SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest event
reported): June 20, 1997
FINANCIAL ASSET SECURITIES CORP.,(as depositor
under the Pooling and Servicing Agreement, dated
as of June 9, 1997, providing for the issuance
of Financial Asset Securities Corp., Cityscape Home
Equity Loan Trust, Series 1997-C, Home Equity Loan
Pass-Through Certificates)
-------------------------------------------------------------
(Exact name of Registrant as specified in its charter)
Delaware 333-29381 06-1442010
- ---------------------------- ------------- ------------------
(State or Other Jurisdiction (Commission (I.R.S. Employer
of Incorporation) File Number) Identification No.)
600 Steamboat Road
Greenwich, Connecticut 06830
- ---------------------- ----------
(Address of Principal (ZIP Code)
Executive Offices)
Registrant's telephone number, including area code: (203) 625-2700
--------------
Item 5. Other Events.
- ---- ------------
Filing of Structural Term Sheets, Computational Materials and Collateral
- ------------------------------------------------------------------------
Terms Sheets
- ------------
In connection with the offering of the Cityscape Home Equity Loan Trust,
Series 1997-C, Home Equity Loan Pass-Through Certificates (the
"Certificates"), Greenwich Capital Markets, Inc. ("GCM"), as lead managing
underwriter of the Certificates, has prepared certain structural terms sheets
("Structural Term Sheets") related computational materials ("Computational
Materials") and related collateral term sheets ("Collateral Term Sheets") for
distribution to potential investors. Similarly, Prudential Securities
Incorporated ("PSI"), as co-managing underwriter, has used a Structural Term
Sheet, Computational Materials and Collateral Term Sheets. Although the
Registrant provided the GCM and PSI certain information regarding the
characteristics of the assets in the related portfolio of mortgage loans, the
Registrant did not participate in the preparation of the Structural Term
Sheets, Computational Materials or Collateral Term Sheets. Prior to or
concurrently with the filing hereof, pursuant to Rule 202 of Regulation 202,
the Registrant is filing the Collateral Term Sheets and Computational
Materials by paper filing on Form SE in reliance on a continuing hardship
exemption.
Item 7. Financial Statements, Pro Forma Financial
- ---- -----------------------------------------
Information and Exhibits.
------------------------
(a) Not applicable.
(b) Not applicable.
(c) Exhibits:
99.1 Collateral Term Sheets for Cityscape
Home Equity Loan Trust, Series 1997-C,
used by GCM.
99.2 Collateral Term Sheets for Cityscape
Home Equity Loan Trust, Series 1997-C,
used by PSI.
99.3 Computational Materials for Cityscape
Home Equity Loan Trust, Series 1997-C,
used by GCM.
99.4 Computational Materials for Cityscape
Home Equity Loan Trust, Series 1997-C,
used by PSI.
99.5 Structural Term Sheet used by GCM.
99.6 Structural Term Sheet used by PSI.
SIGNATURES
Filings Made by the Registrant. The registrant has duly caused this form
to be signed on its behalf by the undersigned, thereunto duly authorized, in
the City of Greenwich, State of Connecticut, on June 27, 1997.
FINANCIAL ASSET SECURITIES CORP.
By: /s/ Peter McMullin
----------------------------
Peter McMullin
IN ACCORDANCE WITH RULE 202 OF REGULATION S-T, THESE
COLLATERIAL TERM SHEETS ARE BEING FILED IN PAPER PURSUANT TO A
CONTINUING HARDSHIP EXEMPTION.
Exhibit 99.1
------------
COLLATERAL TERM SHEETS USED BY GCM
for
FINANCIAL ASSET SECURITIES CORP.
Cityscape Home Equity Loan Trust, Series 1997-C
IN ACCORDANCE WITH RULE 202 OF REGULATION S-T, THESE
COLLATERIAL TERM SHEETS ARE BEING FILED IN PAPER PURSUANT TO A
CONTINUING HARDSHIP EXEMPTION.
Exhibit 99.2
------------
COLLATERAL TERM SHEETS USED BY PSI
for
FINANCIAL ASSET SECURITIES CORP.
Cityscape Home Equity Loan Trust, Series 1997-C
IN ACCORDANCE WITH RULE 202 OF REGULATION S-T, THESE
COMPUTATIONAL MATERIALS ARE BEING FILED IN PAPER PURSUANT TO A
CONTINUING HARDSHIP EXEMPTION.
Exhibit 99.3
------------
COMPUTATIONAL MATERIALS USED BY GCM
for
FINANCIAL ASSET SECURITIES CORP.
Cityscape Home Equity Loan Trust, Series 1997-C
IN ACCORDANCE WITH RULE 202 OF REGULATION S-T, THESE
COMPUTATIONAL MATERIALS ARE BEING FILED IN PAPER PURSUANT TO A
CONTINUING HARDSHIP EXEMPTION.
Exhibit 99.4
------------
COMPUTATIONAL MATERIALS USED BY PSI
for
FINANCIAL ASSET SECURITIES CORP.
Cityscape Home Equity Loan Trust, Series 1997-C
This Preliminary Term Sheet is provided for information purposes only, and
does not constitute an offer to sell, nor a solicitation of an offer to buy,
the referenced securities. It does not purport to be all-inclusive or to
contain all of the information that a prospective investor may require to
make a full analysis of the transaction. All amounts are approximate and
subject to change. The information contained herein supersedes information
contained in any prior information term sheet for this transaction. In
addition, the information contained herein may be superseded by information
contained in term sheets circulated after the date hereof and is qualified in
its entirety by information contained in the Prospectus and Prospectus
Supplement for this transaction. An offering may be made only through the
delivery of the Prospectus and Prospectus Supplement. An offering may be
made only through the delivery of the Prospectus and Prospectus Supplement.
DATE PREPARED: 6/17/97
PRELIMINARY TERM SHEET
-----------------------
CITYSCAPE HOME EQUITY LOAN TRUST, SERIES 1997-C
FIXED RATE AND ADJUSTABLE RATE HOME EQUITY LOAN PASS-THROUGH CERTIFICATES
APPROXIMATELY $200,000,000
Financial Asset Securities Corp., Depositor
<TABLE>
<CAPTION> Payment Window Expected Ratings
Class(1) Amount WAL (Yrs)/(2,3)/ (MOS)/(2,3)/ Tranche Type Benchmark Fitch/S&P
-------- ------- ---------------- ------------------- ------------- ----------- ----------------
<S> <C> <C> <C> <C> <C> <C>
A-1 $39,600,000 1.08 01-24 Adj. Seq. 1 Month LIBOR AAA/AAA
A-2 $27,500,000 3.10 24-60 Fixed Seq. 3 YR AAA/AAA
A-3 $12,438,000 7.13 Call/8.60 Mat 60-100 Call/60-181 Mat Fixed Seq. 6 1/2% 8/05 AAA/AAA
A-4 $7,800,000 6.42 Call/6.57 Mat 38-100 Call/38-178 Mat Fixed Lockout 5 7/8% 2/04 AAA/AAA
A-5 $78,527,000 2.48 Call/2.70 Mat 01-95 Call/01-213 Mat Adj. Senior 1 Month LIBOR AAA/AAA
M-1F $6,659,000 5.58 Call/6.10 Mat 37-100 Call/37-172 Mat Fixed Mezz. 5 3/4% 8/03 AA/AA
M-2F $4,867,000 5.58 Call/6.00 Mat 37-100 Call/37-153 Mat Fixed Mezz. 5 3/4% 8/03 A/A
B-1F $3,586,076 5.53 Call/5.67 Mat 37-100 Call/37-127 Mat Fixed Sub. 6 1/4% 2/03 BBB/BBB
M-1A $9,268,000 5.28 Call/5.84 Mat 39-95 Call/39-180 Mat Adj. Mezz 1 Month LIBOR AA/AA+
M-2A $5,609,000 5.23 Call/5.71 Mat 38-95 Call/38-158 Mat Adj. Mezz 1 Month LIBOR A/A+
B-1A $4,145,924 5.20 Call/5.43 Mat 37-95 Call/37-132 Mat Adj. Sub 1 Month LIBOR BBB/BBB
</TABLE>
(1) The Class A-1 through A-4, M-1F, M-2F and B-1F Certificates are
collateralized by the Fixed Rate Mortgage Loans (as defined herein).
