<PAGE>
8-K
Current Report
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): March 3, 1999
DEUTSCHE MORTGAGE & ASSET RECEIVING CORPORATION
(Exact name of registrant as specified in its charter)
DELAWARE 333-08328 04-3310019
(State or other Jurisdiction (Commission (I.R.S. Employer
Incorporation) File Number) Identification Number)
---------------------
31 West 52nd Street
New York, New York 10019
(principal executive offices)
(212) 469-5000
<PAGE>
Item 5. OTHER EVENTS
- ---------------------
Description of the Certificates
Deutsche Mortgage & Asset Receiving Corporation (the "Depositor") will
cause to be filed with the Securities and Exchange Commission (the "Commission")
pursuant to the Commission's Rule 424 a Prospectus Supplement and the Prospectus
filed as part of Registration Statement, File No. 333-08328, in connection with
the Depositor's issuance of a series of certificates, entitled Commercial
Mortgage Pass-Through Certificates, Series COMM 1999-1 (the "Certificates"), to
be issued pursuant to a pooling and servicing agreement among the Depositor,
AMRESCO Services, L.P., as master servicer, Banc One Mortgage Capital Markets
LLC, as special servicer, LaSalle National Bank, as Trustee and ABN AMRO Bank,
N.V., as fiscal agent.
Computational Materials
Lehman Brothers Inc. as Underwriter of certain of the Certificates (the
"Underwriter") has provided certain prospective purchasers of the Class A-1,
Class A-2, Class B, Class C, Class D, Class E and Class F Certificates
(collectively, the "Offered Certificates") with certain yield tables and other
computational materials, collateral term sheets and structural term sheets (the
"Computational Materials") in written form, which Computational Materials are in
the nature of data tables and term sheet information relating to the assets of
the trust fund in which the Certificates represent beneficial ownership, the
structure of the Certificates and terms of certain classes of Certificates, and
the hypothetical characteristics and hypothetical performance of certain classes
and Certificates based on collateral information provided by German American
Capital Corporation and/or Banc One Mortgage Capital Markets LLC and under
certain assumptions and scenarios.
Item 7. FINANCIAL STATEMENTS AND EXHIBITS
- ------------------------------------------
(a) Not applicable
(b) Not applicable
(c) Exhibits
EXHIBIT NO. 99 DESCRIPTION
- --------------------------
Computational Materials (as defined in Item 5) that have been provided
by the Underwriter to certain prospective purchasers of the Offered
Certificates.
1
<PAGE>
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.
Dated: March 3, 1999
DEUTSCHE MORTGAGE & ASSET RECEIVING CORPORATION
By: /s/ Delores A. Bitar
-----------------------------------------
Name: Delores A. Bitar
Title: Vice President
2
<PAGE>
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.
Dated: March 3, 1999
DEUTSCHE MORTGAGE & ASSET RECEIVING CORPORATION
By: Delores A. Bitar
--------------------------------
Name: Delores A. Bitar
Title: Vice President
<PAGE>
DEUTSCHE /BANC ONE FUSION DEAL - PRICING
------ Corporate Bond Equivalent Yield Table ------
pLehman Brothers Page 1
Tue, 23 Feb 1999, 17 12:56
Bond Class X 0.844 FIXED CPN
Current Balance $1,311,153,572.99
<TABLE>
<CAPTION>
0.00% CPR 25.00% CPR 50.00% CPR 75.00% CPR 100.00% CPR
------------------ --------------------- -------------------- ------------------ ---------------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur
- ----------- --------- ---- --------- ----- --------- ----- --------- ----- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
3.93750 13.032 3.46 13.072 3.44 13.089 3.43 13.085 3.42 12.917 3.38
3.96875 12.807 12.845 12.861 12.856 12.686
4.00000 12.584 12.621 12.636 12.630 12.458
4.03125 12.364 12.400 12.414 12.407 12.233
4.06250 12.147 12.181 12.195 12.187 12.010
4.09375 11.932 3.55 11.965 3.53 11.978 3.51 11.970 3.50 11.791 3.47
4.12500 11.720 11.752 11.764 11.755 11.574
4.15625 11.511 11.541 11.552 11.543 11.360
4.18750 11.304 11.333 11.343 11.333 11.148
4.21875 11.099 11.127 11.137 11.126 10.939
4.25000 10.897 3.63 10.924 3.61 10.933 3.59 10.921 3.58 10.732 3.55
4.28125 10.697 10.723 10.731 10.719 10.528
4.31250 10.500 10.524 10.532 10.519 10.326
4.34375 10.305 10.328 10.334 10.321 10.126
4.37500 10.112 10.134 10.140 10.125 9.929
4.40625 9.921 3.71 9.942 3.69 9.947 3.67 9.932 3.66 9.733 3.63
4.43750 9.733 9.752 9.756 9.741 9.541
4.47300 9.521 9.539 9.543 9.527 9.324
4.50000 9.362 9.379 9.382 9.365 9.161
4.53125 9.179 9.196 9.198 9.180 8.974
4.56250 8.999 3.79 9.014 3.76 9.015 3.75 8.997 3.74 8.790 3.70
4.59375 8.820 8.834 8.835 8.817 8.607
4.62500 8.644 8.657 8.656 8.638 8.426
4.65625 8.469 8.481 8.480 8.460 8.247
4.68750 8.296 8.307 8.305 8.285 8.071
4.71875 8.125 3.86 8.134 3.84 8.132 3.82 8.112 3.81 7.895 3.77
4.75000 7.955 7.964 7.961 7.940 7.722
4.78125 7.787 7.795 7.792 7.770 7.551
4.81250 7.621 7.628 7.624 7.602 7.381
4.84375 7.457 7.463 7.458 7.436 7.213
4.87500 7.294 3.93 7.299 3.91 7.294 3.89 7.271 3.88 7.046 3.84
4.90625 7.133 7.137 7.131 7.108 6.882
4.93750 6.974 6.977 6.970 6.946 6.718
4.96875 6.816 6.818 6.811 6.786 6.557
5.00000 6.659 6.660 6.653 6.628 6.397
</TABLE>
Average Life : 8.80 8.74 8.70 8.68 8.54
First Pay : 04/15/99 04/15/99 04/15/99 04/15/99 04/15/99
Last Pay : 02/15/11 11/15/10 11/15/10 11/15/10 11/15/10
1Y 2Y 3Y 5Y 10Y 30Y Price to Call
4.759 4.989 5.004 5.033 5.097 5.428 With Prepayment Penalty;
SPEEDS APPLIED AFTER LOCK OUT PERIOD
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 14 days. Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 3/16/99 settlement date.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions
hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
<PAGE>
DEUTSCHE /BANC ONE FUSION DEAL - PRICING
------ Corporate Bond Equivalent Yield Table -----
Lehman Brothers Page 1
Tue, 23 Feb 1999, 17:16:08
Bond Class X 0.844 FIXED CPN
Current Balance $1,311,153,572.99
<TABLE>
<CAPTION>
0.00% CPR 25.00% CPR 50.00% CPR 75.00% CPR 100.00% CPR
------------------ ------------------ ----------------- ----------------- ----------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur
- ----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
3.93750 13.032 3.46 13.018 3.46 13.000 3.46 12.973 3.46 12.770 3.44
3.96875 12.807 12.792 12.774 12.746 12.542
4.00000 12.584 12.570 12.551 12.523 12.318
4.03125 12.364 12.349 12.331 12.303 12.096
4.06250 12.147 12.132 12.113 12.085 11.877
4.09375 11.932 3.55 11.917 3.55 11.898 3.55 11.870 3.54 11.661 3.52
4.12500 11.720 11.705 11.686 11.658 11.447
4.15625 11.511 11.496 11.477 11.448 11.236
4.18750 11.304 11.289 11.270 11.241 11.027
4.21875 11.099 11.084 11.065 11.036 10.821
4.25000 10.897 3.63 10.882 3.63 10.863 3.63 10.833 3.62 10.617 3.60
4.28125 10.697 10.682 10.663 10.633 10.416
4.31250 10.500 10.485 10.465 10.436 10.217
4.34375 10.305 10.290 10.270 10.240 10.020
4.37500 10.112 10.097 10.077 10.047 9.826
4.40625 9.921 3.71 9.906 3.71 9.886 3.71 9.856 3.70 9.633 3.68
4.43750 9.733 9.717 9.697 9.667 9.443
4.47300 9.521 9.505 9.485 9.455 9.230
4.50000 9.362 9.346 9.326 9.295 9.069
4.53125 9.179 9.163 9.143 9.112 8.885
4.56250 8.999 3.79 8.983 3.78 8.962 3.78 8.931 3.78 8.703 3.75
4.59375 8.820 8.804 8.784 8.752 8.523
4.62500 8.644 8.627 8.607 8.575 8.345
4.65625 8.469 8.453 8.432 8.400 8.168
4.68750 8.296 8.280 8.258 8.227 7.994
4.71875 8.125 3.86 8.108 3.86 8.087 3.86 8.055 3.85 7.821 3.83
4.75000 7.955 7.939 7.918 7.886 7.650
4.78125 7.787 7.771 7.750 7.718 7.481
4.81250 7.621 7.605 7.583 7.551 7.313
4.84375 7.457 7.440 7.419 7.387 7.148
4.87500 7.294 3.93 7.278 3.93 7.256 3.93 7.224 3.92 6.984 3.90
4.90625 7.133 7.117 7.095 7.062 6.821
4.93750 6.974 6.957 6.935 6.902 6.660
4.96875 6.816 6.799 6.777 6.744 6.501
5.00000 6.659 6.642 6.620 6.587 6.343
</TABLE>
Average Life : 8.80 8.79 8.78 8.77 8.64
First Pay : 04/15/99 04/15/99 04/15/99 04/15/99 04/15/99
Last Pay : 02/15/11 02/15/11 02/15/11 02/15/11 02/15/11
1Y 2Y 3Y 5Y 10Y 30Y Price to Call
4.759 4.989 5.004 5.033 5.097 5.428
SPEEDS APPLIED AFTER YIELD MAINT PERIOD
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 14 days. Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 3/16/99 settlement date.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions
hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
<PAGE>
DEUTSCHE /BANC ONE FUSION DEAL PRICING
------ Corporate Bond Equivalent Yield Table -----
Lehman Brothers Page 1
Tue, 23 Feb 1999, 16:52:05
Bond Class X 0.844 FIXED CPN
Current Balance $1,311,153,572.99
<TABLE>
<CAPTION>
0.00% CPR 0.00% CPR 0.00% CPR 0.00% CPR 0.00% CPR
----------------- ----------------- ----------------- ----------------- -----------------
efaults% DEF 1.000% DEF 2.000% DEF 3.000% DEF 4.000% DEF
------------ ------------ ------------ ------------ ------------
65.0% REC 65.0% REC 65.0% REC 65.0% REC 65.0% REC
--------- ---------- ---------- ---------- ----------
12 MONTH LAG 12 MONTH LAG 12 MONTH LAG 12 MONTH LAG 12 MONTH LAG
--------------- --------------- --------------- --------------- ---------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur
- ----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
3.93750 13.032 3.46 12.356 3.44 11.698 3.41 11.079 3.39 10.459 3.37
3.96875 12.807 12.129 11.469 10.848 10.227
4.00000 12.584 11.904 11.243 10.621 9.998
4.03125 12.364 11.683 11.020 10.396 9.772
4.06250 12.147 11.464 10.799 10.174 9.549
4.09375 11.932 3.55 11.247 3.52 10.581 3.50 9.955 3.48 9.329 3.46
4.12500 11.720 11.034 10.366 9.739 9.111
4.15625 11.511 10.823 10.154 9.525 8.896
4.18750 11.304 10.614 9.944 9.314 8.683
4.21875 11.099 10.408 9.736 9.105 8.473
4.25000 10.897 3.63 10.204 3.60 9.531 3.58 8.899 3.56 8.266 3.54
4.28125 10.697 10.003 9.329 8.695 8.061
4.31250 10.500 9.804 9.128 8.494 7.858
4.34375 10.305 9.608 8.930 8.295 7.658
4.37500 10.112 9.413 8.734 8.098 7.460
4.40625 9.921 3.71 9.221 3.68 8.541 3.66 7.903 3.64 7.264 3.61
4.43750 9.733 9.031 8.350 7.711 7.071
4.47300 9.521 8.818 8.135 7.495 6.853
4.50000 9.362 8.657 7.973 7.332 6.690
4.53125 9.179 8.473 7.788 7.146 6.502
4.56250 8.999 3.79 8.291 3.76 7.605 3.73 6.962 3.71 6.317 3.69
4.59375 8.820 8.111 7.424 6.780 6.134
4.62500 8.644 7.933 7.244 6.599 5.953
4.65625 8.469 7.757 7.067 6.421 5.773
4.68750 8.296 7.583 6.891 6.245 5.596
4.71875 8.125 3.86 7.410 3.83 6.718 3.80 6.070 3.78 5.420 3.76
4.75000 7.955 7.240 6.546 5.897 5.246
