Citicorp Mortgage Securities, Inc.
Depositor
CitiMortgage, Inc.
Servicer and Master
Servicer
Citibank, N.A.
Paying Agent, Certificate
Registrar
and Authenticating Agent
Pooling and Servicing Agreement
R EMIC Pass-Through Certificate Trust
Series 200[*]-[*]
2
3
|
Exhibit B:
Mortgage Loan Schedules B-1, [and
B-TP]
|
|
|
|
Exhibit C:
Form of Mortgage Document Custodial Agreement
C-1
|
|
|
|
Exhibit D:
Form of Purchaser Letter D-1
|
|
|
|
Exhibit E:
Form of ERISA Letter E-1
|
4
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|
Defined
Terms
|
|
|
|
|
|
|
|
accrual class, 16
|
|
class B-x, 9
|
|
accrual directed class,
16
|
|
class B- x certificates,
9
|
|
accrual termination day,
31
|
|
class IA-IO, 9
|
|
advance account, 25
|
|
class IA-IO certificates,
9
|
|
advance account advances,
25
|
|
class IA-PO, 9
|
|
advance account available advance amount,
25
|
|
class IA-PO certificates,
9
|
|
advance account depository,
25
|
|
class IA-x, 9
|
|
advance account depository agreement,
26
|
|
class IA- x certificates,
9
|
|
advance account funding date,
26
|
|
class IIA-IO, 9
|
|
advance account trigger date,
26
|
|
class IIA-IO certificates,
9
|
|
affiliate, 31
|
|
class IIA-PO, 9
|
|
affiliated mortgage loans,
55
|
|
class IIA-PO certificates,
9
|
|
affiliated Paying Agent advances,
61
|
|
class IIA-x, 9
|
|
affiliated servicing fee rate,
31
|
|
class IIA- x certificates,
9
|
|
Agent, 84
|
|
class L regular interest,
26
|
|
aggregate outstanding advances,
31
|
|
class LR certificates,
9
|
|
allocated loss, 18
|
|
class P regular interests,
26
|
|
alternative certificate account,
102
|
|
class percentage,
32
|
|
alternative custodial accounts for P&I,
102
|
|
class PR certificates,
9
|
|
alternative escrow account,
102
|
|
class R certificates,
9
|
|
alternative servicing account,
102
|
|
classes A- x through A- y ,
33
|
|
applicable constituent REMIC,
26
|
|
classes B- x through B- y ,
33
|
|
appraisal, 31
|
|
Clearing Agency, 33
|
|
Authenticating Agent, 9,
95
|
|
Clearing Agency Participant,
33
|
|
Authorized Officer,
31
|
|
closing date, 10
|
|
Bankruptcy Code, 31
|
|
CMSI, 9
|
|
bankruptcy coverage termination date,
31
|
|
collected servicing fee,
33
|
|
bankruptcy loss, 31
|
|
component classes,
20
|
|
bankruptcy loss limit,
31
|
|
composite class, 20
|
|
beneficial owner,
32
|
|
constituent REMIC,
26
|
|
book-entry certificates,
12
|
|
corporate trust office,
30
|
|
business day, 32
|
|
cumulative loss test,
14
|
|
buydown account, 32
|
|
current interest allocation,
13
|
|
buydown funds, 32
|
|
custodial accounts for P&I,
58
|
|
buydown mortgage loan,
32
|
|
custodial investment account,
76
|
|
buydown subsidy agreement,
32
|
|
cut-off date, 9
|
|
certificate account,
57
|
|
debt service reduction,
33
|
|
certificate holder,
32
|
|
deficient valuation,
33
|
|
certificate insurance policy,
25
|
|
definitive certificates,
12
|
|
certificate rate,
10
|
|
delegated servicer,
33
|
|
Certificate Register,
83
|
|
delinquency test,
14
|
|
Certificate Registrar,
10
|
|
denominations, 11
|
|
certificates, 9
|
|
Depository, 33
|
|
Citibank banking affiliate,
32
|
|
determination date,
34
|
|
CitiMortgage, 9
|
|
discount loan, 34
|
|
class, 32
|
|
disqualified organization,
83
|
5
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|
distribution account,
62
|
|
last scheduled distribution day,
10
|
|
distribution day,
10
|
|
latest possible maturity date,
10
|
|
Distribution day statement,
64
|
|
LIBOR, 20
|
|
distribution report,
71
|
|
LIBOR accrual period,
19
|
|
Eligible Account,
34
|
|
LIBOR classes, 19
|
|
Eligible Investments,
76
|
|
liquidated loan, 36
|
|
eligible substitute mortgage loan,
54
|
|
liquidated loan loss,
36
|
|
ERISA, 34
|
|
liquidation expenses,
36
|
|
ERISA Prohibited holder,
84
|
|
liquidation proceeds,
36
|
|
ERISA Restricted Certificates,
34
|
|
loss recovery, 37
|
|
escrow accounts, 58
|
|
lower-tier REMIC,
26
|
|
Events of Default,
88
|
|
lower–tier REMIC account,
28
|
|
Exchange Act, 34
|
|
master servicer, 55
|
|
extraordinary event,
34
|
|
master servicing fee,
37
|
|
FDIC, 34
|
|
master servicing fee rate,
37
|
|
FHLMC, 34
|
|
material breach, 53
|
|
Fitch, 34
|
|
MERS, 49
|
|
fraud loss, 35
|
|
month, 37
|
|
fraud loss limit,
34
|
|
monthly affiliated servicing fee rate,
31
|
|
Furnished Document,
90
|
|
monthly master servicing fee rate,
37
|
|
GIC, 35
|
|
monthly pass-through rate,
40
|
|
GNMA, 35
|
|
monthly third party servicing fee rate,
46
|
|
group, 20, 35
|
|
Moody’s, 37
|
|
group target-rate class percentage,
35
|
|
mortgage, 37
|
|
Guide, 35
|
|
Mortgage Document Custodial Agreement,
48
|
|
high-cost mortgage loan,
35
|
|
Mortgage Document Custodian,
48
|
|
holder, 35
|
|
mortgage documents,
37
|
|
hypothetical mortgage loan,
35
|
|
mortgage file, 37
|
|
impaired subordination level,
15
|
|
mortgage loan, 37
|
|
independent accountants,
35
|
|
mortgage loan schedule,
37
|
|
Indirect Participant,
35
|
|
mortgage note, 37
|
|
initial, 35
|
|
Mortgage Note Custodian,
37
|
|
initial bankruptcy loss limit,
11
|
|
mortgage note rate,
37
|
|
initial fraud loss amount,
11
|
|
mortgaged property,
37
|
|
initial special hazard loss limit,
11
|
|
mortgagor, 37
|
|
insurance premium,
25
|
|
multiple-pool series,
37
|
|
insurance proceeds,
35
|
|
NAS class, 15
|
|
insured class, 25
|
|
net liquidation proceeds,
37
|
|
Insurer, 25
|
|
net Paying Agent advances,
38
|
|
interest allocation,
13
|
|
net REO proceeds,
38
|
|
interest allocation carryforward,
13
|
|
net voluntary advances,
38
|
|
interest distribution,
16
|
|
non-accelerated senior class,
15
|
|
interest portion of a liquidated loan loss,
36
|
|
nonrecoverable advance,
38
|
|
interest portion of a realized loss,
43
|
|
non-subordinated losses,
38
|
|
Internal Revenue Code,
35
|
|
non-supported prepayment interest shortfall,
38
|
|
investment account,
36
|
|
notional balance,
12
|
|
Investment Income,
36
|
|
officer’s certificate,
38
|
|
IO class, 36
|
|
opinion of counsel,
38
|
|
IO loan, 36
|
|
order of seniority,
38
|
|
IO strip, 36
|
|
order of subordination,
38
|
6
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|
original value, 38
|
|
Relieved interest,
61
|
|
Originator, 39
|
|
REMIC, 43
|
|
outstanding, 39
|
|
REMIC Provisions,
43
|
|
overcollateralized,
24
|
|
remittance delinquency,
60
|
|
PAC class, 16
|
|
remittances on affiliated mortgage loans,
57
|
|