The Class A-5, M-1A, M-2A and B-1A Certificates are collateralized by
the Adjustable Rate Mortgage Loans (as defined herein). The Class A-1
Certificates will be the "Fixed Senior Floater" based on One Month LIBOR
plus ( %) (subject to a cap equal to the weighted average coupon of
the Fixed Rate Mortgage Loans minus (0.51125%) (comprised of a 0.50%
servicing fee and a 0.01125% trustee fee)); the Class A-2 through A-4,
M-1F, M-2F and B-1F Certificates will be the "Fixed Rate Certificates"
(together with the Fixed Senior Floater, the "Fixed Mortgage Loan
Certificates") and the Class A-5, M-1A, M-2A and B-1A Certificates will
be the "Adjustable Rate Certificates" based on One Month LIBOR plus
their respective pass-through margins (each subject to a cap equal to
the weighted average coupon of the Adjustable Rate Mortgage Loans minus
(0.51125%)). If the cleanup call, with respect to the Adjustable Rate
Mortgage Loans, is not exercised, the pass-through margin on the Class
A-5 Certificates will double and on the Class M-1A, M-2A and B-1A will
increase by 1.5 times.
(2) The Fixed Mortgage Loan Certificates will be priced to maturity. The
Adjustable Rate Certificates will be priced to the cleanup call.
(3) These Computational Materials should be accompanied by a one page
disclaimer which must be read in its entirety by the addressee of this
communication. If such disclaimer is not attached hereto, please
contact your sales representative. See "Pricing Prepayment Speed"
below.
Underwriters: Greenwich Capital Markets, Inc. (Lead Manager);
Prudential Securities Inc. (Co-Manager).
Seller/Servicer: Cityscape Corp.
Depositor: Financial Asset Securities Corp.
Trustee: First Trust National Association.
Federal Tax Status: An election will be made to treat the Trust as a
REMIC.
Registration: The Certificates will be available in book-entry
form through DTC.
Expected Pricing Date: Thursday, June 19, 1997
Expected Closing Date Thursday, June 26, 1997
Expected Settlement
Date: Thursday, June 26, 1997
Cut-off Date: Monday, June 9, 1997 (close of business)
Accrued Interest: The price to be paid by investors for the Fixed Rate
Certificates will include accrued interest from June
10, 1997 (the "Accrued Date") up to, but not
including, the Settlement Date (16 days). The price
to be paid by investors for the Fixed Senior Floater
and the Adjustable Rate Certificates will settle
flat (0 days accrued interest).
Interest Accrual Period: The interest accrual period for the first
Distribution Date with respect to the Fixed Rate
Certificates will include 21 days of interest and
with respect to any subsequent Distribution Date
will be the calendar month preceding such
Distribution Date (based on a 360-day year
consisting of twelve 30-day day months). The
interest accrual period for the first Distribution
Date with respect to the Fixed Senior Floater and
the Adjustable Rate Certificates will include 29
days of interest and with respect to any subsequent
Distribution Date will be the period beginning with
the previous Distribution Date and ending on the day
prior to such Distribution Date (actual/360).
Distribution Dates: 25th day of each month (or the next succeeding
business day) commencing July 25, 1997.
ERISA Eligibility: The Class A Certificates are expected to be ERISA
eligible. The Class M and Class B Certificates are
not expected to be ERISA eligible.
SMMEA Treatment: It is expected that none of the Certificates will
constitute "mortgage related securities" for
purposes of SMMEA.
Optional Termination: Each respective loan group provides for an optional
cleanup call which may be exercised once the current
principal balance of such loan group is equal to 10%
or less of the respective loan group's Maximum
Collateral Amount (defined below).
Pricing Prepayment
Speed: Assumes, for Fixed Rate Mortgage Loans, that
prepayments begin at 4.8% CPR in month 1, raise by
1.745% per month to 24% CPR in month 12 and remain
at 24% CPR thereafter (the "Prepayment Assumption");
and assumes, for Adjustable Rate Mortgage Loans,
that prepayments are a constant 25% CPR.
Mortgage Loans: It is expected that Fixed Rate Mortgage Loans (the
"Initial Fixed Rate Mortgage Loans") having an
aggregate principal balance of approximately
$80,183,777.04 will be deposited into the Trust on
the Expected Closing Date. A Pre-Funding Account
will be established on the Closing Date into which
approximately $22,266,299.36 in cash will be
deposited. On or prior to August 31, 1997, the
amount on deposit in the Pre-Funding Account will be
used to purchase additional mortgage loans (to the
extent available) having similar characteristics as
the Initial Fixed Rate Mortgage Loans (with any
unused portion of such deposit amount to be
distributed as principal of the related
Certificates). It is also expected that Adjustable
Rate Mortgage Loans (the "Adjustable Rate Mortgage
Loans") having an aggregate principal balance of
approximately $97,549,923.60 will be deposited into
the Trust on the Expected Closing Date. With
respect to the each loan group, the sum of the
applicable cut-off date principal balances of any
additional loans, if applicable and the Cut-off Date
principal balances of the applicable initial
Mortgage Loans is such loan group's "Maximum
Collateral Amount".
Credit Enhancement: Credit enhancement for the Class A Fixed Mortgage
Loan Certificates will consist of (i) excess
cashflow, (ii) subordination of the M-1F, M-2F and
B-1F Classes (initially (14.75)%) and (iii)
overcollateralization.
Credit enhancement for the Class A Adjustable Rate
Certificates will consist of (i) excess cashflow,
(ii) subordination of the M-1A, M-2A and B-1A
Classes (initially (19.50)%) and (iii)
overcollateralization.
Credit enhancement for the Class M-1F Certificates
will consist of (i) excess cashflow, (ii)
subordination of the M-2F and B-1F Classes
(initially (8.25)%) and (iii) overcollateralization.
Credit enhancement for the Class M-1A Certificates
will consist of (i) excess cashflow, (ii)
subordination of the M-2A and B-1A Classes
(initially (10.0)%) and (iii) overcollateralization.
Credit enhancement for the Class M-2F Certificates
will consist of (i) excess cashflow, (ii)
subordination of Class B-1F (initially (3.50)%) and
(iii) overcollateralization.
Credit enhancement for the Class M-2A Certificates
will consist of (i) excess cashflow, (ii)
subordination of Class B-1A (initially (4.25)%) and
(iii) overcollateralization.
Credit enhancement for the Class B-1F Certificates
will consist of (i) excess cashflow and (ii)
overcollateralization.
Credit enhancement for the Class B-1A Certificates
will consist of (i) excess cashflow and (ii)
overcollateralization.
Overcollateralization: On each Distribution Date prior to the Stepdown Date
(defined below) excess interest will be paid as
principal on the related Certificates until the O/C
reaches (1.50%) and (2.00%) of the Maximum
Collateral Amounts for the Fixed Rate Mortgage Loans
and Adjustable Rate Mortgage Loans, respectively
(subject to performance triggers). On and after the
Stepdown Date (subject to performance triggers), O/C
needs to be maintained at (3.00%) and (4.00%), of
the current principal balances of the Fixed Rate
Mortgage Loans and Adjustable Rate Mortgage Loans,
respectively (the O/C is subject to a floor of
0.50% of each group's respective Maximum Collateral
Amount).
Stepdown Date: With respect to each loan group, the earlier of: (i)
the first Distribution Date after June 2000 as to
which the credit enhancement for the respective
Class A Certificates reaches its targeted credit
enhancement level and (ii) the retirement of the
respective Class A Certificates.
Trigger Events: (To be finalized with the Rating Agencies).
Priority of
Distributions: Fixed Rate Mortgage Loan available funds will be
distributed first, to interest on the Fixed Mortgage
Loan Certificates and second, as principal of the
Fixed Mortgage Loan Certificates in the following
order of priority.
Interest
1) Class A Fixed Mortgage Loan Certificates,
current interest and unpaid interest shortfalls
2) Class M-1F Certificates, current interest
3) Class M-2F Certificates, current interest
4) Class B-1F Certificates, current interest
5) Excess interest will be paid as principal,
subject to the O/C target, based on the
principal payment rules described below.
Principal (prior to the Stepdown Date or if a
Trigger Event is occurring)
1) Class A-4 Certificates in accordance with the
following Lockout Percentage:
July 1997 - June 2000 0%
July 2000 - June 2002 45%
July 2002 - June 2003 80%
July 2003 - June 2004 100%
July 2004 - 300%
2) Class A-1 through A-4 Certificates,
sequentially
3) Class M-1, M-2 and B Certificates (see "on and
after the Stepdown Date" below)
Principal (on and after the Stepdown Date or if no
Trigger Event occurring)
* Principal will be distributed to each Class in
order of priority until the target principal
balance and related target credit enhancement
level for each Class is reached (targeted
credit enhancement levels (i) are subject to
the O/C floor, as described above, and (ii) may
change due to the occurrence of Trigger
Events).
Target % of Pool Target Credit Enhancement
---------------- -------------------------
Class A-1 through A-4 37.50% 32.50%
Class M-1F 13.00% 19.50%
Class M-2F 9.50% 10.00%
Class B-1F 7.00% 3.00%
Any Remaining Funds
1) reimbursements of unpaid interest and principal
writedowns on the Class M-1F, M-2F and B-1F
Certificates.
