<PAGE>
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934, as amended
Date of Report (Date of earliest event reported): December 16, 1996
AMERICAN SOUTHWEST FINANCIAL SECURITIES CORPORATION
(as depositor under the Pooling and Servicing Agreement,
dated as of December 1, 1996, providing for the issuance of
Mortgage Pass-Through Certificates, Series 1996-FHA1)
AMERICAN SOUTHWEST FINANCIAL SECURITIES CORPORATION
-----------------------------------------------------
(Exact name of registrant as specified in its charter)
Arizona 33-92146 0742739
- ---------------------------- ----------- ---------------------
(State or Other Jurisdiction (Commission (I.R.S. Employer
of Incorporation File Number) Identification Number
2390 Camelback Road, Suite 225, Phoeniz, Arizona 85016
- ------------------------------------------------ -------
(Address of Principal Executive Offices) (Zip Code)
Registrant's telephone number, including area code: (602) 381-8960
<PAGE>
Item 5. Other Events
Description of the Certificates and the Mortgage Pool
The Registrant has filed a Registration Statement on Form S-3
(No. 33-92146) relating to the registration of Mortgage Securities. In
connection with the offer of such Mortgage Securities in an underwritten
transaction, Donaldson, Lufkin & Jenrette Securities Corporation, acting as
underwriter, furnished prospective investors with a preliminary computational,
structural and collateral terms sheet, filed with the Commission on December 11,
1996 pursuant to Form 8-k (the "Initial Materials").
The Underwriter has advised the Registrant that certain information in the
Initial Computational Materials may have been based on assumptions that differed
from the final pool information. Accordingly, all persons are advised to
disregard the Initial Computational Materials.
Accordingly, Donaldson, Lufkin & Jenrette Securities Corporation, acting as
underwriter, intends to furnish prospective investors with a revised preliminary
computational, structural and collateral terms sheet, a copy of which is
included as an exhibit hereto.
Item 7. Financial Statements and Exhibits
(a) Not applicable
(b) Not applicable
(c) Exhibits
Exhibit No. Description
----------- -----------
99. Greystone/Daiwa, FHA/GNMA Securitization, American
Southwest Financial Securities Corporation, Mortgage
Pass-Through Certificates, Series 1996-FHA1
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
Dated: December 18, 1996
AMERICAN SOUTHWEST FINANCIAL SECURITIES
CORPORATION
By: /s/ Jeffrey A. Newman
-------------------------
Name: Jeffrey A. Newman
Title: President
<PAGE>
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Real Estate Finance Group
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COMMERCIAL MORTGAGE TRADING
- -------------------------------------------------------------------------------
$268,660,697 (+/- 5%)
"DLJ FHA/GNMA I"
AMERICAN SOUTHWEST FINANCIAL SECURITIES CORPORATION
MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1996-FHA1
**PRELIMINARY SUMMARY MEMORANDUM (12/16)**
CAPITAL MARKETS/TRADING
--------------------------------------
Mark Hansen (212) 892-4692
Phil Evanski (212) 892-4692
Andrew Winer (212) 892-4692
John Beaman (212) 892-4692
STRUCTURED FINANCE
--------------------------------------
Chris McCormack (212) 892-4692
Kin Lee (212) 892-2313
S&P Contact
--------------------------------------
Nancy Parks (212) 208-1120
This investment summary is a computational, structural and/or collateral term
sheet for internal use only and has been prepared solely for informational
purposes. No offer to sell or solicitation of any offer to purchase securities
is being made hereby. This summary is designed to assist Donaldson, Lufkin &
Jenrette Securities Corporation personnel in determining whether potential
investors wish to proceed with an in-depth investigation of the proposed
subject offering. While the information contained herein is from sources
believed to be reliable, it has not been independently verified by Donaldson,
Lufkin & Jenrette Securities Corporation or any of its respective affiliates.
Therefore, none of Donaldson, Lufkin & Jenrette Securities Corporation nor any
of its respective affiliates make any representations or warranties with
respect to the information contained herein or as to the appropriateness,
usefulness or completeness of these materials. Any computational information
set forth herein (including without limitation any hypothetical computations of
yields and weighted average life) is hypothetical and based on certain
assumptions (including without limitation assumptions regarding the rate and
timing of voluntary and involuntary prepayments of the mortgage loans or
assumptions that the mortgage loans will not be prepaid voluntarily or
involuntarily or liquidated). The actual characteristics and performance of the
mortgage loans will differ from such assumptions and such differences may be
material. This document is subject to errors, omissions and changes in the
information and is subject to modification or withdrawal at any time with or
without notice. These materials and the information contained herein supersedes
any and all information contained in any previously furnished computational,
structural and/or collateral terms sheets and shall be superseded by any
subsequently furnished terms sheets. These materials and the information
contained herein shall be superseded by a final prospectus, prospectus
supplement or similar private placement memorandum. No purchase of any
securities may be made unless and until a final prospectus, prospectus
supplement or similar private placement memorandum have been received by a
potential investor and such investor has complied with all additional related
offering requirements. The contents herein are not to be reproduced without the
express written consent of Donaldson, Lufkin & Jenrette Securities Corporation.
Donaldson, Lufkin & Jenrette Securities Corporation and its affiliates
expressly reserve the right, at their sole discretion, to reject any or all
proposals or expressions of interest in the subject proposed offering and to
terminate discussions with any party at any time with or without notice.
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Donaldson, Lufkin & Jenrette
Donaldson, Lufkin & Jenrette Securities Corporation 277 Park Avenue,
New York, New York 10172
<PAGE>
Donaldson, Lufkin & Jenrette
Donaldson, Lufkin & Jenrette Securities Corporation 277 Park Avenue,
New York, New York 10172
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Real Estate Finance Group
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C O M M E R C I A L M O R T G A G E T R A D I N G
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American Southwest Financial Securities Corporation
Mortgage Pass-Through Certificates, Series 1996-FHA1
"DLJ FHA/GNMA I"
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Coupon Credit
Strip Pass-Through Certificates Support*
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Class A-1 AAA Fixed
Class S -------------------------------------------------------
AAAr Class A-2 AAA Fixed
WAC -------------------------------------------------------
Class A-3 AAA Fixed
-------------------------------------------------------
Class A-4 AAA Fixed
-------------------------------------------------------
Class A-Z AAA Fixed(Accretion)
------------------------------------------------------- 1.95%
Class B NR Fixed
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*99% Principal Guarantee on FHA Mortgage Collateral
*100% Principal Guarantee on GNMA Certificate Collateral
ASFS 1996-FHA1 "DLJ FHA/GNMA I"
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<TABLE>
<CAPTION>
Est. Est. Est. Est.
Pass-Thru Average Expected Principal ($) (%) Rating ERISA/ Price Est.
Class Rate Life (1) Final (1) Window (1) Balance (2) Balance Status S&P SMMEA Talk Price
- ----- --------- -------- --------- ---------- ----------- ------- ------ ------ ------ ----- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
S 1.238% WAC 9.41 2/25/32 480 Notional --- Public AAAr Yes/No n/a n/a
A-1 6.575% Fixed 2.00 8/25/00 44 40,160,000 14.95% Public AAA Yes/No 40-45 100-13
A-2 7.100% Fixed 5.00 11/25/02 28 39,474,000 14.69% Public AAA Yes/No 50-55 101-31
A-3 7.200% Fixed 7.00 1/25/05 27 55,722,000 20.74% Public AAA Yes/No 60-65 102-05
A-4 7.355% Fixed 8.96 9/25/06 21 59,794,000 22.26% Public AAA Yes/No 65-70 102-23
A-Z 7.248% Fixed 11.63 7/25/14 95 68,259,000 25.41% Public AAA Yes/No 125-130 96-12
B 6.500% Fixed 19.39 2/25/32 212 5,251,697 1.95% 144A NR No/No 250 78-12
----------- -------
Total 268,660,697 100.00%
=========== =======
</TABLE>
1) Assumes a 40% CPR after the Par Call Date.
2) Subject to a 5% Variance.
3) Assume Settlement Date on or about 12/24/96.
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This investment summary is a computational, structural and/or collateral term
sheet for internal use only and has been prepared solely for informational
purposes. No offer to sell or solicitation of any offer to purchase securities
is being made hereby. This summary is designed to assist Donaldson, Lufkin &
Jenrette Securities Corporation personnel in determining whether potential
investors wish to proceed with an in-depth investigation of the proposed
subject offering. While the information contained herein is from sources
believed to be reliable, it has not been independently verified by Donaldson,
Lufkin & Jenrette Securities Corporation or any of its respective affiliates.
Therefore, none of Donaldson, Lufkin & Jenrette Securities Corporation nor any
of its respective affiliates make any representations or warranties with
respect to the information contained herein or as to the appropriateness,
usefulness or completeness of these materials. Any computational information
set forth herein (including without limitation any hypothetical computations of
yields and weighted average life) is hypothetical and based on certain
assumptions (including without limitation assumptions regarding the rate and
timing of voluntary and involuntary prepayments of the mortgage loans or
assumptions that the mortgage loans will not be prepaid voluntarily or
involuntarily or liquidated). The actual characteristics and performance of the
mortgage loans will differ from such assumptions and such differences may be
material. This document is subject to errors, omissions and changes in the
information and is subject to modification or withdrawal at any time with or
without notice. These materials and the information contained herein supersedes
any and all information contained in any previously furnished computational,
structural and/or collateral terms sheets and shall be superseded by any
subsequently furnished terms sheets. These materials and the information
contained herein shall be superseded by a final prospectus, prospectus
supplement or similar private placement memorandum. No purchase of any
securities may be made unless and until a final prospectus, prospectus
supplement or similar private placement memorandum have been received by a
potential investor and such investor has complied with all additional related
offering requirements. The contents herein are not to be reproduced without the
express written consent of Donaldson, Lufkin & Jenrette Securities Corporation.
Donaldson, Lufkin & Jenrette Securities Corporation and its affiliates
expressly reserve the right, at their sole discretion, to reject any or all
proposals or expressions of interest in the subject proposed offering and to
terminate discussions with any party at any time with or without notice.
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<PAGE>
Donaldson, Lufkin & Jenrette
Donaldson, Lufkin & Jenrette Securities Corporation 277 Park Avenue,
New York, New York 10172
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Real Estate Finance Group
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C O M M E R C I A L M O R T G A G E T R A D I N G
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American Southwest Financial Securities Corporation
Mortgage Pass-Through Certificates, Series 1996-FHA1
"DLJ FHA/GNMA I"
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Collateral: The Trust Fund will consist primarily of a pool of 62,
monthly-pay, fully amortizing FHA guaranteed mortgage loans
plus 20 monthly-pay, fully amortizing GNMA Certificates
(backed by FHA guaranteed mortgage loans) with an aggregate
balance of $268,660,697, each of which is secured by a
multifamily or nursing care property. The 82 loans are on
properties located throughout 27 states with the largest
concentrations in New York 16.6% (8 loans), Texas 9.3% (8
loans) and in Ohio 9.0% (12 loans).
- -------------------------------------------------------------------------------
Sellers: Greystone Funding Corporation ("Greystone") sold 52% and
Daiwa Finance ("Daiwa") sold the remaining 48%, of the
collateral to the trust. Greystone, a Virginia corporation,
is engaged in the business of purchasing, selling, financing
and restructuring mortgage loans and mortgage-backed
securities, including FHA-insured loans and GNMA
pass-through certificates. Daiwa, a New York corporation, is
involved in, among other things, originating mortgage loans,
acquiring mortgage assets and selling interests therein or
bonds secured thereby.
<TABLE>
<S> <C> <C> <C>
- -----------------------------------------------------------------------------------------------------------------------------
Servicer: Greystone Servicing Corporation, Inc. Dealer: Donaldson, Lufkin & Jenrette /
Daiwa Securities America
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Trustee: LaSalle National Bank Depositor: American Southwest Financial Securities
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Rating: Standard & Poor's Closing Date: December 20, 1996
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Prepayment Prepayment interest shortfalls will be offset by (i) excess
Interest prepayment interest and (ii) the total servicing fee
Shortfalls: collected for the distribution period.