Participant, 40
|
|
remittances on third party loans,
59
|
|
pass-through rate,
40
|
|
REO loan, 43
|
|
Paying Agent, 10
|
|
REO proceeds, 43
|
|
Paying Agent failure,
26
|
|
REO property, 43
|
|
Paying Agent failure advance,
26
|
|
Required Amount of Certificates,
43
|
|
percentage interest,
40
|
|
reserve fund, 25
|
|
person, 40
|
|
residual certificates,
9
|
|
planned amortization class,
16
|
|
residual distribution,
16
|
|
PO class, 40
|
|
residual interest,
26
|
|
PO loan, 40
|
|
Responsible Officer,
43
|
|
PO strip, 40
|
|
retail class, 25
|
|
pool, 40
|
|
retail reserve fund,
25
|
|
pool distribution amount,
40
|
|
S&P, 44
|
|
pool I, 20
|
|
scheduled monthly loan payment,
44
|
|
pool II, 20
|
|
scheduled principal balance,
44
|
|
pooling REMIC, 26
|
|
scheduled principal payments,
44
|
|
pooling REMIC account,
28
|
|
scheduled servicing fee,
44
|
|
predatory lending law,
41
|
|
Securities Act, 44
|
|
Predecessor Certificates,
41
|
|
senior classes, 9
|
|
premium loan, 41
|
|
senior to, 44
|
|
prepayment interest shortfall,
41
|
|
Series Terms, 9
|
|
primary mortgage insurance certificate,
41
|
|
servicing account advances,
60
|
|
principal allocation,
13
|
|
servicing accounts,
58
|
|
principal balance,
12
|
|
Servicing Officer,
44
|
|
principal distribution,
16
|
|
Similar Law, 85
|
|
principal portion of a liquidated loan loss,
36
|
|
single certificate,
44
|
|
principal portion of a realized loss,
43
|
|
single-pool series,
45
|
|
principal prepayment,
41
|
|
special hazard loss,
45
|
|
private certificates,
41
|
|
special hazard loss limit,
45
|
|
Proceeding, 41
|
|
special hazard percentage,
45
|
|
property protection expenses,
41
|
|
special serviced mortgage loans,
55
|
|
Purchaser, 10
|
|
special servicer,
55
|
|
Qualified GIC, 41
|
|
special servicing agreement,
55
|
|
Qualified Nominee,
42
|
|
Standard Terms, 9
|
|
rating agency, 10
|
|
startup day, 10
|
|
ratio-stripped IO class,
42
|
|
subordinate to, 45
|
|
ratio-stripped IO loan,
42
|
|
subordinated classes,
9
|
|
ratio-stripped PO class,
43
|
|
subordinated losses,
45
|
|
ratio-stripped PO loan,
43
|
|
subordination depletion date,
45
|
|
realized losses, 43
|
|
subordination level,
15
|
|
record date, 43
|
|
substitution adjustment amount,
54
|
|
reduction amount,
23
|
|
substitution day,
54
|
|
regular interests,
26
|
|
super senior class,
25
|
|
reimbursement, 16
|
|
super senior support class,
25
|
|
relevant servicer,
43
|
|
TAC class, 16
|
7
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|
target rate, 11
|
|
Trust, 9
|
|
targeted amortization class,
16
|
|
Trust Fund, 46
|
|
target-rate class,
11
|
|
Trustee, 9
|
|
target-rate class percentage,
45
|
|
U.S. person, 46
|
|
target-rate loan,
45
|
|
uncommitted cash,
46
|
|
target-rate strip,
46
|
|
uncommitted cash advances,
60
|
|
tax matters person,
29
|
|
undercollateralized,
24
|
|
third party mortgage loans,
55
|
|
undersubordination,
23
|
|
third party Paying Agent advance,
61
|
|
Underwriter, 10
|
|
third party servicer,
55
|
|
unscheduled principal payments,
46
|
|
third party servicer advance,
60
|
|
upper-tier REMIC,
26
|
|
third party servicing agreement,
55
|
|
upper-tier REMIC account,
28
|
|
third party servicing fee,
46
|
|
voluntary advance,
61
|
|
third party servicing fee rate,
46
|
|
voting interest, 12
|
|
Transfer Instrument,
46
|
|
|
8
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Contents
P OOLING AND S ERVICING A GREEMENT
[Month] 1,
200[*]
|
P ARTIES
|
|
•
|
Citicorp
Mortgage Securities, Inc. , a Delaware corporation (
CMSI )
|
|
|
|
|
•
|
CitiMortgage,
Inc. , a New York corporation ( CitiMortgage
)
|
|
|
|
|
•
|
[***], [a national banking association,] in its
individual capacity and as Trustee
|
|
|
|
|
•
|
Citibank,
N.A. , a national banking association, in its
individual capacity and as Paying Agent, Certificate Registrar, and
Authenticating Agent
|
B ACKGROUND
In the regular course of their business,
affiliates of CMSI originate and acquire mortgage loans.
C MSI , CitiMortgage and the Trustee wish to set forth
the terms and conditions under which the Trust will acquire the
mortgage loans listed in exhibit B, certificates will be issued to
holders evidencing ownership interests in the Trust Fund, and
CitiMortgage will manage and service the mortgage
loans.
A GREEMENT
This Pooling and Servicing Agreement (this
agreement ) consists of sections 1 through 11 (the
Standard Terms ) and sections 12 and following (the
Series Terms ). The Standard Terms follow the Series Terms.
If there is a conflict or inconsistency between the Standard Terms
and the Series Terms, the Series Terms will
prevail.
S ERIES T ERMS
12
The
series
12.1
Establishment
A common law trust is established under New York
law as of [Month] 1, 200[*] (the cut-off date , to be called
the “Citicorp Mortgage Securities, Inc.
REMIC Pass-Through
Trust Series
200[*]-[*]” (the Trust ). C
MSI is the settlor of the Trust, and [***] is the
trustee (in such capacity, the Trustee ).
The Trust will issue a series of
certificates designated as “Citicorp Mortgage Securities,
Inc. REMIC Pass-Through Certificates, Series
200[*]-[*]”). The certificates will consist of and be further
designated as
(i) [**] senior
classes of certificates individually designated as
• for each integer x , from 1 through [*],
inclusive, “Senior Class IA- x Certificates”
(the class IA-x certificates or class IA-x
);
• for each integer x , from 1 through [*],
inclusive, “Senior Class IIA- x Certificates”
(the class IIA-x certificates or class IIA-x
);
• “Senior Class IA-PO Certificates”
(the class IA-PO certificates or class IA-PO
).
• “Senior Class IIA-PO Certificates”
(the class IIA-PO certificates or class IIA-PO
).
• “Senior Class IA-IO Certificates”
(the class IA-IO certificates or class IA-IO
);
• “Senior Class IIA-IO Certificates”
(the class IIA-IO certificates or class IIA-IO );
and
(ii)
six subordinated classes of certificates designated,
for each integer x , from 1 through 6, inclusive, as
“Subordinated Class B- x Certificates” (the
class B-x certificates or class B-x ) (together with
the senior classes of certificates, the certificates );
and
(iii) [three] residual
interests individually designated as
• “Class PR Certificates” (the
class PR certificates ,
• “Class LR Certificates” (the
class LR certificates and
• [“Class R Certificates” (the
class R certificates .]