Adjustable Rate Mortgage Loan available funds will
be distributed first, to interest on the Adjustable
Rate Certificates and second, as principal of the
Adjustable Rate Certificates in the following order
of priority.
Interest
1) Class A-5 Certificates, current interest and
unpaid interest shortfalls
2) Class M-1A Certificates, current interest
3) Class M-2A Certificates, current interest
4) Class B-1A Certificates, current interest
5) Excess interest will be paid as principal,
subject to the O/C target, based on the
principal payment rules described below.
Principal (prior to the Stepdown Date or if a
Trigger Event is occurring)
1) Class A-5 Certificates, until retired
2) Class M-1, M-2 and B Certificates, (see "on and
after the Stepdown Date" below
Principal (on and after the Stepdown Date or if no
Trigger Event occurring)
* Principal will be distributed to each Class in
order of priority until the target principal
balance and related target credit enhancement
level for each Class is reached (targeted
credit enhancement levels (i) are subject to
the O/C floor, as described above, and (ii) may
change due to the occurrence of Trigger
Events).
Target % of Pool Target Credit Enhancement
---------------- -------------------------
Class A-5 57.00% 43.00%
Class M-1A 19.00% 24.00%
Class M-2A 11.50% 12.50%
Class B-1A 8.50% 4.00%
Any Remaining Funds
1) reimbursements of unpaid interest and principal
writedowns on the Class M-1A, M-2A and B-1A
Certificates.
Collateral Description: Please see attached.
THE SERVICER
Cityscape Corporation ("Cityscape"), is a New York, Corporation that is a
wholly owned subsidiary of Cityscape Financial Corp., a publicly-traded
Delaware corporation, and is a full service mortgage banker engaged in the
business of originating, selling and servicing mortgage loans on one- to
four-family residential properties and small mixed-use properties, with an
emphasis on non-conforming first and second mortgages. Cityscape was
incorporated in New York in 1985 and currently is licensed as mortgage banker
or registered, as required, in 44 states and the District of Columbia.
Cityscape specializes in home equity loans that do not conform to the
underwriting standards of FNMA, FHLMC, banks and other primary lending
institutions, particularly as such standards relate to a prospective
borrower's credit history. In analyzing loan applications, Cityscape
analyzes both the borrower's credit and the value of the underlying property
which will secure the loan, including the characteristics of the underlying
first lien, if any. Cityscape considers factors pertaining to the borrower's
current employment, stability of employment and income, financial resources,
and analysis of credit, reflecting not only the ability to pay, but also the
willingness to repay contractual obligations. The properties age, condition,
location, value and continued marketability are additional factors considered
in each risk analysis. Cityscape's underwriting standards are designed to
provide a program for all qualified applicants in an amount and for a period
of time consistent with their ability to repay. The collateral securing
loans acquired or originated by Cityscape are generally one- to four-family
residences, including condominiums, manufactured housing and townhomes and
such properties may or may not be owner occupied by the owner. It is
Cityscape's policy not accept mobile or commercial properties (other than
small mixed-use properties) or unimproved land as collateral.
DATE REVISED: 6/18/97
REVISED PRELIMINARY TERM SHEET
-------------------------------
CITYSCAPE HOME EQUITY LOAN TRUST, SERIES 1997-C
FIXED RATE AND ADJUSTABLE RATE HOME EQUITY LOAN PASS-THROUGH CERTIFICATES
APPROXIMATELY $200,000,000
Financial Asset Securities Corp., Depositor
<TABLE>
<CAPTION>
WAL Payment Window Tranche Expected
Class(1) Amount (Yrs)/ (2,3)/ (Mos)/ (2,3)/ Type Benchmark Fitch/S&P/Duff
<S> <C> <C> <C> <C> <C> <C>
A-1 $39,600,000 1.08 01-24 Adj. Seq. 1 Month LIBOR AAA/AAA/AAA
A-2 $27,500,000 3.10 24-60 Fixed Seq. 3 YR AAA/AAA/AAA
A-3 $12,438,000 7.13 Call/8.60 60-100 Call/60-181 Fixed Seq. 6 1/2% 8/05 AAA/AAA/AAA
A-4 $7,800,000 6.42 Call/6.57 38-100 Call/38-178 Fixed 5 7/8% 2/04 AAA/AAA/AAA
A-5 $78,527,000 2.48 Call/2.70 01-95 Call/01-213 Adj. Senior 1 Month LIBOR AAA/AAA/AAA
M-1F $6,659,000 5.58 Call/6.10 37-100 Call/37-172 Fixed Mezz. 5 3/4% 8/03 AA/AA/AA
M-2F $4,867,000 5.58 Call/6.00 37-100 Call/37-153 Fixed Mezz. 5 3/4% 8/03 A/A/A
B-1F $3,586,076 5.53 Call/5.67 37-100 Call/37-127 Fixed Sub. 6 1/4% 2/03 BBB/BBB/BBB
M-1A $9,268,000 5.28 Call/5.84 39-95 Call/39-180 Adj. Mezz. 1 Month LIBOR AA/AA+/AA
M-2A $5,609,000 5.23 Call/5.71 38-95 Call/38-158 Adj. Mezz. 1 Month LIBOR A/A+/A-
B-1A $4,145,924 5.20 Call/5.43 37-95 Call/37-132 Adj. Sub. 1 Month LIBOR BBB/BBB/BBB-
Total: $200,000,00
</TABLE>
(1) The Class A-1 through A-4, M-1F, M-2F and B-1F Certificates are
collateralized by the Fixed Rate Mortgage Loans (as defined herein). The
Class A-5, M-1A, M-2A and B-1A Certificates are collateralized by the
Adjustable Rate Mortgage Loans (as defined herein). The Class A-1
Certificates will be the "Fixed Senior Floater" based on One Month LIBOR plus
( %) (subject to a cap equal to the weighted average coupon of the Fixed
Rate Mortgage Loans minus (0.51125%) (comprised of a 0.50% servicing fee and
a 0.01125% trustee fee)); the Class A-2 through A-4, M-1F, M-2F and B-1F
Certificates will be the "Fixed Rate Certificates" (together with the Fixed
Senior Floater, the "Fixed Mortgage Loan Certificates") and the Class A-5, M-
1A, M-2A and B-1A Certificates will be the "Adjustable Rate Certificates"
based on One Month LIBOR plus their respective pass-through margins (each
subject to a cap equal to the weighted average coupon of the Adjustable Rate
Mortgage Loans minus (0.51125%)). If the cleanup call, with respect to the
Adjustable Rate Mortgage Loans, is not exercised, the pass-through margin on
the Class A-5 Certificates will double and on the Class M-1A, M-2A and B-1A
will increase by 1.5 times.
(2) The Fixed Mortgage Loan Certificates will be priced to maturity. The
Adjustable Rate Certificates will be priced to the cleanup call.
(3) These Computational Materials should be accompanied by a one page
disclaimer which must be read in its entirety by the addressee of this
communication. If such disclaimer is not attached hereto, please
contact your sales representative. See "Pricing Prepayment Speed" below.
Underwriters: Greenwich Capital Markets, Inc. (Lead Manager); Prudential
Securities Inc. (Co-Manager).
Seller/Servicer: Cityscape Corp.
Depositor: Financial Asset Securities Corp.
Trustee: First Trust National Association.
Federal Tax Status: An election will be made to treat the Trust as a REMIC.
Registration: The Certificates will be available in book-entry form through
DTC.
Expected Pricing Date: Thursday, June 19, 1997
Expected Closing Date: Thursday, June 26, 1997
Expected Settlement Date: Thursday, June 26, 1997
Cut-off Date: Monday, June 9, 1997 (close of business)
Accrued Interest:
The price to be paid by investors for the Fixed Rate Certificates will
include accrued interest from June 10, 1997
(the "Accrued Date") up to, but not including,
the Settlement Date (16 days). The price to be
paid by investors for the Fixed Senior Floater
and the Adjustable Rate Certificates will
settle flat (0 days accrued interest).
Interest Accrual Period:
The interest accrual period for the first Distribution Date with respect to
the Fixed Rate Certificates will include 21
days of interest and with respect to any
subsequent Distribution Date will be the
calendar month preceding such Distribution Date
(based on a 360-day year consisting of twelve
30-day day months). The interest accrual
period for the first Distribution Date with
respect to the Fixed Senior Floater and the
Adjustable Rate Certificates will include 29
days of interest and with respect to any
subsequent Distribution Date will be the period
beginning with the previous Distribution Date
and ending on the day prior to such
Distribution Date (actual/360).
Distribution Dates:
25th day of each month (or the next succeeding business day) commencing July
25, 1997.
ERISA Eligibility:
The Class A Certificates are expected to be ERISA eligible. The Class M and
Class B Certificates are not expected to be
ERISA eligible.
SMMEA Treatment:
It is expected that none of the Certificates will constitute "mortgage
related securities" for purposes of SMMEA.
