| SUPPLEMENT (To Preliminary Prospectus Dated September 14, 2016) | Filed Pursuant to Rule 424(h) Registration File No. 333-206582-04 |
$782,326,000 (Approximate)
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C30
(Central Index Key Number 0001681906)
as Issuing Entity
Morgan Stanley Capital I Inc.
(Central Index Key Number 0001547361)
as Depositor
Morgan Stanley Mortgage Capital Holdings LLC
(Central Index Key Number 0001541557)
Bank of America, National Association
(Central Index Key Number 0001102113)
Starwood Mortgage Funding III LLC
(Central Index Key Number 0001682532)
CIBC Inc.
(Central Index Key Number 0001548567)
as Sponsors and Mortgage Loan Sellers
Commercial Mortgage Pass-Through Certificates, Series 2016-C30
This is a supplement to, and supersedes any contrary information in, the preliminary prospectus dated September 14, 2016 (the “Preliminary Prospectus”). Defined terms used in this supplement but not defined herein have the meanings given to them in the Preliminary Prospectus.
| 1. | The West Plaza Shopping Center Mortgage Loan, which represented approximately 0.4% of the Initial Pool Balance when included, will not be included in the Mortgage Pool. Accordingly, certain statistical data will vary from that which is contained in the Preliminary Prospectus, including in relevant part: |
| · | The Mortgage Pool will consist of a pool of 48 fixed rate Mortgage Loans, secured by 58 Mortgaged Properties. |
| · | The Initial Pool Balance will be $885,234,845. |
| · | The table entitled “Summary of Certificates” on page 3 of the Preliminary Prospectus is replaced by the table attached hereto as Exhibit A, and accordingly, statistical data contained in the Preliminary Prospectus that corresponds to the information shown in such table is updated to refer to the updated information contained in Exhibit A. Such table attached hereto as Exhibit A should be read together with the explanatory notes set forth on pages 3 and 4 of the Preliminary Prospectus. |
| · | The table included on page 42 of the Preliminary Prospectus regarding characteristics of the Mortgage Loans, in the section entitled “Summary of Terms”, is replaced by the table attached hereto as Exhibit B. |
| · | The decrement tables shown on pages 430 to 433 of the Preliminary Prospectus are replaced by the decrement tables attached hereto as Exhibit C. |
| · | Annex A-2 to the Preliminary Prospectus is replaced by the materials attached hereto as Exhibit D, and accordingly, statistical data contained in the Preliminary Prospectus that corresponds to the information shown in Annex A-2 to the Preliminary Prospectus is updated to refer to the updated information contained in Exhibit D. |
| MORGAN STANLEY | BofA Merrill Lynch | ||
| Co-Lead Bookrunning Managers | |||
| CIBC World Markets | Citigroup | Drexel Hamilton | |
| Co-Managers | |||
The date of this Supplement is September 16, 2016.
| · | The schedule of Class A-SB principal balances included in the Preliminary Prospectus as Annex E is replaced by the schedule attached hereto as Exhibit E. |
| 2. | The definition of “Collateral Deficiency Amount” on page 330 of the Preliminary Prospectus is modified by (1) replacing the word “thereto” in clause (i) with “to such junior notes”, (2) adding “(or otherwise on deposit with a party acceptable to the lender or expended for the benefit of the mortgaged property or the mortgage loan)” in sub-clause (y) and (3) adding “became the subject of a workout and” in sub-clause (y), such that the definition reads as follows: |
“Collateral Deficiency Amount” means, with respect to any AB Modified Loan as of any date of determination, the excess of (i) the Stated Principal Balance of such AB Modified Loan (taking into account the related junior note(s) and any pari passu notes included therein, as well as any equity interests or other obligations senior to such junior notes), over (ii) the sum of (in the case of a Whole Loan, solely to the extent allocable to the subject Mortgage Loan) (x) the most recent Appraised Value for the related Mortgaged Property or Mortgaged Properties, plus (y) solely to the extent not reflected or taken into account in such Appraised Value and to the extent on deposit with, or otherwise under the control of, the lender (or otherwise on deposit with a party acceptable to the lender or expended for the benefit of the mortgaged property or the mortgage loan) as of the date of such determination, any capital or additional collateral contributed by the related borrower at the time the Mortgage Loan became the subject of a workout and became (and as part of the modification related to) such AB Modified Loan for the benefit of the related Mortgaged Property or Mortgaged Properties (provided, that in the case of an Non-Serviced Mortgage Loan, the amounts set forth in this clause (y) will be taken into account solely to the extent relevant information is received by the master servicer), plus (z) any other escrows or reserves (in addition to any amounts set forth in the immediately preceding clause (y)) held by the lender in respect of such AB Modified Loan as of the date of such determination. The master servicer, the operating advisor and the certificate administrator will be entitled to conclusively rely on the special servicer’s calculation or determination of any Collateral Deficiency Amount.
The information in this supplement, if conveyed prior to the time of your contractual commitment to purchase any of the offered certificates, supersedes any conflicting information contained in the Preliminary Prospectus and any other prior similar materials relating to the offered certificates. The information in this supplement may be amended or supplemented. This supplement is being delivered to you solely to provide you with information about the offering of the offered certificates referred to in the Preliminary Prospectus and to solicit an offer to purchase the offered certificates, when, as and if issued.
