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 August 1, 2006 to August 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 September 25, 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 August 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 August 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: September 25, 2006 3 Exhibit No. Description ----------- ------------- (99.1) Monthly distribution report for the month of August 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: 09/25/2006 Issuer: Citicorp Mortgage Securities, Inc. Record Date: See footnote Determination Date: 09/18/2006 Distribution Date: 25-Sep-06 Distribution #: 5 W.A.C. 6.17% 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

--------------------------------------------------------------------------------------------------------------------------------- Next Accrual Accrual Current Succeeding Start End Class Coupon Type Coupon Coupon Date Date Original Par CUSIP # --------------------------------------------------------------------------------------------------------------------------------- II-A1 Fixed 5.50000% 5.50000% 0508/01/2006 0508/31/2006 $54,950,155.00 17310AAU0 ~ IIA-PO Principal Only 0.00000% 0.00000% 0508/01/2006 0508/31/2006 $687,381.00 17310AAV8 **~ IIA-IO WAC IO 0.~~18859~~19140% 0.~~18845~~19133% 0508/01/2006 0508/31/2006 $44,295,654.49 ------------------- Class A-15 YR REG Total $55,637,536.00 IA-1 Fixed 5.75000% 5.75000% 0508/01/2006 0508/31/2006 $20,000,000.00 17310AAA4 IA-2 Fixed 6.00000% 6.00000% 0508/01/2006 0508/31/2006 $5,252,566.00 17310AAB2 ~ IA-3 LIBOR Floater 5.~~53125~~75000% 5.75000% 0508/25/2006 0609/24/2006 $53,090,169.00 17310AAC0 **~ IA-4 LIBOR IO Inv Fltr 0.~~16787~~00000% 0.00000% 0508/25/2006 0609/24/2006 $108,090,169.00 17310AAD8 ~ IA-5 LIBOR Floater 5.~~63125~~75000% 5.75000% 0508/25/2006 0609/24/2006 $55,000,000.00 17310AAE6 IA-6 PO 0.00000% 0.00000% 0508/01/2006 0508/31/2006 $652,174.00 17310AAF3 IA-7 Fixed 5.75000% 5.75000% 0508/01/2006 0508/31/2006 $92,635,837.00 17310AAG1 IA-8 Fixed 5.75000% 5.75000% 0508/01/2006 0508/31/2006 $15,454,333.00 17310AAH9 IA-9 NAS, Super Snr Spt 5.75000% 5.75000% 0508/01/2006 0508/31/2006 $999,600.00 17310AAJ5 IA-10 NAS, Super Snr 5.75000% 5.75000% 0508/01/2006 0508/31/2006 $31,507,513.00 17310AAK2 IA-11 Fixed 6.00000% 6.00000% 0508/01/2006 0508/31/2006 $3,750,000.00 17310AAL0 IA-12 Fixed 6.00000% 6.00000% 0508/01/2006 0508/31/2006 $3,750,000.00 17310AAM8 IA-13 Fixed 6.00000% 6.00000% 0508/01/2006 0508/31/2006 $3,750,000.00 17310AAN6 IA-14 Fixed 5.50000% 5.50000% 0508/01/2006 0508/31/2006 $1,875,000.00 17310AAP1 IA-15 Fixed 6.50000% 6.50000% 0508/01/2006 0508/31/2006 $1,875,000.00 17310AAQ9 IA-16 Fixed 5.75000% 5.75000% 0508/01/2006 0508/31/2006 $35,250,561.00 17310AAR7 IA-17 PO 0.00000% 0.00000% 0508/01/2006 0508/31/2006 $228,373.00 17310AAS5 ~ IA-PO Principal Only 0.00000% 0.00000% 0508/01/2006 0508/31/2006 $2,180,431.00 17310AAT3 **~ IA-IO WAC IO 0.~~36197~~35001% 0.~~35666~~34956% 0508/01/2006 0508/31/2006 $286,868,870.49 ------------------- Class A-30 YR REG Total $327,251,557.00 III-A1 Fixed 5.50000% 5.50000% 0508/01/2006 0508/31/2006 $26,289,136.00 17310ABC9 ~ IIIA-PO Principal Only 0.00000% 0.00000% 0508/01/2006 0508/31/2006 $238,106.00 17310ABD7 **~ IIIA-IO WAC IO 0.~~15980~~15981% 0.~~15980~~15982% 0508/01/2006 0508/31/2006 $21,684,059.94 ------------------- Class A-30 YR RELO Total $26,527,242.00 B-1 Subordinated 5.~~69991~~70016% 5.~~69999~~70024% 0508/01/2006 0508/31/2006 $6,953,545.00 17310AAW6 B-2 Subordinated 5.~~69991~~70016% 5.~~69999~~70024% 0508/01/2006 0508/31/2006 $1,896,422.00 17310AAX4 B-3 Subordinated 5.~~69991~~70016% 5.~~69999~~70024% 0508/01/2006 0508/31/2006 $1,264,281.00 17310AAY2 B-4 Subordinated 5.~~69991~~70015% 5.~~69999~~70024% 0508/01/2006 0508/31/2006 $632,141.00 17310AAZ9 B-5 Subordinated 5.~~69991~~70015% 5.~~69999~~70024% 0508/01/2006 0508/31/2006 $632,141.00 17310ABA3 B-6 Subordinated 5.~~69991~~70015% 5.~~69999~~70024% 0508/01/2006 0508/31/2006 $632,141.00 17310ABB1 ------------------- Class SUB Total $12,010,671.00 =================== $421,427,006.00 ** Denotes Notional Balance ~ These classes constitute regular interests in a separate REMIC election in the same trust. Record Date: For a distribution day, the close of business on (a) for a LIBOR class, the last day (whether or not a business day) of its last LIBOR accrual period preceding the distribution day, and (b) for any other class, the last day of the preceding month.