4.78125 7.787 7.071 6.376 5.726 5.074
4.81250 7.621 6.903 6.207 5.557 4.904
4.84375 7.457 6.738 6.041 5.389 4.735
4.87500 7.294 3.93 6.574 3.90 5.876 3.87 5.223 3.85 4.569 3.83
4.90625 7.133 6.411 5.712 5.059 4.403
4.93750 6.974 6.251 5.550 4.896 4.240
4.96875 6.816 6.091 5.390 4.735 4.078
5.00000 6.659 5.934 5.231 4.576 3.917
<CAPTION>
0.00% CPR
-----------------
5.000% DEF
-----------
65.0% REC
----------
12 MONTH LAG
--------------
PRICE CBE Yield Dur
- ----------- --------- -----
<S> <C> <C>
3.93750 9.830 3.35
3.96875 9.597
4.00000 9.366
4.03125 9.139
4.06250 8.914
4.09375 8.692 3.43
4.12500 8.473
4.15625 8.257
4.18750 8.043
4.21875 7.831
4.25000 7.623 3.51
4.28125 7.416
4.31250 7.212
4.34375 7.011
4.37500 6.811
4.40625 6.614 3.59
4.43750 6.419
4.47300 6.201
4.50000 6.036
4.53125 5.848
4.56250 5.661 3.67
4.59375 5.477
4.62500 5.294
4.65625 5.114
4.68750 4.935
4.71875 4.758 3.74
4.75000 4.584
4.78125 4.410
4.81250 4.239
4.84375 4.069
4.87500 3.901 3.81
4.90625 3.735
4.93750 3.571
4.96875 3.407
5.00000 3.246
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
Average Life : 8.80 8.61 8.43 8.26 8.10 7.95
First Pay : 04/15/99 04/15/99 04/15/99 04/15/99 04/15/99 04/15/99
Last Pay : 02/15/11 11/15/09 01/15/09 01/15/09 01/15/09 01/15/09
Collateral Loss : 0.00 (0.00) 26746399.89 (2.04) 52079910.55 (3.97) 76064355.78 (5.80) 98761113.05 (7.53) 120229199.42 (9.17)
Agg. Bond Loss : 0.00 0.00 0.00 0.00 0.00 0.00
</TABLE>
1Y 2Y 3Y 5Y l0Y 30Y Price to Call
4.759 4.989 5.004 5.033 5.097 5.428
0% CPR. DEFAULTS APPLIED STARTING MONTHS 25, 65% RECOVERY, 12 MONTHS LAG
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 14 days. Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 3/16/99 settlement date.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions
hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
<PAGE>
DEUTSCHE /BANC ONE FUSION DEAL - RED HERRING
------ Corporate Bond Equivalent Yield Table ------
Lehman Brothers Page 1
Wed, 17 Feb 1999, 15:23:52
Bond Class X 0.933 FIXED CPN
Current Balance $1,311,125,920.05
<TABLE>
<CAPTION>
0.00% CPR 25.00% CPR 50.00% CPR 75.00% CPR 100.00% CPR
----------------- ----------------- ----------------- ----------------- ----------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur
- -------- --------- ----- --------- ----- --------- ----- --------- ----- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
4-14 12.523 3.48 12.508 3.48 12.489 3.48 12.460 3.47 12.243 3.45
4-15 12.324 12.309 12.289 12.260 12.042
4-16 12.126 12.111 12.092 12.062 11.843
4-17 11.931 11.916 11.896 11.867 11.646
4-18 11.738 11.723 11.703 11.673 11.452
4-19 11.548 3.55 11.532 3.55 11.512 3.55 11.482 3.55 11.259 3.52
4-20 11.359 11.343 11.323 11.293 11.069
4-21 11.172 11.157 11.136 11.106 10.881
4-22 10.987 10.972 10.951 10.921 10.694
4-23 10.805 10.789 10.768 10.738 10.510
4-24 10.624 3.63 10.608 3.63 10.587 3.62 10.557 3.62 10.328 3.60
4-25 10.445 10.429 10.408 10.377 10.147
4-26 10.268 10.252 10.231 10.200 9.968
4-27 10.093 10.076 10.056 10.024 9.791
4-28 9.919 9.903 9.882 9.850 9.616
4-29 9.747 3.70 9.731 3.70 9.710 3.69 9.678 3.69 9.443 3.67
4-30 9.577 9.561 9.540 9.508 9.272
4-31 9.409 9.392 9.371 9.339 9.102
5-00 9.242 9.226 9.204 9.172 8.934
5-01 9.077 9.061 9.039 9.007 8.767
5-02 8.914 3.77 8.897 3.76 8.876 3.76 8.843 3.76 8.602 3.73
5-03 8.752 8.735 8.713 8.681 8.439
5-04 8.592 8.575 8.553 8.520 8.277
5-05 8.433 8.416 8.394 8.361 8.117
5-06 8.276 8.259 8.237 8.203 7.958
5-07 8.120 3.83 8.103 3.83 8.081 3.83 8.047 3.82 7.801 3.80
5-08 7.965 7.948 7.926 7.893 7.645
5-09 7.812 7.795 7.773 7.739 7.491
5-10 7.661 7.644 7.621 7.588 7.338
5-11 7.511 7.493 7.471 7.437 7.186
5-12 7.362 3.90 7.345 3.89 7.322 3.89 7.288 3.89 7.036 3.86
5-13 7.215 7.197 7.174 7.140 6.887
5-14 7.068 7.051 7.028 6.994 6.740
5-15 6.924 6.906 6.883 6.849 6.593
5-16 6.780 6.762 6.739 6.705 6.448
</TABLE>
Average Life : 8.80 8.79 8.78 8.77 8.64
First Pay : 04/15/99 04/15/99 04/15/99 04/15/99 04/15/99
Last Pay : 02/15/11 02/15/11 02/15/11 02/15/11 02/15/11
1Y 2Y 3Y 5Y 10Y 30Y Price to Call
4.628 4.773 4.781 4.796 4.910 5.346
SPEEDS APPLIED AT THE END OF YM PERIOD
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 14 days. Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 3/16/99 settlement date.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions
hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
<PAGE>
DEUTSCHE /BANC ONE FUSION DEAL - RED HERRING
------ Corporate Bond Equivalent Yield Table ------
Lehman Brothers Page 1
Wed, 17 Feb 1999, 15:29:53
Bond Class X 0.933 FIXED CPN
Current Balance $1,311,125,920.05
<TABLE>
<CAPTION>
0.00% CPR 25.00% CPR 50.00% CPR 75.00% CPR 100.00%CPR
----------------- ----------------- ----------------- ----------------- ----------------
1.000% DEF 1.000% DEF 1.000% DEF 1.000% DEF 1.000% DEF
------------ ------------ ------------ ------------ -----------
65.0% REC 65.0% REC 65.0% REC 65.0% REC 65.0% REC
---------- ---------- ---------- ---------- ---------
12 MONTH LAG 12 MONTH LAG 12 MONTH LAG 12 MONTH LAG 12 MONTH LAG
-------------- --------------- --------------- --------------- --------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur
- ----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
4-14 11.364 3.47 11.350 3.47 11.332 3.47 11.302 3.47 11.078 3.44
4-15 11.164 11.150 11.132 11.102 10.877
4-16 10.966 10.953 10.934 10.904 10.677
4-17 10.771 10.757 10.738 10.708 10.480
4-18 10.578 10.564 10.545 10.515 10.285
4-19 10.386 3.55 10.372 3.55 10.354 3.54 10.323 3.54 10.092 3.52
4-20 10.197 10.183 10.164 10.134 9.901
4-21 10.010 9.996 9.977 9.946 9.713
4-22 9.825 9.811 9.792 9.761 9.526
4-23 9.642 9.628 9.609 9.577 9.341
4-24 9.461 3.62 9.446 3.62 9.427 3.62 9.396 3.61 9.158 3.59
4-25 9.282 9.267 9.248 9.216 8.977
4-26 9.104 9.090 9.070 9.038 8.798
4-27 8.929 8.914 8.894 8.862 8.621
4-28 8.755 8.740 8.720 8.688 8.446
4-29 8.583 3.69 8.568 3.69 8.548 3.69 8.516 3.68 8.272 3.66
4-30 8.412 8.398 8.378 8.345 8.100
4-31 8.244 8.229 8.209 8.176 7.930
5-00 8.077 8.062 8.042 8.009 7.761
5-01 7.911 7.896 7.876 7.843 7.594
5-02 7.748 3.76 7.733 3.76 7.712 3.76 7.679 3.75 7.429 3.72
5-03 7.586 7.570 7.550 7.517 7.265
5-04 7.425 7.410 7.389 7.356 7.103
5-05 7.266 7.251 7.230 7.196 6.943
5-06 7.108 7.093 7.072 7.038 6.783
5-07 6.952 3.83 6.937 3.82 6.916 3.82 6.882 3.82 6.626 3.79
5-08 6.798 6.782 6.761 6.727 6.470
5-09 6.644 6.629 6.608 6.574 6.315
5-10 6.493 6.477 6.456 6.421 6.162
5-11 6.342 6.326 6.305 6.271 6.010
5-12 6.193 3.89 6.177 3.89 6.156 3.89 6.121 3.88 5.859 3.85
5-13 6.045 6.029 6.008 5.973 5.710
5-14 5.899 5.883 5.862 5.827 5.562
5-15 5.754 5.738 5.716 5.681 5.416
5-16 5.610 5.594 5.572 5.537 5.271
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
Average Life : 8.48 8.47 8.46 8.44 8.33
First Pay : 04/15/99 04/15/99 04/15/99 04/15/99 04/15/99
Last Pay : 08/15/09 08/15/09 08/15/09 08/15/09 08/15/09
Collateral Loss : 35255220.51 (2.69 ) 35255220.51 (2.69 ) 35255220.51 (2.69 ) 35255220.51 (2.69 ) 35255054.63 (2.69)
Agg. Bond Loss : 0.00 0.00 0.00 0.00 0.00
</TABLE>
1Y 2Y 3Y 5Y 10Y 30Y Price to call
4.628 4.773 4.781 4.796 4.910 5.346
SPEEDS APPLIED AT THE END OF YM PERIOD
1% CDR APPLIED IMMEDIATELY, 65% RECOVERY, 12 MONTHS LAG
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 14 days. Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 3/16/99 settlement date.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions
hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
<PAGE>
DEUTSCHE /BANC ONE FUSION DEAL - PRICING
------ Corporate Bond Equivalent Yield Table ------
Lehman Brothers Page 1
Tue, 23 Feb 1999, 16:22:45
Bond Class A1 6.145 FIXED CPN
Current Balance $181,453,000.00
<TABLE>
<CAPTION>
0.00% CPR 25.00% CPR 50.00% CPR 75.00% CPR 100.00% CPR
----------------- ----------------- ----------------- ----------------- ----------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur
- ----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
98.37500 6.570 4.02 6.570 4.02 6.570 4.02 6.570 4.02 6.571 4.01
98.50000 6.538 6.539 6.539 6.539 6.539
98.62500 6.507 6.507 6.507 6.507 6.508
98.75000 6.476 6.476 6.476 6.476 6.476
98.87500 6.444 6.444 6.444 6.445 6.445
99.00000 6.413 4.04 6.413 4.03 6.413 4.03 6.413 4.03 6.414 4.03
99.12500 6.382 6.382 6.382 6.382 6.382
99.25000 6.351 6.351 6.351 6.351 6.351
99.37500 6.320 6.320 6.320 6.320 6.320
99.50000 6.289 6.289 6.289 6.289 6.289
99.62500 6.258 4.05 6.258 4.05 6.258 4.05 6.258 4.04 6.258 4.04
99.75000 6.227 6.227 6.227 6.227 6.227
99.87500 6.196 6.196 6.196 6.196 6.196
100.00000 6.165 6.165 6.165 6.165 6.165
100.12500 6.135 6.135 6.135 6.135 6.134
100.25000 6.104 4.06 6.104 4.06 6.104 4.06 6.104 4.06 6.104 4.05
100.37500 6.073 6.073 6.073 6.073 6.073
100.49900 6.043 6.043 6.043 6.043 6.043
100.62500 6.012 6.012 6.012 6.012 6.012
100.75000 5.982 5.982 5.982 5.982 5.981
100.87500 5.951 4.07 5.951 4.07 5.951 4.07 5.951 4.07 5.951 4.06
101.00000 5.921 5.921 5.921 5.921 5.920
101.12500 5.891 5.891 5.891 5.891 5.890
101.25000 5.861 5.861 5.860 5.860 5.860
101.37500 5.830 5.830 5.830 5.830 5.830
101.50000 5.800 4.08 5.800 4.08 5.800 4.08 5.800 4.08 5.799 4.08
101.62500 5.770 5.770 5.770 5.770 5.769
101.75000 5.740 5.740 5.740 5.740 5.739
101.87500 5.710 5.710 5.710 5.710 5.709
102.00000 5.680 5.680 5.680 5.680 5.679
102.12500 5.651 4.10 5.650 4.09 5.650 4.09 5.650 4.09 5.649 4.09
102.25000 5.621 5.621 5.621 5.620 5.620
102.37500 5.591 5.591 5.591 5.591 5.590
102.50000 5.561 5.561 5.561 5.561 5.560
102.62500 5.532 5.532 5.531 5.531 5.530
</TABLE>
Average Life : 5.00 5.00 5.00 5.00 4.99
First Pay : 04/15/99 04/15/99 04/15/99 04/15/99 04/15/99
Last Pay : 02/15/08 01/15/08 01/15/08 12/15/07 10/15/07
1Y 2Y 3Y 5Y 10Y 30Y Price to Maturity
4.759 4.989 5.004 5.033 5.097 5.428
SPEEDS APPLIED AT THE END OF YIELD MAINT PERIOD
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 14 days. Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 3/16/99 settlement date.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions
hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
<PAGE>
DEUTSCHE /BANC ONE FUSION DEAL - PRICING
------ Corporate Bond Equivalent Yield Table -----
Lehman Brothers Page 2
Tue, 23 Feb 1999, 16:22:45
Bond Class A2 6.455 FIXED CPN
Current Balance $723,242,000.00
<TABLE>
<CAPTION>
0.00% CPR 25.00% CPR 50.00% CPR 75.00% CPR 100.00% CPR