IMPORTANT NOTICE RELATING TO AUTOMATICALLY GENERATED EMAIL DISCLAIMERS
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Exhibit A
Certificate Structure
Class | Approximate | Approximate | Approximate | Pass-Through | Assumed | Expected | Expected | |
| Offered Certificates | ||||||||
| Class A-1 | $34,000,000 | 30.000% | [__]% | (5) | July 2021 | 2.86 | 1 – 58 | |
| Class A-2 | $4,400,000 | 30.000% | [__]% | (5) | July 2021 | 4.79 | 58 – 58 | |
| Class A-SB | $46,900,000 | 30.000% | [__]% | (5) | October 2025 | 7.03 | 58 – 109 | |
| Class A-3 | $13,000,000 | 30.000% | [__]% | (5) | September 2023 | 6.92 | 82 – 84 | |
| Class A-4 | $230,000,000 | 30.000% | [__]% | (5) | August 2026 | 9.61 | 109 – 119 | |
| Class A-5 | $291,364,000 | 30.000% | [__]% | (5) | August 2026 | 9.88 | 119 – 119 | |
| Class X-A | $619,664,000(6) | N/A | [__]% | Variable(7) | August 2026 | N/A | N/A | |
| Class X-B | $162,662,000(6) | N/A | [__]% | Variable(7) | September 2026 | N/A | N/A | |
| Class A-S | $79,671,000 | 21.000% | [__]% | (5) | September 2026 | 9.93 | 119 – 120 | |
| Class B | $42,049,000 | 16.250% | [__]% | (5) | September 2026 | 9.96 | 120 – 120 | |
| Class C | $40,942,000 | 11.625% | [__]% | (5) | September 2026 | 9.96 | 120 – 120 | |
| Non-Offered Certificates(8) | ||||||||
| Class X-D | $38,729,000(6) | N/A | [__]% | Variable(7) | September 2026 | N/A | N/A | |
| Class X-E | $24,344,000(6) | N/A | [__]% | Variable(7) | October 2026 | N/A | N/A | |
| Class X-F | $9,959,000(6) | N/A | [__]% | Variable(7) | October 2026 | N/A | N/A | |
| Class X-G | $29,876,844(6) | N/A | [__]% | Variable(7) | October 2026 | N/A | N/A | |
| Class D | $38,729,000 | 7.250% | [__]% | (5) | September 2026 | 9.96 | 120 – 120 | |
| Class E | $24,344,000 | 4.500% | [__]% | (5) | October 2026 | 10.03 | 120 – 121 | |
| Class F | $9,959,000 | 3.375% | [__]% | (5) | October 2026 | 10.04 | 121 – 121 | |
| Class G | $29,876,844 | 0.000% | [__]% | (5) | October 2026 | 10.04 | 121 – 121 | |
| Class V(9) | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |
| Class R(10) | N/A | N/A | N/A | N/A | N/A | N/A | N/A | |
Exhibit A
Exhibit B
Mortgage Loan Characteristics
| Initial Pool Balance(1) | $885,234,845 |
| Number of mortgage loans | 48 |
| Number of mortgaged properties | 58 |
| Number of crossed loans | 0 |
| Crossed loans as a percentage | 0.0% |
| Range of Cut-off Date Balances | $2,051,749 to $77,500,000 |
| Average Cut-off Date Balance | $18,442,393 |
| Range of Mortgage Rates | 2.7982% to 5.4200% |
| Weighted average Mortgage Rate | 4.1521% |
| Range of original terms to maturity(2) | 60 months to 120 months |
| Weighted average original term to maturity(2) | 119 months |
| Range of remaining terms to maturity(2) | 50 months to 120 months |
| Weighted average remaining term to maturity(2) | 117 months |
| Range of original amortization terms(3) | 240 months to 360 months |
| Weighted average original amortization term(3) | 356 months |
| Range of remaining amortization terms(3) | 230 months to 360 months |
| Weighted average remaining amortization term(3) | 355 months |
| Range of Cut-off Date LTV Ratios(4) | 28.5% to 75.5% |
| Weighted average Cut-off Date LTV Ratio(4) | 56.9% |
| Range of LTV Ratios as of the maturity date(2)(4) | 28.5% to 65.2% |
| Weighted average LTV Ratio as of the maturity date(2)(4) | 50.5% |
| Range of UW NCF DSCRs(5) | 1.18x to 6.28x |
| Weighted average UW NCF DSCR(5) | 2.53x |
| Range of UW NOI Debt Yields | 8.0% to 17.9% |
| Weighted average UW NOI Debt Yield | 12.3% |
| Percentage of Initial Pool Balance consisting of: | |
| Interest-Only | 36.7% |
| Partial Interest-Only | 33.6% |
| Amortizing Balloon | 29.6% |
| (1) | Subject to a permitted variance of plus or minus 5%. |
| (2) | In the case of 1 mortgage loan, representing approximately 8.8% of the initial pool balance, calculated as of the related anticipated repayment date. |
| (3) | Excludes 10 mortgage loans, representing approximately 36.7% of the initial pool balance, that are interest-only for the entire term or until the anticipated repayment date, as applicable. |
| (4) | All Mortgage Loans were calculated using “as-is” values as described under “Description of the Mortgage Pool—Certain Calculations and Definitions”. For further information, see Annex A-1. See also “Risk Factors—Risks Relating to the Mortgage Loans—Appraisals May Not Reflect Current or Future Market Value of Each Property” and “Description of the Mortgage Pool—Appraised Value”. |
| (5) | Debt service coverage ratios are calculated based on annual debt service equal to 12 times the monthly payment in effect as of the cut-off date; provided, that (i) in the case of a mortgage loan that provides for monthly payments in accordance with a specified payment schedule, debt service coverage ratios are instead calculated based on annual debt service equal to the average of the principal and interest payments for the first 12 payment periods of the mortgage loan following the cut-off date, (ii) in the case of a mortgage loan that provides for interest-only payments through its maturity or anticipated repayment date, as applicable, such items are calculated based on annual debt service equal to the interest payments scheduled to be due on the first due date following the cut-off date and the 11 due dates thereafter for such mortgage loan and (iii) in the case of a mortgage loan that provides for an initial interest-only period that ends prior to its maturity or anticipated repayment date, as applicable, and provides for scheduled amortization payments thereafter, such items are calculated based on annual debt service equal to the monthly payment of principal and interest payable for the 12 payment periods immediately following the expiration of the interest-only period. |