6 Citicorp Mortgage Securities, Inc. Distribution Date Statement to Certificate Holders Remic Pass-Through Certificate Series Name: CMSI 2006-02 Payment Date: 09/25/2006

---------------------------------------------------------------------------------------------------------------- Non Interest Supported * Interest Interest Principal CLASS Accrued Shortfall Shortfall Recoveries Recoveries Interest Paid ---------------------------------------------------------------------------------------------------------------- II-A1 $~~250~~243,~~152~~256.9603 $0.00 $0.00 $0.00 $0.00 $~~250~~243,~~152~~256.9603 IIA-PO $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 IIA-IO $6,~~910~~798.4797 $0.00 $0.00 $0.00 $0.00 $6,~~910~~798.4797 ----------------------------------------------------------------------------------------------------- A-15 YR REG $~~257~~250,~~063~~055.4300 $0.00 $0.00 $0.00 $0.00 $~~257~~250,~~063~~055.4300 IA-1 $9593,~~590~~397.6932 $0.00 $0.00 $0.00 $0.00 $9593,~~590~~397.6932 IA-2 $26,262.83 $0.00 $0.00 $0.00 $0.00 $26,262.83 IA-3 $~~244~~249,~~675~~498.3213 $0.00 $0.00 $0.00 $0.00 $~~244~~249,~~675~~498.3213 IA-4 $~~15,118~~0.3100 $0.00 $0.00 $0.00 $0.00 $~~15,118~~0.3100 IA-5 $258,~~059~~473.7542 $0.00 $0.00 $0.00 $0.00 $258,~~059~~473.7542 IA-6 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 IA-7 $~~441~~427,~~336~~509.0268 $0.00 $0.00 $0.00 $0.00 $~~441~~427,~~336~~509.0268 IA-8 $74,052.01 $0.00 $0.00 $0.00 $0.00 $74,052.01 IA-9 $4,~~785~~774.8705 $0.00 $0.00 $0.00 $0.00 $4,~~785~~774.8705 IA-10 $150,~~851~~478.1677 $0.00 $0.00 $0.00 $0.00 $150,~~851~~478.1677 IA-11 $18,750.00 $0.00 $0.00 $0.00 $0.00 $18,750.00 IA-12 $18,750.00 $0.00 $0.00 $0.00 $0.00 $18,750.00 IA-13 $18,750.00 $0.00 $0.00 $0.00 $0.00 $18,750.00 IA-14 $8,593.75 $0.00 $0.00 $0.00 $0.00 $8,593.75 IA-15 $10,156.25 $0.00 $0.00 $0.00 $0.00 $10,156.25 IA-16 $168,908.94 $0.00 $0.00 $0.00 $0.00 $168,908.94 IA-17 $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 IA-PO $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 IA-IO $8682,~~356~~087.1581 $0.00 $0.00 $0.00 $0.00 $8682,~~356~~087.1581 ----------------------------------------------------------------------------------------------------- A-30 YR REG $1,~~640~~610,~~997~~442.0596 $0.00 $0.00 $0.00 $0.00 $1,~~640~~610,~~997~~442.0596 III-A1 $~~120~~119,~~364~~913.0644 $0.00 $0.00 $0.00 $0.00 $~~120~~119,~~364~~913.0644 IIIA-PO $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 IIIA-IO $2,~~884~~875.5558 $0.00 $0.00 $0.00 $0.00 $2,~~884~~875.5558 ----------------------------------------------------------------------------------------------------- A-30 YR RELO $~~123~~122,~~248~~789.6102 $0.00 $0.00 $0.00 $0.00 $~~123~~122,~~248~~789.6102 RES $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 ----------------------------------------------------------------------------------------------------- RES Total $0.00 $0.00 $0.00 $0.00 $0.00 $0.00 B-1 $32,~~988~~867.7390 $0.00 $0.00 $0.00 $0.00 $32,~~988~~867.7390 B-2 $8,~~996~~963.9397 $0.00 $0.00 $0.00 $0.00 $8,~~996~~963.9397 B-3 $5,~~997~~975.9598 $0.00 $0.00 $0.00 $0.00 $5,~~997~~975.9598 B-4 $2,~~998~~987.9899 $0.00 $0.00 $0.00 $0.00 $2,~~998~~987.9899 B-5 $2,~~998~~987.9899 $0.00 $0.00 $0.00 $0.00 $2,~~998~~987.9899 B-6 $2,~~998~~987.9899 $0.00 $0.00 $0.00 $0.00 $2,~~998~~987.9899 ----------------------------------------------------------------------------------------------------- SUB Total $56,~~980~~771.5582 $0.00 $0.00 $0.00 $0.00 $56,~~980~~771.5582 ====================================================================================================== Total $2,~~078~~040,~~289~~058.6480 $0.00 $0.00 $0.00 $0.00 $2,~~078~~040,~~289~~058.6480 * Regular and residual interests have equal rights to service fee to reduce non-supported prepayment interest shortfalls.