Optional Termination:
Each respective loan group provides for an optional cleanup call which may be
exercised once the current principal balance of
such loan group is equal to 10% or less of the
respective loan group's Maximum Collateral
Amount (defined below).
Pricing Prepayment Speed:
Assumes, for Fixed Rate Mortgage Loans, that prepayments begin at 4.8% CPR in
month 1, raise by 1.745% per month to 24% CPR
in month 12 and remain at 24% CPR thereafter
(the "Prepayment Assumption"); and assumes, for
Adjustable Rate Mortgage Loans, that
prepayments are a constant 25% CPR.
Mortgage Loans:
It is expected that Fixed Rate Mortgage Loans (the "Initial Fixed Rate
Mortgage Loans") having an aggregate principal
balance of approximately $80,183,777.04 will be
deposited into the Trust on the Expected
Closing Date. A Pre-Funding Account will be
established on the Closing Date into which
approximately $22,266,299.36 in cash will be
deposited. On or prior to August 31, 1997, the
amount on deposit in the Pre-Funding Account
will be used to purchase additional mortgage
loans (to the extent available) having similar
characteristics as the Initial Fixed Rate
Mortgage Loans (with any unused portion of such
deposit amount to be distributed as principal
of the related Certificates). It is also
expected that Adjustable Rate Mortgage Loans
(the "Adjustable Rate Mortgage Loans") having
an aggregate principal balance of
approximately $97,549,923.60 will be deposited
into the Trust on the Expected Closing Date.
With respect to the each loan group, the sum of
the applicable cut-off date principal balances
of any additional loans, if applicable and the
Cut-off Date principal balances of the
applicable initial Mortgage Loans is such loan
group's "Maximum Collateral Amount".
Credit Enhancement:
Credit enhancement for the Class A Fixed Mortgage Loan Certificates will
----------------------------------------
consist of (i) excess cashflow, (ii) subordination of the M-1F, M-2F and B-1F
Classes (initially (14.75)%) and (iii) overcollateralization.
Credit enhancement for the Class A Adjustable Rate Certificates will
------------------------------------
consist of (i) excess cashflow, (ii) subordination of the M-1A, M-2A and B-1A
Classes (initially (19.50)%) and (iii) overcollateralization.
Credit enhancement for the Class M-1F
----------
Certificates will consist of (i) excess cashflow, (ii) subordination of the
- ------------
M-2F and B-1F Classes (initially (8.25)%) and (iii) overcollateralization.
Credit enhancement for the Class M-1A
----------
Certificates will consist of (i) excess cashflow, (ii) subordination of the
- ------------
M-2A and B-1A Classes (initially (10.0)%) and (iii) overcollateralization.
Credit enhancement for the Class M-2F
----------
Certificates will consist of (i) excess cashflow, (ii) subordination of Class
- ------------
B-1F (initially (3.50)%) and (iii) overcollateralization.
Credit enhancement for the Class M-2A
----------
Certificates will consist of (i) excess cashflow, (ii) subordination of Class
- ------------
B-1A (initially (4.25)%) and (iii) overcollateralization.
Credit enhancement for the Class B-1F Certificates will consist of (i)
-----------------------
excess cashflow and (ii) overcollateralization.
Credit enhancement for the Class B-1A Certificates will consist of (i)
-----------------------
excess cashflow and (ii) overcollateralization.
Overcollateralization:
On each Distribution Date prior to the Stepdown Date (defined below) excess
interest will be paid as principal on the
related Certificates until the O/C reaches
(1.50%) and (2.00%) of the Maximum Collateral
Amounts for the Fixed Rate Mortgage Loans and
Adjustable Rate Mortgage Loans, respectively
(subject to performance triggers). On and
after the Stepdown Date (subject to performance
triggers), O/C needs to be maintained at
(3.00%) and (4.00%), of the current principal
balances of the Fixed Rate Mortgage Loans and
Adjustable Rate Mortgage Loans, respectively
(the O/C is subject to a floor of 0.50% of each
group's respective Maximum Collateral Amount).
Stepdown Date:
With respect to each loan group, the earlier of: (i) the first Distribution
Date after June 2000 as to which the credit
enhancement for the respective Class A
Certificates reaches its targeted credit
enhancement level and (ii) the retirement of
the respective Class A Certificates.
Trigger Events:
(To be finalized with the Rating Agencies).
Priority of Distributions:
Fixed Rate Mortgage Loan available funds will be distributed first, to
- ------------------------
interest on the Fixed Mortgage Loan Certificates and second, as principal of
the Fixed Mortgage Loan Certificates in the following order of priority.
Interest
- --------
1) Class A Fixed Mortgage Loan Certificates, current interest and
unpaid interest shortfalls
2) Class M-1F Certificates, current interest
3) Class M-2F Certificates, current interest
4) Class B-1F Certificates, current interest
5) Excess interest will be paid as principal, subject to the O/C target,
based on the principal payment rules described below.
Principal (prior to the Stepdown Date or if a Trigger Event is occurring)
- ---------
1) Class A-4 Certificates in accordance with the following Lockout Percentage:
July 1997 - June 2000 0%
July 2000 - June 2002 45%
July 2002 - June 2003 80%
July 2003 - June 2004 100%
July 2004 - 300%
2) Class A-1 through A-4 Certificates, sequentially
3) Class M-1, M-2 and B Certificates (see "on and after the
Stepdown Date" below)
Principal (on and after the Stepdown Date or if no Trigger Event occurring)
- ---------
Principal will be distributed to each Class in order of priority
until the target principal balance and related target credit enhancement
level for each Class is reached (targeted credit enhancement levels (i)
are subject to the O/C floor, as described above, and (ii) may
change due to the occurrence of Trigger Events).
Target % of
Pool Target Credit Enhancement
---- -------------------------
Class A-1 through A-4 67.50% 32.50%
Class M-1F 13.00% 19.50%
Class M-2F 9.50% 10.00%
Class B-1F 7.00% 3.00%
Any Remaining Funds
- -------------------
1) reimbursements of unpaid interest and principal writedowns on the Class
M-1F, M-2F and B-1F Certificates.
Adjustable Rate Mortgage Loan available funds
will be distributed first, to interest on the
Adjustable Rate Certificates and second, as
principal of the Adjustable Rate Certificates
in the following order of priority.
Interest
- --------
1) Class A-5 Certificates, current interest and unpaid interest
shortfalls
2) Class M-1A Certificates, current interest
3) Class M-2A Certificates, current interest
4) Class B-1A Certificates, current interest
5) Excess interest will be paid as principal, subject to the O/C
target, based on the 1)2)3) principal payment rules described below.
Principal (prior to the Stepdown Date or if a Trigger Event occurring)
- ---------
1) Class A-5 Certificates, until retired
2) Class M-1, M-2 and B Certificates, (see "on and after the
Stepdown Date" below)
Principal (on and after the Stepdown Date or if no Trigger Event occurring)
- ---------
Principal will be distributed to each Class in order of priority until the
target principal balance and related target credit enhancement level for
each Class is reached (targeted credit enhancement levels (i) are
subject to the O/C floor, as described above, and (ii) may
change due to the occurrence of Trigger Events).
Target % of
Pool Target Credit Enhancement
---------- -------------------------
Class A-5 57.00% 43.00%
Class M-1A 19.00% 24.00%
Class M-2A 11.50% 12.50%
Class B-1A 8.50% 4.00%
Any Remaining Funds
- -------------------
1) reimbursements of unpaid interest and principal writedowns on the Class
M-1A, M-2A and B-1A Certificates.
Collateral Description:
Please see attached.
THE SERVICER
Cityscape Corporation ("Cityscape"), is a New York, Corporation that is a
wholly owned subsidiary of Cityscape Financial Corp., a publicly-traded
Delaware corporation, and is a full service mortgage banker engaged in the
business of originating, selling and servicing mortgage loans on one- to
four-family residential properties and small mixed-use properties, with an
emphasis on non-conforming first and second mortgages. Cityscape was
incorporated in New York in 1985 and currently is licensed as mortgage banker
or registered, as required, in 44 states and the District of Columbia.
Cityscape specializes in home equity loans that do not conform to the
underwriting standards of FNMA, FHLMC, banks and other primary lending
institutions, particularly as such standards relate to a prospective
borrower's credit history. In analyzing loan applications, Cityscape
analyzes both the borrower's credit and the value of the underlying property
which will secure the loan, including the characteristics of the underlying
first lien, if any. Cityscape considers factors pertaining to the borrower's
current employment, stability of employment and income, financial resources,
and analysis of credit, reflecting not only the ability to pay, but also the
willingness to repay contractual obligations. The properties age, condition,
location, value and continued marketability are additional factors considered
in each risk analysis. Cityscape's underwriting standards are designed to
provide a program for all qualified applicants in an amount and for a period
of time consistent with their ability to repay. The collateral securing
loans acquired or originated by Cityscape are generally one- to four-family
residences, including condominiums, manufactured housing and townhomes and
such properties may or may not be owner occupied by the owner. It is
Cityscape's policy not accept mobile or commercial properties (other than
small mixed-use properties) or unimproved land as collateral.