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Advances: Advances subject to recoverability determination.
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This investment summary is a computational, structural and/or collateral term
sheet for internal use only and has been prepared solely for informational
purposes. No offer to sell or solicitation of any offer to purchase securities
is being made hereby. This summary is designed to assist Donaldson, Lufkin &
Jenrette Securities Corporation personnel in determining whether potential
investors wish to proceed with an in-depth investigation of the proposed
subject offering. While the information contained herein is from sources
believed to be reliable, it has not been independently verified by Donaldson,
Lufkin & Jenrette Securities Corporation or any of its respective affiliates.
Therefore, none of Donaldson, Lufkin & Jenrette Securities Corporation nor any
of its respective affiliates make any representations or warranties with
respect to the information contained herein or as to the appropriateness,
usefulness or completeness of these materials. Any computational information
set forth herein (including without limitation any hypothetical computations of
yields and weighted average life) is hypothetical and based on certain
assumptions (including without limitation assumptions regarding the rate and
timing of voluntary and involuntary prepayments of the mortgage loans or
assumptions that the mortgage loans will not be prepaid voluntarily or
involuntarily or liquidated). The actual characteristics and performance of the
mortgage loans will differ from such assumptions and such differences may be
material. This document is subject to errors, omissions and changes in the
information and is subject to modification or withdrawal at any time with or
without notice. These materials and the information contained herein supersedes
any and all information contained in any previously furnished computational,
structural and/or collateral terms sheets and shall be superseded by any
subsequently furnished terms sheets. These materials and the information
contained herein shall be superseded by a final prospectus, prospectus
supplement or similar private placement memorandum. No purchase of any
securities may be made unless and until a final prospectus, prospectus
supplement or similar private placement memorandum have been received by a
potential investor and such investor has complied with all additional related
offering requirements. The contents herein are not to be reproduced without the
express written consent of Donaldson, Lufkin & Jenrette Securities Corporation.
Donaldson, Lufkin & Jenrette Securities Corporation and its affiliates
expressly reserve the right, at their sole discretion, to reject any or all
proposals or expressions of interest in the subject proposed offering and to
terminate discussions with any party at any time with or without notice.
- -------------------------------------------------------------------------------
<PAGE>
Donaldson, Lufkin & Jenrette
Donaldson, Lufkin & Jenrette Securities Corporation 277 Park Avenue,
New York, New York 10172
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Real Estate Finance Group
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C O M M E R C I A L M O R T G A G E T R A D I N G
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American Southwest Financial Securities Corporation
Mortgage Pass-Through Certificates, Series 1996-FHA1
"DLJ FHA/GNMA I"
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Prepayment All of the mortgage loans provide for the combination of a
Protection and prohibited prepayment period ("Lockout") and a prepayment
Distribution: premium period ("PP").
All PPs collected on the mortgage loans will be distributed
75% to Class S and 25% to the class of certificates effected
by the principal prepayment.
- -------------------------------------------------------------------------------
Servicing of 1) If a borrower misses a payment due under a mortgage loan
Defaults: the Trustee is required to notify the FHA of the default.
2) If the missed payment remains outstanding for over 30
days (the "Date of Default") the majority holder of Class
B has the option to buy the loan from the trust at par.
3) The Trustee must notify FHA of its intent to file an
insurance claim within 45 days of the Date of Default and
file the claim within 30 days of notification.
4) If the majority holder of the Class B has not exercised
its option to purchase the mortgage loan and FHA has
replaced the loan with debentures, the majority Class B
holder will then have the option to purchase the
debentures from the trust at par.
5) If any debentures are not purchased from the trust from
the majority Class B holder, it will become the ultimate
obligation of the Trustee to do so.
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FHA/GNMA FHA FHA Insurance is backed by the full faith and credit
Guarantees: of the United States of America and covers the
ultimate recovery of principal on defaulted FHA
mortgage loans subject to a 1% assignment fee and
other potential fees.
GNMA GNMA Certificates carry a 100% guarantee as to full
and timely payment of principal and interest thereon
by GNMA, whose guarantee is also backed by the full
faith and credit of the United States of America.
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- -------------------------------------------------------------------------------
This investment summary is a computational, structural and/or collateral term
sheet for internal use only and has been prepared solely for informational
purposes. No offer to sell or solicitation of any offer to purchase securities
is being made hereby. This summary is designed to assist Donaldson, Lufkin &
Jenrette Securities Corporation personnel in determining whether potential
investors wish to proceed with an in-depth investigation of the proposed
subject offering. While the information contained herein is from sources
believed to be reliable, it has not been independently verified by Donaldson,
Lufkin & Jenrette Securities Corporation or any of its respective affiliates.
Therefore, none of Donaldson, Lufkin & Jenrette Securities Corporation nor any
of its respective affiliates make any representations or warranties with
respect to the information contained herein or as to the appropriateness,
usefulness or completeness of these materials. Any computational information
set forth herein (including without limitation any hypothetical computations of
yields and weighted average life) is hypothetical and based on certain
assumptions (including without limitation assumptions regarding the rate and
timing of voluntary and involuntary prepayments of the mortgage loans or
assumptions that the mortgage loans will not be prepaid voluntarily or
involuntarily or liquidated). The actual characteristics and performance of the
mortgage loans will differ from such assumptions and such differences may be
material. This document is subject to errors, omissions and changes in the
information and is subject to modification or withdrawal at any time with or
without notice. These materials and the information contained herein supersedes
any and all information contained in any previously furnished computational,
structural and/or collateral terms sheets and shall be superseded by any
subsequently furnished terms sheets. These materials and the information
contained herein shall be superseded by a final prospectus, prospectus
supplement or similar private placement memorandum. No purchase of any
securities may be made unless and until a final prospectus, prospectus
supplement or similar private placement memorandum have been received by a
potential investor and such investor has complied with all additional related
offering requirements. The contents herein are not to be reproduced without the
express written consent of Donaldson, Lufkin & Jenrette Securities Corporation.
Donaldson, Lufkin & Jenrette Securities Corporation and its affiliates
expressly reserve the right, at their sole discretion, to reject any or all
proposals or expressions of interest in the subject proposed offering and to
terminate discussions with any party at any time with or without notice.
- -------------------------------------------------------------------------------
<PAGE>
Donaldson, Lufkin & Jenrette
Donaldson, Lufkin & Jenrette Securities Corporation 277 Park Avenue,
New York, New York 10172
- -------------------------------------------------------------------------------
Real Estate Finance Group
- -------------------------------------------------------------------------------
- -------------------------------------------------------------------------------
C O M M E R C I A L M O R T G A G E T R A D I N G
- -------------------------------------------------------------------------------
American Southwest Financial Securities Corporation
Mortgage Pass-Through Certificates, Series 1996-FHA1
"DLJ FHA/GNMA I"
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Major Section 221(d)(3)&(4) Sections 221(d)(3) and 221(d)(4)
Program authorize HUD to provide FHA mortgage
Descriptions: authorize HUD to provide FHA mortgage
or cooperative housing that has five
or more units for low to moderate
income families.
Section 223(a)(7) Section 223(a)(7) permits the FHA to
refinance existing FHA mortgage loans
on multifamily mortgages. The
principal amount of the mortgage loan
is limited to the lesser of (i) the
original principal amount of the
existing mortgage loan or (ii) the
unpaid balance of the existing
mortgage loan, to which certain FHA
approval items and improvements may
be added.
Section 223(d) Section 223(d) is a market rate,
unsubsidized program providing for
supplemental funding of on-going
property operations.
Section 223(f) Section 223(f) is a market rate,
unsubsidized program which authorizes
the FHA to insure mortgages made for
the purchase or refinancing of
existing multifamily properties which
contain at least five or more units
and do not require substantial
rehabilitation.
Section 232/223(f) Provides insurance for the
construction, substantial
rehabilitation or refinancing of
nursing homes, intermediate-care or
"Board and Care" facilities.
HUD-approved profit and non-profit
organizations and public owners, such
as state agencies, are eligible for
participation in the program.
Section 241(f) Section 241(f) provides for federal
insurance of supplemental loans to
owners and prospective purchasers of
eligible low-income housing to
maintain and generally improve the
related properties for low-income
occupancy. Based on a plan of action
approved by the FHA, an owner may
receive an equity take-out loan to
assist in its purchase of the related
property. The maximum insurable loan
amount for an equity take-out loan or
an acquisition loan is prescribed by
the FHA based on the projected value
of the related property and cost of
implementing the plan of action.
Equity take out loans will have terms
not to exceed 40 years and
acquisition loans will have terms of
40 years.
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- -------------------------------------------------------------------------------
This investment summary is a computational, structural and/or collateral term
sheet for internal use only and has been prepared solely for informational
purposes. No offer to sell or solicitation of any offer to purchase securities
is being made hereby. This summary is designed to assist Donaldson, Lufkin &
Jenrette Securities Corporation personnel in determining whether potential
investors wish to proceed with an in-depth investigation of the proposed
subject offering. While the information contained herein is from sources
believed to be reliable, it has not been independently verified by Donaldson,
Lufkin & Jenrette Securities Corporation or any of its respective affiliates.
Therefore, none of Donaldson, Lufkin & Jenrette Securities Corporation nor any
of its respective affiliates make any representations or warranties with
respect to the information contained herein or as to the appropriateness,
usefulness or completeness of these materials. Any computational information
set forth herein (including without limitation any hypothetical computations of
yields and weighted average life) is hypothetical and based on certain
assumptions (including without limitation assumptions regarding the rate and
timing of voluntary and involuntary prepayments of the mortgage loans or
assumptions that the mortgage loans will not be prepaid voluntarily or
involuntarily or liquidated). The actual characteristics and performance of the
mortgage loans will differ from such assumptions and such differences may be
material. This document is subject to errors, omissions and changes in the
information and is subject to modification or withdrawal at any time with or
without notice. These materials and the information contained herein supersedes
any and all information contained in any previously furnished computational,
structural and/or collateral terms sheets and shall be superseded by any
subsequently furnished terms sheets. These materials and the information
contained herein shall be superseded by a final prospectus, prospectus
supplement or similar private placement memorandum. No purchase of any
securities may be made unless and until a final prospectus, prospectus
supplement or similar private placement memorandum have been received by a
potential investor and such investor has complied with all additional related
offering requirements. The contents herein are not to be reproduced without the
express written consent of Donaldson, Lufkin & Jenrette Securities Corporation.
Donaldson, Lufkin & Jenrette Securities Corporation and its affiliates
expressly reserve the right, at their sole discretion, to reject any or all
proposals or expressions of interest in the subject proposed offering and to
terminate discussions with any party at any time with or without notice.