Exhibit B
Exhibit C
Decrement Tables
Percent of the Initial Certificate Balance
of the Class A-1 Certificates at the Respective CPYs
Set Forth Below:
Distribution Date | 0% CPY | 25% CPY | 50% CPY | 75% CPY | 100% CPY |
| Closing Date | 100% | 100% | 100% | 100% | 100% |
| September 2017 | 88% | 88% | 88% | 88% | 88% |
| September 2018 | 73% | 73% | 73% | 73% | 73% |
| September 2019 | 52% | 52% | 52% | 52% | 52% |
| September 2020 | 27% | 27% | 27% | 26% | 22% |
| September 2021 and thereafter | 0% | 0% | 0% | 0% | 0% |
| Weighted Average Life (years) | 2.86 | 2.86 | 2.86 | 2.86 | 2.85 |
Percent of the Initial Certificate Balance
of the Class A-2 Certificates at the Respective CPYs
Set Forth Below:
Distribution Date | 0% CPY | 25% CPY | 50% CPY | 75% CPY | 100% CPY |
| Closing Date | 100% | 100% | 100% | 100% | 100% |
| September 2017 | 100% | 100% | 100% | 100% | 100% |
| September 2018 | 100% | 100% | 100% | 100% | 100% |
| September 2019 | 100% | 100% | 100% | 100% | 100% |
| September 2020 | 100% | 100% | 100% | 100% | 100% |
| September 2021 and thereafter | 0% | 0% | 0% | 0% | 0% |
| Weighted Average Life (years) | 4.79 | 4.79 | 4.79 | 4.79 | 4.72 |
Percent of the Initial Certificate Balance
of the Class A-SB Certificates at the Respective CPYs
Set Forth Below:
Distribution Date | 0% CPY | 25% CPY | 50% CPY | 75% CPY | 100% CPY |
| Closing Date | 100% | 100% | 100% | 100% | 100% |
| September 2017 | 100% | 100% | 100% | 100% | 100% |
| September 2018 | 100% | 100% | 100% | 100% | 100% |
| September 2019 | 100% | 100% | 100% | 100% | 100% |
| September 2020 | 100% | 100% | 100% | 100% | 100% |
| September 2021 | 97% | 97% | 97% | 97% | 97% |
| September 2022 | 75% | 75% | 75% | 75% | 75% |
| September 2023 | 51% | 51% | 51% | 51% | 51% |
| September 2024 | 27% | 27% | 27% | 27% | 27% |
| September 2025 | 2% | 2% | 2% | 2% | 2% |
| September 2026 and thereafter | 0% | 0% | 0% | 0% | 0% |
| Weighted Average Life (years) | 7.03 | 7.03 | 7.03 | 7.03 | 7.03 |
Exhibit C
Percent of the Initial Certificate Balance
of the Class A-3 Certificates at the Respective CPYs
Set Forth Below:
Distribution Date | 0% CPY | 25% CPY | 50% CPY | 75% CPY | 100% CPY |
| Closing Date | 100% | 100% | 100% | 100% | 100% |
| September 2017 | 100% | 100% | 100% | 100% | 100% |
| September 2018 | 100% | 100% | 100% | 100% | 100% |
| September 2019 | 100% | 100% | 100% | 100% | 100% |
| September 2020 | 100% | 100% | 100% | 100% | 100% |
| September 2021 | 100% | 98% | 96% | 92% | 23% |
| September 2022 | 100% | 79% | 59% | 40% | 23% |
| September 2023 and thereafter | 0% | 0% | 0% | 0% | 0% |
| Weighted Average Life (years) | 6.92 | 6.54 | 6.19 | 5.86 | 5.33 |
Percent of the Initial Certificate Balance
of the Class A-4 Certificates at the Respective CPYs
Set Forth Below:
Distribution Date | 0% CPY | 25% CPY | 50% CPY | 75% CPY | 100% CPY |
| Closing Date | 100% | 100% | 100% | 100% | 100% |
| September 2017 | 100% | 100% | 100% | 100% | 100% |
| September 2018 | 100% | 100% | 100% | 100% | 100% |
| September 2019 | 100% | 100% | 100% | 100% | 100% |
| September 2020 | 100% | 100% | 100% | 100% | 100% |
| September 2021 | 100% | 100% | 100% | 100% | 100% |
| September 2022 | 100% | 100% | 100% | 100% | 100% |
| September 2023 | 100% | 100% | 100% | 100% | 100% |
| September 2024 | 100% | 100% | 100% | 100% | 100% |
| September 2025 | 100% | 99% | 97% | 95% | 82% |
| September 2026 and thereafter | 0% | 0% | 0% | 0% | 0% |
| Weighted Average Life (years) | 9.61 | 9.54 | 9.47 | 9.40 | 9.22 |
Percent of the Initial Certificate Balance
of the Class A-5 Certificates at the Respective CPYs
Set Forth Below:
Distribution Date | 0% CPY | 25% CPY | 50% CPY | 75% CPY | 100% CPY |
| Closing Date | 100% | 100% | 100% | 100% | 100% |
| September 2017 | 100% | 100% | 100% | 100% | 100% |
| September 2018 | 100% | 100% | 100% | 100% | 100% |
| September 2019 | 100% | 100% | 100% | 100% | 100% |
| September 2020 | 100% | 100% | 100% | 100% | 100% |
| September 2021 | 100% | 100% | 100% | 100% | 100% |
| September 2022 | 100% | 100% | 100% | 100% | 100% |
| September 2023 | 100% | 100% | 100% | 100% | 100% |
| September 2024 | 100% | 100% | 100% | 100% | 100% |
| September 2025 | 100% | 100% | 100% | 100% | 100% |
| September 2026 and thereafter | 0% | 0% | 0% | 0% | 0% |
| Weighted Average Life (years) | 9.88 | 9.88 | 9.85 | 9.79 | 9.46 |
Percent of the Initial Certificate Balance
of the Class A-S Certificates at the Respective CPYs
Set Forth Below:
Distribution Date | 0% CPY | 25% CPY | 50% CPY | 75% CPY | 100% CPY |
| Closing Date | 100% | 100% | 100% | 100% | 100% |
| September 2017 | 100% | 100% | 100% | 100% | 100% |
| September 2018 | 100% | 100% | 100% | 100% | 100% |
| September 2019 | 100% | 100% | 100% | 100% | 100% |
| September 2020 | 100% | 100% | 100% | 100% | 100% |
| September 2021 | 100% | 100% | 100% | 100% | 100% |
| September 2022 | 100% | 100% | 100% | 100% | 100% |
| September 2023 | 100% | 100% | 100% | 100% | 100% |
| September 2024 | 100% | 100% | 100% | 100% | 100% |
| September 2025 | 100% | 100% | 100% | 100% | 100% |