----------------- ----------------- ----------------- ----------------- ----------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur
- ----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
99.37500 6.598 6.76 6.598 6.75 6.598 6.74 6.598 6.73 6.599 6.64
99.50000 6.579 6.579 6.579 6.579 6.580
99.62500 6.561 6.561 6.561 6.561 6.561
99.75000 6.542 6.542 6.542 6.542 6.542
99.87500 6.524 6.524 6.524 6.524 6.523
100.00000 6.505 6.77 6.505 6.76 6.505 6.75 6.505 6.74 6.505 6.65
100.12500 6.487 6.487 6.487 6.487 6.486
100.25000 6.469 6.469 6.468 6.468 6.467
100.37500 6.450 6.450 6.450 6.450 6.449
100.50000 6.432 6.432 6.432 6.431 6.430
100.62500 6.414 6.78 6.414 6.77 6.413 6.77 6.413 6.75 6.411 6.66
100.75000 6.395 6.395 6.395 6.395 6.393
100.87500 6.377 6.377 6.377 6.376 6.374
101.00000 6.359 6.359 6.359 6.358 6.356
101.12500 6.341 6.341 6.340 6.340 6.337
101.25000 6.323 6.79 6.322 6.78 6.322 6.78 6.322 6.76 6.319 6.67
101.37500 6.305 6.304 6.304 6.304 6.300
101.49350 6.287 6.287 6.287 6.286 6.283
101.62500 6.268 6.268 6.268 6.267 6.264
101.75000 6.250 6.250 6.250 6.249 6.245
101.87500 6.232 6.80 6.232 6.80 6.232 6.79 6.231 6.77 6.227 6.68
102.00000 6.214 6.214 6.214 6.213 6.209
102.12500 6.196 6.196 6.196 6.195 6.190
102.25000 6.178 6.178 6.178 6.177 6.172
102.37500 6.161 6.160 6.160 6.159 6.154
102.50000 6.143 6.81 6.142 6.81 6.142 6.80 6.141 6.79 6.136 6.69
102.62500 6.125 6.124 6.124 6.123 6.118
102.75000 6.107 6.107 6.106 6.105 6.099
102.87500 6.089 6.089 6.088 6.087 6.081
103.00000 6.072 6.071 6.071 6.070 6.063
103.12500 6.054 6.82 6.053 6.82 6.053 6.81 6.052 6.80 6.045 6.70
103.25000 6.036 6.036 6.035 6.034 6.027
103.37500 6.018 6.018 6.017 6.016 6.009
103.50000 6.001 6.000 6.000 5.999 5.991
103.62500 5.983 5.983 5.982 5.981 5.973
</TABLE>
Average Life : 9.25 9.24 9.22 9.20 9.03
First Pay : 02/15/08 01/15/08 01/15/08 12/15/07 10/15/07
Last Pay : 09/15/08 09/15/08 09/15/08 09/15/08 07/15/08
1Y 2Y 3Y 5Y 10Y 30Y Price to Maturity
4.759 4.989 5.004 5.033 5.097 5.428
SPEEDS APPLIED AT THE END OF YIELD MAINT PERIOD
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 14 days. Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 3/16/99 settlement date.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions
hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
<PAGE>
DEUTSCHE /BANC ONE FUSION DEAL - PRICING
------ Corporate Bond Equivalent Yield Table ------
Lehman Brothers Page 3
Tue, 23 Feb 1999, 16:22:45
Bond Class B 6.552 FIXED CPN
Current Balance $62,280,000.00
<TABLE>
<CAPTION>
0.00% CPR 25.00% CPR 50.00% CPR 75.00% CPR 100.00% CPR
----------------- ----------------- ----------------- ----------------- ----------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur
- ----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
99.37500 6.696 6.89 6.696 6.88 6.696 6.87 6.696 6.86 6.697 6.78
99.50000 6.678 6.678 6.678 6.678 6.678
99.62500 6.660 6.660 6.660 6.660 6.660
99.75000 6.641 6.641 6.641 6.641 6.641
99.87500 6.623 6.623 6.623 6.623 6.623
100.00000 6.605 6.90 6.605 6.89 6.605 6.88 6.605 6.87 6.605 6.80
100.12500 6.587 6.587 6.587 6.587 6.586
100.25000 6.569 6.569 6.569 6.569 6.568
100.37500 6.551 6.551 6.551 6.551 6.550
100.50000 6.533 6.533 6.533 6.533 6.531
100.62500 6.515 6.91 6.515 6.90 6.515 6.89 6.515 6.88 6.513 6.81
100.75000 6.497 6.497 6.497 6.497 6.495
100.87500 6.479 6.479 6.479 6.479 6.477
101.00000 6.462 6.461 6.461 6.461 6.459
101.12500 6.444 6.444 6.443 6.443 6.441
101.25000 6.426 6.92 6.426 6.92 6.425 6.91 6.425 6.89 6.423 6.82
101.37500 6.408 6.408 6.408 6.407 6.405
101.49400 6.391 6.391 6.391 6.390 6.387
101.62500 6.373 6.372 6.372 6.372 6.369
101.75000 6.355 6.355 6.354 6.354 6.351
101.87500 6.337 6.94 6.337 6.93 6.337 6.92 6.336 6.91 6.333 6.83
102.00000 6.320 6.319 6.319 6.318 6.315
102.12500 6.302 6.302 6.301 6.301 6.297
102.25000 6.285 6.284 6.284 6.283 6.279
102.37500 6.267 6.267 6.266 6.265 6.261
102.50000 6.250 6.95 6.249 6.94 6.249 6.93 6.248 6.92 6.243 6.84
102.62500 6.232 6.232 6.231 6.230 6.226
102.75000 6.215 6.214 6.213 6.213 6.208
102.87500 6.197 6.197 6.196 6.195 6.190
103.00000 6.180 6.179 6.179 6.178 6.173
103.12500 6.162 6.96 6.162 6.95 6.161 6.94 6.160 6.93 6.155 6.85
103.25000 6.145 6.144 6.144 6.143 6.137
103.37500 6.128 6.127 6.126 6.125 6.120
103.50000 6.110 6.110 6.109 6.108 6.102
103.62500 6.093 6.092 6.092 6.091 6.085
</TABLE>
Average Life : 9.55 9.54 9.52 9.50 9.36
First Pay : 09/15/08 09/15/08 09/15/08 09/15/08 07/15/08
Last Pay : 10/15/08 10/15/08 10/15/08 09/15/08 08/15/08
1Y 2Y 3Y 5Y 10Y 30Y Price to Maturity
4.759 4.989 5.004 5.033 5.097 5.428
SPEEDS APPLIED AT THE END OF YIELD MAINT PERIOD
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 14 days. Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 3/16/99 settlement date.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions
hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
<PAGE>
DEUTSCHE /BANC ONE FUSION DEAL - PRICING
------ Corporate Bond Equivalent Yield Table ------
Lehman Brothers Page 4
Tue, 23 Feb 1999, 16:22:45
Bond Class C 6.612 FIXED CPN
Current Balance $22,945,000.00
<TABLE>
<CAPTION>
0.00% CPR 25.00% CPR 50.00% CPR 75.00% CPR 100.00% CPR
----------------- ----------------- ----------------- ----------------- ----------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur
- ----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
99.37500 6.757 6.88 6.757 6.88 6.757 6.88 6.757 6.88 6.758 6.80
99.50000 6.739 6.739 6.739 6.739 6.739
99.62500 6.721 6.721 6.721 6.721 6.721
99.75000 6.703 6.703 6.703 6.703 6.703
99.87500 6.685 6.685 6.685 6.685 6.684
100.00000 6.666 6.89 6.666 6.89 6.666 6.89 6.666 6.89 6.666 6.81
100.12500 6.648 6.648 6.648 6.648 6.648
100.25000 6.630 6.630 6.630 6.630 6.629
100.37500 6.612 6.612 6.612 6.612 6.611
100.50000 6.594 6.594 6.594 6.594 6.593
100.62500 6.576 6.91 6.576 6.91 6.576 6.91 6.576 6.90 6.575 6.82
100.75000 6.559 6.559 6.559 6.558 6.557
100.87500 6.541 6.541 6.541 6.540 6.539
101.00000 6.523 6.523 6.523 6.523 6.520
101.12500 6.505 6.505 6.505 6.505 6.502
101.25000 6.487 6.92 6.487 6.92 6.487 6.92 6.487 6.91 6.484 6.83
101.37500 6.469 6.469 6.469 6.469 6.466
101.49960 6.452 6.452 6.452 6.451 6.448
101.62500 6.434 6.434 6.434 6.434 6.430
101.75000 6.416 6.416 6.416 6.416 6.412
101.87500 6.398 6.93 6.398 6.93 6.398 6.93 6.398 6.92 6.395 6.84
102.00000 6.381 6.381 6.381 6.380 6.377
102.12500 6.363 6.363 6.363 6.363 6.359
102.25000 6.346 6.346 6.346 6.345 6.341
102.37500 6.328 6.328 6.328 6.328 6.323
102.50000 6.311 6.94 6.311 6.94 6.311 6.94 6.310 6.93 6.306 6.85
102.62500 6.293 6.293 6.293 6.293 6.288
102.75000 6.276 6.276 6.276 6.275 6.270
102.87500 6.258 6.258 6.258 6.258 6.252
103.00000 6.241 6.241 6.241 6.240 6.235
103.12500 6.223 6.95 6.223 6.95 6.223 6.95 6.223 6.94 6.217 6.86
103.25000 6.206 6.206 6.206 6.205 6.200
103.37500 6.189 6.189 6.189 6.188 6.182
103.50000 6.171 6.171 6.171 6.171 6.164
103.62500 6.154 6.154 6.154 6.153 6.147
</TABLE>
Average Life : 9.58 9.58 9.58 9.57 9.41
First Pay : 10/15/08 10/15/08 10/15/08 09/15/08 08/15/08
Last Pay : 10/15/08 10/15/08 10/15/08 10/15/08 08/15/08
1Y 2Y 3Y 5Y 10Y 30Y Price to Maturity
4.759 4.989 5.004 5.033 5.097 5.428
SPEEDS APPLIED AT THE END OF YIELD MAINT PERIOD
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 14 days. Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 3/16/99 settlement date.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions
hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
<PAGE>
DEUTSCHE /BANC ONE FUSION DEAL - PRICING
------ Corporate Bond Equivalent Yield Table ------
Lehman Brothers Page 5
Tue, 23 Feb 1999, 16:22:45
Bond Class D 6.701 FIXED CPN
Current Balance $62,280,000.00
<TABLE>
<CAPTION>
0.00% CPR 25.00% CPR 50.00% CPR 75.00% CPR 100.00% CPR
----------------- ----------------- ----------------- ----------------- ----------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur
- ----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
99.37500 6.848 6.85 6.848 6.85 6.848 6.85 6.848 6.85 6.849 6.77
99.50000 6.830 6.830 6.830 6.830 6.831
99.62500 6.812 6.812 6.812 6.812 6.812
99.75000 6.794 6.794 6.794 6.794 6.794
99.87500 6.775 6.775 6.775 6.775 6.775
100.00000 6.757 6.87 6.757 6.87 6.757 6.87 6.757 6.87 6.757 6.78
100.12500 6.739 6.739 6.739 6.739 6.738
100.25000 6.721 6.721 6.721 6.721 6.720
100.37500 6.703 6.703 6.703 6.703 6.702
100.50000 6.685 6.685 6.685 6.685 6.684
100.62500 6.667 6.88 6.667 6.88 6.667 6.88 6.667 6.88 6.665 6.79
100.75000 6.649 6.649 6.649 6.649 6.647
100.87500 6.631 6.631 6.631 6.631 6.629
101.00000 6.613 6.613 6.613 6.613 6.611
101.12500 6.595 6.595 6.595 6.595 6.593
101.25000 6.577 6.89 6.577 6.89 6.577 6.89 6.577 6.89 6.574 6.80
101.37500 6.559 6.559 6.559 6.559 6.556
101.49920 6.542 6.542 6.542 6.542 6.538
101.62500 6.524 6.524 6.524 6.524 6.520
101.75000 6.506 6.506 6.506 6.506 6.502
101.87500 6.488 6.90 6.488 6.90 6.488 6.90 6.488 6.90 6.484 6.81
102.00000 6.470 6.470 6.470 6.470 6.466
102.12500 6.453 6.453 6.453 6.453 6.448
102.25000 6.435 6.435 6.435 6.435 6.431
102.37500 6.417 6.417 6.417 6.417 6.413
102.50000 6.400 6.91 6.400 6.91 6.400 6.91 6.400 6.91 6.395 6.83
102.62500 6.382 6.382 6.382 6.382 6.377
102.75000 6.365 6.365 6.365 6.365 6.359
102.87500 6.347 6.347 6.347 6.347 6.342
103.00000 6.330 6.330 6.330 6.330 6.324
103.12500 6.312 6.92 6.312 6.92 6.312 6.92 6.312 6.92 6.306 6.84
103.25000 6.295 6.295 6.295 6.295 6.288
103.37500 6.277 6.277 6.277 6.277 6.271
103.50000 6.260 6.260 6.260 6.260 6.253
103.62500 6.243 6.243 6.243 6.243 6.236
</TABLE>
Average Life : 9.58 9.58 9.58 9.58 9.41
First Pay : 10/15/08 10/15/08 10/15/08 10/15/08 08/15/08
Last Pay : 10/15/08 10/15/08 10/15/08 10/15/08 08/15/08
1Y 2Y 3Y 5Y 10Y 30Y Price to Maturity
4.759 4.989 5.004 5.033 5.097 5.428
SPEEDS APPLIED AT THE END OF YIELD MAINT PERIOD
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 14 days. Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 3/16/99 settlement date.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions
hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
<PAGE>
DEUTSCHE /BANC ONE FUSION DEAL - PRICING
------ Corporate Bond Equivalent Yield Table ------
Lehman Brothers Page 6
Tue, 23 Feb 1999, 16:22:45
Bond Class E 7.239 FIXED CPN
Current Balance $81,947,000.00
<TABLE>
<CAPTION>
0.00% CPR 25.00% CPR 50.00% CPR 75.00% CPR 100.00% CPR
----------------- ----------------- ----------------- ----------------- ----------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur
- ----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
96.45312 7.767 6.65 7.767 6.65 7.767 6.65 7.768 6.65 7.773 6.59
96.57812 7.748 7.748 7.748 7.748 7.754
96.70312 7.728 7.728 7.729 7.729 7.734
96.82812 7.709 7.709 7.709 7.709 7.715
96.95312 7.690 7.690 7.690 7.690 7.695
97.07812 7.670 6.66 7.670 6.66 7.671 6.66 7.671 6.66 7.676 6.60
97.20312 7.651 7.651 7.651 7.652 7.656
97.32812 7.632 7.632 7.632 7.632 7.637
97.45312 7.613 7.613 7.613 7.613 7.617
97.57812 7.594 7.594 7.594 7.594 7.598
97.70312 7.574 6.67 7.574 6.67 7.575 6.67 7.575 6.67 7.579 6.61
97.82812 7.555 7.555 7.555 7.556 7.560
97.95312 7.536 7.536 7.536 7.537 7.540
98.07812 7.517 7.517 7.517 7.518 7.521
98.20312 7.498 7.498 7.498 7.499 7.502
98.32812 7.479 6.69 7.479 6.69 7.479 6.69 7.480 6.69 7.483 6.63
98.45312 7.460 7.460 7.460 7.461 7.464
98.57620 7.442 7.442 7.442 7.442 7.445
98.70312 7.422 7.423 7.423 7.423 7.426
98.82812 7.404 7.404 7.404 7.404 7.407
98.95312 7.385 6.70 7.385 6.70 7.385 6.70 7.385 6.70 7.388 6.64
99.07812 7.366 7.366 7.366 7.366 7.369
99.20312 7.347 7.347 7.347 7.348 7.350
99.32812 7.329 7.329 7.329 7.329 7.331
99.45312 7.310 7.310 7.310 7.310 7.312
99.57812 7.291 6.71 7.291 6.71 7.291 6.71 7.292 6.71 7.293 6.65
99.70312 7.273 7.273 7.273 7.273 7.274
99.82812 7.254 7.254 7.254 7.254 7.255
99.95312 7.235 7.235 7.236 7.236 7.237
100.07812 7.217 7.217 7.217 7.217 7.218
100.20312 7.198 6.72 7.198 6.72 7.198 6.72 7.199 6.72 7.199 6.66
100.32812 7.180 7.180 7.180 7.180 7.181
100.45312 7.161 7.161 7.162 7.162 7.162
100.57812 7.143 7.143 7.143 7.143 7.143
100.70312 7.125 7.125 7.125 7.125 7.125
</TABLE>
Average Life : 9.58 9.58 9.58 9.58 9.46
First Pay : 10/15/08 10/15/08 10/15/08 10/15/08 08/15/08
Last Pay : 10/15/08 10/15/08 10/15/08 10/15/08 09/15/08
1Y 2Y 3Y 5Y 10Y 30Y Price to Maturity
4.759 4.989 5.004 5.033 5.097 5.428
SPEEDS APPLIED AT THE END OF YIELD MAINT PERIOD
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 14 days. Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 3/16/99 settlement date.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions
hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
<PAGE>
DEUTSCHE /BANC ONE FUSION DEAL - PRICING
------- Corporate Bond Equivalent Yield Table ------
Lehman Brothers Page 7
Tue, 23 Feb 1999, 16:22:45
Bond Class F 7.239 FIXED CPN
Current Balance $19,668,000.00
<TABLE>
<CAPTION>
0.00% CPR 25.00% CPR 50.00% CPR 75.00% CPR 100.00% CPR
----------------- ----------------- ----------------- ----------------- -----------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur
- ----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
89.20312 8.953 6.49 8.953 6.49 8.953 6.49 8.953 6.49 8.960 6.47
89.32812 8.931 8.931 8.932 8.932 8.939
89.45312 8.910 8.910 8.910 8.910 8.917
89.57812 8.889 8.889 8.889 8.889 8.896
89.70312 8.867 8.867 8.867 8.868 8.874
89.82812 8.846 6.50 8.846 6.50 8.846 6.50 8.846 6.50 8.853 6.49
89.95312 8.824 8.825 8.825 8.825 8.831
90.07812 8.803 8.803 8.803 8.804 8.810
90.20312 8.782 8.782 8.782 8.782 8.789
90.32812 8.761 8.761 8.761 8.761 8.768
90.45312 8.740 6.52 8.740 6.52 8.740 6.52 8.740 6.52 8.746 6.50
90.57812 8.719 8.719 8.719 8.719 8.725
90.70312 8.697 8.698 8.698 8.698 8.704
90.82812 8.676 8.677 8.677 8.677 8.683
90.95312 8.655 8.656 8.656 8.656 8.662
91.07812 8.634 6.53 8.635 6.53 8.635 6.53 8.635 6.53 8.641 6.52
91.20312 8.614 8.614 8.614 8.614 8.620
91.33430 8.592 8.592 8.592 8.592 8.598
91.45312 8.572 8.572 8.572 8.572 8.578
91.57812 8.551 8.551 8.551 8.551 8.557
91.70312 8.530 6.55 8.530 6.55 8.530 6.55 8.531 6.55 8.536 6.53
91.82812 8.509 8.510 8.510 8.510 8.516
91.95312 8.489 8.489 8.489 8.489 8.495
92.07812 8.468 8.468 8.468 8.469 8.474
92.20312 8.448 8.448 8.448 8.448 8.453
92.32812 8.427 6.56 8.427 6.56 8.427 6.56 8.427 6.56 8.433 6.54
92.45312 8.406 8.406 8.407 8.407 8.412
92.57812 8.386 8.386 8.386 8.386 8.392
92.70312 8.365 8.365 8.366 8.366 8.371
92.82812 8.345 8.345 8.345 8.345 8.351
92.95312 8.325 6.57 8.325 6.57 8.325 6.57 8.325 6.57 8.330 6.56
93.07812 8.304 8.304 8.304 8.305 8.310
93.20312 8.284 8.284 8.284 8.284 8.289
93.32812 8.263 8.264 8.264 8.264 8.269
93.45312 8.243 8.243 8.243 8.244 8.249
</TABLE>
Average Life : 9.58 9.58 9.58 9.58 9.54
First Pay : 10/15/08 10/15/08 10/15/08 10/15/08 09/15/08
Last Pay : 10/15/08 10/15/08 10/15/08 10/15/08 10/15/08
1Y 2Y 3Y 5Y 10Y 30Y Price to Maturity
4.759 4.989 5.004 5.033 5.097 5.428
SPEEDS APPLIED AT THE END OF YIELD MAINT PERIOD
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 14 days. Duration, First Pay, Average Life,
and Maturity are stated in years reflecting a 3/16/99 settlement date.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions
hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
<PAGE>
DEUTSCHE /BANC ONE FUSION DEAL - PRICING
------ Corporate Bond Equivalent Yield Table ------
Lehman Brothers Page 1
Tue, 23 Feb 1999, 16:17:01
Bond Class A1 6.145 FIXED CPN
Current Balance $181,453,000.00
<TABLE>
<CAPTION>
0.00% CPR 25.00% CPR 50.00% CPR 75.00% CPR 100.00% CPR
----------------- ----------------- ----------------- ----------------- -----------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur
- ----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
98.37500 6.570 4.02 6.673 3.80 6.725 3.69 6.754 3.63 6.786 3.56
98.50000 6.538 6.640 6.691 6.719 6.750
98.62500 6.507 6.606 6.656 6.684 6.715
98.75000 6.476 6.573 6.622 6.649 6.679
98.87500 6.444 6.540 6.588 6.615 6.644
99.00000 6.413 4.04 6.507 3.81 6.554 3.70 6.580 3.64 6.609 3.57
99.12500 6.382 6.474 6.520 6.545 6.573
99.25000 6.351 6.441 6.486 6.511 6.538
99.37500 6.320 6.408 6.453 6.477 6.503
99.50000 6.289 6.375 6.419 6.442 6.468
99.62500 6.258 4.05 6.343 3.82 6.385 3.72 6.408 3.66 6.433 3.59
99.75000 6.227 6.310 6.351 6.374 6.398
99.87500 6.196 6.277 6.318 6.340 6.364
100.00000 6.165 6.245 6.284 6.306 6.329
100.12500 6.135 6.212 6.251 6.272 6.294
100.25000 6.104 4.06 6.180 3.83 6.217 3.73 6.238 3.67 6.260 3.60
100.37500 6.073 6.147 6.184 6.204 6.225
100.49900 6.043 6.115 6.151 6.170 6.191
100.62500 6.012 6.083 6.118 6.136 6.156
100.75000 5.982 6.050 6.084 6.102 6.122
100.87500 5.951 4.07 6.018 3.85 6.051 3.74 6.069 3.68 6.087 3.61
101.00000 5.921 5.986 6.018 6.035 6.053
101.12500 5.891 5.954 5.985 6.002 6.019
101.25000 5.861 5.922 5.952 5.968 5.985
101.37500 5.830 5.890 5.919 5.935 5.951
101.50000 5.800 4.08 5.858 3.86 5.887 3.75 5.901 3.69 5.917 3.62
101.62500 5.770 5.826 5.854 5.868 5.883
101.75000 5.740 5.795 5.821 5.835 5.849
101.87500 5.710 5.763 5.789 5.802 5.815
102.00000 5.680 5.731 5.756 5.769 5.782
102.12500 5.651 4.10 5.700 3.87 5.724 3.76 5.736 3.70 5.748 3.63
102.25000 5.621 5.668 5.691 5.703 5.714
102.37500 5.591 5.637 5.659 5.670 5.681
102.50000 5.561 5.605 5.626 5.637 5.647
102.62500 5.532 5.574 5.594 5.604 5.614
</TABLE>
Average Life : 5.00 4.67 4.52 4.44 4.36
First Pay : 04/15/99 04/15/99 04/15/99 04/15/99 04/15/99
Last Pay : 02/15/08 07/15/07 06/15/07 05/15/07 05/15/07
1Y 2Y 3Y 5Y 10Y 30Y Price to Maturity
4.759 4.989 5.004 5.033 5.097 5.428 With Prepayment Penalty;
SPEEDS APPLIED AT THE END OF LOCK OUT PERIOD
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 14 days. Duration, First Pay, Average Life,
and Maturity are stated in years reflecting a 3/16/99 settlement date.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions
hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
<PAGE>
DEUTSCHE /BANC ONE FUSION DEAL - PRICING
------ Corporate Bond Equivalent Yield Table ------
Lehman Brothers Page 2
Tue, 23 Feb 1999, 16:17:01
Bond Class A2 6.455 FIXED CPN
Current Balance $723,242,000.00
<TABLE>
<CAPTION>
0.00% CPR 25.00% CPR 50.00% CPR 75.00% CPR 100.00% CPR
----------------- ----------------- ----------------- ----------------- -----------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur
- ----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
99.37500 6.598 6.76 6.598 6.74 6.598 6.73 6.598 6.72 6.599 6.63
99.50000 6.579 6.579 6.579 6.580 6.580
99.62500 6.561 6.561 6.561 6.561 6.561
99.75000 6.542 6.542 6.542 6.542 6.542
99.87500 6.524 6.524 6.524 6.524 6.523
100.00000 6.505 6.77 6.505 6.76 6.505 6.74 6.505 6.73 6.505 6.64
100.12500 6.487 6.487 6.487 6.487 6.486
100.25000 6.469 6.469 6.468 6.468 6.467
100.37500 6.450 6.450 6.450 6.450 6.449
100.50000 6.432 6.432 6.432 6.431 6.430
100.62500 6.414 6.78 6.414 6.77 6.413 6.76 6.413 6.74 6.411 6.65
100.75000 6.395 6.395 6.395 6.395 6.393
100.87500 6.377 6.377 6.377 6.376 6.374
101.00000 6.359 6.359 6.358 6.358 6.356
101.12500 6.341 6.340 6.340 6.340 6.337
101.25000 6.323 6.79 6.322 6.78 6.322 6.77 6.321 6.75 6.319 6.67
101.37500 6.305 6.304 6.304 6.303 6.300
101.49350 6.287 6.287 6.287 6.286 6.283
101.62500 6.268 6.268 6.267 6.267 6.263
101.75000 6.250 6.250 6.249 6.249 6.245
101.87500 6.232 6.80 6.232 6.79 6.231 6.78 6.231 6.76 6.226 6.68
102.00000 6.214 6.214 6.213 6.213 6.208
102.12500 6.196 6.196 6.195 6.195 6.190
102.25000 6.178 6.178 6.177 6.176 6.172
102.37500 6.161 6.160 6.159 6.159 6.153
102.50000 6.143 6.81 6.142 6.80 6.141 6.79 6.141 6.78 6.135 6.69
102.62500 6.125 6.124 6.123 6.123 6.117
102.75000 6.107 6.106 6.106 6.105 6.099
102.87500 6.089 6.088 6.088 6.087 6.081
103.00000 6.072 6.071 6.070 6.069 6.063
103.12500 6.054 6.82 6.053 6.81 6.052 6.80 6.051 6.79 6.045 6.70
103.25000 6.036 6.035 6.034 6.033 6.027
103.37500 6.018 6.017 6.017 6.016 6.009
103.50000 6.001 6.000 5.999 5.998 5.991
103.62500 5.983 5.982 5.981 5.980 5.973
</TABLE>
Average Life: 9.25 9.22 9.20 9.18 9.02
First Pay : 02/15/08 07/15/07 06/15/07 05/15/07 05/15/07
Last Pay : 09/15/08 09/15/08 09/15/08 09/15/08 07/15/08
1Y 2Y 3Y 5Y 10Y 30Y Price to Maturity
4.759 4.989 5.004 5.033 5.097 5.428 With Prepayment Penalty;
SPEEDS APPLIED AT THE END OF LOCK OUT PERIOD
Notes: All yields and durations are based on MONTHLY payments of interest
with an interest free delay of 14 days. Duration, First Pay, Average
Life, and Maturity are stated in years reflecting a 3/16/99 settlement
date.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions
hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
<PAGE>
DEUTSCHE /BANC ONE FUSION DEAL - PRICING
------ Corporate Bond Equivalent Yield Table ------
Lehman Brothers Page 3
Tue, 23 Feb 1999, 16:17:01
Bond Class B 6.552 FIXED CPN
Current Balance $62,280,000.00
<TABLE>
<CAPTION>
0.00% CPR 25.00% CPR 50.00% CPR 75.00% CPR 100.00% CPR