- -------------------------------------------------------------------------------
<PAGE>
Characteristics of the Mortgaged Properties
<TABLE>
<CAPTION>
Mortgage Section of
Trust Asset Housing Zip Lien Type/Date
# Property Type Type Act City State Code Position NOI of NOI DSCR
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 Multifamily GNMA 223 (f) Virginia Beach VA 23451 First 2,854,403 FY '95 1.17
2 Multifamily FHA 207 Aurora CO 80231 First 1,852,935 FY '96 1.78
3 Nursing Facility GNMA 223 (a)7 Vorhees NJ 20186 First 1,330,613 FY '95 1.34
4 Multifamily FHA 221 (d)4 New York NY 10029 First 1,029,957 FY '94 1.07
5 Multifamily FHA 223 (e) New York NY 10017 First 1,076,996 FY '95 1.33
6 Multifamily FHA 220 Hartford CT 10106 First 657,598 FY '95 0.99
7 Nursing Facility FHA 223 (a)7 Brighton MA 02135 First 1,011,163 U/W 1.19
8 Multifamily FHA 220 New York NY 10016 First 1,290,361 FY '95 1.60
9 Multifamily FHA 223 (f) Erwin NY 14870 First 1,045,944 U/W 1.53
10 Multifamily GNMA 223 (f) Atlanta GA 30316 First 1,236,294 FY '95 1.83
11 Nursing Facility FHA 223 (f) Mount Vernon IL 60610 First 2,080,584 U/W N/A
12 Nursing Facility GNMA 232 Altoona PA 16601 First 760,000 U/W 1.41
13 Nursing Facility FHA 223 (f) Dover NH 03821 First 835,232 U/W 1.67
14 Multifamily GNMA 223 (f) Austintown OH 44515 First N/A N/A N/A
15 Multifamily GNMA 223 (f) Lafayette IN 47905 First 625,472 U/W 1.30
16 Multifamily GNMA 223 (f) Blacksburg VA 24060 First N/A N/A N/A
17 Multifamily FHA 223 (f) Lubbock TX 79424 First N/A N/A N/A
18 Multifamily FHA 221 (d)4 Killeen TX 76540 First 542,367 U/W 1.17
19 Nursing Facility FHA 223 (f) Exeter NH 03821 First 670,912 U/W 1.67
20 Nursing Facility FHA 232 Westfield NY 14787 First 826,616 U/W 1.90
21 Multifamily FHA 223 (f) Sierra Vista AZ 85635 First 556,900 U/W 1.33
22 Nursing Facility FHA 223 (f) Greenville MI 48838 First 588,956 U/W 1.60
23 Nursing Facility FHA 223 (f) Tallmadge OH 44278 First 559,357 FY '95 1.59
24 Multifamily FHA 223 (f) Merritt Island FL 32953 First 473,165 U/W 1.32
25 Multifamily FHA 221 (d)4 La Porte TX 77571 First 412,516 U/W 1.11
26 Multifamily GNMA 223 (f) Texas City TX 77590 First 459,304 U/W 1.40
27 Multifamily FHA 221 (d)4 Port Arthur TX 77642 First N/A N/A N/A
28 Multifamily FHA 221 (d)4 New York NY 10031 First 788,156 FY '95 1.75
29 Nursing Facility FHA 223 (f) Big Rapids MI 49307 First 764,249 U/W N/A
30 Nursing Facility FHA 232 Navarre OH 44662 First 590,711 FY '95 1.61
31 Multifamily FHA 223 (f) Suitland MD 20746 First 17,330 FY '95 N/A
32 Multifamily FHA 223 (a)7 Brooklyn NY 11210 First 468,370 FY '95 1.50
33 Multifamily GNMA 223 (f) East Haven CT 06512 First 397,369 U/W 1.62
34 Multifamily FHA 223 (f) San Bernardino CA 92400 First 330,891 U/W 1.32
35 Multifamily GNMA 223 (a)7 Laurel MD 20697 First N/A N/A N/A
36 Nursing Facility FHA 223 (f) Rapid City SD 55701 First 663,956 U/W N/A
37 Nursing Facility FHA 223 (f) Pierre SD 57501 First 590,151 U/W N/A
38 Nursing Facility FHA 223 (f) Rapid City SD 55701 First 526,511 U/W N/A
39 Nursing Facility FHA 223 (f) East Lansing MI 48823 First 444,866 U/W 1.78
40 Multifamily FHA 223 (f) Lubbock TX 79424 First N/A N/A N/A
41 Nursing Facility FHA 232 Manistee MI 49660 First 381,959 FY '94 1.39
42 Multifamily GNMA 241 (f) Naugatuck CT 06770 Second 367,704 FY '95 N/A
43 Nursing Facility FHA 232 Montrose MI 48457 First 517,243 U/W N/A
44 Multifamily FHA 221 (d)4 Chicago IL 60640 First 244,714 U/W 1.17
45 Nursing Facility FHA 232 Keysville GA 30816 First 307,704 U/W 1.35
46 Multifamily FHA 221 (d)4 Russell AL 35653 First N/A N/A N/A
47 Nursing Facility FHA 232 Muskegon MI 49441 First 367,292 U/W 1.65
48 Nursing Facility FHA 223 (f) Litchfield MI 49252 First 294,122 U/W 1.50
49 Nursing Facility GNMA 223 (f) Lonaconing MD 22186 First 320,223 U/W N/A
50 Nursing Facility FHA 232 Wadsworth OH 44281 First 264,706 FY '95 1.37
51 Multifamily GNMA 223 (f) San Diego CA 91977 First 195,120 U/W 1.25
52 Multifamily FHA 221 (d)4 Duluth MN 55701 First 197,486 U/W 1.17
53 Multifamily FHA 223 (f) Detroit MI 48207 First 164,239 FY '94 0.97
54 Nursing Facility FHA 232 Lancaster OH 43130 First 213,635 U/W 1.29
55 Nursing Facility FHA 232 Plain Township OH 43064 First 212,135 FY '95 1.16
56 Multifamily GNMA 241 (f) Cumberland MD 21502 Second 265,048 FY '95 N/A
57 Nursing Facility FHA 223 (d) Brighton MA 02135 Second 1,011,163 U/W N/A
58 Multifamily GNMA 223 (a)7 Miami Township OH 45056 First 196,129 U/W 1.44
59 Multifamily FHA 223 (f) Waterbury CT 06702 First 191,401 U/W 1.24
60 Multifamily GNMA 223 (a)7 Amherst MA 01002 First 194,328 FY '95 1.42
61 Nursing Facility FHA 223 (f) Zeeland MI 49464 First 202,919 U/W 1.55
62 Multifamily GNMA 223 (f) Burnsville MN 55337 First 151,891 U/W 1.32
63 Multifamily FHA 221 (d)4 Clayton NC 27520 First 142,222 FY '95 1.25
64 Multifamily FHA 241 Lexington KY 40504 Second 390,613 U/W N/A
65 Multifamily FHA 223 (f) Reynoldsburg OH 43068 First 135,876 U/W 1.24
66 Multifamily GNMA 221 (d)4 New Hope AL 35760 First 130,878 U/W 1.33
67 Multifamily FHA 223 (f) Biddeford ME 04005 First 134,338 U/W 1.37
68 Multifamily FHA 223 (f) Cayahoga Falls OH 43221 First 97,352 U/W 1.11
69 Nursing Facility FHA 232 Washington Courthouse OH 43160 First 117,929 U/W 1.41
70 Multifamily FHA 223 (f) Lubbock TX 79410 First 101,609 U/W 1.37
71 Nursing Facility FHA 232 Marysville OH 43040 First 102,843 U/W 1.33
72 Multifamily GNMA 223 (f) Philadelphia PA 19118 First 92,115 FY '95 1.27
73 Nursing Facility FHA 223 (f) Marysville OH 43040 First 99,677 U/W 1.45
74 Nursing Facility FHA 241 Stamford NY 12167 Second N/A N/A N/A
75 Multifamily FHA 241 Roanoke VA 24017 Second 442,210 FY '95 N/A
76 Multifamily GNMA 241 (f) Excelsior MO 64024 Second N/A N/A N/A
77 Nursing Facility FHA 223 (d) Topsham ME 04086 Second 780,300 U/W N/A
78 Multifamily FHA 241 (f) Grand Island NE 68801 Second 93,717 U/W N/A
79 Multifamily FHA 241 (f) Los Angeles CA 90007 Second 63,538 U/W N/A
80 Multifamily FHA 223 (f) Irving TX 75061 First 72,541 U/W 1.08
81 Multifamily FHA 241 (f) Ashland OR 97520 Second 44,943 U/W N/A
82 Multifamily FHA 241 (f) Ashland OR 97520 Second 35,981 U/W N/A
--------
1.41
========
</TABLE>
<PAGE>
Characteristics of the Mortgaged Loans
<TABLE>
<CAPTION>
Original Cut-off Date Cut-off Date Trust First Stated
Trust Principal Principal Principal Mortgage Net Debenture Payment Maturity
# Balance $ Balance $ (1) Balance % (1) Rate Rate Rate Date Date
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1 12,583,228 12,441,203 4.63% 8.375% 8.105% N/A 11/1/94 10/1/29
2 11,503,900 11,238,871 4.18% 8.600% 8.405% 8.500% 10/1/92 9/1/27
3 11,040,700 11,030,670 4.11% 8.450% 8.180% N/A 11/1/96 2/1/30
4 9,879,400 9,021,896 3.36% 9.500% 9.305% 7.750% 4/1/81 3/1/21
5 9,236,700 8,187,274 3.05% 8.500% 8.360% 7.125% 3/1/81 2/1/21
6 8,116,378 8,075,289 3.01% 7.500% 7.380% 11.625% 4/1/96 11/1/29
7 7,942,900 7,938,262 2.95% 8.500% 8.305% 7.250% 11/1/96 12/1/34
8 8,734,900 7,879,951 2.93% 9.000% 8.805% 7.250% 7/1/80 6/1/20
9 7,800,100 7,790,442 2.90% 8.250% 8.045% 7.250% 10/1/96 9/1/31
10 7,609,700 7,577,130 2.82% 7.750% 7.355% N/A 4/1/96 3/1/31
11 7,402,500 7,396,847 2.75% 8.550% 8.355% 7.250% 11/1/96 10/1/31
12 6,559,300 6,557,352 2.44% 7.875% 7.605% N/A 12/1/96 11/1/36
13 5,943,500 5,924,427 2.21% 7.875% 7.680% 6.500% 6/1/96 5/1/31
14 5,649,100 5,511,712 2.05% 8.375% 7.980% N/A 5/1/94 4/1/23
15 5,450,000 5,442,662 2.03% 8.000% 7.730% N/A 11/1/96 10/1/26
16 5,047,300 5,045,031 1.88% 7.875% 7.605% N/A 1/1/97 12/1/31
17 5,015,000 5,002,529 1.86% 8.275% 8.055% 6.500% 7/1/96 6/1/31
18 4,943,000 4,937,835 1.84% 9.125% 8.910% 8.375% 8/1/96 7/1/36
19 4,774,200 4,758,879 1.77% 7.875% 7.680% 6.500% 6/1/96 5/1/31
20 4,549,445 4,483,183 1.67% 9.000% 8.820% 11.500% 9/1/94 3/1/26
21 4,505,000 4,456,329 1.66% 8.900% 8.680% 7.750% 10/1/94 9/1/29
22 3,995,000 3,990,143 1.49% 8.500% 8.305% 7.250% 11/1/96 10/1/26
23 4,004,700 3,980,954 1.48% 8.300% 7.930% 8.375% 9/1/95 8/1/30
24 3,867,500 3,838,016 1.43% 8.825% 8.630% 8.375% 5/1/95 4/1/30
25 3,813,200 3,808,907 1.42% 9.500% 9.305% 7.750% 7/1/96 6/1/36
26 3,758,600 3,755,508 1.40% 8.250% 7.980% N/A 11/1/96 10/1/31
27 3,850,000 3,687,868 1.37% 9.750% 9.610% 10.125% 7/1/85 6/1/25
28 4,459,300 3,485,858 1.30% 9.500% 9.305% 7.750% 1/1/81 12/1/20
29 3,478,200 3,475,510 1.29% 8.500% 8.305% 7.250% 11/1/96 10/1/31
30 3,434,200 3,398,410 1.26% 10.500% 10.330% 9.000% 1/1/92 12/1/31
31 3,337,681 3,313,791 1.23% 8.250% 8.130% 10.250% 6/1/96 6/1/21
32 2,990,100 2,930,413 1.09% 8.500% 8.180% 7.250% 1/1/96 10/1/23
33 2,919,000 2,916,367 1.09% 7.875% 7.605% N/A 11/1/96 10/1/31
34 2,899,500 2,898,274 1.08% 8.125% 7.785% 7.250% 1/1/97 12/1/31
35 2,892,800 2,856,635 1.06% 8.450% 8.180% N/A 8/1/94 7/15/29
36 2,837,900 2,836,737 1.06% 8.250% 7.930% 7.250% 12/1/96 11/1/31
37 2,779,800 2,778,661 1.03% 8.250% 7.930% 7.250% 12/1/96 11/1/31
38 2,750,400 2,749,273 1.02% 8.250% 7.930% 7.250% 12/1/96 11/1/31
39 2,701,300 2,698,016 1.00% 8.500% 8.305% 7.250% 11/1/96 10/1/26
40 2,465,000 2,458,870 0.92% 8.275% 8.055% 6.500% 7/1/96 6/1/31
41 2,562,400 2,441,713 0.91% 9.750% 9.055% 8.000% 12/1/92 11/1/17
42 2,392,800 2,377,105 0.88% 8.750% 8.355% N/A 11/1/94 10/1/34
43 2,212,800 2,208,574 0.82% 9.125% 8.930% 8.375% 4/1/96 3/1/36
44 2,205,000 2,195,585 0.82% 9.250% 9.055% 8.375% 5/1/95 4/1/35
45 2,187,200 2,181,058 0.81% 10.000% 9.180% 7.750% 5/1/96 10/1/28
46 2,256,500 2,156,790 0.80% 9.750% 9.610% 12.000% 3/1/85 2/1/25
47 2,160,000 2,149,274 0.80% 9.750% 9.555% 8.375% 3/1/96 11/1/25
48 2,125,000 2,122,416 0.79% 8.500% 8.305% 7.250% 11/1/96 10/1/26
49 1,829,800 1,826,769 0.68% 8.250% 7.980% N/A 9/1/96 8/15/31
50 1,806,200 1,792,587 0.67% 10.500% 10.305% 9.000% 9/1/93 6/1/32
51 1,755,200 1,752,896 0.65% 8.125% 7.855% N/A 12/1/96 11/1/26
52 1,738,900 1,724,783 0.64% 9.500% 8.910% 6.000% 11/1/93 10/1/33