| September 2026 and thereafter | 0% | 0% | 0% | 0% | 0% |
| Weighted Average Life (years) | 9.93 | 9.91 | 9.88 | 9.88 | 9.63 |
Percent of the Initial Certificate Balance
of the Class B Certificates at the Respective CPYs
Set Forth Below:
Distribution Date | 0% CPY | 25% CPY | 50% CPY | 75% CPY | 100% CPY |
| Closing Date | 100% | 100% | 100% | 100% | 100% |
| September 2017 | 100% | 100% | 100% | 100% | 100% |
| September 2018 | 100% | 100% | 100% | 100% | 100% |
| September 2019 | 100% | 100% | 100% | 100% | 100% |
| September 2020 | 100% | 100% | 100% | 100% | 100% |
| September 2021 | 100% | 100% | 100% | 100% | 100% |
| September 2022 | 100% | 100% | 100% | 100% | 100% |
| September 2023 | 100% | 100% | 100% | 100% | 100% |
| September 2024 | 100% | 100% | 100% | 100% | 100% |
| September 2025 | 100% | 100% | 100% | 100% | 100% |
| September 2026 and thereafter | 0% | 0% | 0% | 0% | 0% |
| Weighted Average Life (years) | 9.96 | 9.96 | 9.96 | 9.89 | 9.63 |
Percent of the Initial Certificate Balance
of the Class C Certificates at the Respective CPYs
Set Forth Below:
Distribution Date | 0% CPY | 25% CPY | 50% CPY | 75% CPY | 100% CPY |
| Closing Date | 100% | 100% | 100% | 100% | 100% |
| September 2017 | 100% | 100% | 100% | 100% | 100% |
| September 2018 | 100% | 100% | 100% | 100% | 100% |
| September 2019 | 100% | 100% | 100% | 100% | 100% |
| September 2020 | 100% | 100% | 100% | 100% | 100% |
| September 2021 | 100% | 100% | 100% | 100% | 100% |
| September 2022 | 100% | 100% | 100% | 100% | 100% |
| September 2023 | 100% | 100% | 100% | 100% | 100% |
| September 2024 | 100% | 100% | 100% | 100% | 100% |
| September 2025 | 100% | 100% | 100% | 100% | 100% |
| September 2026 and thereafter | 0% | 0% | 0% | 0% | 0% |
| Weighted Average Life (years) | 9.96 | 9.96 | 9.96 | 9.96 | 9.65 |
Exhibit D
Revised Annex A-2
Exhibit D
Annex A-2
Mortgage Pool Information
Mortgage Loan Sellers
| Percent by | Weighted | Weighted | Weighted | Weighted | Weighted | Weighted | ||||||||||||
| Aggregate | Aggregate | Average | Average | Average | Average | Average | Average | |||||||||||
| No. of | Cut-off Date | Cut-off Date | Mortgage | Remaining | U/W NCF | U/W NOI | Cut-off Date | Maturity Date | ||||||||||
| Loan Seller | Mtg. Loans | Balance | Balance | Rate | Term (Mos.) | DSCR | Debt Yield | LTV | LTV | |||||||||
| Morgan Stanley Mortgage Capital Holdings LLC | 11 | $298,970,000 | 33.8% | 3.6866% | 118 | 3.52x | 13.7% | 48.4% | 44.6% | |||||||||
| Bank of America, National Association | 15 | $249,964,895 | 28.2% | 3.8871% | 118 | 2.66x | 12.5% | 52.8% | 48.2% | |||||||||
| Starwood Mortgage Funding III LLC | 10 | $233,406,658 | 26.4% | 4.7340% | 117 | 1.58x | 10.8% | 67.5% | 57.9% | |||||||||
| CIBC Inc. | 12 | $102,893,292 | 11.6% | 4.8282% | 114 | 1.50x | 10.6% | 67.8% | 56.4% | |||||||||
| Total: | 48 | $885,234,845 | 100.0% | 4.1521% | 117 | 2.53x | 12.3% | 56.9% | 50.5% |
Cut-off Date Balances
| Percent by | Weighted | Weighted | Weighted | Weighted | Weighted | Weighted | ||||||||||||
| Aggregate | Aggregate | Average | Average | Average | Average | Average | Average | |||||||||||
| No. of | Cut-off Date | Cut-off Date | Mortgage | Remaining | U/W NCF | U/W NOI | Cut-off Date | Maturity Date | ||||||||||
| Cut-off Date Balance ($) | Mtg. Loans | Balance | Balance | Rate | Term (Mos.) | DSCR | Debt Yield | LTV | LTV | |||||||||
| 2,051,749 - 5,000,000 | 10 | $37,028,083 | 4.2% | 4.8457% | 104 | 1.59x | 11.2% | 65.6% | 58.0% | |||||||||
| 5,000,001 - 10,000,000 | 14 | $99,462,275 | 11.2% | 4.5316% | 115 | 1.72x | 10.8% | 67.3% | 57.4% | |||||||||
| 10,000,001 - 15,000,000 | 6 | $81,814,648 | 9.2% | 4.7653% | 116 | 1.62x | 10.6% | 66.0% | 57.2% | |||||||||
| 15,000,001 - 20,000,000 | 6 | $113,047,250 | 12.8% | 4.2714% | 117 | 2.50x | 11.8% | 56.5% | 53.2% | |||||||||
| 20,000,001 - 25,000,000 | 1 | $24,900,559 | 2.8% | 4.1680% | 117 | 2.55x | 16.3% | 46.8% | 37.6% | |||||||||
| 25,000,001 - 50,000,000 | 6 | $192,107,031 | 21.7% | 4.5853% | 119 | 1.77x | 12.0% | 64.8% | 53.5% | |||||||||
| 50,000,001 - 77,500,000 | 5 | $336,875,000 | 38.1% | 3.5266% | 119 | 3.54x | 13.2% | 47.1% | 44.3% | |||||||||
| Total: | 48 | $885,234,845 | 100.0% | 4.1521% | 117 | 2.53x | 12.3% | 56.9% | 50.5% | |||||||||
| Minimum: $2,051,749 | ||||||||||||||||||
| Maximum: $77,500,000 | ||||||||||||||||||
| Average: $18,442,393 |
Annex A-2
Mortgage Pool Information
States
| Percent by | Weighted | Weighted | Weighted | Weighted | Weighted | Weighted | ||||||||||||
| Aggregate | Aggregate | Average | Average | Average | Average | Average | Average | |||||||||||
| No. of | Cut-off Date | Cut-off Date | Mortgage | Remaining | U/W NCF | U/W NOI | Cut-off Date | Maturity Date | ||||||||||
| State | Mtg. Properties | Balance | Balance | Rate | Term (Mos.) | DSCR | Debt Yield | LTV | LTV | |||||||||
| Florida | 7 | $171,564,996 | 19.4% | 4.5515% | 119 | 1.63x | 11.1% | 66.6% | 55.9% | |||||||||
| Michigan | 5 | $104,666,628 | 11.8% | 3.6921% | 120 | 2.76x | 11.3% | 55.7% | 51.6% | |||||||||
| Ohio | 5 | $91,925,000 | 10.4% | 3.8421% | 115 | 3.58x | 14.8% | 36.0% | 34.7% | |||||||||
| Massachusetts | 2 | $90,306,002 | 10.2% | 2.9924% | 119 | 5.75x | 17.7% | 37.1% | 35.8% | |||||||||
| California | 5 | $61,447,250 | 6.9% | 4.5974% | 116 | 1.68x | 9.7% | 67.5% | 60.6% | |||||||||
| Delaware | 1 | $54,375,000 | 6.1% | 4.2730% | 119 | 1.62x | 10.4% | 64.7% | 59.1% | |||||||||