----------------- ----------------- ----------------- ----------------- ----------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur
- ----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
99.37500 6.696 6.89 6.696 6.88 6.696 6.87 6.696 6.86 6.697 6.78
99.50000 6.678 6.678 6.678 6.678 6.678
99.62500 6.660 6.660 6.660 6.660 6.660
99.75000 6.641 6.641 6.641 6.641 6.641
99.87500 6.623 6.623 6.623 6.623 6.623
100.00000 6.605 6.90 6.605 6.89 6.605 6.88 6.605 6.87 6.605 6.80
100.12500 6.587 6.587 6.587 6.587 6.586
100.25000 6.569 6.569 6.569 6.569 6.568
100.37500 6.551 6.551 6.551 6.551 6.550
100.50000 6.533 6.533 6.533 6.533 6.531
100.62500 6.515 6.91 6.515 6.90 6.515 6.89 6.515 6.88 6.513 6.81
100.75000 6.497 6.497 6.497 6.497 6.495
100.87500 6.479 6.479 6.479 6.479 6.477
101.00000 6.462 6.461 6.461 6.461 6.459
101.12500 6.444 6.444 6.443 6.443 6.441
101.25000 6.426 6.92 6.426 6.92 6.425 6.91 6.425 6.89 6.423 6.82
101.37500 6.408 6.408 6.408 6.407 6.405
101.49400 6.391 6.391 6.391 6.390 6.387
101.62500 6.373 6.372 6.372 6.372 6.369
101.75000 6.355 6.355 6.354 6.354 6.351
101.87500 6.337 6.94 6.337 6.93 6.337 6.92 6.336 6.91 6.333 6.83
102.00000 6.320 6.319 6.319 6.318 6.315
102.12500 6.302 6.302 6.301 6.301 6.297
102.25000 6.285 6.284 6.284 6.283 6.279
102.37500 6.267 6.267 6.266 6.265 6.261
102.50000 6.250 6.95 6.249 6.94 6.248 6.93 6.248 6.92 6.243 6.84
102.62500 6.232 6.232 6.231 6.230 6.226
102.75000 6.215 6.214 6.213 6.213 6.208
102.87500 6.197 6.197 6.196 6.195 6.190
103.00000 6.180 6.179 6.178 6.178 6.173
103.12500 6.162 6.96 6.162 6.95 6.161 6.94 6.160 6.93 6.155 6.85
103.25000 6.145 6.144 6.144 6.143 6.137
103.37500 6.128 6.127 6.126 6.125 6.120
103.50000 6.110 6.110 6.109 6.108 6.102
103.62500 6.093 6.092 6.092 6.091 6.084
</TABLE>
Average Life : 9.55 9.54 9.52 9.50 9.35
First Pay : 09/15/08 09/15/08 09/15/08 09/15/08 07/15/08
Last Pay : 10/15/08 10/15/08 10/15/08 09/15/08 08/15/08
1Y 2Y 3Y 5Y 10Y 30Y Price to Maturity
4.759 4.989 5.004 5.033 5.097 5.428 With Prepayment Penalty;
SPEEDS APPLIED AT THE END OF LOCK OUT PERIOD
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 14 days. Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 3/16/99 settlement date.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions
hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
<PAGE>
DEUTSCHE /BANC ONE FUSION DEAL - PRICING
------ Corporate Bond Equivalent Yield Table ------
Lehman Brothers Page 4
Tue, 23 Feb 1999, 16:17:01
Bond Class C 6.612 FIXED CPN
Current Balance $22,945,000.00
<TABLE>
<CAPTION>
0.00% CPR 25.00% CPR 50.00% CPR 75.00% CPR 100.00%CPR
----------------- ----------------- ----------------- ----------------- -----------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur
- ----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
99.37500 6.757 6.88 6.757 6.88 6.757 6.88 6.757 6.87 6.758 6.80
99.50000 6.739 6.739 6.739 6.739 6.739
99.62500 6.721 6.721 6.721 6.721 6.721
99.75000 6.703 6.703 6.703 6.703 6.703
99.87500 6.685 6.685 6.685 6.685 6.684
100.00000 6.666 6.89 6.666 6.89 6.666 6.89 6.666 6.89 6.666 6.81
100.12500 6.648 6.648 6.648 6.648 6.648
100.25000 6.630 6.630 6.630 6.630 6.629
100.37500 6.612 6.612 6.612 6.612 6.611
100.50000 6.594 6.594 6.594 6.594 6.593
100.62500 6.576 6.91 6.576 6.91 6.576 6.91 6.576 6.90 6.575 6.82
100.75000 6.559 6.559 6.559 6.558 6.557
100.87500 6.541 6.541 6.541 6.540 6.539
101.00000 6.523 6.523 6.523 6.523 6.520
101.12500 6.505 6.505 6.505 6.505 6.502
101.25000 6.487 6.92 6.487 6.92 6.487 6.92 6.487 6.91 6.484 6.83
101.37500 6.469 6.469 6.469 6.469 6.466
101.49960 6.452 6.452 6.452 6.451 6.448
101.62500 6.434 6.434 6.434 6.433 6.430
101.75000 6.416 6.416 6.416 6.416 6.412
101.87500 6.398 6.93 6.398 6.93 6.398 6.93 6.398 6.92 6.395 6.84
102.00000 6.381 6.381 6.381 6.380 6.377
102.12500 6.363 6.363 6.363 6.363 6.359
102.25000 6.346 6.346 6.346 6.345 6.341
102.37500 6.328 6.328 6.328 6.328 6.323
102.50000 6.311 6.94 6.311 6.94 6.311 6.94 6.310 6.93 6.306 6.85
102.62500 6.293 6.293 6.293 6.292 6.288
102.75000 6.276 6.276 6.276 6.275 6.270
102.87500 6.258 6.258 6.258 6.257 6.252
103.00000 6.241 6.241 6.241 6.240 6.235
103.12500 6.223 6.95 6.223 6.95 6.223 6.95 6.223 6.94 6.217 6.86
103.25000 6.206 6.206 6.206 6.205 6.200
103.37500 6.189 6.189 6.189 6.188 6.182
103.50000 6.171 6.171 6.171 6.170 6.164
103.62500 6.154 6.154 6.154 6.153 6.147
</TABLE>
Average Life : 9.58 9.58 9.58 9.56 9.41
First Pay : 10/15/08 10/15/08 10/15/08 09/15/08 08/15/08
Last Pay : 10/15/08 10/15/08 10/15/08 10/15/08 08/15/08
1Y 2Y 3Y 5Y 10Y 30Y Price to Maturity
4.759 4.989 5.004 5.033 5.097 5.428 With Prepayment Penalty;
SPEEDS APPLIED AT THE END OF LOCK OUT PERIOD
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 14 days. Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 3/16/99 settlement date.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions
hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
<PAGE>
DEUTSCHE /BANC ONE FUSION DEAL - PRICING
------ Corporate Bond Equivalent Yield Table ------
Lehman Brothers Page 5
Tue, 23 Feb 1999, 16:17:01
Bond Class D 6.701 FIXED CPN
Current Balance $62,280,000.00
<TABLE>
<CAPTION>
0.00% CPR 25.00% CPR 50.00% CPR 75.00% CPR 100.00% CPR
----------------- ----------------- ----------------- ----------------- -----------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur
- ----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
99.37500 6.848 6.85 6.848 6.85 6.848 6.85 6.848 6.85 6.849 6.77
99.50000 6.830 6.830 6.830 6.830 6.831
99.62500 6.812 6.812 6.812 6.812 6.812
99.75000 6.794 6.794 6.794 6.794 6.794
99.87500 6.775 6.776 6.776 6.775 6.775
100.00000 6.757 6.87 6.757 6.87 6.757 6.87 6.757 6.87 6.757 6.78
100.12500 6.739 6.739 6.739 6.739 6.738
100.25000 6.721 6.721 6.721 6.721 6.720
100.37500 6.703 6.703 6.703 6.703 6.702
100.50000 6.685 6.685 6.685 6.685 6.684
100.62500 6.667 6.88 6.667 6.88 6.667 6.88 6.667 6.88 6.665 6.79
100.75000 6.649 6.649 6.649 6.649 6.647
100.87500 6.631 6.631 6.631 6.631 6.629
101.00000 6.613 6.613 6.613 6.613 6.611
101.12500 6.595 6.595 6.595 6.595 6.593
101.25000 6.577 6.89 6.577 6.89 6.577 6.89 6.577 6.89 6.574 6.80
101.37500 6.559 6.559 6.559 6.559 6.556
101.49920 6.542 6.542 6.542 6.542 6.538
101.62500 6.524 6.524 6.524 6.524 6.520
101.75000 6.506 6.506 6.506 6.506 6.502
101.87500 6.488 6.90 6.488 6.90 6.488 6.90 6.488 6.90 6.484 6.81
102.00000 6.470 6.470 6.470 6.470 6.466
102.12500 6.453 6.453 6.453 6.453 6.448
102.25000 6.435 6.435 6.435 6.435 6.431
102.37500 6.417 6.418 6.418 6.417 6.413
102.50000 6.400 6.91 6.400 6.91 6.400 6.91 6.400 6.91 6.395 6.83
102.62500 6.382 6.382 6.382 6.382 6.377
102.75000 6.365 6.365 6.365 6.365 6.359
102.87500 6.347 6.347 6.347 6.347 6.342
103.00000 6.330 6.330 6.330 6.330 6.324
103.12500 6.312 6.92 6.312 6.92 6.312 6.92 6.312 6.92 6.306 6.84
103.25000 6.295 6.295 6.295 6.295 6.288
103.37500 6.277 6.277 6.277 6.277 6.271
103.50000 6.260 6.260 6.260 6.260 6.253
103.62500 6.243 6.243 6.243 6.243 6.236
</TABLE>
Average Life : 9.58 9.58 9.58 9.58 9.41
First Pay : 10/15/08 10/15/08 10/15/08 10/15/08 08/15/08
Last Pay : 10/15/08 10/15/08 10/15/08 10/15/08 08/15/08
1Y 2Y 3Y 5Y 10Y 30Y Price to Maturity
4.759 4.989 5.004 5.033 5.097 5.428 With Prepayment Penalty;
SPEEDS APPLIED AT THE END OF LOCK OUT PERIOD
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 14 days. Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 3/16/99 settlement date.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions
hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
<PAGE>
DEUTSCHE /BANC ONE FUSION DEAL - PRICING
------ Corporate Bond Equivalent Yield Table ------
Lehman Brothers Page 6
Tue, 23 Feb 1999, 16:17:01
Bond Class E 7.239 FIXED CPN
Current Balance $81,947,000.00
<TABLE>
<CAPTION>
0.00% CPR 25.00% CPR 50.00% CPR 75.00% CPR 100.00% CPR
----------------- ----------------- ----------------- ----------------- ----------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur
- ----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
96.45312 7.767 6.65 7.766 6.65 7.766 6.65 7.766 6.65 7.771 6.59
96.57812 7.748 7.747 7.746 7.746 7.752
96.70312 7.728 7.727 7.727 7.727 7.732
96.82812 7.709 7.708 7.708 7.708 7.713
96.95312 7.690 7.689 7.688 7.688 7.693
97.07812 7.670 6.66 7.669 6.66 7.669 6.66 7.669 6.66 7.674 6.60
97.20312 7.651 7.650 7.650 7.650 7.654
97.32812 7.632 7.631 7.631 7.631 7.635
97.45312 7.613 7.612 7.611 7.611 7.616
97.57812 7.594 7.593 7.592 7.592 7.596
97.70312 7.574 6.67 7.573 6.67 7.573 6.67 7.573 6.67 7.577 6.61
97.82812 7.555 7.554 7.554 7.554 7.558
97.95312 7.536 7.535 7.535 7.535 7.538
98.07812 7.517 7.516 7.516 7.516 7.519
98.20312 7.498 7.497 7.497 7.497 7.500
98.32812 7.479 6.69 7.478 6.69 7.478 6.69 7.478 6.69 7.481 6.63
98.45312 7.460 7.459 7.459 7.459 7.462
98.57620 7.442 7.441 7.440 7.440 7.443
98.70312 7.422 7.422 7.421 7.421 7.424
98.82812 7.404 7.403 7.402 7.402 7.405
98.95312 7.385 6.70 7.384 6.70 7.384 6.70 7.384 6.70 7.386 6.64
99.07812 7.366 7.365 7.365 7.365 7.367
99.20312 7.347 7.346 7.346 7.346 7.348
99.32812 7.329 7.328 7.327 7.327 7.329
99.45312 7.310 7.309 7.309 7.309 7.310
99.57812 7.291 6.71 7.290 6.71 7.290 6.71 7.290 6.71 7.291 6.65
99.70312 7.273 7.272 7.271 7.271 7.272
99.82812 7.254 7.253 7.253 7.253 7.254
99.95312 7.235 7.234 7.234 7.234 7.235
100.07812 7.217 7.216 7.216 7.216 7.216
100.20312 7.198 6.72 7.197 6.72 7.197 6.72 7.197 6.72 7.197 6.66
100.32812 7.180 7.179 7.179 7.179 7.179
100.45312 7.161 7.160 7.160 7.160 7.160
100.57812 7.143 7.142 7.142 7.142 7.142
100.70312 7.125 7.124 7.123 7.123 7.123
</TABLE>
Average Life : 9.58 9.58 9.58 9.58 9.46
First Pay : 10/15/08 10/15/08 10/15/08 10/15/08 08/15/08
Last Pay : 10/15/08 10/15/08 10/15/08 10/15/08 09/15/08
1Y 2Y 3Y 5Y 10Y 30Y Price to Maturity
4.759 4.989 5.004 5.033 5.097 5.428 With Prepayment Penalty;
SPEEDS APPLIED AT THE END OF LOCK OUT PERIOD
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 14 days. Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 3/16/99 settlement date.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions
hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
<PAGE>
DEUTSCHE /BANC ONE FUSION DEAL - PRICING
------ Corporate Bond Equivalent Yield Table ------
Lehman Brothers Page 7
Tue, 23 Feb 1999, 16:17:01
Bond Class F 7.239 FIXED CPN
Current Balance $19,668,000.00
<TABLE>
<CAPTION>
0.00% CPR 25.00% CPR 50.00% CPR 75.00% CPR 100.00% CPR