53 1,725,000 1,709,276 0.64% 8.875% 8.555% 8.000% 2/1/96 5/1/22
54 1,709,100 1,706,846 0.64% 9.500% 9.230% 8.375% 6/1/96 5/1/36
55 1,715,600 1,702,543 0.63% 10.500% 10.305% 9.000% 9/1/93 5/1/32
56 1,707,700 1,685,622 0.63% 9.000% 8.605% N/A 5/1/95 4/1/24
57 1,655,000 1,654,034 0.62% 8.500% 8.305% 7.250% 11/1/96 12/1/34
58 1,624,500 1,621,889 0.60% 7.750% 7.480% N/A 10/1/96 1/1/30
59 1,568,500 1,548,123 0.58% 9.250% 9.055% 7.750% 2/1/95 1/1/25
60 1,506,400 1,500,220 0.56% 8.250% 7.980% N/A 7/1/96 11/1/25
61 1,421,600 1,419,871 0.53% 8.500% 8.305% 7.250% 11/1/96 10/1/26
62 1,348,600 1,347,420 0.50% 8.000% 7.730% N/A 11/1/96 10/1/31
63 1,354,300 1,304,418 0.49% 8.000% 7.805% 10.250% 10/1/87 9/1/27
64 1,302,400 1,296,917 0.48% 10.000% 9.805% 8.375% 1/1/96 8/1/28
65 1,139,700 1,129,715 0.42% 9.250% 8.930% 7.750% 12/1/94 11/1/29
66 1,053,900 1,044,233 0.39% 8.950% 8.680% N/A 11/1/94 7/1/30
67 1,020,000 1,012,991 0.38% 9.250% 9.055% 8.375% 5/1/95 4/1/30
68 907,600 901,698 0.34% 9.250% 8.930% 8.375% 6/1/95 5/1/30
69 859,700 857,717 0.32% 9.500% 9.180% 7.750% 1/1/96 12/1/35
70 844,000 841,901 0.31% 8.275% 8.055% 6.500% 7/1/96 6/1/31
71 798,300 796,135 0.30% 9.500% 9.180% 7.750% 11/1/95 10/1/35
72 819,796 792,722 0.30% 7.900% 7.630% N/A 1/1/94 12/1/21
73 765,000 760,678 0.28% 8.500% 8.180% 7.250% 11/1/95 10/1/30
74 700,000 699,826 0.26% 8.750% 8.545% 7.250% 12/1/96 1/1/36
75 660,100 643,051 0.24% 10.250% 9.930% 10.250% 1/1/88 12/1/27
76 627,000 623,332 0.23% 9.000% 8.480% N/A 12/1/94 11/1/34
77 584,400 581,345 0.22% 8.500% 7.920% 7.250% 12/1/95 11/1/30
78 557,500 550,974 0.21% 9.250% 9.055% 7.750% 12/1/94 11/1/26
79 484,000 482,683 0.18% 8.625% 8.430% 7.250% 2/1/96 1/1/36
80 480,800 476,358 0.18% 8.500% 8.160% 7.250% 11/1/96 10/1/07
81 310,000 307,794 0.11% 8.750% 8.555% 7.750% 9/1/94 8/1/34
82 175,600 174,827 0.07% 9.500% 9.305% 8.375% 3/1/95 2/1/35
----------------------------------------------------------------------------------------------------------
274,178,328 268,660,697 100.000% 8.609% 8.363% 8.006% 1/5/94 3/4/29
==========================================================================================================
12,583,228 12,441,203 4.63% 10.500% 10.330% 12.000% 1/1/97 11/1/36
175,600 174,827 0.07% 7.500% 7.355% 6.000% 7/1/80 10/1/07
<CAPTION>
Original Remaining Remaining Remaining
Term to Term to Hard Prepayment
Trust Stated Stated Lockout Penalty Prepayment Provision at
# Maturity Maturity Term Term Cut-Off (years)
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1 420 394 33 60 L(2.75), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
2 420 369 8 0 L(0.67)
3 400 398 0 118 7%(4.83), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
4 480 291 0 69 0.750% (.75)...0.125% (1)
5 480 290 0 66 0.875% (0.5)...0.125% (1)
6 404 395 89 0 L(7.42)
7 458 456 58 0 L(4.83)
8 480 282 0 62 0.75% (0.17)...0.125% (1)
9 420 417 116 0 L(9.67)
10 420 411 51 60 L(4.25), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
11 420 418 117 0 L(9.75)
12 480 479 119 0 L(9.92)
13 420 413 52 60 L(4.33), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
14 348 316 28 60 L(2.33), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
15 360 358 0 57 5%(0.75), 4%(1), 3%(1), 2%(1), 1%(1)
16 420 420 60 60 L(4.83), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
17 420 414 53 60 L(4.42), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
18 480 475 58 60 L(4.83), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
19 420 413 52 60 L(4.33), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
20 379 351 0 210 9% (0.50)...0.50% (1)
21 420 393 32 0 L(2.67)
22 360 358 57 60 L(4.75), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
23 420 404 44 60 L(3.67), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
24 420 400 39 60 L(3.25), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
25 480 474 50 60 L(4.17), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
26 420 418 118 0 L(9.83)
27 480 342 0 132 1.375% (.75)...0.125% (1)
28 480 288 0 72 0.750% (1)...0.125% (1)
29 420 418 57 60 L(4.75), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
30 480 420 60 0 L(5)
31 301 294 113 0 L(9.42)
32 334 322 48 0 L(4.00)
33 420 418 58 60 L(4.83), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
34 420 420 60 60 L(5), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
35 420 391 31 60 L(2.58), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
36 420 419 58 60 L(4.83), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
37 420 419 58 60 L(4.83), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
38 420 419 58 60 L(4.83), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
39 360 358 57 60 L(4.75), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
40 420 414 53 60 L(4.42), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
41 300 251 7 60 L(0.58), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
42 480 454 93 0 L(7.75)
43 480 471 48 60 L(4), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
44 480 460 39 60 L(3.25), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
45 390 382 43 60 L(3.58), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
46 480 338 0 128 1.375% (0.67)...0.125% (1)
47 357 347 47 60 L(3.92), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
48 360 358 57 60 L(4.75), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
49 420 416 55 60 L(4.58), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
50 466 426 66 0 L(5.5)
51 360 359 58 60 L(4.83), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
52 480 442 82 0 L(6.83)
53 316 305 1 36 L(0.08), 3%(1), 2%(1), 1%(1)
54 480 473 53 60 L(4.42), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
55 465 425 65 0 L(5.42)
56 348 328 40 60 L(3.33), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
57 458 456 58 0 L(4.83)
58 400 397 57 60 L(4.75), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
59 360 337 36 60 L(3), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
60 353 347 53 60 L(4.42), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
61 360 358 57 60 L(4.75), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
62 420 418 117 0 L(9.75)
63 480 369 84 0 L(7)
64 392 380 46 60 L(3.83), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
65 420 395 34 60 L(2.83), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
66 429 403 94 0 L(7.83)
67 420 400 39 60 L(3.25), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
68 420 401 40 60 L(3.33), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
69 480 468 48 60 L(4), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
70 420 414 53 60 L(4.42), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
71 480 466 46 60 L(3.83), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
72 336 300 0 24 2%(1), 1%(1)
73 420 406 46 60 L(3.83), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
74 470 469 118 0 L(9.83)
75 480 372 0 10 1.0% (0.83)
76 480 455 94 0 L(7.83)
77 420 407 106 0 L(8.83)
78 384 359 35 60 L(2.92), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
79 480 469 48 60 L(4), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
80 132 130 46 0 L(3.83)
81 480 452 31 60 L(2.58), 5%(1), 4%(1), 3%(1), 2%(1), 1%(1)
82 480 458 97 0 L(8.08)
----------------------------------------------------------
423 387 47 48
==========================================================
480 479 119 210
132 130 0 0
<PAGE>
Mortgaged Loans by State
</TABLE>
<TABLE>
<CAPTION>
Percentage of Weighted Weighted
Cut-Off Date Cut-Off Date Average Average
Number Principal Principal Mortgage Term to
# State of Loans Balance (1) Balance Rate Maturity
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
1 New York 8 $ 44,478,844 16.6% 8.880% 322
2 Texas 8 24,969,776 9.3% 8.848% 420
3 Ohio 12 24,160,886 9.0% 9.161% 398
4 Michigan 9 22,214,794 8.3% 8.849% 362
5 Virginia 3 18,129,285 6.7% 8.302% 400
6 Connecticut 4 14,916,884 5.6% 7.954% 403
7 California 3 5,133,853 1.9% 8.172% 404
8 Colorado 1 11,238,871 4.2% 8.600% 369
9 Massachusetts 3 11,092,516 4.1% 8.466% 441
10 New Jersey 1 11,030,670 4.1% 8.450% 398
11 New Hampshire 2 10,683,306 4.0% 7.875% 413
12 Georgia 2 9,758,188 3.6% 8.253% 405
13 Maryland 4 9,682,818 3.6% 8.440% 352
14 Illinois 2 9,592,432 3.6% 8.710% 428
15 South Dakota 3 8,364,670 3.1% 8.250% 419
16 Pennsylvania 2 7,350,074 2.7% 7.878% 460
17 Indiana 1 5,442,662 2.0% 8.000% 358
18 Arizona 1 4,456,329 1.7% 8.900% 393
19 Florida 1 3,838,016 1.4% 8.825% 400
20 Alabama 2 3,201,023 1.2% 9.489% 359
21 Minnesota 2 3,072,204 1.1% 8.842% 431
22 Maine 2 1,594,336 0.6% 8.977% 403
23 North Carolina 1 1,304,418 0.5% 8.000% 369
24 Kentucky 1 1,296,917 0.5% 10.000% 380
25 Missouri 1 623,332 0.2% 9.000% 455
26 Nebraska 1 550,974 0.2% 9.250% 359
27 Oregon 2 482,621 0.2% 9.022% 454
-------------------------------------------------------------------------------
Total or Weighted Average: 82 $ 268,660,697 100.0% 8.609% 387
===============================================================================
</TABLE>
(1) December 1, 1996
Mortgaged Loans by FHA Mortgage Insurance Program
<TABLE>
<CAPTION>
Percentage of Weighted Weighted
Cut-Off Date Cut-Off Date Average Average
Section of Number Principal Principal Mortgage Term to
# Housing Act of Loans Balance (1) Balance Rate Maturity
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
1 223 (f) 38 $ 130,680,144 48.6% 8.296% 393
2 221 (d)4 10 33,368,175 12.4% 9.396% 373
3 232 12 30,275,394 11.3% 9.348% 411
4 223 (a)7 6 27,878,089 10.4% 8.418% 403
5 220 2 15,955,240 5.9% 8.241% 339
6 207 1 11,238,871 4.2% 8.600% 369
7 223 (e) 1 8,187,274 3.0% 8.500% 290
8 241 (f) 7 6,202,337 2.3% 8.899% 413
9 241 3 2,639,794 1.0% 9.730% 402
10 223 (d) 2 2,235,379 0.8% 8.500% 443
-------------------------------------------------------------------------------
Total or Weighted Average: 82 $ 268,660,697 100.0% 8.609% 387