----------------------------------------------------------------------------- Interest Cum Unpaid Relief Act Paid Per Interest Interest CLASS Certificate Shortfalls Shortfalls ----------------------------------------------------------------------------- II-A1 4.~~55236132~~42684884 $0.00 $0.00 IIA-PO 0.00000000 $0.00 $0.00 IIA-IO 0.~~15600785~~15349068 $0.00 $0.00 -------------------------------------- A-15 YR REG To $0.00 $0.00 IA-1 4.~~77953450~~66986600 $0.00 $0.00 IA-2 5.00000000 $0.00 $0.00 IA-3 4.~~60867472~~69951659 $0.00 $0.00 IA-4 0.~~13986758~~00000000 $0.00 $0.00 IA-5 4.~~69199545~~69951673 $0.00 $0.00 IA-6 0.00000000 $0.00 $0.00 IA-7 4.~~76420394~~61494918 $0.00 $0.00 IA-8 4.79166652 $0.00 $0.00 IA-9 4.~~78778511~~77596038 $0.00 $0.00 IA-10 4.~~78778379~~77596470 $0.00 $0.00 IA-11 5.00000000 $0.00 $0.00 IA-12 5.00000000 $0.00 $0.00 IA-13 5.00000000 $0.00 $0.00 IA-14 4.58333333 $0.00 $0.00 IA-15 5.41666667 $0.00 $0.00 IA-16 4.79166672 $0.00 $0.00 IA-17 0.00000000 $0.00 $0.00 IA-PO 0.00000000 $0.00 $0.00 IA-IO 0.~~30103005~~28615099 $0.00 $0.00 -------------------------------------- A-30 YR REG To $0.00 $0.00 III-A1 4.~~57847150~~56133058 $0.00 $0.00 IIIA-PO 0.00000000 $0.00 $0.00 IIIA-IO 0.~~13302629~~13261262 $0.00 $0.00 -------------------------------------- A-30 YR RELO T $0.00 $0.00 RES 0.00000000 $0.00 $0.00 -------------------------------------- RES Total $0.00 $0.00 B-1 4.~~74415999~~72678325 $0.00 $0.00 B-2 4.~~74416032~~72678022 $0.00 $0.00 B-3 4.~~74415893~~72678147 $0.00 $0.00 B-4 4.~~74416309~~72677773 $0.00 $0.00 B-5 4.~~74416309~~72677773 $0.00 $0.00 B-6 4.~~74416309~~72677773 $0.00 $0.00 -------------------------------------- SUB Total $0.00 $0.00 ========================================== Total $0.00 $0.00

7 Citicorp Mortgage Securities, Inc. Distribution Date Statement to Certificateholders Remic Pass-Through Certificate Series Name: CMSI 2006-02 Payment Date: 09/25/2006