The class PR, LR [and R]
certificates together constitute the residual certificates
.
The Trustee hereby
appoints Citibank, N.A. as Authenticating Agent .
C MSI , with the approval of the Trustee, hereby
appoints the institutional trust de-
9
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Contents
partment of
Citibank, N.A. as Paying Agent and Certificate
Registrar .
The Mortgage Document Custodian is
Citibank (West), FSB.
The Underwriter and the
Purchaser for the series is [Underwriter].
The certificates will be first
executed, authenticated and delivered on [closing date] (the
closing date ). The startup day will be same as
closing date].
The 25th day of each month (or if the
25th is not a business day, the next succeeding business day),
beginning in [month/year], will be a distribution day . The
last scheduled distribution day for each class is specified
in the following table. The latest possible
maturity
date of each class for purposes of section 860G(a)(1)
of the Internal Revenue Code and Treasury Regulations section
1.860G-1(a)(4)(iii) will be December 25, 2034.
The nationally recognized statistical
rating agencies for the senior classes are
[S&P/Moody’/ Fitch], and the rating agency for classes
B-1 through B-5 is [***]
12.2 General terms for
classes
The classes will have the following initial
principal balances, certificate rates , and for the
subordinated classes, initial target-rate class percentages and
initial subordination levels:
|
class
|
initial
principal (or
notional) balance
|
|
certificate
rate
(per annum)
|
|
initial
target-rate
class percentage
(1)
|
|
initial
subordination
level (2)
|
|
last
scheduled
distribution day
|
|
|
|
|
IA-1
|
$[***]
|
|
[**]%
|
|
|
|
N/A
|
|
|
|
N/A
|
|
[Month] 25,
20[**]
|
|
|
IA-2
|
$[***]
|
|
[**]%
|
|
|
|
N/A
|
|
|
|
N/A
|
|
[Month] 25,
20[**]
|
|
|
IA-3
|
$[***]
|
|
[**]%
|
|
|
|
N/A
|
|
|
|
N/A
|
|
[Month] 25,
20[**]
|
|
|
IA-4
|
$[***]
|
|
[**]%
|
|
|
|
N/A
|
|
|
|
N/A
|
|
[Month] 25,
20[**]
|
|
|
IA-5
|
$[***]
|
|
[**]%
|
|
|
|
N/A
|
|
|
|
N/A
|
|
[Month] 25,
20[**]
|
|
|
IA-6
|
$[***]
|
|
[**]%
|
|
|
|
N/A
|
|
|
|
N/A
|
|
[Month] 25,
20[**]
|
|
|
IA-7
|
$[***]
|
|
[**]%
|
|
|
|
N/A
|
|
|
|
N/A
|
|
[Month] 25,
20[**]
|
|
|
IA-8
|
$[***]
|
|
[**]%
|
|
|
|
N/A
|
|
|
|
N/A
|
|
[Month] 25,
20[**]
|
|
|
IA-PO
|
$[***]
|
|
0%
(3)
|
|
|
|
N/A
|
|
|
|
N/A
|
|
[Month] 25,
20[**]
|
|
|
IA-IO
|
$[***]
|
|
(5)
|
|
|
|
N/A
|
|
|
|
N/A
|
|
[Month] 25,
20[**]
|
|
|
|
(notional)(4)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
IIA-1
|
$[***]
|
|
[**]%
|
|
|
|
N/A
|
|
|
|
N/A
|
|
[Month] 25,
20[**]
|
|
|
IIA-2
|
$[***]
|
|
[**]%
|
|
|
|
N/A
|
|
|
|
N/A
|
|
[Month] 25,
20[**]
|
|
|
IIA-3
|
$[***]
|
|
[**]%
|
|
|
|
N/A
|
|
|
|
N/A
|
|
[Month] 25,
20[**]
|
|
|
IIA-PO
|
$[***]
|
|
0%
(3)
|
|
|
|
N/A
|
|
|
|
N/A
|
|
[Month] 25,
20[**]
|
|
|
IIA-IO
|
$[***]
|
|
(6)
|
|
|
|
N/A
|
|
|
|
N/A
|
|
[Month] 25,
20[**]
|
|
|
|
(notional)(4)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
B-1
(composite)
|
$[***]
|
|
Blended
|
|
[***]%
|
|
|
|
[***]%
|
|
|
|
[Month] 25,
20[**]
|
|
|
IB-1
(component)
|
$[***]
|
|
[**]%
|
|
[***]%
|
|
|
|
|
|
N/A
|
|
N/A
|
|
|
IIB-1
(component)
|
$[***]
|
|
[**]%
|
|
[***]%
|
|
|
|
|
|
N/A
|
|
N/A
|
|
|
|
|
B-2
(composite)
|
$[***]
|
|
Blended
|
|
[***]%
|
|
|
|
[***]%
|
|
|
|
[Month] 25,
20[**]
|
|
|
IB-2
(component)
|
$[***]
|
|
[**]%
|
|
[***]%
|
|
|
|
|
|
N/A
|
|
N/A
|
|
|
IIB-2
(component)
|
$[***]
|
|
[**]%
|
|
[***]%
|
|
|
|
|
|
N/A
|
|
N/A
|
|
|
|
|
B-3
(composite)
|
$[***]
|
|
Blended
|
|
[***]%
|
|
|
|
[***]%
|
|
|
|
[Month] 25,
20[**]
|
|
|
IB-3
(component)
|
$[***]
|
|
[**]%
|
|
[***]%
|
|
|
|
|
|
N/A
|
|
N/A
|
|
|
IIB-3
(component)
|
$[***]
|
|
[**]%
|
|
[***]%
|
|
|
|
|
|
N/A
|
|
N/A
|
|
|
|
|
B-4
(composite)
|
$[***]
|
|
Blended
|
|
[***]%
|
|
|
|
[***]%
|
|
|
|
[Month] 25,
20[**]
|
|
|
IB-4
(component)
|
$[***]
|
|
[**]%
|
|
[***]%
|
|
|
|
|
|
N/A
|
|
N/A
|
|
10
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|
class
|
initial
principal (or notional) balance
|
|
certificaterate
(per annum)
|
|
initial
target-rate class percentage
(1)
|
|
initial
subordination
level (2)
|
|
last scheduled
distribution day
|
|
|
|
|
IIB-4
(component)
|
$[***]
|
|
[**]%
|
|
[***]%
|
|
|
|
|
|
N/A
|
|
N/A
|
|
|
|
|
B-5
(composite)
|
$[***]
|
|
Blended
|
|
[***]%
|
|
|
|
[***]%
|
|
|
|
[Month] 25,
20[**]
|
|
|
IB-5
(component)
|
$[***]
|
|
[**]%
|
|
[***]%
|
|
|
|
|
|
N/A
|
|
N/A
|
|
|
IIB-5
(component)
|
$[***]
|
|
[**]%
|
|
[***]%
|
|
|
|
|
|
N/A
|
|
N/A
|
|
|
|
|
B-6
(composite)
|
$[***]
|
|
Blended
|
|
[***]%
|
|
|
|
|
|
N/A
|
|
[Month] 25,
20[**]
|
|
|
IB-6
(component)
|
$[***]
|
|
[**]%
|
|
[***]%
|
|
|
|
|
|
N/A
|
|
N/A
|
|
|
IIB-6
(component)
|
$[***]
|
|
[**]%
|
|
[***]%
|
|
|
|
|
|
N/A
|
|
N/A
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1)
|
The initial
target-rate class percentages are:
|
|
|
|
|
|
|
senior target-rate
classes:
|
[***]%
|
|
|
|
|
|
group I senior
target-rate classes:
|
[***]%
|
|
|
|
|
|
group II senior
target-rate classes:
|
[***]%
|
|
|
|
|
|
subordinated
classes:
|
[***]%
|
|
|
|
|
(2)
|
The initial
subordination level for the senior classes is
[***]%.