===============================================================================
</TABLE>
(1) December 1, 1996
<PAGE>
Property Type
<TABLE>
<CAPTION>
Percentage of Weighted Weighted
Cut-Off Date Cut-Off Date Average Average
Number Principal Principal Mortgage Term to
Property Type of Loans Balance (1) Balance Rate Maturity
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Multifamily 51 $ 169,761,987 63.2% 8.581% 374
Nursing Facility 31 98,898,710 36.8% 8.658% 410
----------------------------------------------------------------------------------
Total or Weighted Average: 82 $ 268,660,697 100.0% 8.609% 387
==================================================================================
</TABLE>
(1) December 1, 1996
Type of Mortgage Asset
<TABLE>
<CAPTION>
Percentage of Weighted Weighted
Cut-Off Date Cut-Off Date Average Average
Type of Number Principal Principal Mortgage Term to
Mortgage Asset of Loans Balance (1) Balance Rate Maturity
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
FHA Loan 62 $ 190,954,218 71.1% 8.774% 382
GNMA Certificate 20 77,706,479 28.9% 8.204% 398
----------------------------------------------------------------------------------
Total or Weighted Average: 82 $ 268,660,697 100.0% 8.609% 387
==================================================================================
</TABLE>
(1) December 1, 1996
Mortgaged Loans by Lien Position
<TABLE>
<CAPTION>
Percentage of Weighted Weighted
Cut-Off Date Cut-Off Date Average Average
Number Principal Principal Mortgage Term to
Lien Position of Loans Balance (1) Balance Rate Maturity
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
First 70 $ 257,583,187 95.9% 8.592% 386
Second 12 11,077,510 4.1% 9.016% 416
----------------------------------------------------------------------------------
Total or Weighted Average: 82 $ 268,660,697 100.0% 8.609% 387
==================================================================================
</TABLE>
(1) December 1, 1996
<PAGE>
Mortgage Rates
<TABLE>
<CAPTION>
Percentage of Weighted Weighted
Cut-Off Date Cut-Off Date Average Average
Number Principal Principal Mortgage Term to
Mortgage Rate of Loans Balance (1) Balance Rate Maturity
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
7.250% 7.999% 9 $ 43,269,086 16.1% 7.779% 418
8.000% 8.249% 5 12,745,671 4.7% 8.046% 380
8.250% 8.499% 16 70,675,874 26.3% 8.327% 393
8.500% 8.749% 15 55,352,720 20.6% 8.528% 377
8.750% 8.999% 7 14,432,579 5.4% 8.846% 400
9.000% 9.249% 6 21,818,498 8.1% 9.041% 367
9.250% 9.499% 6 7,339,086 2.7% 9.250% 401
9.500% 9.749% 8 21,576,971 8.0% 9.500% 364
9.750% 9.999% 4 10,435,646 3.9% 9.750% 321
10.000% 10.499% 3 4,121,025 1.5% 10.039% 380
10.500% 10.999% 3 6,893,541 2.6% 10.500% 423
---------------------------------------------------------------------------------
Total/Weighted Average: 82 $ 268,660,697 100.0% 8.609% 387
=================================================================================
Weighted Average Mortgage Rate: 8.609%
</TABLE>
(1) December 1, 1996
Cut-Off Date Principal Balances
<TABLE>
<CAPTION>
Percentage of Weighted Weighted
Cut-Off Date Cut-Off Date Average Average
Cut-Off Number Principal Principal Mortgage Term to
Principal Balance of Loans Balance (1) Balance Rate Maturity
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
100,000 999,999 15 $ 9,491,042 3.5% 8.922% 403
1,000,000 1,999,999 19 28,781,154 10.7% 8.954% 392
2,000,000 2,999,999 17 42,955,761 16.0% 8.724% 391
3,000,000 3,999,999 10 36,734,967 13.7% 8.973% 383
4,000,000 4,999,999 4 18,636,226 6.9% 8.722% 410
5,000,000 5,999,999 5 26,926,361 10.0% 8.077% 384
6,000,000 6,999,999 1 6,557,352 2.4% 7.875% 479
7,000,000 7,999,999 5 38,582,632 14.4% 8.414% 396
8,000,000 8,999,999 2 16,262,563 6.1% 8.003% 342
9,000,000 9,999,999 1 9,021,896 3.4% 9.500% 291
10,000,000 11,999,999 2 22,269,540 8.3% 8.526% 383
12,000,000 15,000,000 1 12,441,203 4.6% 8.375% 394
---------------------------------------------------------------------------------
Total/Weighted Average: 82 $ 268,660,697 100.0% 8.609% 387
=================================================================================
Average Cut-Off Principal Balance: $ 3,276,350
</TABLE>
(1) December 1, 1996
<PAGE>
Debenture Rates
<TABLE>
<CAPTION>
Percentage of Weighted Weighted
Cut-Off Date Cut-Off Date Average Average
Number Principal Principal Mortgage Term to
Debenture Rates of Loans Balance (1) Balance Rate Maturity
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
6.000% 6.490% 1 $ 1,724,783 0.6% 9.500% 442
6.500% 6.990% 5 18,986,605 7.1% 8.050% 413
7.000% 7.240% 1 8,187,274 3.0% 8.500% 290
7.250% 7.490% 20 63,559,739 23.7% 8.491% 391
7.750% 7.990% 11 28,144,507 10.5% 9.407% 359
8.000% 8.240% 2 4,150,989 1.5% 9.390% 273
8.250% 8.490% 11 24,403,518 9.1% 9.095% 427
8.500% 8.740% 1 11,238,871 4.2% 8.600% 369
9.000% 9.240% 3 6,893,541 2.6% 10.500% 423
10.000% 10.490% 4 8,949,129 3.3% 8.975% 330
11.500% 11.990% 2 12,558,472 4.7% 8.035% 379
12.000% 12.990% 1 2,156,790 0.8% 9.750% 338
N/A 20 77,706,479 28.9% 8.204% 398
-------------------------------------------------------------------------------
Total/Weighted Average: 82 $ 268,660,697 100.0% 8.609% 387
===============================================================================
Weighted Average Debenture Rate: 8.006%
</TABLE>
(1) December 1, 1996
Net Asset Rates
<TABLE>
<CAPTION>
Percentage of Weighted Weighted
Cut-Off Date Cut-Off Date Average Average
Number Principal Principal Mortgage Term to
Net Asset Rates of Loans Balance (1) Balance Rate Maturity
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
7.000% 7.490% 3 $ 17,274,308 6.4% 7.633% 402
7.500% 7.740% 8 32,784,860 12.2% 7.901% 416
7.750% 7.990% 12 31,476,767 11.7% 8.254% 390
8.000% 8.240% 11 49,903,490 18.6% 8.362% 388
8.250% 8.490% 13 53,604,362 20.0% 8.546% 386
8.500% 8.740% 7 13,741,097 5.1% 8.881% 382
8.750% 8.990% 7 23,265,740 8.7% 9.097% 376
9.000% 9.490% 13 29,782,632 11.1% 9.513% 358
9.500% 9.990% 5 9,933,900 3.7% 9.815% 349
10.000% 10.490% 3 6,893,541 2.6% 10.500% 423
-------------------------------------------------------------------------------
Total/Weighted Average: 82 $ 268,660,697 100.0% 8.609% 387
===============================================================================
Weighted Average Net Asset Rates: 8.363%
</TABLE>
(1) December 1, 1996
Cut-Off Debt Service Coverage Ratios
<TABLE>
<CAPTION>
Percentage of Weighted Weighted
Cut-Off Date Cut-Off Date Average Average
Number Principal Principal Mortgage Term to
DSCR of Loans Balance (1) Balance Rate Maturity
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
0.950 0.999 2 $ 9,784,565 3.6% 7.740% 379
1.000 1.099 2 9,498,254 3.5% 9.450% 283
1.100 1.199 8 35,650,818 13.3% 8.859% 436
1.200 1.299 6 8,234,720 3.1% 8.734% 379
1.300 1.399 15 51,066,771 19.0% 8.672% 374
1.400 1.499 5 11,297,857 4.2% 8.072% 444
1.500 1.599 7 30,114,190 11.2% 8.540% 356
1.600 1.699 5 19,147,357 7.1% 8.551% 408
1.700 1.999 5 29,483,058 11.0% 8.540% 366
N/A 27 64,383,106 24.0% 8.589% 396
-------------------------------------------------------------------------------
Total/Weighted Average: 82 $ 268,660,697 100.0% 8.609% 387
===============================================================================
Weighted Average Debt Service Coverage Ratio: 1.41 x
</TABLE>
(1) December 1, 1996
<PAGE>
Prepayment Provisions
<TABLE>
<CAPTION>
Weighted
Weighted Average
Average Remaining Weighted
Percentage of Remaining Prepayment Average
Cut-Off Date Cut-Off Date Hard Lockout Provision Term to
Remaining Number Principal Principal Term Term Maturity
Maturity Term (years) of Loans Balance (1) Balance (years) (years) (years)
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
10.0 10.9 1 $ 476,358 0.2% 3.8 3.8 10.8
20.0 20.9 1 2,441,713 0.9% 0.6 5.6 20.9
23.0 23.9 1 7,879,951 2.9% 0.0 5.2 23.5
24.0 24.9 4 24,008,820 8.9% 1.3 6.2 24.2
25.0 25.9 2 2,501,998 0.9% 0.1 2.7 25.3
26.0 26.9 2 8,442,125 3.1% 2.9 6.2 26.5
27.0 27.9 1 1,685,622 0.6% 3.3 8.3 27.3
28.0 28.9 5 11,042,276 4.1% 1.8 9.9 28.5
29.0 29.9 8 22,460,161 8.4% 2.6 10.0 29.7
30.0 30.9 2 12,543,289 4.7% 1.3 1.3 30.8
31.0 31.9 3 4,121,025 1.5% 3.1 7.5 31.7
32.0 32.9 5 28,959,172 10.8% 4.0 6.9 32.8
33.0 33.9 9 24,772,474 9.2% 2.3 9.1 33.3
34.0 34.9 16 63,437,268 23.6% 6.2 9.6 34.6
35.0 35.9 5 14,836,846 5.5% 5.1 7.8 35.1
36.0 36.9 1 1,724,783 0.6% 6.8 6.8 36.8
37.0 37.9 3 3,308,231 1.2% 7.3 7.8 37.8
38.0 38.9 5 12,758,843 4.7% 4.5 5.7 38.1
39.0 39.9 8 21,259,742 7.9% 6.3 9.6 39.6
--------------------------------------------------------------------------------------------
Total/Weighted Average: 82 $ 268,660,697 100.0% 3.9 7.9 32.3
============================================================================================
</TABLE>
(1) December 1, 1996
Remaining Maturity Term
<TABLE>
<CAPTION>
Percentage of Weighted Weighted
Cut-Off Date Cut-Off Date Average Average
Remaining Number Principal Principal Mortgage Term to
Maturity Term (Months) of Loans Balance (1) Balance Rate Maturity
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
120 132 1 $ 476,358 0.2% 8.500% 130
240 252 1 2,441,713 0.9% 9.750% 251
276 299 5 31,888,771 11.9% 8.990% 289
300 335 5 12,629,746 4.7% 8.525% 317
336 359 13 33,502,437 12.5% 8.800% 352
360 395 10 45,623,486 17.0% 8.493% 386
396 431 30 103,046,588 38.4% 8.387% 413
432 480 17 39,051,599 14.5% 8.815% 466
-----------------------------------------------------------------------------
Total/Weighted Average: 82 $ 268,660,697 100.0% 8.609% 387
=============================================================================
Weighted Average Remaining Maturity Term : 387
</TABLE>
(1) December 1, 1996
<PAGE>
Donaldson, Lufkin & Jenrette - Real Estate Finance Group
Sat Dec 14 13:58:26 1996
ASFS-96-FHA1PR A1
Yield Table (Flat File Coll, Ppy Lock, Lockout thru YMP,