--------------------------------------------------------------------------------------------------------------- Certificate Reductions not part of Principal distributions Paid Cumulative Principal to reduce Principal Per Principal CLASS Due Stated Amount Paid Certificate Loss --------------------------------------------------------------------------------------------------------------- II-A1 $~~340~~291,~~552~~725.1508 $0.00 $~~340~~291,~~552~~725.1508 65.~~19747387~~30890368 0.00 IIA-PO $36,~~541~~224.8712 $0.00 $36,~~541~~224.8712 59.~~15270280~~05483276 0.00 IIA-IO $.00 $0.00 $.00 0.00000000 0.00 ---------------------------------------------------------------------------------------------------- A-15 YR REG Total $~~344~~297,~~094~~949.0220 $0.00 $~~344~~297,~~094~~949.0220 0.00 IA-1 $~~142~~101,~~350~~547.4814 $0.00 $~~142~~101,~~350~~547.4814 75.~~11752400~~07735700 0.00 IA-2 $.00 $0.00 $.00 0.00000000 0.00 IA-3 $~~215~~16,~~953~~173.8046 $0.00 $~~215~~16,~~953~~173.8046 40.~~06767965~~30464134 0.00 IA-4 $.00 $0.00 $.00 0.00000000 0.00 IA-5 $~~223~~16,~~722~~755.3928 $0.00 $~~223~~16,~~722~~755.3928 40.~~06767982~~30464145 0.00 IA-6 $.00 $0.00 $.00 0.00000000 0.00 IA-7 $1,~~098~~064,~~992~~696.5405 $0.00 $1,~~098~~064,~~992~~696.5405 11.~~86357867~~49334949 0.00 IA-8 $.00 $0.00 $.00 0.00000000 0.00 IA-9 $~~815~~835.3881 $0.00 $~~815~~835.3881 0.~~81570628~~83614446 0.00 IA-10 $2526,~~700~~344.9485 $0.00 $2526,~~700~~344.9485 0.~~81570830~~83614502 0.00 IA-11 $.00 $0.00 $.00 0.00000000 0.00 IA-12 $.00 $0.00 $.00 0.00000000 0.00 IA-13 $.00 $0.00 $.00 0.00000000 0.00 IA-14 $.00 $0.00 $.00 0.00000000 0.00 IA-15 $.00 $0.00 $.00 0.00000000 0.00 IA-16 $.00 $0.00 $.00 0.00000000 0.00 IA-17 $.00 $0.00 $.00 0.00000000 0.00 IA-PO $220,~~474~~845.7772 $0.00 $220,~~474~~845.7772 19.~~13499120~~56036673 0.00 IA-IO $.00 $0.00 $.00 0.00000000 0.00 ---------------------------------------------------------------------------------------------------- A-30 YR REG Total $1,~~710~~247,~~010~~198.3031 $0.00 $1,~~710~~247,~~010~~198.3031 0.00 III-A1 $3328,~~993~~809.4619 $0.00 $3328,~~993~~809.4619 1.~~29306113~~09585914 0.00 IIIA-PO $~~407~~276.6121 $0.00 $~~407~~276.6121 1.~~71188462~~16002957 0.00 IIIA-IO $.00 $0.00 $.00 0.00000000 0.00 ---------------------------------------------------------------------------------------------------- A-30 YR RELO Total $3429,~~401~~085.0740 $0.00 $3429,~~401~~085.0740 0.00 B-1 $8,~~510~~716.7412 $0.00 $8,~~510~~716.7412 1.~~22394261~~25347862 0.00 B-2 $2,~~321~~377.1112 $0.00 $2,~~321~~377.1112 1.~~22394172~~25347628 0.00 B-3 $1,~~547~~584.4175 $0.00 $1,~~547~~584.4175 1.~~22394468~~25347925 0.00 B-4 $~~773~~792.7037 $0.00 $~~773~~792.7037 1.~~22393580~~25347035 0.00 B-5 $~~773~~792.7037 $0.00 $~~773~~792.7037 1.~~22393580~~25347035 0.00 B-6 $~~773~~792.7037 $0.00 $~~773~~792.7037 1.~~22393580~~25347035 0.00 ---------------------------------------------------------------------------------------------------- SUB Total $1415,~~700~~055.3610 $0.00 $1415,~~700~~055.3610 0.00 ===================================================================================================== Total $21,~~103~~589,~~205~~288.7501 $0.00 $21,~~103~~589,~~205~~288.7501 0.00

8 Citicorp Mortgage Securities, Inc. Distribution Date Statement to Certificateholders Remic Pass-Through Certificate Series Name: CMSI 2006-02 Payment Date: 09/25/2006