----------------- ----------------- ----------------- ----------------- ----------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur
- ----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
89.20312 8.953 6.49 8.952 6.49 8.952 6.49 8.952 6.49 8.958 6.47
89.32812 8.931 8.930 8.930 8.930 8.937
89.45312 8.910 8.909 8.909 8.909 8.915
89.57812 8.889 8.888 8.887 8.887 8.894
89.70312 8.867 8.866 8.866 8.866 8.872
89.82812 8.846 6.50 8.845 6.50 8.845 6.50 8.844 6.50 8.851 6.49
89.95312 8.824 8.824 8.823 8.823 8.830
90.07812 8.803 8.802 8.802 8.802 8.808
90.20312 8.782 8.781 8.781 8.781 8.787
90.32812 8.761 8.760 8.760 8.759 8.766
90.45312 8.740 6.52 8.739 6.52 8.738 6.52 8.738 6.52 8.745 6.50
90.57812 8.719 8.718 8.717 8.717 8.723
90.70312 8.697 8.697 8.696 8.696 8.702
90.82812 8.676 8.675 8.675 8.675 8.681
90.95312 8.655 8.654 8.654 8.654 8.660
91.07812 8.634 6.53 8.634 6.53 8.633 6.53 8.633 6.53 8.639 6.52
91.20312 8.614 8.613 8.612 8.612 8.618
91.33430 8.592 8.591 8.590 8.590 8.596
91.45312 8.572 8.571 8.571 8.571 8.576
91.57812 8.551 8.550 8.550 8.550 8.555
91.70312 8.530 6.55 8.529 6.55 8.529 6.55 8.529 6.55 8.535 6.53
91.82812 8.509 8.509 8.508 8.508 8.514
91.95312 8.489 8.488 8.488 8.487 8.493
92.07812 8.468 8.467 8.467 8.467 8.472
92.20312 8.448 8.447 8.446 8.446 8.452
92.32812 8.427 6.56 8.426 6.56 8.426 6.56 8.426 6.56 8.431 6.54
92.45312 8.406 8.405 8.405 8.405 8.410
92.57812 8.386 8.385 8.385 8.385 8.390
92.70312 8.365 8.364 8.364 8.364 8.369
92.82812 8.345 8.344 8.344 8.344 8.349
92.95312 8.325 6.57 8.324 6.57 8.323 6.57 8.323 6.57 8.328 6.56
93.07812 8.304 8.303 8.303 8.303 8.308
93.20312 8.284 8.283 8.283 8.282 8.288
93.32812 8.263 8.263 8.262 8.262 8.267
93.45312 8.243 8.242 8.242 8.242 8.247
</TABLE>
Average Life : 9.58 9.58 9.58 9.58 9.54
First Pay : 10/15/08 10/15/08 10/15/08 10/15/08 09/15/08
Last Pay : 10/15/08 10/15/08 10/15/08 10/15/08 10/15/08
1Y 2Y 3Y 5Y 10Y 30Y Price to Maturity
4.759 4.989 5.004 5.033 5.097 5.428 With Prepayment Penalty;
SPEEDS APPLIED AT THE END OF LOCK OUT PERIOD
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 14 days. Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 3/16/99 settlement date.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions
hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
<PAGE>
DEUTSCHE /BANC ONE FUSION DEAL - RED HERRING
------ Corporate Bond Equivalent Yield Table ------
Lehman Brothers Page 1
Fri, 12 Feb 1999, 15:25:33
Bond Class A2 6.292 FIXED CPN
Current Balance $723,242,000.00
<TABLE>
<CAPTION>
0.00% CPR 0.00% CPR 0.00% CPR 0.00% CPR 0.00% CPR
----------------- ----------------- ----------------- ----------------- -----------------
efaults% DEF 1.000% DEF 2.000% DEF 3.000% DEF 4.000% DEF
------------ ------------ ------------ ------------ ------------
75.0% REC 75.0% REC 75.0% REC 75.0% REC 75.0% REC
------------ ------------ ------------ ------------ ------------
12 MONTH LAG 12 MONTH LAG 12 MONTH LAG 12 MONTH LAG 12 MONTH LAG
--------------- --------------- --------------- --------------- ---------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur
- ----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
99-12 6.431 6.81 6.432 6.74 6.433 6.62 6.434 6.46 6.436 6.28
99-16 6.413 6.413 6.414 6.415 6.416
99-20 6.394 6.394 6.395 6.395 6.396
99-24 6.376 6.376 6.376 6.376 6.376
99-28 6.358 6.357 6.357 6.357 6.356
100-00 6.339 6.82 6.339 6.75 6.338 6.63 6.337 6.47 6.336 6.30
100-04 6.321 6.320 6.319 6.318 6.316
100-08 6.303 6.302 6.301 6.299 6.297
100-12 6.284 6.284 6.282 6.280 6.277
100-16 6.266 6.265 6.263 6.260 6.257
100-20 6.248 6.83 6.247 6.77 6.244 6.64 6.241 6.48 6.238 6.31
100-24 6.230 6.229 6.226 6.222 6.218
100-28 6.212 6.210 6.207 6.203 6.198
101-00 6.194 6.192 6.189 6.184 6.179
101-04 6.176 6.174 6.170 6.165 6.159
101-08 6.158 6.84 6.156 6.78 6.151 6.65 6.146 6.49 6.140 6.32
101-12 6.140 6.138 6.133 6.127 6.120
101-16 6.122 6.119 6.115 6.108 6.101
101-20 6.104 6.101 6.096 6.089 6.081
101-24 6.086 6.083 6.078 6.070 6.062
101-28 6.068 6.85 6.065 6.79 6.059 6.66 6.052 6.50 6.043 6.33
102-00 6.050 6.047 6.041 6.033 6.023
102-04 6.032 6.029 6.023 6.014 6.004
102-08 6.015 6.011 6.004 5.995 5.985
102-12 5.997 5.993 5.986 5.976 5.966
102-16 5.979 6.86 5.975 6.80 5.968 6.67 5.958 6.51 5.946 6.34
102-20 5.961 5.958 5.949 5.939 5.927
102-24 5.944 5.940 5.931 5.920 5.908
102-28 5.926 5.922 5.913 5.902 5.889
103-00 5.909 5.904 5.895 5.883 5.870
103-04 5.891 6.87 5.886 6.81 5.877 6.68 5.865 6.52 5.851 6.35
103-08 5.873 5.869 5.859 5.846 5.832
103-12 5.856 5.851 5.841 5.828 5.813
103-16 5.838 5.833 5.823 5.809 5.794
103-20 5.821 5.815 5.805 5.791 5.775
<CAPTION>
0.00% CPR 0.00% CPR
----------------- ----------------
5.000% DEF 6.000% DEF
------------ -----------
75.0% REC 75.0% REC
------------ -----------
12 MONTH LAG 12 MONTH LAG
--------------- --------------
PRICE CBE Yield Dur CBE Yield Dur
- ----------- --------- ----- --------- -----
<S> <C> <C> <C> <C>
99-12 6.437 6.11 6.439 5.93
99-16 6.417 6.418
99-20 6.396 6.397
99-24 6.376 6.376
99-28 6.355 6.355
100-00 6.335 6.12 6.334 5.94
100-04 6.315 6.313
100-08 6.294 6.292
100-12 6.274 6.271
100-16 6.254 6.250
100-20 6.234 6.13 6.229 5.95
100-24 6.213 6.209
100-28 6.193 6.188
101-00 6.173 6.167
101-04 6.153 6.146
101-08 6.133 6.14 6.126 5.96
101-12 6.113 6.105
101-16 6.093 6.084
101-20 6.073 6.064
101-24 6.053 6.043
101-28 6.033 6.15 6.023 5.97
102-00 6.013 6.002
102-04 5.993 5.982
102-08 5.974 5.962
102-12 5.954 5.941
102-16 5.934 6.16 5.921 5.98
102-20 5.914 5.900
102-24 5.895 5.880
102-28 5.875 5.860
103-00 5.855 5.840
103-04 5.836 6.17 5.820 5.99
103-08 5.816 5.799
103-12 5.797 5.779
103-16 5.777 5.759
103-20 5.758 5.739
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
Average Life : 9.25 9.13 8.92 8.66 8.38
First Pay : 02/15/08 03/15/06 11/15/04 12/15/03 06/15/03
Last Pay : 09/15/08 09/15/08 09/15/08 09/15/08 09/15/08
Collateral Loss : 0.00 (0.00 ) 25182313.46 (1.92 ) 48578323.62 (3.71 ) 70301419.64 (5.36 ) 90458650.11
Agg. Bond Loss : 0.00 (0.00 ) 0.00 (0.00 ) 0.00 (0.00 ) 0.00 (0.00 ) 0.00
<CAPTION>
<S> <C> <C>
Average Life : 8.10 7.82
First Pay : 12/15/02 08/15/02
Last Pay : 09/15/08 09/15/08
Collateral Loss : (6.90 ) 109151036.50 (8.32 ) 126473872.18(9.65 )
Agg. Bond Loss : (0.00 ) 0.00 (0.00 ) 0.00 (0.00 )
</TABLE>
1Y 2Y 3Y 5Y 10Y 30Y Price to Maturity
4.628 4.773 4.781 4.796 4.910 5.346
0% CPR, %CDR APPLIED IMMEDIATELY, 75% RECOVERY, 12 MONTH LAG
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 14 days. Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 3/16/99 settlement date.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions
hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
<PAGE>
DEUTSCHE /BANC ONE FUSION DEAL - RED HERRING
------ Corporate Bond Equivalent Yield Table ------
Lehman Brothers Page 1
Fri, 12 Feb 1999, 15:33:08
Bond Class A2 6.292 FIXED CPN
Current Balance $723,242,000.00
<TABLE>
<CAPTION>
0.00% CPR 0.00% CPR 0.00% CPR 0.00% CPR 0.00% CPR
----------------- ----------------- ----------------- ----------------- -----------------
efaults% DEF 1.000% DEF 2.000% DEF 3.000% DEF 4.000% DEF
------------ ------------ ------------ ------------ ------------
50.0% REC 50.0% REC 50.0% REC 50.0% REC 50.0% REC
---------- ---------- ---------- ---------- ----------
12 MONTH LAG 12 MONTH LAG 12 MONTH LAG 12 MONTH LAG 12 MONTH LAG
--------------- --------------- --------------- --------------- ---------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur
- ----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
99-12 6.431 6.81 6.431 6.78 6.432 6.73 6.432 6.65 6.433 6.57
99-16 6.413 6.413 6.413 6.413 6.414
99-20 6.394 6.394 6.394 6.395 6.395
99-24 6.376 6.376 6.376 6.376 6.376
99-28 6.358 6.357 6.357 6.357 6.357
100-00 6.339 6.82 6.339 6.79 6.339 6.74 6.338 6.66 6.338 6.58
100-04 6.321 6.321 6.320 6.320 6.319
100-08 6.303 6.302 6.302 6.301 6.300
100-12 6.284 6.284 6.283 6.282 6.281
100-16 6.266 6.266 6.265 6.264 6.262
100-20 6.248 6.83 6.248 6.80 6.247 6.75 6.245 6.68 6.244 6.59
100-24 6.230 6.229 6.228 6.227 6.225
100-28 6.212 6.211 6.210 6.208 6.206
101-00 6.194 6.193 6.192 6.190 6.187
101-04 6.176 6.175 6.173 6.171 6.169
101-08 6.158 6.84 6.157 6.82 6.155 6.76 6.153 6.69 6.150 6.60
101-12 6.140 6.139 6.137 6.134 6.131
101-16 6.122 6.121 6.119 6.116 6.113
101-20 6.104 6.103 6.101 6.098 6.094
101-24 6.086 6.085 6.083 6.079 6.076
101-28 6.068 6.85 6.067 6.83 6.064 6.77 6.061 6.70 6.057 6.61
102-00 6.050 6.049 6.046 6.043 6.039
102-04 6.032 6.031 6.028 6.025 6.020
102-08 6.015 6.013 6.010 6.006 6.002
102-12 5.997 5.995 5.992 5.988 5.983
102-16 5.979 6.86 5.978 6.84 5.974 6.78 5.970 6.71 5.965 6.62
102-20 5.961 5.960 5.957 5.952 5.946
102-24 5.944 5.942 5.939 5.934 5.928
102-28 5.926 5.924 5.921 5.916 5.910
103-00 5.909 5.907 5.903 5.898 5.892
103-04 5.891 6.87 5.889 6.85 5.885 6.79 5.880 6.72 5.873 6.63
103-08 5.873 5.871 5.867 5.862 5.855
103-12 5.856 5.854 5.850 5.844 5.837
103-16 5.838 5.836 5.832 5.826 5.819
103-20 5.821 5.819 5.814 5.808 5.801
<CAPTION>
0.00% CPR 0.00% CPR
----------------- ----------------
5.000% DEF 6.000% DEF
------------ -----------
50.0% REC 50.0% RE
---------- ---------
12 MONTH LAG 12 MONTH LAG
--------------- --------------
PRICE CBE Yield Dur CBE Yield Dur
- ----------- --------- ----- --------- -----
<S> <C> <C> <C> <C>
99-12 6.434 6.48 6.435 6.38
99-16 6.414 6.415
99-20 6.395 6.395
99-24 6.376 6.376
99-28 6.357 6.356
100-00 6.337 6.49 6.337 6.39
100-04 6.318 6.317
100-08 6.299 6.298
100-12 6.280 6.278
100-16 6.261 6.259
100-20 6.242 6.50 6.240 6.41
100-24 6.223 6.220
100-28 6.204 6.201
101-00 6.185 6.182
101-04 6.166 6.163
101-08 6.147 6.51 6.143 6.42
101-12 6.128 6.124
101-16 6.109 6.105
101-20 6.090 6.086
101-24 6.071 6.067
101-28 6.053 6.52 6.048 6.43
102-00 6.034 6.029
102-04 6.015 6.010
102-08 5.996 5.991
102-12 5.978 5.972
102-16 5.959 6.53 5.953 6.44
102-20 5.940 5.934
102-24 5.922 5.915
102-28 5.903 5.896
103-00 5.885 5.878
103-04 5.866 6.54 5.859 6.45
103-08 5.848 5.840
103-12 5.829 5.821
103-16 5.811 5.803
103-20 5.793 5.784
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
Average Life : 9.25 9.20 9.11 8.98 8.85
First Pay : 02/15/08 11/15/06 10/15/05 01/15/05 05/15/04
Last Pay : 09/15/08 09/15/08 10/15/08 10/15/08 10/15/08
Collateral Loss : 0.00 (0.00 ) 50364429.84 (3.84 ) 97156310.28 (7.41 ) 140602407.54 (10.72) 180916808.94
Agg. Bond Loss : 0.00 (0.00 ) 0.00 (0.00 ) 0.00 (0.00 ) 0.00 (0.00 ) 0.00
<CAPTION>
<S> <C> <C>
