I agree with jpinpb, it seems to make sense to let them know that you plan on having them apply your security deposit to the last months rent. It seems that in the case open communication with your landlord would be the best approach – they have already opened up with you about the possibility of defaulting on the loan. You may also want to document all the maintence and costs associated that you have done to keep the property in good condition.
Congratulations on your new home, you must be excited!