----------------------------------------------------------------------------------------------------------------------------------- CLASS Previous Period's Ending Period's Beginning Balance Ending Balance Ending Balance Beginning Ending Prepayment Balance Balance Per Certificate Per Certificate Pool Factor Class PCT Class PCT Percentage ----------------------------------------------------------------------------------------------------------------------------------- II-A1 $5453,~~578~~074,~~827~~043.6322 $5452,~~238~~782,~~275~~318.4814 ~~993~~965.~~24246911~~85793470 ~~987~~960.~~04499523~~54903103 0.~~98704500~~96054903 97.~~106650881~~059559272% 97.~~099531110~~054843494% 100.000000000% IIA-PO $~~684~~673,~~329~~489.0273 $~~680~~667,~~787~~265.1561 ~~995~~979.~~55998784~~79101837 ~~990~~970.~~40728504~~73618561 0.~~99040729~~97073619 0.000000000% 0.000000000% 0.000000000% ** IIA-IO $4342,~~971~~627,~~030~~137.5530 $4342,~~683~~425,~~718~~982.7066 ~~992~~962.~~67142694~~33226015 ~~986~~957.~~18519588~~79107789 0.~~98618520~~95779108 0.000000000% 0.000000000% 0.000000000% ----------------------------------------------------------------------------------------------------------------------- A-15YRREG $5553,~~263~~747,~~156~~532.6595 $5453,~~919~~449,~~062~~583.6375 97.~~106650881~~059559272% 97.~~099531110~~054843494% 100.000000000% IA-1 $19,~~949~~491,~~361~~615.9003 $19,~~807~~390,~~011~~067.4289 ~~997~~974.~~46809500~~58075150 ~~990~~969.~~35057100~~50339450 0.~~99035057~~96950339 5.~~972160180~~932980628% 5.~~960152004~~924330456% 8.468105400% IA-2 $5,252,566.00 $5,252,566.00 1,000.00000000 1,000.00000000 1.00000000 1.~~572439543~~598809143% 1.~~580556052~~604838977% 0.000000000% IA-3 $5352,~~082~~069,~~103~~175.8558 $52,~~866~~053,~~150~~002.0512 ~~999~~980.~~84808581~~76869147 ~~995~~980.~~78040616~~46405013 0.~~99578041~~98046405 15.~~890975786~~849143829% 15.~~908017798~~903976591% 112.~~348719443~~624466695% ** IA-4 $~~108~~106,~~073~~011,~~748~~453.5660$~~107~~105,~~634~~978,~~072~~524.3786 ~~999~~980.~~84808572~~76869137 ~~995~~980.~~78040599~~46404997 0.~~99578041~~98046405 0.000000000% 0.000000000% 0.000000000% IA-5 $5453,~~991~~942,~~644~~278.7102 $5453,~~767~~925,~~922~~522.3274 ~~999~~980.~~84808564~~76869127 ~~995~~980.~~78040582~~46404982 0.~~99578041~~98046405 16.~~462627347~~419290555% 16.~~480282415~~476095833% 113.~~397237394~~078611000% IA-6 $652,174.00 $652,174.00 1,000.00000000 1,000.00000000 1.00000000 0.~~195238705~~198512832% 0.~~196246475~~199261514% 0.000000000% IA-7 $9289,~~104~~219,~~909~~410.3356 $9188,~~005~~154,~~916~~714.7951 ~~994~~963.~~26865793~~11981895 ~~982~~951.~~40507926~~62646946 0.~~98240508~~95162647 27.~~573076004~~157166492% 2726.~~384701603~~934287340% 8865.~~785937762~~828816904% IA-8 $15,454,333.00 $15,454,333.00 1,000.00000000 1,000.00000000 1.00000000 4.~~626501470~~704087279% 4.~~650382223~~721828526% 0.000000000% IA-9 $~~998~~996,~~790~~324.0141 $~~997~~995,~~974~~488.6360 ~~999~~996.~~18968587~~72309924 ~~998~~995.~~37397959~~88695478 0.~~99837398~~99588695 0.~~299003745~~303267503% 0.~~300301765~~304155893% 0.000000000% IA-10 $31,~~481~~404,~~982~~265.1297 $31,~~456~~377,~~281~~921.1812 ~~999~~996.~~18968914~~72309808 ~~998~~995.~~37398083~~88695306 0.~~99837398~~99588695 9.~~424634279~~559028401% 9.~~465548000~~587030577% 0.000000000% IA-11 $3,750,000.00 $3,750,000.00 1,000.00000000 1,000.00000000 1.00000000 1.~~122622407~~141448634% 1.~~128417081~~145753554% 0.000000000% IA-12 $3,750,000.00 $3,750,000.00 1,000.00000000 1,000.00000000 1.00000000 1.~~122622407~~141448634% 1.~~128417081~~145753554% 0.000000000% IA-13 $3,750,000.00 $3,750,000.00 1,000.00000000 1,000.00000000 1.00000000 1.~~122622407~~141448634% 1.~~128417081~~145753554% 0.000000000% IA-14 $1,875,000.00 $1,875,000.00 1,000.00000000 1,000.00000000 1.00000000 0.~~561311203~~570724317% 0.~~564208540~~572876777% 0.000000000% IA-15 $1,875,000.00 $1,875,000.00 1,000.00000000 1,000.00000000 1.00000000 0.~~561311203~~570724317% 0.~~564208540~~572876777% 0.000000000% IA-16 $35,250,561.00 $35,250,561.00 1,000.00000000 1,000.00000000 1.00000000 10.~~552818571~~729787924% 10.~~607289376~~770254820% 0.000000000% IA-17 $228,373.00 $228,373.00 1,000.00000000 1,000.00000000 1.00000000 0.~~068367105~~069513613% 0.~~068719998~~069775780% 0.000000000% IA-PO $2,~~178~~159,~~072~~481.8062 $2,~~175~~138,~~598~~635.0390 ~~998~~990.~~91847071~~39209221 ~~997~~980.~~78347950~~83172547 0.~~99778348~~98083173 0.000000000% 0.000000000% 0.000000000% ** IA-IO $~~286~~281,~~287~~437,~~835~~797.5890$~~284~~280,~~626~~660,~~892~~791.89 ~~997~~981.~~97456270~~06775203 ~~992~~978.~~18466055~~35917648 0.~~99218466~~97835918 0.000000000% 0.000000000% 0.000000000% ----------------------------------------------------------------------------------------------------------------------- A-30YRREG $~~326~~321,~~624~~120,~~871~~558.7219$~~324~~319,~~914~~873,~~861~~359.4288 97.~~128332367~~087382741% 97.~~115866038~~078850532% 100.000000000% III-A1 $26,~~261~~162,~~248~~931.6875 $26,~~227~~134,~~255~~122.2256 ~~998~~995.~~93920744~~19937627 ~~997~~994.~~64614630~~10351713 0.~~99764615~~99410352 97.~~124885375~~123289675% 97.~~124207709~~123213970% 100.000000000% IIIA-PO $~~237~~236,~~822~~686.6783 $~~237~~236,~~415~~410.0662 ~~998~~994.~~81006778~~03975540 ~~997~~992.~~09818316~~87972584 0.~~99709818~~99287973 0.000000000% 0.000000000% 0.000000000% ** IIIA-IO $21,~~661~~592,~~683~~005.8637 $21,~~638~~568,~~514~~575.6574 ~~998~~995.~~96808623~~75473549 ~~997~~994.~~89959583~~67423535 0.~~99789960~~99467424 0.000000000% 0.000000000% 0.000000000% ----------------------------------------------------------------------------------------------------------------------- A-30YRRELO $26,~~499~~399,~~071~~618.3558 $26,~~464~~370,~~670~~533.2818 97.~~124885375~~123289675% 97.~~124207709~~123213970% 100.000000000% B-1 $6,~~945~~919,~~108~~364.1173 $6,~~936~~910,~~597~~648.3761 ~~998~~995.~~78667787~~08448281 ~~997~~993.~~56273527~~83100419 0.~~99756274~~99383100 1.~~664364123~~687034025% 1.~~670719666~~691349958% 0.000000000% B-2 $1,~~894~~887,~~121~~100.0310 $1,~~891~~884,~~799~~722.9298 ~~998~~995.~~78667828~~08448014 ~~997~~993.~~56273656~~83100386 0.~~99756274~~99383100 0.~~453917640~~460100341% 0.~~455650971~~461277415% 0.000000000% B-3 $1,~~262~~258,~~747~~066.0240 $1,~~261~~256,~~199~~481.6165 ~~998~~995.~~78667796~~08447885 ~~997~~993.~~56273328~~83099960 0.~~99756273~~99383100 0.~~302611680~~306733480% 0.~~303767233~~307518194% 0.000000000% B-4 $~~631~~629,~~374~~033.0170 $~~630~~628,~~600~~241.3133 ~~998~~995.~~78667892~~08448273 ~~997~~993.~~56274312~~83101238 0.~~99756274~~99383101 0.~~151305960~~153366861% 0.~~151883738~~153759221% 0.000000000% B-5 $~~631~~629,~~374~~033.0170 $~~630~~628,~~600~~241.3133 ~~998~~995.~~78667892~~08448273 ~~997~~993.~~56274312~~83101238 0.~~99756274~~99383101 0.~~151305960~~153366861% 0.~~151883738~~153759221% 0.000000000% B-6 $~~631~~629,~~374~~033.0170 $~~630~~628,~~600~~241.3133 ~~998~~995.~~78667892~~08448273 ~~997~~993.~~56274312~~83101238 0.~~99756274~~99383101 0.~~151305960~~153366861% 0.~~151883738~~153759221% 0.000000000% ----------------------------------------------------------------------------------------------------------------------- SUB Total $11,~~996~~951,~~098~~632.1933 $11,~~981~~936,~~397~~577.8323 2.~~874811324~~913968432% 2.~~885789086~~921423231% 0.000000000% ====================================================================================================================== Total $~~420~~413,~~383~~219,~~197~~342.9105 $~~418~~411,~~279~~630,~~992~~054.1604 PO Balance $3,~~100~~069,~~224~~658.4918 $3,~~093~~042,~~800~~312.2413 Non PO Bal $~~417~~410,~~282~~149,~~973~~683.4287 $~~415~~408,~~186~~587,~~191~~741.9291