Average Life : 8.70 8.55
First Pay : 11/15/03 07/15/03
Last Pay : 10/15/08 10/15/08
Collateral Loss : (13.80) 218301549.40(16.65) 252947209.13(19.29)
Agg. Bond Loss : (0.00 ) 0.00 (0.00 ) 0.00 (0.00 )
</TABLE>
1Y 2Y 3Y 5Y 10Y 30Y Price to Maturity
4.628 4.773 4.781 4.796 4.910 5.346
0% CPR, %CDR APPLIED IMMEDIATELY, 50% RECOVERY, 12 MONTH LAG
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 14 days. Duration, First Pay, Average Life,
and Maturity are stated in years reflecting a 3/16/99 settlement date.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions
hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
<PAGE>
DEUTSCHE /BANC ONE FUSION DEAL - RED HERRING
------ Corporate Bond Equivalent Yield Table ------
Lehman Brothers Page 1
Fri, 12 Feb 1999, 16:09:12
Bond Class A2 6.292 FIXED CPN
Current Balance $723,242,000.00
<TABLE>
<CAPTION>
0.00% CPR 25.00% CPR 50.00% CPR 75.00% CPR 100.00% CPR
----------------- ----------------- ----------------- ----------------- ----------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Our CBE Yield Dur
- ----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
99-12 6.422 8.18 6.427 7.41 6.429 7.04 6.430 6.89 6.432 6.68
99-16 6.406 6.410 6.411 6.412 6.413
99-20 6.391 6.393 6.394 6.394 6.395
99-24 6.376 6.376 6.376 6.376 6.376
99-28 6.360 6.359 6.358 6.358 6.357
100-00 6.345 8.20 6.342 7.43 6.340 7.06 6.340 6.90 6.339 6.69
100-04 6.330 6.325 6.323 6.322 6.320
100-08 6.315 6.309 6.305 6.304 6.301
100-12 6.300 6.292 6.288 6.286 6.283
100-16 6.285 6.275 6.270 6.268 6.264
100-20 6.269 8.21 6.259 7.44 6.252 7.07 6.250 6.91 6.246 6.70
100-24 6.254 6.242 6.235 6.232 6.227
100-28 6.239 6.225 6.217 6.214 6.209
101-00 6.224 6.209 6.200 6.196 6.190
101-04 6.209 6.192 6.183 6.178 6.172
101-08 6.194 8.23 6.176 7.45 6.165 7.08 6.160 6.92 6.154 6.71
101-12 6.179 6.159 6.148 6.143 6.135
101-16 6.164 6.143 6.130 6.125 6.117
101-20 6.150 6.126 6.113 6.107 6.099
101-24 6.135 6.110 6.096 6.089 6.081
101-28 6.120 8.24 6.093 7.47 6.079 7.09 6.072 6.93 6.062 6.72
102-00 6.105 6.077 6.061 6.054 6.044
102-04 6.090 6.061 6.044 6.037 6.026
102-08 6.075 6.044 6.027 6.019 6.008
102-12 6.061 6.028 6.010 6.001 5.990
102-16 6.046 8.26 6.012 7.48 5.993 7.10 5.984 6.95 5.972 6.73
102-20 6.031 5.996 5.975 5.966 5.954
102-24 6.016 5.979 5.958 5.949 5.936
102-28 6.002 5.963 5.941 5.932 5.918
103-00 5.987 5.947 5.924 5.914 5.900
103-04 5.972 8.27 5.931 7.49 5.907 7.11 5.897 6.96 5.882 6.75
103-08 5.958 5.915 5.890 5.879 5.864
103-12 5.943 5.899 5.873 5.862 5.846
103-16 5.929 5.882 5.856 5.845 5.828
103-20 5.914 5.866 5.839 5.827 5.810
</TABLE>
Average Life : 12.01 10.43 9.69 9.40 9.02
First Pay : 02/15/08 07/15/07 06/15/07 05/15/07 05/15/07
Last Pay : 09/15/11 04/15/11 10/15/09 02/15/09 07/15/08
1Y 2Y 3Y 5Y 10Y 30Y Extension Month: 36; Price
4.628 4.773 4.781 4.796 4.910 5.346 to Maturity
With Prepayment Penalty;
36 MONTHS BALOON EXTENSION ON 100% OF BALLOON BALANCE
SPEEDS APPLIED AT THE END OF LOCK OUT
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 14 days. Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 3/16/99 settlement date.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions
hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
<PAGE>
DEUTSCHE /BANC ONE FUSION DEAL - RED HERRING
------ Corporate Bond Equivalent Yield Table ------
Lehman Brothers Page 1
Fri, 12 Feb 1999, 16:11:43
Bond Class A2 6.292 FIXED CPN
Current Balance $723,242,000.00
<TABLE>
<CAPTION>
0.00% CPR 25.00% CPR 50.00% CPR 75.00% CPR 100.00% CPR
----------------- ----------------- ----------------- ----------------- ----------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur
- ----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
99-12 6.422 8.18 6.426 7.44 6.429 7.06 6.430 6.90 6.432 6.69
99-16 6.406 6.409 6.411 6.412 6.413
99-20 6.391 6.393 6.393 6.394 6.395
99-24 6.376 6.376 6.376 6.376 6.376
99-28 6.360 6.359 6.358 6.358 6.357
100-00 6.345 8.20 6.342 7.45 6.341 7.08 6.340 6.92 6.339 6.70
100-04 6.330 6.326 6.323 6.322 6.320
100-08 6.315 6.309 6.305 6.304 6.301
100-12 6.300 6.292 6.288 6.286 6.283
100-16 6.285 6.276 6.270 6.268 6.264
100-20 6.269 8.21 6.259 7.47 6.253 7.09 6.250 6.93 6.246 6.71
100-24 6.254 6.242 6.235 6.232 6.227
100-28 6.239 6.226 6.218 6.214 6.209
101-00 6.224 6.209 6.200 6.196 6.191
101-04 6.209 6.193 6.183 6.179 6.172
101-08 6.194 8.23 6.176 7.48 6.166 7.10 6.161 6.94 6.154 6.72
101-12 6.179 6.160 6.148 6.143 6.136
101-16 6.164 6.143 6.131 6.125 6.117
101-20 6.150 6.127 6.114 6.108 6.099
101-24 6.135 6.111 6.096 6.090 6.081
101-28 6.120 8.24 6.094 7.49 6.079 7.11 6.072 6.95 6.063 6.73
102-00 6.105 6.078 6.062 6.055 6.045
102-04 6.090 6.062 6.045 6.037 6.026
102-08 6.075 6.045 6.028 6.020 6.008
102-12 6.061 6.029 6.011 6.002 5.990
102-16 6.046 8.26 6.013 7.50 5.994 7.12 5.985 6.96 5.972 6.74
102-20 6.031 5.997 5.976 5.967 5.954
102-24 6.016 5.981 5.959 5.950 5.936
102-28 6.002 5.964 5.942 5.932 5.918
103-00 5.987 5.948 5.925 5.915 5.900
103-04 5.972 8.27 5.932 7.52 5.908 7.13 5.898 6.97 5.882 6.75
103-08 5.958 5.916 5.892 5.880 5.864
103-12 5.943 5.900 5.875 5.863 5.847
103-16 5.929 5.884 5.858 5.846 5.829
103-20 5.914 5.868 5.841 5.828 5.811
</TABLE>
Average Life : 12.01 10.48 9.73 9.43 9.03
First Pay : 02/15/08 01/15/08 01/15/08 12/15/07 10/15/07
Last Pay : 09/15/11 04/15/11 10/15/09 02/15/09 07/15/08
1Y 2Y 3Y 5Y 10Y 30Y Extension Month: 36;
4.628 4.773 4.781 4.796 4.910 5.346 Price to Maturity
36 MONTHS BALOON EXTENSION ON 100% OF BALLOON BALANCE
SPEEDS APPLIED AT THE END OF YIELD MAINT
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 14 days. Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 3/16/99 settlement date.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions
hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
<PAGE>
DEUTSCHE /BANC ONE FUSION DEAL - RED HERRING
------ Corporate Bond Equivalent Yield Table ------
Lehman Brothers Page 1
Fri, 12 Feb 1999, 16:05:20
Bond Class A2 6.292 FIXED CPN
Current Balance $723,242,000.00
<TABLE>
<CAPTION>
0.00% CPR 25.00% CPR 50.00% CPR 75.00% CPR 100.00% CPR
----------------- ----------------- ----------------- ----------------- ----------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur
- ----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
99-12 6.428 7.24 6.430 6.94 6.430 6.87 6.431 6.83 6.432 6.69
99-16 6.410 6.412 6.412 6.412 6.413
99-20 6.393 6.394 6.394 6.394 6.395
99-24 6.376 6.376 6.376 6.376 6.376
99-28 6.359 6.358 6.358 6.358 6.357
100-00 6.341 7.25 6.340 6.95 6.340 6.89 6.339 6.84 6.339 6.70
100-04 6.324 6.322 6.321 6.321 6.320
100-08 6.307 6.304 6.303 6.303 6.301
100-12 6.290 6.286 6.285 6.285 6.283
100-16 6.273 6.268 6.267 6.267 6.264
100-20 6.256 7.27 6.251 6.97 6.249 6.90 6.249 6.85 6.246 6.71
100-24 6.239 6.233 6.231 6.231 6.227
100-28 6.222 6.215 6.214 6.213 6.209
101-00 6.205 6.197 6.196 6.194 6.191
101-04 6.188 6.180 6.178 6.177 6.172
101-08 6.171 7.28 6.162 6.98 6.160 6.91 6.159 6.87 6.154 6.72
101-12 6.154 6.144 6.142 6.141 6.136
101-16 6.137 6.127 6.124 6.123 6.117
101-20 6.120 6.109 6.107 6.105 6.099
101-24 6.103 6.092 6.089 6.087 6.081
101-28 6.087 7.29 6.074 6.99 6.071 6.92 6.069 6.88 6.063 6.73
102-00 6.070 6.057 6.053 6.051 6.045
102-04 6.053 6.039 6.036 6.034 6.026
102-08 6.036 6.022 6.018 6.016 6.008
102-12 6.020 6.004 6.001 5.998 5.990
102-16 6.003 7.30 5.987 7.00 5.983 6.93 5.981 6.89 5.972 6.74
102-20 5.986 5.970 5.965 5.963 5.954
102-24 5.970 5.952 5.948 5.945 5.936
102-28 5.953 5.935 5.930 5.928 5.918
103-00 5.937 5.918 5.913 5.910 5.900
103-04 5.920 7.32 5.900 7.01 5.896 6.94 5.893 6.90 5.882 6.75
103-08 5.904 5.883 5.878 5.875 5.864
103-12 5.887 5.866 5.861 5.858 5.847
103-16 5.871 5.849 5.843 5.840 5.829
103-20 5.854 5.832 5.826 5.823 5.811
</TABLE>
Average Life : 10.11 9.50 9.37 9.29 9.03
First Pay : 02/15/08 01/15/08 01/15/08 12/15/07 10/15/07
Last Pay : 06/15/11 10/15/09 01/15/09 10/15/08 07/15/08
1Y 2Y 3Y 5Y 10Y 30Y Price to Maturity
4.628 4.773 4.781 4.796 4.910 5.346
36 MONTHS BALOON EXTENSION ON 50% OF BALLOON BALANCE SPEEDS APPLIED AT THE END
OF YIELD MAINT
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 14 days. Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 3/16/99 settlement date.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions
hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
<PAGE>
DEUTSCHE /BANC ONE FUSION DEAL - RED HERRING
------ Corporate Bond Equivalent Yield Table ------
Lehman Brothers Page 1
Fri, 12 Feb 1999, 16:07:04
Bond Class A2 6.292 FIXED CPN
Current Balance $723,242,000.00
<TABLE>
<CAPTION>
0.00% CPR 25.00% CPR 50.00% CPR 75.00% CPR 100.00% CPR
----------------- ----------------- ------------------ ------------------ ------------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur
- ----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
99-12 6.428 7.24 6.430 6.93 6.431 6.86 6.431 6.82 6.432 6.68
99-16 6.410 6.412 6.412 6.413 6.413
99-20 6.393 6.394 6.394 6.394 6.395
99-24 6.376 6.376 6.376 6.376 6.376
99-28 6.359 6.358 6.358 6.358 6.357
100-00 6.341 7.25 6.340 6.94 6.340 6.87 6.339 6.83 6.339 6.69
100-04 6.324 6.322 6.321 6.321 6.320
100-08 6.307 6.304 6.303 6.303 6.301
100-12 6.290 6.286 6.285 6.285 6.283
100-16 6.273 6.268 6.267 6.267 6.264
100-20 6.256 7.27 6.251 6.95 6.249 6.88 6.248 6.84 6.246 6.70
100-24 6.239 6.233 6.231 6.230 6.227
100-28 6.222 6.215 6.213 6.212 6.209
101-00 6.205 6.197 6.195 6.194 6.190
101-04 6.188 6.179 6.177 6.176 6.172
101-08 6.171 7.28 6.162 6.96 6.160 6.90 6.158 6.85 6.154 6.71
101-12 6.154 6.144 6.142 6.140 6.135
101-16 6.137 6.126 6.124 6.122 6.117
101-20 6.120 6.109 6.106 6.104 6.099
101-24 6.103 6.091 6.088 6.087 6.081
101-28 6.087 7.29 6.074 6.98 6.071 6.91 6.069 6.86 6.062 6.72
102-00 6.070 6.056 6.053 6.051 6.044
102-04 6.053 6.039 6.035 6.033 6.026
102-08 6.036 6.021 6.018 6.015 6.008
102-12 6.020 6.004 6.000 5.998 5.990
102-16 6.003 7.30 5.986 6.99 5.982 6.92 5.980 6.88 5.972 6.73
102-20 5.986 5.969 5.965 5.962 5.954
102-24 5.970 5.952 5.947 5.945 5.936
102-28 5.953 5.934 5.930 5.927 5.918
103-00 5.937 5.917 5.912 5.909 5.900
103-04 5.920 7.32 5.900 7.00 5.895 6.93 5.892 6.89 5.882 6.75
103-08 5.904 5.882 5.877 5.874 5.864
103-12 5.887 5.865 5.860 5.857 5.846
103-16 5.871 5.848 5.843 5.839 5.828
103-20 5.854 5.831 5.825 5.822 5.810
</TABLE>
Average Life : 10.11 9.48 9.35 9.27 9.02
First Pay : 02/15/08 07/15/07 06/15/07 05/15/07 05/15/07