| District of Columbia | 2 | $46,591,122 | 5.3% | 3.9512% | 119 | 3.13x | 15.7% | 42.1% | 36.5% | |||||||||
| South Carolina | 5 | $42,632,668 | 4.8% | 4.1309% | 119 | 1.71x | 10.4% | 65.4% | 56.1% | |||||||||
| Pennsylvania | 4 | $35,416,714 | 4.0% | 4.6645% | 119 | 1.61x | 10.9% | 71.2% | 58.1% | |||||||||
| Virginia | 3 | $25,042,790 | 2.8% | 5.1573% | 105 | 1.39x | 11.5% | 59.2% | 47.4% | |||||||||
| Nevada | 1 | $20,000,000 | 2.3% | 3.7440% | 118 | 3.28x | 12.9% | 34.8% | 34.8% | |||||||||
| Oregon | 1 | $19,800,000 | 2.2% | 5.0500% | 112 | 1.20x | 8.3% | 75.0% | 65.1% | |||||||||
| Tennessee | 3 | $19,000,000 | 2.1% | 4.2800% | 119 | 2.16x | 11.6% | 62.5% | 62.5% | |||||||||
| Arizona | 2 | $16,800,000 | 1.9% | 4.2383% | 98 | 2.61x | 12.0% | 56.9% | 56.9% | |||||||||
| Georgia | 2 | $14,874,390 | 1.7% | 4.2796% | 119 | 2.75x | 14.9% | 57.9% | 55.0% | |||||||||
| North Carolina | 1 | $13,955,202 | 1.6% | 4.8000% | 118 | 1.72x | 13.0% | 64.3% | 48.1% | |||||||||
| Texas | 1 | $13,800,000 | 1.6% | 4.1500% | 120 | 1.42x | 8.6% | 75.0% | 65.2% | |||||||||
| New York | 2 | $7,911,333 | 0.9% | 4.9872% | 118 | 1.36x | 9.1% | 71.9% | 61.5% | |||||||||
| Washington | 1 | $7,500,000 | 0.8% | 4.8000% | 120 | 1.35x | 8.9% | 71.8% | 61.9% | |||||||||
| Colorado | 1 | $7,000,000 | 0.8% | 4.3700% | 120 | 1.35x | 8.8% | 64.2% | 51.8% | |||||||||
| Indiana | 1 | $6,975,750 | 0.8% | 4.7800% | 120 | 1.51x | 10.2% | 69.8% | 58.6% | |||||||||
| Wisconsin | 1 | $6,250,000 | 0.7% | 4.0000% | 120 | 1.74x | 10.8% | 67.4% | 58.4% | |||||||||
| Illinois | 1 | $4,600,000 | 0.5% | 5.1800% | 119 | 1.30x | 9.0% | 72.6% | 61.7% | |||||||||
| Missouri | 1 | $2,800,000 | 0.3% | 4.2500% | 120 | 2.44x | 16.6% | 50.0% | 40.2% | |||||||||
| Total: | 58 | $885,234,845 | 100.0% | 4.1521% | 117 | 2.53x | 12.3% | 56.9% | 50.5% |
Annex A-2
Mortgage Pool Information
Property Types
| Percent by | Weighted | Weighted | Weighted | Weighted | Weighted | Weighted | ||||||||||||
| Aggregate | Aggregate | Average | Average | Average | Average | Average | Average | |||||||||||
| No. of | Cut-off Date | Cut-off Date | Mortgage | Remaining | U/W NCF | U/W NOI | Cut-off Date | Maturity Date | ||||||||||
| Property Type | Mtg. Properties | Balance | Balance | Rate | Term (Mos.) | DSCR | Debt Yield | LTV | LTV | |||||||||
| Retail | ||||||||||||||||||
| Super Regional Mall | 2 | $145,000,000 | 16.4% | 3.4595% | 119 | 3.69x | 13.6% | 38.4% | 38.4% | |||||||||
| Anchored | 7 | $117,093,047 | 13.2% | 4.2572% | 116 | 1.74x | 9.9% | 63.1% | 54.6% | |||||||||
| Unanchored | 7 | $51,225,750 | 5.8% | 4.8132% | 117 | 1.42x | 9.6% | 70.4% | 60.7% | |||||||||
| Outlet Center | 3 | $24,900,559 | 2.8% | 4.1680% | 117 | 2.55x | 16.3% | 46.8% | 37.6% | |||||||||
| Shadow Anchored | 2 | $14,150,000 | 1.6% | 4.1578% | 120 | 1.50x | 9.4% | 66.3% | 57.0% | |||||||||
| Specialty | 1 | $10,000,000 | 1.1% | 4.2100% | 84 | 2.95x | 13.8% | 52.4% | 52.4% | |||||||||
| Subtotal: | 22 | $362,369,356 | 40.9% | 4.0053% | 117 | 2.55x | 11.9% | 53.0% | 47.9% | |||||||||
| Office | ||||||||||||||||||
| Suburban | 10 | $189,402,403 | 21.4% | 4.5734% | 116 | 1.59x | 10.2% | 65.2% | 57.0% | |||||||||
| CBD | 2 | $97,500,000 | 11.0% | 2.9657% | 119 | 5.88x | 17.8% | 34.9% | 34.9% | |||||||||
| Subtotal: | 12 | $286,902,403 | 32.4% | 4.0270% | 117 | 3.05x | 12.8% | 54.9% | 49.5% | |||||||||
| Hospitality | ||||||||||||||||||
| Full Service | 2 | $64,468,073 | 7.3% | 4.7569% | 118 | 2.20x | 15.4% | 59.4% | 48.7% | |||||||||
| Select Service | 4 | $36,491,595 | 4.1% | 4.7080% | 118 | 1.94x | 12.6% | 67.0% | 56.6% | |||||||||
| Limited Service | 1 | $13,955,202 | 1.6% | 4.8000% | 118 | 1.72x | 13.0% | 64.3% | 48.1% | |||||||||
| Extended Stay | 1 | $9,660,000 | 1.1% | 4.6000% | 120 | 1.68x | 11.5% | 70.0% | 56.9% | |||||||||
| Subtotal: | 8 | $124,574,870 | 14.1% | 4.7352% | 118 | 2.03x | 14.0% | 63.0% | 51.6% | |||||||||
| Multifamily | ||||||||||||||||||
| Student Housing | 2 | $33,625,000 | 3.8% | 4.1647% | 119 | 1.44x | 8.6% | 69.9% | 60.8% | |||||||||
| Garden | 2 | $20,085,716 | 2.3% | 4.3315% | 119 | 1.45x | 9.1% | 74.9% | 63.9% | |||||||||
| Subtotal: | 4 | $53,710,716 | 6.1% | 4.2271% | 119 | 1.45x | 8.8% | 71.8% | 62.0% | |||||||||
| Industrial | ||||||||||||||||||
| Mixed Use | 3 | $19,000,000 | 2.1% | 4.2800% | 119 | 2.16x | 11.6% | 62.5% | 62.5% | |||||||||
| Flex | 2 | $6,815,000 | 0.8% | 4.7204% | 101 | 1.81x | 13.7% | 65.3% | 58.7% | |||||||||
| Subtotal: | 5 | $25,815,000 | 2.9% | 4.3963% | 114 | 2.07x | 12.2% | 63.2% | 61.5% | |||||||||
| Self Storage | ||||||||||||||||||
| Self Storage | 5 | $16,862,500 | 1.9% | 4.2352% | 120 | 1.92x | 10.2% | 64.3% | 59.6% | |||||||||
| Subtotal: | 5 | $16,862,500 | 1.9% | 4.2352% | 120 | 1.92x | 10.2% | 64.3% | 59.6% | |||||||||
| Mixed Use | ||||||||||||||||||
| Retail/Office | 1 | $8,300,000 | 0.9% | 4.4340% | 120 | 1.55x | 11.3% | 64.8% | 47.6% | |||||||||
| Office/Retail | 1 | $6,700,000 | 0.8% | 4.5000% | 119 | 1.80x | 11.7% | 72.0% | 61.7% | |||||||||
| Subtotal: | 2 | $15,000,000 | 1.7% | 4.4635% | 120 | 1.66x | 11.5% | 68.0% | 53.9% | |||||||||
| Total: | 58 | $885,234,845 | 100.0% | 4.1521% | 117 | 2.53x | 12.3% | 56.9% | 50.5% |
Annex A-2
Mortgage Pool Information
Mortgage Rates
| Percent by | Weighted | Weighted | Weighted | Weighted | Weighted | Weighted | ||||||||||||
| Aggregate | Aggregate | Average | Average | Average | Average | Average | Average | |||||||||||
| No. of | Cut-off Date | Cut-off Date | Mortgage | Remaining | U/W NCF | U/W NOI | Cut-off Date | Maturity Date | ||||||||||
