REO Property during the related Collection Period and the portion
thereof included in the Available Distribution Amount for such Distribution
Date; (viii) with respect to any REO Property sold or otherwise disposed of
during the related Collection Period, (A) the loan number of the related
Mortgage Loan, (B) the amount of sale proceeds and other amounts, if any,
received in respect of such REO Property during the related Collection
Period and the portion thereof included in the Available Distribution
Amount for such Distribution Date and (C) the date of the related
determination by the Special Servicer that it has recovered all payments
which it expects to be finally recoverable; (ix) the Certificate Balance or
Notional Amount of each Class of REMIC Regular Certificates immediately
before and immediately after such Distribution Date, separately identifying
any reduction in the Certificate Balance or Notional Amount of each such
Class due to Realized Losses and Additional Trust Fund Expenses; (x) the
aggregate amount of principal prepayments made during the related
Collection Period, and the aggregate amount of any Prepayment Interest
Shortfalls incurred in connection therewith; (xi) the aggregate
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amount of servicing compensation retained by or paid to the Master Servicer
and the Special Servicer in respect of the related Collection Period; (xii)
the amount of Realized Losses and Additional Trust Fund Expenses, if any,
incurred with respect to the Trust Fund during the related Collection
Period; (xiii) the aggregate amount of Advances outstanding as of the close
of business on the prior Distribution Date which had been made by the
Master Servicer, the Special Servicer and/or the Trustee; and (xiv) the
amount of any Appraisal Reduction Amount on a loan-by-loan basis and the
total Appraisal Reduction Amounts as of such Distribution Date. In the case
of information furnished pursuant to subclauses (i), (ii) and (ix) above,
the amounts shall be expressed as a dollar amount in the aggregate for all
Certificates of each applicable Class and per single Certificate of a
specified minimum denomination.
(2) A report containing information regarding the Mortgage Loans as of
the close of business on therelated Determination Date, which report shall
contain substantially the categories of information regarding the Mortgage
Loans set forth in this Prospectus Supplement in the tables under the
caption "Annex A: Certain Characteristics of the Mortgage Loans"
(calculated, where applicable, on the basis of the most recent relevant
information provided by the borrowers to the Master Servicer or the Special
Servicer and by the Master Servicer or the Special Servicer, as the case
may be, to the Trustee) and such information shall be presented in a
loan-by-loan and tabular format substantially similar to the formats
utilized in this Prospectus Supplement on Annex A.
(3) A "Delinquent Loan Status Report" setting forth, among other
things, those Mortgage Loans which, as of the close of business on the
Determination Date in the prior calendar month, were delinquent 30-59 days,
delinquent 60-89 days, delinquent 90 days or more, current but specially
serviced, or in foreclosure but not REO Property.
(4) An "Historical Loan Modification Report" setting forth, among
other things, those Mortgage Loans which, as of the close of business on
the Determination Date immediately preceding the preparation of such
report, have been modified pursuant to the Pooling Agreement (i) during the
Collection Period ending on such Determination Date and (ii) since the
Cut-off Date, showing the original and the revised terms thereof.
(5) An "Historical Loss Report" setting forth, among other things, as
of the close of business on the last day of the most recently ended
Collection Period preceding the preparation of such report, (i) the
aggregate amount of liquidation proceeds and liquidation expenses, both for
such Collection Period and historically, and (ii) the amount of Realized
Losses occurring during such Collection Period, set forth on a Mortgage
Loan-by-Mortgage Loan basis.
(6) An "REO Status Report" setting forth, among other things, with
respect to each REO Property that was included in the Trust Fund as of the
close of business on the last day of the most recently ended Collection
Period preceding the preparation of such report, (i) the acquisition date
of such REO Property, (ii) the amount of income collected with respect to
any REO Property (net of related expenses) and other amounts, if any,
received on such REO Property during such Collection Period and (iii) the
value of the REO Property based on the most recent appraisal or other
valuation thereof available to the Master Servicer as of such date of
determination (including any prepared internally by the Special Servicer).
(7) A "Special Servicer Loan Status Report" setting forth, among other
things, as of the close of business on the Determination Date immediately
preceding the preparation of such report, (i) the aggregate amount of
Specially Serviced Mortgage Loans and (ii) a loan-by-loan listing of all
Specially Serviced Mortgage Loans indicating their status, date and reason
for transfer to the Special Servicer.
None of the above reports will include any information that the Master
Servicer deems to be confidential. The information that pertains to Specially
Serviced Mortgage Loans and REO Properties reflected in such reports shall be
based solely upon the reports delivered by the Special Servicer to the Master
Servicer prior to the related Distribution Date. Absent manifest error, none of
the Master Servicer, the Special Servicer or the Trustee shall be responsible
for the accuracy or completeness of any information supplied to it by a borrower
or other third party that is included in any reports, statements, materials or
information prepared or provided by the Master Servicer, the Special Servicer or
the Trustee, as applicable.
The Master Servicer is also required to deliver to the Trustee within 90
days following the end of each calendar quarter, commencing with the calendar
quarter ended September 30, 1996, with respect to each Mortgaged Property
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and REO Property, an "Operating Statement Analysis" containing revenue, expense
and net operating income information normalized using the methodology described
in Annex A as of the end of such calendar quarter, together with copies of the
operating statements and rent rolls (but only to the extent the related borrower
is required by the Mortgage to deliver, or otherwise agrees to provide, such
information) for such Mortgaged Property or REO Property as of the end of such
calendar quarter.
Certificate Owners who have certified to the Trustee as to their beneficial
ownership of any Offered Certificate may also obtain copies of any of the
Trustee Reports and Operating Statement Analyses described above. Otherwise,
until such time as Definitive Certificates are issued in respect of the Offered
Certificates, the foregoing information will be available to the related
Certificate Owners only to the extent that it is forwarded by or otherwise
available through DTC and its Participants. Conveyance of notices and other
communications by DTC to Participants, and by Participants to Certificate
Owners, will be governed by arrangements among them, subject to any statutory or
regulatory requirements as may be in effect from time to time. The Master
Servicer, the Special Servicer, the Trustee, the Sponsor, the REMIC
Administrator, the Mortgage Loan Seller and the Certificate Registrar are
required to recognize as Certificateholders only those persons in whose names
the Certificates are registered on the books and records of the Certificate
Registrar.
For a discussion of certain annual information reports to be furnished by
the Trustee to persons who at any time during the prior calendar year were
holders of the Offered Certificates, see "Description of the
Certificates--Reports to Certificateholders" in the Prospectus.
Other Information. The Pooling Agreement requires that the Trustee make
available at its Corporate Trust Office, during normal business hours, upon
reasonable advance written notice, for review by any holder or Certificate Owner
of an Offered Certificate or any person identified to the Trustee as a
prospective transferee of an Offered Certificate or any interest therein,
originals or copies of, among other things, the following items: (a) the Pooling
Agreement and any amendments thereto, (b) all Trustee Reports delivered to
holders of the relevant Class of Offered Certificates since the Delivery Date,
(c) all officer's certificates delivered to the Trustee since the Delivery Date
as described under "Description of the Pooling Agreements--Evidence as to
Compliance" in the Prospectus, (d) all accountant's reports delivered to the
Trustee since the Delivery Date as described under "Description of the Pooling
Agreements--Evidence as to Compliance" in the Prospectus, and (e) the Mortgage
Note, Mortgage and other legal documents relating to each Mortgage Loan,
including any and all modifications, waivers and amendments of the terms of a
Mortgage Loan entered into by the Master Servicer or the Special Servicer and
delivered to the Trustee. In addition, the Master Servicer is required to make
available, during normal business hours, upon reasonable advance written notice,
for review by any holder or Certificate Owner of an Offered Certificate or any
person identified to the Master Servicer as a prospective transferee of an
Offered Certificate or any interest therein, originals or copies of any and all
documents (in the case of documents generated by the Special Servicer, to the
extent received therefrom) that constitute the servicing file for each Mortgage
Loan. Copies of any and all of the foregoing items will be available from the
Trustee or the Master Servicer, as the case may be, upon request; however, the
Trustee or the Master Servicer, as the case may be, will be permitted to require
payment of a sum sufficient to cover the reasonable costs and expenses of
providing such services.
The Trustee and Master Servicer will each make available, upon reasonable
advance notice and at the expense of the requesting party, copies of the items
referred to in the prior paragraph that are maintained thereby, to
Certificateholders, Certificate Owners and prospective purchasers of
Certificates and interests therein; provided that the Trustee and Master
Servicer may each require (a) in the case of a Certificate Owner, a written
confirmation executed by the requesting person or entity, in a form reasonably
acceptable to the Trustee or Master Servicer, as applicable, generally to the
effect that such person or entity is a beneficial owner of Offered Certificates,
is requesting the information solely for use in evaluating such person's or
entity's investment in such Certificates and will otherwise keep such
information confidential and (b) in the case of a prospective purchaser,
confirmation executed by the requesting person or entity, in a form reasonably
acceptable to the Trustee or Master Servicer, as applicable, generally to the
effect that such person or entity is a prospective purchaser of Offered
Certificates or an interest therein, is requesting the information solely for
use in evaluating a possible investment in such Certificates and will otherwise
keep such information confidential. Certificateholders, by the acceptance of
their Certificates, will be deemed to have agreed to keep such information
confidential.
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Voting Rights
At all times during the term of the Pooling Agreement, 94.0% of the voting
rights for the Certificates (the "Voting Rights") shall be allocated among the
holders of the respective Classes of Sequential Pay Certificates in proportion
to the Certificate Balances of their Certificates, and 6.0% of the Voting Rights
shall be allocated among the holders of the respective Classes of Class X
Certificates in proportion to the Notional Amounts of their Certificates. Voting
Rights allocated to a Class of Certificateholders shall be allocated among such
Certificateholders in proportion to the percentage interests in such Class
evidenced by their respective Certificates. See "Description of the
Certificates--Voting Rights" in the Prospectus.
Termination
The obligations created by the Pooling Agreement will terminate following
the earliest of (i) the final payment (or advance in respect thereof) or other
liquidation of the last Mortgage Loan or related REO Property remaining in the
Trust Fund, and (ii) the purchase of all of the Mortgage Loans and REO
Properties remaining in the Trust Fund by the Master Servicer or by any holder
(other than the Sponsor or Mortgage Loan Seller) of Certificates representing a
majority of the Voting Rights allocated to the Controlling Class. Written notice
of termination of the Pooling Agreement will be given to each Certificateholder,
and the final distribution with respect to each Certificate will be made only
upon surrender and cancellation of such Certificate at the office of the
Certificate Registrar or other location specified in such notice of termination.
Any such purchase by the Master Servicer or a majority holder of the
Controlling Class of all the Mortgage Loans and REO Properties remaining in the
Trust Fund is required to be made at a price equal to (a) the sum of (i) the
aggregate Purchase Price of all the Mortgage Loans then included in the Trust
Fund (other than the Mortgage Loans as to which the related Mortgaged Property
or Properties has become REO Property) and (ii) the fair market value of all REO
Properties then included in the Trust Fund, as determined by an appraiser
mutually agreed upon by the Master Servicer and the Trustee, minus (b) (solely
in the case of a purchase by the Master Servicer) the aggregate of all amounts
payable or reimbursable to the Master Servicer under the Pooling Agreement. Such
purchase will effect early retirement of the then outstanding Certificates, but
the right of the Master Servicer or a majority holder of the Controlling Class
to effect such termination is subject to the requirement that the then aggregate
Stated Principal Balance of the Mortgage Pool be less than 1.0% of the Initial
Pool Balance. The purchase price paid by the Master Servicer or a majority
holder of the Controlling Class, exclusive of any portion thereof payable or
reimbursable to any person other than the Certificateholders, will constitute
part of the Available Distribution Amount for the final Distribution Date.
The Trustee
State Street Bank and Trust Company, a trust company chartered under the
laws of the Commonwealth of Massachusetts, will act as Trustee on behalf of the
Certificateholders. The Corporate Trust Department of the Trustee is located at
Two International Place, 5th Floor, Boston, Massachusetts 02110. See
"Description of the Pooling Agreements--the Trustee", "--Duties of the Trustee",
"--Certain Matters Regarding the Trustee" and "--Resignation and Removal of the
Trustee" in the Prospectus.
Pursuant to the Pooling Agreement, the Master Servicer will be responsible
for paying the compensation of the Trustee.
The Trustee will also have certain duties with respect to REMIC
administration (in such capacity the "REMIC Administrator"). See "Material
Federal Income Tax Consequences--REMICs--Reporting and Other Administrative
Matters" and "Description of the Pooling Agreements--Certain Matters Regarding
the Master Servicer, the Special Servicer, the REMIC Administrator and the
Sponsor", "--Events of Default" and "--Rights Upon Event of Default" in the
Prospectus.
YIELD AND MATURITY CONSIDERATIONS
Yield Considerations
General. The yield on any Offered Certificate will depend on (a) the
price at which such Certificate is purchased by an investor and (b) the rate,
timing and amount of distributions on such Certificate. The rate, timing and
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amount of distributions on any Offered Certificate will in turn depend on, among
other things, (v) the Pass-Through Rate for such Certificate, (w) the rate and
timing of principal payments (including principal prepayments) and other
principal collections on or in respect of the Mortgage Loans and the extent to
which such amounts are to be applied or otherwise result in reduction of the
Certificate Balance or Notional Amount of the Class of Certificates to which
such Certificate belongs, (x) the rate, timing and severity of Realized Losses
on or in respect of the Mortgage Loans and of Additional Trust Fund Expenses and
the extent to which such losses and expenses are allocable or otherwise result
in reduction of the Certificate Balance or Notional Amount of the Class of
Certificates to which such Certificate belongs, (y) the timing and severity of
any Net Aggregate Prepayment Interest Shortfalls and the extent to which such
shortfalls are allocable in reduction of the Distributable Certificate Interest
payable on the Class of Certificates to which such Certificate belongs and (z)
the extent to which Prepayment Premiums are collected and, in turn, distributed
on the Class of Certificates to which such Certificate belongs.
Pass-Through Rates. Following the initial Distribution Date, the
Pass-Through Rate for the Class X-1 Certificates will be variable and will, in
general, equal the excess, if any, of the weighted average of the Net Mortgage
Rates of the Group 1 Loans from time to time, over the Pass-Through Rate
applicable to the Class A-1 Certificates from time to time. Following the
initial Distribution Date, the Pass-Through Rate for the Class X-2 Certificates
will also be variable and will, in general, equal the excess, if any, of (i) the
weighted average of the Net Mortgage Rates of the Group 1 Loans (in each case,
net of the applicable Pass-Through Rate for the Class X-1 Certificates) and the
Net Mortgage Rates of the Group 2 Loans from time to time, over (ii) the
weighted average of the Pass-Through Rates applicable to the respective Classes
of Sequential Pay Certificates from time to time. Accordingly, the yield on the
Class X Certificates will be sensitive to changes in the relative composition of
the two Loan Groups as a result of scheduled amortization, voluntary
prepayments, liquidations of Mortgage Loans following default and repurchases of
Mortgage Loans.
The yield on the Class X-1 Certificates will also be sensitive to changes
in the Pass-Through Rate for the Class A-1 Certificates. If as a result of an
increase in Six-Month LIBOR, the Pass-Through Rate for the Class A-1
Certificates nears or equals its 11.375% per annum maximum, the Pass-Through
Rate for (and, accordingly, the yield on) the Class X-1 Certificates will be
adversely affected.
The yield on the Class X-2 Certificates will also be sensitive to changes
in the relative sizes of the respective Certificate Balances of the various
Classes of Sequential Pay Certificates. In addition, if as a result of losses on
or in respect of the Group 1 Loans, payments of interest on the Class A-1
Certificates become dependent upon interest accrued on the Group 2 Loans, the
Pass-Through Rate for (and, accordingly, the yield on) the Class X-2
Certificates will be adversely affected by increases in Six-Month LIBOR (to the
extent reflected in the Pass-Through Rate for the Class A-1 Certificates).
Furthermore, if as a result of the application of payments or other collections
of principal on or in respect of the Group 2 Loans to pay principal of the Class
A-1 Certificates following the retirement of the Class A-2A and Class A-2B
Certificates, payments on the remaining Group 2 Certificates become dependent
upon interest accrued on the Group 1 Loans, the Pass-Through Rate for (and,
accordingly, the yield on) the Class X-2 Certificates will be adversely affected
by decreases in Six-Month LIBOR (to the extent reflected in the Net Mortgage
Rates for the Group 1 Loans).
See "Description of the Certificates--Distributions--Pass-Through Rates"
and "Description of the Mortgage Pool" herein and "--Rate and Timing of
Principal Payments" below.
Rate and Timing of Principal Payments. The yield to holders of Class X
Certificates will be extremely sensitive to, and the yield to holders of any
other Offered Certificates purchased at a discount or premium will be affected
by, the rate and timing of principal payments made or otherwise resulting in
reduction of the principal balances or notional amounts of such Certificates. As
described herein, the Principal Distribution Amount with respect to each Loan
Group for each Distribution Date will be distributable entirely in respect of
the Class A Certificates of the related Certificate Group until the related
Certificate Balance(s) thereof is (are) reduced to zero, and will thereafter be
distributable entirely in respect of the other Class A Certificates, until the
Certificate Balance(s) of such other Class A Certificates is (are) reduced to
zero. Following retirement of the Class A Certificates, the Principal
Distribution Amount with respect to each Loan Group for each Distribution Date
will be distributable entirely in respect of the Class B Certificates, the Class
C Certificates, the Class D Certificates, the Class E Certificates, the Class F
Certificates, the Class G Certificates, the Class H Certificates, the Class J
Certificates and the Class K Certificates, in that order, in each case until the
Certificate Balance of such Class of Certificates is reduced to zero. In
addition, the Notional Amount of the Class X-1 Certificates will equal the
aggregate Stated Principal Balance of Loan Group 1 outstanding from time to
time, and the Notional Amount of the Class X-2 Certificates will equal 99.9% of
the aggregate Stated Principal Bal-
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ance of the Mortgage Pool outstanding from time to time. Consequently, the rate
and timing of principal payments that are distributed or otherwise result in
reduction of the Certificate Balance or Notional Amount, as the case may be, of
each Class of Offered Certificates will be directly related to the rate and
timing of principal payments on or in respect of the Mortgage Loans, which will
in turn be affected by the amortization schedules thereof, the dates on which
Balloon Payments are due and the rate and timing of principal prepayments and
other unscheduled collections thereon (including for this purpose, collections
made in connection with liquidations of Mortgage Loans due to defaults,
casualties or condemnations affecting the Mortgaged Properties, or purchases of
Mortgage Loans out of the Trust Fund). Prepayments and, assuming the respective
stated maturity dates therefor have not occurred, liquidations of the Mortgage
Loans will result in distributions on the Sequential Pay Certificates of amounts
that would otherwise be distributed over the remaining terms of the Mortgage
Loans and will tend to shorten the weighted average lives of those Certificates.
Defaults on the Mortgage Loans, particularly at or near their stated maturity
dates, may result in significant delays in payments of principal on the Mortgage
Loans (and, accordingly, on the Sequential Pay Certificates) while workouts are
negotiated or foreclosures are completed, and such delays will tend to lengthen
the weighted average lives of those Certificates. See "Servicing of the Mortgage
Loans--Modifications, Waivers, Amendments and Consents" herein and "Description
of the Pooling Agreements--Realization Upon Defaulted Mortgage Loans" and
"Certain Legal Aspects of Mortgage Loans--Foreclosure" in the Prospectus.
The extent to which the yield to maturity of any Class of Offered
Certificates may vary from the anticipated yield will depend upon the degree to
which such Certificates are purchased at a discount or premium and when, and to
what degree, payments of principal on or in respect of the Mortgage Loans are
distributed or otherwise result in a reduction of the Certificate Balance or
Notional Amount of such Certificates. An investor should consider, in the case
of any Offered Certificate purchased at a discount, the risk that a slower than
anticipated rate of principal payments on the Mortgage Loans could result in an
actual yield to such investor that is lower than the anticipated yield and, in
the case of any Class X Certificate or any other Offered Certificate purchased
at a premium, the risk that a faster than anticipated rate of principal payments
on the Mortgage Loans could result in an actual yield to such investor that is
lower than the anticipated yield. In general, the earlier a payment of principal
on or in respect of the Mortgage Loans is distributed in reduction of the
principal balance of a Class A, Class B, Class C, Class D, Class E or Class F
Certificate purchased at a discount or premium or results in the reduction of
the notional amount of a Class X Certificate, the greater will be the effect on
an investor's yield to maturity. As a result, the effect on an investor's yield
of principal payments occurring at a rate higher (or lower) than the rate
anticipated by the investor during any particular period may not be fully offset
by a subsequent like reduction (or increase) in the rate of principal payments.
Investors in the Class X Certificates should fully consider the risk that an
extremely rapid rate of principal payments on the Group 1 Loans, in the case of
the Class X-1 Certificates, and the Group 2 Loans (and, to a lesser extent, the
Group 1 Loans), in the case of the Class X-2 Certificates, could result in the
failure of such investors to fully recoup their initial investments. Because the
rate of principal payments on or in respect of the Mortgage Loans will depend on
future events and a variety of factors (as described more fully below), no
assurance can be given as to such rate or the rate of principal prepayments in
particular. The Sponsor is not aware of any relevant publicly available or
authoritative statistics with respect to the historical prepayment experience of
a large group of mortgage loans comparable to the Mortgage Loans.
Losses and Shortfalls. The yield to holders of the Offered Certificates
will also depend on the extent to which such holders are required to bear the
effects of any losses or shortfalls on the Mortgage Loans. Losses and other
shortfalls on the Mortgage Loans will, with the exception of Net Aggregate
Prepayment Interest Shortfalls, generally be applied to reduce the Certificate
Balances of the Certificates in the following order: first, to each Class of
Subordinate Certificates, in reverse alphabetical order of Class designation,
until the Certificate Balance thereof has been reduced to zero; then, to the
Class A-1, Class A-2A and Class A-2B Certificates pro rata in accordance with
their respective remaining Certificate Balances, until the remaining Certificate
Balance of each such Class of Certificates has been reduced to zero.
Certain Relevant Factors. The rate and timing of principal payments and
defaults and the severity of losses on or in respect of the Mortgage Loans may
be affected by a number of factors, including, without limitation, prevailing
interest rates, the terms of the Mortgage Loans (for example, Prepayment
Premiums, lock-out periods and amortization terms that require Balloon
Payments), the demographics and relative economic vitality of the areas in which
the Mortgaged Properties are located and the general supply and demand for
rental units, office space, retail shopping space, self storage space or nursing
home beds, as the case may be, in such areas, the quality of management of the
Mortgaged Properties, the servicing of the Mortgage Loans, possible changes in
tax laws and other opportunities for
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investment. See "Risk Factors--The Mortgage Loans", "Description of the Mortgage
Pool" and "Servicing of the Mortgage Loans" herein and "Description of the
Pooling Agreements" and "Yield and Maturity Considerations--Principal
Prepayments" in the Prospectus.
The rate of prepayment on the Mortgage Loans is likely to be affected
by prevailing market interest rates for mortgage loans of a comparable type,
term and risk level. When the prevailing market interest rate is below the
Mortgage Rate at which a Mortgage Loan accrues interest (or, in the case of an
ARM Loan, when the prevailing market interest rate is generally low), a borrower
may have an increased incentive to refinance such Mortgage Loan. If a Mortgage
Loan is not in a lock-out period, any Prepayment Premium in respect of such
Mortgage Loan may not be sufficient economic disincentive to prevent the related
borrower from voluntarily prepaying the loan as part of a refinancing thereof.
See "Description of the Mortgage Pool--Certain Terms and Conditions of the
Mortgage Loans" herein.
Depending on prevailing market interest rates, the outlook for market
interest rates and economic conditions generally, some borrowers may sell
Mortgaged Properties in order to realize their equity therein, to meet cash flow
needs or to make other investments. In addition, some borrowers may be motivated
by Federal and state tax laws (which are subject to change) to sell Mortgaged
Properties prior to the exhaustion of tax depreciation benefits.
The Sponsor makes no representation or warranty as to the particular
factors that will affect the rate and timing of prepayments and defaults on the
Mortgage Loans, as to the relative importance of such factors, as to the
percentage of the principal balance of the Mortgage Loans that will be prepaid
or as to which a default will have occurred as of any date or as to the overall
rate of prepayment or default on the Mortgage Loans.
Yield Sensitivity of the Class X Certificates. The yield to maturity of
each Class of Class X Certificates will be highly sensitive to the rate and
timing of principal payments (including by reason of prepayments, defaults and
liquidations) on or in respect of the Mortgage Loans that constitute part of the
Notional Amount of such Certificates. The Notional Amount of the Class X-1
Certificates is equal to the aggregate Stated Principal Balance of Loan Group 1
outstanding from time to time, and the Notional Amount of the Class X-2
Certificates is equal to 99.9% of the aggregate Stated Principal Balance of the
Mortgage Pool outstanding from time to time. Investors in the Class X
Certificates should fully consider the associated risks, including the risk that
an extremely rapid rate of amortization and prepayment of the related Notional
Amount could result in the failure of such investors to recoup their initial
investments.
Prepayments on mortgage loans may be measured by a prepayment standard or
model. The model used in this Prospectus Supplement is the "Constant Prepayment
Rate" or "CPR" model. The CPR model represents an assumed constant annual rate
of prepayment each month, expressed as a per annum percentage of the then
scheduled principal balance of a mortgage pool. As used in the following tables,
the column headed "0%" assumes that none of the Mortgage Loans is prepaid before
maturity. The columns headed "2%", "4%", "6%", "8%", "10%" and "15%" assume that
prepayments on each of the Mortgage Loans are made at those CPRs, in the case of
the first table, and that no prepayments are made on any Mortgage Loan during
such Mortgage Loan's prepayment lock-out period, if any, or, unless otherwise
indicated, during such Mortgage Loan's yield maintenance period, if any, and are
otherwise made on each of the Mortgage Loans at the indicated CPRs, in the case
of the second table. There is no assurance, however, that prepayments of the
Mortgage Loans (whether or not in a prepayment lock-out period or a yield
maintenance period) will conform to any particular CPR, and no representation is
made that the Mortgage Loans will prepay in accordance with the assumptions at
any of the CPRs shown or at any other particular prepayment rate, that all the
Mortgage Loans will prepay in accordance with the assumptions at the same rate
or that Mortgage Loans that are in a prepayment lock-out period or a yield
maintenance period will not prepay as a result of involuntary liquidations upon
default or otherwise. A "prepayment lock-out period" is any period during which
a Mortgage Loan prohibits voluntary prepayments on the part of the borrower. A
"yield maintenance period" is any period during which a Mortgage Loan provides
that voluntary prepayments be accompanied by a Prepayment Premium calculated on
the basis of a yield maintenance formula.
The following tables indicate the approximate pre-tax yield to maturity on
a corporate bond equivalent ("CBE") basis on the Class X Certificates for the
specified CPRs based on the following assumptions (the "Maturity Assumptions"):
(i) the Initial Loan Group 1 Balance is $29,966,951 and the Initial Loan Group 2
Balance is $452,390,861, (ii) the initial Certificate Balances and Notional
Amounts, as the case may be, of the respective Classes of Offered Certificates
are as described herein, and the Pass-Through Rates for the respective Classes
of Offered Certificates are as described herein, (iii) the scheduled Monthly
Payments for each Mortgage Loan are based on such Mortgage Loan's
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Cut-off Date Balance, calculated remaining amortization term as of the Cut-off
Date and, in the case of the ARM Loans, a value of Six-Month LIBOR and One-Month
LIBOR as described in clauses (iv) and (xiv) below, and, in the case of the
Fixed-Rate Loans, the Mortgage Rate as of the Cut-off Date, (iv) Six-Month LIBOR
remains constant at 5.75% per annum and One-Month LIBOR remains constant at
5.4375% per annum (the "Base LIBOR Assumption") (except to the extent modified
below by assumption numbered (xiv)), (v) there are no delinquencies or losses in
respect of the Mortgage Loans, there are no extensions of maturity in respect of
the Mortgage Loans, there are no Appraisal Reduction Amounts with respect to the
Mortgage Loans and there are no casualties or condemnations affecting the
Mortgaged Properties, (vi) scheduled Monthly Payments on the Mortgage Loans are
timely received, and prepayments are made on each of the Mortgage Loans at the
indicated CPRs set forth in the table (without regard to any limitations in such
Mortgage Loans on partial voluntary principal prepayments) (except to the extent
modified below by the assumption numbered (xv)), (vii) all Mortgage Loans accrue
interest on the basis of a 360-day year consisting of twelve 30-day months,
(viii) neither the Master Servicer nor any majority holder of the Controlling
Class exercises its right of optional termination described herein, (ix) no
Mortgage Loan is required to be repurchased by the Mortgage Loan Seller, (x) no
Prepayment Interest Shortfalls are incurred and no Prepayment Premiums are
collected (except to the extent modified below by the assumption numbered
(xvi)), (xi) there are no Additional Trust Fund Expenses, (xii) distributions on
the Offered Certificates are made on the 15th day of each month, commencing in
August 1996, (xiii) the Offered Certificates are issued on July 10, 1996, (xiv)
when specifically indicated in a particular table, Six-Month LIBOR and One-Month
LIBOR will each be assumed to remain constant at per annum rates that are 2.0%
(Alternative LIBOR Assumption #1) or 4.0% (Alternative LIBOR Assumption #2)
higher than the Base LIBOR Assumption, (xv) when specifically indicated in a
particular table, no prepayments are received as to any Mortgage Loan during
such Mortgage Loan's prepayment lock-out period ("LOP"), if any, or yield
maintenance period ("YMP"), if any, and (xvi) when specifically indicated in a
particular table, 50% (or, if so specified, 100%) of any Prepayment Premium
calculated as a declining percentage of the amount prepaid (a "Decl. % Premium")
is collected in connection with each prepayment as to which such a Prepayment
Premium is applicable. It was further assumed that the respective aggregate
purchase prices of the Class X-1 and Class X-2 Certificates are as specified
below, in each case, expressed as a percentage of their respective Notional
Amount, without accrued interest.
The pre-tax yields set forth in the following tables were calculated by
determining the monthly discount rates that, when applied to the assumed streams
of cash flows to be paid on each Class of Class X Certificates, would cause the
discounted present value of such assumed stream of cash flows to equal the
assumed aggregate purchase price thereof, and by converting such monthly rates
to semi-annual corporate bond equivalent rates. Such calculation does not take
into account shortfalls in collection of interest due to prepayments (or other
liquidations) of the Mortgage Loans or the interest rates at which investors may
be able to reinvest funds received by them as distributions on the Class X
Certificates (and accordingly does not purport to reflect the return on any
investment in the Class X Certificates when such reinvestment rates are
considered).
The characteristics of the Mortgage Loans may differ from those assumed in
preparing the tables below. In addition, there can be no assurance that the
Mortgage Loans will prepay in accordance with the above assumptions at any of
the rates shown in the tables or at any other particular rate, that the cash
flows on the respective Classes of Class X Certificates will correspond to the
cash flows shown herein or that the aggregate purchase prices of the respective
Classes of Class X Certificates will be as assumed. In addition, it is unlikely
that the Mortgage Loans will prepay in accordance with the above assumptions at
any of the specified CPRs until maturity or that all the Mortgage Loans will so
prepay at the same rate. Timing of changes in the rate of prepayments may
significantly affect the actual yield to maturity to investors, even if the
average rate of principal prepayments is consistent with the expectations of
investors. Investors must make their own decisions as to the appropriate
prepayment assumption to be used in deciding whether to purchase any Class X
Certificates. Price is expressed in 32nds (i.e. 9-12 means 9 12/32%).
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<PAGE>
Pre-Tax Yield to Maturity (CBE)
of the Class X Certificates
<TABLE>
<CAPTION>
Assumed Prepayment Assumption (CPR)
Purchase ---------------------------------------------------------------------------
Class Price 0% 2% 4% 6% 8% 10% 15%
- ----- --------- -- -- -- -- -- --- ---
<S> <C> <C> <C> <C> <C> <C> <C> <C>
X-1 ........... 9-12 13.747% 11.663% 9.557% 7.429% 5.277% 3.101% -2.450%
9-20 12.884 10.807 8.709 6.589 4.445 2.277 -3.254
9-28 12.055 9.987 7.896 5.783 3.647 1.486 -4.025
X-2 ........... 4-24 12.726% 10.608% 8.686% 6.908% 5.310% 3.712% 0.116%
5-00 11.292 9.196 7.301 5.550 3.975 2.396 -1.158
5-08 9.973 7.899 6.027 4.300 2.747 1.184 -2.331
</TABLE>
<TABLE>
<CAPTION>
Pre-Tax Yield to Maturity (CBE)
of the Class X Certificates
(Prepayments Locked Out through LOP and YMP, then the following CPR)
Assumed Prepayment Assumption (CPR)
Purchase ---------------------------------------------------------------------------
Class Price 0% 2% 4% 6% 8% 10% 15%
- ----- --------- -- -- -- -- -- --- ---
<S> <C> <C> <C> <C> <C> <C> <C> <C>
X-1 ........... 9-12 13.747% 11.663% 9.557% 7.429% 5.277% 3.101% -2.450%
9-20 12.884 10.807 8.709 6.589 4.445 2.277 -3.254
9-28 12.055 9.987 7.896 5.783 3.647 1.486 -4.025
X-2 ........... 4-24 12.726% 12.622% 12.522% 12.425% 12.332% 12.242% 12.032%
5-00 11.292 11.189 11.090 10.995 10.903 10.815 10.608
5-08 9.973 9.872 9.774 9.680 9.589 9.502 9.298
</TABLE>
Pre-Tax Yield to Maturity (CBE)
of the Class X Certificates (Alternative LIBOR
Assumption # 1)
<TABLE>
<CAPTION>
Assumed Prepayment Assumption (CPR)
Purchase --------------------------------------------------------------------------
Class Price 0% 2% 4% 6% 8% 10% 15%
- ----- --------- -- -- -- -- -- --- ---
<S> <C> <C> <C> <C> <C> <C> <C> <C>
X-1 ........... 9-12 12.805% 10.727% 8.627% 6.505% 4.359% 2.189% -3.346%
9-20 11.989 9.919 7.826 5.711 3.573 1.411 -4.105
9-28 11.206 9.142 7.057 4.949 2.818 0.663 -4.834
X-2 ........... 4-24 12.864% 10.744% 8.819% 7.038% 5.436% 3.970% 0.591%
5-00 11.423 9.326 7.427 5.673 4.094 2.651 -0.686
5-08 10.098 8.022 6.148 4.417 2.861 1.436 -1.863
</TABLE>
<TABLE>
<CAPTION>
Pre-Tax Yield to Maturity (CBE)
of the Class X Certificates (Alternative LIBOR
Assumption # 1)
(Prepayments Locked Out through LOP and YMP, then the following CPR)
Assumed Prepayment Assumption (CPR)
Purchase ---------------------------------------------------------------------------
Class Price 0% 2% 4% 6% 8% 10% 15%
- ----- --------- -- -- -- -- -- --- ---
<S> <C> <C> <C> <C> <C> <C> <C> <C>
X-1 ........... 9-12 12.805% 10.727% 8.627% 6.505% 4.359% 2.189% -3.346%
9-20 11.989 9.919 7.826 5.711 3.573 1.411 -4.105
9-28 11.206 9.142 7.057 4.949 2.818 0.663 -4.834
X-2 ........... 4-24 12.864% 12.753% 12.647% 12.544% 12.444% 12.349% 12.125%
5-00 11.423 11.314 11.209 11.108 11.010 10.916 10.696
5-08 10.098 9.991 9.887 9.787 9.691 9.598 9.382
</TABLE>
S-72
<PAGE>
<TABLE>
<CAPTION>
Pre-Tax Yield to Maturity (CBE)
of the Class X Certificates (Alternative LIBOR
Assumption # 2)
Assumed Prepayment Assumption (CPR)
Purchase ---------------------------------------------------------------------------
Class Price 0% 2% 4% 6% 8% 10% 15%
- ----- --------- -- -- -- -- -- --- ---
<S> <C> <C> <C> <C> <C> <C> <C> <C>
X-1 ........... 9-12 2.847% 0.860% -1.148% -3.177% -5.228% -7.303% -12.594%
9-20 2.148 0.168 -1.833 -3.856 -5.901 -7.968 -13.243
9-28 1.476 -0.498 -2.493 -4.509 -6.548 -8.609 -13.867
X-2 ........... 4-24 12.936% 10.815% 8.887% 7.103% 5.496% 4.165% 0.998%
5-00 11.496 9.397 7.496 5.738 4.156 2.849 -0.275
5-08 10.171 8.094 6.217 4.483 2.923 1.636 -1.450
</TABLE>
<TABLE>
<CAPTION>
Pre-Tax Yield to Maturity (CBE)
of the Class X Certificates (Alternative LIBOR
Assumption # 2)
(Prepayments Locked Out through LOP and YMP, then the following CPR)
Assumed Prepayment Assumption (CPR)
Purchase ---------------------------------------------------------------------------
Class Price 0% 2% 4% 6% 8% 10% 15%
- ----- --------- -- -- -- -- -- --- ---
<S> <C> <C> <C> <C> <C> <C> <C> <C>
X-1 9-12 2.847% 0.860% -1.148% -3.177% -5.228% -7.303% -12.594%
9-20 2.148 0.168 -1.833 -3.856 -5.901 -7.968 -13.243
9-28 1.476 -0.498 -2.493 -4.509 -6.548 -8.609 -13.867
X-2 ........... 4-24 12.936% 12.815% 12.699% 12.587% 12.479% 12.376% 12.133%
5-00 11.496 11.377 11.263 11.153 11.047 10.945 10.707
5-08 10.171 10.055 9.942 9.834 9.730 9.630 9.396
</TABLE>
<TABLE>
<CAPTION>
Pre-Tax Yield to Maturity (CBE)
of the Class X Certificates (50% Recovery of Decl. % Premiums)
(Prepayments Locked Out through LOP and YMP, then the following CPR)
Assumed Prepayment Assumption (CPR)
Purchase ---------------------------------------------------------------------------
Class Price 0% 2% 4% 6% 8% 10% 15%
- ----- --------- -- -- -- -- -- --- ---
<S> <C> <C> <C> <C> <C> <C> <C> <C>
X-1 ........... 9-12 13.747% 11.846% 9.924% 7.982% 6.017% 4.030% -1.041%
9-20 12.884 10.984 9.064 7.124 5.161 3.176 -1.891
9-28 12.055 10.158 8.240 6.301 4.340 2.357 -2.705
X-2 ........... 4-24 12.726% 12.643% 12.564% 12.487% 12.413% 12.342% 12.176%
5-00 11.292 11.210 11.131 11.055 10.982 10.911 10.747
5-08 9.973 9.892 9.813 9.738 9.665 9.595 9.432
</TABLE>
<TABLE>
<CAPTION>
Pre-Tax Yield to Maturity (CBE)
of the Class X Certificates (100% Recovery of Decl. % Premiums)
(Prepayments Locked Out through LOP and YMP, then the following CPR)
Assumed Prepayment Assumption (CPR)
Purchase ---------------------------------------------------------------------------
Class Price 0% 2% 4% 6% 8% 10% 15%
- ----- --------- -- -- -- -- -- --- ---
<S> <C> <C> <C> <C> <C> <C> <C> <C>
X-1 ........... 9-12 13.747% 12.029% 10.295% 8.543% 6.773% 4.984% 0.426%
9-20 12.884 11.162 9.423 7.666 5.892 4.098 -0.473
9-28 12.055 10.330 8.587 6.827 5.048 3.249 -1.333
X-2 ........... 4-24 12.726% 12.665% 12.606% 12.549% 12.495% 12.442% 12.320%
5-00 11.292 11.230 11.171 11.115 11.060 11.008 10.885
5-08 9.973 9.912 9.852 9.796 9.741 9.689 9.566
</TABLE>
S-73
<PAGE>
Price/Yield Tables
The tables set forth below show the corporate bond equivalent ("CBE")
yield, modified duration, weighted average life (as described under "--Weighted
Average Lives" below), first Distribution Date on which principal is to be paid
("1st Principal Distribution Date") and final Distribution Date ("Last Principal
Distribution Date") with respect to each Class of Offered Certificates (other
than the Class X Certificates) under the Maturity Assumptions. Purchase prices
are expressed in 32nds (i.e. 9-12 means 912 @ 32%).
The yields set forth in the following tables were calculated by determining
the monthly discount rates which, when applied to the assumed stream of cash
flows to be paid on each Class of Offered Certificates (other than the Class X
Certificates), would cause the discounted present value of such assumed stream
of cash flows as of July 10, 1996 to equal the assumed purchase prices, plus
accrued interest at the applicable Pass-Through Rate as stated on the cover
hereof from and including the Cut-off Date to but excluding the Delivery Date
(except in the case of the Class A-1 Certificates), and converting such monthly
rates to semi-annual corporate bond equivalent rates. Such calculation does not
take into account variations that may occur in the interest rates at which
investors may be able to reinvest funds received by them as reductions of the
Certificate Balances of such Classes of Offered Certificates and consequently
does not purport to reflect the return on any investment in such Classes of
Offered Certificates when such reinvestment rates are considered. For purposes
of these tables, "modified duration" has been calculated using the modified
Macaulay Duration as specified in the "PSA Standard Formulas." The Macaulay
Duration is calculated as the present value weighted average time to receive
future payments of principal and interest, and the PSA Standards Formula
modified duration is calculated by dividing the Macaulay Duration by the
appropriate semi-annual compounding factor. The duration of a security may be
calculated according to various methodologies; accordingly, no representation is
made by the Sponsor or any other person that the "modified duration" approach
used herein is appropriate. Duration, like yield, will be affected by the
prepayment rate of the Mortgage Loans and extensions in respect of Balloon
Payments that actually occur during the life of the Offered Certificates and by
the actual performance of the Mortgage Loans, all of which may differ, and may
differ significantly, from the assumptions used in preparing the tables below.
The modified duration shown in the following tables, in each case, relates to
the yield shown immediately above such modified duration number.