|
|
(3)
|
Classes IA-PO and
IIA-PO are ratio stripped PO classes and do not bear
interest.
|
|
(4)
|
Classes IA-IO and
IIA-IO are ratio stripped IO classes and have no principal
balance.
|
|
(5)
|
The certificate
rate for class IA-IO for each month will equal the weighted average
pass-through-rate of the premium loans on the last day of that
month, minus the targetrate. The initial certificate rate for class
IA-IO is expected to be 0.[***]% per
annum.
|
|
(6)
|
The certificate
rate for class IIA-IO for each month will equal the weighted
average pass-through rate of the premium loans on the last day of
that month, minus the target-rate. The initial certificate rate for
class IIA-IO is expected to be 0.[***] % per
annum.
|
12.3
Target rate
The per annum target rates for the pools are
pool
I: [***]%
pool II:
[***]%
Each class other than any
ratio-stripped IO or ratio-stripped PO class is a target-rate
class .
12.4 Ratio-stripped IO and PO classes
Each of classes IA-IO and IIA-IO is a ratio-stripped IO class. The
class IA-IO and IIA-IO certificates are private certificates.
Each of classes IA-PO and IIA-PO is a
ratio-stripped PO class.
12.5 Loss limits
[There is no initial special hazard loss limit .
There is no initial
bankruptcy loss limit .
There is no initial fraud
loss amount .]
12.6 Denominations
The
denominations of
• the senior class
certificates and the class B-1 through B-3 certificates are initial
principal (or, for any IO classes, notional) balances of $1,000 and
any whole dollar amount above $1,000,
• the class B-4, B-5 and B-6 certificates
are $100,000 initial principal balance and any larger integral
multiple of $1,000, and
• the residual certificates are percentage
interests summing to 100%.
If the initial principal or notional
balance of a class is not a permitted denomination for a
certificate of that class, one certificate of the class may be
issued in a different denomination.
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12.7 The mortgage
loans
The mortgage loans in the Trust Fund are
identified on the mortgage loan schedule. The mortgage loans in
• pool I will consist primarily of
[***]-year fixed-rate conventional one- to four-family mortgage
loans, and
• pool II will consist primarily of
[***]year fixed-rate conventional one- to four-family mortgage
loans.
12.8 Right to
repurchase
CMSI can not exercise its right to repurchase
the mortgage loans pursuant to section 9.1(a) of the Standard Terms
unless
• the aggregate scheduled principal balance
of the mortgage loans is less than $[***] at the time of
repurchase, and
• if there is an insured class outstanding
and the exercise of such repurchase right would result in a draw
under any certificate insurance policy, the Insurer has previously
consented.
12.9
Book-entry and definitive
certificates
All senior class certificates (other than
certificates of a ratio-stripped IO class that are private
certificates) and the class B-1, B-2 and B-3 certificates will be
issued as book-entry certificates . Book-entry certificates
for a class or a group of classes will be represented by one or
more certificates issued in the name of a depository. Any
ratio-stripped IO class certificates that are private certificates,
the class B-4, B-5 and B-6 certificates and the residual
certificates will be issued in fully registered certificated form (
definitive certificates ).
12.10 Voting
interests
Each IO class will have a 1% voting
interest . The remaining voting interest will be allocated to
the other classes in proportion to their principal balances. The
voting interest of any class will be allocated among
the
certificates of
the class in proportion to the certificates’ principal or
notional balances, , except that an Insurer will be entitled to the
voting interest of an insured class for as long as the insured
class is outstanding and the Insurer is not in
default..
12.11
Cash deposit
No cash will be
deposited into the certificate account on the closing
date.
13 Principal
balances
13.1 Class
balances
Each class that is not an IO class will have a
principal balance , and each IO class will have a
notional balance . The principal or notional balance of
multiple classes ( e.g. , the senior classes) is the
aggregate of the principal or notional balances of those
classes.
The initial principal or notional
balance for each class is stated in “The series –
General terms for classes” above. The principal balance of
each class that is not an IO class will be adjusted on each
distribution day, as described in “Adjustments to class
balances” below.
The notional balance of a
ratio-stripped IO class for any day after the initial distribution
day will equal the aggregate of the principal balances for that day
of the hypothetical mortgage loans in its IO strip.
The notional balance of each IO class
that is not a ratio-stripped IO class will be adjusted on each
distribution day as described in “The series – General
terms for classes” above.
13.2
Certificate balances
The sum of the initial principal or notional
balances stated on the certificates of each class will equal the
initial principal or notional balance of the class.
Except as may be provided in
“Retail classes” below, the principal or notional
balance of each certificate will equal its
pro-
12
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portional share,
based on the initial principal or notional balances stated on the
certificates of the class, of the principal balance or notional
balance of the class to which the certificate
belongs.
14
Allocations
14.1 Interest
allocations
Beginning on the cut-off date, each class (other
than any PO class) will accrue interest for each month on its
principal or notional balance at the certificate rate for the class
stated in “The series – General terms for
classes” above. In calculating accrued interest,
• a class’s principal or notional
balance on the last day of a month will be considered to be the
class’s principal or notional balance on every day of the
month, and
• interest for a month will be calculated at
1/12 of the certificate rate, regardless of the number of days in
the month.
Example:
Suppose that on January 1, a class has a principal balance of
$1,020,000 and a certificate rate of 6% per annum. On the January
distribution day, the class’s principal balance is reduced by
$20,000. As a result, the principal balance of the class on January
31 is $1 million. Then the interest accrued for the class during
January (which is paid on the February distribution day) is 1/12 of
6% of $1 million = $5,000; that the principal balance of the class
was greater than $1 million before the January distribution day,
and that January has 31 days, are irrelevant.
A class’s interest
allocation for a distribution day is the sum of
• the class’s current interest
allocation for the distribution day, consisting of the
class’s accrued interest for the preceding month minus
the class’s proportional share, based on accrued interest, of
(1) any non-supported prepayment interest shortfall, and (2) the
interest portion of any non-
subordinated
losses, for the preceding month,
• plus any excess of the
class’s interest allocation for the preceding distribution
day over the interest distributed to the class on that preceding
distribution day (the interest allocation carryforward from
that distribution day). (If the class is an insured class, for
purposes of calculating allocations and distributions to the class,
the interest allocation carryforward from a distribution day will
be reduced by any payments to the class from the Insurer relating
to the interest allocation carryforward, but will not be so reduced
for purposes of effecting the Insurer’s subrogation rights
relative to the interest portion of any insured
payment.)
14.2 Principal
allocations
The principal allocation for a
distribution day is:
(a) for any ratio-stripped PO
class, the sum for that distribution day of scheduled and
unscheduled principal payments on its PO strip for that
distribution day.
(b) for the senior
target-rate classes collectively, the sum for that distribution day
of
• the target-rate class percentage
for the senior target-rate classes of scheduled principal payments
on the target-rate strip, and
• all unscheduled principal payments
on the target-rate strip allocated to the senior target-rate
classes pursuant to “ – Unscheduled principal”
below.
The principal allocation for the
senior target-rate classes will be allocated among the individual
senior target-rate classes pursuant to “Allocations among the
senior classes” below.
(c) for each subordinated
class ,
• the class’s
target-rate class percentage of scheduled principal payments on the
target-rate strip for that distribution day,
• plus the class’s proportional
share, based on the principal balances of the
subordi-
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nated classes, of
unscheduled principal payments on the target-rate strip for that
distribution day that are not allocated to the senior target-rate
classes pursuant to the preceding paragraph (b),
• plus or minus any amounts
that are reallocated to or from the class pursuant to
“Maintenance of subordination”
below.