9 Citicorp Mortgage Securities, Inc. Distribution Date Statement to Certificateholders Remic Pass-Through Certificate Series Name: CMSI 2006-02 Payment Date: 09/25/2006 Delinquency Status - Determined by the MBA Method -------------------------------------------------- 30 - 59 days Delq 60+ days Book Value REO ----------------------------------------------------- Number 2 0 0 Amount $907,087.15 $0.00 $0.00 Stated Collateral Information ------------------------------- Service Fees Begin Balance Aggregate Adj Balance -------------------------------------------------------------------- $41,400.62 $413,219,342.58 $411,630,054.57 Advances ------------ Voluntary Advances $0.00 Trustee Advances $0.00 Advance Account Advances $0.00 Certificate Account Advances $112,024.25 Summary of Disbursements ------------------------- Withdrawals Remittances Residual and (Deposits) P&I Distributed ----------------------------------------------------------------- $3,629,346.81 $0.00 $0.00 $3,629,346.81 Deposits to Certificate Account ----------------------------------------------------------------- Type Retained by CMI Amount Balance ----------------------------------------------------------------- IA-5 Yield Maintenance Payment No $5,487.79 $19,285.16 IA-4 Yield Maintenance Payment No $0.00 $0.00 IA-3 Yield Maintenance Payment No $1,038.44 $5,685.49 10 Citicorp Mortgage Securities, Inc. Distribution Date Statement to Certificateholders Remic Pass-Through Certificate Series Name: CMSI 2006-02 Payment Date: 09/25/2006 COLLATERAL INFORMATION: GENERAL INFORMATION: AT ISSUE BEGINNING ENDING WAC-SCHED BAL 6.18% 6.17% WAM 333 329 328 AVG LTV 67 67 67 AVG LOAN SIZE $578,883 $573,916 $574,100 # OF LOANS 728 720 717 ACTUAL BALANCE $421,427,006.53 $413,582,788.81 $412,009,341.67 SCHEDULED BALANCE $421,427,006.53 $413,219,342.58 $411,630,054.57 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 2.90% $11,936,577.23 CUMULATIVE LOSS REDUCTION $0.00 PREPAYMENT INFORMATION: SCHEDULED PRINCIPAL: $520,783.35 PRINCIPAL PREPAYMENTS: $1,068,504.66 1 MONTH 3 MONTH 12 MONTH CUMULATIVE PRICING SPEED(PSA):300% PREPAYMENT HISTORY(PSA): 211% 381% 0% 385% PREPAYMENT HISTORY(CPR): 3.10% 4.82% 0.00% 4.10% DELINQUENCY (1)