<PAGE>
Class A-1 Certificates
<TABLE>
<CAPTION>
Prepayment Assumptions (CPR)
----------------------------------------------------------------------------
Price 0% 2% 4% 6% 8% 10% 15%
----- -- -- -- -- -- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
99-24 .................... 6.243% 6.246% 6.250% 6.253% 6.257% 6.263% 6.280%
99-25 .................... 6.238 6.240 6.243 6.246 6.250 6.255 6.270
99-26 .................... 6.232 6.234 6.237 6.239 6.242 6.247 6.260
99-27 .................... 6.226 6.228 6.230 6.233 6.235 6.239 6.249
Modified duration (years) 5.62 5.24 4.90 4.58 4.29 3.86 3.07
99-28 .................... 6.221% 6.222% 6.224% 6.226% 6.228% 6.231% 6.239%
99-29 .................... 6.215 6.216 6.218 6.219 6.220 6.223 6.229
99-30 .................... 6.210 6.210 6.211 6.212 6.213 6.215 6.219
99-31 .................... 6.204 6.204 6.205 6.205 6.206 6.207 6.209
Modified duration (years) 5.62 5.25 4.90 4.59 4.29 3.86 3.07
100-00 ................... 6.199% 6.199% 6.199% 6.199% 6.199% 6.198% 6.198%
100-01 ................... 6.193 6.193 6.192 6.192 6.191 6.190 6.188
100-02 ................... 6.187 6.187 6.186 6.185 6.184 6.182 6.178
100-03 ................... 6.182 6.181 6.179 6.178 6.177 6.174 6.168
Modified duration (years) 5.62 5.25 4.91 4.59 4.30 3.86 3.08
100-04 ................... 6.176% 6.175% 6.173% 6.171% 6.169% 6.166% 6.158%
100-05 ................... 6.171 6.169 6.167 6.164 6.162 6.158 6.148
100-06 ................... 6.165 6.163 6.160 6.158 6.155 6.150 6.138
100-07 ................... 6.160 6.157 6.154 6.151 6.148 6.142 6.127
Modified duration (years) 5.62 5.25 4.91 4.59 4.30 3.87 3.08
Weighted Average Life
(years) ................. 7.22 6.70 6.22 5.78 5.38 4.73 3.64
1st Principal Distribution
Date .................... 08/15/96 08/15/96 08/15/96 08/15/96 08/15/96 08/15/96 08/15/96
Last Principal Distribution
Date .................... 10/15/04 10/15/04 10/15/04 10/15/04 10/15/04 02/15/04 06/15/02
</TABLE>
S-75
<PAGE>
Class A-1 Certificates
(Prepayments Locked Out through LOP and YMP, then the following CPR)
<TABLE>
<CAPTION>
Prepayment Assumptions (CPR)
----------------------------------------------------------------------------
Price 0% 2% 4% 6% 8% 10% 15%
----- -- -- -- -- -- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
99-24 .................... 6.243% 6.246% 6.250% 6.253% 6.257% 6.261% 6.271%
99-25 .................... 6.238 6.240 6.243 6.246 6.250 6.253 6.262
99-26 .................... 6.232 6.234 6.237 6.239 6.242 6.245 6.253
99-27 .................... 6.226 6.228 6.230 6.233 6.235 6.237 6.244
Modified duration (years) 5.62 5.24 4.90 4.58 4.29 4.02 3.43
99-28 .................... 6.221% 6.222% 6.224% 6.226% 6.228% 6.230% 6.235%
99-29 .................... 6.215 6.216 6.218 6.219 6.220 6.222 6.226
99-30 .................... 6.210 6.210 6.211 6.212 6.213 6.214 6.217
99-31 .................... 6.204 6.204 6.205 6.205 6.206 6.206 6.208
Modified duration (years) 5.62 5.25 4.90 4.59 4.29 4.02 3.43
100-00 ................... 6.199% 6.199% 6.199% 6.199% 6.199% 6.199% 6.198%
100-01 ................... 6.193 6.193 6.192 6.192 6.191 6.191 6.189
100-02 ................... 6.187 6.187 6.186 6.185 6.184 6.183 6.180
100-03 ................... 6.182 6.181 6.179 6.178 6.177 6.175 6.171
Modified duration (years) 5.62 5.25 4.91 4.59 4.30 4.03 3.43
100-04 ................... 6.176% 6.175% 6.173% 6.171% 6.169% 6.167% 6.162%
100-05 ................... 6.171 6.169 6.167 6.164 6.162 6.160 6.153
100-06 ................... 6.165 6.163 6.160 6.158 6.155 6.152 6.144
100-07 ................... 6.160 6.157 6.154 6.151 6.148 6.144 6.135
Modified duration (years) 5.62 5.25 4.91 4.59 4.30 4.03 3.44
Weighted Average Life
(years) ................. 7.22 6.70 6.22 5.78 5.38 5.00 4.20
1st Principal Distribution
Date .................... 08/15/96 08/15/96 08/15/96 08/15/96 08/15/96 08/15/96 08/15/96
Last Principal Distribution
Date .................... 10/15/04 10/15/04 10/15/04 10/15/04 10/15/04 10/15/04 10/15/04
</TABLE>
S-75
<PAGE>
Class A-2A Certificates
<TABLE>
<CAPTION>
Prepayment Assumtions (CPR)
----------------------------------------------------------------------------
Price 0% 2% 4% 6% 8% 10% 15%
----- -- -- -- -- -- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
99-00 .................... 7.629% 7.679% 7.737% 7.806% 7.879% 7.954% 8.160%
99-04 .................... 7.600 7.641 7.689 7.746 7.806 7.868 8.037
99-08 .................... 7.571 7.603 7.641 7.686 7.733 7.782 7.915
99-12 .................... 7.542 7.566 7.593 7.626 7.660 7.696 7.793
Modified duration (years) 4.33 3.33 2.63 2.09 1.73 1.46 1.03
99-16 .................... 7.513% 7.528% 7.545% 7.566% 7.588% 7.610% 7.672%
99-20 .................... 7.484 7.490 7.498 7.506 7.515 7.525 7.550
99-24 .................... 7.455 7.453 7.450 7.447 7.443 7.439 7.429
99-28 .................... 7.426 7.415 7.403 7.387 7.371 7.354 7.308
Modified duration (years) 4.34 3.34 2.64 2.10 1.73 1.47 1.04
100-00 ................... 7.398% 7.378% 7.355% 7.328% 7.299% 7.269% 7.188%
100-04 ................... 7.369 7.341 7.308 7.268 7.227 7.184 7.068
100-08 ................... 7.340 7.303 7.261 7.209 7.155 7.100 6.948
100-12 ................... 7.312 7.266 7.214 7.150 7.084 7.015 6.828
Modified duration (years) 4.35 3.35 2.64 2.11 1.74 1.47 1.04
100-16 ................... 7.283% 7.229% 7.167% 7.091% 7.012% 6.931% 6.708%
100-20 ................... 7.255 7.192 7.120 7.032 6.941 6.847 6.589
100-24 ................... 7.226 7.155 7.073 6.973 6.870 6.763 6.470
100-28 ................... 7.198 7.118 7.026 6.915 6.799 6.679 6.352
Modified duration (years) 4.35 3.36 2.65 2.11 1.74 1.48 1.04
Weighted Average Life
(years) ................. 5.60 4.12 3.14 2.43 1.96 1.64 1.13
1st Principal Distribution
Date .................... 08/15/96 08/15/96 08/15/96 08/15/96 08/15/96 08/15/96 08/15/96
Last Principal Distribution
Date .................... 07/15/05 01/15/03 06/15/02 05/15/01 06/15/00 12/15/99 11/15/98
</TABLE>
S-77
<PAGE>
Class A-2A Certificates
(Prepayments Locked Out through LOP and YMP, then the following CPR)
<TABLE>
<CAPTION>
Prepayment Assumtions (CPR)
----------------------------------------------------------------------------
Price 0% 2% 4% 6% 8% 10% 15%
----- -- -- -- -- -- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
99-00 ...................... 7.629% 7.631% 7.632% 7.633% 7.635% 7.636% 7.639%
99-04 ...................... 7.600 7.601 7.603 7.604 7.605 7.606 7.608
99-08 ...................... 7.571 7.572 7.573 7.574 7.575 7.576 7.577
99-12 ...................... 7.542 7.543 7.543 7.544 7.545 7.545 7.547
Modified duration (years) 4.33 4.29 4.26 4.22 4.19 4.16 4.09
99-16 ...................... 7.513% 7.514% 7.514% 7.514% 7.515% 7.515% 7.516%
99-20 ...................... 7.484 7.484 7.485 7.485 7.485 7.485 7.485
99-24 ...................... 7.455 7.455 7.455 7.455 7.455 7.455 7.455
99-28 ...................... 7.426 7.426 7.426 7.426 7.425 7.425 7.424
Modified duration (years) 4.34 4.30 4.26 4.23 4.20 4.17 4.10
100-00 ..................... 7.398% 7.397% 7.397% 7.396% 7.395% 7.395% 7.394%
100-04 ..................... 7.369 7.368 7.367 7.367 7.366 7.365 7.363
100-08 ..................... 7.340 7.339 7.338 7.337 7.336 7.335 7.333
100-12 ..................... 7.312 7.310 7.309 7.308 7.307 7.305 7.303
Modified duration (years) 4.35 4.31 4.27 4.24 4.21 4.18 4.10
100-16 ..................... 7.283% 7.282% 7.280% 7.279% 7.277% 7.276% 7.272%
100-20 ..................... 7.255 7.253 7.251 7.249 7.248 7.246 7.242
100-24 ..................... 7.226 7.224 7.222 7.220 7.218 7.216 7.212
100-28 ..................... 7.198 7.195 7.193 7.191 7.189 7.187 7.182
Modified duration (years) 4.35 4.32 4.28 4.25 4.22 4.18 4.11
Weighted Average Life
(years) ................... 5.60 5.54 5.49 5.44 5.39 5.34 5.24
1st Principal Distribution
Date ...................... 08/15/96 08/15/96 08/15/96 08/15/96 08/15/96 08/15/96 08/15/96
Last Principal Distribution
Date ...................... 07/15/05 07/15/05 07/15/05 07/15/05 07/15/05 06/15/05 06/15/05
</TABLE>
S-78
<PAGE>
Class A-2B Certificates
<TABLE>
<CAPTION>
Prepayment Assumtions (CPR)
-----------------------------------------------------------------------------
Price 0% 2% 4% 6% 8% 10% 15%
----- -- -- -- -- -- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
100-08 ..................... 7.945% 7.941% 7.933% 7.923% 7.910% 7.896% 7.857%
100-12 ..................... 7.926 7.921 7.911 7.899 7.883 7.866 7.819
100-16 ..................... 7.906 7.900 7.890 7.875 7.856 7.836 7.780
100-20 ..................... 7.887 7.880 7.868 7.851 7.829 7.806 7.741
Modified duration (years) 6.45 6.16 5.69 5.17 4.60 4.12 3.21
100-24 ..................... 7.868% 7.860% 7.846% 7.827% 7.802% 7.776% 7.703%
100-28 ..................... 7.849 7.840 7.824 7.803 7.775 7.746 7.664
101-00 ..................... 7.830 7.820 7.803 7.780 7.749 7.716 7.626
101-04 ..................... 7.811 7.800 7.781 7.756 7.722 7.686 7.587
Modified duration (years) .. 6.46 6.17 5.70 5.18 4.61 4.13 3.21
101-08 ..................... 7.791% 7.780% 7.759% 7.732% 7.695% 7.656% 7.549%
101-12 ..................... 7.772 7.760 7.738 7.708 7.668 7.626 7.510
101-16 ..................... 7.753 7.740 7.716 7.684 7.642 7.596 7.472
101-20 ..................... 7.734 7.720 7.695 7.661 7.615 7.566 7.434
Modified duration (years) 6.47 6.18 5.71 5.18 4.62 4.13 3.22
101-24 ..................... 7.715% 7.700% 7.673% 7.637% 7.589% 7.537% 7.396%
101-28 ..................... 7.697 7.681 7.652 7.613 7.562 7.507 7.358
102-00 ..................... 7.678 7.661 7.630 7.590 7.535 7.478 7.320
102-04 ..................... 7.659 7.641 7.609 7.566 7.509 7.448 7.282
Modified duration (years) 6.48 6.19 5.72 5.19 4.62 4.14 3.22
Weighted Average Life
(years) ................... 9.45 8.86 7.96 7.00 6.01 5.23 3.87
1st Principal Distribution
Date ...................... 07/15/05 01/15/03 06/15/02 05/15/01 06/15/00 12/15/99 11/15/98
Last Principal Distribution
Date ...................... 02/15/06 01/15/06 01/15/06 11/15/05 01/15/05 09/15/03 03/15/02
</TABLE>
S-79
<PAGE>
Class A-2B Certificates
(Prepayments Locked out through LOP and YMP, then the following CPR)
<TABLE>
<CAPTION>
Prepayment Assumptions (CPR)
----------------------------------------------------------------------------
Price 0% 2% 4% 6% 8% 10% 15%
----- -- -- -- -- -- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
100-08 ..................... 7.945% 7.945% 7.945% 7.945% 7.945% 7.945% 7.945%
100-12 ..................... 7.926 7.926 7.925 7.925 7.925 7.925 7.925
100-16 ..................... 7.906 7.906 7.906 7.906 7.906 7.906 7.906
100-20 ..................... 7.887 7.887 7.887 7.887 7.887 7.887 7.887
Modified duration (years) 6.45 6.45 6.45 6.45 6.44 6.44 6.44
100-24 ..................... 7.868% 7.868% 7.868% 7.868% 7.868% 7.868% 7.867%
100-28 ..................... 7.849 7.849 7.849 7.849 7.848 7.848 7.848
101-00 ..................... 7.830 7.830 7.829 7.829 7.829 7.829 7.829
101-04 ..................... 7.811 7.810 7.810 7.810 7.810 7.810 7.810
Modified duration (years) 6.46 6.46 6.46 6.46 6.45 6.45 6.45
101-08 ..................... 7.791% 7.791% 7.791% 7.791% 7.791% 7.791% 7.791%
101-12 ..................... 7.772 7.772 7.772 7.772 7.772 7.772 7.772
101-16 ..................... 7.753 7.753 7.753 7.753 7.753 7.753 7.753
101-20 ..................... 7.734 7.734 7.734 7.734 7.734 7.734 7.734
Modified duration (years) 6.47 6.47 6.47 6.47 6.46 6.46 6.46
101-24 ..................... 7.715% 7.715% 7.715% 7.715% 7.715% 7.715% 7.715%
101-28 ..................... 7.697 7.696 7.696 7.696 7.696 7.696 7.696
102-00 ..................... 7.678 7.678 7.677 7.677 7.677 7.677 7.677
102-04 ..................... 7.659 7.659 7.659 7.658 7.658 7.658 7.658
Modified duration (years) 6.48 6.48 6.48 6.48 6.47 6.47 6.47
Weighted Average Life
(years) ................... 9.45 9.44 9.44 9.43 9.43 9.42 9.41
1st Principal Distribution
Date ...................... 07/15/05 07/15/05 07/15/05 07/15/05 07/15/05 06/15/05 06/15/05
Last Principal Distribution
Date ...................... 02/15/06 02/15/06 02/15/06 02/15/06 02/15/06 02/15/06 02/15/06
</TABLE>
S-80
<PAGE>
Class B Certificates
<TABLE>
<CAPTION>
Prepayment Assumptions (CPR)
----------------------------------------------------------------------------
Price 0% 2% 4% 6% 8% 10% 15%
----- -- -- -- -- -- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
99-18 ...................... 8.051% 8.051% 8.051% 8.052% 8.052% 8.054% 8.059%
99-22 ...................... 8.032 8.032 8.032 8.032 8.032 8.032 8.032
99-26 ...................... 8.013 8.013 8.013 8.013 8.012 8.010 8.006
99-30 ...................... 7.994 7.994 7.993 7.993 7.991 7.988 7.979
Modified duration (years) 6.51 6.50 6.47 6.41 6.16 5.72 4.67
100-02 ..................... 7.974% 7.974% 7.974% 7.974% 7.971% 7.967% 7.952%
100-06 ..................... 7.955 7.955 7.955 7.954 7.951 7.945 7.925
100-10 ..................... 7.936 7.936 7.936 7.935 7.931 7.923 7.899
100-14 ..................... 7.917 7.917 7.916 7.915 7.911 7.901 7.872
Modified duration (years) 6.52 6.51 6.48 6.42 6.17 5.73 4.67
100-18 ..................... 7.898% 7.898% 7.897% 7.896% 7.891% 7.880% 7.846%
100-22 ..................... 7.879 7.879 7.878 7.877 7.870 7.858 7.819
100-26 ..................... 7.860 7.860 7.859 7.858 7.850 7.837 7.793
100-30 ..................... 7.841 7.841 7.840 7.838 7.830 7.815 7.766
Modified duration (years) 6.53 6.52 6.49 6.43 6.18 5.74 4.68
101-02 ..................... 7.822% 7.822% 7.821% 7.819% 7.810% 7.793% 7.740%
101-06 ..................... 7.803 7.803 7.802 7.800 7.790 7.772 7.714
101-10 ..................... 7.785 7.784 7.783 7.781 7.770 7.750 7.687
101-14 ..................... 7.766 7.765 7.764 7.762 7.751 7.729 7.661
Modified duration (years) 6.54 6.53 6.50 6.44 6.18 5.74 4.69
Weighted Average Life
(years) ................... 9.60 9.58 9.51 9.38 8.85 7.97 6.08
1st Principal Distribution
Date. ..................... 02/15/06 01/15/06 01/15/06 11/15/05 01/15/05 02/15/04 06/15/02
Last Principal Distribution
Date ...................... 02/15/06 02/15/06 01/15/06 12/15/05 07/15/05 10/15/04 10/15/02
</TABLE>
S-81
<PAGE>
Class B Certificates
(Prepayments Locked Out through LOP and YMP, then the following CPR)
<TABLE>
<CAPTION>
Prepayment Assumptions (CPR)
----------------------------------------------------------------------------
Price 0% 2% 4% 6% 8% 10% 15%
----- -- -- -- -- -- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
99-18 ...................... 8.051% 8.051% 8.051% 8.051% 8.051% 8.051% 8.051%
99-22 ...................... 8.032 8.032 8.032 8.032 8.032 8.032 8.032
99-26 ...................... 8.013 8.013 8.013 8.013 8.013 8.013 8.013
99-30 ...................... 7.994 7.994 7.994 7.994 7.994 7.994 7.994
Modified duration (years) 6.51 6.51 6.51 6.51 6.51 6.51 6.51
100-02 ..................... 7.974% 7.974% 7.974% 7.974% 7.974% 7.974% 7.974%
100-06 ..................... 7.955 7.955 7.955 7.955 7.955 7.955 7.955
100-10 ..................... 7.936 7.936 7.936 7.936 7.936 7.936 7.936
100-14 ..................... 7.917 7.917 7.917 7.917 7.917 7.917 7.917
Modified duration (years) 6.52 6.52 6.52 6.52 6.52 6.52 6.52
100-18 ..................... 7.898% 7.898% 7.898% 7.898% 7.898% 7.898% 7.898%
100-22 ..................... 7.879 7.879 7.879 7.879 7.879 7.879 7.879
100-26 ..................... 7.860 7.860 7.860 7.860 7.860 7.860 7.860
100-30 ..................... 7.841 7.841 7.841 7.841 7.841 7.841 7.841
Modified duration (years) 6.53 6.53 6.53 6.53 6.53 6.53 6.53
101-02 ..................... 7.822% 7.822% 7.822% 7.822% 7.822% 7.822% 7.822%
101-06 ..................... 7.803 7.803 7.803 7.803 7.803 7.803 7.803
101-10 ..................... 7.785 7.785 7.785 7.785 7.785 7.785 7.785
101-14 ..................... 7.766 7.766 7.766 7.766 7.766 7.766 7.766
Modified duration (years) 6.54 6.54 6.54 6.54 6.54 6.54 6.54
Weighted Average Life
(years) ................... 9.60 9.60 9.60 9.60 9.60 9.60 9.60
1st Principal Distribution
Date. ..................... 02/15/06 02/15/06 02/15/06 02/15/06 02/15/06 02/15/06 02/15/06
Last Principal Distribution
Date ...................... 02/15/06 02/15/06 02/15/06 02/15/06 02/15/06 02/15/06 02/15/06
</TABLE>
S-82
<PAGE>
Class C Certificates
<TABLE>
<CAPTION>
Prepayment Assumptions (CPR)
----------------------------------------------------------------------------
Price 0% 2% 4% 6% 8% 10% 15%
----- -- -- -- -- -- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
98-08 ...................... 8.150% 8.152% 8.152% 8.153% 8.156% 8.168% 8.220%
98-12 ...................... 8.131 8.132 8.133 8.134 8.136 8.147 8.195
98-16 ...................... 8.112 8.113 8.113 8.114 8.117 8.126 8.169
98-20 ...................... 8.092 8.093 8.094 8.094 8.097 8.105 8.144
Modified duration (years) 6.55 6.52 6.49 6.46 6.38 6.08 4.98
98-24 ...................... 8.073% 8.074% 8.074% 8.075% 8.077% 8.084% 8.119%
98-28 ...................... 8.054 8.054 8.055 8.055 8.057 8.063 8.093
99-00 ...................... 8.034 8.035 8.035 8.036 8.037 8.043 8.068
99-04 ...................... 8.015 8.016 8.016 8.016 8.018 8.022 8.043
Modified duration (years) 6.57 6.53 6.50 6.47 6.39 6.09 4.99
99-08 ...................... 7.996% 7.997% 7.997% 7.997% 7.998% 8.001% 8.018%
99-12 ...................... 7.977 7.977 7.977 7.978 7.978 7.981 7.992
99-16 ...................... 7.958 7.958 7.958 7.958 7.959 7.960 7.967
99-20 ...................... 7.939 7.939 7.939 7.939 7.939 7.940 7.942
Modified duration (years) 6.58 6.54 6.51 6.48 6.40 6.10 5.00
99-24 ...................... 7.920% 7.920% 7.920% 7.920% 7.920% 7.919% 7.917%
99-28 ...................... 7.901 7.901 7.901 7.900 7.900 7.899 7.892
100-00 ..................... 7.882 7.882 7.881 7.881 7.881 7.878 7.867
100-04 ..................... 7.863 7.863 7.862 7.862 7.861 7.858 7.842
Modified duration (years) 6.59 6.55 6.52 6.49 6.41 6.11 5.00
Weighted Average Life
(years) ................... 9.69 9.61 9.55 9.49 9.31 8.69 6.62
1st Principal Distribution
Date ...................... 02/15/06 02/15/06 01/15/06 12/15/05 07/15/05 10/15/04 10/15/02
Last Principal Distribution
Date ...................... 04/15/06 03/15/06 02/15/06 01/15/06 12/15/05 09/15/05 09/15/03
</TABLE>
S-83
<PAGE>
Class C Certificates
(Prepayments Locked Out through LOP and YMP, then the following CPR)
<TABLE>
<CAPTION>
Prepayment Assumptions (CPR)
----------------------------------------------------------------------------
Price 0% 2% 4% 6% 8% 10% 15%
----- -- -- -- -- -- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
98-08 ...................... 8.150% 8.150% 8.150% 8.150% 8.150% 8.151% 8.151%
98-12 ...................... 8.131 8.131 8.131 8.131 8.131 8.131 8.131
98-16 ...................... 8.112 8.112 8.112 8.112 8.112 8.112 8.112
98-20 ...................... 8.092 8.092 8.092 8.092 8.092 8.092 8.093
Modified duration (years) 6.55 6.55 6.55 6.55 6.55 6.55 6.54
98-24 ...................... 8.073% 8.073% 8.073% 8.073% 8.073% 8.073% 8.073%
98-28 ...................... 8.054 8.054 8.054 8.054 8.054 8.054 8.054
99-00 ...................... 8.034 8.034 8.034 8.035 8.035 8.035 8.035
99-04 ...................... 8.015 8.015 8.015 8.015 8.015 8.015 8.015
Modified duration (years) 6.57 6.56 6.56 6.56 6.56 6.56 6.55
99-08 ...................... 7.996% 7.996% 7.996% 7.996% 7.996% 7.996% 7.996%
99-12 ...................... 7.977 7.977 7.977 7.977 7.977 7.977 7.977
99-16 ...................... 7.958 7.958 7.958 7.958 7.958 7.958 7.958
99-20 ...................... 7.939 7.939 7.939 7.939 7.939 7.939 7.939
Modified duration (years) 6.58 6.57 6.57 6.57 6.57 6.57 6.56
99-24 ...................... 7.920% 7.920% 7.920% 7.920% 7.920% 7.920% 7.920%
99-28 ...................... 7.901 7.901 7.901 7.901 7.901 7.901 7.901
100-00 ..................... 7.882 7.882 7.882 7.882 7.882 7.882 7.882
100-04 ..................... 7.863 7.863 7.863 7.863 7.863 7.863 7.863
Modified duration (years) 6.59 6.58 6.58 6.58 6.58 6.58 6.57
Weighted Average Life
(years) ................... 9.69 9.69 9.69 9.68 9.68 9.67 9.67
1st Principal Distribution
Date ...................... 02/15/06 02/15/06 02/15/06 02/15/06 02/15/06 02/15/06 02/15/06
Last Principal Distribution
Date ...................... 04/15/06 04/15/06 04/15/06 04/15/06 04/15/06 04/15/06 04/15/06
</TABLE>
S-84
<PAGE>
Class D Certificates
<TABLE>
<CAPTION>
Prepayment Assumptions (CPR)
-----------------------------------------------------------------------------
Price 0% 2% 4% 6% 8% 10% 15%
----- -- -- -- -- -- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
97-08 ...................... 8.305% 8.306% 8.309% 8.310% 8.311% 8.316% 8.375%
97-12 ...................... 8.285 8.286 8.289 8.290 8.291 8.296 8.352
97-16 ...................... 8.266 8.267 8.269 8.270 8.272 8.275 8.329
97-20 ...................... 8.246 8.247 8.249 8.251 8.252 8.255 8.306
Modified duration (years) 6.57 6.54 6.50 6.47 6.45 6.38 5.53
97-24 ...................... 8.227% 8.228% 8.230% 8.231% 8.232% 8.235% 8.282%
97-28 ...................... 8.207 8.208 8.210 8.211 8.212 8.215 8.259
98-00 ...................... 8.188 8.189 8.191 8.191 8.192 8.195 8.236
98-04 ...................... 8.168 8.169 8.171 8.172 8.173 8.176 8.213
Modified duration (years) 6.58 6.55 6.51 6.49 6.46 6.39 5.54
98-08 ...................... 8.149% 8.150% 8.152% 8.152% 8.153% 8.156% 8.191%
98-12 ...................... 8.130 8.131 8.132 8.133 8.133 8.136 8.168
98-16 ...................... 8.111 8.111 8.113 8.113 8.114 8.116 8.145
98-20 ...................... 8.091 8.092 8.093 8.094 8.094 8.096 8.122
Modified duration (years) 6.59 6.56 6.52 6.50 6.47 6.40 5.55
98-24 ...................... 8.072% 8.073% 8.074% 8.074% 8.075% 8.076% 8.099%
98-28 ...................... 8.053 8.054 8.054 8.055 8.055 8.057 8.076
99-00 ...................... 8.034 8.034 8.035 8.035 8.036 8.037 8.054
99-04 ...................... 8.015 8.015 8.016 8.016 8.016 8.017 8.031
Modified duration (years) 6.60 6.57 6.53 6.51 6.48 6.41 5.56
Weighted Average Life
(years) ................... 9.76 9.71 9.61 9.56 9.51 9.35 7.65
1st Principal Distribution
Date ...................... 04/15/06 03/15/06 02/15/06 01/15/06 12/15/05 09/15/05 09/15/03
Last Principal Distribution
Date ...................... 04/15/06 04/15/06 03/15/06 02/15/06 01/15/06 12/15/05 09/15/04
</TABLE>
S-85
<PAGE>
Class D Certificates
(Prepayments Locked Out through LOP and YMP, then the following CPR)
<TABLE>
<CAPTION>
Prepayment Assumptions (CPR)
-----------------------------------------------------------------------------
Price 0% 2% 4% 6% 8% 10% 15%
----- -- -- -- -- -- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
97-08 ...................... 8.305% 8.305% 8.305% 8.305% 8.305% 8.305% 8.305%
97-12 ...................... 8.285 8.285 8.285 8.285 8.285 8.285 8.285
97-16 ...................... 8.266 8.266 8.266 8.266 8.266 8.266 8.266
97-20 ...................... 8.246 8.246 8.246 8.246 8.246 8.246 8.246
Modified duration (years) 6.57 6.57 6.57 6.57 6.57 6.57 6.57
97-24 ...................... 8.227% 8.227% 8.227% 8.227% 8.227% 8.227% 8.227%
97-28 ...................... 8.207 8.207 8.207 8.207 8.207 8.207 8.207
98-00 ...................... 8.188 8.188 8.188 8.188 8.188 8.188 8.188
98-04 ...................... 8.168 8.168 8.168 8.168 8.168 8.168 8.168
Modified duration (years) 6.58 6.58 6.58 6.58 6.58 6.58 6.58
98-08 ...................... 8.149% 8.149% 8.149% 8.149% 8.149% 8.149% 8.149%
98-12 ...................... 8.130 8.130 8.130 8.130 8.130 8.130 8.130
98-16 ...................... 8.111 8.111 8.111 8.111 8.111 8.111 8.111
98-20 ...................... 8.091 8.091 8.091 8.091 8.091 8.091 8.091
Modified duration (years) 6.59 6.59 6.59 6.59 6.59 6.59 6.59
98-24 ...................... 8.072% 8.072% 8.072% 8.072% 8.072% 8.072% 8.072%
98-28 ...................... 8.053 8.053 8.053 8.053 8.053 8.053 8.053
99-00 ...................... 8.034 8.034 8.034 8.034 8.034 8.034 8.034
99-04 ...................... 8.015 8.015 8.015 8.015 8.015 8.015 8.015
Modified duration (years) 6.60 6.60 6.60 6.60 6.60 6.60 6.60
Weighted Average Life
(years) ................... 9.76 9.76 9.76 9.76 9.76 9.76 9.76
1st Principal Distribution
Date ...................... 04/15/06 04/15/06 04/15/06 04/15/06 04/15/06 04/15/06 04/15/06
Last Principal Distribution
Date ...................... 04/15/06 04/15/06 04/15/06 04/15/06 04/15/06 04/15/06 04/15/06
</TABLE>
S-86
<PAGE>
Class E Certificates
<TABLE>
<CAPTION>
Prepayment Assumptions (CPR)
-----------------------------------------------------------------------------
Price 0% 2% 4% 6% 8% 10% 15%
----- -- -- -- -- -- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
94-22 ...................... 8.604% 8.606% 8.610% 8.615% 8.618% 8.621% 8.689%
94-26 ...................... 8.584 8.586 8.589 8.594 8.597 8.600 8.667
94-30 ...................... 8.564 8.566 8.569 8.574 8.577 8.580 8.645
95-02 ...................... 8.544 8.546 8.549 8.554 8.556 8.559 8.623
Modified duration (years) 6.56 6.54 6.51 6.47 6.45 6.42 5.92
95-06 ...................... 8.524% 8.526% 8.529% 8.534% 8.536% 8.539% 8.601%
95-10 ...................... 8.504 8.506 8.509 8.513 8.516 8.518 8.578
95-14 ...................... 8.484 8.486 8.489 8.493 8.495 8.498 8.556
95-18 ...................... 8.464 8.466 8.469 8.473 8.475 8.478 8.534
Modified duration (years) 6.57 6.55 6.53 6.48 6.46 6.43 5.92
95-22 ...................... 8.444% 8.446% 8.449% 8.453% 8.455% 8.458% 8.512%
95-26 ...................... 8.424 8.426 8.429 8.433 8.435 8.437 8.490
95-30 ...................... 8.404 8.406 8.409 8.413 8.415 8.417 8.468
96-02 ...................... 8.385 8.387 8.389 8.393 8.395 8.397 8.446
Modified duration (years) 6.58 6.56 6.54 6.49 6.47 6.45 5.93
96-06 ...................... 8.365% 8.367% 8.369% 8.373% 8.375% 8.377% 8.425%
96-10 ...................... 8.345 8.347 8.349 8.353 8.355 8.357 8.403
96-14 ...................... 8.326 8.327 8.329 8.333 8.335 8.337 8.381
96-18 ...................... 8.306 8.308 8.310 8.313 8.315 8.317 8.359
Modified duration (years) 6.60 6.57 6.55 6.50 6.48 6.46 5.94
Weighted Average Life
(years) ................... 9.81 9.76 9.71 9.61 9.56 9.50 8.43
1st Principal Distribution
Date ...................... 04/15/06 04/15/06 03/15/06 02/15/06 01/15/06 12/15/05 09/15/04
Last Principal Distribution
Date ...................... 05/15/06 04/15/06 04/15/06 03/15/06 02/15/06 01/15/06 05/15/05
</TABLE>
S-87
<PAGE>
Class E Certificates
(Prepayments Locked Out through LOP and YMP, then the following CPR)
<TABLE>
<CAPTION>
Prepayment Assumptions (CPR)
----------------------------------------------------------------------------
Price 0% 2% 4% 6% 8% 10% 15%
----- -- -- -- -- -- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
94-22 ...................... 8.604% 8.604% 8.604% 8.604% 8.604% 8.604% 8.605%
94-26 ...................... 8.584 8.584 8.584 8.584 8.584 8.584 8.585
94-30 ...................... 8.564 8.564 8.564 8.564 8.564 8.564 8.565
95-02 ...................... 8.544 8.544 8.544 8.544 8.544 8.544 8.545
Modified duration (years) 6.56 6.56 6.56 6.56 6.56 6.56 6.55
95-06 ...................... 8.524% 8.524% 8.524% 8.524% 8.524% 8.524% 8.525%
95-10 ...................... 8.504 8.504 8.504 8.504 8.504 8.504 8.505
95-14 ...................... 8.484 8.484 8.484 8.484 8.484 8.484 8.485
95-18 ...................... 8.464 8.464 8.464 8.464 8.464 8.464 8.465
Modified duration (years) 6.57 6.57 6.57 6.57 6.57 6.57 6.57
95-22 ...................... 8.444% 8.444% 8.444% 8.444% 8.444% 8.445% 8.445%
95-26 ...................... 8.424 8.424 8.424 8.425 8.425 8.425 8.425
95-30 ...................... 8.404 8.405 8.405 8.405 8.405 8.405 8.405
96-02 ...................... 8.385 8.385 8.385 8.385 8.385 8.385 8.385
Modified duration (years) 6.58 6.58 6.58 6.58 6.58 6.58 6.58
96-06 ...................... 8.365% 8.365% 8.365% 8.365% 8.365% 8.365% 8.366%
96-10 ...................... 8.345 8.345 8.346 8.346 8.346 8.346 8.346
96-14 ...................... 8.326 8.326 8.326 8.326 8.326 8.326 8.326
96-18 ...................... 8.306 8.306 8.306 8.306 8.306 8.307 8.307
Modified duration (years) 6.60 6.59 6.59 6.59 6.59 6.59 6.59
Weighted Average Life
(years) ................... 9.81 9.81 9.81 9.81 9.80 9.80 9.79
1st Principal Distribution
Date ...................... 04/15/06 04/15/06 04/15/06 04/15/06 04/15/06 04/15/06 04/15/06
Last Principal Distribution
Date ...................... 05/15/06 05/15/06 05/15/06 05/15/06 05/15/06 05/15/06 05/15/06
</TABLE>
S-88
<PAGE>
Class F Certificates
<TABLE>
<CAPTION>
Prepayment Assumptions (CPR)
-----------------------------------------------------------------------------
Price 0% 2% 4% 6% 8% 10% 15%
----- -- -- -- -- -- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
91-00 ...................... 9.209% 9.215% 9.217% 9.225% 9.233% 9.241% 9.295%
91-04 ...................... 9.188 9.194 9.196 9.204 9.212 9.219 9.272
91-08 ...................... 9.167 9.172 9.175 9.182 9.190 9.198 9.250
91-12 ...................... 9.146 9.151 9.154 9.161 9.169 9.176 9.228
Modified duration (years) 6.49 6.47 6.46 6.42 6.38 6.35 6.12
91-16 ...................... 9.125% 9.130% 9.132% 9.140% 9.147% 9.155% 9.205%
91-20 ...................... 9.104 9.109 9.111 9.119 9.126 9.133 9.183
91-24 ...................... 9.083 9.088 9.090 9.098 9.105 9.112 9.161
91-28 ...................... 9.062 9.067 9.069 9.076 9.084 9.090 9.139
Modified duration (years) 6.50 6.48 6.47 6.43 6.40 6.36 6.13
92-00 ...................... 9.041% 9.046% 9.048% 9.055% 9.062% 9.069% 9.117%
92-04 ...................... 9.021 9.025 9.027 9.034 9.041 9.048 9.094
92-08 ...................... 9.000 9.004 9.006 9.013 9.020 9.027 9.072
92-12 ...................... 8.979 8.984 8.986 8.992 8.999 9.005 9.050
Modified duration (years) 6.52 6.49 6.48 6.44 6.41 6.37 6.14
92-16 ...................... 8.958% 8.963% 8.965% 8.971% 8.978% 8.984% 9.028%
92-20 ...................... 8.938 8.942 8.944 8.950 8.957 8.963 9.007
92-24 ...................... 8.917 8.921 8.923 8.930 8.936 8.942 8.985
92-28 ...................... 8.896 8.901 8.903 8.909 8.915 8.921 8.963
Modified duration (years) 6.53 6.50 6.49 6.45 6.42 6.38 6.15
Weighted Average Life
(years) ................... 9.85 9.79 9.76 9.68 9.60 9.52 9.01
1st Principal Distribution
Date ...................... 05/15/06 04/15/06 04/15/06 03/15/06 02/15/06 01/15/06 05/15/05
Last Principal Distribution
Date ...................... 05/15/06 05/15/06 04/15/06 03/15/06 02/15/06 02/15/06 09/15/05
</TABLE>
S-89
<PAGE>
Class F Certificates
(Prepayments Locked Out through LOP and YMP, then the following CPR)
<TABLE>
<CAPTION>
Prepayment Assumptions (CPR)
----------------------------------------------------------------------------
Price 0% 2% 4% 6% 8% 10% 15%
----- -- -- -- -- -- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
91-00 ...................... 9.209% 9.209% 9.209% 9.209% 9.209% 9.209% 9.209%
91-04 ...................... 9.188 9.188 9.188 9.188 9.188 9.188 9.188
91-08 ...................... 9.167 9.167 9.167 9.167 9.167 9.167 9.167
91-12 ...................... 9.146 9.146 9.146 9.146 9.146 9.146 9.146
Modified duration (years) 6.49 6.49 6.49 6.49 6.49 6.49 6.49
91-16 ...................... 9.125% 9.125% 9.125% 9.125% 9.125% 9.125% 9.125%
91-20 ...................... 9.104 9.104 9.104 9.104 9.104 9.104 9.104
91-24 ...................... 9.083 9.083 9.083 9.083 9.083 9.083 9.083
91-28 ...................... 9.062 9.062 9.062 9.062 9.062 9.062 9.062
Modified duration (years) 6.50 6.50 6.50 6.50 6.50 6.50 6.50
92-00 ...................... 9.041% 9.041% 9.041% 9.041% 9.041% 9.041% 9.041%
92-04 ...................... 9.021 9.021 9.021 9.021 9.021 9.021 9.021
92-08 ...................... 9.000 9.000 9.000 9.000 9.000 9.000 9.000
92-12 ...................... 8.979 8.979 8.979 8.979 8.979 8.979 8.979
Modified duration (years) 6.52 6.52 6.52 6.52 6.52 6.52 6.52
92-16 ...................... 8.958% 8.958% 8.958% 8.958% 8.958% 8.958% 8.958%
92-20 ...................... 8.938 8.938 8.938 8.938 8.938 8.938 8.938
92-24 ...................... 8.917 8.917 8.917 8.917 8.917 8.917 8.917
92-28 ...................... 8.896 8.896 8.896 8.896 8.896 8.896 8.896
Modified duration (years) 6.53 6.53 6.53 6.53 6.53 6.53 6.53
Weighted Average Life
(years) ................... 9.85 9.85 9.85 9.85 9.85 9.85 9.85
1st Principal Distribution
Date ...................... 05/15/06 05/15/06 05/15/06 05/15/06 05/15/06 05/15/06 05/15/06
Last Principal Distribution
Date ...................... 05/15/06 05/15/06 05/15/06 05/15/06 05/15/06 05/15/06 05/15/06
</TABLE>
S-90
<PAGE>
Weighted Average Lives
The weighted average life of any Sequential Pay Certificate refers to the
average amount of time that will elapse from the date of its issuance until each
dollar to be applied in reduction of the principal balance of such Certificate
is distributed to the investor. For purposes of this Prospectus Supplement, the
weighted average life of a Sequential Pay Certificate is determined by (i)
multiplying the amount of each principal distribution thereon by the number of
years from the Delivery Date to the related Distribution Date, (ii) summing the
results and (iii) dividing the sum by the aggregate amount of the reductions in
the principal balance of such Certificate. Accordingly, the weighted average
life of any such Certificate will be influenced by, among other things, the rate
at which principal of the Mortgage Loans is paid or otherwise collected or
advanced and the extent to which such payments, collections and/or advances of
principal are in turn applied in reduction of the Certificate Balance of the
Class of Certificates to which such Certificate belongs. As described herein,
the Principal Distribution Amount with respect to each Loan Group for each
Distribution Date will be distributable entirely in respect of the Class A
Certificates until the Certificate Balances thereof are reduced to zero, and
will thereafter be distributable entirely in respect of the Class B, Class C,
Class D, Class E, Class F, Class G, Class H, Class J and Class K Certificates,
in that order, in each case until the Certificate Balance of each such Class of
Certificates is reduced to zero. As a consequence of the foregoing, the weighted
average lives of the Class A Certificates will be shorter, and the weighted
average lives of the other Classes of Sequential Pay Certificates may be longer,
than would otherwise be the case if the Principal Distribution Amount with
respect to each Loan Group for each Distribution Date was being distributed on a
pro rata basis among the respective Classes of Sequential Pay Certificates.
The following tables indicate the percentages of the respective initial
Certificate Balances of the Class A-1, Class A-2A, Class A-2B, Class B, Class C,
Class D, Class E and Class F Certificates that would be outstanding after each
of the dates shown at various CPRs and the corresponding weighted average lives
of such Classes of Sequential Pay Certificates. Two tables have been prepared
with respect to each such Class of Certificates. The first table of each such
pair is based on the Maturity Assumptions except that the assumptions numbered
on page S-71 as (xiv), (xv) and (xvi) were not utilized in the calculation
thereof. The second table of each such pair has also been prepared on the basis
of the Maturity Assumptions except that the assumption numbered on page S-71 as
(xv) was utilized while the assumptions numbered on page S-71 as (xiv) and (xvi)
were not. To the extent that the Mortgage Loans have characteristics that differ
from those assumed in preparing the tables set forth below, the Class A-1, Class
A-2A, Class A-2B, Class B, Class C, Class D, Class E or Class F Certificates may
mature earlier or later than indicated by the tables. It is highly unlikely that
the Mortgage Loans will prepay in accordance with the above assumptions at any
of the specified CPRs until maturity or that all the Mortgage Loans will so
prepay at the same rate. In addition, variations in the actual prepayment
experience and the balance of the Mortgage Loans that prepay may increase or
decrease the percentages of initial Certificate Balances (and weighted average
lives) shown in the following tables. Such variations may occur even if the
average prepayment experience of the Mortgage Loans were to conform to the
assumptions and be equal to any of the specified CPRs. Investors are urged to
conduct their own analyses of the rates at which the Mortgage Loans may be
expected to prepay.
S-91
<PAGE>
Based on the assumptions described on page S-91, the following tables
indicate the resulting weighted average lives of the Class A-1 Certificates and
set forth the percentages of the initial Certificate Balance of the Class A-1
Certificates that would be outstanding after each of the dates shown at the
indicated CPRs.
Percentages of the Initial Certificate Balance of
the Class A-1 Certificates at the Specified CPRs
<TABLE>
<CAPTION>
Prepayment Assumption (CPR)
------------------------------------------------------------------
Date 0% 2% 4% 6% 8% 10% 15%
---- -- -- -- -- -- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
Delivery Date ....................... 100% 100% 100% 100% 100% 100% 100%
July 15, 1997 ....................... 99 97 95 93 91 89 84
July 15, 1998 ....................... 98 94 90 87 83 79 71
July 15, 1999 ....................... 97 91 86 80 75 71 59
July 15, 2000 ....................... 95 88 81 75 68 63 50
July 15, 2001 ....................... 94 85 77 69 62 56 42
July 15, 2002 ....................... 71 63 56 49 43 38 0
July 15, 2003 ....................... 70 61 53 45 39 33 0
July 15, 2004 ....................... 69 59 50 42 35 0 0
July 15, 2005 ....................... 0 0 0 0 0 0 0
July 15, 2006 ....................... 0 0 0 0 0 0 0
Weighted Average Life (years) ....... 7.2 6.7 6.2 5.8 5.4 4.7 3.6
</TABLE>
Percentages of the Initial Certificate Balance of
the Class A-1 Certificates at the
Specified CPRs (Prepayments Locked Out through LOP
and YMP, then the following CPR)
<TABLE>
<CAPTION>
Prepayment Assumption (CPR)
------------------------------------------------------------------
Date 0% 2% 4% 6% 8% 10% 15%
---- -- -- -- -- -- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
Delivery Date ....................... 100% 100% 100% 100% 100% 100% 100%
July 15, 1997 ....................... 99 97 95 93 91 89 84
July 15, 1998 ....................... 98 94 90 87 83 79 71
July 15, 1999 ....................... 97 91 86 80 75 71 59
July 15, 2000 ....................... 95 88 81 75 68 63 50
July 15, 2001 ....................... 94 85 77 69 62 56 42
July 15, 2002 ....................... 71 63 56 49 43 38 27
July 15, 2003 ....................... 70 61 53 45 39 33 22
July 15, 2004 ....................... 69 59 50 42 35 30 19
July 15, 2005 ....................... 0 0 0 0 0 0 0
July 15, 2006 ....................... 0 0 0 0 0 0 0
Weighted Average Life (years) ....... 7.2 6.7 6.2 5.8 5.4 5.0 4.2
</TABLE>
S-92
<PAGE>
Based on the assumptions described on page S-91, the following tables
indicate the resulting weighted average lives of the Class A-2A Certificates and
set forth the percentages of the initial Certificate Balance of the Class A-2A
Certificates that would be outstanding after each of the dates shown at the
indicated CPRs.
Percentages of the Initial Certificate Balance of
the Class A-2A Certificates at the Specified CPRs
<TABLE>
<CAPTION>
Prepayment Assumption (CPR)
------------------------------------------------------------------
Date 0% 2% 4% 6% 8% 10% 15%
---- -- -- -- -- -- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
Delivery Date ....................... 100% 100% 100% 100% 100% 100% 100%
July 15, 1997 ....................... 96 90 84 78 72 66 52
July 15, 1998 ....................... 92 81 69 58 47 36 11
July 15, 1999 ....................... 88 71 54 39 24 9 0
July 15, 2000 ....................... 75 54 33 14 0 0 0
July 15, 2001 ....................... 69 43 19 0 0 0 0
July 15, 2002 ....................... 49 21 0 0 0 0 0
July 15, 2003 ....................... 19 0 0 0 0 0 0
July 15, 2004 ....................... 14 0 0 0 0 0 0
July 15, 2005 ....................... 0 0 0 0 0 0 0
Weighted Average Life (years) ....... 5.6 4.1 3.1 2.4 2.0 1.6 1.1
</TABLE>
Percentages of the Initial Certificate Balance of
the Class A-2A Certificates at the
Specified CPRs (Prepayments Locked Out through LOP
and YMP, then the following CPR)
<TABLE>
<CAPTION>
Prepayment Assumption (CPR)
------------------------------------------------------------------
Date 0% 2% 4% 6% 8% 10% 15%
---- -- -- -- -- -- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
Delivery Date ....................... 100% 100% 100% 100% 100% 100% 100%
July 15, 1997 ....................... 96 96 96 96 95 95 94
July 15, 1998 ....................... 92 92 91 91 90 90 89
July 15, 1999 ....................... 88 87 86 85 85 84 82
July 15, 2000 ....................... 75 75 74 74 73 73 71
July 15, 2001 ....................... 69 68 67 66 66 65 64
July 15, 2002 ....................... 49 49 48 47 47 46 45
July 15, 2003 ....................... 19 19 18 17 17 16 15
July 15, 2004 ....................... 14 13 12 11 11 10 9
July 15, 2005 ....................... 0 0 0 0 0 0 0
Weighted Average Life (years) ....... 5.6 5.5 5.5 5.4 5.4 5.3 5.2
</TABLE>
S-93
<PAGE>
Based on the assumptions described on page S-91, the following tables
indicate the resulting weighted average lives of the Class A-2B Certificates and
set forth the percentages of the initial Certificate Balance of the Class A-2B
Certificates that would be outstanding after each of the dates shown at the
indicated CPRs.
Percentages of the Initial Certificate Balance of
the Class A-2B Certificates at the Specified CPRs
<TABLE>
<CAPTION>
Prepayment Assumption (CPR)
------------------------------------------------------------------
Date 0% 2% 4% 6% 8% 10% 15%
---- -- -- -- -- -- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
Delivery Date ....................... 100% 100% 100% 100% 100% 100% 100%
July 15, 1997 ....................... 100 100 100 100 100 100 100
July 15, 1998 ....................... 100 100 100 100 100 100 100
July 15, 1999 ....................... 100 100 100 100 100 100 75
July 15, 2000 ....................... 100 100 100 100 97 79 41
July 15, 2001 ....................... 100 100 100 97 76 57 16
July 15, 2002 ....................... 100 100 95 71 49 30 0
July 15, 2003 ....................... 100 90 63 40 19 1 0
July 15, 2004 ....................... 100 81 52 28 6 0 0
July 15, 2005 ....................... 98 64 35 10 0 0 0
July 15, 2006 ....................... 0 0 0 0 0 0 0
Weighted Average Life (years) ....... 9.4 8.9 8.0 7.0 6.0 5.2 3.9
</TABLE>
Percentages of the Initial Certificate Balance of
the Class A-2B Certificates at the
Specified CPRs (Prepayments Locked Out through LOP
and YMP, then the following CPR)
<TABLE>
<CAPTION>
Prepayment Assumption (CPR)
------------------------------------------------------------------
Date 0% 2% 4% 6% 8% 10% 15%
---- -- -- -- -- -- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
Delivery Date ....................... 100% 100% 100% 100% 100% 100% 100%
July 15, 1997 ....................... 100 100 100 100 100 100 100
July 15, 1998 ....................... 100 100 100 100 100 100 100
July 15, 1999 ....................... 100 100 100 100 100 100 100
July 15, 2000 ....................... 100 100 100 100 100 100 100
July 15, 2001 ....................... 100 100 100 100 100 100 100
July 15, 2002 ....................... 100 100 100 100 100 100 100
July 15, 2003 ....................... 100 100 100 100 100 100 100
July 15, 2004 ....................... 100 100 100 100 100 100 100
July 15, 2005 ....................... 98 97 96 96 95 94 93
July 15, 2006 ....................... 0 0 0 0 0 0 0
Weighted Average Life (years) ....... 9.4 9.4 9.4 9.4 9.4 9.4 9.4
</TABLE>
S-94
<PAGE>
Based on the assumptions described on page S-91, the following tables
indicate the resulting weighted average lives of the Class B Certificates and
set forth the percentages of the initial Certificate Balance of the Class B
Certificates that would be outstanding after each of the dates shown at the
indicated CPRs.