14.3 Unscheduled
principal
For each distribution day, the following
percentage of unscheduled principal payments on the target-rate
strip received during the preceding month will be allocated to the
senior target-rate classes:
• 100% if the target-rate class percentage
for all the senior target-rate classes on the distribution day
exceeds the initial target-rate class percentage for all the senior
target-rate classes.
• otherwise, and subject to the following
proviso, the sum of (1) the target-rate class percentage for the
senior target-rate classes, plus (2) the following percentage of
the target-rate class percentage for the subordinated
classes:
|
|
|
|
|
distribution
days
|
|
percentage
|
|
|
|
1
|
|
through
|
60
|
|
100
|
%
|
|
|
61
|
|
through
|
72
|
|
70
|
%
|
|
|
73
|
|
through
|
84
|
|
60
|
%
|
|
|
85
|
|
through
|
96
|
|
40
|
%
|
|
|
97
|
|
through
|
108
|
|
20
|
%
|
|
|
|
|
109 and
after
|
|
|
0
|
%
|
|
provided , that
• if the distribution day is one on which
the percentage shown in the preceding table is to be reduced
– that is, the 61st, 73rd, 85th 97th or 109th distribution
day – and either the cumulative loss test or the delinquency
test described below are not satisfied, then the percentage will
not be reduced on that distribution day or on any subsequent
distribution day until both the cumulative loss and delinquency
tests are passed, and
• if the cumulative loss
test is not satisfied for a distribution day, the percentage of
unscheduled principal payments allocated to the senior target-rate
classes will be the greater of the percentage of unscheduled
principal payments allocated to the senior target-rate classes for
that distribution day calculated in accordance with the preceding
rules of this section, or the percentage of unscheduled principal
payments allocated to the senior target-rate classes for the
preceding distribution day.
The cumulative loss test is
satisfied for a distribution day if cumulative realized losses
through that distribution day do not exceed the following
percentages of the initial principal balance of the subordinated
classes:
|
distribution
days
|
|
percentage
of
initial principal
balance of
subordinated
classes
|
|
|
|
61
|
|
through
|
72
|
|
30
|
%
|
|
|
73
|
|
through
|
84
|
|
35
|
%
|
|
|
85
|
|
through
|
96
|
|
40
|
%
|
|
|
97
|
|
through
|
108
|
|
45
|
%
|
|
|
|
|
109 and
after
|
|
|
50
|
%
|
|
The delinquency test
is satisfied for a distribution day if CitiMortgage certifies to
the Trustee that the average of the aggregate scheduled principal
balance of mortgage loans delinquent 60 days or more (including,
for this purpose, mortgage loans in foreclosure and real estate
owned by the Trust as a result of mortgagor default) for that
distribution day and the preceding five distribution days is either
(1) less than 50% of the average of the principal balance of the
subordinated classes for those distribution days, or (2) less than
2% of the average scheduled principal balance of all of the
mortgage loans for those distribution days.
If there are composite and component
subordinated classes, only the composite
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subordinated
classes are considered in the cumulative loss and delinquency
tests.
14.4 Maintenance of
subordination
The subordination level for a class (other than a
ratio-stripped IO class) is the sum of the class percentages of all
classes that are subordinate to that class. If a class’s
subordination level on the day before a distribution day is less
than the class’s initial subordination level, then the class
will have an impaired subordination level on that
distribution day.
If a subordinated class has an
impaired subordination level on a distribution day, then all
principal originally allocated to the subordinated classes will be
allocated to the most senior of the subordinated classes with an
impaired subordination level and to those subordinated classes that
are senior to the impaired class, in proportion to their principal
balances, up to those classes’ principal balances, and any
remainder will be allocated to the remaining subordinated classes,
in order of seniority, up to those classes’ principal
balances.
Example: Suppose that on a
distribution day, (a) each of classes B-1 through B-6 had a
principal balance on the preceding day of $1,000, (b) the aggregate
principal allocation to the subordinated classes is $3,120, and (c)
class B-2 has an impaired subordination level. Then on that
distribution day
(1) the entire amount allocated
to the subordinated classes will be allocated to classes B-1 and
B-2, in proportion to their principal balances, up to their
principal balances, and
(2) $1,000 of the remaining $1,120
will be allocated to class B-3, reducing its principal balance to
zero, and
(3) the remaining $120 will be
allocated to class B-4.
15 Allocations among the senior
classes
15.1 Order of allocation among
senior target-rate classes
On each
distribution day before the subordination depletion date, the
aggregate scheduled and unscheduled principal allocated to the
senior target-rate classes of a group will be allocated to the
individual senior target-rate classes of that group as follows:
Group I : Principal
allocated to the group I senior target-rate classes from the pool I
target-rate strip will be allocated sequentially as follows:
[Order of allocation rules]
Beginning on the subordination
depletion date, the priorities stated above will cease to be in
effect, and the principal allocation for the senior target-rate
classes of each group will be allocated to the senior target-rate
classes of the group in proportion to their principal balances on
the preceding day.
15.2 NAS
classes
Classes [***] and [***] are non-accelerated
senior , or NAS classes.
For the first 60 distribution days,
the principal allocation for each NAS class will be zero.
For distribution day 61 and after,
the principal allocation for each NAS class will equal the
following percentage of its proportionate share, based on principal
balances of the group I target-rate classes, of scheduled and
unscheduled principal payments on the pool I target-rate strip
allocated to the group I target-rate classes for that distribution
day:
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|
distribution
day
|
percentage
|
|
|
|
|
61 –
72
|
30%
|
|
73 –
84
|
40%
|
|
85 –
96
|
60%
|
|
97 –
108
|
80%
|
|
109 and
after
|
100%
|
15.3 PAC and TAC
classes
There are no planned
amortization (or PAC ) classes .
There are no targeted
amortization (or TAC ) classes
.
16
Distributions
16.1 Types of
distributions
Each distribution will be either an interest
distribution , a principal distribution , a
reimbursement , or a residual distribution , as
described in “– Distribution priorities”
below.
16.2 Accrual and accrual
directed classes
Class [***] is an accrual class . Class
[***]’s accrual directed class is class [***].
On each distribution day before its
accrual termination day, the interest distribution for class
[accrual class] will be redirected to class [accrual directed
class] until its principal balance is reduced to zero.
If on a distribution day before an
accrual class’s accrual termination day, the accrual
class’s interest distribution exceeds the aggregate principal
balances of its accrual directed classes, then
• only that portion of the
accrual class’s interest distribution that equals the
aggregate principal balances of its accrual directed classes will
be redirected to the accrual directed classes, and
• the excess will be
distributed as principal to the accrual class
itself.
16.3 Distribution
priorities
Subject to section 18, “loss
recoveries,” on each distribution day, the pool
distribution
amount will be
first distributed to any Insurer to pay any insurance premium, and
then to the outstanding classes in the following priority (and, if
there are any insured classes, the insured payment and amounts
withdrawn from the reserve fund will be applied to make payments to
the insured class certificates as provided in “Insured
classes” below):
(1) To each senior class,
first , its current interest allocation for that
distribution day, and second its interest allocation
carryfor-ward from the preceding distribution day, except
that an accrual class’s interest distributions may be
redirected as described in “– Accrual and accrual
directed classes” above. Distributions of current allocations
among the senior classes will be in proportion to current interest
allocations for, and distributions of interest allocation
carryfor-wards will be in proportion to interest allocation
carryforwards to, that distribution day.