Lockout thru Ppy Pen. period)
- --------------------------------------------------------------------------------
Current Balance : $40,160,000.00 Current WAM : 480
Pass-Thru Rate : 6.5750 Settlement : 12/24/96
Accrued Days / Delay Days : 23 / 24
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Prepayments
- -----------------------------------------------------------------------------------------------------------------------
10.0% CPR 20.0% CPR 30.0% CPR 40.0% CPR 50.0% CPR
-----------------------------------------------------------------------------------------------
Price Yield ModDur Yield ModDur Yield ModDur Yield ModDur Yield ModDur
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
98.50000 98-16 7.173 2.10 7.207 1.97 7.237 1.86 7.264 1.78 7.289 1.71
98.62500 98-20 7.113 7.143 7.169 7.193 7.215
98.75000 98-24 7.053 7.079 7.102 7.122 7.141
98.87500 98-28 6.993 7.015 7.034 7.051 7.067
99.00000 99-00 6.933 6.951 6.967 6.981 6.994
99.12500 99-04 6.873 6.887 6.900 6.911 6.921
99.25000 99-08 6.814 6.824 6.832 6.840 6.847
99.37500 99-12 6.754 6.760 6.766 6.770 6.774
99.50000 99-16 6.695 2.11 6.697 1.98 6.699 1.87 6.700 1.79 6.702 1.72
99.62500 99-20 6.636 6.634 6.632 6.630 6.629
99.75000 99-24 6.577 6.571 6.565 6.561 6.556
99.87500 99-28 6.518 6.508 6.499 6.491 6.484
100.00000 100-00 6.459 6.445 6.433 6.422 6.412
100.12500 100-04 6.400 6.382 6.366 6.352 6.340
100.25000 100-08 6.341 6.319 6.300 6.283 6.268
100.37500 100-12 6.283 6.257 6.234 6.214 6.196
100.39730 100-13 6.272 2.12 6.246 1.99 6.223 1.88 6.202 1.80 6.183 1.73
100.50000 100-16 6.224 6.195 6.169 6.145 6.124
100.62500 100-20 6.166 6.132 6.103 6.077 6.052
100.75000 100-24 6.108 6.070 6.037 6.008 5.981
100.87500 100-28 6.050 6.008 5.972 5.940 5.910
101.00000 101-00 5.991 5.946 5.907 5.871 5.839
101.12500 101-04 5.934 5.884 5.842 5.803 5.768
101.25000 101-08 5.876 5.823 5.777 5.735 5.697
101.37500 101-12 5.818 2.13 5.761 2.00 5.712 1.89 5.667 1.81 5.626 1.74
101.50000 101-16 5.761 5.700 5.647 5.599 5.555
101.62500 101-20 5.703 5.639 5.582 5.532 5.485
101.75000 101-24 5.646 5.577 5.518 5.464 5.415
101.87500 101-28 5.589 5.516 5.453 5.397 5.344
102.00000 102-00 5.531 5.455 5.389 5.329 5.274
102.12500 102-04 5.474 5.394 5.325 5.262 5.204
102.25000 102-08 5.418 5.334 5.261 5.195 5.135
- ---------------------------------------------------------------------------------------------------------------------
Avg Life 2.40 2.23 2.10 2.00 1.91
- ---------------------------------------------------------------------------------------------------------------------
First Pay 01/25/97 01/25/97 01/25/97 01/25/97 01/25/97
Last Pay 05/25/01 01/25/01 10/25/00 08/25/00 07/25/00
Prin. Window 53 49 46 44 43
- ---------------------------------------------------------------------------------------------------------------------
<CAPTION>
Prepayments
- ---------------------------------------------------------------
75.0% CPR 100.0% CPR
---------------------------------------
Price Yield ModDur Yield ModDur
- ---------------------------------------------------------------
<S> <C> <C> <C> <C>
98.50000 98-16 7.345 1.57 7.449 1.36
98.62500 98-20 7.265 7.356
98.75000 98-24 7.184 7.263
98.87500 98-28 7.104 7.171
99.00000 99-00 7.024 7.078
99.12500 99-04 6.944 6.986
99.25000 99-08 6.864 6.894
99.37500 99-12 6.784 6.802
99.50000 99-16 6.705 1.58 6.711 1.37
99.62500 99-20 6.626 6.620
99.75000 99-24 6.546 6.528
99.87500 99-28 6.467 6.437
100.00000 100-00 6.389 6.347
100.12500 100-04 6.310 6.256
100.25000 100-08 6.232 6.166
100.37500 100-12 6.153 6.076
100.39730 100-13 6.139 1.58 6.060 1.38
100.50000 100-16 6.075 5.986
100.62500 100-20 5.997 5.896
100.75000 100-24 5.919 5.806
100.87500 100-28 5.841 5.717
101.00000 101-00 5.764 5.628
101.12500 101-04 5.686 5.539
101.25000 101-08 5.609 5.450
101.37500 101-12 5.532 1.59 5.361 1.39
101.50000 101-16 5.455 5.273
101.62500 101-20 5.378 5.185
101.75000 101-24 5.302 5.096
101.87500 101-28 5.225 5.009
102.00000 102-00 5.149 4.921
102.12500 102-04 5.073 4.833
102.25000 102-08 5.997 4.746
- ---------------------------------------------------------------
Avg Life 1.74 1.51
- ---------------------------------------------------------------
First Pay 01/25/97 01/25/97
Last Pay 04/25/00 01/25/00
Prin. Window 40 37
- ---------------------------------------------------------------
</TABLE>
The analyses, calculations, and valuations herein are based on certain
assumptions and data provided by third parties which may vary from the actual
characteristics of the pool. Donaldson, Lufkin and Jenrette Securities
Corporation makes no representation that such analyses or calculations are
accurate or that such valuations represent levels where actual trades may occur.
Investors should rely on the information contained in or filed in connection
with the prospectus / prospectus supplement.
<PAGE>
Donaldson, Lufkin & Jenrette - Real Estate Finance Group
Sat Dec 14 14:00:26 1996
ASFS-96-FHA1PR A2
Yield Table (Flat File Coll, Ppy Lock, Lockout thru YMP,
Lockout thru Ppy Pen. period)
- --------------------------------------------------------------------------------
Current Balance : $39,474,000.00 Current WAM : 480
Pass-Thru Rate : 7.1000 Settlement : 12/24/96
Accrued Days / Delay Days : 23 / 24
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Prepayments
- --------------------------------------------------------------------------------------------------------------------------
10.0% CPR 20.0% CPR 30.0% CPR 40.0% CPR 50.0% CPR
--------------------------------------------------------------------------------------------------
Price Yield ModDur Yield ModDur Yield ModDur Yield ModDur Yield ModDur
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
100.00000 100-00 7.104 4.64 7.097 4.36 7.093 4.19 7.090 4.07 7.087 3.99
100.12500 100-04 7.077 7.069 7.063 7.059 7.056
100.25000 100-08 7.050 7.041 7.034 7.029 7.025
100.37500 100-12 7.024 7.012 7.004 6.998 6.994
100.50000 100-16 6.997 6.984 6.975 6.968 6.963
100.62500 100-20 6.970 6.955 6.945 6.938 6.932
100.75000 100-24 6.944 6.927 6.916 6.907 6.901
100.87500 100-28 6.917 6.899 6.886 6.877 6.870
101.00000 101-00 6.891 4.65 6.871 4.37 6.857 4.20 6.847 4.08 6.839 4.00
101.12500 101-04 6.864 6.842 6.828 6.817 6.808
101.25000 101-08 6.838 6.814 6.798 6.787 6.778
101.37500 101-12 6.811 6.786 6.769 6.757 6.747
101.50000 101-16 6.785 6.758 6.740 6.727 6.716
101.62500 101-20 6.759 6.730 6.711 6.697 6.686
101.75000 101-24 6.732 6.702 6.682 6.667 6.655
101.87500 101-28 6.706 6.674 6.653 6.637 6.624
101.95780 101-31 6.689 4.66 6.656 4.38 6.634 4.21 6.617 4.09 6.604 4.01
102.00000 102-00 6.680 6.647 6.624 6.607 6.594
102.12500 102-04 6.654 6.619 6.595 6.577 6.564
102.25000 102-08 6.628 6.591 6.566 6.548 6.533
102.37500 102-12 6.602 6.563 6.537 6.518 6.503
102.50000 102-16 6.576 6.535 6.508 6.488 6.473
102.62500 102-20 6.550 6.508 6.479 6.459 6.442
102.75000 102-24 6.524 6.480 6.451 6.429 6.412
102.87500 102-28 6.498 4.67 6.453 4.39 6.422 4.22 6.399 4.10 6.382 4.01
103.00000 103-00 6.472 6.425 6.393 6.370 6.352
103.12500 103-04 6.446 6.398 6.365 6.341 6.322
103.25000 103-08 6.420 6.370 6.336 6.311 6.292
103.37500 103-12 6.394 6.343 6.308 6.282 6.262
103.50000 103-16 6.369 6.315 6.279 6.253 6.232
103.62500 103-20 6.343 6.288 6.251 6.223 6.202
103.75000 103-24 6.317 6.261 6.222 6.194 6.172
- --------------------------------------------------------------------------------------------------------------------------
Avg Life 5.86 5.43 5.17 5.00 4.87
- --------------------------------------------------------------------------------------------------------------------------
First Pay 05/25/01 01/25/01 10/25/00 08/25/00 07/25/00
Last Pay 01/25/04 06/25/03 02/25/03 11/25/02 09/25/02
Prin. Window 33 30 29 28 27
- --------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Prepayments
- -----------------------------------------------------------------
75.0% CPR 100.0% CPR
-----------------------------------------
Price Yield ModDur Yield ModDur
- -----------------------------------------------------------------
<S> <C> <C> <C> <C>
100.00000 100-00 7.083 3.84 7.077 3.67
100.12500 100-04 7.051 7.043
100.25000 100-08 7.018 7.009
100.37500 100-12 6.986 6.976
100.50000 100-16 6.954 6.942
100.62500 100-20 6.922 6.908
100.75000 100-24 6.889 6.875
100.87500 100-28 6.857 6.841
101.00000 101-00 6.825 3.85 6.808 3.68
101.12500 101-04 6.793 6.774
101.25000 101-08 6.762 6.741
101.37500 101-12 6.730 6.707
101.50000 101-16 6.698 6.674
101.62500 101-20 6.666 6.641
101.75000 101-24 6.634 6.608
101.87500 101-28 6.603 6.574
101.95780 101-31 6.582 3.86 6.552 3.69
102.00000 102-00 6.571 6.541
102.12500 102-04 6.540 6.508
102.25000 102-08 6.508 6.475
102.37500 102-12 6.477 6.442
102.50000 102-16 6.445 6.409
102.62500 102-20 6.414 6.376
102.75000 102-24 6.382 6.344
102.87500 102-28 6.351 3.87 6.311 3.70
103.00000 103-00 6.320 6.278
103.12500 103-04 6.289 6.246
103.25000 103-08 6.258 6.213
103.37500 103-12 6.226 6.180
103.50000 103-16 6.195 6.148
103.62500 103-20 6.164 6.115
103.75000 103-24 6.133 6.083
- -----------------------------------------------------------------
Avg Life 4.67 4.42
- -----------------------------------------------------------------
First Pay 04/25/00 01/25/00
Last Pay 06/25/02 01/25/02
Prin. Window 27 25
- ----------------------------------------------------------------
</TABLE>
The analyses, calculations, and valuations herein are based on certain
assumptions and data provided by third parties which may vary from the actual
characteristics of the pool. Donaldson, Lufkin and Jenrette Securities
Corporation makes no representation that such analyses or calculations are
accurate or that such valuations represent levels where actual trades may occur.
Investors should rely on the information contained in or filed in connection
with the prospectus / prospectus supplement.