Percentages of the Initial Certificate Balance of
the Class B Certificates at the Specified CPRs
<TABLE>
<CAPTION>
Prepayment Assumption (CPR)
------------------------------------------------------------------
Date 0% 2% 4% 6% 8% 10% 15%
---- -- -- -- -- -- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
Delivery Date ....................... 100% 100% 100% 100% 100% 100% 100%
July 15, 1997 ....................... 100 100 100 100 100 100 100
July 15, 1998 ....................... 100 100 100 100 100 100 100
July 15, 1999 ....................... 100 100 100 100 100 100 100
July 15, 2000 ....................... 100 100 100 100 100 100 100
July 15, 2001 ....................... 100 100 100 100 100 100 100
July 15, 2002 ....................... 100 100 100 100 100 100 53
July 15, 2003 ....................... 100 100 100 100 100 100 0
July 15, 2004 ....................... 100 100 100 100 100 39 0
July 15, 2005 ....................... 100 100 100 100 0 0 0
July 15, 2006 ....................... 0 0 0 0 0 0 0
Weighted Average Life (years) ....... 9.6 9.6 9.5 9.4 8.8 8.0 6.1
</TABLE>
Percentages of the Initial Certificate Balance of
the Class B Certificates at the
Specified CPRs (Prepayments Locked Out through LOP
and YMP, then the following CPR)
<TABLE>
<CAPTION>
Prepayment Assumption (CPR)
-------------------------------------------------------------------
Date 0% 2% 4% 6% 8% 10% 15%
---- -- -- -- -- -- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
Delivery Date ....................... 100% 100% 100% 100% 100% 100% 100%
July 15, 1997 ....................... 100 100 100 100 100 100 100
July 15, 1998 ....................... 100 100 100 100 100 100 100
July 15, 1999 ....................... 100 100 100 100 100 100 100
July 15, 2000 ....................... 100 100 100 100 100 100 100
July 15, 2001 ....................... 100 100 100 100 100 100 100
July 15, 2002 ....................... 100 100 100 100 100 100 100
July 15, 2003 ....................... 100 100 100 100 100 100 100
July 15, 2004 ....................... 100 100 100 100 100 100 100
July 15, 2005 ....................... 100 100 100 100 100 100 100
July 15, 2006 ....................... 0 0 0 0 0 0 0
Weighted Average Life (years) ....... 9.6 9.6 9.6 9.6 9.6 9.6 9.6
</TABLE>
S-95
<PAGE>
Based on the assumptions described on page S-91, the following tables
indicate the resulting weighted average lives of the Class C Certificates and
set forth the percentages of the initial Certificate Balance of the Class C
Certificates that would be outstanding after each of the dates shown at the
indicated CPRs.
Percentages of the Initial Certificate Balance of the
Class C Certificates at the Specified CPRs
<TABLE>
<CAPTION>
Prepayment Assumption (CPR)
-------------------------------------------------------------------
Date 0% 2% 4% 6% 8% 10% 15%
---- -- -- -- -- -- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
Delivery Date ....................... 100% 100% 100% 100% 100% 100% 100%
July 15, 1997 ....................... 100 100 100 100 100 100 100
July 15, 1998 ....................... 100 100 100 100 100 100 100
July 15, 1999 ....................... 100 100 100 100 100 100 100
July 15, 2000 ....................... 100 100 100 100 100 100 100
July 15, 2001 ....................... 100 100 100 100 100 100 100
July 15, 2002 ....................... 100 100 100 100 100 100 100
July 15, 2003 ....................... 100 100 100 100 100 100 6
July 15, 2004 ....................... 100 100 100 100 100 100 0
July 15, 2005 ....................... 100 100 100 100 97 16 0
July 15, 2006 ....................... 0 0 0 0 0 0 0
Weighted Average Life (years) ....... 9.7 9.6 9.6 9.5 9.3 8.7 6.6
</TABLE>
Percentages of the Initial Certificate Balance of the
Class C Certificates at the Specified
CPRs (Prepayments Locked Out through LOP and YMP,
then the following CPR)
<TABLE>
<CAPTION>
Prepayment Assumption (CPR)
------------------------------------------------------------------
Date 0% 2% 4% 6% 8% 10% 15%
---- -- -- -- -- -- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
Delivery Date ....................... 100% 100% 100% 100% 100% 100% 100%
July 15, 1997 ....................... 100 100 100 100 100 100 100
July 15, 1998 ....................... 100 100 100 100 100 100 100
July 15, 1999 ....................... 100 100 100 100 100 100 100
July 15, 2000 ....................... 100 100 100 100 100 100 100
July 15, 2001 ....................... 100 100 100 100 100 100 100
July 15, 2002 ....................... 100 100 100 100 100 100 100
July 15, 2003 ....................... 100 100 100 100 100 100 100
July 15, 2004 ....................... 100 100 100 100 100 100 100
July 15, 2005 ....................... 100 100 100 100 100 100 100
July 15, 2006 ....................... 0 0 0 0 0 0 0
Weighted Average Life (years) ....... 9.7 9.7 9.7 9.7 9.7 9.7 9.7
</TABLE>
S-96
<PAGE>
Based on the assumptions described on page S-91, the following tables
indicate the resulting weighted average lives of the Class D Certificates and
set forth the percentages of the initial Certificate Balance of the Class D
Certificates that would be outstanding after each of the dates shown at the
indicated CPRs.
Percentages of the Initial Certificate Balance of
the Class D Certificates at the Specified CPRs
<TABLE>
<CAPTION>
Prepayment Assumption (CPR)
-----------------------------------------------------------------
Date 0% 2% 4% 6% 8% 10% 15%
---- -- -- -- -- -- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
Delivery Date ....................... 100% 100% 100% 100% 100% 100% 100%
July 15, 1997 ....................... 100 100 100 100 100 100 100
July 15, 1998 ....................... 100 100 100 100 100 100 100
July 15, 1999 ....................... 100 100 100 100 100 100 100
July 15, 2000 ....................... 100 100 100 100 100 100 100
July 15, 2001 ....................... 100 100 100 100 100 100 100
July 15, 2002 ....................... 100 100 100 100 100 100 100
July 15, 2003 ....................... 100 100 100 100 100 100 100
July 15, 2004 ....................... 100 100 100 100 100 100 10
July 15, 2005 ....................... 100 100 100 100 100 100 0
July 15, 2006 ....................... 0 0 0 0 0 0 0
Weighted Average Life (years) ....... 9.8 9.7 9.6 9.6 9.5 9.4 7.6
</TABLE>
Percentages of the Initial Certificate Balance of
the Class D Certificates at the
Specified CPRs (Prepayments Locked Out through LOP
and YMP, then the following CPR)
<TABLE>
<CAPTION>
Prepayment Assumption (CPR)
------------------------------------------------------------------
Date 0% 2% 4% 6% 8% 10% 15%
---- -- -- -- -- -- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
Delivery Date ....................... 100% 100% 100% 100% 100% 100% 100%
July 15, 1997 ....................... 100 100 100 100 100 100 100
July 15, 1998 ....................... 100 100 100 100 100 100 100
July 15, 1999 ....................... 100 100 100 100 100 100 100
July 15, 2000 ....................... 100 100 100 100 100 100 100
July 15, 2001 ....................... 100 100 100 100 100 100 100
July 15, 2002 ....................... 100 100 100 100 100 100 100
July 15, 2003 ....................... 100 100 100 100 100 100 100
July 15, 2004 ....................... 100 100 100 100 100 100 100
July 15, 2005 ....................... 100 100 100 100 100 100 100
July 15, 2006 ....................... 0 0 0 0 0 0 0
Weighted Average Life (years) ....... 9.8 9.8 9.8 9.8 9.8 9.8 9.8
</TABLE>
S-97
<PAGE>
Based on the assumptions described on page S-91, the following tables
indicate the resulting weighted average lives of the Class E Certificates and
set forth the percentages of the initial Certificate Balance of the Class E
Certificates that would be outstanding after each of the dates shown at the
indicated CPRs.
Percentages of the Initial Certificate Balance of
the Class E Certificates at the Specified CPRs
<TABLE>
<CAPTION>
Prepayment Assumption (CPR)
------------------------------------------------------------------
Date 0% 2% 4% 6% 8% 10% 15%
---- -- -- -- -- -- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
Delivery Date ....................... 100% 100% 100% 100% 100% 100% 100%
July 15, 1997 ....................... 100 100 100 100 100 100 100
July 15, 1998 ....................... 100 100 100 100 100 100 100
July 15, 1999 ....................... 100 100 100 100 100 100 100
July 15, 2000 ....................... 100 100 100 100 100 100 100
July 15, 2001 ....................... 100 100 100 100 100 100 100
July 15, 2002 ....................... 100 100 100 100 100 100 100
July 15, 2003 ....................... 100 100 100 100 100 100 100
July 15, 2004 ....................... 100 100 100 100 100 100 100
July 15, 2005 ....................... 100 100 100 100 100 100 0
July 15, 2006 ....................... 0 0 0 0 0 0 0
Weighted Average Life (years) ....... 9.8 9.8 9.7 9.6 9.6 9.5 8.4
</TABLE>
Percentages of the Initial Certificate Balance of
the Class E Certificates at the
Specified CPRs (Prepayments Locked Out through LOP
and YMP, then the following CPR)
<TABLE>
<CAPTION>
Prepayment Assumption (CPR)
------------------------------------------------------------------
Date 0% 2% 4% 6% 8% 10% 15%
---- -- -- -- -- -- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
Delivery Date ....................... 100% 100% 100% 100% 100% 100% 100%
July 15, 1997 ....................... 100 100 100 100 100 100 100
July 15, 1998 ....................... 100 100 100 100 100 100 100
July 15, 1999 ....................... 100 100 100 100 100 100 100
July 15, 2000 ....................... 100 100 100 100 100 100 100
July 15, 2001 ....................... 100 100 100 100 100 100 100
July 15, 2002 ....................... 100 100 100 100 100 100 100
July 15, 2003 ....................... 100 100 100 100 100 100 100
July 15, 2004 ....................... 100 100 100 100 100 100 100
July 15, 2005 ....................... 100 100 100 100 100 100 100
July 15, 2006 ....................... 0 0 0 0 0 0 0
Weighted Average Life (years) ....... 9.8 9.8 9.8 9.8 9.8 9.8 9.8
</TABLE>
S-98
<PAGE>
Based on the assumptions described on page S-91, the following tables
indicate the resulting weighted average lives of the Class F Certificates and
set forth the percentages of the initial Certificate Balance of the Class F
Certificates that would be outstanding after each of the dates shown at the
indicated CPRs.
Percentages of the Initial Certificate Balance of
the Class F Certificates at the Specified CPRs
<TABLE>
<CAPTION>
Prepayment Assumption (CPR)
------------------------------------------------------------------
Date 0% 2% 4% 6% 8% 10% 15%
---- -- -- -- -- -- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
Delivery Date ....................... 100% 100% 100% 100% 100% 100% 100%
July 15, 1997 ....................... 100 100 100 100 100 100 100
July 15, 1998 ....................... 100 100 100 100 100 100 100
July 15, 1999 ....................... 100 100 100 100 100 100 100
July 15, 2000 ....................... 100 100 100 100 100 100 100
July 15, 2001 ....................... 100 100 100 100 100 100 100
July 15, 2002 ....................... 100 100 100 100 100 100 100
July 15, 2003 ....................... 100 100 100 100 100 100 100
July 15, 2004 ....................... 100 100 100 100 100 100 100
July 15, 2005 ....................... 100 100 100 100 100 100 25
July 15, 2006 ....................... 0 0 0 0 0 0 0
Weighted Average Life (years) ....... 9.8 9.8 9.8 9.7 9.6 9.5 9.0
</TABLE>
Percentages of the Initial Certificate Balance of
the Class F Certificates at the
Specified CPRs (Prepayments Locked Out through LOP
and YMP, then the following CPR)
<TABLE>
<CAPTION>
Prepayment Assumption (CPR)
------------------------------------------------------------------
Date 0% 2% 4% 6% 8% 10% 15%
---- -- -- -- -- -- --- ---
<S> <C> <C> <C> <C> <C> <C> <C>
Delivery Date ....................... 100% 100% 100% 100% 100% 100% 100%
July 15, 1997 ....................... 100 100 100 100 100 100 100
July 15, 1998 ....................... 100 100 100 100 100 100 100
July 15, 1999 ....................... 100 100 100 100 100 100 100
July 15, 2000 ....................... 100 100 100 100 100 100 100
July 15, 2001 ....................... 100 100 100 100 100 100 100
July 15, 2002 ....................... 100 100 100 100 100 100 100
July 15, 2003 ....................... 100 100 100 100 100 100 100
July 15, 2004 ....................... 100 100 100 100 100 100 100
July 15, 2005 ....................... 100 100 100 100 100 100 100
July 15, 2006 ....................... 0 0 0 0 0 0 0
Weighted Average Life (years) ....... 9.8 9.8 9.8 9.8 9.8 9.8 9.8
</TABLE>
S-99
<PAGE>
USE OF PROCEEDS
Substantially all of the proceeds from the sale of the Offered Certificates
will be used by the Sponsor to purchase the Mortgage Loans and to pay certain
expenses in connection with the issuance of the Certificates.
CERTAIN FEDERAL INCOME TAX CONSEQUENCES
General
Two separate "real estate mortgage investment conduit" ("REMIC") elections
will be made with respect to the Trust Fund for federal income tax purposes, the
resulting REMICs being herein referred to as REMIC I and REMIC II, respectively.
For such purposes, (a) the Class R-I Certificates will be the sole class of
"residual interests" in REMIC I, (b) separate uncertificated "regular interests"
in REMIC I will be issued and constitute the assets of REMIC II, (c) the Class
R-II Certificates will be the sole class of "residual interests" in REMIC II and
(d) the REMIC Regular Certificates will be the "regular interests" in, and
generally will be treated as debt obligations of, REMIC II. Upon issuance of the
Offered Certificates, Thacher Proffitt & Wood, special tax counsel to the
Sponsor, will deliver its opinion generally to the effect that, assuming
compliance with all provisions of the Pooling Agreement, for federal income tax
purposes, REMIC I and REMIC II will each qualify as a REMIC under the Code. See
"Material Federal Income Tax Consequences--REMICs" in the Prospectus.
Original Issue Discount and Premium
For federal income tax reporting purposes, it is anticipated that (i) the
Class A-1, Class A-2A, Class A-2B, Class B, Class C and Class D Certificates
will not and (ii) the Class E, Class F, Class X-1 and Class X-2 Certificates
will, be treated as having been issued with original issue discount. The
prepayment assumption that will be used in determining the rate of accrual of
original issue discount, market discount and premium, if any, for federal income
tax purposes will be based on the assumption that subsequent to the date of any
determination the Mortgages Loans will prepay at a rate equal to a CPR of 0%,
and there will be no extensions of maturity for any Mortgage Loan. However, no
representation is made that the Mortgage Loans will not prepay or that, if they
do, they will prepay at any particular rate. See "Material Federal Income Tax
Consequences--REMICs--Taxation of Owners of REMIC Regular Certificates" in the
Prospectus.
The Internal Revenue Service (the "IRS") has issued regulations (the "OID
Regulations") under Sections 1271 to 1275 of the Internal Revenue Code of 1986
(the "Code") generally addressing the treatment of debt instruments issued with
original issue discount. Purchasers of the Offered Certificates should be aware
that the OID Regulations and Section 1272(a)(6) of the Code do not adequately
address certain issues relevant to, or are not applicable to, prepayable
securities such as the Offered Certificates. Prospective purchasers of the
Offered Certificates are advised to consult their tax advisors concerning the
tax treatment of such Certificates.
If the method for computing original issue discount described in the
Prospectus results in a negative amount for any period with respect to a holder
of a Class X Certificate, the amount of original issue discount allocable to
such period would be zero and such Certificateholder will be permitted to offset
such negative amount only against future original issue discount (if any)
attributable to such Certificate. Although the matter is not free from doubt, a
holder of a Class X Certificate may be permitted to deduct a loss to the extent
that his or her respective remaining basis in such Certificate exceeds the
maximum amount of future payments to which such Certificateholder is entitled,
assuming no further prepayments of the Mortgage Loans. Any such loss might be
treated as a capital loss.
Prepayment Premiums actually collected on the Mortgage Loans will be
distributed to the holders of each Class of Certificates entitled thereto as
described herein. It is not entirely clear under the Code when the amount of a
Prepayment Premium should be taxed to the holder of a Class of Certificates
entitled to a Prepayment Premium. For federal income tax reporting purposes,
Prepayment Premiums will be treated as income to the holders of a Class of
Certificates entitled to Prepayment Premiums only after the Master Servicer's
actual receipt of a Prepayment Premium as to which such Class of Certificates is
entitled under the terms of the Pooling Agreement. It appears that Prepayment
Premiums are to be treated as ordinary income rather than capital gain. However,
the correct characterization of such income is not entirely clear and
Certificateholders should consult their own tax advisors concerning the
treatment of Prepayment Premiums.
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The OID Regulations in some circumstances permit the holder of a debt
instrument to recognize original issue discount under a method that differs from
that of the issuer. Accordingly, it is possible that holders of Offered
Certificates issued with original issue discount may be able to select a method
for recognizing original issue discount that differs from that used by the REMIC
Administrator in preparing reports to Certificateholders and the IRS.
Prospective purchasers of Offered Certificates issued with original issue
discount are advised to consult their tax advisors concerning the treatment of
such Certificates.
Certain Classes of the Offered Certificates may be treated for federal
income tax purposes as having been issued at a premium. Whether any holder of
such a Class of Certificates will be treated as holding a Certificate with
amortizable bond premium will depend on such Certificateholder's purchase price
and the distributions remaining to be made on such Certificate at the time of
its acquisition by such Certificateholder. Holders of such Classes of
Certificates should consult their own tax advisors regarding the possibility of
making an election to amortize such premium. See "Material Federal Income Tax
Consequences--REMICs--Taxation of Owners of REMIC Regular Certificates--Premium"
in the Prospectus.
Characterization of Investments in Offered Certificates
The Offered Certificates will be "qualifying real property loans" within
the meaning of Section 593(d) of the Code and "real estate assets" within the
meaning of Section 856(c)(5)(A) of the Code in the same proportion that the
assets of the Trust Fund would be so treated. In addition, interest (including
original issue discount, if any) on the Offered Certificates will be interest
described in Section 856(c)(3)(B) of the Code to the extent that such
Certificates are treated as "real estate assets" within the meaning of Section
856(c)(5)(A) of the Code. Moreover, the Offered Certificates will be "qualified
mortgages" under Section 860G(a)(3) of the Code if transferred to another REMIC
on its start-up day in exchange for regular or residual interests therein.
The Offered Certificates will be treated as assets within the meaning of
Section 7701(a)(19)(C) of the Code generally only to the extent that the
Multifamily Loans and the loans secured by nursing homes are a percentage of the
principal balance of the Mortgage Pool. The percentage of such Mortgage Loans
included in the initial principal balance of the Mortgage Pool (which is subject
to change due to changes in principal balances and prepayments) is initially
approximately 50%. See "Description of Mortgage Pool" herein and "Material
Federal Income Tax Consequences--REMICs--Characterization of Investments in
REMIC Certificates" in the Prospectus.
Possible Taxes on Income From Foreclosure Property
In general, the Special Servicer will be obligated to operate and manage
any Mortgaged Property acquired as REO Property in a manner that would, to the
extent commercially feasible, maximize the Trust Fund's net after-tax proceeds
from such property. After the Special Servicer reviews the operation of such
property and consults with the REMIC Administrator to determine the REMIC
Administrator's federal income tax reporting position with respect to income it
is anticipated that the Trust Fund would derive from such property, the Special
Servicer could determine that it would not be commercially feasible to manage
and operate such property in a manner that would avoid the imposition of a tax
on "net income from foreclosure property" within the meaning of the REMIC
Provisions or a tax on "prohibited transactions" under Section 860F of the Code
(either such tax referred to herein as an "REO Tax"). To the extent that income
the Trust Fund receives from an REO Property is subject to a tax on (i) "net
income from foreclosure property," such income would be subject to federal tax
at the highest marginal corporate tax rate (currently 35%) and (ii) "prohibited
transactions", such income would be subject to federal tax at a 100% rate. The
determination as to whether income from an REO Property would be subject to an
REO Tax will depend on the specific facts and circumstances relating to the
management and operation of each REO Property. Generally, income from an REO
Property that is directly operated by the Special Servicer would be apportioned
and classified as "service" or "non-service" income. The "service" portion of
such income could be subject to federal tax either at the highest marginal
corporate tax rate or at the 100% rate on "prohibited transactions," and the
"non-service" portion of such income could be subject to federal tax at the
highest marginal corporate tax rate or, although it appears unlikely, at the
100% rate applicable to "prohibited transactions". Any REO Tax imposed on the
Trust Fund's income from an REO Property would reduce the amount available for
distribution to Certificateholders. Certificateholders are advised to consult
their own tax advisors regarding the possible imposition of REO Taxes in
connection with the operation of commercial REO Properties by REMICs.
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Reporting and Other Administrative Matters
Reporting of interest income, including any original issue discount, with
respect to REMIC Regular Certificates is required annually, and may be required
more frequently under Treasury regulations. These information reports generally
are required to be sent to individual holders of REMIC Regular Certificates and
the IRS; holders of REMIC Regular Certificates that are corporations, trusts,
securities dealers and certain other non-individuals will be provided interest
and original issue discount income information and the information set forth in
the following paragraph upon request in accordance with the requirements of the
applicable regulations. The information must be provided by the later of 30 days
after the end of the quarter for which the information was requested, or two
weeks after the receipt of the request. The REMIC must also comply with rules
requiring a REMIC Regular Certificate issued with original issue discount to
disclose on its face the amount of original issue discount and the issue date,
and requiring such information to be reported to the IRS. Reporting with respect
to the REMIC Residual Certificates, including income, excess inclusions,
investment expenses and relevant information regarding qualification of the
REMIC's assets will be made as required under the Treasury regulations,
generally on a quarterly basis.
As applicable, the REMIC Regular Certificate information reports will
include a statement of the adjusted issue price of the REMIC Regular Certificate
at the beginning of each accrual period. In addition, the reports will include
information required by regulations with respect to computing the accrual of any
market discount. Because exact computation of the accrual of market discount on
a constant yield method would require information relating to the holder's
purchase price that the REMIC may not have, such regulations only require that
information pertaining to the appropriate proportionate method of accruing
market discount be provided.
The "tax matters person" for each REMIC will be the holder of REMIC
Residual Certificates evidencing the largest percentage interest in its Class of
REMIC Residual Certificates. All holders of REMIC Residual Certificates will
irrevocably designate the REMIC Administrator as agent for such "tax matters
persons" in all respects.
For further information regarding the federal income tax consequences of
investing in the Offered Certificates see "Material Federal Income Tax
Consequences--REMICs" in the Prospectus.
ERISA CONSIDERATIONS
A fiduciary of any employee benefit plan or other retirement plan or
arrangement, including individual retirement accounts and annuities, Keogh plans
and collective investment funds and separate accounts in which such plans,
accounts or arrangements are invested, that is subject to the Employee
Retirement Income Security Act of 1974, as amended ("ERISA"), or Section 4975 of
the Code (each, a "Plan") should carefully review with its legal advisors
whether the purchase or holding of Offered Certificates could give rise to a
transaction that is prohibited or is not otherwise permitted either under ERISA
or Section 4975 of the Code or whether there exists any statutory or
administrative exemption applicable thereto.
The U.S. Department of Labor issued to Citicorp an individual prohibited
transaction exemption, Prohibited Transaction Exemption ("PTE") 90-88, and to
Goldman, Sachs & Co. ("Goldman, Sachs") an individual prohibited transaction
exemption, PTE 89-88 (the "Exemptions"), which generally exempt from the
application of the prohibited transaction provisions of Section 406 of ERISA,
and the excise taxes imposed on such prohibited transactions pursuant to
Sections 4975(a) and (b) of the Code and Section 502(i) of ERISA, certain
transactions, among others, relating to the servicing and operation of mortgage
pools, such as the Mortgage Pool, and the purchase, sale and holding of mortgage
pass-through certificates, such as the Senior Certificates, underwritten by an
Underwriter (as hereinafter defined), provided that certain conditions set forth
in the Exemptions are satisfied. For purposes of this Section "ERISA
Considerations", the term "Underwriter" shall include (a) Citicorp, (b) Goldman,
Sachs, (c) any person directly or indirectly, through one or more
intermediaries, controlling, controlled by or under common control with either
Citicorp (such as Citibank, N.A.) or Goldman, Sachs, and (d) any member of the
underwriting syndicate or selling group of which a person described in (a), (b)
or (c) is a manager or co-manager with respect to the Senior Certificates.
The Exemptions set forth six general conditions which must be satisfied for
a transaction involving the purchase, sale and holding of a Senior Certificate
to be eligible for exemptive relief thereunder. First, the acquisition of such
Certificate by a Plan must be on terms that are at least as favorable to the
Plan as they would be in an arm's-length transaction with an unrelated party.
Second, the rights and interests evidenced by such Certificate must not be
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subordinated to the rights and interests evidenced by the other certificates of
the same trust. Third, such Certificate at the time of acquisition by the Plan
must be rated in one of the three highest generic rating categories by S&P,
Fitch, Moody's Investors Service, Inc. ("Moody's") or Duff & Phelps Credit
Rating Co. ("Duff & Phelps"). Fourth, the Trustee cannot be an affiliate of any
other member of the "Restricted Group", which consists of any Underwriter, the
Sponsor, the Trustee, the Master Servicer, the Special Servicer, any
sub-servicer, and any borrower with respect to Mortgage Loans constituting more
than 5% of the aggregate unamortized principal balance of the Mortgage Pool as
of the date of initial issuance of the Certificates. Fifth, the sum of all
payments made to and retained by the Underwriters must represent not more than
reasonable compensation for underwriting the Senior Certificates; the sum of all
payments made to and retained by the Sponsor pursuant to the assignment of the
Mortgage Loans to the Trust Fund must represent not more than the fair market
value of such obligations; and the sum of all payments made to and retained by
the Master Servicer, the Special Servicer and any sub-servicer must represent
not more than reasonable compensation for such person's services under the
Pooling Agreement and reimbursement of such person's reasonable expenses in
connection therewith. Sixth, the investing Plan must be an accredited investor
as defined in Rule 501(a)(1) of Regulation D of the SEC under the Securities
Act.
Because the Senior Certificates are not subordinated to any other Class of
Certificates, the second general condition set forth above is satisfied with
respect to such Certificates. It is a condition of their issuance that the Class
A Certificates be rated not lower than "AAA" by S&P and Fitch and that the Class
X Certificates be rated not lower than "AAA" by Fitch. As of the Delivery Date,
the fourth general condition set forth above will be satisfied with respect to
the Senior Certificates. A fiduciary of a Plan contemplating purchasing a Senior
Certificate in the secondary market must make its own determination that, at the
time of such purchase, such Certificate continues to satisfy the third and
fourth general conditions set forth above. A fiduciary of a Plan contemplating
purchasing a Senior Certificate, whether in the initial issuance of such
Certificate or in the secondary market, must make its own determination that the
first, fifth and sixth general conditions set forth above will be satisfied with
respect to such Certificate.
The Exemptions also require that the Trust Fund meet the following
requirements: (i) the Trust Fund must consist solely of assets of the type that
have been included in other investment pools; (ii) certificates in such other
investment pools must have been rated in one of the three highest categories of
S&P, Fitch, Moody's or Duff & Phelps for at least one year prior to the Plan's
acquisition of a Senior Certificate; and (iii) certificates in such other
investment pools must have been purchased by investors other than Plans for at
least one year prior to any Plan's acquisition of a Senior Certificate. The
Sponsor has confirmed to its satisfaction that such requirements have been
satisfied as of the date hereof.
If the general conditions of the Exemptions are satisfied, the Exemptions
may provide an exemption from the restrictions imposed by Sections 406(a) and
407(a) of ERISA (as well as the excise taxes imposed by Sections 4975(a) and (b)
of the Code by reason of Sections 4975(c)(1)(A) through (D) of the Code) in
connection with (i) the direct or indirect sale, exchange or transfer of Senior
Certificates in the initial issuance of Certificates between the Sponsor or an
Underwriter and a Plan when the Sponsor, an Underwriter, the Trustee, the Master
Servicer, the Special Servicer, a sub-servicer or a borrower is a Party in
Interest with respect to the investing Plan, (ii) the direct or indirect
acquisition or disposition in the secondary market of Senior Certificates by a
Plan and (iii) the holding of Senior Certificates by a Plan. However, no
exemption is provided from the restrictions of Sections 406(a)(1)(E), 406(a)(2)
and 407 of ERISA for the acquisition or holding of a Senior Certificate on
behalf of an "Excluded Plan" by any person who has discretionary authority or
renders investment advice with respect to the assets of such Excluded Plan. For
purposes hereof, an Excluded Plan is a Plan sponsored by any member of the
Restricted Group.
If certain specific conditions of the Exemptions are also satisfied, the
Exemptions may provide an exemption from the restrictions imposed by Sections
406(b)(1) and (b)(2) of ERISA and the taxes imposed by Section 4975(c)(1)(E) of
the Code in connection with (1) the direct or indirect sale, exchange or
transfer of Senior Certificates in the initial issuance of Certificates between
the Sponsor or an Underwriter and a Plan when the person who has discretionary
authority or renders investment advice with respect to the investment of Plan
assets in such Certificates is (a) a borrower with respect to 5% or less of the
fair market value of the Mortgage Pool or (b) an affiliate of such a person, (2)
the direct or indirect acquisition or disposition in the secondary market of
Senior Certificates by a Plan and (3) the holding of Senior Certificates by a
Plan.
Further, if certain specific conditions of the Exemptions are satisfied,
the Exemptions may provide an exemption from the restrictions imposed by
Sections 406(a), 406(b) and 407(a) of ERISA, and the taxes imposed by Sections
4975(a) and (b) of the Code by reason of Section 4975(c) of the Code for
transactions in connection with the servicing,
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management and operation of the Mortgage Pool. The Sponsor expects that the
specific conditions of the Exemptions required for this purpose will be
satisfied with respect to the Senior Certificates.
The Exemptions also may provide an exemption from the restrictions imposed
by Sections 406(a) and 407(a) of ERISA, and the taxes imposed by Sections
4975(a) and (b) of the Code by reason of Sections 4975(c)(1) (A) through (D) of
the Code if such restrictions are deemed to otherwise apply merely because a
person is deemed to be a Party in Interest with respect to an investing Plan by
virtue of providing services to the Plan (or by virtue of having certain
specified relationships to such a person) solely as a result of the Plan's
ownership of Senior Certificates.
Before purchasing a Senior Certificate, a fiduciary of a Plan should itself
confirm that (i) the Senior Certificates constitute "certificates" for purposes
of the Exemptions and (ii) the specific and general conditions and the other
requirements set forth in the Exemptions would be satisfied. In addition to
making its own determination as to the availability of the exemptive relief
provided in the Exemptions, the Plan fiduciary should consider the availability
of any other prohibited transaction exemptions. See "ERISA Considerations" in
the Prospectus. A purchaser of a Senior Certificate should be aware, however,
that even if the conditions specified in one or more exemptions are satisfied,
the scope of relief provided by an exemption may not cover all acts which might
be construed as prohibited transactions.
Because the characteristics of the Class B, Class C, Class D, Class E and
Class F Certificates do not meet the requirements of the Exemption, the purchase
or holding of such Certificates or interests therein by a Plan may result in
prohibited transactions or the imposition of excise taxes or civil penalties. As
a result, no transfer of a Class B, Class C, Class D, Class E or Class F
Certificate or any interest therein may be made to a Plan or to any person who
is directly or indirectly purchasing such Certificate or interest therein on
behalf of, as named fiduciary of, as trustee of, or with assets of a Plan,
unless the purchase and holding of any such Certificate or interest therein is
exempt from the prohibited transaction provisions of Section 406 of ERISA and
Section 4975 of the Code under Prohibited Transaction Class Exemption 95-60,
which provides an exemption from the prohibited transaction rules for certain
transactions involving an insurance company general account. See "ERISA
Considerations" in the Prospectus.
Any Plan fiduciary considering whether to purchase an Offered Certificate
on behalf of a Plan should consult with its counsel regarding the applicability
of the fiduciary responsibility and prohibited transaction provisions of ERISA
and the Code to such investment.
LEGAL INVESTMENT
The Offered Certificates will not be "mortgage related securities" for
purposes of SMMEA. As a result, the appropriate characterization of the Offered
Certificates under various legal investment restrictions, and thus the ability
of investors subject to these restrictions to purchase the Offered Certificates,
is subject to significant interpretive uncertainties. The Sponsor makes no
representation as to the ability of particular investors to purchase the Offered
Certificates under applicable legal investment or other restrictions. All
institutions whose investment activities are subject to legal investment laws
and regulations, regulatory capital requirements or review by regulatory
authorities should consult with their own legal advisors in determining whether
and to what extent the Offered Certificates constitute legal investments for
them or are subject to investment, capital or other restrictions. See "Legal
Investment" in the Prospectus.
METHOD OF DISTRIBUTION
Subject to the terms and conditions set forth in the Underwriting Agreement
between the Sponsor and the Underwriters, the Offered Certificates will be
purchased from the Sponsor by the Underwriters upon issuance. Citibank, N.A. is
an affiliate of the Sponsor. Proceeds to the Sponsor from the sale of the
Offered Certificates, before deducting expenses payable by the Sponsor, will be
an amount equal to 106.6% of the initial aggregate Certificate Balance thereof,
plus accrued interest.
Citibank, N.A. and Goldman, Sachs & Co. have agreed in the Underwriting
Agreement to purchase 60.3% and 39.7%, respectively, of the aggregate principal
or notional amount of each Class of Offered Certificates.
Distribution of the Offered Certificates will be made by the Underwriters
from time to time in negotiated transactions or otherwise at varying prices to
be determined at the time of sale. The Underwriters may effect such transactions
by selling the Offered Certificates to or through dealers, and such dealers may
receive compensation in the form of underwriting discounts, concessions or
commissions from the Underwriters. In connection with the purchase and sale of
the Offered Certificates, the Underwriters may be deemed to have received
compensation from
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the Sponsor in the form of underwriting discounts. The Underwriters and any
dealers that participate with the Underwriter in the distribution of the Offered
Certificates may be deemed to be underwriters and any profit on the resale of
the Offered Certificates positioned by them may be deemed to be underwriting
discounts and commissions under the Securities Act.
Purchasers of the Offered Certificates, including dealers, may, depending
on the facts and circumstances of such purchases, be deemed to be "underwriters"
within the meaning of the Securities Act in connection with reoffers and sales
by them of Offered Certificates. Certificateholders should consult with their
legal advisors in this regard prior to any such reoffer or sale.
The Sponsor also has been advised by the Underwriters that the Underwriters
presently intend to make a market in the Offered Certificates; however, neither
Underwriter has any obligation to do so, any market making may be discontinued
at any time and there can be no assurance that an active public market for the
Offered Certificates will develop. See "Risk Factors--Limited Liquidity" herein
and "Risk Factors--Certain Factors Adversely Affecting Resale of the Offered
Certificates" in the Prospectus.
ContiFinancial Services Corporation, an affiliate of ContiTrade, may act as
a dealer with respect to the Class X-1 Certificates.
The Sponsor has agreed to indemnify each Underwriter and each person, if
any, who controls each Underwriter within the meaning of Section 15 of the
Securities Act against, or make contributions to each Underwriter and each such
controlling person with respect to, certain liabilities, including certain
liabilities under the Securities Act. The Mortgage Loan Seller has agreed to
indemnify the Sponsor with respect to certain liabilities, including certain
liabilities under the Securities Act, relating to the Mortgage Loans. ContiTrade
has agreed to indemnify the Sponsor, Goldman, Sachs & Co. and the Mortgage Loan
Seller with respect to certain liabilities, including certain liabilities under
the Securities Act, relating to the ContiTrade Mortgage Loans. PNC Bank has
agreed to indemnify the Mortgage Loan Seller with respect to certain
liabilities, including certain liabilities under the Securities Act, with
respect to the PNC Mortgage Loans.
LEGAL MATTERS
Certain legal matters will be passed upon for the Sponsor by Stephen E.
Dietz, as an Associate General Counsel of Citibank, N.A., and for the
Underwriters by Thacher Proffitt & Wood, New York, New York. Mr. Dietz owns or
has the right to acquire a number of shares of common stock of Citicorp equal to
less than .01% of the outstanding common stock of Citicorp. Thacher Proffitt &
Wood will act as special tax counsel to the Sponsor with respect to certain
federal income tax and ERISA matters. Skadden, Arps, Slate, Meagher & Flom will
also pass upon certain legal matters on behalf of Goldman, Sachs & Co.
RATINGS
It is a condition to their issuance that the following Classes of
Certificates (collectively, the "Rated Certificates") receive the indicated
credit ratings from Standard & Poor's Ratings Services, a Division of
McGraw-Hill Companies, Inc. ("S&P") and/or Fitch Investors Service, L.P.
("Fitch" and, together with S&P, the "RatingAgencies"):
Class S&P Fitch
----- --- -----
Class X-1 ......................... Not Rated "AAA"
Class X-2 ......................... Not Rated "AAA"
Class A-1 ......................... "AAA" "AAA"
Class A-2A ........................ "AAA" "AAA"
Class A-2B ........................ "AAA" "AAA"
Class B ........................... "AA+" "AAA"
Class C ........................... "A+" "AA-"
Class D ........................... "A-" "A"
Class E ........................... "BBB" "BBB"
Class F ........................... "BBB-" "BBB-"
Class G ........................... "BB" "BB"
Class H ........................... "B" "B"
Class J ........................... "B-" "B-"
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The ratings of the Rated Certificates address the likelihood of the timely
receipt by holders thereof of all payments of interest to which they are
entitled and the ultimate receipt by holders thereof of all payments of
principal to which they are entitled by June 15, 2028 (the "Rated Final
Distribution Date"). The ratings take into consideration the credit quality of
the Mortgage Pool, structural and legal aspects associated with the
Certificates, and the extent to which the payment stream from the Mortgage Pool
is adequate to make payments of principal and interest required under the Rated
Certificates. The ratings of the Rated Certificates do not, however, represent
any assessments of (i) the likelihood or frequency of principal prepayments on
the Mortgage Loans, (ii) the degree to which such prepayments might differ from
those originally anticipated or (iii) whether and to what extent Prepayment
Premiums will be collected in connection with such prepayments or the
corresponding effect on yield to investors.
As described herein, the amounts payable with respect to the Class X
Certificates do not include principal. If all the Mortgage Loans were to prepay
in the initial month, with the result that the Class X Certificates were to
receive only a single month's interest (without regard to any Prepayment
Premiums that may be collected), and thus suffer a nearly complete loss of their
investment, all amounts "due" to such Certificateholders will nevertheless have
been paid, and such result is consistent with the ratings assigned by Fitch to
the Class X Certificates. The ratings of the Class X Certificates by Fitch do
not address the timing or magnitude of reductions of the Notional Amounts of the
Class X Certificates, but only the obligation to pay interest timely on the
Notional Amount of each Class of Class X Certificates, as such may be reduced
from time to time as described herein. Such ratings do not represent any
assessment of the yield to maturity of the Class X Certificates or the
possibility that the Class X Certificateholders might not fully recover their
investment in the event of rapid prepayments of the Mortgage Loans (including
both voluntary and involuntary prepayments).
There is no assurance that any rating assigned to the Rated Certificates by
either Rating Agency will not be lowered, qualified or withdrawn by such Rating
Agency, if, in its judgment, circumstances so warrant. There can be no assurance
as to whether any rating agency not requested to rate the Rated Certificates
will nonetheless issue a rating to any Class thereof and, if so, what such
rating would be. A rating assigned to any Class of Rated Certificates by a
rating agency that has not been requested by the Sponsor to do so may be lower
than the ratings assigned thereto by S&P and Fitch.
The ratings on the Rated Certificates should be evaluated independently
from similar ratings on other types of securities. A security rating is not a
recommendation to buy, sell or hold securities and may be subject to revision or
withdrawal at any time by the assigning rating agency. See "Risk
Factors--Limited Nature of Credit Ratings" in the Prospectus.
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INDEX OF PRINCIPAL DEFINITIONS
Page
----
Accrued Certificate Interest ................................... S-58
Additional Trust Fund Expenses ................................. S-12, S-62
Advances ....................................................... S-47
Appraisal Reduction Amount ..................................... S-63
ARM Loans ...................................................... S-8, S-32
Assumed Final Distribution Date ................................ S-2
Assumed Scheduled Payment ...................................... S-17, S-59
Available Distribution Amount .................................. S-14, S-55
Assumed Scheduled Payment ...................................... S-17, S-59
Balloon Loans .................................................. S-2, S-9, S-34
Balloon Payment ................................................ S-2, S-9, S-34
Balloon Payment Interest Excess ................................ S-46
Balloon Payment Interest Shortfall ............................. S-46
CERCLA ......................................................... S-27
Certificate Balance ............................................ S-11, S-53
Certificate Group .............................................. S-2, S-13, S-54
Certificate Owner .............................................. S-5, S-52
Certificate Registrar .......................................... S-52
Certificateholders ............................................. S-3, S-10
Certificates ................................................... S-1, S-4, S-52
Class .......................................................... S-1, S-4, S-52
Class A Certificates ........................................... S-1, S-4, S-52
Class Interest Shortfall ....................................... S-16, S-58
Class X Certificates ........................................... S-1, S-4, S-52
Code ........................................................... S-100
Collection Period .............................................. S-5, S-54
Controlling Class ..............................................S-19, S-24, S-51
Corrected Mortgage Loans ....................................... S-44
Cross-Collateralized Mortgage Loans ............................ S-6, S-31
Cut-off Date ................................................... S-2, S-4, S-31
Cut-off Date Balance ........................................... S-6, S-31
Definitive Certificate ......................................... S-5, S-52
Delivery Date .................................................. S-1, S-5
Determination Date ............................................. S-5, S-54
Distributable Certificate Interest ............................. S-15, S-58
Distribution Date .............................................. S-3, S-5, S-55
Distribution Date Statement .................................... S-64
DTC ............................................................ S-1, S-5, S-52
Due Date ....................................................... S-8, S-32
Emergency Advance .............................................. S-49
ERISA .......................................................... S-21, S-102
Extension Adviser .............................................. S-20, S-48
FIRREA ......................................................... S-37
Fitch .......................................................... S-22
Fixed-Rate Loans ............................................... S-8, S-32
Gross Margin ................................................... S-8, S-32
Group 1 Certificates ........................................... S-2, S-13, S-54
Group 1 Loans .................................................. S-2, S-8
Group 2 Certificates ........................................... S-2, S-13, S-54
Group 2 Loans .................................................. S-2, S-8
Index .......................................................... S-8, S-32
Initial Group 1 Balance ........................................ S-8, S-32
Initial Group 2 Balance ........................................ S-8, S-32
Initial Pool Balance ........................................... S-2, S-5, S-31
Interest Accrual Period ........................................ S-5, S-58
IRS ............................................................ S-100
LIBOR Business Day ............................................. S-33
LIBOR Determination Date ....................................... S-33
LIBOR Reference Period ......................................... S-33
Liquidation Fee ................................................ S-46
Loan Group ..................................................... S-2, S-8, S-32
Loan Group 1 ................................................... S-2, S-8, S-32
Loan Group 2 ................................................... S-2, S-8, S-32
Lock-Out Expiration Date ....................................... S-34
LOP ............................................................ S-70
Master Servicer ................................................ S-4, S-44
Maturity Assumptions ........................................... S-70
Modified Mortgage Loan ......................................... S-63
Monthly Payments ............................................... S-8, S-32
Mortgage ....................................................... S-6, S-31
Mortgage Loan Schedule ......................................... S-41
Mortgage Loan Seller ........................................... S-2, S-4, S-32
Mortgage Loans ................................................. S-2, S-5, S-31
Mortgage Note .................................................. S-6, S-31
Mortgage Pool .................................................. S-2
Mortgage Rate .................................................. S-32
Mortgaged Property ............................................. S-6, S-31
Net Mortgage Rate .............................................. S-13, S-54
Net Aggregate Prepayment Interest
Shortfalls .................................................... S-59
NOD ............................................................ S-39
Nonrecoverable P&I Advance ..................................... S-63
Notional Amount ................................................ S-3, S-12, S-53
Offered Certificates ........................................... S-2, S-4, S-52
OID Regulations ................................................ S-100
P&I Advance .................................................... S-18, S-62
P&I Advance Date ............................................... S-5
Pass-Through Rate .............................................. S-2
Permitted Investments .......................................... S-46
Plan ........................................................... S-102
Pooling Agreement .............................................. S-11, S-52
Prepayment Interest Excess ..................................... S-46
Prepayment Interest Shortfall .................................. S-46
Prepayment Premiums ............................................ S-3, S-9, S-59
Principal Distribution Amount .................................. S-16, S-59
Private Certificates ........................................... S-4, S-52
Purchase Price ................................................. S-41
Rated Certificates ............................................. S-22
Rated Final Distribution Date .................................. S-2
Rating Agencies ................................................ S-22, S-105
Realized Losses ................................................ S-62
Record Date .................................................... S-5, S-55
Reference Banks ................................................ S-33
Reimbursement Rate ............................................. S-18, S-63
Related Proceeds ............................................... S-47
REMIC .......................................................... S-3, S-20
REMIC Administrator ............................................ S-4, S-67
REMIC Regular Certificates ..................................... S-1, S-4, S-52
REMIC Residual Certificates .................................... S-2, S-4, S-52
REO Property ...................................................S-17, S-43, S-59
S&P ............................................................ S-22
Scheduled Payment .............................................. S-17, S-59
S-107
<PAGE>
Page
----
Self-Amortizing Loans .......................................... S-9, S-34
Senior Certificates ............................................ S-3, S-18, S-61
Sequential Pay Certificates .................................... S-3, S-11, S-53
Servicing Advances ............................................. S-47
Servicing Standard ............................................. S-43
Servicing Transfer Event ....................................... S-43
Six-Month LIBOR ................................................ S-33
Six-Month LIBOR Formula 1 ...................................... S-33
Six-Month LIBOR Formula 1 Loans ................................ S-33
Special Servicer ............................................... S-4, S-44
Special Servicing Fee .......................................... S-46
Special Servicing Fee Rate ..................................... S-46
Specially Serviced Mortgage Loan ............................... S-43
Sponsor ........................................................ S-2, S-4
Standby Fee .................................................... S-46
Stated Principal Balance ....................................... S-53
Subordinate Certificates ....................................... S-3, S-18, S-61
Sub-Servicer ................................................... S-45
Sub-Servicing Agreement ........................................ S-45
Trust Fund ..................................................... S-2, S-52
Trustee ........................................................ S-4
Underwriters ................................................... S-1
Voting Rights .................................................. S-66
Workout Fee .................................................... S-46
Workout Fee Rate ............................................... S-46
YMP ............................................................ S-71
S-108
<PAGE>
ANNEX A
CERTAIN CHARACTERISTICS OF THE MORTGAGE LOANS
The schedule and tables appearing in this Annex A set forth certain
information with respect to the Mortgage Loans and Mortgaged Properties. Unless
otherwise indicated, such information is presented as of the Cut-off Date. The
statistics in such schedule and tables were derived, in many cases, from
information and operating statements furnished by or on behalf of the respective
borrowers. Such information and operating statements were generally unaudited
and have not been independently verified by the Sponsor or the Underwriters or
any of their respective affiliates or any other person.