(2) (a) To any ratio-stripped PO
class, principal up to its principal allocation for that
distribution day, and (b) to the senior target-rate classes,
principal up to their aggregate principal allocation for that
distribution day, to be distributed to the senior target-rate
classes in the priorities described in “Allocations among the
senior classes –Order of allocation among senior target-rate
classes” above.
(3) To each subordinated class, in
order of seniority, first , interest up to its interest
allocation for that distribution day, and second , principal
up to its principal allocation for that distribution day,
except that a subordinated class’s principal
distribution may be used to reimburse a ratio-stripped PO class, as
described in the following paragraph.
(4) Principal distributed to the
subordinated classes under the preceding paragraph will be used to
reimburse a ratio-
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stripped PO class
up to the amount of (a) any realized subordinated losses previously
allocated to the ratio-stripped PO class, and (b) any reduction to
the ratio-stripped PO class’s principal balance to reflect
the excess of (i) the aggregate principal allocations to the
ratio-stripped PO class over (ii) the aggregate principal
distributions to the ratio-stripped classes, as described in
“Adjustments to class balances” below, to the extent
that such losses and reductions were not previously reimbursed
under this paragraph (4) or “Loss recoveries” below.
Such reimbursements will be taken from distributions to the
subordinated classes in order of subordination.
(5) To each class, in order of
seniority, a reimbursement of any reduction to the classes’
principal balances to reflect the excess of (a) the aggregate
principal allocations to the classes over (b) the aggregate
principal distributions to the classes, as described in
“Adjustments to class balances” below, to the extent
such reductions were not previously reimbursed. Classes with equal
seniority will share in the reimbursement in proportion to such
unreimbursed reductions.
(6) To the residual certificates, a
residual distribution of the remaining pool distribution
amount.
A class that is no longer outstanding
can not receive a distribution.
Notwithstanding anything to the
contrary in this agreement, no distribution will be made to a
subordinated class on a distribution day if on that distribution
day the principal balance of a more senior class would be reduced
by any part of the principal portion of a realized subordinated
loss.
16.4 Distributions to
certificate holders
On each distribution day, distributions to a
class will be distributed to the holders of the certificates of the
class in proportion to the
principal or
notional balances of their certificates.
16.5 Final
distribution on the residual certificates
Upon termination of the Trust in accordance with section 9.1,
“Termination upon repurchase by CMSI or liquidation of all
mortgage loans,” any class PR certificates, and if there are
no class PR certificates, the LR certificates will receive all
amounts remaining in the certificate account and in any retail
reserve fund after all required distributions on the certificates,
and any required distributions to any Insurer, have been
made.
16.6 Wire transfer
eligibility
The minimum number of single certificates
eligible for wire transfer on each distribution day, for the
certificates, is 1,000 (representing a $1,000,000 initial principal
balance or initial notional balance) and, for the residual
certificates, a 100% percentage interest.
17 Adjustments to class
balances
On each distribution day, the principal balance of
each class that is not an IO class will be adjusted, in the
following order, as follows:
(1) The principal balance of any
ratio-stripped PO class will be reduced by realized losses on its
PO strip for the preceding month.
(2) The aggregate principal balance
of the target-rate classes will be reduced by the principal portion
of realized non-subordinated losses on the target-rate strip for
the preceding month. The reduction will first be allocated between
the subordinated classes, collectively, and the senior target-rate
classes, collectively, in proportion to aggregate principal
balances. The reduction for the subordinated classes will be
allo-
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cated to the
individual subordinated classes in proportion to their principal
balances. The reduction for the senior target-rate classes will be
allocated to the individual senior target-rate classes in
proportion to their principal balances, except that the
principal balance of an accrual class will be deemed to be the
lesser of its principal balance or its initial principal
balance.
(3) To the extent that on the
distribution day an interest distribution to an accrual class is
redirected to an accrual directed class, the principal balance of
the accrual class will be increased.
(4) The principal balance of each
class will be reduced by its principal distributions for that
distribution day, including
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(a)
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principal
distributions to an accrual directed class that are redirected from
interest distributions to an accrual class,
and
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(b)
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principal
distributions to a subordinated class, even if part or all of those
principal distributions are, pursuant to section 16.3(4), used to
reimburse a ratio-stripped PO class.
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However, any
portion of an accrual class’s interest distribution that, on
the distribution day before the class’s accrual termination
day, is distributed as principal to the accrual class itself, will
neither increase nor decrease the class’s principal
balance.
(5) The aggregate principal balance
of the target-rate classes will be reduced by the principal portion
of realized subordinated losses on the target-rate strip for the
preceding month. The reductions will be applied first to the
subordinated classes in order of subordination, in each case until
the principal balance of the class is reduced to zero. If the
realized subordinated losses exceed the principal balance of the
subordinated classes, the principal balance of the senior
target-rate classes will be reduced by the
amount of the
excess. The excess will be allocated among the senior target-rate
classes in proportion to their principal balances, except
that for this allocation, the principal balance of an accrual class
will be deemed to be the lesser of its principal balance or its
initial principal balance.
(6) The principal balance of any
ratio-stripped PO class will be reduced by the excess of (a) the
class’s principal allocation over (b) the class’s
principal distribution for that distribution day.
(7) The principal balance of each
target-rate class will be reduced, in order of subordination, in an
aggregate amount equal to the excess of (a) the aggregate principal
allocations to the target-rate classes over (b) the aggregate
principal distributions to the target-rate classes. Classes of
equal seniority will share in such reduction in proportion to the
amounts by which the principal allocation to each such class
exceeded its principal distribution.
For purposes of the preceding
paragraphs (1) through (7),
• the principal portion of a
debt service reduction will not be considered a realized loss,
and
• references to the class
principal balances in any paragraph mean the principal balances
after the adjustments required by the preceding numbered
paragraphs.
Where the principal balance of a
class is reduced due to a realized loss under the preceding
paragraphs (1), (2) or (5), the loss will be said to be allocated
to the class (an allocated loss ) to the extent of the
reduction.
18 Loss recoveries
The following rules for loss recoveries supersede any conflicting
rules in “Distributions” or “Adjustments to class
balances” above.
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On each
distribution day, the amount of any loss recovery for the preceding
month will be distributed as follows:
First , to each senior class
to the extent of and in proportion to its aggregate realized losses
for that and all preceding months that were not previously
reimbursed under this paragraph or, for a ratio-stripped PO class,
paragraph 4 of “Distributions — Distribution
priorities” above.
Second , to the target-rate
classes in the same manner as a distribution of unscheduled
principal.
Distributions made pursuant to
paragraph First above will not result in any adjustments to
class balances, but distributions made pursuant to paragraph
Second above will result in the normal adjustments to the
class balances described in paragraph 4 of “Adjustments to
class balances” above.
The principal balances of the
subordinated classes will be increased in order of seniority to the
extent of their aggregate realized losses for that and all
preceding months that were not previously reimbursed under this
paragraph, up to an aggregate amount for all subordinated classes
equal to the loss recovery less the amounts distributed to the
senior classes under paragraph First above.
Example: In May, there is a
$1,000 of loss recovery. On the June distribution day, prior to any
distributions or adjustments, the senior classes have aggregate
unreimbursed losses of $100 and the subordinated classes have
aggregate unreimbursed losses of $700. Then on the June
distribution day,
1 $100 of the
loss recovery will be distributed to the senior classes to
reimburse them for previously allocated losses, but the
distribution will not reduce the principal balances of the senior
classes.
2 The remaining $900 of the loss recovery
will be distributed to the target-rate classes
in
the same manner
as unscheduled principal, and class balances will be reduced by the
amount of the distributions.
3 The
principal balances of the subordinated classes will be increased by
the remaining $900. (The increase may be less than $900 if any of
the subordinated classes are no longer outstanding.)
