10-D 1 final_2006-02.txt 1 UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 10-D ASSET-BACKED ISSUER DISTRIBUTION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the monthly distribution period from May 1, 2006 to May 31, 2006 Commission File Number of issuing entity: 333-130333-02 ----------------- CITICORP MORTGAGE SECURITIES TRUST, SERIES 2006-02 ------------------------------------------------------------------------ (Exact name of issuing entity as specified in its charter) Commission File Number of depositor: 333-130333 ---------------------- CITICORP MORTGAGE SECURITIES, INC. ------------------------------------------------------------------------ (Exact name of depositor as specified in its charter) CITIMORTGAGE, INC. ------------------------------------------------------------------------- (Exact name of sponsor as specified in its charter) New York ----------------------------------------------------------------------------- (State or other jurisdiction of incorporation or organization of the issuing entity) 02-0776213 and 02-0776212 and 02-0776214 ---------------------------------------------------------------------------- (I.R.S. Employer Identification No.) 1000 Technology Drive, O'Fallon, Missouri 63368-2240 ---------------------------------------- ---------- (Address of principal executive offices of the issuing entity) (Zip Code) (636) 261-1300 ------------------------------------------------------------------------- (Telephone number, including area code) -------------------------------------------------------------------------- (Former name, former address. if changed since last report.) Registered/reporting pursuant to (check one) Title Name of exchange of Class Section 12(b) Section 12(g) Section 15(d) (if Section 12(b)) Class II-A1 { } { } {X} _____________ Class IIA-PO { } { } {X} _____________ Class IA-1 { } { } {X} _____________ Class IA-2 { } { } {X} _____________ Class IA-3 { } { } {X} _____________ Class IA-4 { } { } {X} _____________ Class IA-5 { } { } {X} _____________ Class IA-6 { } { } {X} _____________ Class IA-7 { } { } {X} _____________ Class IA-8 { } { } {X} _____________ Class IA-9 { } { } {X} _____________ Class IA-10 { } { } {X} _____________ Class IA-11 { } { } {X} _____________ Class IA-12 { } { } {X} _____________ Class IA-13 { } { } {X} _____________ Class IA-14 { } { } {X} _____________ Class IA-15 { } { } {X} _____________ Class IA-16 { } { } {X} _____________ Class IA-17 { } { } {X} _____________ Class IA-PO { } { } {X} _____________ Class III-A1 { } { } {X} _____________ Class IIIA-PO { } { } {X} _____________ Class B-1 { } { } {X} _____________ Class B-2 { } { } {X} _____________ Class B-3 { } { } {X} _____________ Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes{X} No{ } 1 2 Part I - DISTRIBUTION INFORMATION Item 1. Distribution and Pool Performance Information On June 26, 2006 a distribution was made to holders of Citicorp Mortgage Securities, Inc. REMIC Pass-Through Certificates, Series 2006-02 issued by Citicorp Mortgage Securities Trust, Series 2006-02. The monthly distribution report is attached as an Exhibit to this Form 10-D. Please see Item 9(b), Exhibit 99.1. Part II - OTHER INFORMATION Item 9. Exhibits (a) The following are documents filed as part of this Form 10-D: (99.1) Monthly distribution report for the month of May 2006. (b) Exhibits required to be filed by Form 10-D and Item 601 of Regulation S-K: (4.1) Pooling and Servicing Agreement, dated as of April 01, 2006, among Citicorp Mortgage Securities, Inc., CitiMortgage, Inc., U.S. Bank National Association, and Citibank, N.A. (incorporated by reference to Exhibit 4.1 to the Current Report on Form 8-K/A filed by the issuing entity with the Securities and Exchange Commission on May 15, 2006.) (10.1) Form of Mortgage Loan Purchase Agreement, dated April 01, 2006, between Citicorp Mortgage Securities, Inc. and CitiMortgage, Inc. (incorporated by reference to Exhibit 10.1 to the Current Report on Form 8-K filed by the issuing entity with the Securities and Exchange Commission on May 09, 2006.) (99.1) Monthly distribution report for the month of May 2006. 2 3 SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized. CITICORP MORTGAGE SECURITIES, INC. Depositor By: /s/ Cathy Johnson ------------------------- Cathy Johnson Assistant Vice President Dated: June 26, 2006 3 Exhibit No. Description ----------- ------------- (99.1) Monthly distribution report for the month of May 2006. 4 EXHIBIT 99.1 ------------- Citicorp Mortgage Securities, Inc. Distribution Date Statement to Certificateholders Remic Pass-Through Certificate Series Name: CMSI 2006-02 Payment Date: 06/26/2006 Issuer: Citicorp Mortgage Securities, Inc. Record Date: See footnote Determination Date: 06/16/2006 Distribution Date: 26-Jun-06 Distribution #: 2 W.A.C. 6.18% Trustee U.S. Bank National Association Clare M. O'Brien (617) 603-6402 Bond Administrator CitiMortgage, Inc. Linda Tonioli (636) 261-6229 Paying Agent: Citibank N.A. Nancy Forte (212) 816-5685