| Mortgage Rate (%) | Mtg. Loans | Balance | Balance | Rate | Term (Mos.) | DSCR | Debt Yield | LTV | LTV | |||||||||
| 2.7982 - 4.5000 | 25 | $611,193,060 | 69.0% | 3.8042% | 119 | 2.97x | 12.8% | 52.0% | 47.6% | |||||||||
| 4.5001 - 5.0000 | 13 | $146,095,157 | 16.5% | 4.7518% | 117 | 1.56x | 10.8% | 66.5% | 54.9% | |||||||||
| 5.0001 - 5.4200 | 10 | $127,946,628 | 14.5% | 5.1290% | 111 | 1.57x | 11.5% | 69.5% | 59.3% | |||||||||
| Total: | 48 | $885,234,845 | 100.0% | 4.1521% | 117 | 2.53x | 12.3% | 56.9% | 50.5% | |||||||||
| Minimum: 2.7982% | ||||||||||||||||||
| Maximum: 5.4200% | ||||||||||||||||||
| Weighted Average: 4.1521% |
Original Terms to Maturity
| Percent by | Weighted | Weighted | Weighted | Weighted | Weighted | Weighted | ||||||||||||
| Aggregate | Aggregate | Average | Average | Average | Average | Average | Average | |||||||||||
| No. of | Cut-off Date | Cut-off Date | Mortgage | Remaining | U/W NCF | U/W NOI | Cut-off Date | Maturity Date | ||||||||||
| Original Term to Maturity (mos.) | Mtg. Loans | Balance | Balance | Rate | Term (Mos.) | DSCR | Debt Yield | LTV | LTV | |||||||||
| 60 | 2 | $6,701,749 | 0.8% | 5.2582% | 56 | 1.53x | 12.3% | 64.8% | 59.8% | |||||||||
| 84 | 2 | $13,285,000 | 1.5% | 4.3833% | 84 | 2.66x | 13.7% | 55.9% | 54.6% | |||||||||
| 120 | 44 | $865,248,095 | 97.7% | 4.1400% | 118 | 2.54x | 12.2% | 56.9% | 50.4% | |||||||||
| Total: | 48 | $885,234,845 | 100.0% | 4.1521% | 117 | 2.53x | 12.3% | 56.9% | 50.5% | |||||||||
| Minimum: 60 mos. | ||||||||||||||||||
| Maximum: 120 mos. | ||||||||||||||||||
| Weighted Average: 119 mos. |
Annex A-2
Mortgage Pool Information
| Remaining Terms to Maturity | ||||||||||||||||||
| Percent by | Weighted | Weighted | Weighted | Weighted | Weighted | Weighted | ||||||||||||
| Aggregate | Aggregate | Average | Average | Average | Average | Average | Average | |||||||||||
| No. of | Cut-off Date | Cut-off Date | Mortgage | Remaining | U/W NCF | U/W NOI | Cut-off Date | Maturity Date | ||||||||||
| Remaining Term to Maturity (mos.) | Mtg. Loans | Balance | Balance | Rate | Term (Mos.) | DSCR | Debt Yield | LTV | LTV | |||||||||
| 50 - 84 | 4 | $19,986,749 | 2.3% | 4.6767% | 74 | 2.28x | 13.2% | 58.9% | 56.3% | |||||||||
| 100 - 120 | 44 | $865,248,095 | 97.7% | 4.1400% | 118 | 2.54x | 12.2% | 56.9% | 50.4% | |||||||||
| Total: | 48 | $885,234,845 | 100.0% | 4.1521% | 117 | 2.53x | 12.3% | 56.9% | 50.5% | |||||||||
| Minimum: 50 mos. |
| Maximum: 120 mos. |
| Weighted Average: 117 mos. |
| Original Amortization Terms | ||||||||||||||||||
| Percent by | Weighted | Weighted | Weighted | Weighted | Weighted | Weighted | ||||||||||||
| Aggregate | Aggregate | Average | Average | Average | Average | Average | Average | |||||||||||
| No. of | Cut-off Date | Cut-off Date | Mortgage | Remaining | U/W NCF | U/W NOI | Cut-off Date | Maturity Date | ||||||||||
| Original Amortization Term (mos.) | Mtg. Loans | Balance | Balance | Rate | Term (Mos.) | DSCR | Debt Yield | LTV | LTV | |||||||||
| Interest Only | 10 | $325,297,250 | 36.7% | 3.4704% | 118 | 4.09x | 14.5% | 41.6% | 41.6% | |||||||||
| 240 | 1 | $2,051,749 | 0.2% | 5.3900% | 50 | 1.25x | 14.2% | 55.5% | 48.1% | |||||||||
| 276 | 1 | $8,181,595 | 0.9% | 5.4200% | 112 | 1.38x | 13.2% | 65.5% | 47.9% | |||||||||
| 300 | 2 | $22,255,202 | 2.5% | 4.6635% | 119 | 1.66x | 12.4% | 64.5% | 47.9% | |||||||||
| 360 | 34 | $527,449,048 | 59.6% | 4.5265% | 117 | 1.63x | 10.8% | 65.9% | 56.1% | |||||||||
| Total: | 48 | $885,234,845 | 100.0% | 4.1521% | 117 | 2.53x | 12.3% | 56.9% | 50.5% | |||||||||
| Minimum: 240 mos. |
| Maximum: 360 mos. |
| Weighted Average: 356 mos. |
Annex A-2
Mortgage Pool Information
| Remaining Amortization Terms | ||||||||||||||||||
| Percent by | Weighted | Weighted | Weighted | Weighted | Weighted | Weighted | ||||||||||||
| Aggregate | Aggregate | Average | Average | Average | Average | Average | Average | |||||||||||
| No. of | Cut-off Date | Cut-off Date | Mortgage | Remaining | U/W NCF | U/W NOI | Cut-off Date | Maturity Date | ||||||||||
| Remaining Amortization Term (mos.) | Mtg. Loans | Balance | Balance | Rate | Term (Mos.) | DSCR | Debt Yield | LTV | LTV | |||||||||
| Interest Only | 10 | $325,297,250 | 36.7% | 3.4704% | 118 | 4.09x | 14.5% | 41.6% | 41.6% | |||||||||
| 230 - 270 | 2 | $10,233,345 | 1.2% | 5.4140% | 100 | 1.35x | 13.4% | 63.5% | 47.9% | |||||||||
| 280 - 300 | 2 | $22,255,202 | 2.5% | 4.6635% | 119 | 1.66x | 12.4% | 64.5% | 47.9% | |||||||||
| 301 - 360 | 34 | $527,449,048 | 59.6% | 4.5265% | 117 | 1.63x | 10.8% | 65.9% | 56.1% | |||||||||
| Total: | 48 | $885,234,845 | 100.0% | 4.1521% | 117 | 2.53x | 12.3% | 56.9% | 50.5% | |||||||||
| Minimum: 230 mos. |
| Maximum: 360 mos. |
| Weighted Average: 355 mos. |
| Debt Service Coverage Ratios | ||||||||||||||||||
| Percent by | Weighted | Weighted | Weighted | Weighted | Weighted | Weighted | ||||||||||||
| Aggregate | Aggregate | Average | Average | Average | Average | Average | Average | |||||||||||
| No. of | Cut-off Date | Cut-off Date | Mortgage | Remaining | U/W NCF | U/W NOI | Cut-off Date | Maturity Date | ||||||||||
| Debt Service Coverage Ratio (x) | Mtg. Loans | Balance | Balance | Rate | Term (Mos.) | DSCR | Debt Yield | LTV | LTV | |||||||||
| 1.18 - 1.30 | 5 | $57,951,749 | 6.5% | 5.0718% | 110 | 1.23x | 8.6% | 71.6% | 62.7% | |||||||||