<PAGE>
Donaldson, Lufkin & Jenrette - Real Estate Finance Group
Sat Dec 14 14:02:11 1996
ASFS-96-FHA1PR A3
Yield Table (Flat File Coll, Ppy Lock, Lockout thru YMP,
Lockout thru Ppy Pen. period)
- --------------------------------------------------------------------------------
Current Balance : $55,772,000.00 Current WAM : 480
Pass-Thru Rate : 7.2000 Settlement : 12/24/96
Accrued Days / Delay Days : 23 / 24
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Prepayments
- --------------------------------------------------------------------------------------------------------------------------
10 .0% CPR 20.0% CPR 30.0% CPR 40.0% CPR 50.0% CPR
--------------------------------------------------------------------------------------------------
Price Yield ModDur Yield ModDur Yield ModDur Yield ModDur Yield ModDur
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
100.25000 100-08 7.191 6.17 7.182 5.76 7.177 5.50 7.172 5.33 7.169 5.20
100.37500 100-12 7.171 7.161 7.154 7.149 7.145
100.50000 100-16 7.151 7.139 7.132 7.126 7.121
100.62500 100-20 7.131 7.118 7.109 7.102 7.097
100.75000 100-24 7.111 7.096 7.087 7.079 7.073
100.87500 100-28 7.091 7.075 7.064 7.056 7.050
101.00000 101-00 7.071 7.054 7.042 7.033 7.026
101.12500 101-04 7.051 7.032 7.020 7.010 7.002
101.25000 101-08 7.031 6.19 7.011 5.77 6.997 5.52 6.987 5.34 6.979 5.21
101.37500 101-12 7.011 6.990 6.975 6.964 6.955
101.50000 101-16 6.991 6.968 6.953 6.941 6.932
101.62500 101-20 6.972 6.947 6.931 6.918 6.908
101.75000 101-24 6.952 6.926 6.908 6.895 6.885
101.87500 101-28 6.932 6.905 6.886 6.872 6.861
102.00000 102-00 6.912 6.884 6.864 6.850 6.838
102.12500 102-04 6.893 6.863 6.842 6.827 6.815
102.15840 102-05 6.887 6.20 6.857 5.79 6.836 5.53 6.821 5.35 6.808 5.22
102.25000 102-08 6.873 6.842 6.820 6.804 6.791
102.37500 102-12 6.853 6.821 6.798 6.781 6.768
102.50000 102-16 6.834 6.800 6.776 6.759 6.745
102.62500 102-20 6.814 6.779 6.754 6.736 6.721
102.75000 102-24 6.795 6.758 6.732 6.713 6.698
102.87500 102-28 6.775 6.737 6.711 6.691 6.675
103.00000 103-00 6.756 6.716 6.689 6.668 6.652
103.12500 103-04 6.737 6.22 6.695 5.80 6.667 5.54 6.646 5.37 6.629 5.23
103.25000 103-08 6.717 6.675 6.645 6.623 6.606
103.37500 103-12 6.698 6.654 6.624 6.601 6.583
103.50000 103-16 6.678 6.633 6.602 6.579 6.560
103.62500 103-20 6.659 6.612 6.580 6.556 6.537
103.75000 103-24 6.640 6.592 6.559 6.534 6.514
103.87500 103-28 6.621 6.571 6.537 6.512 6.491
104.00000 104-00 6.601 6.550 6.516 6.489 6.468
- --------------------------------------------------------------------------------------------------------------------------
Avg Life 8.52 7.75 7.31 7.00 6.78
- --------------------------------------------------------------------------------------------------------------------------
First Pay 01/25/04 06/25/03 02/25/03 11/25/02 09/25/02
Last Pay 09/25/06 10/25/05 04/25/05 01/25/05 10/25/04
Prin. Window 33 29 27 27 26
- --------------------------------------------------------------------------------------------------------------------------
<CAPTION>
Prepayments
- -----------------------------------------------------------------
75.0% CPR 100.0% CPR
-----------------------------------------
Price Yield ModDur Yield ModDur
- -----------------------------------------------------------------
<S> <C> <C> <C> <C>
100.25000 100-08 7.162 4.96 7.152 4.65
100.37500 100-12 7.137 7.126
100.50000 100-16 7.112 7.099
100.62500 100-20 7.087 7.073
100.75000 100-24 7.062 7.046
100.87500 100-28 7.037 7.020
101.00000 101-00 7.012 6.993
101.12500 101-04 6.988 6.967
101.25000 101-08 6.963 4.97 6.940 4.66
101.37500 101-12 6.938 6.914
101.50000 101-16 6.913 6.888
101.62500 101-20 6.889 6.861
101.75000 101-24 6.864 6.835
101.87500 101-28 6.840 6.809
102.00000 102-00 6.815 6.783
102.12500 102-04 6.791 6.757
102.15840 102-05 6.784 4.98 6.750 4.67
102.25000 102-08 6.766 6.731
102.37500 102-12 6.742 6.705
102.50000 102-16 6.717 6.679
102.62500 102-20 6.693 6.653
102.75000 102-24 6.669 6.627
102.87500 102-28 6.644 6.601
103.00000 103-00 6.620 6.575
103.12500 103-04 6.596 4.99 6.550 4.69
103.25000 103-08 6.572 6.524
103.37500 103-12 6.548 6.498
103.50000 103-16 6.524 6.473
103.62500 103-20 6.499 6.447
103.75000 103-24 6.475 6.421
103.87500 103-28 6.451 6.396
104.00000 104-00 6.428 6.370
- -----------------------------------------------------------------
Avg Life 6.38 5.90
- -----------------------------------------------------------------
First Pay 06/25/02 01/25/02
Last Pay 06/25/04 03/25/04
Prin. Window 25 27
- ----------------------------------------------------------------
</TABLE>
The analyses, calculations, and valuations herein are based on certain
assumptions and data provided by third parties which may vary from the actual
characteristics of the pool. Donaldson, Lufkin and Jenrette Securities
Corporation makes no representation that such analyses or calculations are
accurate or that such valuations represent levels where actual trades may occur.
Investors should rely on the information contained in or filed in connection
with the prospectus / prospectus supplement.
<PAGE>
Donaldson, Lufkin & Jenrette - Real Estate Finance Group
Sat Dec 14 14:03:36 1996
ASFS-96-FHA1PR A4
Yield Table (Flat File Coll, Ppy Lock, Lockout thru YMP,
Lockout thru Ppy Pen. period)
- --------------------------------------------------------------------------------
Current Balance : $59,794,000.00 Current WAM : 480
Pass-Thru Rate : 7.3550 Settlement : 12/24/96
Accrued Days / Delay Days : 23 / 24
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Prepayments
- -----------------------------------------------------------------------------------------------------------------------
10.0% CPR 20.0% CPR 30.0% CPR 40.0% CPR 50.0% CPR
------------------------------------------------------------------------------------------------
Price Yield ModDur Yield ModDur Yield ModDur Yield ModDur Yield ModDur
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
100.75000 100-24 7.297 7.19 7.286 6.77 7.280 6.54 7.275 6.37 7.271 6.25
100.87500 100-28 7.280 7.268 7.261 7.255 7.251
101.00000 101-00 7.263 7.250 7.242 7.236 7.231
101.12500 101-04 7.246 7.232 7.223 7.217 7.212
101.25000 101-08 7.228 7.214 7.204 7.197 7.192
101.37500 101-12 7.211 7.195 7.186 7.178 7.172
101.50000 101-16 7.194 7.177 7.167 7.159 7.153
101.62500 101-20 7.177 7.159 7.148 7.140 7.133
101.75000 101-24 7.160 7.22 7.141 6.79 7.129 6.55 7.121 6.39 7.114 6.26
101.87500 101-28 7.143 7.123 7.111 7.101 7.094
102.00000 102-00 7.127 7.105 7.092 7.082 7.075
102.12500 102-04 7.110 7.087 7.074 7.063 7.055
102.25000 102-08 7.093 7.069 7.055 7.044 7.036
102.37500 102-12 7.076 7.052 7.036 7.025 7.016
102.50000 102-16 7.059 7.034 7.018 7.006 6.997
102.62500 102-20 7.042 7.016 7.000 6.987 6.978
102.72600 102-23 7.029 7.24 7.002 6.81 6.985 6.57 6.972 6.40 6.962 6.28
102.75000 102-24 7.026 6.998 6.981 6.968 6.958
102.87500 102-28 7.009 6.980 6.963 6.949 6.939
103.00000 103-00 6.992 6.963 6.944 6.931 6.920
103.12500 103-04 6.976 6.945 6.926 6.912 6.901
103.25000 103-08 6.959 6.927 6.908 6.893 6.882
103.37500 103-12 6.942 6.910 6.889 6.874 6.862
103.50000 103-16 6.926 6.892 6.871 6.855 6.843
103.62500 103-20 6.909 7.26 6.874 6.83 6.853 6.59 6.837 6.42 6.824 6.29
103.75000 103-24 6.893 6.857 6.835 6.818 6.805
103.87500 103-28 6.876 6.839 6.816 6.799 6.786
104.00000 104-00 6.860 6.822 6.798 6.781 6.767
104.12500 104-04 6.843 6.804 6.780 6.762 6.748
104.25000 104-08 6.827 6.787 6.762 6.743 6.729
104.37500 104-12 6.810 6.769 6.744 6.725 6.710
104.50000 104-16 6.794 6.752 6.726 6.706 6.691
- ---------------------------------------------------------------------------------------------------------------------
Avg Life 10.70 9.78 9.29 8.96 8.71
- ---------------------------------------------------------------------------------------------------------------------
First Pay 09/25/06 10/25/05 04/25/05 01/25/05 10/25/04
Last Pay 08/25/08 06/25/07 12/25/06 09/25/06 06/25/06
Prin. Window 24 21 21 21 21
- ---------------------------------------------------------------------------------------------------------------------
<CAPTION>
Prepayments
- ---------------------------------------------------------------
75.0% CPR 100.0% CPR
---------------------------------------
Price Yield ModDur Yield ModDur
- ---------------------------------------------------------------
<S> <C> <C> <C> <C>
100.75000 100-24 7.264 6.04 7.256 5.82
100.87500 100-28 7.244 7.235
101.00000 101-00 7.223 7.214
101.12500 101-04 7.203 7.193
101.25000 101-08 7.183 7.172
101.37500 101-12 7.163 7.151
101.50000 101-16 7.142 7.129
101.62500 101-20 7.122 7.108
101.75000 101-24 7.102 6.06 7.087 5.83
101.87500 101-28 7.082 7.067
102.00000 102-00 7.062 7.046
102.12500 102-04 7.041 7.025
102.25000 102-08 7.021 7.004
102.37500 102-12 7.001 6.983
102.50000 102-16 6.981 6.962
102.62500 102-20 6.961 6.941
102.72600 102-23 6.945 6.08 6.925 5.85
102.75000 102-24 6.941 6.921
102.87500 102-28 6.921 6.900
103.00000 103-00 6.902 6.879
103.12500 103-04 6.882 6.859
103.25000 103-08 6.862 6.838
103.37500 103-12 6.842 6.818
103.50000 103-16 6.822 6.797
103.36200 103-20 6.803 6.09 6.777 5.86
103.75000 103-24 6.783 6.756
103.87500 103-28 6.763 6.736
104.00000 104-00 6.744 6.715
104.12500 104-04 6.724 6.695
104.25000 104-08 6.704 6.674
104.37500 104-12 6.685 6.654
104.50000 104-16 6.665 6.634
- ---------------------------------------------------------------
Avg Life 8.33 7.90
- ---------------------------------------------------------------
First Pay 06/25/04 03/25/04
Last Pay 02/25/06 08/25/05
Prin. Window 21 18
- ---------------------------------------------------------------
</TABLE>
The analyses, calculations, and valuations herein are based on certain
assumptions and data provided by third parties which may vary from the actual
characteristics of the pool. Donaldson, Lufkin and Jenrette Securities
Corporation makes no representation that such analyses or calculations are
accurate or that such valuations represent levels where actual trades may occur.
Investors should rely on the information contained in or filed in connection
with the prospectus / prospectus supplement.