6 Citicorp Mortgage Securities, Inc. Distribution Date Statement to Certificate Holders Remic Pass-Through Certificate Series Name: CMSI 2006-02 Payment Date: 06/26/2006

7 Citicorp Mortgage Securities, Inc. Distribution Date Statement to Certificateholders Remic Pass-Through Certificate Series Name: CMSI 2006-02 Payment Date: 06/26/2006

8 Citicorp Mortgage Securities, Inc. Distribution Date Statement to Certificateholders Remic Pass-Through Certificate Series Name: CMSI 2006-02 Payment Date: 06/26/2006

9 Citicorp Mortgage Securities, Inc. Distribution Date Statement to Certificateholders Remic Pass-Through Certificate Series Name: CMSI 2006-02 Payment Date: 06/26/2006 Delinquency Status - Determined by the MBA Method -------------------------------------------------- 30 - 59 days Delq 60+ days Book Value REO ----------------------------------------------------- Number 4 0 0 Amount $2,627,978.03 $0.00 $0.00 Stated Collateral Information ------------------------------- Service Fees Begin Balance Aggregate Adj Balance -------------------------------------------------------------------- $41,638.65 $420,383,198.44 $418,279,992.69 Advances ------------ Voluntary Advances $0.00 Trustee Advances $0.00 Advance Account Advances $0.00 Certificate Account Advances $111,863.63 Summary of Disbursements ------------------------- Withdrawals Remittances Residual and (Deposits) P&I Distributed ----------------------------------------------------------------- $4,181,495.39 $0.00 $0.00 $4,181,495.39 10 Citicorp Mortgage Securities, Inc. Distribution Date Statement to Certificateholders Remic Pass-Through Certificate Series Name: CMSI 2006-02 Payment Date: 06/26/2006 COLLATERAL INFORMATION: GENERAL INFORMATION: AT ISSUE BEGINNING ENDING WAC-SCHED BAL 6.18% 6.18% WAM 333 332 331 AVG LTV 67 67 67 AVG LOAN SIZE $578,883 $577,449 $576,143 # OF LOANS 728 728 726 ACTUAL BALANCE $421,427,006.53 $420,748,967.09 $418,642,931.20 SCHEDULED BALANCE $421,427,006.53 $420,383,198.44 $418,279,992.69 TYPE OF DWELLING UNIT: AT ISSUE CURRENT SNGL FAM DET 84% 84% 2-4 FAMILY 2% 2% TOWNHOUSE 2% 2% CONDOMINIUM 7% 7% COOPERATIVE 5% 5% GEOGRAPHIC DISTRIBUTION: LTV DISTRIBUTION: AT ISSUE CURRENT AT ISSUE CURRENT 65% AND BELOW 37% 36% CA 35% CA 35% 65.01-75% 24% 24% NY 17% NY 17% 75.01-80% 39% 40% FL 6% FL 6% OVER 80% 0% 0% NJ 5% NJ 5% MA 4% MA 4% OTHER 33% OTHER 33% CREDIT ENHANCEMENT: AT ISSUE CURRENT SUBORDINATION 2.85% $12,010,671.00 2.86% $11,981,397.83 CUMULATIVE LOSS REDUCTION $0.00 PREPAYMENT INFORMATION: SCHEDULED PRINCIPAL: $515,766.03 PRINCIPAL PREPAYMENTS: $1,587,439.72 1 MONTH 3 MONTH 12 MONTH CUMULATIVE PRICING SPEED(PSA):300% PREPAYMENT HISTORY(PSA): 500% 0% 0% 375% PREPAYMENT HISTORY(CPR): 4.33% 0.00% 0.00% 2.87% DELINQUENCY (1)