| 1.31 - 1.40 | 7 | $98,289,642 | 11.1% | 4.3266% | 119 | 1.38x | 9.2% | 68.2% | 56.8% | |||||||||
| 1.41 - 1.50 | 6 | $82,369,446 | 9.3% | 4.5243% | 117 | 1.45x | 9.4% | 68.2% | 59.0% | |||||||||
| 1.51 - 1.60 | 6 | $96,380,424 | 10.9% | 4.6058% | 119 | 1.54x | 10.4% | 66.2% | 53.9% | |||||||||
| 1.61 - 1.80 | 8 | $124,085,202 | 14.0% | 4.4368% | 116 | 1.67x | 11.1% | 66.8% | 57.9% | |||||||||
| 1.81 - 2.00 | 2 | $8,692,500 | 1.0% | 4.3731% | 119 | 1.94x | 13.0% | 65.9% | 56.8% | |||||||||
| 2.01 - 2.25 | 4 | $90,268,073 | 10.2% | 4.6206% | 118 | 2.19x | 14.2% | 60.3% | 52.7% | |||||||||
| 2.26 - 2.50 | 1 | $2,800,000 | 0.3% | 4.2500% | 120 | 2.44x | 16.6% | 50.0% | 40.2% | |||||||||
| 2.51 - 3.00 | 4 | $61,897,809 | 7.0% | 4.1453% | 113 | 2.67x | 14.2% | 55.3% | 51.6% | |||||||||
| 3.01 - 6.28 | 5 | $262,500,000 | 29.7% | 3.2978% | 119 | 4.47x | 15.1% | 36.9% | 36.9% | |||||||||
| Total: | 48 | $885,234,845 | 100.0% | 4.1521% | 117 | 2.53x | 12.3% | 56.9% | 50.5% | |||||||||
| Minimum: 1.18x |
| Maximum: 6.28x |
| Weighted Average: 2.53x |
Annex A-2
Mortgage Pool Information
| Cut-off Date Loan-to-Value Ratios | ||||||||||||||||||
| Percent by | Weighted | Weighted | Weighted | Weighted | Weighted | Weighted | ||||||||||||
| Aggregate | Aggregate | Average | Average | Average | Average | Average | Average | |||||||||||
| No. of | Cut-off Date | Cut-off Date | Mortgage | Remaining | U/W NCF | U/W NOI | Cut-off Date | Maturity Date | ||||||||||
| Cut-off Date Loan-to-Value Ratio (%) | Mtg. Loans | Balance | Balance | Rate | Term (Mos.) | DSCR | Debt Yield | LTV | LTV | |||||||||
| 28.5 - 40.0 | 4 | $192,500,000 | 21.7% | 3.2999% | 119 | 4.88x | 16.4% | 32.4% | 32.4% | |||||||||
| 40.1 - 50.0 | 4 | $124,291,681 | 14.0% | 3.6842% | 119 | 2.93x | 13.3% | 48.7% | 44.5% | |||||||||
| 50.1 - 60.0 | 3 | $26,861,195 | 3.0% | 4.7247% | 95 | 1.98x | 11.8% | 54.8% | 49.1% | |||||||||
| 60.1 - 65.0 | 12 | $190,109,782 | 21.5% | 4.4110% | 119 | 1.82x | 11.0% | 63.9% | 57.0% | |||||||||
| 65.1 - 70.0 | 13 | $239,218,424 | 27.0% | 4.4838% | 117 | 1.60x | 10.8% | 67.9% | 57.3% | |||||||||
| 70.1 - 75.5 | 12 | $112,253,763 | 12.7% | 4.8490% | 116 | 1.38x | 9.2% | 73.3% | 63.0% | |||||||||
| Total: | 48 | $885,234,845 | 100.0% | 4.1521% | 117 | 2.53x | 12.3% | 56.9% | 50.5% | |||||||||
| Minimum: 28.5% |
| Maximum: 75.5% |
| Weighted Average: 56.9% |
| Maturity Date Loan-to-Value Ratios | ||||||||||||||||||
| Percent by | Weighted | Weighted | Weighted | Weighted | Weighted | Weighted | ||||||||||||
| Aggregate | Aggregate | Average | Average | Average | Average | Average | Average | |||||||||||
| No. of | Cut-off Date | Cut-off Date | Mortgage | Remaining | U/W NCF | U/W NOI | Cut-off Date | Maturity Date | ||||||||||
| Maturity Date Loan-to-Value Ratio (%) | Mtg. Loans | Balance | Balance | Rate | Term (Mos.) | DSCR | Debt Yield | LTV | LTV | |||||||||
| 28.5 - 40.0 | 6 | $243,991,681 | 27.6% | 3.4870% | 119 | 4.36x | 16.1% | 35.7% | 33.7% | |||||||||
| 40.1 - 50.0 | 7 | $120,097,992 | 13.6% | 3.9574% | 117 | 2.60x | 11.9% | 54.1% | 48.3% | |||||||||
| 50.1 - 55.0 | 3 | $58,952,330 | 6.7% | 4.5891% | 113 | 1.76x | 10.9% | 61.8% | 52.0% | |||||||||
| 55.1 - 60.0 | 11 | $238,056,828 | 26.9% | 4.4147% | 119 | 1.66x | 11.1% | 66.8% | 57.0% | |||||||||
| 60.1 - 65.0 | 19 | $190,536,013 | 21.5% | 4.5699% | 115 | 1.71x | 10.0% | 68.8% | 62.2% | |||||||||
| 65.1 - 65.2 | 2 | $33,600,000 | 3.8% | 4.6804% | 115 | 1.29x | 8.4% | 75.0% | 65.1% | |||||||||
| Total: | 48 | $885,234,845 | 100.0% | 4.1521% | 117 | 2.53x | 12.3% | 56.9% | 50.5% | |||||||||
| Minimum: 28.5% |
| Maximum: 65.2% |
| Weighted Average: 50.5% |
Annex A-2
Mortgage Pool Information
| Amortization Type | ||||||||||||||||||
| Percent by | Weighted | Weighted | Weighted | Weighted | Weighted | Weighted | ||||||||||||
| Aggregate | Aggregate | Average | Average | Average | Average | Average | Average | |||||||||||
| No. of | Cut-off Date | Cut-off Date | Mortgage | Remaining | U/W NCF | U/W NOI | Cut-off Date | Maturity Date | ||||||||||
| Amortization Type | Mtg. Loans | Balance | Balance | Rate | Term (Mos.) | DSCR | Debt Yield | LTV | LTV | |||||||||
| Interest Only | 10 | $325,297,250 | 36.7% | 3.4704% | 118 | 4.09x | 14.5% | 41.6% | 41.6% | |||||||||
| Partial Interest Only | 22 | $297,563,250 | 33.6% | 4.4351% | 117 | 1.47x | 9.5% | 68.8% | 60.2% | |||||||||
| Amortizing Balloon | 16 | $262,374,345 | 29.6% | 4.6763% | 117 | 1.81x | 12.6% | 62.5% | 50.5% | |||||||||
| Total: | 48 | $885,234,845 | 100.0% | 4.1521% | 117 | 2.53x | 12.3% | 56.9% | 50.5% | |||||||||
| Underwritten NOI Debt Yield | ||||||||||||||||||
| Percent by | Weighted | Weighted | Weighted | Weighted | Weighted | Weighted | ||||||||||||
| Aggregate | Aggregate | Average | Average | Average | Average | Average | Average | |||||||||||
| No. of | Cut-off Date | Cut-off Date | Mortgage | Remaining | U/W NCF | U/W NOI | Cut-off Date | Maturity Date | ||||||||||
| Underwritten NOI Debt Yield (%) | Mtg. Loans | Balance | Balance | Rate | Term (Mos.) | DSCR | Debt Yield | LTV | LTV | |||||||||
| 8.0 - 8.0 | 1 | $14,000,000 | 1.6% | 5.0700% | 112 | 1.18x | 8.0% | 67.2% | 61.0% | |||||||||
| 8.1 - 9.0 | 10 | $171,521,714 | 19.4% | 4.3764% | 118 | 1.36x | 8.7% | 70.4% | 60.2% | |||||||||
| 9.1 - 9.5 | 3 | $15,986,333 | 1.8% | 4.4949% | 119 | 1.75x | 9.4% | 65.6% | 60.7% | |||||||||
| 9.6 - 10.0 | 2 | $10,450,000 | 1.2% | 4.2816% | 120 | 1.58x | 9.9% | 66.0% | 60.2% | |||||||||