DATE FINALIZED: 6/20/97
Final Term Sheet
-----------------
Cityscape Home Equity Loan Trust, Series 1997-C
Fixed Rate and Adjustable Rate Home Equity Loan Pass-Through Certificates
Approximately $200,000,000
Financial Asset Securities Corp., Depositor
<TABLE>
<CAPTION>
WAL Payment Window Tranche Expected Ratings
Class/(1) Amount (Yrs)/ (2,3)/ (Mos)/ (2,3)/ Type Fitch/S&P/Duff
<S> <C> <C> <C> <C> <C>
A-1 $39,600,000 1.08 01-24 Adj. Seq. AAA/AAA/AAA
A-2 $27,500,000 3.10 24-60 Fixed Seq. AAA/AAA/AAA
A-3 $12,438,000 7.13 Call/8.60 Mat 60-100 Call/60-181 Mat Fixed Seq. AAA/AAA/AAA
A-4 $7,800,000 6.42 Call/6.57 Mat 38-100 Call/38-178 Mat Fixed Lockout AAA/AAA/AAA
A-5 $78,527,000 2.48 Call/2.70 Mat 01-95 Call/01-213 Mat Adj. Senior AAA/AAA/AAA
M-1F $6,659,000 5.58 Call/6.10 Mat 37-100 Call/37-172 Mat Fixed Mezz. AA/AA/AA
M-2F $4,867,000 5.58 Call/6.00 Mat 37-100 Call/37-153 Mat Fixed Mezz. A/A/A
B-1F $3,586,076 5.53 Call/5.67 Mat 37-100 Call/37-127 Mat Fixed Sub. BBB/BBB/BBB
M-1A $9,268,000 5.28 Call/5.84 Mat 39-95 Call/39-180 Mat Adj. Mezz. AA/AA+/AA
M-2A $5,609,000 5.23 Call/5.71 Mat 38-95 Call/38-158 Mat Adj. Mezz. A/A+/A-
B-1A $4,145,924 5.20 Call/5.43 Mat 37-95 Call/37-132 Mat Adj. Sub. BBB/BBB/BBB-
Total: $200,000,000
</TABLE>
<TABLE>
<CAPTION>
Class/(1) Final Price/(2)/ Coupon Benchmark/Yield Spread Yield/(2,3)/
<S> <C> <C> <C> <C> <C> <C>
A-1 April 2012 100-00 1M Libor+0.14% 1 Month LIBOR +14 -
A-2 July 2017 100-00 6.78% 3 YR / 6.13% +58 6.710%
A-3 July 2028 99-30+ 7.38% 7 1/4% 8/04 / 6.36% +105 7.410%
A-4 July 2028 99-31 7.00% BL 2/04&8/03 / 6.315% +70 7.015%
A-5 July 2028 100-00 1M Libor+0.24% 1 Month LIBOR +24 -
M-1F July 2028 100-00 7.24% 6 1/4% 2/03 / 6.29% +95 7.240%
M-2F July 2028 99-31 7.48% 6 1/4% 2/03 / 6.29% +120 7.490%
B-1F July 2028 99-31+ 7.83% 6 1/4% 2/03 / 6.29% +155 7.840%
M-1A July 2028 100-00 1M Libor+0.50% 1 Month LIBOR +50 -
M-2A July 2028 100-00 1M Libor+0.70% 1 Month LIBOR +70 -
B-1A July 2028 100-00 1M Libor+1.10% 1 Month LIBOR +110 -
</TABLE>
(1) The Class A-1 through A-4, M-1F, M-2F and B-1F Certificates are
collateralized by the Fixed Rate Mortgage Loans (as defined herein). The
Class A-5, M-1A, M-2A and B-1A Certificates are collateralized by the
Adjustable Rate Mortgage Loans (as defined herein). The Class A-1
Certificates will be the "Fixed Senior Floater" based on One Month LIBOR plus
0.14% (subject to a cap equal to the weighted average coupon of the Fixed
Rate Mortgage Loans minus 0.51125% (comprised of a 0.50% servicing fee and a
0.01125% trustee fee)); the Class A-2 through A-4, M-1F, M-2F and B-1F
Certificates will be the "Fixed Rate Certificates" (together with the Fixed
Senior Floater, the "Fixed Mortgage Loan Certificates") and the Class A-5, M-
1A, M-2A and B-1A Certificates will be the "Adjustable Rate Certificates"
based on One Month LIBOR plus their respective pass-through margins (each
subject to a cap equal to the weighted average coupon of the Adjustable Rate
Mortgage Loans minus 0.51125%). If the cleanup call, with respect to the
Fixed Rate Mortgage Loans, is not exercised, the pass-through rate on the
Class A-3, A-4, M-1F, M-2F and B-1F Certificates will step-up by 0.50%. If
the cleanup call, with respect to the Adjustable Rate Mortgage Loans, is not
exercised, the pass-through margin on the Class A-5 Certificates will double
and on the Class M-1A, M-2A and B-1A Certificates will increase by 1.5 times.
(2) The Class A-1 and A-2 Certificates are unaffected by the cleanup call.
All other Classes of Certificates are priced to the 10% (1)(2)(3)cleanup call.
(3) These Computational Materials should be accompanied by a one page
disclaimer which must be read in its entirety by the addressee of this
communication. If such disclaimer is not attached hereto, please
contact your sales representative. See "Pricing Prepayment Speed" below.
Underwriters: Greenwich Capital Markets, Inc. (Lead Manager); Prudential
Securities Inc. (Co-Manager).
Seller/Servicer: Cityscape Corp.
Depositor: Financial Asset Securities Corp.
Trustee: First Trust National Association.
Federal Tax Status:
An election will be made to treat the Trust as a REMIC.
Registration:
The Certificates will be available in book-entry form through DTC.
Pricing Date: Friday, June 20, 1997
Closing Date Thursday, June 26, 1997
Settlement Date: Thursday, June 26, 1997
Cut-off Date:
Monday, June 9, 1997 (close of business)
Accrued Interest:
The price to be paid by investors for the Fixed Rate Certificates will
include accrued interest from June 10, 1997
(the "Accrued Date") up to, but not including,
the Settlement Date (16 days). The price to be
paid by investors for the Fixed Senior Floater
and the Adjustable Rate Certificates will
settle flat (0 days accrued interest).
Interest Accrual Period:
The interest accrual period for the first Distribution Date with respect to
the Fixed Rate Certificates will include 21
days of interest and with respect to any
subsequent Distribution Date will be the
calendar month preceding such Distribution Date
(based on a 360-day year consisting of twelve
30-day day months). The interest accrual
period for the first Distribution Date with
respect to the Fixed Senior Floater and the
Adjustable Rate Certificates will include 29
days of interest and with respect to any
subsequent Distribution Date will be the period
beginning with the previous Distribution Date
and ending on the day prior to such
Distribution Date (actual/360).
Distribution Dates:
25th day of each month (or the next succeeding business day) commencing July
25, 1997.
ERISA Eligibility:
The Class A Certificates are expected to be ERISA eligible. The Class M and
Class B Certificates are not expected to be
ERISA eligible.
SMMEA Treatment:
It is expected that none of the Certificates will constitute "mortgage
related securities" for purposes of SMMEA.
Optional Termination:
Each respective loan group provides for an optional cleanup call which may be
exercised once the current principal balance of
such loan group is equal to 10% or less of the
respective loan group's Maximum Collateral
Amount (defined below).
Pricing Prepayment Speed:
Assumes, for Fixed Rate Mortgage Loans, that prepayments begin at 4.8% CPR in
month 1, raise by 1.745% per month to 24% CPR
in month 12 and remain at 24% CPR thereafter
(the "Prepayment Assumption"); and assumes, for
Adjustable Rate Mortgage Loans, that
prepayments are a constant 25% CPR.
Mortgage Loans:
It is expected that Fixed Rate Mortgage Loans (the "Initial Fixed Rate
Mortgage Loans") having an aggregate principal
balance of approximately $80,183,777.04 will be
deposited into the Trust on the Expected
Closing Date. A Pre-Funding Account will be
established on the Closing Date into which
approximately $22,266,299.36 in cash will be
deposited. On or prior to August 31, 1997, the
amount on deposit in the Pre-Funding Account
will be used to purchase additional mortgage
loans (to the extent available) having similar
characteristics as the Initial Fixed Rate
Mortgage Loans (with any unused portion of such
deposit amount to be distributed as principal
of the related Certificates). It is also
expected that Adjustable Rate Mortgage Loans
(the "Adjustable Rate Mortgage Loans") having
an aggregate principal balance of
approximately $97,549,923.60 will be deposited
into the Trust on the Closing Date. With
respect to the each loan group, the sum of the
applicable cut-off date principal balances of
any additional loans, if applicable and the
Cut-off Date principal
balances of the applicable initial Mortgage Loans is such loan group's
"Maximum Collateral Amount".