(1) DETERMINED BY THE MBA METHOD. (2) DOES NOT INCLUDE REAL ESTATE OWNED BY THE TRUST. ------------------------------------------------------------------------------- 30 YR REG COLLATERAL INFORMATION: GENERAL INFORMATION: AT ISSUE BEGINNING ENDING WAC-SCHED BAL 6.24% 6.24% WAM 358 357 356 AVG LTV 68 68 68 AVG LOAN SIZE $577,400 $576,801 $575,928 # OF LOANS 489 489 487 ACTUAL BALANCE $282,348,660.73 $282,257,561.01 $280,676,970.91 SCHEDULED BALANCE $282,348,660.73 $282,055,792.94 $280,476,965.23 TYPE OF DWELLING UNIT: AT ISSUE CURRENT SNGL FAM DET 83% 83% 2-4 FAMILY 3% 3% TOWNHOUSE 1% 1% CONDOMINIUM 7% 7% COOPERATIVE 6% 6% GEOGRAPHIC DISTRIBUTION: LTV DISTRIBUTION: AT ISSUE CURRENT AT ISSUE CURRENT 65% AND BELOW 34% 34% CA 38% CA 38% 65.01-75% 22% 22% NY 19% NY 19% 75.01-80% 43% 43% FL 5% FL 6% OVER 80% 1% 1% NJ 4% NJ 4% MD 3% MD 3% OTHER 31% OTHER 30% PREPAYMENT INFORMATION: SCHEDULED PRINCIPAL: $274,946.33 PRINCIPAL PREPAYMENTS: $1,303,881.38 1 MONTH 3 MONTH 12 MONTH CUMULATIVE PRICING SPEED(PSA):300% PREPAYMENT HISTORY(PSA): 624% 0% 0% 363% PREPAYMENT HISTORY(CPR): 5.42% 0.00% 0.00% 2.79% DELINQUENCY (1)

(1) DETERMINED BY THE MBA METHOD. (2) DOES NOT INCLUDE REAL ESTATE OWNED BY THE TRUST. ------------------------------------------------------------------------------- 15 YR REG COLLATERAL INFORMATION: GENERAL INFORMATION: AT ISSUE BEGINNING ENDING WAC-SCHED BAL 5.83% 5.83% WAM 177 176 175 AVG LTV 61 61 61 AVG LOAN SIZE $584,385 $580,504 $576,931 # OF LOANS 98 98 98 ACTUAL BALANCE $57,269,723.64 $57,031,938.65 $56,682,517.91 SCHEDULED BALANCE $57,269,723.64 $56,889,364.55 $56,539,219.07 TYPE OF DWELLING UNIT: AT ISSUE CURRENT SNGL FAM DET 87% 87% 2-4 FAMILY 0% 0% TOWNHOUSE 6% 6% CONDOMINIUM 3% 3% COOPERATIVE 4% 4% GEOGRAPHIC DISTRIBUTION: LTV DISTRIBUTION: AT ISSUE CURRENT AT ISSUE CURRENT 65% AND BELOW 54% 54% CA 21% CA 21% 65.01-75% 30% 30% NY 13% NY 13% 75.01-80% 16% 16% TX 9% TX 9% OVER 80% 0% 0% FL 7% FL 7% MA 6% MA 6% OTHER 44% OTHER 44% PREPAYMENT INFORMATION: SCHEDULED PRINCIPAL: $212,102.07 PRINCIPAL PREPAYMENTS: $138,043.41 1 MONTH 3 MONTH 12 MONTH CUMULATIVE PRICING SPEED(PSA):300% PREPAYMENT HISTORY(PSA): 341% 0% 0% 423% PREPAYMENT HISTORY(CPR): 3.04% 0.00% 0.00% 3.35% DELINQUENCY (1)

(1) DETERMINED BY THE MBA METHOD. (2) DOES NOT INCLUDE REAL ESTATE OWNED BY THE TRUST. ------------------------------------------------------------------------------- 30 YR RELO COLLATERAL INFORMATION: GENERAL INFORMATION: AT ISSUE BEGINNING ENDING WAC-SCHED BAL 5.83% 5.83% WAM 357 356 355 AVG LTV 71 71 71 AVG LOAN SIZE $557,254 $556,663 $555,944 # OF LOANS 49 49 49 ACTUAL BALANCE $27,305,447.77 $27,297,897.82 $27,260,873.18 SCHEDULED BALANCE $27,305,447.77 $27,276,463.26 $27,241,244.32 TYPE OF DWELLING UNIT: AT ISSUE CURRENT SNGL FAM DET 95% 95% 2-4 FAMILY 0% 0% TOWNHOUSE 0% 0% CONDOMINIUM 4% 4% COOPERATIVE 1% 1% GEOGRAPHIC DISTRIBUTION: LTV DISTRIBUTION: AT ISSUE CURRENT AT ISSUE CURRENT 65% AND BELOW 25% 25% CA 16% CA 16% 65.01-75% 24% 24% NJ 15% NJ 15% 75.01-80% 51% 51% IL 9% IL 9% OVER 80% 0% 0% MA 8% MA 8% TX 7% TX 7% OTHER 45% OTHER 45% PREPAYMENT INFORMATION: SCHEDULED PRINCIPAL: $28,717.63 PRINCIPAL PREPAYMENTS: $6,501.31 1 MONTH 3 MONTH 12 MONTH CUMULATIVE PRICING SPEED(PSA):300% PREPAYMENT HISTORY(PSA): 33% 0% 0% 20% PREPAYMENT HISTORY(CPR): 0.29% 0.00% 0.00% 0.16% DELINQUENCY (1)