For purposes of the Prospectus Supplement, including the schedule and
tables in this Annex A, the indicated terms shall have the following meanings:
1. "Underwriting NOI" or "U/W NOI" as used herein with respect to any
Mortgaged Property means an estimate, calculated at origination or purchase of
the related Mortgage Loan, of the total cash flow anticipated to be available
for annual debt service on such Mortgage Loan calculated as the excess of
Estimated Annual Revenues over Estimated Annual Operating Expenses, each of
which was generally derived in the following manner:
(i) "Estimated Annual Revenues" were generally assumed to be equal to:
(a) the actual amounts of gross rents received during the latest full
calendar year (or annualized or estimated in certain cases), in the case of
the Multifamily Mortgaged Properties; and (b) the annualized amounts of
gross potential rents (in the case of the self-storage Mortgaged
Properties) or monthly contractual base rents (in the case of the
Commercial Mortgaged Properties other than the self-storage and nursing
home Mortgaged Properties) under leases in effect as reflected on a rent
roll provided by the borrower in connection with the origination of the
related Mortgage Loan; and (c) amounts consistent with historical operating
trends and market and competitive conditions, in the case of nursing home
Mortgaged Properties; provided that such revenues were generally modified
by (x) assuming that the occupancy rate for the Mortgaged Property was
consistent with the relevant market if such was less than the occupancy
rate reflected in the most recent rent roll or operating statements, as the
case may be, furnished by the related borrower, and (y), in the case of
retail, industrial and office Mortgaged Properties, assuming a level of
reimbursements from tenants consistent with the terms of the lease or
historical trends at the property, and in certain cases, assuming that a
specified percentage of rent will become defaulted or otherwise
uncollectible. In addition, in the case of retail, combination
retail/office, self-storage and industrial Mortgaged Properties, upward
adjustments may have been made with respect to such revenues to account for
all or a portion of the rents provided for under any new leases scheduled
to take effect later in the year.
Estimated Annual Revenues generally include: (x) for the Multifamily
Mortgaged Properties and the self-storage Mortgaged Properties, rental and
other revenues; (y) for the retail, office, combination retail/office and
industrial Mortgaged Properties, base rent, percentage rent, expense
reimbursements and other revenues; and (z) for the nursing home Mortgaged
Properties, resident charges and other revenues. In the case of the one
Multifamily Mortgaged Property that is cooperatively owned, all occupied
units were assumed to be rented at market rents.
(ii) "Estimated Annual Operating Expenses" were generally assumed to
be equal to historical expenses reflected in the operating statements and
other information furnished by the borrower, except that such expenses were
generally modified by (a) if there was no management fee or a below market
management fee, assuming that a management fee was payable with respect to
the Mortgaged Property in an amount approximately equal to between 1.5% and
6.9% of assumed gross revenues for the year, (b) adjusting certain
historical expense items upwards or downwards to amounts that reflect
industry norms for the particular type of property and/or taking into
consideration material changes in the operating position of the related
Mortgaged Property (such as newly signed leases and market data) and (c)
adjusting for non-recurring items (such as capital expenditures), and
tenant improvement and leasing commissions, if applicable. In addition, in
the case of certain retail, office, combination retail/office and
industrial Mortgaged Properties, adjustments may have been made to account
for tenant improvements and leasing commissions at costs consistent with
historical trends or prevailing market conditions. In other cases,
operating expenses did not include such costs. In some cases, with respect
to all property types, replacement reserves were included in the
calculation of "Estimated Annual Operating Expenses" (although, in certain
such cases, no such reserves are actually required).
A-1
<PAGE>
Estimated Annual Operating Expenses generally include salaries and
wages, the costs or fees of utilities, repairs and maintenance, marketing,
insurance, management, landscaping, security (if provided at the Mortgaged
Property) and the amount of real estate taxes, general and administrative
expenses, ground lease payments, and other costs but without any deductions
for debt service, depreciation and amortization or capital expenditures or
reserves therefor (except as described above). In the case of certain
retail, office, combination retail/office, industrial and/or self-storage
Mortgaged Properties (where such self-storage properties include ancillary
retail and/or warehouse facilities), Estimated Annual Operating Expenses
may have included leasing commissions and tenant improvements.
The historical expenses with respect to any Mortgaged Property were
generally obtained (x) from operating statements relating to the latest
full calendar year (or annualized or estimated in certain cases), (y) by
analyzing the amount of expenses for previous partial periods for which
operating statements were available, with certain adjustments for items
deemed inappropriate for annualization or (z) by reviewing the amounts of
expenses for prior periods, where such information was available.
The management fees and reserves used in calculating Underwriting NOI
differ in many cases from the management fees and reserves provided for
under the loan documents for the Mortgage Loans. Further, actual conditions
at the Mortgaged Properties will differ, and may differ substantially, from
the assumed conditions used in calculating Underwriting NOI. In particular,
the assumptions regarding tenant vacancies, tenant improvements and leasing
commissions, future rental rates, future expenses and other conditions if
and to the extent used in calculating Underwriting NOI for a Mortgaged
Property, may differ substantially from actual conditions with respect to
such Mortgaged Property.
In addition, capital expenditures and leasing commissions and other
reletting costs are crucial to the operation of commercial and multifamily
properties. There can be no assurance that the actual costs of reletting
and capital improvements will not exceed those estimated or assumed in
connection with the origination or purchase of the Mortgage Loans.
No representation is made as to the future net cash flow of the properties,
nor is "Underwriting NOI" set forth herein intended to represent such future net
cash flow.
Underwriting NOI and the Estimated Annual Revenues and Estimated Annual
Operating Expenses used to determine Underwriting NOI for each Mortgaged
Property are derived from information furnished by the respective borrowers. Net
income for a Mortgaged Property as determined under generally accepted
accounting principles ("GAAP") would not be the same as the stated Underwriting
NOI for such Mortgaged Property as set forth in the following schedule or
tables. In addition, Underwriting NOI is not a substitute for or comparable to
operating income as determined in accordance with GAAP as a measure of the
results of a property's operations or a substitute for cash flows from operating
activities determined in accordance with GAAP as a measure of liquidity.
2. "1995 NOI" (which is for the period ending as of the "End Date"
specified in this Annex A) is the net operating income (1995 Revenues less 1995
Expenses) for a Mortgaged Property as established by information provided by the
related borrower, except that in certain cases such net operating income has
been adjusted by removing certain non-recurring expenses and revenue or by
certain other normalizations. 1995 NOI does not necessarily reflect accrual of
certain costs such as real estate taxes and capital expenditures and does not
reflect non-cash items such as depreciation or amortization. In some cases,
capital expenditures and non-recurring items may have been treated by a borrower
as an expense but were deducted from 1995 Expenses to reflect normalized 1995
NOI. The Sponsor has not made any attempt to verify the accuracy of any
information provided by each borrower or to reflect changes in net operating
income that may have occurred since the date of the information provided by each
borrower for the related Mortgaged Property. 1995 NOI was not necessarily
determined in accordance with generally accepted accounting principles.
Moreover, 1995 NOI is not a substitute for net income determined in accordance
with generally accepted accounting principles as a measure of the results of a
Mortgaged Property's operations or a substitute for cash flows from operating
activities determined in accordance with generally accepted accounting
principles as a measure of liquidity and in certain cases may reflect
partial-year annualizations.
3. "1995 Revenues", for a Mortgaged Property generally includes for the
year ended December 31, 1995 (or annualized or estimated in certain cases), as
reflected in the operating statements and other information furnished by the
related borrower: (a) for the Multifamily Mortgaged Properties and the
self-storage Mortgaged Properties, gross rental and other revenues; (b) for the
retail, office, combination retail/office and industrial Mortgaged Properties,
base
A-2
<PAGE>
rent, percentage rent, expense reimbursements and other revenues; and (c)
for the nursing home Mortgaged Properties, resident charges and other revenues;
and in the case of the one Multifamily Mortgaged Property that is cooperatively
owned, resident maintenance payments.
4. "1995 Expenses" are equal to actual expenses incurred for a Mortgaged
Property for the year ended December 31, 1995 (or annualized or estimated in
certain cases), as reflected in the operating statements and other information
furnished by the related borrower, and generally includes salaries and wages,
the costs or fees of utilities, repairs and maintenance, marketing, insurance,
management, landscaping, security (if provided at the Mortgaged Property) and
the amount of real estate taxes, general and administrative expenses, ground
lease payments, and other costs but without any deductions for debt service,
depreciation and amortization or capital expenditures or reserves therefor. In
the case of certain retail, office, combination retail/office, industrial and/or
self-storage Mortgaged Properties (where such self-storage properties include
ancillary retail and/or warehouse facilities), 1995 Annual Operating Expenses
may have included leasing commissions and tenant improvements.
5. "1994 NOI" is the net operating income for 1994, except as footnoted,
calculated in a manner consistent with 1995 NOI.
6. "Annual Debt Service" means, for any Mortgage Loan, twelve times the
amount of the Monthly Payment under such Mortgage Loan as of the first Due Date
following the Cut-off Date.
7. "1995 Debt Service Coverage Ratio" or "1995 DSCR" means, with respect to
any Mortgage Loan, (a) the 1995 NOI for the related Mortgaged Property or
Properties, divided by (b) the Annual Debt Service for such Mortgage Loan.
8. "Final Value" means, for any Mortgaged Property, the appraiser's
adjusted value as stated in the most recent third party appraisal, available to
the Sponsor.
9. "Cut-off Date Loan-to-Value Ratio" or "Cut-off Date LTV Ratio" or "LTV"
means, with respect to any Mortgage Loan, the Cut-off Date Balance of such
Mortgage Loan divided by the Final Value of the related Mortgaged Property.
10. "Leasable Square Footage" or "Property Size (SF)" means, in the case of
a Mortgaged Property operated as a retail center, office complex, industrial
facility, self-storage facility or combination retail/office facility, the
square footage of the gross leasable area.
11. "Total Units" means: (i) in the case of a Mortgaged Property operated
as multifamily housing, the number of apartments, regardless of the size of or
number of rooms in such apartment; (ii) in the case of a Mortgaged Property
operated as a self-storage facility, the number of self-storage units; (iii) in
the case of a Mortgaged Property operated as a nursing home, the number of beds;
and (iv) in the case of a Mortgaged Property constituting a mobile home park,
the number of pads.
12. "Occupancy %" means the percentage of Leasable Square Footage or Total
Units, as the case may be, of the Mortgaged Property that was occupied as of a
specified date as specified by the borrower or as derived from the Mortgaged
Property's rent rolls, which generally are calculated by physical presence or,
alternatively, collected rents as a percentage of potential rental revenues.
In the schedule and tables set forth in this Annex A, with respect to
Mortgage Loans evidenced by one Mortgage Note, but secured by multiple Mortgaged
Properties, a portion of the principal balance of the Mortgage Loan has been
allocated to each related Mortgaged Property for certain purposes, including
determining the Cut-off Date Loan-to-Value Ratio and 1995 Debt Service Coverage
Ratio.
A-3
<PAGE>
ANNEX A
<TABLE>
<CAPTION>
Counter Control Loan
Number Number Number Property Name Property Address City
------ ------ ------ ------------- ---------------- ----
<S> <C> <C> <C> <C> <C>
Group 1
1 CO1 04-1000001 Woodhaven 625 S Redwood RoaD Salt Lake City
2 CO2 04-1000009 Sandstone 405 East Prince Road Tuscon
3 CO3 06-1000001 Green Tree 50 Jadwin Avenue Richland
4 CO4 04-1000002 Hunters Glen 1201 Bacon Ranch Road Killeen
5 CO5 04-1000012 Oak Hollow 2601 Bill Owens Parkway Longview
6 CO6 04-1000003 Stone Ridge 1000 South Danville Road Kilgore
7 CO7 06-1000004 Holme Circle 2740-2800 Axe Factory Road Philadelphia
8 CO8 06-1000003 Washington Crossing 614-15 E. Mosser Street Allentown
Group 2
9A 2A 643802-5 Ginger Creek Apartments 2800 Springfield Avenue Champaign
9B 2B 643802-5 Continental Plaza Apartments 907 South Mattis Avenue Champaign
9C 2C 643802-5 Stoneleigh Court 800 South Mattis Avenue ChampaigN
9D 2D 643802-5 Colonial Village Apartments 1003 South Mattis Avenue Champaign
9E 2E 643802-5 Healey Street Apartments 607,609,611,613 West Healey St Champaign
9F 2F 643802-5 Clark Street Apartments 307,311,312,402 West Clark St Champaign
9G 2G 643802-5 Green Street Apartments 507-509 West Green Street Champaign
9H 2H 643802-5 Anthony Drive Apartments 1500 Anthony Drive Champaign
9I 2I 643802-5 Colonial South Apartments 1101 South Mattis Avenue Champaign
10 3 644135-5 Hampton Court Apartments 3955 Swenson Ave Las Vegas
11 4 650901-9 Eagle Court Apartments 215 West 84th St New York
12 6 644111-9 Latham Village Apartments Latham Village Lane Latham
13 7 643277-5 Navajo Bluffs Apartments 6575 Jaffe Court San Diego
14 9 650647-8 Lantana Apartments 4103 Wesley Club Drive Atlanta
15 10 650565-7 Bren Mar Apartments 6374 Beryl Road Alexandria
16 11 644048-2 Newport Apartments 415 South Pine Island Rd Plantation
17 12 642968-1 Wyoga Lake Apartments 4260-4261 Americana Drive Cuyahoga Falls
18 13 2 Greenbriar Village Township Line Road Bath (Allentown)
19 14 642996-6 Winbranch Apartments 3551 Dalebranch Drive Memphis
20 15 643812-2 Crystal Village 2610-A Camellia Street Durham
21 16 650675-3 Saratoga Lake Apartments 3552 Panthersville Road Decatur
22 17 643000-7 Trenton Place Apartments 34188 Euclid Avenue Willoughby
23 18 644109-6 Prospect Point Apartments 200-300 West Curtis Savoy
24 20 642952-6 Garden Village Apartments 2000 North Mattis Ave Champaign
25 21 642000-4 City Terrace Apartments 425 East 3rd Street Long Beach
26 22 644143-6 Hidden Oaks Apartments 1329 Northwest Military Highwy San Antonio
27 23 644122-9 Foxglove Apartments 210 Redd Road El Paso
28 24 650513-6 Shannon View Apartments University Drive Fort Lauderdale
29A 25A 642885-7 Brighton Properties I 88 Washington Street Boston
29B 25B 642885-7 Brighton Properties II 119-127 Sutherland Road Boston
29C 25C 642885-7 Brighton Properties III 1687 Commonwealth Ave Boston
30 27 650518-1 Courtyard Apartments 3222-3294 E. Dakota Avenue Fresno
31 28 650553-4 Montrose Square Apartments 6531 Emmons Driv Fort Wayne
32 30 650570-9 Hunter Chase Apartments 1897 Madison Street Clarksville
33 32 643773-8 Wildwood East Apartments 2237 East 56th Avenue Anchorage
34 91 11 Fairfield Apartments 18 Country Club Drive Newark
35 35 650800-7 Bedford Crossing Apartments 550 Old Hickory Blvd Jackson
</TABLE>
- ----------
Footnotes:
(1) Reflects tenant lease-up as of year-end 1995. These properties were newly
constructed, renovated or expanded in 1995.
(2) Management fees have been adjusted to market.
(3) Underlying mortgage on cooperative was underwritten as a multi-family
rental property with market rents less a vacancy factor.
(4) Complete financials were unavailable for 1995. Underwritten numbers were
utilized.
(5) 1994 NOI reflects 1993 amounts.
(6) Largest tenant lease expired 12/1/95; currently on month-to-month basis.
(7) Related Mortgage Loans are grouped by alphabetical designations.
A-4
<PAGE>
ANNEX A
<TABLE>
<CAPTION>
Cut-off
Property Original Date Current Note First Monthly
State Zip Type Balance Balance Rate Date Pymt Date Payment
----- --- ---- ------- ------- ---- ---- --------- -------
<S> <C> <C> <C> <C> <C> <C> <C>
UT 84104 Multifamily 7,951,729 7,844,670 8.219% 9/9/94 11/1/94 59,623.15
AZ 85032 Multifamily 6,540,454 6,452,395 8.219% 9/9/94 11/1/94 49,041.22
WA 99352 Multifamily 4,950,000 4,836,173 8.000% 8/23/94 10/1/94 38,276.64
TX 76542 Multifamily 3,645,692 3,596,608 8.219% 9/9/94 11/1/94 27,335.89
TX 75601 Multifamily 3,195,112 3,152,094 8.219% 9/9/94 11/1/94 23,957.38
TX 75662 Multifamily 1,818,466 1,793,983 8.219% 9/9/94 11/1/94 13,635.11
PA 19152 Multifamily 1,300,000 1,275,221 8.438% 11/30/94 1/1/95 10,421.37
PA 18103 Multifamily 1,030,000 1,015,808 8.625% 11/28/94 1/1/95 7,996.60
IL 61821 Multifamily 3,885,000 3,874,468 8.000% 2/28/96 4/1/96 28,506.77
IL 61821 Multifamily 2,200,000 2,194,036 8.000% 2/28/96 4/1/96 16,142.83
IL 61821 Multifamily 1,200,000 1,196,747 8.000% 2/28/96 4/1/96 8,805.18
IL 61821 Multifamily 1,140,000 1,136,910 8.000% 2/28/96 4/1/96 8,364.92
IL 61820 Multifamily 1,040,000 1,037,181 8.000% 2/28/96 4/1/96 7,631.15
IL 61820 Multifamily 810,000 807,804 8.000% 2/28/96 4/1/96 5,943.50
IL 61820 Multifamily 750,000 747,967 8.000% 2/28/96 4/1/96 5,503.24
IL 61821 Multifamily 625,000 623,306 8.000% 2/28/96 4/1/96 4,586.03
IL 61821 Multifamily 400,000 398,916 8.000% 2/28/96 4/1/96 2,935.06
NV 89119 Multifamily 11,000,000 10,979,492 8.410% 3/21/96 5/1/96 83,879.86
NY 10024 Multifamily 10,000,000 9,978,364 7.845% 4/5/96 6/1/96 76,157.65
NY 12110 Multifamily 8,000,000 7,967,186 7.990% 12/21/95 2/1/96 58,645.41
CA 92119 Multifamily 7,200,000 7,172,731 7.460% 1/5/96 3/1/96 50,146.38
GA 30034 Multifamily 6,155,000 6,147,877 8.740% 4/17/96 6/1/96 48,377.46
VA 23212 Multifamily 5,350,000 5,336,072 8.200% 2/22/96 4/1/96 40,004.87
FL 33324 Multifamily 5,100,000 5,090,036 8.180% 3/28/96 5/1/96 38,063.91
OH 44224 Multifamily 5,300,000 5,207,443 8.110% 12/4/95 2/1/96 50,986.70
PA 18104 Mobile Home 5,000,000 4,991,089 8.630% 3/28/96 5/1/96 38,907.28
TN 38116 Multifamily 4,800,000 4,763,898 7.990% 11/22/95 1/1/96 37,015.39
NC 27705 Multifamily 4,400,000 4,380,950 7.720% 12/28/95 2/1/96 31,430.97
GA 30034 Multifamily 4,300,000 4,295,024 8.740% 4/17/96 6/1/96 33,797.41
OH 44094 Multifamily 4,200,000 4,173,057 8.000% 12/7/95 2/1/96 32,416.28
IL 68121 Multifamily 4,000,000 3,985,119 7.550% 1/25/96 3/1/96 28,105.66
IL 61821 Multifamily 3,650,000 3,636,742 7.670% 1/23/96 3/1/96 25,947.56
CA 90802 Multifamily 3,500,000 3,477,330 7.940% 12/1/95 2/1/96 26,874.60
TX 78231 Multifamily 3,400,000 3,390,072 7.630% 2/15/96 4/1/96 24,076.68
TX 79932 Multifamily 3,300,000 3,293,190 7.910% 3/8/96 5/1/96 24,007.50
FL 33324 Multifamily 3,225,300 3,223,444 8.750% 5/9/96 7/1/96 25,373.45
MA 02135 Multifamily 825,000 815,803 9.005% 6/22/95 8/1/95 6,926.20
MA 02135 Multifamily 1,350,000 1,334,951 9.005% 6/22/95 8/1/95 11,333.77
MA 02135 Multifamily 1,012,500 1,001,213 9.005% 6/22/95 8/1/95 8,500.33
CA 93726 Multifamily 3,154,000 3,148,573 8.800% 3/26/96 5/1/96 24,925.25
IN 46255 Multifamily 2,800,000 2,792,172 8.780% 3/21/96 5/1/96 23,077.12
TN 37043 Multifamily 2,500,000 2,495,456 8.910% 4/3/96 6/1/96 20,826.05
AK 99502 Multifamily 1,950,000 1,936,150 7.360% 12/8/95 2/1/96 14,233.22
DE 19711 Multifamily 1,900,000 1,898,333 9.100% 5/30/96 7/1/96 16,075.04
TN 38301 Multifamily 1,875,000 1,873,277 8.820% 5/24/96 7/1/96 15,504.47
</TABLE>
A-5
<PAGE>
ANNEX A
<TABLE>
<CAPTION>
Related
Counter Original Original Remaining Maturity Mortgage
Number Property Name Term Amort Seasoning Term Date Loans(7)
------ ------------- ---- ----- --------- ---- ---- --------
Group 1
<C> <S> <C> <C> <C> <C> <C> <C>
1 Woodhaven 120 360 21 99 10/1/04 No
2 Sandstone 120 360 21 99 10/1/04 No
3 Green Tree 84 300 22 62 9/1/01 No
4 Hunters Glen 120 360 21 99 10/1/04 No
5 Oak Hollow 120 360 21 99 10/1/04 No
6 Stone Ridge 120 360 21 99 10/1/04 No
7 Holme Circle 84 300 19 65 12/1/01 No
8 Washington Crossing 84 360 19 65 12/1/01 No
Group 2
9A Ginger Creek Apartments 120 360 4 116 3/1/06 Yes(i)
9B Continental Plaza Apartments 120 360 4 116 3/1/06 Yes(i)
9C Stoneleigh Court 120 360 4 116 3/1/06 Yes(i)
9D Colonial Village Apartments 120 360 4 116 3/1/06 Yes(i)
9E Healey Street Apartments 120 360 4 116 3/1/06 Yes(i)
9F Clark Street Apartments 120 360 4 116 3/1/06 Yes(i)
9G Green Street Apartments 120 360 4 116 3/1/06 Yes(i)
9H Anthony Drive Apartments 120 360 4 116 3/1/06 Yes(i)
9I Colonial South Apartments 120 360 4 116 3/1/06 Yes(i)
10 Hampton Court Apartments 120 360 3 117 4/1/06 No
11 Eagle Court Apartments 120 300 2 118 5/1/06 No
12 Latham Village Apartments 180 360 6 174 12/31/10 No
13 Navajo Bluffs Apartments 120 360 5 115 2/1/06 No
14 Lantana Apartments 120 360 2 118 5/1/0 No
15 Bren Mar Apartments 120 360 4 116 3/1/06 No
16 Newport Apartments 120 360 3 117 4/1/06 No
17 Wyoga Lake Apartments 180 180 6 174 1/1/11 No
18 Greenbriar Village 120 360 3 117 4/1/06 No
19 Winbranch Apaprtments 120 300 7 113 12/1/05 No
20 Crystal Village 120 360 6 114 1/1/06 No
21 Saratoga Lake Apartments 120 360 2 118 5/1/06 No
22 Trenton Place Apartments 84 300 6 78 1/1/03 No
23 Prospect Point Apartments 120 360 5 115 2/1/06 No
24 Garden Village Apartments 120 360 5 115 2/1/06 No
25 City Terrace Apartments 120 300 6 114 1/1/06 No
26 Hidden Oaks Apartments 120 360 4 116 3/1/06 No
27 Foxglove Apartments 84 360 3 81 4/1/03 No
28 Shannon View Apartments 120 360 1 119 6/1/06 No
29A Brighton Properties I 120 300 12 108 7/1/05 Yes(j)
29B Brighton Properties II 120 300 12 108 7/1/05 Yes(j)
29C Brighton Properties III 120 300 12 108 7/1/05 Yes(j)
30 Courtyard Apartments 120 360 3 117 4/1/06 No
31 Montrose Square Apartments 120 300 3 117 4/1/06 No
32 Hunter Chase Apartments 120 300 2 118 5/1/06 No
33 Wildwood East Apartments 180 300 6 174 1/1/11 Yes(k)
34 Fairfield Apartments 120 300 1 119 6/1/06 No
35 Bedford Crossing Apartments 120 300 1 119 6/1/06 No
</TABLE>
A-6
<PAGE>
ANNEX A
<TABLE>
<CAPTION>
Lockout Prepay Prepay Prepay Prepay Prepay Prepay Prepay Prepay Prepay Prepay Prepay
Expiration Year 1 Year 2 Year 3 Year 4 Year 5 Year 6 Year 7 Year 8 Year 9 Year 10 Year 11
---------- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
5% 4% 3% 2% 1% 0% 0% 0% 0% 0% n/a
5% 4% 3% 2% 1% 0% 0% 0% 0% 0% n/a
3% 2% 1% 0% 0% 0% 0% n/a n/a n/a n/a
5% 4% 3% 2% 1% 0% 0% 0% 0% 0% n/a
5% 4% 3% 2% 1% 0% 0% 0% 0% 0% n/a
5% 4% 3% 2% 1% 0% 0% 0% 0% 0% n/a
5% 4% 3% 2% 1% 0% 0% n/a n/a n/a n/a
5% 4% 3% 2% 1% 0% 0% n/a n/a n/a n/a
2/29/00 LO LO LO LO YM YM YM YM YM YM n/a
2/29/00 LO LO LO LO YM YM YM YM YM YM n/a
2/29/00 LO LO LO LO YM YM YM YM YM YM n/a
2/29/00 LO LO LO LO YM YM YM YM YM YM n/a
2/29/00 LO LO LO LO YM YM YM YM YM YM n/a
2/29/00 LO LO LO LO YM YM YM YM YM YM n/a
2/29/00 LO LO LO LO YM YM YM YM YM YM n/a
2/29/00 LO LO LO LO YM YM YM YM YM YM n/a
2/29/00 LO LO LO LO YM YM YM YM YM YM n/a
3/31/00 LO LO LO LO YM YM YM YM YM YM n/a
5/1/98 LO LO YM/2 YM/2 YM YM YM YM YM YM n/a
12/31/01 LO LO LO LO LO LO YM YM YM YM YM
1/31/00 LO LO LO LO YM YM YM YM YM YM n/a
4/30/00 LO LO LO LO YM YM YM YM YM YM n/a
2/28/00 LO LO LO LO YM YM YM YM YM YM n/a
3/31/00 LO LO LO LO YM YM YM YM YM YM n/a
12/31/99 LO LO LO LO YM YM YM YM YM YM 0%
3/31/00 LO LO LO LO YM YM YM YM YM YM n/a
11/30/99 LO LO LO LO YM YM YM YM YM YM n/a
12/31/99 LO LO LO LO YM YM YM YM YM YM n/a
4/30/00 LO LO LO LO YM YM YM YM YM YM n/a
12/31/97 LO LO 5% 4% 3% 2% 1% n/a n/a n/a n/a
1/31/00 LO LO LO LO YM YM YM YM YM YM n/a
1/31/00 LO LO LO LO YM YM YM YM YM YM n/a
1/30/00 LO LO LO LO YM YM YM YM YM YM n/a
2/29/00 LO LO LO LO YM YM YM YM YM Y n/a
3/31/98 LO LO YM YM YM YM YM n/a n/a n/a n/a
5/31/00 LO LO LO LO YM YM YM YM YM YM n/a
6/30/00 LO LO LO LO LO 5% 4% 3% 2% 1% n/a
6/30/00 LO LO LO LO LO 5% 4% 3% 2% 1% n/a
6/30/00 LO LO LO LO LO 5% 4% 3% 2% 1% n/a
3/31/00 LO LO LO LO YM YM YM YM YM YM n/a
3/31/00 LO LO LO LO YM YM YM YM YM YM n/a
4/30/00 LO LO LO LO YM YM YM YM YM YM n/a
12/31/00 LO LO LO LO LO YM YM YM YM YM YM
5/31/00 LO LO LO LO YM YM YM YM YM YM n/a
5/31/00 LO LO LO LO YM YM YM YM YM YM n/a
</TABLE>
A-7
<PAGE>
ANNEX A
<TABLE>
<CAPTION>
Counter Prepay Prepay Prepay Prepay Prepay Open Appraisal
Number Property Name Yr 12 Yr 13 Yr 14 Yr 15 Yr 16-25 Period Date
------ ------------- ----- ----- ----- ----- -------- ------ ----
Group 1
<C> <S> <C> <C> <C> <C> <C> <C> <C>
1 Woodhaven n/a n/a n/a n/a n/a 60 3/10/94
2 Sandstone n/a n/a n/a n/a n/a 60 3/8/94
3 Green Tree n/a n/a n/a n/a n/a 48 7/21/94
4 Hunters Glen n/a n/a n/a n/a n/a 60 1/26/94
5 Oak Hollow n/a n/a n/a n/a n/a 60 1/26/94
6 Stone Ridge n/a n/a n/a n/a n/a 60 1/26/94
7 Holme Circle n/a n/a n/a n/a n/a 24 10/11/94
8 Washington Crossing n/a n/a n/a n/a n/a 24 9/19/94
Group 2
9A Ginger Creek Apartments n/a n/a n/a n/a n/a 6 11/10/95
9B Continental Plaza Apartments n/a n/a n/a n/a n/a 6 11/22/95
9C Stoneleigh Court n/a n/a n/a n/a n/a 6 11/20/95
9D Colonial Village Apartments n/a n/a n/a n/a n/a 6 11/23/95
9E Healey Street Apartments n/a n/a n/a n/a n/a 6 12/14/95
9F Clark Street Apartments n/a n/a n/a n/a n/a 6 12/1/95
9G Green Street Apartments n/a n/a n/a n/a n/a 6 11/29/95
9H Anthony Drive Apartments n/a n/a n/a n/a n/a 6 11/26/95
9I Colonial South Apartments n/a n/a n/a n/a n/a 6 11/24/95
10 Hampton Court Apartments n/a n/a n/a n/a n/a 6 12/21/95
11 Eagle Court Apartments n/a n/a n/a n/a n/a 6 1/17/96
12 Latham Village Apartments YM YM YM YM n/a 6 11/9/95
13 Navajo Bluffs Apartments n/a n/a n/a n/a n/a 6 8/31/95
14 Lantana Apartments n/a n/a n/a n/a n/a 6 1/16/96
15 Bren Mar Apartments n/a n/a n/a n/a n/a 6 9/6/95
16 Newport Apartments n/a n/a n/a n/a n/a 6 12/8/95
17 Wyoga Lake Apartments 0% 0% 0% 0% n/a 60 9/8/95
18 Greenbriar Village n/a n/a n/a n/a n/a 6 12/4/95
19 Winbranch Apartments n/a n/a n/a n/a n/a 6 8/1/95
20 Crystal Village n/a n/a n/a n/a n/a 6 10/3/95
21 Saratoga Lake Apartments n/a n/a n/a n/a n/a 6 1/16/96
22 Trenton Place Apartments n/a n/a n/a n/a n/a 6 9/21/95
23 Prospect Point Apartments n/a n/a n/a n/a n/a 6 11/13/95
24 Garden Village Apartments n/a n/a n/a n/a n/a 6 11/19/95
25 City Terrace Apartments n/a n/a n/a n/a n/a 6 11/27/94
26 Hidden Oaks Apartments n/a n/a n/a n/a n/a 6 11/6/95
27 Foxglove Apartments n/a n/a n/a n/a n/a 6 12/11/95
28 Shannon View Apartments n/a n/a n/a n/a n/a 6 1/15/96
29A Brighton Properties I n/a n/a n/a n/a n/a 0 3/9/95
29B Brighton Properties II n/a n/a n/a n/a n/a 0 3/9/95
29C Brighton Properties III n/a n/a n/a n/a n/a 0 3/9/95
30 Courtyard Apartments n/a n/a n/a n/a n/a 6 1/18/96
31 Montrose Square Apartments n/a n/a n/a n/a n/a 6 6/26/95
32 Hunter Chase Apartments n/a n/a n/a n/a n/a 6 1/17/96
33 Wildwood East Apartments YM YM YM YM n/a 6 9/28/95
34 Fairfield Apartments n/a n/a n/a n/a n/a 6 4/20/96
35 Bedford Crossing Apartments n/a n/a n/a n/a n/a 6 2/14/96
</TABLE>
A-8
<PAGE>
ANNEX A
<TABLE>
<CAPTION>
Final Year Built/ Total Property Loan Per
Value LTV Renovated Units Size (SF) SF/UNIT UNIT/SF Occupancy %
----- --- --------- ----- --------- ------- ------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
12,150,000 64.6% 1986 378 204,876 20,753.09 Unit 96%
10,150,000 63.6% 1985 330 181,137 19,552.71 Unit 92%
8,400,000 57.6% 1974/1981 236 199,760 20,492.26 Unit 84%
5,340,000 67.4% 1985 152 115,488 23,661.89 Unit 95%
4,500,000 70.1% 1982 200 156,960 15,760.47 Unit 94%
2,470,000 72.6% 1982 136 86,376 13,191.05 Unit 97%
1,790,000 71.2% 1963 102 63,900 12,502.16 Unit 93%
1,550,000 65.5% 1989 60 30,600 16,930.13 Unit 88%
5,300,000 73.1% 1987/1991 104 99,922 37,254.50 Unit 97%
2,950,000 74.4% 1965 92 82,000 23,848.22 Unit 100%
1,675,000 71.5% 1967 42 31,350 28,493.98 Unit 95%
1,675,000 67.9% 1966 39 41,100 29,151.53 Unit 95%
1,450,000 71.5% 1962/1977 52 33,700 19,945.78 Unit 90%
1,275,000 63.4% 1940/1961 48 29,156 16,829.25 Unit 96%
1,040,000 71.9% 1964/1988 30 21,670 24,932.23 Unit 100%
870,000 71.6% 1972 32 19,200 19,478.30 Unit 100%
540,000 73.9% 1966 21 10,560 18,995.98 Unit 100%
15,500,000 70.8% 1974 420 232,992 26,141.65 Unit 99%
16,000,000 62.4% 1902/1983 128 86,374 77,955.97 Unit 100%
12,000,000 66.4% 1964 352 387,492 22,634.05 Unit 95%
9,990,000 71.8% 1975/1988 210 135,808 34,155.86 Unit 93%
8,400,000 73.2% 1971/1995 257 292,980 23,921.70 Unit 93%
6,770,000 78.8% 1958/1987 135 107,221 39,526.46 Unit 93%
7,000,000 72.7% 1973/1991 152 139,364 33,487.08 Unit 100%
7,100,000 73.3% 1973 264 273,000 19,725.16 Unit 90%
7,700,000 64.8% 1985 319 2,775,208 15,646.05 Pad 87%
7,250,000 65.7% 1973/1995 460 370,236 10,356.30 Unit 94%
6,400,000 68.5% 1985 136 114,560 32,212.87 Unit 94%
5,750,000 74.7% 1974 123 169,348 34,918.89 Unit 94%
5,750,000 72.6% 1974 144 119,720 28,979.56 Unit 99%
5,500,000 72.5% 1993/1995 112 98,672 35,581.42 Unit 96%
5,475,000 66.4% 1965/1972 163 135,150 22,311.30 Unit 97%
5,350,000 65.0% 1986 98 47,172 35,482.96 Unit 93%
4,560,000 74.3% 1986 124 96,704 27,339.29 Unit 94%
4,550,000 72.4% 1983 176 160,084 18,711.31 Unit 86%
4,450,000 72.4% 1985 120 97,776 26,862.04 Unit 92%
1,100,000 74.2% 1935 36 21,400 22,661.21 Unit 97%
1,800,000 74.2% 1920/1984 43 32,300 31,045.38 Unit 96%
1,350,000 74.2% 1930 34 25,300 29,447.45 Unit 94%
4,600,000 68.5% 1973 154 135,538 20,445.28 Unit 95%
3,775,000 74.0% 1987 136 70,000 20,530.67 Unit 100%
3,500,000 71.3% 1972 160 133,984 15,596.60 Unit 95%
3,375,000 57.4% 1985 88 68,488 22,001.70 Unit 100%
2,550,000 74.4% 1966/1988 66 88,068 28,762.63 Unit 96%
2,850,000 65.7% 1971 144 116,784 13,008.87 Unit 98%
</TABLE>
A-9
<PAGE>
ANNEX A
<TABLE>
<CAPTION>
Max Min
Counter Loan Interest Interest
Number Property Name Type Index Margin Rate Rate
------ ------------- ---- ----- ------ ---- ----
Group 1
<C> <S> <C> <C> <C> <C>
1 Woodhaven Floating 6 mo Libor 2.750% 11.750% 6.000%
2 Sandstone Floating 6 mo Libor 2.750% 11.750% 6.000%
3 Green Tree Floating 6 mo Libor 2.750% 12.560% 7.813%
4 Hunters Glen Floating 6 mo Libor 2.750% 11.750% 6.000%
5 Oak Hollow Floating 6 mo Libor 2.750% 11.750% 6.000%
6 Stone Ridge Floating 6 mo Libor 2.750% 11.750% 6.000%
7 Holme Circle Floating 6 mo Libor 2.750% 12.630% 6.375%
8 Washington Crossing Floating 6 mo Libor 2.750% 12.880% 8.625%
Group 2
9A Ginger Creek Apartments Fixed
9B Continental Plaza Apartments Fixed
9C Stoneleigh Court Fixed
9D Colonial Village Apartments Fixed
9E Healey Street Apartments Fixed
9F Clark Street Apartments Fixed
9G Green Street Apartments Fixed
9H Anthony Drive Apartments Fixed
9I Colonial South Apartments Fixed
10 Hampton Court Apartments Fixed
11 Eagle Court Apartments Fixed
12 Latham Village Apartments Fixed
13 Navajo Bluffs Apartments Fixed
14 Lantana Apartments Fixed
15 Bren Mar Apartments Fixed
16 Newport Apartments Fixed
17 Wyoga Lake Apartments Fixed
18 Greenbriar Village Fixed
19 Winbranch Apaprtments Fixed
20 Crystal Village Fixed
21 Saratoga Lake Apartments Fixed
22 Trenton Place Apartments Fixed
23 Prospect Point Apartments Fixed
24 Garden Village Apartments Fixed
25 City Terrace Apartments Fixed
26 Hidden Oaks Apartments Fixed
27 Foxglove Apartments Fixed
28 Shannon View Apartments Fixed
29A Brighton Properties I Fixed
29B Brighton Properties II Fixed
29C Brighton Properties III Fixed
30 Courtyard Apartments Fixed
31 Montrose Square Apartments Fixed
32 Hunter Chase Apartments Fixed
33 Wildwood East Apartments Fixed
34 Fairfield Apartments Fixed
35 Bedford Crossing Apartments Fixed
</TABLE>
A-10
<PAGE>
ANNEX A
<TABLE>
<CAPTION>
Largest Largest Largest
Tenant Tenant Tenant Second
Largest Tenant Leased SF % of Total SF Lease Expiration Largest Tenant
-------------- --------- ------------- ---------------- --------------
<S> <C> <C> <C>
</TABLE>
A-11
<PAGE>
ANNEX A
<TABLE>
<CAPTION>
Second Largest Second Largest Second Largest
Counter Tenant Tenant Tenant
Number Property Name Leased SF % of Total SF Lease Expiration 1994 NOI
------ ------------- --------- ------------- ---------------- --------
Group 1
<C> <S> <C>
1 Woodhaven 1,213,326
2 Sandstone 984,947
3 Green Tree 1,007,465
4 Hunters Glen 593,112
5 Oak Hollow 422,662
6 Stone Ridge 285,871
7 Holme Circle --
8 Washington Crossing 160,632
Group 2
9A Ginger Creek Apartments 471,364
9B Continental Plaza Apartments 254,201
9C Stoneleigh Court 149,899
9D Colonial Village Apartments 131,263
9E Healey Street Apartments 129,513
9F Clark Street Apartments 96,937
9G Green Street Apartments 92,071
9H Anthony Drive Apartments 81,460
9I Colonial South Apartments 54,265
10 Hampton Court Apartments 1,535,162
11 Eagle Court Apartments 1,848,034
12 Latham Village Apartments 1,175,443
13 Navajo Bluffs Apartments 876,052
14 Lantana Apartments 566,064
15 Bren Mar Apartments 647,505
16 Newport Apartments 639,361
17 Wyoga Lake Apartments 721,966
18 Greenbriar Village 716,403
19 Winbranch Apaprtments 734,227
20 Crystal Village 615,345
21 Saratoga Lake Apartments --
22 Trenton Place Apartments 516,783
23 Prospect Point Apartments 302,646
24 Garden Village Apartments 479,758
25 City Terrace Apartments 536,561
26 Hidden Oaks Apartments 424,303
27 Foxglove Apartments 368,354
28 Shannon View Apartments 420,944
29A Brighton Properties I 128,557
29B Brighton Properties II 219,038
29C Brighton Properties III 155,000
30 Courtyard Apartments 431,520
31 Montrose Square Apartments 343,945
32 Hunter Chase Apartments 413,801
33 Wildwood East Apartments 464,614
34 Fairfield Apartments 259,728
35 Bedford Crossing Apartments 269,442
</TABLE>
A-12
<PAGE>
ANNEX A
<TABLE>
<CAPTION>
1995 Revenues 1995 Expenses 1995 NOI Footnote 1995 DSCR 1995 Combined DSCR Annualized
------------- ------------- -------- -------- --------- ------------------ ----------
<C> <C> <C> <C> <C> <C>
1,862,564 591,316 1,271,248 1.78 Trailing 12
1,584,211 582,839 1,001,372 1.70 Trailing 12
1,247,142 595,306 651,836 1.42 Trailing 12
972,494 379,510 592,984 1.81 Trailing 12
881,595 420,171 461,424 1.61 Trailing 12
594,022 311,240 282,782 1.73 Trailing 12
467,218 244,699 222,519 1.78 Trailing 12
258,658 125,699 132,959 1.39 Trailing 12
812,463 362,490 449,973 1.32 1.36 Trailing 12
502,179 224,697 277,482 1.43 1.36 Trailing 12
231,430 101,538 129,892 1.23 1.36 Trailing 12
251,023 127,665 123,358 1.23 1.36 Trailing 12
245,858 114,057 131,801 1.44 1.36 Trailing 12
216,764 125,026 91,738 1.29 1.36 Trailing 12
171,948 70,971 100,977 1.53 1.36 Trailing 12
137,966 50,172 87,794 1.60 1.36 Trailing 12
88,370 36,309 52,061 1.48 1.36 Trailing 12
2,510,970 912,806 1,598,164 1.59 Trailing 12
2,856,495 1,167,389 1,689,106 1.85 Trailing 12
1,965,719 824,744 1,140,975 1.62 Trailing 12
1,334,754 471,285 863,469 1.43 Trailing 12
1,452,317 734,331 717,986 1.24 Trailing 12
1,098,148 491,928 606,220 1.26 Trailing 12
1,171,911 484,751 687,160 1.50 Trailing 12
1,448,040 658,554 789,486 1.29 Trailing 12
1,008,523 264,531 743,992 1.59 Trailing 12
1,904,157 960,864 943,293 2.12 Trailing 12
907,531 329,284 578,247 1.53 Trailing 12
900,500 351,371 549,129 (1) 1.35 Estimated
1,016,808 477,478 539,330 1.39 6 mos ann
735,232 276,438 458,794 1.36 Trailing 12
870,468 393,919 476,549 1.53 Trailing 12
724,577 211,185 513,392 1.59 Trailing 12
755,944 335,177 420,767 1.46 Trailing 12
968,564 531,126 437,438 1.52 Trailing 12
858,043 411,179 446,865 1.47 Trailing 12
248,093 126,487 121,606 1.46 1.49 Triling 12
380,349 168,092 212,257 1.56 1.49 Trailing 12
282,543 137,063 145,480 1.43 1.49 Trailing 12
768,604 365,829 402,775 1.3 Trailing 12
621,621 236,398 385,223 1.39 11 mos ann
736,400 348,078 388,322 1.55 Trailing 12
750,939 230,333 520,606 3.05 2.60 Trailing 12
461,343 173,218 288,125 1.49 Trailing 12
725,354 424,235 301,119 1.62 Trailing 12
</TABLE>
A-13
<PAGE>
ANNEX A
<TABLE>
<CAPTION>
Counter
Number Property Name End Date U/WNOI Master Servicing Fee
------ ------------- -------- ------ --------------------
<C> <S> <C> <C> <C>
Group 1
1 Woodhaven 12/31/95 1,120,666 0.270%
2 Sandstone 12/31/95 872,372 0.270%
3 Green Tree 12/31/95 904,911 0.270%
4 Hunters Glen 12/31/95 544,027 0.270%
5 Oak Hollow 12/31/95 442,696 0.270%
6 Stone Ridge 12/31/95 277,280 0.270%
7 Holme Circle 12/31/95 190,434 0.270%
8 Washington Crossing 12/31/95 124,453 0.270%
Group 2
9A Ginger Creek Apartments 12/31/95 483,672 0.185%
9B Continental Plaza Apartments 12/31/95 284,039 0.185%
9C Stoneleigh Court 12/31/95 147,211 0.185%
9D Colonial Village Apartments 12/31/95 142,172 0.185%
9E Healey Street Apartments 12/31/95 140,456 0.185%
9F Clark Street Apartments 12/31/95 111,862 0.185%
9G Green Street Apartments 12/31/95 102,371 0.185%
9H Anthony Drive Apartments 12/31/95 87,628 0.185%
9I Colonial South Apartments 12/31/95 54,053 0.185%
10 Hampton Court Apartments 12/31/95 1,408,595 0.185%
11 Eagle Court Apartments 12/31/95 1,370,204 0.140%
12 Latham Village Apartments 12/31/95 1,146,688 0.185%
13 Navajo Bluffs Apartments 12/31/95 844,602 0.185%
14 Lantana Apartments 12/31/95 777,356 0.185%
15 Bren Mar Apartments 12/31/95 628,611 0.185%
16 Newport Apartments 12/31/95 613,230 0.185%
17 Wyoga Lake Apartments 12/31/95 805,087 0.185%
18 Greenbriar Village 12/31/95 764,179 0.185%
19 Winbranch Apartments 12/31/95 752,659 0.185%
20 Crystal Village 12/31/95 562,274 0.185%
21 Saratoga Lake Apartments Estimated 549,129 0.185%
22 Trenton Place Apartments 6/30/95 534,820 0.185%
23 Prospect Point Apartments 12/31/95 469,793 0.185%
24 Garden Village Apartments 12/31/95 499,156 0.185%
25 City Terrace Apartments 12/31/95 481,697 0.185%
26 Hidden Oaks Apartments 12/31/95 425,273 0.185%
27 Foxglove Apartments 12/31/95 402,416 0.185%
28 Shannon View Apartments 12/31/95 410,602 0.185%
29A Brighton Properties I 12/31/95 117,810 0.185%
29B Brighton Properties II 12/31/95 192,780 0.185%
29C Brighton Properties III 12/31/95 144,585 0.185%
30 Courtyard Apartments 12/31/95 412,602 0.185%
31 Montrose Square Apartments 11/30/95 381,732 0.185%
32 Hunter Chase Apartments 12/31/95 394,077 0.185%
33 Wildwood East Apartments 12/31/95 369,000 0.185%
34 Fairfield Apartments 12/31/95 266,070 0.185%
35 Bedford Crossing Apartments 12/31/95 290,491 0.185%
</TABLE>
A-14
<PAGE>
Mortgage Loan Schedule
Loan Counters 36-83
A-15
<PAGE>
ANNEX A
<TABLE>
<CAPTION>
Counter Control Loan
Number Number Number Property Name Property Address City
------ ------ ------ ------------- ---------------- ----
<C> <C> <C> <S> <C> <C>
36 36 643766-0 Silver Terrace Apartments 4697 Rose Coral Drive Orlando
37 37 643018-8 Flamingo Apartments 1650 West 44th Place Hialeah
38 38 643099-7 Torrey Pines Apartments 45235 7Th Street East Lancaster
39 40 650785-9 Cedarwood Apartments 2880 Beverly Hills Rd. Memphis
40 41 642944-5 Colebrook Manor 2456 Iverson Street Temple Hills
41 42 644046-3 Valley View 5,6,8 &11 Secora Road Monsey
42 43 650692-8 Quarry Apartments 270 Quarry Street Quincy
43 45 650693-1 Park Drive Limited Partnership 149-151 Park Drive Boston
44 46 643232-2 Haven Manor Apartments 905 West 26th Street Lynn Haven
45 47 643765-7 Willow Trail Apartments 4801 Clyde Morris Blvd Port Orange
46 48 643051-5 One And Only Apartments 3602/3619 Bolivar Drive Dallas
47 49 650795-6 Pratton Arms Apartments 20 Eames Street Framingham
48 50 642967-8 Quilliams Noble Apartments 2481-2487 Noble Road Cleveland Hghts
49 51 643775-4 Chugach South Apartments 9540 & 9600 Morningside Loop Anchorage
50 52 8 Lakeview Manor 1700 Newcombtown Road Millville
51 53 643774-1 Chugach West Apartments 1340 & 1402 West 26th Avenue Anchorage
52 54 3 Eldorado Gardens 200 Mill Street Bellville
53 55 650694-4 Pembroke Apartments 2051-2061 NW 81 Street Pembroke Pines
54 90 650523-3 Great Northeast Plaza 2201-2235 Cottman Avenue Philadelphia
and 2290 Bleigh Street
55 56 642895-4 Village Square at Kiln Creek 5007 Victory Blvd. York County
56 57 644081-9 Promenade Shopping Center 9810 Alternate Route A1A Palm Beac
Gardens
57 59 643091-3 Escada 7 East 57th Street New York
58 60 650656-2 Santa Fe Springs Market Place Washington Blvd./ Norwalk Blvd. Santa Fe
Springs
59 61 642963-6 Plaza Del Rienzi North Canal Blvd/Rue London Thibodaux
60 62 650578-3 Battlefield Plaza 313 East Battlefield Road Springfield
61 63 643327-9 Harnett Crossing Shopping Center 2106-2330 Cumberland Street Dunn
62 65 650460-3 Grand Union Shopping Center 402-430 Union Blvd West Islip
63 67 643016-2 Village II (Indian Wells) Highway 111 Indian Wells
64 68 642940-3 Eckerd Plaza N.E.Corner Of Golden Gate Pkwy Naples
65 70 650698-6 MVP Sports 1207 Washington Street(Route 53) Hanover
66 71 650695-7 IRG Waltham Limited 101 First Avenue Waltham
67 72 643017-5 Ritchey Business Centre 1831 S. Ritchey St. Santa Ana
68 73 643015-9 Highland Plaza 3001-3051 Nicollet Avenue Minneapolis
69 74 643789-3 Regency Pointe 940 Arlington Expressway Jackonsonville
70 75 643186-0 Cohaire Plaza Inter. Of Westover Rd & Sunset Clinton
71 76 650867-0 Tokeneke Center 23-25 Tokeneke Road Darien
72 77 650796-9 Quincy Flagship/Mithell 625 Southern Artery Quincy
73 78 643762-8 Ecor Rouge Shopping Center 49 North Greeno Road Fairhope
74 79 650874-8 Great Falls Shopping Center Highway 158 Roanoke Rapids
75 80 643085-8 Yancey Commons Shopping Center US Highway 19E/Dogwood Lane Burnsville
76 81 643790-3 Foxmoor Center 5660 Foxmoor Bayshore Road, N. North Ft. Meyers
77 82 650797-2 Eleven Hurley 11 Hurley Street Cambridge
78 83 4 University Plaza Highway 22 Martin
79 84 650696-0 Dudley Plaza Realty Airport Road Dudley
80 85 642962-3 Parkside Plaza Highway 15 & West 10th Street Laurel
81 86 642947-4 Heritage Plaza Shopping Center 2410 North Heritage St. Kinston
82 87 643792-9 Everything Organized 310 North Pointe Parkway Alpharetta
83 88 650697-3 CVS Clinton 14-16 East Main Street Clinton
</TABLE>
- ----------
Footnotes:
(1) Reflects tenant lease-up as of year-end 1995. These properties were newly
constructed, renovated or expanded in 1995.