| 10.1 - 11.0 | 9 | $179,074,870 | 20.2% | 4.5792% | 118 | 1.55x | 10.4% | 65.7% | 56.2% | |||||||||
| 11.1 - 12.0 | 7 | $153,117,250 | 17.3% | 3.8972% | 118 | 2.60x | 11.6% | 58.7% | 54.9% | |||||||||
| 12.1 - 14.0 | 6 | $60,584,297 | 6.8% | 4.3975% | 110 | 2.42x | 13.1% | 53.1% | 45.9% | |||||||||
| 14.1 - 16.0 | 5 | $117,422,872 | 13.3% | 3.8703% | 118 | 3.40x | 15.0% | 37.7% | 35.2% | |||||||||
| 16.1 - 17.9 | 5 | $163,077,509 | 18.4% | 3.6775% | 118 | 4.45x | 17.2% | 44.3% | 40.1% | |||||||||
| Total: | 48 | $885,234,845 | 100.0% | 4.1521% | 117 | 2.53x | 12.3% | 56.9% | 50.5% | |||||||||
| Minimum: 8.0% |
| Maximum: 17.9% |
| Weighted Average: 12.3% |
| Prepayment of Collateral by Prepayment Restriction (%)(1)(2)(3)(4) | |||||
| Prepayment Restrictions | September 2016 | September 2017 | September 2018 | September 2019 | September 2020 |
| Locked Out | 91.3% | 91.3% | 67.5% | 67.5% | 67.4% |
| Yield Maintenance Total | 8.7% | 8.7% | 32.5% | 32.5% | 32.4% |
| Open | 0.0% | 0.0% | 0.0% | 0.0% | 0.2% |
| TOTAL | 100.0% | 100.0% | 100.0% | 100.0% | 100.0% |
| Pool Balance Outstanding | $885,234,845 | $880,992,717 | $875,906,240 | $868,854,872 | $860,409,315 |
| % Initial Pool Balance | 100.0% | 99.5% | 98.9% | 98.1% | 97.2% |
| Prepayment Restrictions | September 2021 | September 2022 | September 2023 | September 2024 | September 2025 |
| Locked Out | 66.1% | 65.9% | 66.4% | 66.2% | 60.3% |
| Yield Maintenance Total | 32.8% | 32.9% | 33.6% | 33.8% | 32.4% |
| Open | 1.2% | 1.2% | 0.0% | 0.0% | 7.3% |
| TOTAL | 100.0% | 100.0% | 100.0% | 100.0% | 100.0% |
| Pool Balance Outstanding | $845,292,042 | $834,917,915 | $811,039,944 | $799,791,482 | $787,950,872 |
| % Initial Pool Balance | 95.5% | 94.3% | 91.6% | 90.3% | 89.0% |
| Prepayment Restrictions | September 2026 | ||||
| Locked Out | 0.0% | ||||
| Yield Maintenance Total | 0.0% | ||||
| Open | 100.0% | ||||
| TOTAL | 100.0% | ||||
| Pool Balance Outstanding | $60,846,023 | ||||
| % Initial Pool Balance | 6.9% | ||||
(1) The analysis is based on Structuring Assumptions set forth under “Yield and Maturity Considerations—Weighted Average Life” in the Preliminary Prospectus and a 0% CPR as discussed in the Preliminary Prospectus. | |||||
| (2) See description of Yield Maintenance under “Description of the Mortgage Pool—Certain Terms of the Mortgage Loans—Prepayment Protections and Certain Involuntary Prepayments” in the Preliminary Prospectus and Annex A-1 to the Preliminary Prospectus. | |||||
| (3) Mortgage loans modeled as Yield Maintenance include mortgage loans characterized by YM2, YM1, YM0.5, DEF/YM0.5 and DEF/YM1 on Annex A-1 to the Preliminary Prospectus. | |||||
| (4) There may be limited exceptions to the indicated prepayment restrictions arising out of casualties, condemnations, property releases and the application of earnout reserves | |||||
Exhibit E
Revised Annex E
Month | Class A-SB Planned |
| 0 | 46,900,000.00 |
| 1 | 46,900,000.00 |
| 2 | 46,900,000.00 |
| 3 | 46,900,000.00 |
| 4 | 46,900,000.00 |
| 5 | 46,900,000.00 |
| 6 | 46,900,000.00 |
| 7 | 46,900,000.00 |
| 8 | 46,900,000.00 |
| 9 | 46,900,000.00 |
| 10 | 46,900,000.00 |
| 11 | 46,900,000.00 |
| 12 | 46,900,000.00 |
| 13 | 46,900,000.00 |
| 14 | 46,900,000.00 |
| 15 | 46,900,000.00 |
| 16 | 46,900,000.00 |
| 17 | 46,900,000.00 |
| 18 | 46,900,000.00 |
| 19 | 46,900,000.00 |
| 20 | 46,900,000.00 |
| 21 | 46,900,000.00 |
| 22 | 46,900,000.00 |
| 23 | 46,900,000.00 |
| 24 | 46,900,000.00 |
| 25 | 46,900,000.00 |
| 26 | 46,900,000.00 |
| 27 | 46,900,000.00 |
| 28 | 46,900,000.00 |
| 29 | 46,900,000.00 |
| 30 | 46,900,000.00 |
| 31 | 46,900,000.00 |
| 32 | 46,900,000.00 |
| 33 | 46,900,000.00 |
| 34 | 46,900,000.00 |
| 35 | 46,900,000.00 |
| 36 | 46,900,000.00 |
| 37 | 46,900,000.00 |
| 38 | 46,900,000.00 |
| 39 | 46,900,000.00 |
| 40 | 46,900,000.00 |
| 41 | 46,900,000.00 |
| 42 | 46,900,000.00 |
| 43 | 46,900,000.00 |
| 44 | 46,900,000.00 |
| 45 | 46,900,000.00 |
| 46 | 46,900,000.00 |
| 47 | 46,900,000.00 |
| 48 | 46,900,000.00 |
| 49 | 46,900,000.00 |
| 50 | 46,900,000.00 |
| 51 | 46,900,000.00 |
| 52 | 46,900,000.00 |
| 53 | 46,900,000.00 |
| 54 | 46,900,000.00 |
| 55 | 46,900,000.00 |
| 56 | 46,900,000.00 |
| 57 | 46,900,000.00 |
| 58 | 46,857,348.07 |
| 59 | 46,142,753.77 |
| 60 | 45,357,197.35 |
Month | Class A-SB Planned |
| 61 | 44,483,636.98 |
| 62 | 43,672,168.73 |
| 63 | 42,792,237.60 |
| 64 | 41,974,161.14 |
| 65 | 41,152,889.34 |
| 66 | 40,133,481.35 |
| 67 | 39,305,013.42 |
| 68 | 38,408,566.16 |
| 69 | 37,573,357.93 |
| 70 | 36,670,362.09 |
| 71 | 35,828,361.18 |
| 72 | 34,983,070.65 |
| 73 | 34,070,279.29 |
| 74 | 33,218,117.75 |
| 75 | 32,298,650.82 |
| 76 | 31,439,564.87 |
| 77 | 30,577,121.96 |
| 78 | 29,520,380.60 |
| 79 | 28,650,432.14 |
| 80 | 27,713,684.20 |
| 81 | 26,836,673.08 |
| 82 | 25,893,063.36 |
| 83 | 25,013,596.04 |
| 84 | 24,105,099.15 |
| 85 | 23,156,329.23 |
| 86 | 22,266,267.59 |
| 87 | 21,310,542.96 |
| 88 | 20,413,267.37 |
| 89 | 19,512,485.60 |
| 90 | 18,484,507.69 |
| 91 | 17,576,185.27 |
| 92 | 16,602,719.26 |
| 93 | 15,687,040.97 |
| 94 | 14,706,428.30 |
| 95 | 13,783,336.96 |
| 96 | 12,856,637.67 |
| 97 | 11,865,317.47 |
| 98 | 10,931,119.47 |
| 99 | 9,932,513.84 |
| 100 | 8,990,758.83 |
| 101 | 8,045,322.28 |
| 102 | 6,915,013.92 |
| 103 | 5,961,457.62 |
| 104 | 4,944,044.27 |
| 105 | 3,982,780.44 |
| 106 | 2,957,878.78 |
| 107 | 1,988,847.49 |
| 108 | 1,016,027.08 |
| 109 and thereafter | 0.00 |
Exhibit E