(1) DETERMINED BY THE MBA METHOD. (2) DOES NOT INCLUDE REAL ESTATE OWNED BY THE TRUST. ------------------------------------------------------------------------------- 30 YR IO COLLATERAL INFORMATION: GENERAL INFORMATION: AT ISSUE BEGINNING ENDING WAC-SCHED BAL 6.41% 6.41% WAM 358 357 356 AVG LTV 68 68 68 AVG LOAN SIZE $592,426 $588,713 $587,202 # OF LOANS 92 92 92 ACTUAL BALANCE $54,503,174.39 $54,161,569.61 $54,022,569.20 SCHEDULED BALANCE $54,503,174.39 $54,161,577.69 $54,022,564.07 TYPE OF DWELLING UNIT: AT ISSUE CURRENT SNGL FAM DET 86% 85% 2-4 FAMILY 0% 0% TOWNHOUSE 2% 2% CONDOMINIUM 8% 8% COOPERATIVE 4% 5% GEOGRAPHIC DISTRIBUTION: LTV DISTRIBUTION: AT ISSUE CURRENT AT ISSUE CURRENT 65% AND BELOW 36% 36% CA 48% CA 48% 65.01-75% 26% 26% NY 12% NY 12% 75.01-80% 38% 38% FL 7% FL 7% OVER 80% 0% 0% NJ 6% MD 6% MD 6% NJ 6% OTHER 21% OTHER 21% PREPAYMENT INFORMATION: SCHEDULED PRINCIPAL: $0.00 PRINCIPAL PREPAYMENTS: $139,013.62 1 MONTH 3 MONTH 12 MONTH CUMULATIVE PRICING SPEED(PSA):300% PREPAYMENT HISTORY(PSA): 237% 0% 0% 572% PREPAYMENT HISTORY(CPR): 1.94% 0.00% 0.00% 4.11% DELINQUENCY (1)

(1) DETERMINED BY THE MBA METHOD. (2) DOES NOT INCLUDE REAL ESTATE OWNED BY THE TRUST. ------------------------------------------------------------------------------- 30 YR REG and 30 YR IO COLLATERAL INFORMATION: GENERAL INFORMATION: AT ISSUE BEGINNING ENDING WAC-SCHED BAL 6.27% 6.27% WAM 358 357 356 AVG LTV 68 68 68 AVG LOAN SIZE $579,779 $578,687 $577,719 # OF LOANS 581 581 579 ACTUAL BALANCE $336,851,835.12 $336,419,130.62 $334,699,540.11 SCHEDULED BALANCE $336,851,835.12 $336,217,370.63 $334,499,529.30 TYPE OF DWELLING UNIT: AT ISSUE CURRENT SNGL FAM DET 84% 84% 2-4 FAMILY 2% 2% TOWNHOUSE 1% 1% CONDOMINIUM 7% 7% COOPERATIVE 6% 6% GEOGRAPHIC DISTRIBUTION: LTV DISTRIBUTION: AT ISSUE CURRENT AT ISSUE CURRENT 65% AND BELOW 35% 34% CA 39% CA 39% 65.01-75% 23% 23% NY 18% NY 18% 75.01-80% 41% 42% FL 6% FL 6% OVER 80% 1% 1% MD 4% NJ 4% NJ 4% MD 4% OTHER 29% OTHER 29% PREPAYMENT INFORMATION: SCHEDULED PRINCIPAL: $274,946.33 PRINCIPAL PREPAYMENTS: $1,442,895.00 1 MONTH 3 MONTH 12 MONTH CUMULATIVE PRICING SPEED(PSA):300% PREPAYMENT HISTORY(PSA): 566% 0% 0% 395% PREPAYMENT HISTORY(CPR): 4.87% 0.00% 0.00% 3.00% DELINQUENCY (1)

(1) DETERMINED BY THE MBA METHOD. (2) DOES NOT INCLUDE REAL ESTATE OWNED BY THE TRUST. -------------------------------------------------------------------------------

Citicorp Mortgage Securities Trust, Series 2006-2 10-D