(2) Management fees have been adjusted to market.
(3) Underlying mortgage on cooperative was underwritten as a multi-family
rental property with market rents less a vacancy factor.
(4) Complete financials were unavailable for 1995. Underwritten numbers were
utilized.
(5) 1994 NOI reflects 1993 amounts.
(6) Largest tenant lease expired 12/1/95; currently on month-to-month basis.
(7) Related Mortgage Loans are grouped by alphabetical designations.
A-16
<PAGE>
ANNEX A
<TABLE>
<CAPTION>
Cut-off
Property Original Date Current Note First Monthly
State Zip Type Balance Balance Rate Date Pymt Date Payment
----- --- ---- ------- ------- ---- ---- --------- -------
<C> <C> <C> <C> <C> <C> <C> <C> <C>
FL 32808 Multifamily 1,867,500 1,857,858 8.310% 10/18/95 12/1/95 14,108.75
FL 33012 Multifamily 1,750,000 1,735,499 8.240% 10/6/95 12/1/95 13,786.19
CA 93535 Multifamily 1,650,000 1,640,952 8.010% 10/4/95 12/1/95 12,118.62
TN 38128 Multifamily 1,525,000 1,523,587 8.770% 5/24/96 7/1/96 12,558.42
MD 20748 Multifamily 1,465,000 1,447,496 8.120% 11/30/95 1/1/96 12,363.48
NY 10952 Multifamily 1,450,000 1,441,783 8.260% 5/1/96 6/1/96 14,075.47
MA 02171 Multifamily 1,450,000 1,437,907 8.200% 10/31/95 12/1/95 11,384.12
MA 02115 Multifamily 1,350,000 1,332,144 9.820% 2/15/95 4/1/95 12,096.58
FL 32444 Multifamily 1,275,000 1,269,592 8.010% 2/12/96 4/1/96 9,849.11
FL 32119 Multifamily 1,233,000 1,231,614 8.880% 4/29/96 6/1/96 9,814.72
TX 75220 Multifamily 1,275,000 1,263,400 9.080% 8/21/95 10/1/95 10,767.69
MA 01701 Multifamily 1,026,000 1,019,301 7.890% 12/21/95 2/1/96 7,844.22
OH 44121 Multifamily 975,000 957,914 8.070% 12/4/95 2/1/96 9,357.05
AK 99502 Multifamily 950,000 943,617 7.710% 12/8/95 2/1/96 7,150.69
NJ 8332 Multifamily 900,000 898,394 9.020% 4/25/96 6/1/96 7,565.10
AK 99503 Multifamily 835,000 829,478 7.810% 12/8/95 2/1/96 6,339.92
NJ 7109 Multifamily 825,000 823,583 9.250% 5/1/96 6/1/96 7,065.15
FL 33024 Multifamily 750,000 741,218 8.700% 6/8/95 8/1/95 6,140.62
PA 19149 Retail 18,000,000 17,990,250 9.040% 5/17/96 7/1/96 145,350.43
VA 23602 Retail 15,375,000 15,314,180 8.170% 12/26/95 2/1/96 114,643.68
FL 33410 Retail 13,160,671 12,423,775 9.000% 12/29/92 2/1/93 107,110.37
NY 10022 Retail 10,600,000 10,475,650 8.270% 11/13/95 1/1/96 90,452.07
CA 90605 Retail 7,475,000 7,471,197 9.340% 5/10/96 7/1/96 61,983.11
LA 70301 Retail 6,270,000 6,263,528 9.290% 4/30/96 6/1/96 51,763.60
MO 65807 Retail 6,225,000 6,186,080 8.160% 12/15/95 2/1/96 48,707.22
NC 28334 Retail 6,200,000 6,189,109 8.700% 3/18/96 5/1/96 48,554.19
NY 11795 Retail 5,750,000 5,726,697 8.050% 12/18/95 2/1/96 42,392.06
CA 92210 Office 4,750,000 4,726,315 8.410% 1/3/96 3/1/96 37,960.63
FL 33999 Retail 4,200,000 4,176,487 8.840% 12/19/95 2/1/96 34,787.22
MA 01887 Retail 3,650,000 3,625,239 8.630% 11/10/95 1/1/96 29,711.24
MA 02154 Office 3,100,000 3,065,527 9.020% 6/23/95 8/1/95 26,057.56
CA 92705 Industrial 3,080,000 3,071,460 8.830% 3/26/96 5/1/96 25,489.64
MN 55408 Retail 3,000,000 2,984,523 8.200% 1/24/96 3/1/96 23,553.35
FL 75231 Retail 3,000,000 2,515,288 9.375% 8/17/93 10/1/95 34,165.78
NC 28328 Retail 2,475,000 2,461,855 8.020% 1/19/96 3/1/96 19,135.25
CT 06490 Retail 2,250,000 2,231,265 8.960% 9/28/95 11/1/95 18,820.13
MA 02169 Retail 1,810,000 1,795,214 8.420% 1/17/96 3/1/96 15,616.07
AL 36532 Retail 1,800,000 1,794,934 8.740% 3/7/96 5/1/96 14,786.36
NC 27870 Retail 1,800,000 1,793,007 8.550% 3/5/96 4/1/96 14,554.79
NC 28714 Retail 1,750,000 1,738,659 8.910% 11/30/95 1/1/96 14,578.23
FL 15212 Retail 1,600,000 1,384,229 9.000% 11/29/93 1/1/94 18,208.49
MA 02141 Office 1,400,000 1,388,858 8.630% 1/30/96 3/1/96 12,264.96
TN 38237 Retail 1,440,000 1,438,839 9.600% 5/23/96 7/1/96 12,681.48
MA 01571 Retail 1,330,000 1,319,225 8.380% 10/19/95 12/1/95 10,602.18
MS 39440 Retail 1,180,000 1,178,142 9.766% 4/30/96 6/1/96 10,528.64
NC 28502 Retail 1,135,000 1,129,482 8.565% 1/11/96 3/1/96 9,189.10
GA 30202 Retail 1,100,000 1,067,363 9.740% 7/22/94 1/1/96 10,479.72
CT 06413 Retail 840,000 831,767 8.450% 12/14/95 2/1/96 7,263.15
</TABLE>
A-17
<PAGE>
ANNEX A
<TABLE>
<CAPTION>
Related
Counter Original Original Remaining Maturity Mortgage
Number Property Name Term Amort Seasoning Term Date Loans(7)
------ ------------- ---- ----- --------- ---- ---- --------
<C> <S> <C> <C> <C> <C> <C> <C>
36 Silver Terrace Apartments 120 360 8 112 11/1/05 No
37 Flamingo Apartments 120 300 8 112 11/1/05 No
38 Torrey Pines Apartments 120 360 8 112 11/1/05 No
39 Cedarwood Apartments 120 300 1 119 6/1/06 No
40 Colebrook Manor 120 240 7 113 12/1/05 No
41 Valley View 180 180 2 178 5/1/11 No
42 Quarry Apartments 83 300 8 75 10/1/02 No
43 Park Drive Limited Partnership 84 300 16 68 3/1/02 No
44 Haven Manor Apartments 120 300 4 116 3/1/06 No
45 Willow Trail Apartments 120 360 2 118 5/1/06 No
46 One And Only Apartments 120 300 10 110 9/1/05 No
47 Pratton Arms Apartments 84 300 6 78 1/1/03 No
48 Quilliams Noble Apartments 180 180 6 174 1/1/11 No
49 Chugach South Apartments 180 300 6 174 1/1/11 Yes(k)
50 Lakeview Manor 120 300 2 118 5/1/06 No
51 Chugach West Apartments 180 300 6 174 1/1/11 Yes(k)
52 Eldorado Gardens 120 300 2 118 5/1/06 No
53 Pembroke Apartments 119 300 12 107 6/1/05 No
54 Great Northeast Plaza 120 360 1 119 6/1/06 No
55 Village Square at Kiln Creek 120 360 6 114 12/31/05 No
56 Promenade Shopping Center 84 360 42 42 1/1/00 No
57 Escada 84 240 7 77 12/1/02 No
58 Santa Fe Springs Market Place 120 360 1 119 6/1/06 No
59 Plaza Del Rienzi 120 360 2 118 5/1/06 No
60 Battlefield Plaza 120 300 6 114 1/1/06 No
61 Harnett Crossing Shopping Cntr. 120 360 3 117 4/1/06 No
62 Grand Union Shopping Center 120 360 6 114 1/1/06 No
63 Village II (Indian Wells) 120 300 5 115 2/1/06 No
64 Eckerd Plaza 120 300 6 114 1/1/06 No
65 MVP Sports 120 300 7 113 12/1/05 No
66 IRG Waltham Limited 120 300 12 108 7/1/05 No
67 Ritchey Business Centre 120 300 3 117 4/1/06 No
68 Highland Plaza 120 300 5 115 2/1/06 No
69 Regency Pointe 144 144 10 110 9/1/05 No
70 Cohaire Plaza 120 300 5 115 2/1/06 No
71 Tokeneke Center 84 300 9 75 10/1/02 No
72 Quincy Flagship/Mithell 84 240 5 79 2/1/03 No
73 Ecor Rouge Shopping Center 120 300 3 117 4/1/06 No
74 Great Falls Shopping Center 120 300 4 116 3/1/06 No
75 Yancey Commons Shopping Cntr. 120 300 7 113 12/1/05 No
76 Foxmoor Center 144 144 31 113 12/1/05 No
77 Eleven Hurley 120 240 5 115 2/1/06 No
78 University Plaza 120 300 1 119 6/1/06 No
79 Dudley Plaza Realty 120 300 8 112 11/1/05 No
80 Parkside Plaza 120 300 2 118 5/1/06 No
81 Heritage Plaza Shopping Center 120 300 5 115 2/1/06 No
82 Everything Organized 110 230 7 103 2/1/05 No
83 CVS Clinton 119 240 6 113 12/1/05 No
</TABLE>
A-18
<PAGE>
ANNEX A
<TABLE>
<CAPTION>
Lockout Prepay Prepay Prepay Prepay Prepay Prepay Prepay Prepay Prepay Prepay Prepay
Expiration Year 1 Year 2 Year 3 Year 4 Year 5 Year 6 Year 7 Year 8 Year 9 Year 10 Year 11
---------- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------- -------
<C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
10/31/99 LO LO LO LO YM YM YM YM YM YM n/a
11/1/99 LO LO LO LO YM YM YM YM YM YM n/a
10/31/99 LO LO LO LO YM YM YM YM YM YM n/a
5/31/00 LO LO LO LO YM YM YM YM YM YM n/a
11/30/00 LO LO LO LO LO 5% 4% 3% 2% 1% n/a
5/1/03 LO LO LO LO LO LO LO YM YM YM 0%
11/30/97 LO LO YM YM YM YM YM n/a n/a n/a n/a
3/31/97 LO LO YM YM YM YM YM n/a n/a n/a n/a
2/28/00 LO LO LO LO YM YM YM YM YM YM n/a
4/30/00 LO LO LO LO YM YM YM YM YM YM n/a
8/31/99 LO LO LO LO YM YM YM YM YM YM n/a
12/21/97 LO LO YM YM YM YM YM n/a n/a n/a n/a
12/31/99 LO LO LO LO YM YM YM YM YM YM 0%
12/31/00 LO LO LO LO LO YM YM YM YM YM YM
4/30/00 LO LO LO LO YM YM YM YM YM YM n/a
12/31/00 LO LO LO LO LO YM YM YM YM YM YM
4/30/00 LO LO LO LO YM YM YM YM YM YM n/a
7/31/97 LO LO YM YM YM YM YM YM YM YM n/a
5/31/99 LO LO LO YM YM YM YM YM YM YM n/a
12/31/99 LO LO LO LO YM YM YM YM YM YM n/a
n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a n/a
11/30/97 LO LO YM YM YM YM YM n/a n/a n/a n/a
5/31/00 LO LO LO LO YM YM YM YM YM YM n/a
4/30/00 LO LO LO LO YM YM YM YM YM YM n/a
12/31/00 LO LO LO LO LO YM YM YM YM YM n/a
4/1/00 LO LO LO LO YM YM YM YM YM YM n/a
12/31/99 LO LO LO LO YM YM YM YM YM YM n/a
1/31/00 LO LO LO LO YM YM YM YM YM YM n/a
1/31/00 LO LO LO LO YM YM YM YM YM YM n/a
12/31/97 LO LO YM YM YM YM YM YM YM YM n/a
7/31/97 LO LO YM YM YM YM YM YM YM YM n/a
4/1/98 LO LO YM/2 YM/2 YM YM YM YM YM YM n/a
1/31/00 LO LO LO LO YM YM YM YM YM YM n/a
9/1/95 LO LO YM YM YM YM YM YM YM YM YM
1/31/99 LO LO LO YM YM YM YM YM YM YM n/a
11/1/97 LO LO YM YM YM YM YM n/a n/a n/a n/a
1/17/98 LO LO YM YM YM YM YM n/a n/a n/a n/a
3/31/00 LO LO LO LO YM YM YM YM YM YM n/a
3/6/00 LO LO LO LO YM YM YM YM YM YM n/a
12/31/99 LO LO LO LO YM YM YM YM YM YM n/a
12/31/95 LO LO YM YM YM YM YM YM YM YM YM
1/30/00 LO LO LO LO YM YM YM YM YM YM n/a
5/31/00 LO LO LO LO YM YM YM YM YM YM n/a
11/1/97 LO LO YM YM YM YM YM YM YM YM n/a
4/30/00 LO LO LO LO YM YM YM YM YM YM n/a
2/28/01 LO LO LO LO LO 5% 4% 3% 2% 1% n/a
2/1/97 LO LO .5LO/.5YM YM YM YM YM YM YM YM YM
1/31/98 LO LO YM YM YM YM YM YM YM YM n/a
</TABLE>
A-19
<PAGE>
ANNEX A
<TABLE>
<CAPTION>
Counter Prepay Prepay Prepay Prepay Prepay Open Appraisal
Number Property Name Yr 12 Yr 13 Yr 14 Yr 15 Yr 16-25 Period Date
------ ------------- ----- ----- ----- ----- -------- ------ ----
<C> <S> <C> <C> <C> <C> <C> <C> <C>
36 Silver Terrace Apartments n/a n/a n/a n/a n/a 6 6/19/95
37 Flamingo Apartments n/a n/a n/a n/a n/a 6 7/27/95
38 Torrey Pines Apartments n/a n/a n/a n/a n/a 6 6/30/95
39 Cedarwood Apartments n/a n/a n/a n/a n/a 6 2/20/96
40 Colebrook Manor n/a n/a n/a n/a n/a 0 8/14/95
41 Valley View 0% 0% 0% 0% n/a 60 1/29/96
42 Quarry Apartments n/a n/a n/a n/a n/a 6 7/12/95
43 Park Drive Limited Partnership n/a n/a n/a n/a n/a 6 12/19/94
44 Haven Manor Apartments n/a n/a n/a n/a n/a 6 11/19/95
45 Willow Trail Apartments n/a n/a n/a n/a n/a 6 11/20/95
46 One And Only Apartments n/a n/a n/a n/a n/a 6 7/24/95
47 Pratton Arms Apartments n/a n/a n/a n/a n/a 6 12/7/95
48 Quilliams Noble Apartments 0% 0% 0% 0% n/a 60 9/8/95
49 Chugach South Apartments YM YM YM YM n/a 6 9/28/95
50 Lakeview Manor n/a n/a n/a n/a n/a 6 2/20/96
51 Chugach West Apartments YM YM YM YM n/a 6 9/28/95
52 Eldorado Gardens n/a n/a n/a n/a n/a 6 3/19/96
53 Pembroke Apartments n/a n/a n/a n/a n/a 6 4/7/95
54 Great Northeast Plaza n/a n/a n/a n/a n/a 6 3/5/96
55 Village Square at Kiln Creek n/a n/a n/a n/a n/a 6 9/15/95
56 Promenade Shopping Center n/a n/a n/a n/a n/a n/a 4/29/96
57 Escada n/a n/a n/a n/a n/a 0 8/24/95
58 Santa Fe Springs Market Place n/a n/a n/a n/a n/a 6 3/1/96
59 Plaza Del Rienzi n/a n/a n/a n/a n/a 6 12/15/95
60 Battlefield Plaza n/a n/a n/a n/a n/a 6 11/29/95
61 Harnett Crossing Shopping Center n/a n/a n/a n/a n/a 6 1/8/96
62 Grand Union Shopping Center n/a n/a n/a n/a n/a 6 11/21/95
63 Village II (Indian Wells) n/a n/a n/a n/a n/a 6 8/24/96
64 Eckerd Plaza n/a n/a n/a n/a n/a 6 9/13/95
65 MVP Sports n/a n/a n/a n/a n/a 6 5/31/95
66 IRG Waltham Limited n/a n/a n/a n/a n/a 6 1/11/95
67 Ritchey Business Centre n/a n/a n/a n/a n/a 6 8/31/95
68 Highland Plaza n/a n/a n/a n/a n/a 6 10/9/95
69 Regency Pointe YM n/a n/a n/a n/a 3 6/11/93
70 Cohaire Plaza n/a n/a n/a n/a n/a 6 9/8/95
71 Tokeneke Center n/a n/a n/a n/a n/a 6 8/11/95
72 Quincy Flagship/Mithell n/a n/a n/a n/a n/a 6 7/27/95
73 Ecor Rouge Shopping Center n/a n/a n/a n/a n/a 6 11/24/95
74 Great Falls Shopping Center n/a n/a n/a n/a n/a 6 9/25/95
75 Yancey Commons Shopping Center n/a n/a n/a n/a n/a 6 8/21/95
76 Foxmoor Center YM n/a n/a n/a n/a 3 8/10/93
77 Eleven Hurley n/a n/a n/a n/a n/a 6 12/1/95
78 University Plaza n/a n/a n/a n/a n/a 6 2/28/96
79 Dudley Plaza Realty n/a n/a n/a n/a n/a 6 5/4/95
80 Parkside Plaza n/a n/a n/a n/a n/a 6 12/15/95
81 Heritage Plaza Shopping Center n/a n/a n/a n/a n/a 0 9/18/95
82 Everything Organized n/a n/a n/a n/a n/a 9 5/4/94
83 CVS Clinton n/a n/a n/a n/a n/a 6 5/17/95
</TABLE>
A-20
<PAGE>
ANNEX A
<TABLE>
<CAPTION>
Final Year Built/ Total Property Loan Per
Value LTV Renovated Units Size (SF) SF/UNIT UNIT/SF Occupancy %
----- --- --------- ----- --------- ------- ------- -----------
<C> <C> <C> <C> <C> <C> <C> <C>
2,490,000 74.6% 1988 104 52,416 17,864.02 Unit 98%
2,375,000 73.1% 1987 54 50,606 32,138.87 Unit 98%
2,400,000 68.4% 1987 78 73,488 21,037.84 Unit 94%
2,050,000 74.3% 1973 80 76,000 19,044.83 Unit 95%
3,000,000 48.3% 1950 84 60,480 17,232.09 Unit 100%
4,000,000 36.0% 1974 100 81,242 14,417.83 Unit 98%
2,000,000 71.9% 1970/1994 48 33,479 29,956.41 Unit 92%
1,850,000 72.0% 1910/1984 48 23,850 27,753.00 Unit 96%
1,700,000 74.7% 1986 86 43,776 14,762.70 Unit 100%
1,725,000 71.4% 1986 68 39,744 18,111.97 Unit 96%
1,715,000 73.7% 1985 118 68,904 10,706.78 Unit 97%
1,400,000 72.8% 1972 36 20,820 28,313.92 Unit 100%
1,300,000 73.7% 1944 64 41,895 14,967.41 Unit 100%
1,500,000 62.9% 1985 40 38,000 23,590.41 Unit 100%
1,225,000 73.3% 1970 48 48,240 18,716.54 Unit 97%
1,500,000 55.3% 1984 40 38,000 20,736.95 Unit 88%
1,180,000 69.8% 1965 26 17,550 31,676.27 Unit 100%
1,050,000 70.6% 1974 36 35,040 20,589.38 Unit 97%
24,000,000 75.0% 1961/1990 -- 298,242 60.32 SF 97%
20,500,000 74.7% 1993 -- 264,206 57.96 SF 100%
17,600,000 70.6% 1965/1988 -- 205,485 60.46 SF 99%
18,900,000 55.4% 1930/1990 -- 14,102 742.85 SF 100%
12,000,000 62.3% 1989 -- 100,156 74.60 SF 97%
9,000,000 69.6% 1976/1987 -- 185,619 33.74 SF 98%
8,500,000 72.8% 1988 -- 157,225 39.35 SF 99%
8,300,000 74.6% 1985/1995 -- 194,570 31.81 SF 100%
8,000,000 71.6% 1973/1995 -- 74,100 77.28 SF 100%
8,100,000 58.4% 1987 -- 72,361 65.32 SF 92%
6,100,000 68.5% 1991 -- 53,719 77.75 SF 100%
4,700,000 77.1% 1987/1995 -- 40,697 89.08 SF 100%
4,400,000 69.7% 1968/1993 -- 55,300 55.43 SF 100%
4,500,000 68.3% 1967 -- 119,945 25.61 SF 96%
4,000,000 74.6% 1987 -- 45,719 65.28 SF 100%
6,000,000 41.9% 1981/1989 -- 67,410 37.31 SF 81%
3,575,000 68.9% 1976 -- 117,486 20.95 SF 100%
3,000,000 74.4% 1930/1986 4 15,500 143.95 SF 100%
2,700,000 66.5% 1950/1995 -- 22,000 81.60 SF 100%
2,550,000 70.4% 1988 -- 56,648 31.69 SF 100%
3,250,000 55.2% 1986/1995 -- 120,624 14.86 SF 98%
2,500,000 69.6% 1991 -- 62,240 27.93 SF 100%
2,650,000 52.2% 1984 -- 49,980 27.70 SF 91%
2,200,000 63.1% 1994 -- 23,850 58.23 SF 100%
2,820,000 51.0% 1986 -- 72,621 19.81 SF 96%
2,500,000 52.8% 1968/1995 -- 95,324 13.84 SF 96%
1,900,000 62.0% 1972/1978 -- 112,345 10.49 SF 97%
1,750,000 64.5% 1980 -- 50,690 22.28 SF 100%
1,810,000 59.0% 1994 -- 16,060 66.46 SF 0%
1,120,000 74.3% 1995 -- 8,800 94.52 SF 100%
</TABLE>
A-21
<PAGE>
ANNEX A
<TABLE>
<CAPTION>
Max Min
Counter Loan Interest Interest
Number Property Name Type Index Margin Rate Rate
------ ------------- ---- ----- ------ ---- ----
<C> <S> <C>
36 Silver Terrace Apartments Fixed
37 Flamingo Apartments Fixed
38 Torrey Pines Apartments Fixed
39 Cedarwood Apartments Fixed
40 Colebrook Manor Fixed
41 Valley View Fixed
42 Quarry Apartments Fixed
43 Park Drive Limited Partnership Fixed
44 Haven Manor Apartments Fixed
45 Willow Trail Apartments Fixed
46 One And Only Apartments Fixed
47 Pratton Arms Apartments Fixed
48 Quilliams Noble Apartments Fixed
49 Chugach South Apartments Fixed
50 Lakeview Manor Fixed
51 Chugach West Apartments Fixed
52 Eldorado Gardens Fixed
53 Pembroke Apartments Fixed
54 Great Northeast Plaza Fixed
55 Village Square at Kiln Creek Fixed
56 Promenade Shopping Center Fixed
57 Escada Fixed
58 Santa Fe Springs Market Place Fixed
59 Plaza Del Rienzi Fixed
60 Battlefield Plaza Fixed
61 Harnett Crossing Shopping Center Fixed
62 Grand Union Shopping Center Fixed
63 Village II (Indian Wells) Fixed
64 Eckerd Plaza Fixed
65 MVP Sports Fixed
66 IRG Waltham Limited Fixed
67 Ritchey Business Centre Fixed
68 Highland Plaza Fixed
69 Regency Pointe Fixed
70 Cohaire Plaza Fixed
71 Tokeneke Center Fixed
72 Quincy Flagship/Mithell Fixed
73 Ecor Rouge Shopping Center Fixed
74 Great Falls Shopping Center Fixed
75 Yancey Commons Shopping Center Fixed
76 Foxmoor Center Fixed
77 Eleven Hurley Fixed
78 University Plaza Fixed
79 Dudley Plaza Realty Fixed
80 Parkside Plaza Fixed
81 Heritage Plaza Shopping Center Fixed
82 Everything Organized Fixed
83 CVS Clinton Fixed
</TABLE>
A-22
<PAGE>
ANNEX A
<TABLE>
<CAPTION>
Largest Largest Largest
Tenant Tenant Tenant Second
Largest Tenant Leased SF % of Total SF Lease Expiration Largest Tenant
-------------- --------- ------------- ---------------- --------------
<S> <C> <C> <C> <C>
Sears 177,771 60% 1/31/10 Phar-Mor
Kmart 191,008 72% 11/30/18 Ben Franklin
Publix Store 42,112 20% 2/22/09 United Artist
Theater
Escada 14,102 100% 6/10/10
Trak Auto 18,014 18% 12/31/00 Thrifty
Winn-Dixie 57,056 31% 5/31/16 McDonalds
Fleming Foods 55,005 35% 12/12/03 Heilig-Meyers
Wal Mart Stores 65,930 34% 8/5/08 Wal Mart Stores
Expansion
Grand Union 47,900 65% 1/31/03 WITC Corporation
Prudential 7,000 10% 9/11/04 PaineWebber
Eckerd Drugs 9,500 18% 1/21/10 Performance Tire
MVP Sports 40,000 100% 11/9/15
Airflow Research 30,000 54% 10/14/03 Boston Computer
Mastersort 24,082 20% 9/27/04 CCROP
Office Max 25,000 56% 1/31/03 Big Dollar Store
Olive Garden 9,098 13% 12/13/00 Recordtown, Inc.
Rose's 51,819 44% 3/30/03 Belk
Blackstreets 2,000 13% 10/1/16 Partnership
Design
NY Carpet World 13,000 59% 12/15/05 Pet supplies
Bruno's 42,848 76% 6/30/07 Goodwill
Industries
Food Lion 27,800 24% 9/1/07 Goody's Family
Clothing
Rose's 50,040 80% 4/14/11 Dollar General
Kash/Karry 29,040 58% 8/31/03 Tiny Place (pool)
Biopure Corporation 23,850 100% 12/31/07
Excel(Fleming & Martin&Bailey) 23,668 33% 4/14/07 Goody's
Ames Department 52,000 55% 2/28/11 Park N' Shop
Super
Rose's 50,100 45% 4/11/98 Good Samaritan
Food Lion 21,000 41% 9/15/11 Food Lion
Expansion
Vacant 0% N/A
CVS Drug Store 8,800 100% 1/31/11
</TABLE>
A-23
<PAGE>
ANNEX A
<TABLE>
<CAPTION>
Second Largest Second Largest Second Largest
Counter Tenant Tenant Tenant
Number Property Name Leased SF % of Total SF Lease Expiration 1994 NOI
------ ------------- --------- ------------- ---------------- --------
<C> <S> <C> <C> <C> <C>
36 Silver Terrace Apartments 241,437
37 Flamingo Apartments 269,197
38 Torrey Pines Apartments 247,975
39 Cedarwood Apartments 200,460
40 Colebrook Manor 278,654
41 Valley View 173,670
42 Quarry Apartments 239,478
43 Park Drive Limited Partnership 256,643
44 Haven Manor Apartments 197,905
45 Willow Trail Apartments 158,146
46 One And Only Apartments 123,473
47 Pratton Arms Apartments 134,033
48 Quilliams Noble Apartments 215,999
49 Chugach South Apartments 195,985
50 Lakeview Manor 136,982
51 Chugach West Apartments 118,783
52 Eldorado Gardens 132,575
53 Pembroke Apartments 109,905
54 Great Northeast Plaza 69,254 23% 6/30/10 2,318,794
55 Village Square at Kiln Creek 19,700 7% 5/31/05 1,242,663
56 Promenade Shopping Center 23,060 11% 5/4/09 1,737,036
57 Escada 1,653,318
58 Santa Fe Springs Market Place 17,880 18% 5/31/14 867,727
59 Plaza Del Rienzi -- 0% 6/29/02 652,432
60 Battlefield Plaza 25,200 16% 1/31/08 517,507
61 Harnett Crossing Shopping Center 40,070 21% 8/5/08 755,056
62 Grand Union Shopping Center 5,400 7% 5/31/99 475,461
63 Village II (Indian Wells) 6,240 9% 4/3/98 708,786
64 Eckerd Plaza 6,000 11% 2/28/97 444,091
65 MVP Sports --
66 IRG Waltham Limited 9,800 18% 3/14/99 240,166
67 Ritchey Business Centre 23,222 19% 8/31/98 451,707
68 Highland Plaza 4,316 10% 2/28/97 350,537
69 Regency Pointe 7,840 12% 1/31/01 565,010
70 Cohaire Plaza 36,500 31% 12/31/97 384,025
71 Tokeneke Center 1,500 10% 1/1/01 254,262
72 Quincy Flagship/Mithell 9,000 41% 12/1/05 --
73 Ecor Rouge Shopping Center 9,000 16% 8/31/00 219,971
74 Great Falls Shopping Center 26,250 23% 12/31/98 187,684
75 Yancey Commons Shopping Center 6,950 11% 7/31/97 248,515
76 Foxmoor Center 3,720 7% 5/31/03 308,989
77 Eleven Hurley --
78 University Plaza 10,500 14% 8/30/98 --
79 Dudley Plaza Realty 30,924 32% 3/31/03 78,200
80 Parkside Plaza 23,800 21% 9/30/97 337,964
81 Heritage Plaza Shopping Center 8,356 16% 9/15/11 193,763
82 Everything Organized -- 0% N/A --
83 CVS Clinton --
</TABLE>
A-24
<PAGE>
ANNEX A
<TABLE>
<CAPTION>
1995 Revenues 1995 Expenses 1995 NOI Footnote 1995 DSCR 1995 Combined DSCR Annualized
------------- ------------- -------- -------- --------- ------------------ ----------
<C> <C> <C> <C> <C> <C>
470,619 208,590 262,030 1.55 Trailing 12
391,589 132,054 259,535 1.57 10 mos ann
395,593 184,119 211,474 1.45 Trailing 12
415,276 195,420 219,856 1.46 Trailing 12
585,477 279,988 305,489 2.06 Trailing 12
857,850 397,492 460,358 (3) 2.73 Estimated
343,076 102,156 240,920 1.76 6 mos ann
434,239 209,072 225,166 1.55 10 mos ann
358,439 156,166 202,274 1.71 Trailing 12
315,685 149,087 166,598 1.41 Trailing 12
513,815 269,034 244,781 1.89 9 mos ann
250,569 97,207 153,362 1.63 Trailing 12
440,233 219,088 221,145 1.97 Trailing 12
319,185 126,045 193,140 2.25 2.60 Trailing 12
288,196 151,695 136,501 1.50 Trailing 12
304,207 154,305 149,902 1.97 2.60 Trailing 12
216,910 83,742 133,168 1.57 Trailing 12
226,696 116,990 109,706 1.49 Trailing 12
3,741,385 1,528,121 2,213,264 1.27 Trailing 12
2,077,181 329,700 1,747,481 1.27 Trailing 12
2,611,251 853,993 1,757,258 1.37 Trailing 12
1,696,138 -- 1,696,138 1.56 Trailing 12
1,387,002 393,094 993,908 1.34 Trailing 12
1,106,550 253,277 853,273 (1) 1.37 Estimated
1,082,402 277,523 804,879 1.38 Trailing 12
909,187 141,108 768,079 1.32 Trailing 12
1,024,590 345,528 679,061 1.33 9 mos ann
1,281,965 450,077 831,888 1.83 9 mos ann
682,410 210,645 471,765 1.13 Trailing 12
581,000 96,924 484,076 (1) 1.36 Estimated
886,466 350,956 535,511 1.71 Trailing 12
683,902 190,312 493,589 1.61 Trailing 12
736,529 274,371 462,158 1.64 Trailing 12
811,275 259,374 551,901 1.35 Trailing 12
525,043 144,422 380,621 1.66 Trailing 12
401,427 127,930 273,497 1.21 7 mos ann
330,993 54,464 276,529 (1) 1.48 Estimated
294,005 56,738 237,267 1.34 Trailing 12
473,965 144,622 329,343 (1) 1.89 Estimated
294,842 32,237 262,605 1.50 Trailing 12
433,211 134,923 298,289 1.37 Trailing 12
220,613 4,019 216,594 1.47 8 mos ann
332,574 97,209 235,365 (4) 1.55 Estimated
362,501 135,147 227,354 (1) 1.79 Estimated
283,764 89,188 194,576 (2) 1.54 Estimated
207,657 57,115 150,542 1.37 Trailing 12
216,766 44,662 172,105 1.37 Trailing 12
146,496 38,068 108,428 (1) 1.24 Estimated
</TABLE>
A-25
<PAGE>
ANNEX A
<TABLE>
<CAPTION>
Counter
Number Property Name End Date U/WNOI Master Servicing Fee
------ ------------- -------- ------ --------------------
<C> <S> <C> <C> <C>
36 Silver Terrace Apartments 12/31/95 247,441 0.185%
37 Flamingo Apartments 12/31/95 235,486 0.185%
38 Torrey Pines Apartments 12/31/95 208,437 0.185%
39 Cedarwood Apartments 12/31/95 226,136 0.185%
40 Colebrook Manor 12/31/95 311,190 0.185%
41 Valley View Estimated 460,358 0.185%
42 Quarry Apartments 6/30/95 228,565 0.185%
43 Park Drive Limited Partnership 12/31/95 228,999 0.185%
44 Haven Manor Apartments 12/31/95 173,989 0.185%
45 Willow Trail Apartments 12/31/95 163,128 0.185%
46 One And Only Apartments 12/31/95 185,319 0.185%
47 Pratton Arms Apartments 12/31/95 136,832 0.185%
48 Quilliams Noble Apartments 12/31/95 152,349 0.185%
49 Chugach South Apartments 12/31/95 162,580 0.185%
50 Lakeview Manor 12/31/95 132,497 0.310%
51 Chugach West Apartments 12/31/95 135,000 0.185%
52 Eldorado Gardens 12/31/95 116,865 0.310%
53 Pembroke Apartments 12/31/95 109,906 0.185%
54 Great Northeast Plaza 12/31/95 2,289,465 0.185%
55 Village Square at Kiln Creek 12/31/95 1,944,924 0.185%
56 Promenade Shopping Center 12/31/95 1,622,123 0.160%
57 Escada 12/31/95 1,670,696 0.185%
58 Santa Fe Springs Market Place 12/31/95 1,019,116 0.185%
59 Plaza Del Rienzi Estimated 853,273 0.185%
60 Battlefield Plaza 12/31/95 918,612 0.185%
61 Harnett Crossing Shopping Center 12/31/95 797,194 0.185%
62 Grand Union Shopping Center 12/31/95 734,230 0.185%
63 Village II (Indian Wells) 12/31/95 860,000 0.185%
64 Eckerd Plaza 12/31/95 571,451 0.185%
65 MVP Sports Estimated 484,076 0.185%
66 IRG Waltham Limited 12/31/95 451,902 0.185%
67 Ritchey Business Centre 12/31/95 447,656 0.185%
68 Highland Plaza 12/31/95 396,443 0.185%
69 Regency Pointe 12/31/95 526,689 0.465%
70 Cohaire Plaza 12/31/95 366,006 0.185%
71 Tokeneke Center 7/31/95 298,795 0.185%
72 Quincy Flagship/Mithell Estimated 276,529 0.185%
73 Ecor Rouge Shopping Center 12/31/95 245,800 0.185%
74 Great Falls Shopping Center Estimated 329,343 0.185%
75 Yancey Commons Shopping Center 12/31/95 254,551 0.185%
76 Foxmore Center 12/31/95 291,004 0.560%
77 Eleven Hurley 12/31/95 201,791 0.185%
78 University Plaza Estimated 235,365 0.210%
79 Dudley Plaza Realty Estimated 227,354 0.185%
80 Parkside Plaza Estimated 194,576 0.185%
81 Heritage Plaza Shopping Center 12/31/95 161,407 0.185%
82 Everything Organized 12/31/95 219,912 2.005%
83 CVS Clinton Estimated 108,428 0.185%
</TABLE>
A-26
<PAGE>
Mortgage Loan Schedule
Loan Counters 84-127
A-27
<PAGE>
ANNEX A
<TABLE>
<CAPTION>
Counter Control Loan
Number Number Number Property Name Property Address City
------ ------ ------ ------------- ---------------- ----
<C> <C> <C> <C> <C> <C>
84 89 643722-0 Bonnie Brea Shopping Center 5030-5080 Benita Road/ San Diego
5037 Central Avenue
85 CO9 P00676 Mott - 76 S. Bergen Place 76 S. Bergen Place Freeport
86 CO10 P00722 Mott - 655 Nassau Road 655 Nassau Road Hempstead
87 CO11 P00686 Mott - 45 Broadway 45 Broadway Freeport
88 CO12 P00670 Mott - 35 N. Long Beach Avenue 35 N. Long Beach Avenue Freeport
89 CO13 P00692 Mott - 56 N. Long Beach Avenue 56 N. Long Beach Avenue Freeport
90 CO14 P00720 Mott - 27 Attorney Street 27 Attorney Street Hempstead
91 CO15 P00682 Mott - 95 Jerusalem Avenue 95 Jerusalem Avenue Hempstead
92 CO16 P00708 Mott - 271 Washington Street 271 Washington Street Hempstead
93 CO17 P00678 Mott - 155 Pine Street 155 Pine Street Freeport
94 CO18 P00690 Mott - 40 Graffing Place 40 Graffing Place Freeport
95 CO19 P00704 Mott - 260 Belmont Parkway 260 Belmont Parkway Hempstead
96 CO20 P00710 Mott - 360 Washington Street 360 Washington Street Hempstead
97 CO21 P00706 Mott - 55 Nassau Place 55 Nassau Place Hempstead
98 CO22 P00714 Mott - 25 Peninsula Boulevard 25-27 Peninsula Boulevard Hempstead
99 CO23 P00684 Mott - 1100 Ward Place 1100 Ward Place Woodmere
100 CO24 P00610 Ridgecrest Retirement Center 1900 Highway 6 West Waco
101 CO25 941-0103 Morningstar Mini - Charlotte 3912 Wilkinson Boulevard Charlotte
102 CO26 941-0095 Morningstar Mini - Hickory 1970 Tate Boulevard S.E. Hickory
103 CO27 941-0104 Morningstar Mini - Winston Salem 5713 Robin Wood Lane Winston-Salem
104 CO28 941-0094 Morningstar Mini - Florence 753 N. Cashua Drive Florence
105 CO29 941-0096 Morningstar Mini - Lexington 951 N. Main Street Lexington
106 CO30 941-0097 Morningstar Mini - Sumter 1277 Camden Highway Sumter
107 CO31 941-0086 Thousand Oaks Self-storage 3485 Old Conejo Road Thousand Oaks
108 CO32 P00638 King Shopping Center 7001-7101 Martin Luther Palmer Park
King, Jr. Hwy.