Credit Enhancement:
Credit enhancement for the Class A Fixed Mortgage Loan Certificates will
----------------------------------------
consist of (i) excess cashflow, (ii) subordination of the M-1F, M-2F and B-1F
Classes (initially 14.75%) and (iii) overcollateralization.
Credit enhancement for the Class A Adjustable Rate Certificates will
------------------------------------
consist of (i) excess cashflow, (ii) subordination of the M-1A, M-2A and B-1A
Classes (initially 19.50%) and (iii) overcollateralization.
Credit enhancement for the Class M-1F
----------
Certificates will consist of (i) excess cashflow, (ii) subordination of the
- ------------
M-2F and B-1F Classes (initially 8.25%) and (iii) overcollateralization.
Credit enhancement for the Class M-1A
----------
Certificates will consist of (i) excess cashflow, (ii) subordination of the
- ------------
M-2A and B-1A Classes (initially 10.0%) and (iii) overcollateralization.
Credit enhancement for the Class M-2F
----------
Certificates will consist of (i) excess cashflow, (ii) subordination of Class
- ------------
B-1F (initially 3.50%) and (iii) overcollateralization.
Credit enhancement for the Class M-2A
----------
Certificates will consist of (i) excess cashflow, (ii) subordination of Class
- ------------
B-1A (initially 4.25%) and (iii) overcollateralization.
Credit enhancement for the Class B-1F Certificates will consist of (i)
-----------------------
excess cashflow and (ii) overcollateralization.
Credit enhancement for the Class B-1A Certificates will consist of (i)
-----------------------
excess cashflow and (ii) overcollateralization.
Overcollateralization:
On each Distribution Date prior to the Stepdown Date (defined below) excess
interest will be paid as principal on the
related Certificates until the O/C reaches
1.50% and 2.00% of the Maximum Collateral
Amounts for the Fixed Rate Mortgage Loans and
Adjustable Rate Mortgage Loans, respectively
(subject to performance triggers). On and
after the Stepdown Date (subject to performance
triggers), O/C needs to be maintained at 3.00%
and 4.00%, of the current principal balances of
the Fixed Rate Mortgage Loans and Adjustable
Rate Mortgage Loans, respectively (the O/C is
subject to a floor of 0.50% of each group's
respective Maximum Collateral Amount).
Stepdown Date:
With respect to each loan group, the earlier of: (i) the first Distribution
Date after June 2000 as to which the credit
enhancement for the respective Class A
Certificates reaches its targeted credit
enhancement level and (ii) the retirement of
the respective Class A Certificates.
Trigger Events:
(To be finalized with the Rating Agencies).
Priority of Distributions:
Fixed Rate Mortgage Loan available funds will be distributed first, to
- ------------------------
interest on the Fixed Mortgage Loan Certificates and second, as principal of
the Fixed Mortgage Loan Certificates in the following order of priority.
Interest
- ----------
Class A Fixed Mortgage Loan Certificates, current interest and
unpaid interest shortfalls
1) Class M-1F Certificates, current interest
2) Class M-2F Certificates, current interest
3) Class B-1F Certificates, current interest
4) Excess interest will be paid as principal, subject to the O/C
target, based on the principal payment rules described below.
Principal (prior to the Stepdown Date or if a Trigger Event is occurring)
- ---------
1) Class A-4 Certificates in accordance with the following Lockout
Percentage:
July 1997 - June 2000 0%
July 2000 - June 2002 45%
July 2002 - June 2003 80%
July 2003 - June 2004 100%
July 2004 - 300%
1) Class A-1 through A-4 Certificates, sequentially
2) Class M-1, M-2 and B Certificates (see "on and after the Stepdown
Date" below)
Principal (on and after the Stepdown Date or if no Trigger Event occurring)
- ---------
Principal will be distributed to each Class in order of priority until
the target principal balance and related target credit enhancement level
for each Class is reached (targeted credit enhancement levels (i)
are subject to the O/C floor, as described above, and (ii) may
change due to the occurrence of Trigger Events).
Target % of
Pool Target Credit Enhancement
---- -------------------------
Class A-1 through A-4 67.50% 32.50%
Class M-1F 13.00% 19.50%
Class M-2F 9.50% 10.00%
Class B-1F 7.00% 3.00%
Any Remaining Funds
- -------------------
1) reimbursements of unpaid interest and principal writedowns on the
Class M-1F, M-2F and B-1F Certificates.
Adjustable Rate Mortgage Loan available funds
- -----------------------------
will be distributed first, to interest on the Adjustable Rate Certificates
and second, as principal of the Adjustable Rate Certificates in the following
order of priority.
Interest
- --------
1) Class A-5 Certificates, current interest and unpaid interest shortfalls
2) Class M-1A Certificates, current interest
3) Class M-2A Certificates, current interest
4) Class B-1A Certificates, current interest
5) Excess interest will be paid as principal, subject to the O/C target,
based on the principal payment rules descibed below.
Principal (prior to the Stepdown Date or if a Trigger Event is occurring)
- ---------
1) Class A-5 Certificates, until retired
1) Class M-1, M-2 and B Certificates, (see "on and after the Stepdown
Date" below)
Principal (on and after the Stepdown Date or if no Trigger Event occurring)
- ---------
Principal will be distributed to each Class in order of
priority until the target principal balance and related
target credit enhancement level for each Class is reached (targeted
credit enhancement levels (i) are subject to the O/C floor, as
described above, and (ii) may change due to the occurrence of Trigger
Events).
Target % of
Pool Target Credit Enhancement
------------ -------------------------
Class A-5 57.00% 43.00%
Class M-1A 19.00% 24.00%
Class M-2A 11.50% 12.50%
Class B-1A 8.50% 4.00%
Any Remaining Funds
- -------------------
1) reimbursements of unpaid interest and principal writedowns on the Class
M-1A, M-2A and B-1A Certificates.
Collateral Description:
Please see attached.
THE SERVICER
Cityscape Corporation ("Cityscape"), is a New York, Corporation that is a
wholly owned subsidiary of Cityscape Financial Corp., a publicly-traded
Delaware corporation, and is a full service mortgage banker engaged in the
business of originating, selling and servicing mortgage loans on one- to
four-family residential properties and small mixed-use properties, with an
emphasis on non-conforming first and second mortgages. Cityscape was
incorporated in New York in 1985 and currently is licensed as mortgage banker
or registered, as required, in 44 states and the District of Columbia.
Cityscape specializes in home equity loans that do not conform to the
underwriting standards of FNMA, FHLMC, banks and other primary lending
institutions, particularly as such standards relate to a prospective
borrower's credit history. In analyzing loan applications, Cityscape
analyzes both the borrower's credit and the value of the underlying property
which will secure the loan, including the characteristics of the underlying
first lien, if any. Cityscape considers factors pertaining to the borrower's
current employment, stability of employment and income, financial resources,
and analysis of credit, reflecting not only the ability to pay, but also the
willingness to repay contractual obligations. The properties age, condition,
location, value and continued marketability are additional factors considered
in each risk analysis. Cityscape's underwriting standards are designed to
provide a program for all qualified applicants in an amount and for a period
of time consistent with their ability to repay. The collateral securing
loans acquired or originated by Cityscape are generally one- to four-family
residences, including condominiums, manufactured housing and townhomes and
such properties may or may not be owner occupied by the owner. It is
Cityscape's policy not accept mobile or commercial properties (other than
small mixed-use properties) or unimproved land as collateral.
DATE PREPARED: 6/17/97
Preliminary Term Sheet
Cityscape Home Equity Loan Trust, Series 1997-C
- -------------------------------------------------------------------------------
Fixed Rate and Adjustable Rate Home Equity Loan Pass-Through Certificates
Approximately $200,000,000
Financial Asset Securities Corp., Depositor
Cityscape 1997-C [$200,000,000]
--------------------------------------------
$[39,600,000] Class A-1 Floating Rate Certificates - [ . ]%
$[27,500,000] Class A-2 Fixed Rate Certificates - [ . ]%
$[12,438,000] Class A-3 Fixed Rate Certificates - [ . ]%
$[ 7,800,000] Class A-4 Fixed Rate Certificates - [ . ]%
$[78,527,000] Class A-5 Floating Rate Certificates - [ . ]%
$[ 6,659,000] Class M-1F Fixed Rate Certificates - [ . ]%
$[ 4,867,000] Class M-2F Fixed Rate Certificates - [ . ]%
$[ 3,586,076] Class B-1F Fixed Rate Certificates - [ . ]%
$[ 9,268,000] Class M-1A Floating Rate Certificates - [ . ]%
$[ 5,609,000] Class M-2A Floating Rate Certificates - [ . ]%
$[ 4,145,924] Class B-1A Floating Rate Certificates - [ . ]%
The information herein has been provided to Prudential Securities Incorporated
(PSI) by Greenwich Capital Markets based on information with respect to the
mortgage loans provided by Cityscape Corp. and its affiliates ("Cityscape").