--------------------------------------------------------------------------------------------------------- Number of Amount of Scheduled Amount of Actual Pool Item loans Balance Balance # PCT Amount PCT Amount PCT --------------------------------------------------------------------------------------------------------- (2) 30-59 Days 42 0.5528% $2901,~~619,969~~399.1533 0.6322% $2907,~~627,978~~087.0315 0.6322% (2) 60-89 Days 0 0.00% $0.00 0.00% $0.00 0.00% (2) 90 + Days 0 0.00% $0.00 0.00% $0.00 0.00% REAL ESTATE OWNED BY THE TRUST 0 0.00% $0.00 0.00% $0.00 0.00% FORECLOSURES IN PROCESS 0 0.00% $0.00 0.00% $0.00 0.00% BANKRUPTCIES IN PROCESS 0 0.00% $0.00 0.00% $0.00 0.00% PURCHASE AMOUNT ADVANCES NA

(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 358 354 353 AVG LTV 68 68 68 AVG LOAN SIZE $577,400 $574,605 $574,409 # OF LOANS 489 485 483 ACTUAL BALANCE $282,348,660.73 $278,881,127.57 $277,642,726.29 SCHEDULED BALANCE $282,348,660.73 $278,683,336.87 $277,439,333.25 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: $277,872.42 PRINCIPAL PREPAYMENTS: $966,131.20 1 MONTH 3 MONTH 12 MONTH CUMULATIVE PRICING SPEED(PSA):300% PREPAYMENT HISTORY(PSA): 279% 246% 0% 280% PREPAYMENT HISTORY(CPR): 4.09% 3.12% 0.00% 2.99% DELINQUENCY (1)

--------------------------------------------------------------------------------------------------------- Number of Amount of Scheduled Amount of Actual Pool Item loans Balance Balance # PCT Amount PCT Amount PCT --------------------------------------------------------------------------------------------------------- (2) 30-59 Days 31 0.6221% $2117,~~128,943~~601.0520 0.7604% $2117,~~133,447~~832.9540 0.7604% ARM (2) 60-89 Days 0 0.00% $0.00 0.00% $0.00 0.00% (2) 90 + Days 0 0.00% $0.00 0.00% $0.00 0.00% REAL ESTATE OWNED BY THE TRUST 0 0.00% $0.00 0.00% $0.00 0.00% FORECLOSURES IN PROCESS 0 0.00% $0.00 0.00% $0.00 0.00% BANKRUPTCIES IN PROCESS 0 0.00% $0.00 0.00% $0.00 0.00% PURCHASE AMOUNT ADVANCES NA

(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 177 173 172 AVG LTV 61 61 61 AVG LOAN SIZE $584,385 $570,674 $573,451 # OF LOANS 98 97 96 ACTUAL BALANCE $57,269,723.64 $55,502,005.15 $55,204,845.67 SCHEDULED BALANCE $57,269,723.64 $55,355,422.78 $55,051,278.03 TYPE OF DWELLING UNIT: AT ISSUE CURRENT SNGL FAM DET 87% 86% 2-4 FAMILY 0% 0% TOWNHOUSE 6% 6% CONDOMINIUM 3% 4% COOPERATIVE 4% 4% GEOGRAPHIC DISTRIBUTION: LTV DISTRIBUTION: AT ISSUE CURRENT AT ISSUE CURRENT 65% AND BELOW 54% 55% CA 21% CA 21% 65.01-75% 30% 29% NY 13% NY 13% 75.01-80% 16% 16% TX 9% TX 9% OVER 80% 0% 0% FL 7% FL 7% MA 6% MA 7% OTHER 44% OTHER 43% PREPAYMENT INFORMATION: SCHEDULED PRINCIPAL: $213,701.16 PRINCIPAL PREPAYMENTS: $90,443.59 1 MONTH 3 MONTH 12 MONTH CUMULATIVE PRICING SPEED(PSA):300% PREPAYMENT HISTORY(PSA): 145% 471% 0% 457% PREPAYMENT HISTORY(CPR): 2.16% 6.08% 0.00% 5.00% DELINQUENCY (1)