109 CO33 941-0062 Starr Avenue 30-28 Starr Avenue Long Island City
110A CO34a P00630 Kmart/Elizabeth City 683 South Hughes Blvd. Elizabeth City
110B CO34b P00628 Kmart/Rocky Mount 720 Sutters Creek Boulevard Rocky Mount
111 CO35 P00664 Regency Park-El Molino 245 South El Molino Avenue Pasadena
112 CO36 P00640 Millburn Common 225 Millburn Avenue Millburn
113A CO37a 941-0075 Sentry SS - Williamsburg 5393 Moorestown Road Williamsburg
113B CO37b 941-0075 Sentry SS - Chesapeake 4815 Station House Road Chesapeake
113C CO37c 941-0075 Sentry SS - Newport 5868 Jefferson Avenue Newport News
113D CO37d 941-0075 Sentry SS - Whitestone Eastside Route 3 White Stone
114 CO38 P00578 The Drake Tower Apartments 1512-1514 Spruce Street Philadelphia
115 CO39 941-0061 Snyder Avenue 40 Snyder Avenue Brooklyn
116 CO40 941-0063 Diamond Mini Storage 7741 Brayton Drive Anchorage
117 CO41 941-0064 International Self-storage 130 & 150 West International Anchorage
Airport Road
118 CO42 P00540 Eastgate Shopping Center 2830 North venue Grand Junction
119 CO43 941-0090 AZ Storage Inns - Country Club 1750 N. Country Club Drive Mesa
120 CO44 941-0091 AZ Storage Inns - Greenfield 139 North Greenfield Road Mesa
121 CO45 941-0089 AZ Storage Inns - Broadway 837 East Broadway Road Mesa
122 CO46 98-1000159 Sterling Meadows Apartments 33433 Schoenherr Road Sterling Heights
123 CO47 941-0074 Coldwater Self-storage 7215 Coldwater Canyon Avenue North Hollywood
124 CO48 P00658 Picador Plaza 1270 - 1290 Picador Boulevard San Diego
125 CO49 941-0116 Security Public Storage 471 C Street Chula Vista
126 CO50 P00626 Cedar Grove Apartments 800 E. South Street Alvin
127 CO51 P00612 Canyon Pointe Apartments 3621 N. Black Canyon Hwy. Phoenix
</TABLE>
- ----------
Footnotes:
(1) Reflects tenant lease-up as of year-end 1995. These properties were newly
constructed, renovated or expanded in 1995.
(2) Management fees have been adjusted to market.
(3) Underlying mortgage on cooperative was underwritten as a multi-family
rental property with market rents less a vacancy factor.
(4) Complete financials were unavailable for 1995. Underwritten numbers were
utilized.
(5) 1994 NOI reflects 1993 amounts.
(6) Largest tenant lease expired 12/1/95; currently on month-to-month basis.
(7) Related Mortgage Loans are grouped by alphabetical designations.
A-28
<PAGE>
ANNEX A
<TABLE>
<CAPTION>
Cut-off
Property Original Date Current Note First Monthly
State Zip Type Balance Balance Rate Date Pymt Date Payment
----- --- ---- ------- ------- ---- ---- --------- -------
<S> <C> <C> <C> <C> <C> <C> <C>
CA 91902 Retail 4,015,000 4,011,605 9.320% 5/16/96 7/1/96 34,577.87
NY 11520 Multifamily 3,232,500 3,219,268 8.000% 12/21/95 2/1/96 23,718.94
NY 11550 Multifamily 2,238,750 2,229,586 8.000% 12/21/95 2/1/96 16,427.15
NY 11520 Multifamily 2,045,560 2,037,186 8.000% 12/21/95 2/1/96 15,009.59
NY 11520 Multifamily 1,279,000 1,273,764 8.000% 12/21/95 2/1/96 9,384.85
NY 11520 Multifamily 1,106,250 1,101,721 8.000% 12/21/95 2/1/96 8,117.27
NY 11550 Multifamily 648,750 646,094 8.000% 12/21/95 2/1/96 4,760.30
NY 11550 Multifamily 570,000 567,667 8.000% 12/21/95 2/1/96 4,182.46
NY 11550 Multifamily 529,500 527,332 8.000% 12/21/95 2/1/96 3,885.28
NY 11520 Multifamily 502,500 500,443 8.000% 12/21/95 2/1/96 3,687.17
NY 11520 Multifamily 450,000 448,158 8.000% 12/21/95 2/1/96 3,301.94
NY 11550 Multifamily 392,250 390,644 8.000% 12/21/95 2/1/96 2,878.19
NY 11530 Multifamily 390,000 388,404 8.000% 12/21/95 2/1/96 2,861.68
NY 11550 Multifamily 378,000 376,453 8.000% 12/21/95 2/1/96 2,773.63
NY 11550 Multifamily 351,750 350,310 8.000% 12/21/95 2/1/96 2,581.02
NY 11598 Multifamily 316,800 315,503 8.000% 12/21/95 2/1/96 2,324.57
TX 76712 Nursing 9,300,000 9,227,221 10.000% 8/3/95 10/1/95 84,509.17
NC 28208 Self-storage 2,150,000 2,134,249 9.000% 10/31/95 12/1/95 18,042.72
NC 28601 Self-storage 1,875,000 1,861,376 9.050% 10/31/95 12/1/95 15,799.18
NC 27105 Self-storage 1,800,000 1,786,813 9.000% 10/31/95 12/1/95 15,105.53
SC 29502 Self-storage 1,481,000 1,470,239 9.050% 10/31/95 12/1/95 12,479.25
NC 27292 Self-storage 990,000 982,807 9.050% 10/31/95 12/1/95 8,341.97
SC 29150 Self-storage 911,250 904,629 9.050% 10/31/95 12/1/95 7,678.40
CA 91320 Self-storage 7,400,000 7,341,236 9.250% 9/27/95 11/1/95 63,372.26
MD 20875 Retail 7,200,000 7,163,256 8.250% 1/12/96 3/1/96 56,748.41
NY 11101 Self-storage 7,150,000 7,113,352 9.375% 12/21/95 2/1/96 61,849.17
NC 27909 Retail 3,575,000 3,551,698 8.875% 11/14/95 1/1/96 29,695.85
NC 27804 Retail 3,425,000 3,402,676 8.875% 11/14/95 1/1/96 28,449.87
CA 91101 Nursing 6,000,000 5,947,602 9.375% 12/21/95 2/1/96 55,439.02
NJ 07041 Office/Retail 5,500,000 5,474,056 8.750% 1/15/96 3/1/96 45,217.90
VA 23188 Self-storage 1,896,000 1,881,846 9.625% 9/27/95 11/1/95 16,730.33
VA 23321 Self-storage 1,206,000 1,196,997 9.625% 9/27/95 11/1/95 10,641.76
VA 23605 Self-storage 1,146,000 1,137,445 9.625% 9/27/95 11/1/95 10,112.32
VA 22578 Self-storage 222,000 220,343 9.625% 9/27/95 11/1/95 1,958.93
PA 19102 Multifamily 4,250,000 4,199,631 8.625% 6/23/95 8/1/95 34,580.90
NY 11226 Self-storage 4,100,000 4,059,534 9.750% 6/15/95 8/1/95 36,536.63
AK 99507 Self-storage 2,200,000 2,178,701 10.375% 5/23/95 7/1/95 20,575.90
AK 99518 Self-storage 1,550,000 1,534,994 10.375% 5/23/95 7/1/95 14,496.66
CO 81501 Retail 3,400,000 3,366,058 9.125% 7/28/95 9/1/95 28,824.27
AZ 85201 Self-storage 1,400,000 1,389,627 9.670% 9/27/95 11/1/95 12,397.60
AZ 85205 Self-storage 1,050,000 1,042,220 9.670% 9/27/95 11/1/95 9,298.20
AZ 85204 Self-storage 900,000 893,331 9.670% 9/27/95 11/1/95 7,969.89
MI 48312 Multifamily 3,059,000 3,034,000 10.220% 12/28/94 2/1/95 27,343.54
CA 91605 Self-storage 2,910,000 2,886,749 9.875% 8/23/95 10/1/95 26,187.20
CA 92154 Retail 2,900,000 2,882,839 8.500% 12/13/95 2/1/96 23,351.59
CA 91910 Self-storage 2,600,000 2,585,822 9.000% 12/18/95 2/1/96 21,819.11
TX 77511 Multifamily 2,560,000 2,549,781 8.125% 12/8/95 2/1/96 19,007.93
AZ 85015 Multifamily 2,450,000 2,441,842 8.125% 1/3/96 3/1/96 18,191.18
</TABLE>
A-29
<PAGE>
ANNEX A
<TABLE>
<CAPTION>
Related
Counter Original Original Remaining Maturity Mortgage
Number Property Name Term Amort Seasoning Term Date Loans(7)
------ ------------- ---- ----- --------- ---- ---- -----===
<C> <C> <C> <C> <C> <C> <C> <C>
84 Bonnie Brea Shopping Center 120 300 1 119 6/1/06 No
85 Mott - 76 S. Bergen Place 120 360 6 114 1/1/06 Yes(c)
86 Mott - 655 Nassau Road 120 360 6 114 1/1/06 Yes(c)
87 Mott - 45 Broadway 120 360 6 114 1/1/06 Yes(c)
88 Mott - 35 N. Long Beach Avenue 120 360 6 114 1/1/06 Yes(c)
89 Mott - 56 N. Long Beach Avenue 120 360 6 114 1/1/06 Yes(c)
90 Mott - 27 Attorney Street 120 360 6 114 1/1/06 Yes(c)
91 Mott - 95 Jerusalem Avenue 120 360 6 114 1/1/06 Yes(c)
92 Mott - 271 Washington Street 120 360 6 114 1/1/06 Yes(c)
93 Mott - 155 Pine Street 120 360 6 114 1/1/06 Yes(c)
94 Mott - 40 Graffing Place 120 360 6 114 1/1/06 Yes(c)
95 Mott - 260 Belmont Parkway 120 360 6 114 1/1/06 Yes(c)
96 Mott - 360 Washington Street 120 360 6 114 1/1/06 Yes(c)
97 Mott - 55 Nassau Place 120 360 6 114 1/1/06 Yes(c)
98 Mott - 25 Peninsula Boulevard 120 360 6 114 1/1/06 Yes(c)
99 Mott - 1100 Ward Place 120 360 6 114 1/1/06 Yes(c)
100 Ridgecrest Retirement Center 120 300 10 110 9/1/05 No
101 Morningstar Mini - Charlotte 121 300 8 113 12/1/05 Yes(h)
102 Morningstar Mini - Hickory 121 300 8 113 12/1/05 Yes(h)
102 Morningstar Mini - Winston Salem 121 300 8 113 12/1/05 Yes(h)
104 Morningstar Mini - Florence 121 300 8 113 12/1/05 Yes(h)
105 Morningstar Mini - Lexington 121 300 8 113 12/1/05 Yes(h)
106 Morningstar Mini - Sumter 121 300 8 113 12/1/05 Yes(h)
107 Thousand Oaks Self Storage 121 300 9 112 11/1/05 No
108 King Shopping Center 120 300 5 115 2/1/06 No
109 Starr Avenue 121 300 6 115 2/1/06 No
110A Kmart/Elizabeth City 180 300 7 173 12/1/10 Yes(a)
110B Kmart/Rocky Mount 180 300 7 173 12/1/10 Yes(a)
111 Regency Park-El Molino 120 240 6 114 1/1/06 No
112 Millburn Common 120 300 5 115 2/1/06 No
113A Sentry SS - Williamsburg 85 300 9 76 11/1/02 Yes(f)
113B Sentry SS - Chesapeake 85 300 9 76 11/1/02 Yes(f)
113C Sentry SS - Newport 85 300 9 76 11/1/02 Yes(f)
113D Sentry SS - Whitestone 85 300 9 76 11/1/02 Yes(f)
114 The Drake Tower Apartments 84 300 12 72 7/1/02 No
115 Snyder Avenue 120 300 12 108 6/15/05 No
116 Diamond Mini Storage 120 300 13 107 5/16/05 Yes(d)
117 International Self Storage 120 300 13 107 5/16/05 Yes(d)
118 Eastgate Shopping Center 84 300 11 73 8/1/02 No
119 AZ Storage Inns - Country Club 121 300 9 112 11/1/05 Yes(g)
120 AZ Storage Inns - Greenfield 121 300 9 112 11/1/05 Yes(g)
121 AZ Storage Inns - Broadway 121 300 9 112 11/1/05 Yes(g)
122 Sterling Meadows Apartments 84 360 18 66 1/1/02 No
123 Coldwater Self Storage 121 300 10 111 10/1/05 No
124 Picador Plaza 84 300 6 78 1/1/03 No
125 Security Public Storage 121 300 6 115 2/1/06 No
126 Cedar Grove Apartments 84 360 6 78 1/1/03 No
127 Canyon Pointe Apartments 120 360 5 115 2/1/06 No
</TABLE>
A-30
<PAGE>
ANNEX A
<TABLE>
<CAPTION>
Lockout Prepay Prepay Prepay Prepay Prepay Prepay Prepay Prepay Prepay Prepay Prepay
Expiration Year 1 Year 2 Year 3 Year 4 Year 5 Year 6 Year 7 Year 8 Year 9 Year 10 Year 11
---------- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------- -------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
5/31/00 LO LO LO LO YM YM YM YM YM YM n/a
YM YM YM YM YM YM YM YM YM YM n/a
YM YM YM YM YM YM YM YM YM YM n/a
YM YM YM YM YM YM YM YM YM YM n/a
YM YM YM YM YM YM YM YM YM YM n/a
YM YM YM YM YM YM YM YM YM YM n/a
YM YM YM YM YM YM YM YM YM Y n/a
YM YM YM YM YM YM YM YM YM YM n/a
YM YM YM YM YM YM YM YM YM YM n/a
YM YM YM YM YM YM YM YM YM YM n/a
YM YM YM YM YM YM YM YM YM YM n/a
YM YM YM YM YM YM YM YM YM YM n/a
YM YM YM YM YM YM YM YM YM YM n/a
YM YM YM YM YM YM YM YM YM YM n/a
YM YM YM YM YM YM YM YM YM YM n/a
YM YM YM YM YM YM YM YM YM YM n/a
YM YM YM YM YM YM YM YM YM YM n/a
YM YM YM YM YM YM YM YM YM YM n/a
YM YM YM YM YM YM YM YM YM YM n/a
YM YM YM YM YM YM YM YM YM YM n/a
YM YM YM YM YM YM YM YM YM YM n/a
YM YM YM YM YM YM YM YM YM YM n/a
YM YM YM YM YM YM YM YM YM YM n/a
YM YM YM YM YM YM YM YM YM YM n/a
YM YM YM YM YM YM YM YM YM YM n/a
YM YM YM YM YM YM YM YM YM YM n/a
YM YM YM YM YM YM YM YM YM YM YM
YM YM YM YM YM YM YM YM YM Y YM
YM YM YM YM YM YM YM YM YM YM n/a
YM YM YM YM YM YM YM YM YM YM n/a
YM YM YM YM YM YM YM n/a n/a n/a n/a
YM YM YM YM YM YM YM n/a n/a n/a n/a
YM YM YM YM YM YM YM n/a n/a n/a n/a
YM YM YM YM YM YM YM n/a n/a n/a n/a
YM YM YM YM YM YM YM n/a n/a n/a n/a
YM YM YM YM YM 5% 3% 1% 0% 0% n/a
YM YM YM YM YM YM YM 2% 1% 0% n/a
YM YM YM YM YM YM YM 2% 1% 0% n/a
YM YM YM YM YM YM YM n/a n/a n/a n/a
YM YM YM 3% 2% 1% 1% 1% 0% 0% n/a
YM YM YM 3% 2% 1% 1% 1% 0% 0% n/a
YM YM YM 3% 2% 1% 1% 1% 0% 0% n/a
YM/3 YM/3 YM/3 YM/3 YM/3 2% 1% n/a n/a n/a n/a
YM YM YM YM YM YM YM YM YM YM n/a
YM YM YM YM YM YM YM YM YM YM n/a
YM YM YM YM YM YM YM YM YM YM n/a
12/31/00 LO LO LO LO LO YM YM n/a n/a n/a n/a
YM YM YM YM YM YM YM YM YM YM n/a
</TABLE>
A-31
<PAGE>
ANNEX A
<TABLE>
<CAPTION>
Counter Prepay Prepay Prepay Prepay Prepay Open Appraisal
Number Property Name Yr 12 Yr 13 Yr 14 Yr 15 Yr 16-25 Period Date
------ ------------- ----- ----- ----- ----- -------- ------ ----
<C> <C> <C> <C> <C> <C> <C> <C> <C>
84 Bonnie Brea Shopping Center n/a n/a n/a n/a n/a 6 11/7/95
85 Mott - 76 S. Bergen Place n/a n/a n/a n/a n/a 6 11/1/95
86 Mott - 655 Nassau Road n/a n/a n/a n/a n/a 6 11/1/95
87 Mott - 45 Broadway n/a n/a n/a n/a n/a 6 11/1/95
88 Mott - 35 N. Long Beach Avenue n/a n/a n/a n/a n/a 6 11/1/95
89 Mott - 56 N. Long Beach Avenue n/a n/a n/a n/a n/a 6 11/1/95
90 Mott - 27 Attorney Street n/a n/a n/a n/a n/a 6 11/1/95
91 Mott - 95 Jerusalem Avenue n/a n/a n/a n/a n/a 6 11/1/95
92 Mott - 271 Washington Street n/a n/a n/a n/a n/a 6 11/1/95
93 Mott - 155 Pine Street n/a n/a n/a n/a n/a 6 11/1/95
94 Mott - 40 Graffing Place n/a n/a n/a n/a n/a 6 11/1/95
95 Mott - 260 Belmont Parkway n/a n/a n/a n/a n/a 6 11/1/95
96 Mott - 360 Washington Street n/a n/a n/a n/a n/a 6 11/1/95
97 Mott - 55 Nassau Place n/a n/a n/a n/a n/a 6 11/1/95
98 Mott - 25 Peninsula Boulevard n/a n/a n/a n/a n/a 6 11/1/95
99 Mott - 1100 Ward Place n/a n/a n/a n/a n/a 6 11/1/95
100 Ridgecrest Retirement Center n/a n/a n/a n/a n/a 6 5/11/95
101 Morningstar Mini - Charlotte n/a n/a n/a n/a n/a 12 9/12/95
102 Morningstar Mini - Hickory n/a n/a n/a n/a n/a 12 8/20/95
103 Morningstar Mini - Winston Salem n/a n/a n/a n/a n/a 6 9/8/95
104 Morningstar Mini - Florence n/a n/a n/a n/a n/a 12 8/19/95
105 Morningstar Mini - Lexington n/a n/a n/a n/a n/a 12 8/19/95
106 Morningstar Mini - Sumter n/a n/a n/a n/a n/a 12 8/18/95
107 Thousand Oaks Self-storage n/a n/a n/a n/a n/a 12 7/3/95
108 King Shopping Center n/a n/a n/a n/a n/a 6 10/19/95
109 Starr Avenue n/a n/a n/a n/a n/a 12 12/1/94
110A Kmart/Elizabeth City YM YM YM YM n/a 6 7/21/95
110B Kmart/Rocky Mount YM YM YM YM n/a 6 7/19/95
111 Regency Park-El Molino n/a n/a n/a n/a n/a 6 9/18/95
112 Millburn Common n/a n/a n/a n/a n/a 6 11/1/95
113A Sentry SS - Williamsburg n/a n/a n/a n/a n/a 12 5/30/95
113B Sentry SS - Chesapeake n/a n/a n/a n/a n/a 12 5/30/95
113C Sentry SS - Newport n/a n/a n/a n/a n/a 12 5/30/95
113D Sentry SS - Whitestone n/a n/a n/a n/a n/a 12 5/30/95
114 The Drake Tower Apartments n/a n/a n/a n/a n/a 6 5/8/95
115 Snyder Avenue n/a n/a n/a n/a n/a 24 12/1/94
116 Diamond Mini Storage n/a n/a n/a n/a n/a 12 1/18/95
117 International Self-storage n/a n/a n/a n/a n/a 12 1/21/95
118 Eastgate Shopping Center n/a n/a n/a n/a n/a 6 3/28/95
119 AZ Storage Inns - Country Club n/a n/a n/a n/a n/a 24 7/18/95
120 AZ Storage Inns - Greenfield n/a n/a n/a n/a n/a 24 7/18/95
121 AZ Storage Inns - Broadway n/a n/a n/a n/a n/a 24 7/3/95
122 Sterling Meadows Apartments n/a n/a n/a n/a n/a 6 10/31/94
123 Coldwater Self-storage n/a n/a n/a n/a n/a 12 7/5/95
124 Picador Plaza n/a n/a n/a n/a n/a 6 9/18/95
125 Security Public Storage n/a n/a n/a n/a n/a 6 10/19/95
126 Cedar Grove Apartments n/a n/a n/a n/a n/a 6 8/25/95
127 Canyon Pointe Apartments n/a n/a n/a n/a n/a 6 8/31/95
</TABLE>
A-32
<PAGE>
ANNEX A
<TABLE>
<CAPTION>
Final Year Built/ Total Property Loan Per
Value LTV Renovated Units Size (SF) SF/UNIT UNIT/SF Occupancy %
----- --- --------- ----- --------- ------- ------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
5,500,000 72.9% 1977/1987 -- 50,421 79.56 SF 95%
4,310,000 74.7% 1962 82 75,000 39,259.36 Unit 100%
2,985,000 74.7% 1969 67 47,340 33,277.40 Unit 99%
2,735,000 74.5% 1962 63 74,828 32,336.29 Unit 97%
1,775,000 71.8% 1963 43 37,780 29,622.43 Unit 100%
1,475,000 74.7% 1962 35 32,400 31,477.76 Unit 97%
865,000 74.7% 1972 20 15,224 32,304.71 Unit 100%
760,000 74.7% 1964 22 18,600 25,803.03 Unit 100%
706,000 74.7% 1928 17 10,428 31,019.56 Unit 94%
670,000 74.7% 1967 15 9,600 33,362.86 Unit 93%
600,000 74.7% 1974 20 13,700 22,407.90 Unit 100%
523,000 74.7% 1962 12 9,108 32,553.69 Unit 100%
520,000 74.7% 1964 12 9,822 32,366.96 Unit 100%
550,000 68.5% 1976 14 6,656 26,889.47 Unit 100%
469,000 74.7% 1963 14 11,756 25,022.15 Unit 100%
431,000 73.2% 1926 12 8,217 26,291.93 Unit 100%
14,800,000 62.4% 1986 146 142,475 63,200.14 Bed 95%
2,820,000 75.7% 1986-1995 663 90,540 3,219.08 Unit 89%
2,650,000 70.2% 1986-1994 660 85,325 2,820.27 Unit 98%
2,750,000 65.0% 1986-1994 609 74,632 2,934.01 Unit 80%
2,150,000 68.4% 1986-1990 586 70,800 2,508.94 Unit 95%
1,650,000 59.6% 1987-1994 474 56,008 2,073.43 Unit 96%
1,350,000 67.0% 1986-1993 478 58,962 1,892.53 Unit 98%
10,500,000 69.9% 1982-1993 1,236 145,630 5,939.51 Unit 87%
9,800,000 73.1% 1991 -- 91,140 78.60 SF 95%
9,910,000 71.8% 1920/1988 2,242 166,460 3,172.77 Unit 87%
4,650,000 76.4% 1993 -- 94,841 37.45 SF 100%
4,450,000 76.5% 1992 -- 91,266 37.28 SF 100%
8,100,000 73.4% 1977 101 49,870 58,887.15 Bed 95%
9,510,000 57.6% 1950 / 1980 -- 90,395 60.56 SF 95%
2,500,000 75.3% 1982-1984 426 49,859 4,417.48 Unit 78%
1,600,000 74.8% 1983 420 51,111 2,849.99 Unit 82%
1,500,000 75.8% 1984 371 42,071 3,065.89 Unit 91%
330,000 66.8% 1976/1982 100 11,160 2,203.43 Unit 92%
6,500,000 64.6% 1929/1987 254 283,530 16,533.98 Unit 95%
6,300,000 64.4% 1920/1986-88 2,013 109,753 2,016.66 Unit 91%
3,050,000 71.4% 1983-1993 660 59,907 3,301.06 Unit 93%
2,400,000 64.0% 1974-1983 440 47,964 3,488.62 Unit 89%
4,700,000 71.6% 1972 -- 144,067 23.36 SF 100%
1,980,000 70.2% 1983 403 46,300 3,448.21 Unit 95%
1,620,000 64.3% 1986 413 48,553 2,523.54 Unit 93%
1,450,000 61.6% 1986 380 38,425 2,350.87 Unit 96%
4,500,000 67.4% 1988 83 60,950 36,554.21 Unit 98%
5,000,000 57.7% 1984-1986 862 62,542 3,348.90 Unit 95%
4,100,000 70.3% 1975/1994 -- 44,188 65.24 SF 100%
4,000,000 64.7% 1984 1,159 75,017 2,231.08 Unit 70%
3,650,000 69.9% 1981 168 112,960 15,177.27 Unit 90%
3,400,000 71.8% 1981 144 99,732 16,957.24 Unit 91%
</TABLE>
A-33
<PAGE>
ANNEX A
<TABLE>
<CAPTION>
Max Min
Counter Loan Interest Interest
Number Property Name Type Index Margin Rate Rate
------ ------------- ---- ----- ------ ---- ----
<C> <C> <C>
84 Bonnie Brea Shopping Center Fixed
85 Mott - 76 S. Bergen Place Fixed
86 Mott - 655 Nassau Road Fixed
87 Mott - 45 Broadway Fixed
88 Mott - 35 N. Long Beach Avenue Fixed
89 Mott - 56 N. Long Beach Avenue Fixed
90 Mott - 27 Attorney Street Fixed
91 Mott - 95 Jerusalem Avenue Fixed
92 Mott - 271 Washington Street Fixed
93 Mott - 155 Pine Street Fixed
94 Mott - 40 Graffing Place Fixed
95 Mott - 260 Belmont Parkway Fixed
96 Mott - 360 Washington Street Fixed
97 Mott - 55 Nassau Place Fixed
98 Mott - 25 Peninsula Boulevard Fixed
99 Mott - 1100 Ward Place Fixed
100 Ridgecrest Retirement Center Fixed
101 Morningstar Mini - Charlotte Fixed
102 Morningstar Mini - Hickory Fixed
103 Morningstar Mini - Winston Salem Fixed
104 Morningstar Mini - Florence Fixed
105 Morningstar Mini - Lexington Fixed
106 Morningstar Mini - Sumter Fixed
107 Thousand Oaks Self-storage Fixed
108 King Shopping Center Fixed
109 Starr Avenue Fixed
110A Kmart/Elizabeth City Fixed
110B Kmart/Rocky Mount Fixed
111 Regency Park - El Molino Fixed
112 Millburn Common Fixed
113A Sentry SS - Williamsburg Fixed
113B Sentry SS - Chesapeake Fixed
113C Sentry SS - Newport Fixed
113D Sentry SS - Whitestone Fixed
114 The Drake Tower Apartments Fixed
115 Snyder Avenue Fixed
116 Diamond Mini Storage Fixed
117 International Self-storage Fixed
118 Eastgate Shopping Center Fixed
119 AZ Storage Inns - Country Club Fixed
120 AZ Storage Inns - Greenfield Fixed
121 AZ Storage Inns - Broadway Fixed
122 Sterling Meadows Apartments Fixed
123 Coldwater Self-storage Fixed
124 Picador Plaza Fixed
125 Security Public Storage Fixed
126 Cedar Grove Apartments Fixed
127 Canyon Pointe Apartments Fixed
</TABLE>
A-34
<PAGE>
ANNEX A
<TABLE>
<CAPTION>
Largest Largest Largest
Tenant Tenant Tenant Second
Largest Tenant Leased SF % of Total SF Lease Expiration Largest Tenant
-------------- --------- ------------- ---------------- --------------
<S> <C> <C> <C> <C>
Century 21 5,924 12% 7/1/00 South Fork Steak Ranch
Shoppers Food Warehouse 36,500 40% 6/1/11 Peoples Drug Store
Kmart/Elizabeth City 94,841 100% 6/1/17 n/ap
Kmart/Rocky Mount 91,266 100% 7/1/17 n/ap
Schechner Lifson Corporation 10,858 12% 2/1/02 Wasserman et alm Law
City Market 55,792 39% 9/1/99 Ernst Home Improvement
Food Market 10,853 25% 6/1/05 Department of Motor Vehicles
</TABLE>
A-35
<PAGE>
ANNEX A
<TABLE>
<CAPTION>
Second Largest Second Largest Second Largest
Counter Tenant Tenant Tenant
Number Property Name Leased SF % of Total SF Lease Expiration 1994 NOI
------ ------------- --------- ------------- ---------------- --------
<C> <S> <C> <C> <C> <C>
84 Bonnie Brea Shopping Center 5,040 10% 10/31/00 674,103
85 Mott - 76 S. Bergen Place 416,403
86 Mott - 655 Nassau Road 314,391
87 Mott - 45 Broadway 274,076
88 Mott - 35 N. Long Beach Avenue 166,257
89 Mott - 56 N. Long Beach Avenue 145,474
90 Mott - 27 Attorney Street 86,923
91 Mott - 95 Jerusalem Avenue 80,129
92 Mott - 271 Washington Street 78,542
93 Mott - 155 Pine Street 68,184
94 Mott - 40 Graffing Place 61,989
95 Mott - 260 Belmont Parkway 50,232
96 Mott - 360 Washington Street 42,007
97 Mott - 55 Nassau Place 58,097
98 Mott - 25 Peninsula Boulevard 52,673
99 Mott - 1100 Ward Place 39,204
100 Ridgecrest Retirement Center 1,465,016
101 Morningstar Mini - Charlotte 216,627
102 Morningstar Mini - Hickory 210,636
103 Morningstar Mini - Winston Salem 231,042
104 Morningstar Mini - Florence 197,126
105 Morningstar Mini - Lexington 149,782
106 Morningstar Mini - Sumter 133,811
107 Thousand Oaks Self-storage 1,043,938
108 King Shopping Center 6,840 8% 6/1/01 929,218
109 Starr Avenue 1,066,661
110A Kmart/Elizabeth City 508,880
110B Kmart/Rocky Mount 488,764
111 Regency Park-El Molino 971,591
112 Millburn Common 8,200 9% 12/1/03 674,495
113A Sentry SS - Williamsburg 272,911
113B Sentry SS - Chesapeake 176,937
113C Sentry SS - Newport 167,032
113D Sentry SS - Whitestone 32,896
114 The Drake Tower Apartments 702,830
115 Snyder Avenue 760,425
116 Diamond Mini Storage 438,809
117 International Self-storage 319,296
118 Eastgate Shopping Center 54,475 38% 6/1/08 584,385
119 AZ Storage Inns - Country Club 173,049
120 AZ Storage Inns - Greenfield 149,038
121 AZ Storage Inns - Broadway 135,797
122 Sterling Meadows Apartments 412,225
123 Coldwater Self-storage 476,138
124 Picador Plaza 8,226 19% 1/1/98 434,558
125 Security Public Storage 425,061
126 Cedar Grove Apartments 351,051
127 Canyon Pointe Apartments (7,071)
</TABLE>
A-36
<PAGE>
ANNEX A
<TABLE>
<CAPTION>
1995 Revenues 1995 Expenses 1995 NOI Footnote 1995 DSCR 1995 Combined DSCR Annualized
------------- ------------- -------- -------- --------- ------------------ ----------
<C> <C> <C> <C> <C> <C>
792,598 173,673 618,925 1.49 Trailing 12
747,984 323,589 424,395 1.49 1.50 Trailing 12
669,877 356,414 313,463 1.59 1.50 Trailing 12
588,433 326,922 261,511 1.45 1.50 Trailing 12
374,880 221,847 153,033 1.36 1.50 Trailing 12
340,604 204,487 136,117 1.40 1.50 Trailing 12
182,539 90,229 92,310 1.62 1.50 Trailing 12
176,898 101,147 75,751 1.51 1.50 Trailing 12
153,403 80,943 72,460 1.55 1.50 Trailing 12
122,774 49,161 73,613 1.66 1.50 Trailing 12
148,659 79,130 69,529 1.75 1.50 Trailing 12
107,271 52,952 54,319 1.57 1.50 Trailing 12
102,786 55,723 47,063 1.37 1.50 Trailing 12
113,314 66,261 47,053 1.41 1.50 Trailing 12
122,828 79,393 43,435 1.40 1.50 Trailing 12
103,475 60,400 43,075 1.54 1.50 Trailing 12
4,655,739 3,273,749 1,381,990 1.36 Trailing 12
433,212 153,454 279,758 1.29 1.44 Trailing 12
427,984 148,481 279,503 1.47 1.44 Trailing 12
392,016 142,327 249,689 1.38 1.44 Trailing 12
361,084 125,578 235,506 1.57 1.44 Trailing 12
264,023 125,419 138,604 1.38 1.44 Trailing 12
288,561 137,884 150,677 1.64 1.44 Trailing 12
1,611,395 490,860 1,120,535 1.47 Trailing 12
1,250,433 281,536 968,897 1.42 Trailing 12
2,478,070 1,230,716 1,247,354 1.68 Trailing 12
509,380 500 508,880 1.43 1.43 Trailing 12
492,582 3,818 488,764 1.43 1.43 Trailing 12
2,428,777 1,483,297 945,480 1.42 Trailing 12
1,456,484 645,563 810,921 1.49 Trailing 12
343,348 82,958 260,390 1.30 1.40 Trailing 12
276,620 93,263 183,357 1.44 1.40 Trailing 12
256,119 80,737 175,382 1.45 1.40 Trailing 12
67,671 26,495 41,176 1.75 1.40 Trailing 12
1,816,776 1,197,291 619,485 1.49 Trailing 12
1,866,433 1,020,022 846,411 1.93 Trailing 12
610,885 241,908 368,977 1.49 1.55 Trailing 12
535,125 252,895 282,230 1.62 1.55 Trailing 12
753,084 201,255 551,829 1.60 Trailing 12
294,375 100,475 193,900 1.30 1.52 Trailing 12
263,240 81,032 182,208 1.63 1.52 Trailing 12
241,984 76,816 165,168 1.73 1.52 Trailing 12
632,357 198,479 433,878 1.32 Trailing 12
779,313 280,810 498,503 1.59 Trailing 12
712,646 200,467 512,179 1.83 Trailing 12
621,903 198,320 423,583 1.62 Trailing 12
749,867 422,966 326,901 1.43 Trailing 12
607,575 291,552 316,023 1.45 9 mos ann
</TABLE>
A-37
<PAGE>
ANNEX A
<TABLE>
<CAPTION>
Counter
Number Property Name End Date U/WNOI Master Servicing Fee
------ ------------- -------- ------ --------------------
<C> <C> <C> <C> <C>
84 Bonnie Brea Shopping Center 12/31/95 565,531 0.185%
85 Mott - 76 S. Bergen Place 9/30/95 374,508 0.270%
86 Mott - 655 Nassau Road 9/30/95 283,354 0.270%
87 Mott - 45 Broadway 9/30/95 234,284 0.270%
88 Mott - 35 N. Long Beach Avenue 9/30/95 146,545 0.270%
89 Mott - 56 N. Long Beach Avenue 9/30/95 127,565 0.270%
90 Mott - 27 Attorney Street 9/30/95 76,770 0.270%
91 Mott - 95 Jerusalem Avenue 9/30/95 72,796 0.270%
92 Mott - 271 Washington Street 9/30/95 62,526 0.270%
93 Mott - 155 Pine Street 9/30/95 60,638 0.270%
94 Mott - 40 Graffing Place 9/30/95 52,119 0.270%
95 Mott - 260 Belmont Parkway 9/30/95 47,468 0.270%
96 Mott - 360 Washington Street 9/30/95 48,753 0.270%
97 Mott - 55 Nassau Place 9/30/95 43,738 0.270%
98 Mott - 25 Peninsula Boulevard 9/30/95 41,035 0.270%
99 Mott - 1100 Ward Place 9/30/95 36,289 0.270%
100 Ridgecrest Retirement Center 12/31/95 1,412,246 0.270%
101 Morningstar Mini - Charlotte 12/31/95 304,713 0.270%
102 Morningstar Mini - Hickory 12/31/95 260,510 0.270%
103 Morningstar Mini - Winston Salem 12/31/95 254,251 0.270%
104 Morningstar Mini - Florence 12/31/95 199,011 0.270%
105 Morningstar Mini - Lexington 12/31/95 139,908 0.270%
106 Morningstar Mini - Sumter 12/31/95 135,950 0.270%
107 Thousand Oaks Self-storage 12/31/95 1,048,471 0.270%
108 King Shopping Center 12/31/95 974,711 0.270%
109 Starr Avenue 12/31/95 1,000,358 0.270%
110A Kmart/Elizabeth City 12/31/95 470,098 0.270%
110B Kmart/Rocky Mount 12/31/95 451,221 0.270%
111 Regency Park-El Molino 12/31/95 927,058 0.270%
112 Millburn Common 12/31/95 862,127 0.270%
113A Sentry SS - Williamsburg 12/31/95 263,378 0.270%
113B Sentry SS - Chesapeake 12/31/95 171,834 0.270%
113C Sentry SS - Newport 12/31/95 160,985 0.270%
113D Sentry SS - Whitestone 12/31/95 31,537 0.270%
114 The Drake Tower Apartments 12/31/95 601,389 0.270%
115 Snyder Avenue 12/31/95 717,937 0.270%
116 Diamond Mini Storage 12/31/95 392,321 0.270%
117 International Self-storage 12/31/95 269,310 0.270%
118 Eastgate Shopping Center 12/31/95 504,579 0.270%
119 AZ Storage Inns - Country Club 12/31/95 205,644 0.270%
120 AZ Storage Inns - Greenfield 12/31/95 186,645 0.270%
121 AZ Storage Inns - Broadway 12/31/95 142,270 0.270%
122 Sterling Meadows Apartments 12/31/95 410,796 0.270%
123 Coldwater Self-storage 12/31/95 500,076 0.270%
124 Picador Plaza 12/31/95 480,588 0.270%
125 Security Public Storage 9/30/95 396,516 0.270%
126 Cedar Grove Apartments 12/31/95 362,311 0.270%
127 Canyon Pointe Apartments 9/30/95 290,023 0.270%
</TABLE>
A-38
<PAGE>
Mortgage Loan Schedule
Loan Counters 128-162
A-39
<PAGE>
ANNEX A
<TABLE>
<CAPTION>
Counter Control Loan
Number Number Number Property Name Property Address City
------ ------ ------ ------------- ---------------- ----
<S> <C> <C> <C> <C>
128 CO52 941-0085 Central Avenue Self Storage 3399 Central Avenue Riverside
129 CO53 P00660 Country Brook Apartments 5 Country Brook Lane Rochester
130 CO54 941-0099 Atlantic Self Storage 2401 Build America Drive Hampton
131 CO55 P00546 Delicare Convalescent Center 1340 East Madison Avenue El Cajon
132 CO56 P00642 Midwest Distribution Center 3300 Lockbourne Road Columbus
133 CO57 941-0073 Ranchos Stor-All 813 Short Court Gardnerville
134 CO58 941-0072 Stor-All 3395 West T. Quarter Circle Road Winnemucca
135 CO59 941-0106 Morningstar Mini - Charlotte 5301 North Sharon Amity Road Charlotte
136 CO60 P00534 215 East Gunhill 215 East Gunhill Road Bronx
137 CO61 P00155 The Corners Apartments 4150 Winchester Road Memphis
138 CO62 941-0088 Palo Verde Mini Storage 255 McKellips Road Mesa
139 CO63 941-0071 Stop & Stor 1700 Shore Parkway Brooklyn
140 CO64 P00150 Urbanwood Apartments 3816 106th Street Urbandale
141 CO65 P00514 Lexington Avenue Apartments 801 Lexington Avenue Lakewood
142 CO66 P00512 485 Front Street 485 Front Street Hempstead
143 CO67 941-0068 Safeguard Self Storage #11 300 23rd Street Kenner
144 CO68 941-0102 AZ Storage Inns - Apache Trails 5253 East Main Street Mesa
145 CO69 P00582 Longwood Retirement Village 480 East Church Avenue Longwood
146 CO70 P00614 Euclid Convalescent Center 1350 Euclid Avenue San Diego
147 CO71 941-0058 Safeguard 9642 / 9705 South Padre Corpus Christi
Island Drive
148 CO72 P00588 Homeland Grocery Store 12508 North May Avenue Oklahoma City
149 CO73 941-0098 Conyers Self Storage 1840 Iris Drive Conyers
150 CO74 P00648 Le Shoppe 90 W. Mount Pleasant Avenue Livingston
151 CO75 P00502 Briarwood Apartments 13600 Horizon Boulevard El Paso
152 CO76 P00503 Lakeway Apartments 1600 McMahon Avenue & El Paso
14790 Breaux Street
153 CO77 941-0082 Regency Mini Storage 8740 Atlantic Boulevard Jacksonville
154 CO78 98-1000160 Bellamar Apartments 1470 West 40th Street Hialeah
155 CO79 941-0083 Normandy Mini Storage 8204 Normandy Boulevard Jacksonville
156 CO80 941-0114 Stor-A-Lot Self Storage 17108 Main Street Hesperia
157 CO81 P00646 Perth Amboy Industrial Center 31-63 Pennsylvania Avenue Kearny
158 CO82 941-0105 Handy Mini Storage 2445 Main Street Chula Vista
159 CO83 941-0107 Morningstar Mini - Matthews 10716 Monroe Road Matthews
160 CO84 941-0057 A Storage #2 7413 W. Saint Bernard Highway Arabi
161 CO85 941-0093 Ironwood Self Storage 1678 West Superstition Boulevard Apache Junction
162 CO86 P00272 Carriage House Apartments 131-139 North Bend Road Baltimore
176
</TABLE>
- ----------
Footnotes:
(1) Reflects tenant lease-up as of year-end 1995. These properties were newly
constructed, renovated or expanded in 1995.
(2) Management fees have been adjusted to market.
(3) Underlying mortgage on cooperative was underwritten as a multi-family
rental property with market rents less a vacancy factor.
(4) Complete financials were unavailable for 1995. Underwritten numbers were
utilized.
(5) 1994 NOI reflects 1993 amounts.
(6) Largest tenant lease expired 12/1/95; currently on month-to-month basis.
(7) Related Mortgage Loans are grouped by alphabetical designations.