Neither PSI nor any of its affiliates makes any representation as to the
accuracy or completeness of the information herein. The information herein is
preliminary and will be superseded by the prospectus supplement and by any
other information subsequently filed with the Securities and Exchange
Commission ("SEC"). All assumptions and information in this report reflect
PSI's judgment as of this date and are subject to change. All analyses are
based on certain assumptions noted herein and different assumptions could yield
substantially different results. You are cautioned that there is no universally
accepted method for analyzing financial instruments. You should review the
assumptions; there may be differences between these assumptions and your
actual business practices. Further, PSI does not guarantee any results and
there is no guarantee as to the liquidity of the instruments involved in this
analysis. The decision to adopt any strategy remains your responsibility. PSI
(or any of its affiliates) or their officers, directors, analysts or employees
may have positions in securities, commodities or derivative instruments thereon
referred to here, and may, as principal or agent, buy or sell such securities,
commodities or derivative instruments. In addition, PSI may make a market in
the securities referred to herein. Neither the information nor the assumptions
reflected herein shall be construed to be, or constitute, an offer to sell or
buy or a solicitation of an offer to sell or buy any securities, commodities
or derivative instruments mentioned herein. No sale of any securities,
commodities or derivative instruments should be consumated without the
purchaser first having received a prospectus and, if required, prospectus
supplement. Finally, PSI has not addressed the legal, accounting and tax
implications of the analysis with respect to you, and PSI strongly urges you to
seek advice from your counsel, accountant and tax advisor.
Cityscape Home Equity Loan Trust, Series 1997-C
- -------------------------------------------------------------------------------
Fixed Rate and Adjustable Rate Home Equity Loan Pass-Through Certificates
<TABLE>
<CAPTION>
WAL Payment Window Tranche Expected Ratings
Class(1) Amount (Yrs) (2,3) (Mos) (2,3) Type Benchmark Fitch / S&P
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
A-1 $39,600,000 1.08 01-24 Adj. Seq. 1 Month LIBOR AAA/AAA
A-2 $27,500,000 3.10 24-60 Fixed Seq. 3 YR AAA/AAA
A-3 $12,438,000 7.13 Call/8.60 Mat 60-100 Call/60-181 Mat Fixed Seq. 6 1/2% 8/05 AAA/AAA
A-4 $ 7,800,000 6.42 Call/6.57 Mat 38-100 Call/38-178 Mat Fixed Lockout 5 7/8% 2/04 AAA/AAA
A-5 $78,527,000 2.48 Call/2.70 Mat 01-95 Call/01-213 Mat Adj. Senior 1 Month LIBOR AAA/AAA
M-1F $ 6,659,000 5.58 Call/6.10 Mat 37-100 Call/37-172 Mat Fixed Mezz. 5 3/4% 8/03 AA/AA
M-2F $ 4,867,000 5.58 Call/6.00 Mat 37-100 Call/37-153 Mat Fixed Mezz. 5 3/4% 8/03 A/A
B-1F $ 3,586,076 5.53 Call/5.67 Mat 37-100 Call/37-127 Mat Fixed Sub. 6 1/4% 2/03 BBB/BBB
M-1A $ 9,268,000 5.28 Call/5.84 Mat 39-95 Call/39-180 Mat Adj. Mezz. 1 Month LIBOR AA/AA+
M-2A $ 5,609,000 5.23 Call/5.71 Mat 38-95 Call/38-158 Mat Adj. Mezz. 1 Month LIBOR A/A+
B-1A $ 4,145,924 5.20 Call/5.43 Mat 37-95 Call/37-132 Mat Adj. Sub. 1 Month LIBOR BBB/BBB
------------
Total: $200,000,000
</TABLE>
(1) The Class A-1 through A-4, M-1F, M-2F and B-1F Certificates are
collateralized by the Fixed Rate Mortgage Loans (as defined herein). The
Class A-5, M-1A, M-2A and B-1A Certificates are collateralized by the
Adjustable Rate Mortgage Loans (as defined herein). The Class A-1
Certificates will be the "Fixed Senior Floater" based on One Month LIBOR
plus [ %] (subject to a cap equal to the weighted average coupon of the
Fixed Rate Mortgage Loans minus [0.51125%] (comprised of a 0.50% servicing
fee and a 0.01125% trustee fee)); the Class A-2 through A-4, M-1F, M-2F
and B-1F Certificates will be the "Fixed Rate Certificates" (together with
the Fixed Senior Floater, the "Fixed Mortgage Loan Certificates") and the
Class A-5, M-1A, M-2A and B-1A Certificates will be the "Adjustable Rate
Certificates" based on One Month LIBOR plus their respective pass-through
margins (each subject to a cap equal to the weighted average coupon of the
Adjustable Rate Mortgage Loans minus [0.51125%]). If the cleanup call,
with respect to the Adjustable Rate Mortgage Loans, is not exercised, the
pass-through margin on the Class A-5 Certificates will double and on the
Class M-1A, M-2A and B-1A will increase by 1.5 times.
(2) The Fixed Mortgage Loan Certificates will be priced to maturity. The
Adjustable Rate Certificates will be priced to the cleanup call.
(3) These Computational Materials should be accompanied by a one page
disclaimer which must be read in its entirety by the addressee of this
communication. If such disclaimer is not attached hereto, please contact
your sales representative. See "Pricing Prepayment Speed" below.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
Cityscape Home Equity Loan Trust, Series 1997-C
- -------------------------------------------------------------------------------
Fixed Rate and Adjustable Rate Home Equity Loan Pass-Through Certificates
Underwriters: Greenwich Capital Markets, Inc. (Lead Manager);
Prudential Securities Incorporated (Co-Manager).
Seller/Servicer: Cityscape Corp.
Depositor: Financial Asset Securities Corp.
Trustee: First Trust National Association.
Federal Tax Status: An election will be made to treat the Trust as
a REMIC.
Registration: The Certificates will be available in book-
entry form through DTC.
Expected Pricing Date: Thursday, June 19, 1997
Expected Closing Date: Thursday, June 26, 1997
Expected Settlement Date: Thursday, June 26, 1997
Cut-off Date: Monday, June 9, 1997 (close of business)
Accrued Interest: The price to be paid by investors for the Fixed
Rate Certificates will include accrued interest
from June 10, 1997 (the "Accrued Date") up to,
but not including, the Settlement Date (16
days). The price to be paid by investors for
the Fixed Senior Floater and the Adjustable
Rate Certificates will settle flat (0 days
accrued interest).
Interest Accrual Period: The interest accrual period for the first
Distribution Date with respect to the Fixed
Rate Certificates will include 21 days of
interest and with respect to any subsequent
Distribution Date will be the calendar month
preceding such Distribution Date (based on a
360-day year consisting of twelve 30-day day
months). The interest accrual period for the
first Distribution Date with respect to the
Fixed Senior Floater and the Adjustable Rate
Certificates will include 29 days of interest
and with respect to any subsequent Distribution
Date will be the period beginning with the
previous Distribution Date and ending on the
day prior to such Distribution Date (actual/
360).
Distribution Dates: 25th day of each month (or the next succeeding
business day) commencing July 25, 1997.
ERISA Eligibility: The Class A Certificates are expected to be
ERISA eligible. The Class M and Class B
Certificates are not expected to be ERISA
eligible.
SMMEA Treatment: It is expected that none of the Certificates
will constitute "mortgage related securities"
for purposes of SMMEA.
Optional Termination: Each respective loan group provides for an
optional cleanup call which may be exercised
once the current principal balance of such loan
group is equal to 10% or less of the respective
loan groups Maximum Collateral Amount (defined
below).
Pricing Prepayment Speed: Assumes, for Fixed Rate Mortgage Loans, that
prepayments begin at 4.8% CPR in month 1, raise
by 1.745% per month to 24% CPR in month 12 and
remain at 24% CPR thereafter (the "Prepayment
Assumption"); and assumes, for Adjustable Rate
Mortgage Loans, that prepayments are a constant
25% CPR.
Mortgage Loans: It is expected that Fixed Rate Mortgage Loans
(the "Initial Fixed Rate Mortgage Loans")
having an aggregate principal balance of
approximately $80,183,777.04 will be deposited
into the Trust on the Expected Closing Date.