If expenses on the liquidated loans
for any month exceed the amounts recovered on the liquidated loans
for the month, the excess will be treated as a realized loss on the
mortgage loans.
19 Additional structuring
features
The preceding provisions for allocations and
distributions, and for adjustments to class balances, are subject
to the following sections on LIBOR classes, composite and component
classes, multiple-pool series, retail classes, and insured
classes.
20 LIBOR classes
Classes [***] and [***] are LIBOR classes .
Each LIBOR class will have a monthly
LIBOR accrual period from the day of the month indicated in
the footnotes to the table in “The Series – General
terms for classes” above through the day preceding the first
day of the next LIBOR accrual period. The first LIBOR accrual
period for a class will be the latest possible LIBOR accrual period
that ends before the first distribution day.
Example: The LIBOR accrual period
for a LIBOR class begins on the 25th day of the month, and the
first distribution day is February 25, 200x. Then the first LIBOR
accrual period for the class begins on January 25, 200x and runs
through February 24, 200x, the second LIBOR accrual period begins
on February 25, 200x and runs through March 24, 200x, and so
forth.
A LIBOR class will not
accrue interest for any period before its first LIBOR accrual
period. The interest rate for each LIBOR class
is
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stated in
“The series – General terms for classes”
above.
CitiMortgage will determine
LIBOR for each LIBOR accrual period (after the
first LIBOR accrual period) on the second business day
before the beginning of each LIBOR accrual period as follows:
• L IBOR will be the arithmetic mean (rounded upward, if
necessary, to the nearest multiple of 1/16 of 1%) of the offered
rates for deposits in U.S. Dollars having a maturity of one month
as of approximately 11 AM (London time) on the determination day, as such
offered rates appear on Teler-ate page 3750 (as defined by
reference to the International Swap Dealers Association, Inc.
1991 ISDA definitions).
•
If no rate appears on Telerate page 3750 on
that day, CitiMortgage will determine
LIBOR on the basis of the rates on that day at
approximately 11 AM , London time, at which deposits in U.S. Dollars
with a maturity of one month in a principal amount of not less than
U.S. $1 million and representative for a single transaction in that
market at that time, are offered to prime banks in the London
interbank market for at least four major banks in the London
interbank market selected by CitiMortgage. CitiMortgage will
request the principal London office of each such bank to provide a
quotation of its rate. If at least two such quotations are
provided, LIBOR will be the arithmetic mean of those
quotations.
•
If fewer than two
quotations are provided, LIBOR will be the arithmetic mean of the rates quoted
at approximately 11 AM , New York time, on that day by three major
banks in New York City selected by Citi-Mortgage for loans in U.S.
Dollars to leading European banks having a maturity of one month in
a principal amount of not less than U.S. $1 million that is
representative for a single transaction in such market
at
such time. If the
banks selected by Citi-Mortgage are not quoting such
rates, LIBOR will be LIBOR for the preceding
LIBOR accrual period.
21 Composite and component
classes
The composite classes of the series, and
each composite class’s component classes are shown in
the table in “The series – General terms for
classes” above.
Each composite class is comprised of two or more
component classes. Certificates are only issued for composite
classes. Component classes can not be severed from their composite
classes, and can not be separately transferred. Component classes
are, however, considered classes for all purposes of the preceding
sections on allocations and distributions except that all
distributions to the component classes of a composite class will
become distributions to the composite class. A composite class is
not considered a class for purposes of allocations and
distributions, but instead receives all the distributions made to
any of its component classes. Voting is by composite, not
component, classes.
In a multiple-pool series, each subordinated
class is a composite class formed of two or more component classes.
Unless otherwise specified, references to a “subordinated
class” mean the composite class.
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Multiple-pool
series
This is a multiple-pool series. The mortgage
loans of this series are divided into two pools. Pool I
consists of the mortgage loans described in exhibit B-1, and
Pool II consists of the mortgage loans described in exhibit
B-2.
Each class of this series (other than certain
composite classes) belongs to a group of classes related to
a specific pool. The designation of each class in a group bears
the
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roman numeral
prefix of its related pool, and the group is referred to by that
prefix.
Example:
Classes related to pool I bear the prefix “I,” as IA-1,
IB-1, etc., and are referred to collectively as “group
I.”
With exceptions described below, the classes of
each group are treated like a separate series, with allocations to
the classes of the group being based solely on payments on the
related pool. Any ratio-stripping will be done on a pool basis, so
that there will be separate PO, IO and target-rate strips for each
pool, with the related group having its own target-rate, and
ratio-stripped IO and PO, classes.
The subordinated classes of each group will be
component classes. A ratio-stripped IO or PO class of a group will
only be a component class if so designated in “The series
– General terms for classes”
above.
22.1 Adjustment of subordinated
component class principal balances
On each
distribution day, the aggregate amount of any
• realized subordinated losses on the mortgage
loans in a pool, or
• excess of the aggregate principal allocations to
the related group’s target-rate classes over the aggregate
principal distributions to those classes,
that, in accordance with
“Adjustments to class balances” above, would reduce the
principal balances of the group’s subordinated component
classes in order of subordination if the pool and the related
groups were considered a separate series, will instead reduce
• the principal balances of the subordinated
composite classes in order of subordination, and
• the aggregate principal balance of the
group’s subordinated component classes, by that
amount.
Such reduction in
the aggregate principal balance of a group’s subordinated
component classes will result in adjustments to the principal
balance of the subordinated component classes of each group so the
ratio of the principal balances of the component classes from each
group will be the same for each subordinated composite
class.
Example: Assume subordinated composite classes
B-1 through B-6, each with a principal balance of $1,000. There are
two groups, I and II, and the aggregate principal balance of each
group’s subordinated component classes is $3,000. Then for
each subordinated composite class, the ratio of the principal
balance of its group I component class to the principal balance of
its group II component class must be 1 to 1. Consequently, both the
group I and the group II component class of each subordinated
composite class will have a principal balance of
$500.
Now assume a $750 subordinated loss in pool I.
Then
•
the principal
balance of class B-6 will be reduced by $750, to $250, which will
reduce the aggregate principal balance of the subordinated
composite classes to $5,250,
•
the aggregate principal balance of the group I
subordinated component classes will be reduced by $750, to $2,250,
while the aggregate principal balance of the group II subordinated
component classes will remain at
$3,000;
•
the ratio of
the aggregate principal balance of the group I subordinated
component classes to the aggregate principal balance of the group
II subordinated component classes will be $2,250 to $3,000, or 3 to
4;
•
for classes B-1
through B-5, the principal balance of the composite class will
remain at $1,000, but the principal balance of its group I
component class will be approximately $428.57, and the principal
balance of its group II component class will be approximately
$571.43 (a ratio of 3 to 4); and
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•
class B-6’s principal balance of $250 will
be comprised of a group I component class with a principal balance
of approximately $107.14, and a group II component class with a
principal balance of approximately $142.86 (a ratio of 3 to
4).
If subordinated losses on a mortgage pool for a
distribution day exceed the aggregate principal balance of the
subordinated component classes of the related group, the aggregate
principal balance of such component classes will be reduced to
zero, and the aggregate principal balance of the subordinated
component classes of the other groups will be reduced by the
excess.
Example: Suppose that in the series in the
preceding example, the group I subordinated component classes and
the group II subordinated component classes each have an aggregate
initial principal balance of $3,000, and that each subordinated
composite class, B-1 through B-6 has a principal balance of $1,000.