A-40
<PAGE>
ANNEX A
<TABLE>
<CAPTION>
Cut-off
Property Original Date Current Note First Monthly
State Zip Type Balance Balance Rate Date Pymt Date Payment
----- --- ---- ------- ------- ---- ---- --------- -------
<S> <C> <C> <C> <C> <C> <C> <C>
CA 92506 Self-storage 2,450,000 2,440,995 9.300% 11/20/95 1/1/96 20,244.38
NH 03839 Multifamily 2,400,000 2,391,840 8.000% 1/8/96 3/1/96 17,610.35
VA 23666 Self-storage 2,400,000 2,380,941 9.250% 9/26/95 11/1/95 20,553.16
CA 92021 Nursing 2,250,000 2,211,352 10.375% 5/12/95 7/1/95 22,274.94
OH 43207 Industrial 2,200,000 2,169,162 8.500% 1/15/96 3/1/96 21,664.27
NV 89410 Self-storage 1,200,000 1,181,298 9.750% 7/17/95 9/1/95 11,382.20
NV 89445 Self-storage 1,000,000 984,895 10.000% 7/26/95 9/1/95 9,650.22
NC 28215 Self-storage 2,000,000 1,987,017 8.900% 11/28/95 1/1/96 16,647.18
NY 10467 Multifamily 2,000,000 1,975,349 10.250% 2/27/95 4/1/95 18,527.67
TN 38115 Multifamily 2,100,000 1,856,915 10.000% 8/16/94 10/1/94 19,082.72
AZ 85201 Self-storage 1,750,000 1,737,695 9.250% 10/3/95 12/1/95 14,986.68
NY 11214 Self-storage 1,700,000 1,684,039 9.500% 7/5/95 9/1/95 14,852.84
IA 50322 Multifamily 1,700,000 1,668,577 9.875% 8/11/94 10/1/94 15,298.37
NJ 08701 Multifamily 1,650,000 1,634,562 10.375% 9/30/94 11/1/94 14,939.22
NY 11550 Multifamily 1,636,000 1,614,114 10.875% 11/10/94 1/1/95 15,887.02
LA 70062 Self-storage 1,550,000 1,534,994 10.375% 5/8/95 7/1/95 14,496.66
AZ 85204 Self-storage 1,500,000 1,490,087 9.625% 10/11/95 12/1/95 13,236.02
FL 32750 Nursing 1,500,000 1,488,569 9.500% 9/22/95 11/1/95 13,105.45
CA 92105 Nursing 1,500,000 1,484,169 9.125% 11/29/95 1/1/96 13,616.71
TX 78418 Self-storage 1,450,000 1,429,684 9.875% 1/27/95 3/1/95 13,048.28
OK 73120 Retail 1,300,000 1,288,799 8.750% 9/27/95 11/1/95 10,687.87
GA 30207 Self-storage 1,200,000 1,191,734 9.375% 10/26/95 12/1/95 10,380.28
NJ 07039 Retail 1,200,000 1,182,994 8.375% 1/15/96 3/1/96 11,729.11
TX 79927 Multifamily 805,000 791,417 10.125% 9/6/94 11/1/94 7,386.09
TX 79927 Multifamily 360,000 353,926 10.125% 9/8/94 11/1/94 3,303.10
FL 32211 Self-storage 1,120,000 1,100,168 9.750% 11/30/95 1/1/96 11,864.86
FL 33012 Multifamily 1,097,558 1,088,476 10.160% 12/30/94 2/1/95 9,761.88
FL 32221 Self-storage 1,100,000 1,080,522 9.750% 11/30/95 1/1/96 11,652.99
CA 92345 Self-storage 1,025,000 1,019,411 9.000% 12/19/95 2/1/96 8,601.76
NJ 07032 Industrial 1,000,000 983,119 8.500% 12/27/95 2/1/96 9,847.40
CA 91911 Self-storage 930,000 925,133 9.250% 12/19/95 2/1/96 7,964.35
NC 28105 Self-storage 900,000 894,158 8.900% 11/27/95 1/1/96 7,491.23
LA 70032 Self-storage 850,000 837,934 9.750% 1/30/95 3/1/95 7,575.27
AZ 85220 Self-storage 600,000 587,808 9.750% 10/27/95 12/1/95 6,356.18
MD 21229 Multifamily 547,000 536,043 10.250% 5/10/94 7/1/94 5,067.32
----------- ----------- ------------
486,998,842 482,357,812 3,964,097.68
=========== =========== ============
</TABLE>
A-41
<PAGE>
ANNEX A
<TABLE>
<CAPTION>
Related
Counter Original Original Remaining Maturity Mortgage
Number Property Name Term Amort Seasoning Term Date Loans(7)
------ ------------- ---- ----- --------- ---- ---- --------
<C> <C> <C> <C> <C> <C> <C>
128 Central Avenue Self Storage 121 360 7 114 1/1/06 No
129 Country Brook Apartments 84 360 5 79 2/1/0 No
130 Atlantic Self Storage 121 300 9 112 11/1/05 No
131 Delicare Convalescent Center 84 240 13 71 6/1/02 No
132 Midwest Distribution Center 120 180 5 115 2/1/06 No
133 Ranchos Stor-All 120 240 11 109 8/1/05 Yes(e)
134 Stor-All 120 240 11 109 8/1/05 Yes(e)
135 Morningstar Mini - Charlotte 121 300 7 114 1/1/06 No
136 215 East Gunhill 84 300 16 68 3/1/02 No
137 The Corners Apartments 84 300 22 62 9/1/01 No
138 Palo Verde Mini Storage 121 300 8 113 12/1/05 No
139 Stop & Stor 83 300 11 72 6/30/02 No
140 Urbanwood Apartments 72 300 22 50 9/1/00 No
141 Lexington Avenue Apartments 84 360 21 63 10/1/01 No
142 485 Front Street 120 300 19 101 12/1/04 No
143 Safeguard Self Storage #11 84 300 13 71 5/7/02 No
144 AZ Storage Inns - Apache Trails 121 300 8 113 12/1/05 No
145 Longwood Retirement Village 120 300 9 111 10/1/05 No
146 Euclid Convalescent Center 120 240 7 113 12/1/05 No
147 Safeguard 84 300 17 67 1/26/02 No
148 Homeland Grocery Store 120 300 9 111 10/1/05 No
149 Conyers Self Storage 121 300 8 113 12/1/05 No
150 Le Shoppe 120 180 5 115 2/1/06 No
151 Briarwood Apartments 300 300 21 279 10/1/19 Yes(b)
152 Lakeway Apartments 300 300 21 279 10/1/19 Yes(b)
153 Regency Mini Storage 181 180 7 174 1/1/11 No
154 Bellamar Apartments 84 360 18 66 1/1/02 No
155 Normandy Mini Storage 181 180 7 174 1/1/11 No
156 Stor-A-Lot Self Storage 85 300 6 79 2/1/03 No
157 Perth Amboy Industrial Center 120 180 6 114 1/1/06 No
158 Handy Mini Storage 85 300 6 79 2/1/03 No
159 Morningstar Mini - Matthews 121 300 7 114 1/1/06 No
160 A Storage #2 84 300 17 67 1/29/02 No
161 Ironwood Self Storage 181 180 8 173 12/1/10 No
162 Carriage House Apartments 84 300 25 59 6/1/01 No
</TABLE>
A-42
<PAGE>
ANNEX A
<TABLE>
<CAPTION>
Lockout Prepay Prepay Prepay Prepay Prepay Prepay Prepay Prepay Prepay Prepay Prepay
Expiration Year 1 Year 2 Year 3 Year 4 Year 5 Year 6 Year 7 Year 8 Year 9 Year 10 Year 11
---------- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------- -------
<C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
YM YM YM YM YM YM YM YM YM 0% n/a
YM YM YM YM YM YM YM n/a n/a n/a n/a
YM YM YM YM YM YM YM YM YM YM n/a
YM YM YM YM YM YM YM n/a n/a n/a n/a
YM YM YM YM YM YM YM YM YM YM n/a
YM YM YM YM YM YM YM YM YM YM n/a
YM YM YM YM YM YM YM YM YM YM n/a
YM YM YM YM YM YM YM YM YM YM n/a
3/31/96 LO YM YM YM YM YM YM n/a n/a n/a n/a
9/30/95 LO 2.5% 2.5% 1.5% 1.5% 0% 0% n/a n/a n/a n/a
YM YM YM YM YM YM YM YM YM YM n/a
YM YM YM YM YM YM YM n/a n/a n/a n/a
9/30/95 LO 2.5% 2.5% 1.5% 1.5% 0% n/a n/a n/a n/a n/a
10/31/95 LO YM YM YM YM YM YM n/a n/a n/a n/a
12/31/95 LO YM YM YM YM YM YM YM YM YM n/a
YM YM YM YM YM YM YM n/a n/a n/a n/a
YM YM YM 3% 2% 1% 1% 1% 0% 0% n/a
YM YM YM YM YM YM YM YM YM YM n/a
YM YM YM YM YM YM YM YM YM YM n/a
6% 5% 4% 3% 2% 1% 0% n/a n/a n/a n/a
YM YM YM YM YM YM YM YM YM YM n/a
YM YM YM YM YM YM YM YM YM YM n/a
YM YM YM YM YM YM YM YM YM YM n/a
9/30/99 LO LO LO LO LO YM YM YM YM YM YM
9/30/99 LO LO LO LO LO YM YM YM YM YM YM
YM YM YM YM YM YM YM YM YM YM 5%
YM/3 YM/3 YM/3 YM/3 YM/3 2% 1% n/a n/a n/a n/a
YM YM YM YM YM YM YM YM YM YM 5%
YM YM YM YM YM YM YM n/a n/a n/a n/a
YM YM YM YM YM YM YM YM YM YM n/a
YM YM YM YM YM YM YM n/a n/a n/a n/a
YM YM YM YM YM YM YM YM YM YM n/a
6% 5% 4% 3% 2% 1% 0% n/a n/a n/a n/a
YM YM YM YM YM YM YM YM YM YM YM
6/30/95 LO 2.5% 2.5% 1.5% 1.5% 0% 0% n/a n/a n/a n/a
</TABLE>
A-43
<PAGE>
ANNEX A
<TABLE>
<CAPTION>
Counter Prepay Prepay Prepay Prepay Prepay Open Appraisal
Number Property Name Yr 12 Yr 13 Yr 14 Yr 15 Yr 16-25 Period Date
------ ------------- ----- ----- ----- ----- -------- ------ ----
<C> <S> <C> <C> <C> <C> <C> <C> <C>
128 Central Avenue Self Storage n/a n/a n/a n/a n/a 12 7/13/95
129 Country Brook Apartments n/a n/a n/a n/a n/a 6 11/17/95
130 Atlantic Self Storage n/a n/a n/a n/a n/a 12 8/1/95
131 Delicare Convalescent Center n/a n/a n/a n/a n/a 6 1/12/95
132 Midwest Distribution Center n/a n/a n/a n/a n/a 6 10/17/95
133 Ranchos Stor-All n/a n/a n/a n/a n/a 12 4/12/95
134 Stor-All n/a n/a n/a n/a n/a 12 4/10/95
135 Morningstar Mini - Charlotte n/a n/a n/a n/a n/a 6 9/22/95
136 215 East Gunhill n/a n/a n/a n/a n/a 6 10/26/94
137 The Corners Apartments n/a n/a n/a n/a n/a 24 4/25/94
138 Palo Verde Mini Storage n/a n/a n/a n/a n/a 6 7/25/95
139 Stop & Stor n/a n/a n/a n/a n/a 12 3/8/95
140 Urbanwood Apartments n/a n/a n/a n/a n/a 6 6/30/94
141 Lexington Avenue Apartments n/a n/a n/a n/a n/a 6 7/20/94
142 485 Front Street n/a n/a n/a n/a n/a 6 8/19/94
143 Safeguard Self Storage #11 n/a n/a n/a n/a n/a 6 2/21/95
144 AZ Storage Inns - Apache Trails n/a n/a n/a n/a n/a 24 8/18/95
145 Longwood Retirement Village n/a n/a n/a n/a n/a 6 3/30/95
146 Euclid Convalescent Center n/a n/a n/a n/a n/a 6 7/11/95
147 Safeguard n/a n/a n/a n/a n/a 12 11/5/94
148 Homeland Grocery Store n/a n/a n/a n/a n/a 6 6/1/95
149 Conyers Self Storage n/a n/a n/a n/a n/a 12 8/8/95
150 Le Shoppe n/a n/a n/a n/a n/a 6 11/1/95
151 Briarwood Apartments YM YM YM YM 1% 6 6/15/94
152 Lakeway Apartments YM YM YM YM 1% 6 6/15/94
153 Regency Mini Storage 3% 1% 1% 0% n/a 12 6/17/95
154 Bellamar Apartments n/a n/a n/a n/a n/a 6 9/21/94
155 Normandy Mini Storage 3% 1% 1% 0% n/a 12 6/17/95
156 Stor-A-Lot Self Storage n/a n/a n/a n/a n/a 6 11/10/95
157 Perth Amboy Industrial Center n/a n/a n/a n/a n/a 6 11/1/95
158 Handy Mini Storage n/a n/a n/a n/a n/a 6 8/31/95
159 Morningstar Mini - Matthews n/a n/a n/a n/a n/a 6 9/22/95
160 A Storage #2 n/a n/a n/a n/a n/a 12 10/25/94
161 Ironwood Self Storage YM YM YM YM n/a 6 8/2/95
162 Carriage House Apartments n/a n/a n/a n/a n/a 24 3/25/95
</TABLE>
A-44
<PAGE>
ANNEX A
<TABLE>
<CAPTION>
Final Year Built/ Total Property Loan Per
Value LTV Renovated Units Size (SF) SF/UNIT UNIT/SF Occupancy %
----- --- --------- ----- --------- ------- ------- -----------
<C> <C> <C> <C> <C> <C> <C> <C>
3,280,000 74.4% 1991 677 88,212 3,605.61 Unit 84%
3,300,000 72.5% 1987 96 76,000 24,915.00 Unit 95%
4,000,000 59.5% 1985 769 87,650 3,096.15 Unit 88%
3,100,000 71.3% 1968 99 28,550 22,336.89 Bed 93%
4,000,000 54.2% 1964/1974/1980 -- 301,744 7.19 SF 100%
2,200,000 53.7% 1985-1992 468 59,841 2,524.14 Unit 72%
1,500,000 65.7% 1975-1990 409 67,350 2,408.06 Unit 91%
3,300,000 60.2% 1986 768 83,892 2,587.26 Unit 96%
2,760,000 71.6% 1932 94 134,820 21,014.36 Unit 96%
3,018,000 61.5% 1975 200 129,952 9,284.58 Unit 91%
2,390,000 72.7% 1983-1985 691 57,691 2,514.75 Unit 90%
4,180,000 40.3% 1991-1992 676 48,259 2,491.18 Unit 87%
2,280,000 73.2% 1976/1977 90 82,500 18,539.74 Unit 95%
2,200,000 74.3% 1972/1993 40 45,800 40,864.05 Unit 100%
2,800,000 57.7% 1959 79 73,320 20,431.82 Unit 92%
2,300,000 66.7% 1981-1986 471 62,184 3,259.01 Unit 92%
3,000,000 49.7% 1985 767 82,523 1,942.75 Unit 77%
3,000,000 49.6% 1960/1985 112 37,700 13,290.79 Bed 98%
2,760,000 53.8% 1967 99 23,026 14,991.61 Bed 90%
2,260,000 63.3% 1984 516 123,200 2,770.71 Unit 97%
1,850,000 69.7% 1980 -- 50,605 25.47 SF 100%
1,800,000 66.2% 1986 466 56,593 2,557.37 Unit 92%
1,585,000 74.6% 1995 -- 12,773 92.62 SF 100%
1,100,000 72.0% 1986 40 44,400 19,785.43 Unit 83%
500,000 70.8% 1968/1993 24 19,600 14,746.90 Unit 88%
2,150,000 51.2% 1982 788 85,646 1,396.15 Unit 82%
1,480,000 73.6% 1984 34 27,900 32,014.00 Unit 100%
1,680,000 64.3% 1989 465 55,170 2,323.70 Unit 97%
1,520,000 67.1% 1989 486 70,479 2,097.55 Unit 75%
1,800,000 54.6% 1945 -- 65,663 14.97 SF 100%
1,400,000 66.1% 1980-1982 420 44,158 2,202.70 Unit 92%
1,310,000 68.3% 1984-1989 274 37,450 3,263.35 Unit 95%
1,200,000 69.8% 1976 286 34,175 2,929.84 Unit 99%
930,000 63.2% 1982-1986 320 31,600 1,836.90 Unit 96%
1,000,000 53.6% 1964 50 39,850 10,720.85 Unit 98%
714,382,000
</TABLE>
A-45
<PAGE>
ANNEX A
<TABLE>
<CAPTION>
Max Min
Counter Loan Interest Interest
Number Property Name Type Index Margin Rate Rate
------ ------------- ---- ----- ------ ---- ----
<C> <C> <C> <C> <C> <C> <C>
128 Central Avenue Self Storage Fixed
129 Country Brook Apartments Fixed
130 Atlantic Self Storage Fixed
131 Delicare Convalescent Center Fixed
132 Midwest Distribution Center Fixed
133 Ranchos Stor-All Fixed
134 Stor-All Fixed
135 Morningstar Mini - Charlotte Fixed
136 215 East Gunhill Fixed
137 The Corners Apartments Fixed
138 Palo Verde Mini Storage Fixed
139 Stop & Stor Fixed
140 Urbanwood Apartments Fixed
141 Lexington Avenue Apartments Fixed
142 485 Front Street Fixed
143 Safeguard Self Storage #11 Fixed
144 AZ Storage Inns - Apache Trails Fixed
145 Longwood Retirement Village Fixed
146 Euclid Convalescent Center Fixed
147 Safeguard Floating 1 mo Libor 3.750% 13.880% 9.875%
148 Homeland Grocery Store Fixed
149 Conyers Self Storage Fixed
150 Le Shoppe Fixed
151 Briarwood Apartments Fixed
152 Lakeway Apartments Fixed
153 Regency Mini Storage Fixed
154 Bellamar Apartments Fixed
155 Normandy Mini Storage Fixed
156 Stor-A-Lot Self Storage Fixed
157 Perth Amboy Industrial Center Fixed
158 Handy Mini Storage Fixed
159 Morningstar Mini - Matthews Fixed
160 A Storage #2 Floating 1 mo Libor 3.750% 13.750% 9.750%
161 Ironwood Self Storage Fixed
162 Carriage House Apartments Fixed
</TABLE>
A-46
<PAGE>
<TABLE>
<CAPTION>
ANNEX A
Largest Largest Largest
Tenant Tenant Tenant Second
Largest Tenant Leased SF % of Total SF Lease Expiration Largest Tenant
-------------- --------- ------------- ---------------- --------------
<S> <C> <C> <C> <C>
Midwest Distribution Center 301,744 100% 10/1/99 n/ap
Homeland Grocery Store 50,605 100% 7/1/05 n/ap
Paul Gerard, Inc. 12,773 100% 9/1/10 n/ap
Galaxy Air Freight 22,000 34% 12/1/95 Warehouse Management
</TABLE>
A-47
<PAGE>
ANNEX A
<TABLE>
<CAPTION>
Second Largest Second Largest Second Largest
Tenant Tenant Tenant
Loan Number Property Name Leased SF % of Total SF Lease Expiration 1994 NOI
----------- ------------- --------- ------------- ---------------- --------
<C> <S> <C> <C> <C> <C> <C>
128 Central Avenue Self Storage 349,965
129 Country Brook Apartments 273,740
130 Atlantic Self Storage 418,561
131 Delicare Convalescent Center 409,425
132 Midwest Distribution Center 393,278
133 Ranchos Stor-All 264,137
134 Stor-All 182,123
135 Morningstar Mini - Charlotte 308,335
136 215 East Gunhill 350,575
137 The Corners Apartments 380,236
138 Palo Verde Mini Storage 267,969
139 Stop & Stor 233,389
140 Urbanwood Apartments 262,064
141 Lexington Avenue Apartments 301,350
142 485 Front Street 283,976
143 Safeguard Self Storage #11 252,830
144 AZ Storage Inns - Apache Trails 235,401
145 Longwood Retirement Village 295,693
146 Euclid Convalescent Center 350,817
147 Safeguard 244,241
148 Homeland Grocery Store 182,791
149 Conyers Self Storage 186,747
150 Le Shoppe --
151 Briarwood Apartments 115,908
152 Lakeway Apartments 51,332
153 Regency Mini Storage 210,174
154 Bellamar Apartments 182,392
155 Normandy Mini Storage 188,882
156 Stor-A-Lot Self Storage 148,665
157 Perth Amboy Industrial Center 19,000 29% 3/1/98 160,482
158 Handy Mini Storage 117,239
159 Morningstar Mini - Matthews 141,585
160 A Storage #2 170,641
161 Ironwood Self Storage 132,564
162 Carriage House Apartments 107,253
----------
65,886,405
==========
</TABLE>
A-48
<PAGE>
ANNEX A
<TABLE>
<CAPTION>
1995 Revenues 1995 Expenses 1995 NOI Footnote 1995 DSCR 1995 Combined DSCR Annualized
------------- ------------- -------- -------- --------- ------------------ ----------
<C> <C> <C> <C> <C> <C> <C>
557,627 180,576 377,051 1.55 Trailing 12
530,612 248,637 281,975 1.33 9 mos ann
574,340 162,722 411,618 1.67 Trailing 12
3,337,664 2,811,237 526,427 1.97 Trailing 12
546,287 64,056 482,231 1.85 Trailing 12
339,053 68,186 270,867 1.98 1.86 Trailing 12
263,080 65,258 197,822 1.71 1.86 Trailing 12
545,948 204,585 341,363 1.71 Trailing 12
604,959 260,553 344,406 (5) 1.55 7 mos ann
857,573 443,959 413,614 1.81 9 mos ann
351,795 69,593 282,202 1.57 Trailing 12
763,937 399,059 364,878 2.05 Trailing 12
540,143 273,611 266,532 1.45 9 mos ann
411,320 132,207 279,113 1.56 9 mos ann
664,722 395,741 268,981 1.41 10 mos ann
426,757 147,339 279,418 1.61 Trailing 12
418,666 144,199 274,467 1.73 Trailing 12
1,496,614 1,272,397 224,217 1.43 Trailing 12
3,122,405 2,812,221 310,184 1.90 Trailing 12
417,672 156,438 261,234 1.67 Trailing 12
190,344 19,009 171,335 1.34 Trailing 12
285,309 96,644 188,665 1.51 Trailing 12
234,955 62,871 172,084 1.22 3 mos ann
194,754 86,154 108,600 (5) 1.23 1.34 Trailing 12
106,694 43,196 63,498 (5) 1.60 1.34 Trailing 12
339,009 150,380 188,629 1.32 Trailing 12
230,292 71,557 158,735 1.36 3 mos ann
286,336 78,757 207,579 1.48 Trailing 12
233,389 86,680 146,709 1.42 Trailing 12
302,454 99,949 202,505 (6) 1.71 Trailing 12
228,724 95,580 133,144 1.39 Trailing 12
201,544 59,199 142,345 1.58 Trailing 12
241,842 68,368 173,474 1.91 Trailing 12
194,330 73,514 120,816 1.58 Trailing 12
278,359 159,206 119,153 1.96 Trailing 12
----------- ---------- ---------- ----
126,587,487 54,486,607 72,100,880 1.52
=========== ========== ========== ====
</TABLE>
A-49
<PAGE>
ANNEX A
<TABLE>
<CAPTION>
Counter
Number Property Name End Date U/WNOI Master Servicing Fee
------ ------------- -------- ------ --------------------
<C> <S> <C> <C> <C>
128 Central Avenue Self Storage 12/31/95 345,048 0.270%
129 Country Brook Apartments 9/30/95 265,487 0.270%
130 Atlantic Self Storage 12/31/95 425,241 0.270%
131 Delicare Convalescent Center 9/30/95 417,632 0.270%
132 Midwest Distribution Center 11/30/95 433,643 0.270%
133 Ranchos Stor-All 9/30/95 229,915 0.270%
134 Stor-All 9/30/95 158,087 0.270%
135 Morningstar Mini - Charlotte 12/31/95 320,068 0.270%
136 215 East Gunhill 10/31/95 286,674 0.270%
137 The Corners Apartments 9/30/95 287,124 0.270%
138 Palo Verde Mini Storage 9/30/95 247,152 0.270%
139 Stop & Stor 12/31/95 348,948 0.270%
140 Urbanwood Apartments 9/30/95 228,088 0.270%
141 Lexington Avenue Apartments 9/30/95 230,479 0.270%
142 485 Front Street 10/31/95 238,238 0.270%
143 Safeguard Self Storage #11 12/31/95 244,944 0.270%
144 AZ Storage Inns - Apache Trails 12/31/95 305,014 0.270%
145 Longwood Retirement Village 12/31/95 387,644 0.270%
146 Euclid Convalescent Center 12/31/95 324,966 0.270%
147 Safeguard 9/30/95 245,289 0.270%
148 Homeland Grocery Store 12/31/95 175,514 0.270%
149 Conyers Self Storage 12/31/95 179,261 0.270%
150 Le Shoppe 12/31/95 184,097 0.270%
151 Briarwood Apartments 10/31/95 115,387 0.270%
152 Lakeway Apartments 10/31/95 51,640 0.270%
153 Regency Mini Storage 12/31/95 208,255 0.270%
154 Bellamar Apartments 12/31/95 146,428 0.270%
155 Normandy Mini Storage 12/31/95 173,661 0.270%
156 Stor-A-Lot Self Storage 9/30/95 129,881 0.270%
157 Perth Amboy Industrial Center 12/31/95 177,785 0.270%
158 Handy Mini Storage 12/31/95 136,089 0.270%
159 Morningstar Mini - Matthews 12/31/95 130,544 0.270%
160 A Storage #2 9/30/95 133,763 0.270%
161 Ironwood Self Storage 12/31/95 101,571 0.270%
162 Carriage House Apartments 9/23/95 82,068 0.270%
----------
69,557,924
==========
</TABLE>
A-50
<PAGE>
[THIS PAGE INTENTIONALLY LEFT BLANK]
A-51
<PAGE>
Prepayment Lock-out/Prepayment Premium Analysis
Outstanding Principal Balance Analysis (1)
<TABLE>
<CAPTION>
July 1996 July 1997 July 1998 July 1999 July 2000 July 2001 July 2002 July 2003
--------- --------- --------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Lock Out 57.70% 57.48% 47.63% 43.44% 5.17% 2.00% 0.27%
Yield Maintenance 31.34 31.55 37.83 41.01 83.57 85.37 86.62 89.43%
Greater of YM or 2% 2.70 2.70
Greater of YM or 3% 0.85 0.86 0.87 0.87
1.00 - 1.99% 1.11 0.83 5.98 0.48 1.95 1.11 3.21
2.00 - 2.99% 1.84 0.73 5.24 0.47 1.93 0.88 0.86 0.79
3.00 - 3.99% 5.23 0.47 1.00 0.88 1.65 0.61
4.00 - 4.99% 5.21 0.47 0.86 0.67 0.56
5.00 - 5.99% 0.47 0.86 0.67 1.40
No Penalty 2.58 2.57 3.56 3.67 7.28 7.71 8.93 5.95
------ ------ ------ ------ ------ ------ ------ ------
TOTAL 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%
====== ====== ====== ====== ====== ====== ====== ======
Aggregate Principal Balance
of the Mortgage Loans
($Millions) $482.36 $476.46 $470.04 $463.03 $443.76 $433.62 $397.72 $352.29
Percentage of Cut-off Date
Balance of the Mortgage
Loans Outstanding 100.00% 98.78% 97.45% 95.99% 92.00% 89.90% 82.45% 73.04%
</TABLE>
<TABLE>
<CAPTION>
July 2004 July 2005 July 2006
--------- --------- ---------
<S> <C> <C> <C>
Lock Out
Yield Maintenance 88.75% 78.62% 79.17%
Greater of YM or 2%
Greater of YM or 3%
1.00 - 1.99% 0.79 0.66
2.00 - 2.99% 0.60
3.00 - 3.99%
4.00 - 4.99%
5.00 - 5.99% 4.78
No Penalty 9.86 20.71 16.05
------ ------ ------
TOTAL 100.00% 100.00% 100.00%
====== ====== ======
Aggregate Principal Balance
of the Mortgage Loans
($Millions) $343.64 $299.39 $21.14
Percentage of Cut-off Date
Balance of the Mortgage
Loans Outstanding 71.24% 62.07% 4.38%
</TABLE>
- ----------
(1) Prepayment provisions in effect as a percentage of loans outstanding as of
the date indicated assuming no prepayments.
A-52
<PAGE>
Prepayment Lock-out/Prepayment Premium Analysis
Cut-off Date Balance Analysis (1)
<TABLE>
<CAPTION>
July 1996 July 1997 July 1998 July 1999 July 2000 July 2001 July 2002 July 2003
--------- --------- --------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Lock Out 57.70% 56.78% 46.42% 41.70% 4.76% 1.80% 0.22%
Yield Maintenance 31.34 31.17 36.86 39.37 76.89 76.75 71.42 65.32%
Greater of YM or 2% 2.63 2.59
Greater of YM or 3% 0.85 0.85 0.84 0.84
1.00 - 1.99% 1.10 0.81 5.74 0.45 1.75 0.91 2.34
2.00 - 2.99% 1.84 0.72 5.11 0.45 1.78 0.80 0.71 0.58
3.00 - 3.99% 5.16 0.46 0.96 0.81 1.36 0.45
4.00 - 4.99% 5.21 0.46 0.83 0.60 0.46
5.00 - 5.99% 0.47 0.84 0.62 1.26
No Penalty 2.58 2.54 3.47 3.52 6.70 6.93 7.36 4.35
Paid Down (2) 1.22 2.55 4.01 8.00 10.10 17.55 26.96
------ ------ ------ ------ ------ ------ ------ ------
TOTAL 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%
====== ====== ====== ====== ====== ====== ====== ======
Aggregate Principal Balance
of the Mortgage Loans
($Millions) $482.36 $476.46 $470.04 $463.03 $443.76 $433.62 $397.72 $352.29
Percentage of Cut-off Date
Balance of the Mortgage
Loans Outstanding 100.00% 98.78% 97.45% 95.99% 92.00% 89.90% 82.45% 73.04%
</TABLE>
<TABLE>
<CAPTION>
July 2004 July 2005 July 2006
--------- --------- ---------
<S> <C> <C> <C>
Lock Out
Yield Maintenance 63.22% 48.80% 3.47%
Greater of YM or 2%
Greater of YM or 3%
1.00 - 1.99% 0.56 0.41
2.00 - 2.99% 0.43
3.00 - 3.99%
4.00 - 4.99%
5.00 - 5.99% 0.21
No Penalty 7.02 12.86 0.70
Paid Down (2) 28.76 37.93 95.62
------ ------ ------
TOTAL 100.00% 100.00% 100.00%
====== ====== ======
Aggregate Principal Balance
of the Mortgage Loans
($Millions) $343.64 $299.39 $21.14
Percentage of Cut-off Date
Balance of the Mortgage
Loans Outstanding 71.24% 62.07% 4.38%
</TABLE>
- ----------
(1) Prepayment provisions in effect as a percentage of Cut-off Date Balance as
of the date indicated assuming no prepayments.
(2) Scheduled amortization and balloon payments only.
A-53
<PAGE>
1995 DEBT SERVICE COVERAGE RATIO
MORTGAGE POOL
<TABLE>
<CAPTION>
Weighted
Aggregate % of Weighted Average Weighted
# of % of # of Cut-off Initial Average Cut-off Average
Range of Mortgage Mortgage Mortgaged Date Pool 1995 Date Mortgage
1995 DSCR Loans Loans Properties Balance Balance DSCR LTV Ratio Rate
--------- ----- ----- ---------- ------- ------- ---- --------- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1.10x - 1.19x 1 0.6% 1 $ 4,176,487 0.9% 1.13x 68.5% 8.840%
1.20x - 1.29x 10 6.2% 10 $ 57,167,515 11.9% 1.26x 74.9% 8.600%
1.30x - 1.39x 31 19.1% 39 $112,081,058 23.2% 1.36x 68.8% 8.808%
1.40x - 1.49x 34 21.0% 40 $100,510,386 20.8% 1.45x 70.0% 8.717%
1.50x - 1.59x 31 19.1% 31 $ 78,673,073 16.3% 1.58x 67.4% 8.587%
1.60x - 1.69x 19 11.7% 19 $ 45,922,853 9.5% 1.63x 68.4% 8.823%
1.70x - 1.79x 14 8.6% 14 $ 31,245,127 6.5% 1.74x 64.6% 8.518%
1.80x - 1.89x 8 4.9% 8 $ 28,266,609 5.9% 1.84x 62.5% 8.346%
1.90x - 1.99x 8 4.9% 8 $ 12,097,722 2.5% 1.94x 63.3% 9.544%
2.00x - 2.99x 5 3.1% 5 $ 10,280,831 2.1% 2.20x 54.7% 8.268%
3.00x - 4.00x 1 0.6% 1 $ 1,936,150 0.4% 3.05x 57.4% 7.360%
--- ----- --- ------------ ----- ---- ---- -----
Totals/Wtd Avg 162 100.0% 176 $482,357,812 100.0% 1.52x 68.4% 8.685%
=== ===== === ============ ===== ==== ==== =====
</TABLE>
1995 DEBT SERVICE COVERAGE RATIO
LOAN GROUP 1
<TABLE>
<CAPTION>
Weighted
Aggregate % of Weighted Average Weighted
# of % of # of Cut-off Initial Average Cut-off Average
Range of Mortgage Mortgage Mortgaged Date Group 1 1995 Date Mortgage
1995 DSCR Loans Loans Properties Balance Balance DSCR LTV Ratio Rate
--------- ----- ----- ---------- ------- ------- ---- --------- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1.30x - 1.39x 1 12.5% 1 $ 1,015,808 3.4% 1.39x 65.5% 8.625%
1.40x - 1.49x 1 12.5% 1 $ 4,836,173 16.1% 1.42x 57.6% 8.000%
1.60x - 1.69x 1 12.5% 1 $ 3,152,094 10.5% 1.61x 70.1% 8.219%
1.70x - 1.79x 4 50.0% 4 $17,366,268 58.0% 1.75x 65.5% 8.235%
1.80x - 1.89x 1 12.5% 1 $ 3,596,608 12.0% 1.81x 67.3% 8.219%
- ----- - ----------- ----- ---- ---- -----
Totals/Wtd Avg 8 100.0% 8 $29,966,951 100.0% 1.67x 64.9% 8.207%
= ===== = =========== ===== ==== ==== =====
</TABLE>
1995 DEBT SERVICE COVERAGE RATIO
LOAN GROUP 2
<TABLE>
<CAPTION>
Weighted
Aggregate % of Weighted Average Weighted
# of % of # of Cut-off Initial Average Cut-off Average
Range of Mortgage Mortgage Mortgaged Date Group 2 1995 Date Mortgage
1995 DSCR Loans Loans Properties Balance Balance DSCR LTV Ratio Rate
--------- ----- ----- ---------- ------- ------- ---- --------- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1.10x - 1.19x 1 0.6% 1 $ 4,176,487 0.9% 1.13x 68.5% 8.840%
1.20x - 1.29x 10 6.5% 10 $ 57,167,515 12.6% 1.26x 74.9% 8.600%
1.30x - 1.39x 30 19.5% 38 $111,065,250 24.6% 1.36x 68.9% 8.809%
1.40x - 1.49x 33 21.4% 39 $ 95,674,213 21.1% 1.45x 70.6% 8.754%
1.50x - 1.59x 31 20.1% 31 $ 78,673,073 17.4% 1.56x 67.4% 8.587%
1.60x - 1.69x 18 11.7% 18 $ 42,770,759 9.5% 1.64x 68.2% 8.867%
1.70x - 1.79x 10 6.5% 10 $ 13,878,859 3.1% 1.73x 63.5% 8.871%
1.80x - 1.89x 7 4.5% 7 $ 24,670,002 5.5% 1.85x 61.8% 8.364%
1.90x - 1.99x 8 5.2% 8 $ 12,097,722 2.7% 1.94x 63.3% 9.544%
2.00x - 2.99x 5 3.2% 5 $ 10,280,831 2.3% 2.20x 54.7% 8.268%
3.00x - 4.00x 1 0.6% 1 $ 1,936,150 0.4% 3.05x 57.4% 7.360%
--- ----- --- ------------ ----- ---- ---- -----
Totals/Wtd Avg 154 100.0% 168 $452,390,861 100.0% 1.50x 68.6% 8.717%
=== ===== === ============ ===== ==== ==== =====
</TABLE>
A-54
<PAGE>
CUT-OFF DATE LOAN-TO-VALUE RATIO
MORTGAGE POOL
<TABLE>
<CAPTION>
Weighted
Aggregate % of Weighted Average Weighted
# of % of # of Cut-off Initial Average Cut-off Average
Range of Mortgage Mortgage Mortgaged Date Pool 1995 Date Mortgage
Cut-off Date LTV Loans Loans Properties Balance Balance DSCR LTV Rate
---------------- ----- ----- ---------- ------- ------- ---- --- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
25% - 49% 6 3.7% 6 $ 10,067,260 2.1% 1.83x 44.0% 9.111%
50% - 59% 21 13.0% 21 $ 50,599,052 10.5% 1.67x 56.2% 8.731%
60% - 69% 54 33.3% 54 $156,900,358 32.5% 1.58x 65.7% 8.786%
70% - 79% 81 50.0% 95 $264,791,142 54.9% 1.43x 73.2% 8.600%
--- ----- --- ------------ ----- ---- ---- -----
Totals/Wtd Avg 162 100.0% 176 $482,357,812 100.0% 1.52x 68.4% 8.685%
=== ===== === ============ ===== ==== ==== =====
</TABLE>
CUT-OFF DATE LOAN-TO-VALUE RATIO
LOAN GROUP 1
<TABLE>
<CAPTION>
Weighted
Aggregate % of Weighted Average Weighted
# of % of # of Cut-off Initial Average Cut-off Average
Range of Mortgage Mortgage Mortgaged Date Group 1 1995 Date Mortgage
Cut-off Date LTV Loans Loans Properties Balance Balance DSCR LTV Rate
---------------- ----- ----- ---------- ------- ------- ---- --- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
50% - 59% 1 12.5% 1 $ 4,836,173 16.1% 1.42x 57.6% 8.000%
60% - 69% 4 50.0% 4 $18,909,481 63.1% 1.74x 64.8% 8.241%
70% - 79% 3 37.5% 3 $ 6,221,297 20.8% 1.68x 71.0% 8.264%
- ----- - ----------- ----- ---- ---- -----
Totals/Wtd Avg 8 100.0% 8 $29,966,951 100.0% 1.67x 64.9% 8.207%
= ===== = =========== ===== ==== ==== =====
</TABLE>
CUT-OFF DATE LOAN-TO-VALUE RATIO
LOAN GROUP 2
<TABLE>
<CAPTION>
Weighted
Aggregate % of Weighted Average Weighted
# of % of # of Cut-off Initial Average Cut-off Average
Range of Mortgage Mortgage Mortgaged Date Group 2 1995 Date Mortgage
Cut-off Date LTV Loans Loans Properties Balance Balance DSCR LTV Rate
---------------- ----- ----- ---------- ------- ------- ---- --- ----
<C> <C> <C> <C> <C> <C> <C> <C> <C>
25% - 49% 6 3.9% 6 $ 10,067,260 2.2% 1.83x 44.0% 9.111%
50% - 59% 20 13.0% 20 $ 45,762,879 10.1% 1.70x 56.1% 8.809%
60% - 69% 50 32.5% 50 $137,990,878 30.5% 1.56x 65.9% 8.861%
70% - 79% 78 50.6% 92 $258,569,844 57.2% 1.43x 73.3% 8.608%
--- ----- --- ------------ ----- ---- ---- -----
Totals/Wtd Avg 154 100.0% 168 $452,390,861 100.0% 1.50x 68.6% 8.717%
=== ===== === ============ ===== ==== ==== =====
</TABLE>
A-55
<PAGE>
PROPERTY TYPE
MORTGAGE POOL
<TABLE>
<CAPTION>
Weighted
Average Aggregate % of Weighted Average Weighted
# of % of # of Cut-off Cut-off Initial Average Cut-off Average
Mortgage Mortgage Mortgaged Date Date Pool 1995 Date Mortgage
Property Type Loans Loans Properties Balance Balance Balance DSCR LTV Rate
------------- ----- ---------------- ------- ------- ------- ---- --- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Industrial 3 1.9% 3 $2,074,580 $ 6,223,740 1.3% 1.71x 61.2% 8.663%
Mobil Home 1 0.6% 1 $4,991,089 $ 4,991,089 1.0% 1.59x 64.8% 8.630%
Multifamily 81 50.0% 91 $2,699,785 $218,682,582 45.3% 1.56x 69.4% 8.320%
Nursing 5 3.1% 5 $4,071,782 $ 20,358,912 4.2% 1.49x 65.0% 9.758%
Office 3 1.9% 3 $3,060,233 $ 9,180,700 1.9% 1.74x 62.9% 8.647%
Office/Retail 1 0.6% 1 $5,474,056 $ 5,474,056 1.1% 1.49x 57.6% 8.750%
Retail 33 20.4% 34 $4,495,634 $148,355,908 30.8% 1.39x 69.6% 8.714%
Selfstorage 35 21.6% 38 $1,974,024 $ 69,090,824 14.3% 1.59x 66.2% 9.468%
--- ----- --- ---------- ------------ ----- ---- ---- -----
Totals/Wtd Avg 162 100.0% 176 $2,977,517 $482,357,812 100.0% 1.52x 68.4% 8.685%
=== ===== === ========== ============ ===== ==== ==== =====
</TABLE>
PROPERTY TYPE
LOAN GROUP 1
<TABLE>
<CAPTION>
Weighted
Average Aggregate % of Weighted Average Weighted
# of % of # of Cut-off Cut-off Initial Average Cut-off Average
Mortgage Mortgage Mortgaged Date Date Group 1 1995 Date Mortgage
Property Type Loans Loans Properties Balance Balance Balance DSCR LTV Rate
------------- ----- ---------------- ------- ------- ------- ---- --- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Multifamily 8 100.0% 8 $3,745,869 $29,966,951 100.0% 1.67x 64.9% 8.207%
- ----- - ---------- ----------- ----- ---- ---- -----
Totals/Wtd Avg 8 100.0% 8 $3,745,869 $29,966,951 100.0% 1.67x 64.9% 8.207%
= ===== = ========== =========== ===== ==== ==== =====
</TABLE>
PROPERTY TYPE
LOAN GROUP 2
<TABLE>
<CAPTION>
Weighted
Average Aggregate % of Weighted Average Weighted
# of % of # of Cut-off Cut-off Initial Average Cut-off Average
Mortgage Mortgage Mortgaged Date Date Group 2 1995 Date Mortgage
Property Type Loans Loans Properties Balance Balance Balance DSCR LTV Rate
------------- ----- ---------------- ------- ------- ------- ---- --- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Industrial 3 1.9% 3 $2,074,580 $ 6,223,740 1.4% 1.71x 61.2% 8.663%
Mobil Home 1 0.6% 1 $4,991,089 $ 4,991,089 1.1% 1.59x 64.8% 8.630%
Multifamily 73 47.4% 83 $2,585,146 $188,715,632 41.7% 1.54x 70.1% 8.338%
Nursing 5 3.2% 5 $4,071,782 $ 20,358,912 4.5% 1.49x 65.0% 9.758%
Office 3 1.9% 3 $3,060,233 $ 9,180,700 2.0% 1.74x 62.9% 8.647%
Office/Retail 1 0.6% 1 $5,474,056 $ 5,474,056 1.2% 1.49x 57.6% 8.750%
Retail 33 21.4% 34 $4,495,634 $148,355,908 32.8% 1.39x 69.6% 8.714%
Selfstorage 35 22.7% 38 $1,974,024 $ 69,090,824 15.3% 1.59x 66.2% 9.468%
--- ----- --- ---------- ------------ ----- ---- ---- -----
Totals/Wtd Avg 154 100.0% 168 $2,937,603 $452,390,861 100.0% 1.50x 68.6% 8.717%
=== ===== === ========== ============ ===== ==== ==== =====
</TABLE>
A-56
<PAGE>
GEOGRAPHIC DISTRIBUTION
MORTGAGE POOL
<TABLE>
<CAPTION>
Weighted
Aggregate % of Weighted Average Weighted
# of % of # of Cut-off Initial Average Cut-off Average
Mortgage Mortgage Mortgaged Date Pool 1995 Date Mortgage
States Loans Loans Properties Balance Balance DSCR LTV Rate
------ ----- ----- ---------- ------- ------- ---- --- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
AK 5 3.1% 5 $ 7,422,940 1.5% 2.07x 63.3% 8.963%
AL 1 0.6% 1 $ 1,794,934 0.4% 1.34x 70.4% 8.740%
AZ 8 4.9% 8 $ 16,035,006 3.3% 1.61x 65.0% 8.804%
CA 18 11.1% 18 $ 64,445,470 13.4% 1.54x 67.5% 8.889%
CO 1 0.6% 1 $ 3,366,058 0.7% 1.60x 71.6% 9.125%
CT 2 1.2% 2 $ 3,063,033 0.6% 1.22x 74.3% 8.822%
DE 1 0.6% 1 $ 1,898,333 0.4% 1.49x 74.4% 9.100%
FL 15 9.3% 15 $ 40,406,774 8.4% 1.40x 67.4% 8.869%
GA 4 2.5% 4 $ 12,701,998 2.6% 1.31x 71.9% 8.884%
IA 1 0.6% 1 $ 1,668,577 0.3% 1.45x 73.2% 9.875%
IL 3 1.9% 11 $ 19,639,195 4.1% 1.39x 70.9% 7.848%
IN 1 0.6% 1 $ 2,792,172 0.6% 1.39x 74.0% 8.780%
LA 3 1.9% 3 $ 8,636,457 1.8% 1.47x 69.1% 9.527%
MA 9 5.6% 11 $ 18,135,384 3.8% 1.55x 70.4% 8.734%
MD 3 1.9% 3 $ 9,146,794 1.9% 1.55x 68.0% 8.347%
MI 1 0.6% 1 $ 3,034,000 0.6% 1.32x 67.4% 10.220%
MN 1 0.6% 1 $ 2,984,523 0.6% 1.64x 74.6% 8.200%
MO 1 0.6% 1 $ 6,186,080 1.3% 1.38x 72.8% 8.160%
MS 1 0.6% 1 $ 1,178,142 0.2% 1.54x 62.0% 9.766%
NC 13 8.0% 14 $ 34,293,855 7.1% 1.47x 70.1% 8.640%
NH 1 0.6% 1 $ 2,391,840 0.5% 1.33x 72.5% 8.000%
NJ 6 3.7% 6 $ 10,996,707 2.3% 1.50x 63.8% 8.988%
NV 3 1.9% 3 $ 13,145,686 2.7% 1.63x 68.9% 8.650%
NY 25 15.4% 25 $ 66,408,600 13.8% 1.65x 65.3% 8.457%
OH 4 2.5% 4 $ 12,507,575 2.6% 1.47x 69.8% 8.138%
OK 1 0.6% 1 $ 1,288,799 0.3% 1.34x 69.7% 8.750%
PA 5 3.1% 5 $ 29,471,999 6.1% 1.38x 71.3% 8.871%
SC 2 1.2% 2 $ 2,374,868 0.5% 1.60x 67.9% 9.050%
TN 6 3.7% 6 $ 13,951,971 2.9% 1.78x 65.6% 8.785%
TX 11 6.8% 11 $ 30,841,376 6.4% 1.53x 68.2% 8.829%
UT 1 0.6% 1 $ 7,844,670 1.6% 1.78x 64.6% 8.219%
VA 4 2.5% 7 $ 27,467,825 5.7% 1.32x 74.2% 8.504%
WA 1 0.6% 1 $ 4,836,173 1.0% 1.42x 57.6% 8.000%
--- ----- --- ------------ ----- ---- ---- -----
Totals/Wtd Avg 162 100.0% 176 $482,357,812 100.0% 1.52x 68.4% 8.685%
=== ===== === ============ ===== ==== ==== =====
</TABLE>
GEOGRAPHIC DISTRIBUTION
LOAN GROUP 1
<TABLE>
<CAPTION>
Weighted
Aggregate % of Weighted Average Weighted
# of % of # of Cut-off Initial Average Cut-off Average
Mortgage Mortgage Mortgaged Date Group 1 1995 Date Mortgage
States Loans Loans Properties Balance Balance DSCR LTV Rate
------ ----- ----- ---------- ------- ------- ---- --- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
AZ 1 12.5% 1 $ 6,452,395 21.5% 1.70x 63.6% 8.219%
PA 2 25.0% 2 $ 2,291,028 7.6% 1.61x 68.7% 8.521%
TX 3 37.5% 3 $ 8,542,684 28.5% 1.72x 69.5% 8.219%
UT 1 12.5% 1 $ 7,844,670 26.2% 1.78x 64.6% 8.219%
WA 1 12.5% 1 $ 4,836,173 16.1% 1.42x 57.6% 8.000%
- ----- - ----------- ----- ---- ---- -----
Totals/Wtd Avg 8 100.0% 8 $29,966,951 100.0% 1.67x 64.9% 8.207%
= ===== = =========== ===== ==== ==== =====
</TABLE>
A-57
<PAGE>
GEOGRAPHIC DISTRIBUTION
LOAN GROUP 2
<TABLE>
<CAPTION>
Weighted
Aggregate % of Weighted Average Weighted
# of % of # of Cut-off Initial Average Cut-off Average
Mortgage Mortgage Mortgaged Date Group 2 1995 Date Mortgage
States Loans Loans Properties Balance Balance DSCR LTV Rate
------ ----- ----- ---------- ------- ------- ---- --- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
AK 5 3.2% 5 $ 7,422,940 1.6% 2.07x 63.3% 8.963%
AL 1 0.6% 1 $ 1,794,934 0.4% 1.34x 70.4% 8.740%
AZ 7 4.5% 7 $ 9,582,610 2.1% 1.55x 66.0% 9.198%
CA 18 11.7% 18 $ 64,445,470 14.2% 1.54x 67.5% 8.889%
CO 1 0.6% 1 $ 3,366,058 0.7% 1.60x 71.6% 9.125%
CT 2 1.3% 2 $ 3,063,033 0.7% 1.22x 74.3% 8.822%
DE 1 0.6% 1 $ 1,898,333 0.4% 1.49x 74.4% 9.100%
FL 15 9.7% 15 $ 40,406,774 8.9% 1.40x 67.4% 8.869%
GA 4 2.6% 4 $ 12,701,998 2.8% 1.31x 71.9% 8.884%
IA 1 0.6% 1 $ 1,668,577 0.4% 1.45x 73.2% 9.875%
IL 3 1.9% 11 $ 19,639,195 4.3% 1.39x 70.9% 7.848%
IN 1 0.6% 1 $ 2,792,172 0.6% 1.39x 74.0% 8.780%
LA 3 1.9% 3 $ 8,636,457 1.9% 1.47x 69.1% 9.527%
MA 9 5.8% 11 $ 18,135,384 4.0% 1.55x 70.4% 8.734%
MD 3 1.9% 3 $ 9,146,794 2.0% 1.55x 68.0% 8.347%
MI 1 0.6% 1 $ 3,034,000 0.7% 1.32x 67.4% 10.220%
MN 1 0.6% 1 $ 2,984,523 0.7% 1.64x 74.6% 8.200%
MO 1 0.6% 1 $ 6,186,080 1.4% 1.38x 72.8% 8.160%
MS 1 0.6% 1 $ 1,178,142 0.3% 1.54x 62.0% 9.766%
NC 13 8.4% 14 $ 34,293,855 7.6% 1.47x 70.1% 8.640%
NH 1 0.6% 1 $ 2,391,840 0.5% 1.33x 72.5% 8.000%
NJ 6 3.9% 6 $ 10,996,707 2.4% 1.50x 63.8% 8.988%
NV 3 1.9% 3 $ 13,145,686 2.9% 1.63x 68.9% 8.650%
NY 25 16.2% 25 $ 66,408,600 14.7% 1.65x 65.3% 8.457%
OH 4 2.6% 4 $ 12,507,575 2.8% 1.47x 69.8% 8.138%
OK 1 0.6% 1 $ 1,288,799 0.3% 1.34x 69.7% 8.750%
PA 3 1.9% 3 $ 27,180,970 6.0% 1.36x 71.5% 8.901%
SC 2 1.3% 2 $ 2,374,868 0.5% 1.60x 67.9% 9.050%
TN 6 3.9% 6 $ 13,951,971 3.1% 1.78x 65.6% 8.785%
TX 8 5.2% 8 $ 22,298,691 4.9% 1.46x 67.7% 9.063%
VA 4 2.6% 7 $ 27,467,825 6.1% 1.32x 74.2% 8.504%
--- ----- --- ------------ ----- ---- ---- -----
Totals/Wtd Avg 154 100.0% 168 $452,390,861 100.0% 1.50x 68.6% 8.717%
=== ===== === ============ ===== ==== ==== =====
</TABLE>
A-58
<PAGE>
MORTGAGE RATE
MORTGAGE POOL
<TABLE>
<CAPTION>
Weighted
Aggregate % of Weighted Average Weighted
# of % of # of Cut-off Initial Average Cut-off Average
Range of Mortgage Mortgage Mortgaged Date Pool 1995 Date Mortgage
Mortgage Rates Loans Loans Properties Balance Balance DSCR LTV Rate
-------------- ----- ----- ---------- ------- ------- ---- --- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
7.00% - 7.49% 2 1.2% 2 $ 9,108,881 1.9% 1.77x 68.7% 7.439%
7.50% - 7.99% 12 7.4% 12 $ 47,665,247 9.9% 1.68x 66.9% 7.828%
8.00% - 8.49% 51 31.5% 59 $165,467,331 34.3% 1.51x 69.3% 8.171%
8.50% - 8.99% 31 19.1% 32 $ 87,450,791 18.1% 1.45x 69.1% 8.741%
9.00% - 9.49% 31 19.1% 33 $109,835,338 22.8% 1.45x 69.5% 9.163%
9.50% - 9.99% 20 12.3% 23 $ 32,273,265 6.7% 1.62x 61.9% 9.714%
10.00% - 10.49% 14 8.6% 14 $ 28,942,845 6.0% 1.51x 66.6% 10.174%
10.50% - 10.99% 1 0.6% 1 $ 1,614,114 0.3% 1.41x 57.6% 10.875%
--- ----- --- ------------ ----- ---- ---- -----
Totals/Wtd Avg 162 100.0% 176 $482,357,812 100.0% 1.52x 68.4% 8.685%
=== ===== === ============ ===== ==== ==== =====
</TABLE>
MORTGAGE RATE
LOAN GROUP 1
<TABLE>
<CAPTION>
Weighted
Aggregate % of Weighted Average Weighted