<PAGE>
Donaldson, Lufkin & Jenrette - Real Estate Finance Group
Sat Dec 14 14:12:21 1996
ASFS-96-FHA1PR AZ
Yield Table (Flat File Coll, Ppy Lock, Lockout thru YMP,
Lockout thru Ppy Pen. period)
- --------------------------------------------------------------------------------
Current Balance : $68,259,000.00 Current WAM : 480
Pass-Thru Rate : 7.2480 Settlement : 12/24/96
Accrued Days / Delay Days : 23 / 24
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Prepayments
- -----------------------------------------------------------------------------------------------------------------------
10.0% CPR 20.0% CPR 30.0% CPR 40.0% CPR 50.0% CPR
-----------------------------------------------------------------------------------------------
Price Yield ModDur Yield ModDur Yield ModDur Yield ModDur Yield ModDur
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
94.50000 94-16 7.689 15.52 7.755 12.96 7.797 11.71 7.826 10.99 7.846 10.54
94.62500 94-20 7.681 7.744 7.786 7.814 7.834
94.75000 94-24 7.672 7.734 7.775 7.802 7.821
94.87500 94-28 7.664 7.724 7.764 7.790 7.809
95.00000 95-00 7.655 7.714 7.752 7.778 7.796
95.12500 95-04 7.647 7.704 7.741 7.766 7.784
95.25000 95-08 7.639 7.694 7.730 7.754 7.772
95.37500 95-12 7.630 7.684 7.719 7.742 7.759
95.50000 95-16 7.625 15.54 7.674 12.98 7.708 11.72 7.731 11.00 7.747 10.54
95.62500 95-20 7.613 7.664 7.697 7.719 7.735
95.75000 95-24 7.605 7.654 7.686 7.707 7.722
95.87500 95-28 7.597 7.644 7.675 7.695 7.710
96.00000 96-00 7.588 7.634 7.664 7.683 7.698
96.12500 96-04 7.580 7.624 7.652 7.672 7.685
96.25000 96-08 7.572 7.614 7.641 7.660 7.673
96.37500 96-12 7.563 7.604 7.630 7.648 7.661
96.38830 96-12 7.562 15.55 7.603 12.98 7.629 11.72 7.647 11.01 7.659 10.55
96.50000 96-16 7.555 7.594 7.619 7.636 7.649
96.62500 96-20 7.547 7.584 7.608 7.625 7.636
96.75000 96-24 7.539 7.574 7.597 7.613 7.624
96.87500 96-28 7.530 7.564 7.586 7.601 7.612
97.00000 97-00 7.522 7.554 7.576 7.590 7.600
97.12500 97-04 7.514 7.545 7.565 7.578 7.588
97.25000 97-08 7.506 7.535 7.554 7.566 7.576
97.37500 97-12 7.497 15.56 7.525 12.99 7.543 11.73 7.555 11.01 7.563 10.55
97.50000 97-16 7.489 7.515 7.532 7.543 7.551
97.62500 97-20 7.481 7.505 7.521 7.532 7.539
97.75000 97-24 7.473 7.495 7.510 7.520 7.527
97.87500 97-28 7.465 7.486 7.499 7.509 7.515
98.00000 98-00 7.456 7.476 7.489 7.497 7.503
98.12500 98-04 7.448 7.466 7.478 7.486 7.491
98.25000 98-08 7.440 7.456 7.467 7.474 7.479
- ---------------------------------------------------------------------------------------------------------------------
Avg Life 17.89 14.19 12.53 11.63 11.09
- ---------------------------------------------------------------------------------------------------------------------
First Pay 08/25/08 06/25/07 12/25/06 09/25/06 06/25/06
Last Pay 10/25/27 08/25/20 06/25/16 07/25/14 10/25/12
Prin. Window 231 159 115 95 77
- ---------------------------------------------------------------------------------------------------------------------
<CAPTION>
Prepayments
- ---------------------------------------------------------------
75.0% CPR 100.0% CPR
---------------------------------------
Price Yield ModDur Yield ModDur
- ---------------------------------------------------------------
<S> <C> <C> <C> <C>
94.50000 94-16 7.878 9.89 7.912 9.28
94.62500 94-20 7.865 7.898
94.75000 94-24 7.852 7.884
94.87500 94-28 7.838 7.870
95.00000 95-00 7.825 7.856
95.12500 95-04 7.812 7.841
95.25000 95-08 7.799 7.827
95.37500 95-12 7.786 7.813
95.50000 95-16 7.772 9.89 7.799 9.29
95.62500 95-20 7.759 7.785
95.75000 95-24 7.746 7.771
95.87500 95-28 7.733 7.757
96.00000 96-00 7.720 7.743
96.12500 96-04 7.707 7.729
96.25000 96-08 7.694 7.716
96.37500 96-12 7.681 7.702
96.38830 96-12 7.679 9.90 7.700 9.29
96.50000 96-16 7.668 7.688
96.62500 96-20 7.655 7.674
96.75000 96-24 7.642 7.660
96.87500 96-28 7.629 7.646
97.00000 97-00 7.616 7.632
97.12500 97-04 7.603 7.619
97.25000 97-08 7.590 7.605
97.37500 97-12 7.577 9.90 7.591 9.30
97.50000 97-16 7.564 7.577
97.62500 97-20 7.551 7.564
97.75000 97-24 7.538 7.550
97.87500 97-28 7.525 7.536
98.00000 98-00 7.513 7.523
98.12500 98-04 7.500 7.509
98.25000 98-08 7.487 7.495
- ---------------------------------------------------------------
Avg Life 10.35 9.69
- ---------------------------------------------------------------
First Pay 02/25/06 08/25/05
Last Pay 12/25/09 01/25/08
Prin. Window 47 30
- ---------------------------------------------------------------
</TABLE>
The analyses, calculations, and valuations herein are based on certain
assumptions and data provided by third parties which may vary from the actual
characteristics of the pool. Donaldson, Lufkin and Jenrette Securities
Corporation makes no representation that such analyses or calculations are
accurate or that such valuations represent levels where actual trades may occur.
Investors should rely on the information contained in or filed in connection
with the prospectus / prospectus supplement.
<PAGE>
Donaldson, Lufkin & Jenrette - Real Estate Finance Group
Sat Dec 14 14:06:16 1996
ASFS-1996-FHA1PR B
Yield Table (Flat File Coll, Ppy Lock, Lockout thru YMP,
Lockout thru Ppy Pen. period)
- --------------------------------------------------------------------------------
Current Balance : $5,251,697.03 Current WAM : 480
Pass-Thru Rate : 6.5000 Settlement : 12/24/96
Accrued Days / Delay Days : 23 / 24
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Prepayments
- -----------------------------------------------------------------------------------------------------------------------
10.0% CPR 20.0% CPR 30.0% CPR 40.0% CPR 50.0% CPR
-----------------------------------------------------------------------------------------------
Price Yield ModDur Yield ModDur Yield ModDur Yield ModDur Yield ModDur
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
76.50000 76-16 8.767 10.94 8.904 10.43 9.074 9.82 9.202 9.40 9.281 9.15
76.62500 76-20 8.752 8.888 9.057 9.184 9.263
76.75000 76-24 8.737 8.873 9.041 9.167 9.245
76.87500 76-28 8.722 8.857 9.025 9.150 9.227
77.00000 77-00 8.708 8.842 9.008 9.133 9.210
77.12500 77-04 8.693 8.826 8.992 9.116 9.192
77.25000 77-08 8.678 8.811 8.975 9.099 9.175
77.37500 77-12 8.664 8.796 8.959 9.082 9.157
77.50000 77-16 8.649 11.05 8.781 10.52 8.943 9.89 9.065 9.46 9.140 9.21
77.62500 77-20 8.635 8.765 8.927 9.048 9.122
77.75000 77-24 8.620 8.750 8.911 9.031 9.105
77.87500 77-28 8.606 8.735 8.894 9.014 9.088
78.00000 78-00 8.592 8.720 8.878 8.997 9.071
78.12500 78-04 8.577 8.705 8.862 8.980 9.053
78.25000 78-08 8.563 8.690 8.846 8.964 9.036
78.37500 78-12 8.549 8.675 8.830 8.947 9.019
78.38060 78-12 8.548 11.15 8.674 10.60 8.830 9.96 8.946 9.52 9.018 9.26
78.50000 78-16 8.535 8.660 8.815 8.930 9.002
78.62500 78-20 8.520 8.645 8.799 8.914 8.985
78.75000 78-24 8.506 8.630 8.783 8.897 8.968
78.87500 78-28 8.492 8.615 8.767 8.881 8.951
79.00000 79-00 8.478 8.600 8.751 8.864 8.934
79.12500 79-04 8.464 8.586 8.736 8.848 8.917
79.25000 79-08 8.450 8.571 8.720 8.831 8.900
79.37500 79-12 8.436 11.26 8.556 10.69 8.704 10.03 8.815 9.58 8.883 9.32
79.50000 79-16 8.422 8.542 8.689 8.799 8.866
79.62500 79-20 8.408 8.527 8.673 8.782 8.850
79.75000 79-24 8.395 8.512 8.658 8.766 8.833
79.87500 79-28 8.381 8.498 8.642 8.750 8.816
80.00000 80-00 8.367 8.483 8.627 8.734 8.800
80.12500 80-04 8.353 8.469 8.611 8.717 8.783
80.25000 80-08 8.340 8.455 8.536 8.701 8.767
- -----------------------------------------------------------------------------------------------------------------------
Avg Life 33.12 26.58 21.84 19.39 18.18
- -----------------------------------------------------------------------------------------------------------------------
First Pay 10/25/27 08/25/20 06/25/16 07/25/14 10/25/12
Last Pay 11/25/36 11/25/36 11/25/36 02/25/32 01/25/28
Prin. Window 110 196 246 212 184
- -----------------------------------------------------------------------------------------------------------------------
<CAPTION>
Prepayments
- ---------------------------------------------------------------
75.0% CPR 100.0% CPR
---------------------------------------
Price Yield ModDur Yield ModDur
- ---------------------------------------------------------------
<S> <C> <C> <C> <C>
76.50000 76-16 9.417 8.73 9.545 8.36
76.62500 76-20 9.398 9.526
76.75000 76-24 9.380 9.506
76.87500 76-28 9.361 9.487
77.00000 77-00 9.343 9.468
77.12500 77-04 9.325 9.449
77.25000 77-08 9.306 9.429
77.37500 77-12 9.288 9.410
77.50000 77-16 9.270 8.79 9.391 8.42
77.62500 77-20 9.251 9.372
77.75000 77-24 9.233 9.353
77.87500 77-28 9.215 9.334
78.00000 78-00 9.197 9.315
78.12500 78-04 9.179 9.296
78.25000 78-08 9.161 9.278
78.37500 78-12 9.143 9.259
78.38060 78-12 9.142 8.84 9.258 8.46
78.50000 78-16 9.125 9.240
78.62500 78-20 9.107 9.221
78.75000 78-24 9.089 9.203
78.87500 78-28 9.071 9.184
79.00000 79-00 9.054 9.166
79.12500 79-04 9.036 9.147
79.25000 79-08 9.018 9.129
79.37500 79-12 9.001 8.89 9.110 8.51
79.50000 79-16 8.983 9.092
79.62500 79-20 8.966 9.073
79.75000 79-24 8.948 9.055
79.87500 79-28 8.931 9.037
80.00000 80-00 8.913 9.019
80.12500 80-04 8.896 9.001
80.25000 80-08 8.878 8.982
- ---------------------------------------------------------------
Avg Life 16.60 15.48
- ---------------------------------------------------------------
First Pay 12/25/09 01/25/08
Last Pay 02/25/23 07/25/14
Prin. Window 159 79
- ---------------------------------------------------------------
</TABLE>
The analyses, calculations, and valuations herein are based on certain
assumptions and data provided by third parties which may vary from the actual
characteristics of the pool. Donaldson, Lufkin and Jenrette Securities
Corporation makes no representation that such analyses or calculations are
accurate or that such valuations represent levels where actual trades may occur.
Investors should rely on the information contained in or filed in connection
with the prospectus / prospectus supplement.