--------------------------------------------------------------------------------------------------------- Number of Amount of Scheduled Amount of Actual Pool Item loans Balance Balance # PCT Amount PCT Amount PCT --------------------------------------------------------------------------------------------------------- (2) 30-59 Days 1 1.0204% $~~491~~783,~~026~~798.1013 01.8742% $~~494~~789,~~530~~254.0875 01.8743% FIXED (2) 60-89 Days 0 0.00% $0.00 0.00% $0.00 0.00% (2) 90 + Days 0 0.00% $0.00 0.00% $0.00 0.00% REAL ESTATE OWNED BY THE TRUST 0 0.00% $0.00 0.00% $0.00 0.00% FORECLOSURES IN PROCESS 0 0.00% $0.00 0.00% $0.00 0.00% BANKRUPTCIES IN PROCESS 0 0.00% $0.00 0.00% $0.00 0.00% PURCHASE AMOUNT ADVANCES NA

(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 357 353 352 AVG LTV 71 71 71 AVG LOAN SIZE $557,254 $554,583 $553,972 # OF LOANS 49 49 49 ACTUAL BALANCE $27,305,447.77 $27,193,615.82 $27,166,951.35 SCHEDULED BALANCE $27,305,447.77 $27,174,542.66 $27,144,624.93 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: $29,209.77 PRINCIPAL PREPAYMENTS: $707.96 1 MONTH 3 MONTH 12 MONTH CUMULATIVE PRICING SPEED(PSA):300% PREPAYMENT HISTORY(PSA): 3% 11% 0% 14% PREPAYMENT HISTORY(CPR): 0.04% 0.15% 0.00% 0.15% 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% 6.39% WAM 358 354 353 AVG LTV 68 67 67 AVG LOAN SIZE $592,426 $584,338 $584,211 # OF LOANS 92 89 89 ACTUAL BALANCE $54,503,174.39 $52,006,040.27 $51,994,818.36 SCHEDULED BALANCE $54,503,174.39 $52,006,040.27 $51,994,818.36 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 13% 75.01-80% 38% 38% FL 7% FL 8% OVER 80% 0% 0% NJ 6% MD 6% MD 6% NJ 5% OTHER 21% OTHER 20% PREPAYMENT INFORMATION: SCHEDULED PRINCIPAL: $0.00 PRINCIPAL PREPAYMENTS: $11,221.91 1 MONTH 3 MONTH 12 MONTH CUMULATIVE PRICING SPEED(PSA):300% PREPAYMENT HISTORY(PSA): 18% 1,164% 0% 1,046% PREPAYMENT HISTORY(CPR): 0.26% 14.19% 0.00% 10.69% 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% 6.26% WAM 358 354 353 AVG LTV 68 68 68 AVG LOAN SIZE $579,779 $576,114 $575,934 # OF LOANS 581 574 572 ACTUAL BALANCE $336,851,835.12 $330,887,167.84 $329,637,544.65 SCHEDULED BALANCE $336,851,835.12 $330,689,377.14 $329,434,151.61 TYPE OF DWELLING UNIT: AT ISSUE CURRENT SNGL FAM DET 84% 83% 2-4 FAMILY 2% 2% TOWNHOUSE 1% 1% CONDOMINIUM 7% 8% 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: $277,872.42 PRINCIPAL PREPAYMENTS: $977,353.11 1 MONTH 3 MONTH 12 MONTH CUMULATIVE PRICING SPEED(PSA):300% PREPAYMENT HISTORY(PSA): 240% 395% 0% 402% PREPAYMENT HISTORY(CPR): 3.50% 4.99% 0.00% 4.27% DELINQUENCY (1)

--------------------------------------------------------------------------------------------------------- Number of Amount of Scheduled Amount of Actual Pool Item loans Balance Balance # PCT Amount PCT Amount PCT --------------------------------------------------------------------------------------------------------- (2) 30-59 Days 31 0.5217% $2117,~~128,943~~601.0520 0.6404% $2117,~~133,447~~832.9540 0.6404% FIXED (2) 60-89 Days 0 0.00% $0.00 0.00% $0.00 0.00% (2) 90 + Days 0 0.00% $0.00 0.00% $0.00 0.00% REAL ESTATE OWNED BY THE TRUST 0 0.00% $0.00 0.00% $0.00 0.00% FORECLOSURES IN PROCESS 0 0.00% $0.00 0.00% $0.00 0.00% BANKRUPTCIES IN PROCESS 0 0.00% $0.00 0.00% $0.00 0.00% PURCHASE AMOUNT ADVANCES NA

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

Filing Compare · Citicorp Mortgage Securities Trust, Series 2006-2