# of % of # of Cut-off Initial Average Cut-off Average
Range of Mortgage Mortgage Mortgaged Date Group 1 1995 Date Mortgage
Mortgage Rates Loans Loans Properties Balance Balance DSCR LTV Rate
-------------- ----- ----- ---------- ------- ------- ---- --- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
8.00% - 8.49% 7 87.5% 7 $ 28,951,143 96.6% 1.68x 64.9% 8.192%
8.50% - 8.99% 1 12.5% 1 $ 1,015,808 3.4% 1.39x 65.5% 8.625%
- ----- - ------------ ----- ---- ---- -----
Totals/Wtd Avg 8 100.0% 8 $ 29,966,951 100.0% 1.67x 64.9% 8.207%
= ===== = ============ ===== ==== ==== =====
</TABLE>
MORTGAGE RATE
LOAN GROUP 2
<TABLE>
<CAPTION>
Weighted
Aggregate % of Weighted Average Weighted
# of % of # of Cut-off Initial Average Cut-off Average
Range of Mortgage Mortgage Mortgaged Date Group 2 1995 Date Mortgage
Mortgage Rates Loans Loans Properties Balance Balance DSCR LTV Rate
-------------- ----- ----- ---------- ------- ------- ---- --- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
7.00% - 7.49% 2 1.3% 2 $ 9,108,881 2.0% 1.77x 68.7% 7.439%
7.50% - 7.99% 12 7.8% 12 $ 47,665,247 10.5% 1.68x 66.9% 7.828%
8.00% - 8.49% 44 28.6% 52 $136,516,188 30.2% 1.48x 70.3% 8.167%
8.50% - 8.99% 30 19.5% 31 $ 86,434,983 19.1% 1.45x 69.1% 8.743%
9.00% - 9.49% 31 20.1% 33 $109,835,338 24.3% 1.45x 69.5% 9.163%
9.50% - 9.99% 20 13.0% 23 $ 32,273,265 7.1% 1.62x 61.9% 9.714%
10.00% - 10.49% 14 9.1% 14 $ 28,942,845 6.4% 1.51x 66.6% 10.174%
10.50% - 10.99% 1 0.6% 1 $ 1,614,114 0.4% 1.41x 57.6% 10.875%
--- ----- --- ------------ ----- ---- ---- -----
Totals/Wtd Avg 154 100.0% 168 $452,390,861 100.0% 1.50x 68.6% 8.717%
=== ===== === ============ ===== ==== ==== =====
</TABLE>
A-59
<PAGE>
CUT-OFF DATE BALANCE
MORTGAGE POOL
<TABLE>
<CAPTION>
Weighted
Aggregate % of Weighted Average Weighted
Range of # of % of # of Cut-off Initial Average Cut-off Average
Cut-off Date Mortgage Mortgage Mortgaged Date Pool 1995 Date Mortgage
Balances (000's) Loans Loans Properties Balance Balance DSCR LTV Ratio Rate
---------------- ----- ----- ---------- ------- ------- ---- --------- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$0 - $999 29 17.9% 29 $ 20,212,178 4.2% 1.63x 67.7% 8.817%
$1,000 - $2,499 71 43.8% 71 $115,006,213 23.8% 1.60x 66.1% 8.999%
$2,500 - $4,999 35 21.6% 40 $125,684,259 26.1% 1.54x 68.3% 8.573%
$5,000 - $9,999 21 13.0% 22 $142,254,481 29.5% 1.48x 69.1% 8.605%
$10,000 - $18,990 6 3.7% 14 $ 79,200,680 16.4% 1.38x 70.6% 8.519%
--- ----- --- ------------ ----- ---- ---- -----
Totals/Wtd Avg 162 100.0% 176 $482,357,812 100.0% 1.52x 68.4% 8.685%
=== ===== === ============ ===== ==== ==== =====
</TABLE>
CUT-OFF DATE BALANCE
LOAN GROUP 1
<TABLE>
<CAPTION>
Weighted
Aggregate % of Weighted Average Weighted
Range of # of % of # of Cut-off Initial Average Cut-off Average
Cut-off Date Mortgage Mortgage Mortgaged Date Group 1 1995 Date Mortgage
Balances (000's) Loans Loans Properties Balance Balance DSCR LTV Ratio Rate
---------------- ----- ----- ---------- ------- ------- ---- --------- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$1,000 - $2,499 3 37.5% 3 $ 4,085,011 13.6% 1.66x 70.4% 8.388%
$2,500 - $4,999 3 37.5% 3 $ 11,584,874 38.7% 1.59x 64.0% 8.128%
$5,000 - $9,999 2 25.0% 2 $ 14,297,065 47.7% 1.74x 64.1% 8.219%
- ----- - ------------ ----- ---- ---- -----
Totals/Wtd Avg 8 100.0% 8 $ 29,966,951 100.0% 1.67x 64.9% 8.207%
= ===== = ============ ===== ==== ==== =====
</TABLE>
CUT-OFF DATE BALANCE
LOAN GROUP 2
<TABLE>
<CAPTION>
Weighted
Aggregate % of Weighted Average Weighted
Range of # of % of # of Cut-off Initial Average Cut-off Average
Cut-off Date Mortgage Mortgage Mortgaged Date Group 2 1995 Date Mortgage
Balances (000's) Loans Loans Properties Balance Balance DSCR LTV Ratio Rate
---------------- ----- ----- ---------- ------- ------- ---- --------- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
$0 - $999 29 18.8% 29 $ 20,212,178 4.5% 1.63x 67.7% 8.817%
$1,000 - $2,499 68 44.2% 68 $110,921,201 24.5% 1.60x 66.0% 9.021%
$2,500 - $4,999 32 20.8% 37 $114,099,385 25.2 % 1.54x 68.8% 8.618%
$5,000 - $9,999 19 12.3% 20 $127,957,417 28.3 % 1.45x 69.7% 8.648%
$10,000 - $18,990 6 3.9% 14 $ 79,200,680 17.5 % 1.38x 70.6% 8.519%
--- ----- --- ------------ ----- ---- ---- -----
Totals/Wtd Avg 154 100.0% 168 $452,390,861 100.0% 1.50x 68.6% 8.717%
=== ===== === ============ ===== ==== ==== =====
</TABLE>
A-60
<PAGE>
YEAR OF MORTGAGE ORIGINATION
MORTGAGE POOL
<TABLE>
<CAPTION>
Weighted
Aggregate % of Weighted Average Weighted
# of % of # of Cut-off Initial Average Cut-off Average
Year of Mortgage Mortgage Mortgaged Date Pool 1995 Date Mortgage
Origination Loans Loans Properties Balance Balance DSCR LTV Rate
----------- ----- ----- ---------- ------- ------- ---- --- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1992 1 0.6% 1 $ 12,423,775 2.6% 1.37x 70.6% 9.000%
1993 2 1.2% 2 $ 3,899,517 0.8% 1.36x 45.6% 9.242%
1994 18 11.1% 18 $ 43,612,342 9.0% 1.61x 65.5% 8.829%
1995 94 58.0% 100 $232,977,761 48.3% 1.54x 68.2% 8.789%
1996 47 29.0% 55 $189,444,417 39.3% 1.47x 69.6% 8.492%
--- ----- --- ------------ ----- ---- ---- -----
Totals/Wtd Avg 162 100.0% 176 $482,357,812 100.0% 1.52x 68.4% 8.685%
=== ===== === ============ ===== ==== ==== =====
</TABLE>
YEAR OF MORTGAGE ORIGINATION
LOAN GROUP 1
<TABLE>
<CAPTION>
Weighted
Aggregate % of Weighted Average Weighted
# of % of # of Cut-off Initial Average Cut-off Average
Year of Mortgage Mortgage Mortgaged Date Group 1 1995 Date Mortgage
Origination Loans Loans Properties Balance Balance DSCR LTV Rate
----------- ----- ----- ---------- ------- ------- ---- --- ----
<C> <C> <C> <C> <C> <C> <C> <C> <C>
1994 8 100.0 % 8 $29,966,951 100.0% 1.67x 64.9% 8.207%
- ----- - ----------- ----- ---- ---- -----
Totals/Wtd Avg 8 100.0 % 8 $29,966,951 100.0% 1.67x 64.9% 8.207%
= ===== = =========== ===== ==== ==== =====
</TABLE>
YEAR OF MORTGAGE ORIGINATION
LOAN GROUP 2
<TABLE>
<CAPTION>
Weighted
Aggregate % of Weighted Average Weighted
# of % of # of Cut-off Initial Average Cut-off Average
Year of Mortgage Mortgage Mortgaged Date Group 2 1995 Date Mortgage
Origination Loans Loans Properties Balance Balance DSCR LTV Rate
----------- ----- ----- ---------- ------- ------- ---- --- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1992 1 0.6% 1 $ 12,423,775 2.7% 1.37x 70.6% 9.000%
1993 2 1.3% 2 $ 3,899,517 0.9% 1.36x 45.6% 9.242%
1994 10 6.5% 10 $ 13,645,392 3.0% 1.48x 66.6% 10.195%
1995 94 61.0% 100 $232,977,761 51.5% 1.54x 68.2% 8.789%
1996 47 30.5% 55 $189,444,417 41.9% 1.47 69.6% 8.492%
--- ----- --- ------------ ----- ---- ---- -----
Totals/Wtd Avg 154 100.0% 168 $452,390,861 100.0 % 1.50x 68.6% 8.717%
=== ===== === ============ ===== ==== ==== =====
</TABLE>
A-61
<PAGE>
ORIGINAL TERM TO MATURITY
MORTGAGE POOL
<TABLE>
<CAPTION>
Weighted
Range of Aggregate % of Weighted Average Weighted
Original # of % of # of Cut-off Initial Average Cut-off Average
Terms to Mortgage Mortgage Mortgaged Date Pool 1995 Date Mortgage
Maturity (Mos.) Loans Loans Properties Balance Balance DSCR LTV Rate
--------------- ----- ----- ---------- ------- ------- ---- --- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
72 - 83 3 1.9% 3 $ 4,790,523 1.0% 1.75x 61.2% 9.240%
84 - 95 29 17.9% 32 $ 81,781,432 17.0% 1.50x 67.5% 8.908%
96 - 119 3 1.9% 3 $ 2,640,348 0.5% 1.36x 67.0% 9.042%
120 - 179 114 70.4% 124 $362,993,725 75.3% 1.50x 68.8% 8.647%
180 - 239 11 6.8% 12 $ 29,006,441 6.0% 1.69x 67.0% 8.351%
240 - 300 2 1.2% 2 $ 1,145,343 0.2% 1.34x 71.6% 10.125%
--- ----- --- ------------ ----- ---- ---- -----
Totals/Wtd Avg 162 100.0% 176 $482,357,812 100.0% 1.52x 68.4% 8.685%
=== ===== === ============ ===== ==== ==== -=====
</TABLE>
ORIGINAL TERM TO MATURITY
LOAN GROUP 1
<TABLE>
<CAPTION>
Weighted
Range of Aggregate % of Weighted Average Weighted
Original # of % of # of Cut-off Initial Average Cut-off Average
Terms to Mortgage Mortgage Mortgaged Date Group 1 1995 Date Mortgage
Maturity (Mos.) Loans Loans Properties Balance Balance DSCR LTV Rate
--------------- ----- ----- ---------- ------- ------- ---- --- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
84 - 95 3 37.5% 3 $ 7,127,201 23.8% 1.48x 61.2% 8.167%
120 - 179 5 62.5% 5 $22,839,749 76.2% 1.73x 66.1% 8.219%
- ----- - ----------- ----- ---- ---- -----
Totals/Wtd Avg 8 100.0% 8 $29,966,951 100.0% 1.67x 64.9% 8.207%
= ===== = =========== ===== ==== ==== =====
</TABLE>
ORIGINAL TERM TO MATURITY
LOAN GROUP 2
<TABLE>
<CAPTION>
Weighted
Range of Aggregate % of Weighted Average Weighted
Original # of % of # of Cut-off Initial Average Cut-off Average
Terms to Mortgage Mortgage Mortgaged Date Group 2 1995 Date Mortgage
Maturity (Mos.) Loans Loans Properties Balance Balance DSCR LTV Rate
--------------- ----- ----- ---------- ------- ------- ---- --- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
72 - 83 3 1.9% 3 $ 4,790,523 1.1% 1.75x 61.2% 9.240%
84 - 95 26 16.9% 29 $ 74,654,231 16.5% 1.50x 68.1% 8.979%
96 - 119 3 1.9% 3 $ 2,640,348 0.6% 1.36x 67.0% 9.042%
120 - 179 109 70.8% 119 $340,153,976 75.2% 1.49x 69.0% 8.676%
180 - 239 11 7.1% 12 $ 29,006,441 6.4% 1.69x 67.0% 8.351%
240 - 300 2 1.3% 2 $ 1,145,343 0.3% 1.34x 71.6% 10.125%
--- ----- --- ------------ ----- ---- ---- ------
Totals/Wtd Avg 154 100.0% 168 $452,390,861 100.0% 1.50x 68.6% 8.717%
=== ===== === ============ ===== ==== ==== =====
</TABLE>
A-62
<PAGE>
ORIGINAL AMORTIZATION TERM
MORTGAGE POOL
<TABLE>
<CAPTION>
Weighted
Range of Aggregate % of Weighted Average Weighted
Original # of % of # of Cut-off Initial Average Cut-off Average
Amortization Mortgage Mortgage Mortgaged Date Pool 1995 Date Mortgage
Terms (Mos.) Loans Loans Properties Balance Balance DSCR LTV Rate
------------ ----- ----- ---------- ------- ------- ---- --- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
0 - 180 2 1.2% 2 $ 3,899,517 0.8% 1.36x 45.6% 9.242%
180 - 239 10 6.2% 10 $ 15,778,275 3.3% 1.59x 62.7% 8.617%
240 - 299 10 6.2% 10 $ 27,748,302 5.8% 1.61x 62.0% 8.870%
300 - 311 86 53.1% 92 $215,958,043 44.8% 1.58x 67.2% 8.920%
348 - 360 54 33.3% 62 $218,973,676 45.4% 1.44x 71.1% 8.425%
--- ----- --- ------------ ----- ---- ---- -----
Totals/Wtd Avg 162 100.0% 176 $482,357,812 100.0% 1.52x 68.4% 8.685%
=== ===== === ============ ===== ==== ==== =====
</TABLE>
ORIGINAL AMORTIZATION TERM
LOAN GROUP 1
<TABLE>
<CAPTION>
Weighted
Range of Aggregate % of Weighted Average Weighted
Original # of % of # of Cut-off Initial Average Cut-off Average
Amortization Mortgage Mortgage Mortgaged Date Group 1 1995 Date Mortgage
Terms (Mos.) Loans Loans Properties Balance Balance DSCR LTV Rate
------------ ----- ----- ---------- ------- ------- ---- --- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
300 - 311 2 25.0% 2 $ 6,111,393 20.4% 1.50x 60.4% 8.091%
348 - 360 6 75.0% 6 $23,855,557 79.6% 1.72x 66.1% 8.236%
- ----- - ----------- ----- ---- ---- -----
Totals/Wtd Avg 8 100.0% 8 $29,966,951 100.0% 1.67x 64.9% 8.207%
= ===== = =========== ===== ==== ==== =====
</TABLE>
ORIGINAL AMORTIZATION TERM
LOAN GROUP 2
<TABLE>
<CAPTION>
Weighted
Range of Aggregate % of Weighted Average Weighted
Original # of % of # of Cut-off Initial Average Cut-off Average
Amortization Mortgage Mortgage Mortgaged Date Group 2 1995 Date Mortgage
Terms (Mos.) Loans Loans Properties Balance Balance DSCR LTV Rate
------------ ----- ----- ---------- ------- ------- ---- --- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
0 - 180 2 1.3% 2 $ 3,899,517 0.9% 1.36x 45.6% 9.242%
180 - 239 10 6.5% 10 $ 15,778,275 3.5% 1.59x 62.7% 8.617%
240 - 299 10 6.5% 10 $ 27,748,302 6.1% 1.61x 62.0% 8.870%
300 - 311 84 54.5% 90 $209,846,649 46.4% 1.58x 67.4% 8.944%
348 - 360 48 31.2% 56 $195,118,119 43.1% 1.40x 71.8% 8.448%
--- ----- --- ------------ ----- ---- ---- -----
Totals/Wtd Avg 154 100.0% 168 $452,390,861 100.0% 1.50x 68.6% 8.717%
=== ===== === ============ ===== ==== ==== =====
</TABLE>
A-63
<PAGE>
YEAR OF MORTGAGE MATURITY
MORTGAGE POOL
<TABLE>
<CAPTION>
Weighted
Aggregate % of Weighted Average Weighted
# of % of # of Cut-off Initial Average Cut-off Average
Year of Mortgage Mortgage Mortgaged Date Pool 1995 Date Mortgage
Maturity Loans Loans Properties Balance Balance DSCR LTV Rate
-------- ----- ----- ---------- ------- ------- ---- --- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
2000 2 1.2% 2 $ 14,092,351 2.9% 1.38x 70.9% 9.104%
2001 6 3.7% 6 $ 11,154,721 2.3% 1.57x 62.8% 8.896%
2002 15 9.3% 18 $ 41,275,116 8.6% 1.56x 65.3% 9.221%
2003 9 5.6% 9 $ 20,049,767 4.2% 1.49x 70.7% 8.214%
2004 6 3.7% 6 $ 24,453,863 5.1% 1.71x 65.6% 8.394%
2005 41 25.3% 43 $100,385,678 20.8% 1.52x 66.6% 9.050%
2006 70 43.2% 78 $240,794,532 49.9% 1.47x 70.0% 8.509%
2010 3 1.9% 4 $ 15,509,367 3.2% 1.53x 70.8% 8.454%
2011 8 4.9% 8 $ 13,497,074 2.8% 1.87x 62.7% 8.234%
2019 2 1.2% 2 $ 1,145,343 0.2% 1.34x 71.6% 10.125%
--- ----- --- ------------ ----- ---- ---- ------
Totals/Wtd Avg 162 100.0% 176 $482,357,812 100.0% 1.52x 68.4% 8.685%
=== ===== === ============ ===== ==== ==== =====
</TABLE>
YEAR OF MORTGAGE MATURITY
LOAN GROUP 1
<TABLE>
<CAPTION>
Weighted
Aggregate % of Weighted Average Weighted
# of % of # of Cut-off Initial Average Cut-off Average
Year of Mortgage Mortgage Mortgaged Date Group 1 1995 Date Mortgage
Maturity Loans Loans Properties Balance Balance DSCR LTV Rate
-------- ----- ----- ---------- ------- ------- ---- --- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
2001 3 37.5% 3 $ 7,127,201 23.8% 1.48x 61.2% 8.167%
2004 5 62.5% 5 $22,839,749 76.2% 1.73x 66.1% 8.219%
- ----- - ----------- ----- ---- ---- -----
Totals/Wtd Avg 8 100.0% 8 $29,966,951 100.0% 1.67x 64.9% 8.207%
= ===== = =========== ===== ==== ==== =====
</TABLE>
YEAR OF MORTGAGE MATURITY
LOAN GROUP 2
<TABLE>
<CAPTION>
Weighted
Aggregate % of Weighted Average Weighted
# of % of # of Cut-off Initial Average Cut-off Average
Year of Mortgage Mortgage Mortgaged Date Group 2 1995 Date Mortgage
Maturity Loans Loans Properties Balance Balance DSCR LTV Rate
-------- ----- ----- ---------- ------- ------- ---- --- ----
<C> <C> <C> <C> <C> <C> <C> <C> <C>
2000 2 1.3% 2 $ 14,092,351 3.1% 1.38x 70.9% 9.104%
2001 3 1.9% 3 $ 4,027,520 0.9% 1.73x 65.7% 10.185%
2002 15 9.7% 18 $ 41,275,116 9.1% 1.56x 65.3% 9.221%
2003 9 5.8% 9 $ 20,049,767 4.4% 1.49x 70.7% 8.214%
2004 1 0.6% 1 $ 1,614,114 0.4% 1.41x 57.6% 10.875%
2005 41 26.6% 43 $100,385,678 22.2% 1.52x 66.6% 9.050%
2006 70 45.5% 78 $240,794,532 53.2% 1.47x 70.0% 8.509%
2010 3 1.9% 4 $ 15,509,367 3.4% 1.53x 70.8% 8.454%
2011 8 5.2% 8 $ 13,497,074 3.0% 1.87x 62.7% 8.234%
2019 2 1.3% 2 $ 1,145,343 0.3% 1.34x 71.6% 10.125%
--- ----- -- ------------ ----- ---- ---- ------
Totals/Wtd Avg 154 100.0% 168 $452,390,861 100.0% 1.50x 68.6% 8.717%
=== ===== === ============ ===== ==== ==== =====
</TABLE>
A-64
<PAGE>
REMAINING TERM TO MATURITY
MORTGAGE POOL
<TABLE>
<CAPTION>
Weighted
Range of Aggregate % of Weighted Average Weighted
Remaining # of % of # of Cut-off Initial Average Cut-off Average
Terms to Mortgage Mortgage Mortgaged Date Pool 1995 Date Mortgage
Maturity (Mos.) Loans Loans Properties Balance Balance DSCR LTV Rate
--------------- ----- ----- ---------- ------- ------- ---- --- ----
<C> <C> <C> <C> <C> <C> <C> <C> <C>
24 - 59 3 1.9% 3 $ 14,628,394 3.0% 1.40x 70.3% 9.146%
60 - 83 29 17.9% 32 $ 71,943,561 14.9% 1.54x 66.5% 8.882%
84 - 119 117 72.2% 127 $365,634,073 75.8% 1.50x 68.8% 8.650%
120 - 179 11 6.8% 12 $ 29,006,441 6.0% 1.69x 67.0% 8.351%
240 - 299 2 1.2% 2 $ 1,145,343 0.2% 1.34x 71.6% 10.125%
--- ----- - ------------ ----- ---- ---- ------
Totals/Wtd Avg 162 100.0% 176 $482,357,812 100.0% 1.52x 68.4% 8.685%
=== ===== === ============ ===== ==== ==== ======
</TABLE>
REMAINING TERM TO MATURITY
LOAN GROUP 1
<TABLE>
<CAPTION>
Weighted
Range of Aggregate % of Weighted Average Weighted
Remaining # of % of # of Cut-off Initial Average Cut-off Average
Terms to Mortgage Mortgage Mortgaged Date Group 1 1995 Date Mortgage
Maturity (Mos.) Loans Loans Properties Balance Balance DSCR LTV Rate
--------------- ----- ----- ---------- ------- ------- ---- --- ----
<C> <C> <C> <C> <C> <C> <C> <C> <C>
60 - 83 3 37.5% 3 $ 7,127,201 23.8% 1.48x 61.2% 8.167%
84 - 119 5 62.5% 5 $22,839,749 76.2% 1.73x 66.1% 8.219%
- ----- - ----------- ----- ---- ---- -----
Totals/Wtd Avg 8 100.0% 8 $29,966,951 100.0% 1.67x 64.9% 8.207%
= ===== = =========== ===== ==== ==== =====
</TABLE>
REMAINING TERM TO MATURITY
LOAN GROUP 2
<TABLE>
<CAPTION>
Weighted
Range of Aggregate % of Weighted Average Weighted
Remaining # of % of # of Cut-off Initial Average Cut-off Average
Terms to Mortgage Mortgage Mortgaged Date Group 2 1995 Date Mortgage
Maturity (Mos.) Loans Loans Properties Balance Balance DSCR LTV Rate
--------------- ----- ----- ---------- ------- ------- ---- --- ----
<C> <C> <C> <C> <C> <C> <C> <C> <C>
24 - 59 3 1.9% 3 $ 14,628,394 3.2% 1.40x 70.3% 9.146%
60 - 83 26 16.9% 29 $ 64,816,360 14.3% 1.55x 67.1% 8.961%
84 - 119 112 72.7% 122 $342,794,324 75.8% 1.49x 69.0% 8.679%
120 - 179 11 7.1% 12 $ 29,006,441 6.4% 1.69x 67.0% 8.351%
240 - 299 2 1.3% 2 $ 1,145,343 0.3% 1.34x 71.6% 10.125%
- ----- --- ------------ ----- ---- ---- ------
Totals/Wtd Avg 154 100.0% 168 $452,390,861 100.0% 1.50x 68.6% 8.717%
=== ===== === ============ ===== ==== ==== =====
</TABLE>
A-65
<PAGE>
ANNEX B
Statement Date:
Payment Date:
Prior Payment:
Record Date:
Mortgage Capital Funding, Inc.
GMAC Commercial Mortgage Corporation as Master Servicer
Hanford/Healy Asset Management Company as Special Servicer
State Street Bank and Trust Company as Trustee
Multifamily/Commercial Mortgage Pass-Through Certificates
Series 1996-MC1
<TABLE>
<CAPTION>
====================================================================================================================================
REPORTING PACKAGE CONTENTS
Number of Page Description
-------------- -----------
<S> <C> <C>
Table of Contents 1 Summary of Reports
REMIC Certificate Report 1 Payment information by Certificate Class
Other Related Information 2 Miscellaneous reporting items as per pooling agreement
Delinquency / Prepayment / Rate History Report 1 Rolling 15 months of summarized information
Delinquency Detail Report 1 Detail listing of all loans not paid through the most recent payment date
Mortgage Loan Stratification Report 1 Update of selected stratification tables for all outstanding loans and
loan groups
Loan Level Detail Listing 1 Current status of all loans assigned to the trust on the Closing Date
Total pages included in this package 8
--
Appendix A - Special Servicing Summary 1 Current summary information regarding loans now specially services
Appendix B - Special Servicing Detail 1 Current detail information regarding loans now specially serviced
Appendix C - Loan Modification Detail 1 Cumulative list of all loan modications executed since the Closing Date
Appendix D - Realized Loss Detail 1 Cumulative list of all loans experiencing realized losses since the
Closing Date
====================================================================================================================================
</TABLE>
B-1
<PAGE>
Statement Date:
Payment Date:
Prior Payment:
Record Date:
Mortgage Capital Funding, Inc.
GMAC Commercial Mortgage Corporation as Master Servicer
Hanford/Healy Asset Management Company as Special Servicer
State Street Bank and Trust Company as Trustee
Multifamily/Commercial Mortgage Pass-Through Certificates
Series 1996-MC1
<TABLE>
<CAPTION>
========================================================================================================================
Original Opening Principal Principal Negative Closing Interest Interest Pass-Through
Class Face Value Balance Payment Adj. or Loss Amortization Balance Payment Adjustment Rate
CUSIP Per $1,000 Per $1,000 Per $1,000 Per $1,000 Per $1,000 Per $1,000 Per $1,000 Per $1,000 Next Rate
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------
</TABLE>
---------------------------
Total P&I Payment
---------------------------
Total P&I Payment
B-2
<PAGE>
Statement Date:
Payment Date:
Prior Payment:
Record Date:
Mortgage Capital Funding, Inc.
GMAC Commercial Mortgage Corporation as Master Servicer
Hanford/Healy Asset Management Company as Special Servicer
State Street Bank and Trust Company as Trustee
Multifamily/Commercial Mortgage Pass-Through Certificates
Series 1996-MC1
================================================================================
OTHER RELATED INFORMATION
Servicing Fees
Servicing Fees per $1,000
Special Servicing Fees per $1,000
Interest Shortfall
Aggregate Advance Reconciliation (Table)
================================================================================
B-3
<PAGE>
Statement Date:
Payment Date:
Prior Payment:
Record Date:
Mortgage Capital Funding, Inc.
GMAC Commercial Mortgage Corporation as Master Servicer
Hanford/Healy Asset Management Company as Special Servicer
State Street Bank and Trust Company as Trustee
Multifamily/Commercial Mortgage Pass-Through Certificates
Series 1996-MC1
================================================================================
OTHER RELATED INFORMATION
ASER Loan and Aggregate Information
SER Information:
Controlling Class / Operating Advisor Information
Class Determination Balance, etc.
================================================================================
B-4
<PAGE>
Statement Date:
Payment Date:
Prior Payment:
Record Date:
Mortgage Capital Funding, Inc.
GMAC Commercial Mortgage Corporation as Master Servicer
Hanford/Healy Asset Management Company as Special Servicer
State Street Bank and Trust Company as Trustee
Multifamily/Commercial Mortgage Pass-Through Certificates
Series 1996-MC1
<TABLE>
Delinquency / Prepayment / Rate History Reporting
<CAPTION>
====================================================================================================================================
Delinq 1 Delinq 2 Delinq 3+ Foreclosure/ Net Weighted
Month Months Months Bankruptcy REO Modifications Prepayments Avg.
Determination --------------------------------------------------------------------------------------------------------------------
Date # Balance # Balance # Balance # Balance # Balance # Balance # Balance Coupon Remit
====================================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Note: Foreclosure and REO Totals are Included in the Appropriate Delinquency
Aging Category
B-5
<PAGE>
Statement Date:
Payment Date:
Prior Payment:
Record Date:
Mortgage Capital Funding, Inc.
GMAC Commercial Mortgage Corporation as Master Servicer
Hanford/Healy Asset Management Company as Special Servicer
State Street Bank and Trust Company as Trustee
Multifamily/Commercial Mortgage Pass-Through Certificates
Series 1996-MC1
<TABLE>
Delinquency Loan Detail
<CAPTION>
====================================================================================================================================
Outstanding Special
Offering Current Outstanding Property Advance Loan Servicer
Circular Loan Paid Thru P&I P&I Protection Description Status Transfer Foreclosure Bankruptcy REO
Control # Group Period Date Advance Advances* Advances (1) (2) Date Date Date Date
====================================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
TOTALS: 0.00 0.00 0.00
====================================================================================================================================
(1) Advance 0. P&I Advance - Late Payment but less than (2) Loan Status 1. Specially Serviced 6. DPO
Description one month delinquent 2. Foreclosure 7. Foreclosure Sale
1. P&I Advance - Loan delinquent 1 month 3. Bankruptcy 8. Bankruptcy Sale
2. P&I Advance - Loan delinquent 2 months 4. REO 9. REO Disposition
3. P&I Advance - Loan delinquent 3 months or more 5. Prepay in Full 10. Modification / Workout
4. P&I Advance - Loan in Grace Period
5. P&I Advance - Assumed Scheduled Payment
====================================================================================================================================
</TABLE>
* Outstanding P&I Advances Include the current period P&I Advance
B-6
<PAGE>
Statement Date:
Payment Date:
Prior Payment:
Record Date:
Mortgage Capital Funding, Inc.
GMAC Commercial Mortgage Corporation as Master Servicer
Hanford/Healy Asset Management Company as Special Servicer
State Street Bank and Trust Company as Trustee
Multifamily/Commercial Mortgage Pass-Through Certificates
Series 1996-MC1
================================================================================
MORTGAGE LOAN STRATIFICATION REPORT
Updated Collateral Tables as they appear in Prospectus
================================================================================
B-7
<PAGE>
Statement Date:
Payment Date:
Prior Payment:
Record Date:
Mortgage Capital Funding, Inc.
GMAC Commercial Mortgage Corporation as Master Servicer
Hanford/Healy Asset Management Company as Special Servicer
State Street Bank and Trust Company as Trustee
Multifamily/Commercial Mortgage Pass-Through Certificates
Series 1996-MC1
<TABLE>
Loan Level Detail
<CAPTION>
====================================================================================================================================
Special
Offering Servicer Neg Beginning Scheduled Paid Prepayment
Circular GRP Property Transfer Maturity Am Scheduled Principal Prepayments/ Prepayment Through Premium Loan
Control # ID Type Date State Date (Y/N) Balance Note Rate Payment Liquidations Date Date Amount Status(*)
====================================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
====================================================================================================================================
(*) Legend 1) Specially Serviced 4) REO 7) Foreclosure Sale 10) Modification / Workout
2) Foreclosure 5) Prepay in Full 8) Bankruptcy Sale
3) Bankruptcy 6) DPO 9) REO Disposition
====================================================================================================================================
</TABLE>
B-8
<PAGE>
Statement Date:
Payment Date:
Prior Payment:
Record Date:
Mortgage Capital Funding, Inc.
GMAC Commercial Mortgage Corporation as Master Servicer
Hanford/Healy Asset Management Company as Special Servicer
State Street Bank and Trust Company as Trustee
Multifamily/Commercial Mortgage Pass-Through Certificates
Series 1996-MC1
<TABLE>
Specially Serviced Loan Summary
<CAPTION>
====================================================================================================================================
<S> <C>
Number of Loans as of the Closing Date 0
Principal Balance as of the Closing Date 0.00
Current Number of Loans 0
Current Outstanding Principal Balance 0.00
Current Number of Specially Serviced Loans 0
Current Outstanding Principal Balance of Specially Serviced Loans 0.00
Percent of Specially Serviced Loans (per Current Number of Loans) 0.0000%
Percent of Specially Serviced Loans (per Current Outstanding Principal Balance) 0.0000%
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
Current Current
Principal Principal
Current Balance as a % Balance as a %
Number of Initial Principal Principal of Specially of Total Pool
Specially Serviced Loan Status Loans Balance Balance Serviced Loans Balance
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1) Request for waiver of Prepayment Penalty
2) Payment Default
3) Request for Loan Modification or Workout
4) Loans with Borrower Bankruptcy
5) Loans in Process of Foreclosure
6) Loans now REO Property
7) Loans Paid Off
8) Loans Returned to Master Servicer
- -----------------------------------------------------------------------------------------------------------------------------
Total 0.00 0.00 0.00
====================================================================================================================================
</TABLE>
B-9
<PAGE>
Statement Date:
Payment Date:
Prior Payment:
Record Date:
Mortgage Capital Funding, Inc.
GMAC Commercial Mortgage Corporation as Master Servicer
Hanford/Healy Asset Management Company as Special Servicer
State Street Bank and Trust Company as Trustee
Multifamily/Commercial Mortgage Pass-Through Certificates
Series 1996-MC1
<TABLE>
Specially Serviced Loan Detail
<CAPTION>
====================================================================================================================================
Special Debt Specially
Offering Servicer Sched Sched Net Service Serviced
Circular Transfer Principal Interest Maturity Property Operating Coverage Status
Control # Date Balance Rate Date Type State Income NOI Date Ratio Code*
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
====================================================================================================================================
*Legend: 1) Request for waiver of Prepayment Penalty 4) Loans with Borrower Bankruptcy 7) Loan Paid Off
2) Payment Default 5) Loans in Process of Foreclosure 8) Loans Returned to Master Servicer
3) Request for Loan Modification or Workout 6) Loans now REO Property
====================================================================================================================================
</TABLE>
B-10
<PAGE>
Statement Date:
Payment Date:
Prior Payment:
Record Date:
Mortgage Capital Funding, Inc.
GMAC Commercial Mortgage Corporation as Master Servicer
Hanford/Healy Asset Management Company as Special Servicer
State Street Bank and Trust Company as Trustee
Multifamily/Commercial Mortgage Pass-Through Certificates
Series 1996-MC1
Modified Loan Detail
================================================================================
Offering
Modification Circular Modification Modification
Date Control # Date Description
- --------------------------------------------------------------------------------
================================================================================
B-11
<PAGE>
Statement Date:
Payment Date:
Prior Payment:
Record Date:
Mortgage Capital Funding, Inc.
GMAC Commercial Mortgage Corporation as Master Servicer
Hanford/Healy Asset Management Company as Special Servicer
State Street Bank and Trust Company as Trustee
Multifamily/Commercial Mortgage Pass-Through Certificates
Series 1996-MC1
<TABLE>
Realized Loss Detail
<CAPTION>
====================================================================================================================================
Gross Net
Appraisal Proceeds Proceeds
Offering Value/ Sched as a % of Aggregate Net as a % of Current
Distribution Circular Appraisal Brokers Principal Gross Sched Liquidation Liquidation Sched Realized
Date Control # Date Estimate Balance Proceeds Principal Expenses* Proceeds Balance Loss
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
- ------------------------------------------------------------------------------------------------------------------------------------
Current Total 0 0 0 0 0 0
Cumulative 0 0 0 0 0 0
====================================================================================================================================
</TABLE>
* Aggregate liquidation expenses also include outstanding P&I advances and
unpaid servicing fees, unpaid special servicing fees, unpaid trustee fees,
etc.
B-12
<PAGE>
This diskette contains two spreadsheet files that can be put on a
user-specified hard drive or network drive. These two files are "PROS.xls" and
"PROS.wk1." The file "PROS.xls" is a Microsoft Excel1 , Version 5.0 spreadsheet,
and the file "PROS.wk1" is a Lotus 1231 , Version 2.0 spreadsheet. Each file
provides, in electronic format, certain loan level information shown in ANNEX A
of the Prospectus Supplement.
Open either file as you would normally open any spreadsheet in either
Microsoft Excel or Lotus 123. Before either file is displayed, a message will
appear notifying you that the file is Reserved and Read Only. In the case of the
Microsoft Excel file, click the "READ ONLY" button, and in the case of the Lotus
123 file, click the "OK" button. After either file is opened, a securities law
legend will be displayed. READ THE LEGEND CAREFULLY. To view the ANNEX A data,
in the case of the Microsoft Excel file, the data appears on the worksheet
labeled "Annex A (Sheet 2)," and in the case of the Lotus 123 file, the data
appears directly to the right of the legend.
- ----------
(1) Microsoft Excel and Lotus 123 are registered trademarks of Microsoft
Corporation and Lotus Development Corporation, respectively.
<PAGE>
================================================================================
No dealer, salesman or other person has been authorized to give any
information or to make any representations not contained in this Prospectus
Supplement and the accompanying Prospectus and, if given or made, such
information or representations must not be relied upon as having been authorized
by the Sponsor or by the Underwriters. This Prospectus Supplement and the
accompanying Prospectus do not constitute an offer to sell, or a solicitation of
an offer to buy, the securities offered hereby to anyone in any jurisdiction in
which the person making such offer or solicitation is not qualified to do so or
to anyone to whom it is unlawful to make any such offer or solicitation. Neither
the delivery of this Prospectus Supplement and the accompanying Prospectus nor
any sale made hereunder shall, under any circumstances, create an implication
that information herein or therein is correct as of any time subsequent to the
date of this Prospectus Supplement or the accompanying Prospectus.
------------------------
TABLE OF CONTENTS
Prospectus Supplement
Page
----
Summary ........................................................ S-4
Risk Factors ................................................... S-24
Description of the Mortgage Pool ............................... S-31
Servicing of the Mortgage Loans ................................ S-43
Description of the Certificates ................................ S-52
Yield and Maturity Considerations .............................. S-67
Use of Proceeds ................................................ S-100
Certain Federal Income Tax Consequences ........................ S-100
ERISA Considerations ........................................... S-102
Legal Investment ............................................... S-104
Method of Distribution ......................................... S-104
Legal Matters .................................................. S-105
Ratings ........................................................ S-105
Index of Principal Definitions ................................. S-107
Annex A ........................................................ A-1
Annex B ........................................................ B-1
Prospectus
Prospectus Supplement .......................................... 3
Available Information .......................................... 3
Incorporation of Certain Information by
Reference ..................................................... 4
Summary of Prospectus .......................................... 9
Risk Factors ................................................... 17
Description of the Trust Funds ................................. 23
Yield and Maturity Considerations .............................. 27
Mortgage Capital Funding, Inc .................................. 33
Use of Proceeds ................................................ 33
Description of the Certificates ................................ 34
Description of the Pooling Agreements .......................... 40
Description of Credit Support .................................. 54
Certain Legal Aspects of Mortgage Loans ........................ 56
Material Federal Income Tax Consequences ....................... 65
State and Other Tax Considerations ............................. 87
ERISA Considerations ........................................... 87
Legal Investment ............................................... 88
Method of Distribution ......................................... 90
Financial Information .......................................... 91
Rating ......................................................... 91
Index of Principal Definitions ................................. 92
THROUGH AND INCLUDING SEPTEMBER 26, 1996, ALL DEALERS EFFECTING TRANSACTIONS IN
THE OFFERED CERTIFICATES, WHETHER OR NOT PARTICIPATING IN THIS DISTRIBUTION, MAY
BE REQUIRED TO DELIVER A PROSPECTUS SUPPLEMENT AND PROSPECTUS. THIS DELIVERY
REQUIREMENT IS IN ADDITION TO THE OBLIGATION OF DEALERS TO DELIVER A PROSPECTUS
SUPPLEMENT AND PROSPECTUS WHEN ACTING AS UNDERWRITERS AND WITH RESPECT TO THEIR
UNSOLD ALLOTMENTS OR SUBSCRIPTIONS.
================================================================================
================================================================================
$414,824,951
(Approximate)
Mortgage Capital Funding, Inc.
Sponsor
Citibank, N.A.
Mortgage Loan Seller
Class X-1, Class X-2, Class A-1,
Class A-2A, Class A-2B, Class B,
Class C, Class D, Class E and Class F
Multifamily/Commercial
Mortgage Pass-Through Certificates
Series 1996-MC1
-----------------------
PROSPECTUS SUPPLEMENT
-----------------------
CITIBANK [LOGO]
Goldman, Sachs & Co.
June 27, 1996
================================================================================