Now suppose that there are $4,000 of subordinated losses on the
mortgage loans in pool II’s target-rate strip, but no losses
on the mortgage loans in pool I’s target-rate strip. Then the
entire $4,000 of losses will be allocated to the subordinated
classes, reducing the principal balance of classes B-3 through B-6
to zero. Classes B-1 and B-2 will each retain a principal balance
of $1,000, comprised of a group I component class with a principal
balance of $1,000 and a group II component class with a principal
balance of $0. The principal balance of the subordinated group I
component classes will thus be reduced by $1,000 even though there
are no losses on the pool I target-rate strip.
Subject to “–
Undercollateralization” below, if realized subordinated
losses on a distribution day exceed the aggregate principal balance
of the subordinated classes, the aggregate principal balance of the
senior classes in each group will be reduced by the group’s
proportional share of the excess losses, based on the proportions
of all the
losses for that
distribution day in the mortgage loan pools.
Example: Assume that for a distribution day,
there are $2,250 of realized subordinated losses in pool I and
$4,500 of realized subordinated losses in pool II. The aggregate
principal balance of the subordinated classes is only $6,000. Then
the principal balance of the subordinated classes will be reduced
to $0, and the remaining $750 of losses will reduce the aggregate
principal balance of the senior classes of group I by $250 (or 1/3
of $750), and will reduce the aggregate principal balance of the
senior classes of group II by $500 (or 2/3 of $750). The principal
balances of the component classes of the subordinated classes are
irrelevant for these purposes.
22.2 Maintenance of
subordination
Impairment of subordination for subordinated
classes of a multiple-pool series will be determined based on
composite, not component, classes. In determining whether a
composite class has an impaired subordination level, the principal
balance of the composite class will equal the sum of the principal
balances of its component classes. If a subordinated composite
class has an impaired subordination level, then principal will be
allocated among the subordinated composite classes pursuant to
“Allocations – Maintenance of subordination”
above, and, for purposes of adjusting principal balances, will be
further allocated to the component classes in proportion to their
principal balances.
22.3 Distribution
shortfalls
If on a distribution day, payments on the
mortgage loans in the target-rate strip for a pool are not
sufficient to permit payments of any insurance premium due to an
Insurer, and all interest and principal allocated to the senior
target-rate classes of the related group, then the pool may receive
insurance premium, interest and principal
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distributions from
payments on the mortgage loans in another pool once any insurance
premium due is paid to the Insurer, and full interest and principal
distributions are made to the senior target-rate classes of the
group related to the other pool.
Example: Suppose that there are two groups of
classes and that on a distribution day, cash available for
distribution to the group I senior-target rate classes from
payments on the pool I mortgage loans is $1,000 less than the
aggregate interest and principal allocations to group I’s
senior target-rate classes, while cash available for distribution
to the group II senior-target rate classes from payments on the
pool II mortgage loans exceeds the aggregate interest and principal
allocations to group II’s senior target-rate classes by
$1,500. Then $1,000 of the extra $1,500 available to group II will
be used to make full interest and principal distributions to the
group I senior target-rate classes, and only the remaining $500
will be distributed to the group II subordinated component
classes.
If there are several pools for which mortgage
loan payments do not provide enough cash for full distributions to
the senior target-rate classes and any Insurer, the related groups
will receive cash from other pools in proportion to the aggregate
amount by which any insurance premium due to an Insurer, and
interest and principal distributions would otherwise fall short of
interest and principal allocations. If there are several pools
where mortgage loan payments provide cash in excess of the amount
required for full distributions, they will provide cash to the
senior target-rate classes, and any Insurer, of those groups
related to the other pools in proportion to the amounts of the
excess.
22.4 Undersubordination
If on a
distribution day before the subordination depletion date, the
principal balances of all the senior target-rate classes of
any
group (but not the
principal balances of all the group’s subordinated component
classes) have been reduced to zero, and there is undersubordination
(as defined below), then on that distribution day, before any
distributions are made,
• the pool distribution amount of the group will
be reduced by an amount (the reduction amount ) equal to the
lesser of (1) unscheduled principal payments on the related
pool’s target-rate strip received by the Trust during the
preceding month and (2) the excess, determined without regard to
this section “– Undersubordination,” of the pool
distribution amount over the amount required to be used to
reimburse any ratio-stripped PO classes,
• the principal allocation to each class in the
group will be reduced by the class’s proportionate share,
based on principal balances, of the reduction amount,
• the pool distribution amount of each group whose
senior target-rate classes have not been reduced to zero will be
increased by a proportionate share of the reduction amount based on
the aggregate principal balance of the senior target-rate classes
of each such group, and
• the aggregate principal allocation for the
senior target-rate classes of each group whose senior target-rate
classes have not been reduced to zero will be increased by the
portion of the reduction amount added to its pool distribution
amount, which increased aggregate allocation will be further
allocated among the senior target-rate classes in accordance with
the rules in “Allocations among the senior target-rate
classes” above.
There is undersubordination on a
distribution day if either
• the subordination level of the senior classes
(without regard to group) on that distribution day is less than
200% of the ini-
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tial subordination
level of the senior classes, or
• the aggregate scheduled principal balance of the
mortgage loans in any pool that are delinquent 60 days or more
(including for this purpose mortgage loans in foreclosure and real
estate owned by the Trust as a result of Mortgagor default),
averaged over the last six months, is 50% or more of the principal
balance of the related group’s subordinated component
classes.
22.5 Undercollateralization
Because losses on
a mortgage loan may be allocated in part to the subordinated
component classes of a different group, the scheduled principal
balance of a pool’s target-rate strip could differ from the
aggregate principal balance of the related group’s
target-rate classes. If the scheduled principal balance of a
pool’s target-rate strip is less than the aggregate principal
balance of the related group’s target-rate classes, the group
will be undercollateralized by the amount of the difference;
conversely, if the scheduled principal balance of a pool’s
targetrate strip is more than the aggregate principal balance of
the related group’s target-rate classes, the group will be
overcollat-eralized by the amount of the difference.
If a group is undercollateralized,
the normal distribution rules will be adjusted as follows:
(1) To the extent that scheduled
interest payments on the target-rate strip of a pool related to an
overcollateralized group exceed the aggregate interest allocations
to that groups’ targetrate classes, plus any insurance
premium due to an Insurer, that excess, up to the amount of any
interest allocation carryforwards that the undercollat-eralized
group would otherwise experience on that distribution day and the
insurance premium, will be deducted from the pool distribution
amount for the overcollateral-
ized group and
added to the pool distribution amounts for the undercollateralized
group. If there is more than one such un-dercollateralized group,
or more than one overcollateralized group, then (a) amounts will be
deducted from the pool distribution amounts for the groups that are
overcollateralized in proportion to such excess interest payments,
up to the aggregate amount of such interest allocation
carryforwards and the insurance premium for the
under-collateralized groups, and (b) amounts will be added to the
pool distribution amounts of the undercollateralized groups in
proportion to the amount of such interest allocation carryforwards
and insurance premium.
(2) Before the subordination depletion date, if
one or more groups is undercollat-eralized and the principal
balance of each of the groups’ subordinated component classes
has been reduced to zero, then (a) all amounts that (after required
reimbursements to any ratio-stripped PO classes) would otherwise be
distributed as principal to the subordinated component classes of
the other groups, up to the aggregate amount by which such
undercollateralized groups are undercollateralized, will, in
proportion to the aggregate principal balance of the subordinated
component classes of such other groups, be deducted from the pool
distribution amount and the principal allocations to the
subordinated component classes of such other groups, and (b) such
amount will be added to the pool distribution amounts and the
principal allocations of the target-rate classes of such
undercol-lateralized groups, in proportion to the amount by which
such groups are undercollateralized.
(3) After the subordination depletion date, if a
group is undercollateralized, then
• once a group’s target-rate classes are all
reduced to zero, principal payments on the
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