A Pre-Funding Account will be established on
the Closing Date into which approximately
$22,266,299.36 in cash will be deposited. On
or prior to August 31, 1997, the amount on
deposit in the Pre-Funding Account will be
used to purchase additional mortgage loans (to
the extent available) having similar
characteristics as the Initial Fixed Rate
Mortgage Loans (with any unused portion of such
deposit amount to be distributed as principal
of the related Certificates). It is also
expected that Adjustable Rate Mortgage Loans
(the "Adjustable Rate Mortgage Loans") having
an aggregate principal balance of approximately
$97,549,923.60 will be deposited into the Trust
on the Expected Closing Date. With respect to
the each loan group, the sum of the applicable
cut-off date principal balances of any
additional loans, if applicable and the Cut-off
Date principal balances of the applicable
initial Mortgage Loans is such loan groups
"Maximum Collateral Amount".
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
Cityscape Home Equity Loan Trust, Series 1997-C
- -------------------------------------------------------------------------------
Fixed Rate and Adjustable Rate Home Equity Loan Pass-Through Certificates
Credit Enhancement: Credit enhancement for the Class A Fixed
Mortgage Loan Certificates will consist of (i)
excess cashflow, (ii) subordination of the
M-1F, M-2F and B-1F Classes (initially
[14.75]%) and (iii) overcollateralization.
Credit enhancement for the Class A Adjustable
Rate Certificates will consist of (i) excess
cashflow, (ii) subordination of the M-1A, M-2A
and B-1A Classes (initially [19.50]%) and (iii)
overcollateralization.
Credit enhancement for the Class M-1F
Certificates will consist of (i) excess
cashflow, (ii) subordination of the M-2F and
B-1F Classes (initially [8.25]%) and (iii)
overcollateralization.
Credit enhancement for the Class M-1A
Certificates will consist of (i)
excess cashflow, (ii) subordination of the M-2A
and B-1A Classes (initially [10.0]%) and (iii)
overcollateralization.
Credit enhancement for the Class M-2F
Certificates will consist of (i) excess
cashflow, (ii) subordination of Class B-1F
(initially [3.50]%) and (iii)
overcollateralization.
Credit enhancement for the Class M-2A
Certificates will consist of (i) excess
cashflow, (ii) subordination of Class B-1A
(initially [4.25]%) and (iii)
overcollateralization.
Credit enhancement for the Class B-1F
Certificates will consist of (i) excess
cashflow and (ii) overcollateralization.
Credit enhancement for the Class B-1A
Certificates will consist of (i)
excess cashflow and (ii) overcollateralization.
Overcollateralization: On each Distribution Date prior to the Stepdown
Date (defined below) excess interest will be
paid as principal on the related Certificates
until the O/C reaches [1.50%] and [2.00%] of
the Maximum Collateral Amounts for the Fixed
Rate Mortgage Loans and Adjustable Rate
Mortgage Loans, respectively (subject to
performance triggers). On and after the
Stepdown Date (subject to performance
triggers), O/C needs to be maintained at
[3.00%] and [4.00%], of the current principal
balances of the Fixed Rate Mortgage Loans and
Adjustable Rate Mortgage Loans, respectively
(the O/C is subject to a floor of 0.50% of each
groups respective Maximum Collateral Amount).
Stepdown Date: With respect to each loan group, the earlier
of: (i) the first Distribution Date after June
2000 as to which the credit enhancement for the
respective Class A Certificates reaches its
targeted credit enhancement level and (ii) the
retirement of the respective Class A Certificates.
Trigger Events: [To be finalized with the Rating Agencies].
Priority of Distributions: *Fixed Rate Mortgage Loan available funds will
be distributed first, to interest on the Fixed
Mortgage Loan Certificates and second, as
principal of the Fixed Mortgage Loan
Certificates in the following order of
priority.
Interest
-----------------------------------------------
1) Class A Fixed Mortgage Loan Certificates,
current interest and unpaid interest
shortfalls
2) Class M-1F Certificates, current interest
3) Class M-2F Certificates, current interest
4) Class B-1F Certificates, current interest
5) Excess interest will be paid as principal,
subject to the O/C target, based on the
principal payment rules described below.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
Cityscape Home Equity Loan Trust, Series 1997-C
- -------------------------------------------------------------------------------
Fixed Rate and Adjustable Rate Home Equity Loan Pass-Through Certificates
Principal (prior to the Stepdown Date or if a
Trigger Event is occurring)
---------------------------------------------
1) Class A-4 Certificates in accordance with
the following Lockout Percentage:
July 1997 - June 2000 0%
July 2000 - June 2002 45%
July 2002 - June 2003 80%
July 2003 - June 2004 100%
July 2004 - 300%
2) Class A-1 through A-4 Certificates,
sequentially
3) Class M-1, M-2 and B Certificates (see "on
and after the Stepdown Date" below)
Principal (on and after the Stepdown Date or if
no Trigger Event occurring)
-----------------------------------------------
Principal will be distributed to each Class in
order of priority until the target principal
balance and related target credit enhancement
level for each Class is reached (targeted
credit enhancement levels (i) are subject to
the O/C floor, as described above, and (ii) may
change due to the occurrence of Trigger
Events).
<TABLE>
<CAPTION>
Target % of Pool Target Credit Enhancement
---------------- -------------------------
<S> <C> <C>
Class A-1 through A-4 67.50% 32.50%
Class M-1F 13.00% 19.50%
Class M-2F 9.50% 10.00%
Class B-1F 7.00% 3.00%
</TABLE>
Any Remaining Funds
------------------------------------------------
1) reimbursements of unpaid interest and
principal writedowns on the Class M-1F, M-2F
and B-1F Certificates.
*Adjustable Rate Mortgage Loan available funds
will be distributed first, to interest on the
Adjustable Rate Certificates and second, as
principal of the Adjustable Rate Certificates
in the following order of priority.
Interest
-----------------------------------------------
1) Class A-5 Certificates, current interest
and unpaid interest shortfalls
2) Class M-1A Certificates, current interest
3) Class M-2A Certificates, current interest
4) Class B-1A Certificates, current interest
5) Excess interest will be paid as principal,
subject to the O/C target, based on the
principal payment rules described below.
Principal (prior to the Stepdown Date or if a
Trigger Event is occurring)
---------------------------------------------
1) Class A-5 Certificates, until retired
2) Class M-1, M-2 and B Certificates, (see "on
and after the Stepdown Date" below)
Principal (on and after the Stepdown Date or
if no Trigger Event occurring)
--------------------------------------------
Principal will be distributed to each Class in
order of priority until the target principal
balance and related target credit enhancement
level for each Class is reached (targeted
credit enhancement levels (i) are subject
to the O/C floor, as described above, and (ii)
may change due to the occurrence of Trigger
Events).
<TABLE>
<CAPTION>
Target % of Pool Target Credit Enhancement
---------------- -------------------------
<S> <C> <C>
Class A-5 57.00% 43.00%
Class M-1A 19.00% 24.00%
Class M-2A 11.50% 12.50%
Class B-1A 8.50% 4.00%
</TABLE>
Any Remaining Funds
-----------------------------------------
1) reimbursements of unpaid interest and
principal writedowns on the Class M-1A,
M-2A and B-1A Certificates.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
Cityscape Home Equity Loan Trust, Series 1997-C
- -------------------------------------------------------------------------------
Fixed Rate and Adjustable Rate Home Equity Loan Pass-Through Certificates
The Servicer
- ------------
Cityscape Corporation ("Cityscape"), is a New York, Corporation that is a
wholly owned subsidiary of Cityscape Financial Corp., a publicly-traded
Delaware corporation, and is a full service mortgage banker engaged in the
business of originating, selling and servicing mortgage loans on one- to four-
family residential properties and small mixed-use properties, with an emphasis
on non-conforming first and second mortgages. Cityscape was incorporated in
New York in 1985 and currently is licensed as mortgage banker or registered, as
required, in 44 states and the District of Columbia.
Cityscape specializes in home equity loans that do not conform to the
underwriting standards of FNMA, FHLMC, banks and other primary lending
institutions, particularly as such standards relate to a prospective borrowers
credit history. In analyzing loan applications, Cityscape analyzes both the
borrowers credit and the value of the underlying property which will secure
the loan, including the characteristics of the underlying first lien, if any.
Cityscape considers factors pertaining to the borrowers current employment,
stability of employment and income, financial resources, and analysis of
credit, reflecting not only the ability to pay, but also the willingness to
repay contractual obligations. The properties age, condition, location, value
and continued marketability are additional factors considered in each risk
analysis. Cityscapes underwriting standards are designed to provide a program
for all qualified applicants in an amount and for a period of time consistent
with their ability to repay. The collateral securing loans acquired or
originated by Cityscape are generally one- to four-family residences, including
condominiums, manufactured housing and townhomes and such properties may or may
not be owner occupied by the owner. It is Cityscapes policy not accept mobile
or commercial properties (other than small mixed-use properties) or unimproved
land as collateral.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