Last Pay : 06/15/11 10/15/09 01/15/09 10/15/08 07/15/08
1Y 2Y 3Y 5Y 10Y 30Y Price to Maturity
4.628 4.773 4.781 4.796 4.910 5.346 With Prepayment Penalty;
36 MONTHS BALOON EXTENSION ON 50% OF BALLOON BALANCE SPEEDS APPLIED AT THE END
OF LOCK OUT
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 14 days. Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 3/16/99 settlement date.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions
hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
<PAGE>
DEUTSCHE /BANC ONE FUSION DEAL - RED HERRING
------ Corporate Bond Equivalent Yield Table ------
Lehman Brothers Page 1
Fri, 12 Feb 1999, 14:15:34
Bond Class A1 5.950 FIXED CPN
Current Balance $181,434,000.00
<TABLE>
<CAPTION>
0.00% CPR 25.00% CPR 50.00% CPR 75.00% CPR 100.00% CPR
----------------- ----------------- ----------------- ----------------- -----------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur
- ----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
98-12 6.370 4.05 6.370 4.05 6.370 4.05 6.370 4.04 6.370 4.04
98-16 6.338 6.339 6.339 6.339 6.339
98-20 6.307 6.307 6.307 6.307 6.308
98-24 6.276 6.276 6.276 6.276 6.277
98-28 6.245 6.245 6.245 6.245 6.245
99-00 6.214 4.06 6.214 4.06 6.214 4.06 6.214 4.06 6.214 4.05
99-04 6.183 6.183 6.183 6.183 6.183
99-08 6.152 6.152 6.152 6.152 6.152
99-12 6.121 6.121 6.121 6.121 6.121
99-16 6.090 6.090 6.090 6.090 6.090
99-20 6.060 4.07 6.060 4.07 6.060 4.07 6.060 4.07 6.060 4.06
99-24 6.029 6.029 6.029 6.029 6.029
99-28 5.998 5.998 5.998 5.998 5.998
100-00 5.968 5.968 5.968 5.968 5.967
100-04 5.937 5.937 5.937 5.937 5.937
100-08 5.907 4.08 5.907 4.08 5.906 4.08 5.906 4.08 5.906 4.08
100-12 5.876 5.876 5.876 5.876 5.876
100-16 5.846 5.846 5.846 5.846 5.845
100-20 5.815 5.815 5.815 5.815 5.815
100-24 5.785 5.785 5.785 5.785 5.785
100-28 5.755 4.10 5.755 4.10 5.755 4.09 5.755 4.09 5.754 4.09
101-00 5.725 5.725 5.725 5.725 5.724
101-04 5.695 5.695 5.695 5.694 5.694
101-08 5.665 5.665 5.664 5.664 5.664
101-12 5.635 5.635 5.634 5.634 5.634
101-16 5.605 4.11 5.605 4.11 5.605 4.11 5.604 4.11 5.604 4.10
101-20 5.575 5.575 5.575 5.575 5.574
101-24 5.545 5.545 5.545 5.545 5.544
101-28 5.515 5.515 5.515 5.515 5.514
102-00 5.486 5.485 5.485 5.485 5.484
102-04 5.456 4.12 5.456 4.12 5.456 4.12 5.456 4.12 5.455 4.11
102-08 5.426 5.426 5.426 5.426 5.425
102-12 5.397 5.397 5.396 5.396 5.395
102-16 5.367 5.367 5.367 5.367 5.366
102-20 5.338 5.338 5.337 5.337 5.336
</TABLE>
Average Life : 5.00 5.00 5.00 4.99 4.99
First Pay : 04/15/99 04/15/99 04/15/99 04/15/99 04/15/99
Last Pay : 02/15/08 01/15/08 01/15/08 12/15/07 10/15/07
1Y 2Y 3Y 5Y 10Y 30Y Price to Maturity
4.628 4.773 4.781 4.796 4.910 5.346
SPEEDS APPLIED AT THE END OF YM PERIOD
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 14 days. Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 3/16/99 settlement date.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions
hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
<PAGE>
DEUTSCHE /BANC ONE FUSION DEAL - RED HERRING
------ Corporate Bond Equivalent Yield Table -----
Lehman Brothers Page 2
Fri, 12 Feb 1999 14:15:34
Bond Class A2 6.292 FIXED CPN
Current Balance $723,242,000.00
<TABLE>
<CAPTION>
0.00% CPR 25.00% CPR 50.00% CPR 75.00% CPR 100.00% CPR
----------------- ----------------- ----------------- ----------------- -----------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur
- ----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
99-12 6.431 6.81 6.431 6.80 6.431 6.79 6.431 6.78 6.432 6.69
99-16 6.413 6.413 6.413 6.413 6.413
99-20 6.394 6.394 6.394 6.394 6.395
99-24 6.376 6.376 6.376 6.376 6.376
99-28 6.358 6.357 6.357 6.357 6.357
100-00 6.339 6.82 6.339 6.81 6.339 6.80 6.339 6.79 6.339 6.70
100-04 6.321 6.321 6.321 6.321 6.320
100-08 6.303 6.303 6.303 6.302 6.301
100-12 6.284 6.284 6.284 6.284 6.283
100-16 6.266 6.266 6.266 6.266 6.264
100-20 6.248 6.83 6.248 6.82 6.248 6.82 6.248 6.80 6.246 6.71
100-24 6.230 6.230 6.230 6.229 6.227
100-28 6.212 6.212 6.212 6.211 6.209
101-00 6.194 6.194 6.193 6.193 6.191
101-04 6.176 6.176 6.175 6.175 6.172
101-08 6.158 6.84 6.158 6.84 6.157 6.83 6.157 6.81 6.154 6.72
101-12 6.140 6.140 6.139 6.139 6.136
101-16 6.122 6.122 6.121 6.121 6.117
101-20 6.104 6.104 6.103 6.103 6.099
101-24 6.086 6.086 6.085 6.085 6.081
101-28 6.068 6.85 6.068 6.85 6.068 6.84 6.067 6.82 6.063 6.73
102-00 6.050 6.050 6.050 6.049 6.045
102-04 6.032 6.032 6.032 6.031 6.026
102-08 6.015 6.014 6.014 6.013 6.008
102-12 5.997 5.997 5.996 5.995 5.990
102-16 5.979 6.86 5.979 6.86 5.978 6.85 5.978 6.84 5.972 6.74
102-20 5.961 5.961 5.961 5.960 5.954
102-24 5.944 5.943 5.943 5.942 5.936
102-28 5.926 5.926 5.925 5.924 5.918
103-00 5.909 5.908 5.908 5.907 5.900
103-04 5.891 6.87 5.890 6.87 5.890 6.86 5.889 6.85 5.882 6.75
103-08 5.873 5.873 5.872 5.871 5.864
103-12 5.856 5.855 5.855 5.854 5.847
103-16 5.838 5.838 5.837 5.836 5.829
103-20 5.821 5.820 5.820 5.819 5.811
</TABLE>
Average Life : 9.25 9.24 9.22 9.20 9.03
First Pay : 02/15/08 01/15/08 01/15/08 12/15/07 10/15/07
Last Pay : 09/15/08 09/15/08 09/15/08 09/15/08 07/15/08
1Y 2Y 3Y 5Y 10Y 30Y Price to Maturity
4.628 4.773 4.781 4.796 4.910 5.346
SPEEDS APPLIED AT THE END OF YM PERIOD
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 14 days. Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 3/16/99 settlement date.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions
hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
<PAGE>
DEUTSCHE /BANC ONE FUSION DEAL - RED HERRING
------ Corporate Bond Equivalent Yield Table ------
Lehman Brothers Page 3
Fri, 12 Feb 1999, 14:15:34
Bond Class B 6.412 FIXED CPN
Current Balance $62,278,000.00
<TABLE>
<CAPTION>
0.00% CPR 25.00% CPR 50.00% CPR 75.00% CPR 100.00% CPR
----------------- ----------------- ----------------- ----------------- ----------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur
- ----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
99-12 6.552 6.93 6.553 6.93 6.553 6.92 6.553 6.90 6.553 6.83
99-16 6.534 6.534 6.535 6.535 6.535
99-20 6.516 6.516 6.516 6.516 6.517
99-24 6.498 6.498 6.498 6.498 6.498
99-28 6.480 6.480 6.480 6.480 6.480
100-00 6.462 6.95 6.462 6.94 6.462 6.93 6.462 6.92 6.462 6.84
100-04 6.444 6.444 6.444 6.444 6.444
100-08 6.427 6.426 6.426 6.426 6.425
100-12 6.409 6.409 6.408 6.408 6.407
100-16 6.391 6.391 6.391 6.390 6.389
100-20 6.373 6.96 6.373 6.95 6.373 6.94 6.372 6.93 6.371 6.85
100-24 6.355 6.355 6.355 6.355 6.353
100-28 6.337 6.337 6.337 6.337 6.335
101-00 6.320 6.320 6.319 6.319 6.317
101-04 6.302 6.302 6.302 6.301 6.299
101-08 6.284 6.97 6.284 6.96 6.284 6.95 6.283 6.94 6.281 6.86
101-12 6.267 6.266 6.266 6.266 6.263
101-16 6.249 6.249 6.248 6.248 6.245
101-20 6.231 6.231 6.231 6.230 6.227
101-24 6.214 6.214 6.213 6.213 6.209
101-28 6.196 6.98 6.196 6.97 6.196 6.96 6.195 6.95 6.192 6.87
102-00 6.179 6.178 6.178 6.177 6.174
102-04 6.161 6.161 6.160 6.160 6.156
102-08 6.144 6.143 6.143 6.142 6.138
102-12 6.126 6.126 6.125 6.125 6.121
102-16 6.109 6.99 6.109 6.98 6.108 6.97 6.107 6.96 6.103 6.88
102-20 6.092 6.091 6.091 6.090 6.085
102-24 6.074 6.074 6.073 6.072 6.068
102-28 6.057 6.056 6.056 6.055 6.050
103-00 6.040 6.039 6.038 6.038 6.033
103-04 6.022 7.00 6.022 6.99 6.021 6.98 6.020 6.97 6.015 6.90
103-08 6.005 6.005 6.004 6.003 5.997
103-12 5.988 5.987 5.987 5.986 5.980
103-16 5.971 5.970 5.969 5.968 5.962
103-20 5.954 5.953 5.952 5.951 5.945
</TABLE>
Average Life : 9.55 9.54 9.52 9.50 9.36
First Pay : 09/15/08 09/15/08 09/15/08 09/15/08 07/15/08
Last Pay : 10/15/08 10/15/08 10/15/08 09/15/08 08/15/08
1Y 2Y 3Y 5Y 10Y 30Y Price to Maturity
4.628 4.773 4.781 4.796 4.910 5.346
SPEEDS APPLIED AT THE END OF YM PERIOD
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 14 days. Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 3/16/99 settlement date.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions
hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
<PAGE>
DEUTSCHE /BANC ONE FUSION DEAL - RED HERRING
------ Corporate Bond Equivalent Yield Table -----
Lehman Brothers Page 4
Fri, 12 Feb 1999, 14:15:34
Bond Class C 6.452 FIXED CPN
Current Balance $22,944,000.00
<TABLE>
<CAPTION>
0.00% CPR 25.00% CPR 50.00% CPR 75.00% CPR 100.00% CPR
----------------- ----------------- ----------------- ----------------- ----------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur
- ----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
99-12 6.593 6.94 6.593 6.94 6.593 6.94 6.593 6.93 6.594 6.85
99-16 6.575 6.575 6.575 6.575 6.576
99-20 6.557 6.557 6.557 6.557 6.557
99-24 6.539 6.539 6.539 6.539 6.539
99-28 6.521 6.521 6.521 6.521 6.521
100-00 6.503 6.95 6.503 6.95 6.503 6.95 6.503 6.94 6.503 6.86
100-04 6.485 6.485 6.485 6.485 6.485
100-08 6.467 6.467 6.467 6.467 6.467
100-12 6.450 6.450 6.450 6.449 6.448
100-16 6.432 6.432 6.432 6.432 6.430
100-20 6.414 6.96 6.414 6.96 6.414 6.96 6.414 6.95 6.412 6.87
100-24 6.396 6.396 6.396 6.396 6.394
100-28 6.378 6.378 6.378 6.378 6.376
101-00 6.361 6.361 6.361 6.360 6.358
101-04 6.343 6.343 6.343 6.343 6.340
101-08 6.325 6.97 6.325 6.97 6.325 6.97 6.325 6.96 6.322 6.88
101-12 6.308 6.308 6.308 6.307 6.305
101-16 6.290 6.290 6.290 6.290 6.287
101-20 6.272 6.272 6.272 6.272 6.269
101-24 6.255 6.255 6.255 6.254 6.251
101-28 6.237 6.98 6.237 6.98 6.237 6.98 6.237 6.97 6.233 6.89
102-00 6.220 6.220 6.220 6.219 6.216
102-04 6.202 6.202 6.202 6.202 6.198
102-08 6.185 6.185 6.185 6.184 6.180
102-12 6.167 6.167 6.167 6.167 6.163
102-16 6.150 6.99 6.150 6.99 6.150 6.99 6.149 6.99 6.145 6.90
102-20 6.133 6.133 6.133 6.132 6.127
102-24 6.115 6.115 6.115 6.115 6.110
102-28 6.098 6.098 6.098 6.097 6.092
103-00 6.081 6.081 6.081 6.080 6.075
103-04 6.063 7.00 6.063 7.00 6.063 7.00 6.063 7.00 6.057 6.91
103-08 6.046 6.046 6.046 6.045 6.040
103-12 6.029 6.029 6.029 6.028 6.022
103-16 6.012 6.012 6.012 6.011 6.005
103-20 5.994 5.994 5.994 5.994 5.987
</TABLE>
Average Life : 9.58 9.58 9.58 9.57 9.41
First Pay : 10/15/08 10/15/08 10/15/08 09/15/08 08/15/08
Last Pay : 10/15/08 10/15/08 10/15/08 10/15/08 08/15/08
1Y 2Y 3Y 5Y 10Y 30Y Price to Maturity
4.628 4.773 4.781 4.796 4.910 5.346
SPEEDS APPLIED AT THE END OF YM PERIOD
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 14 days. Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 3/16/99 settlement date.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions
hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
<PAGE>
DEUTSCHE /BANC ONE FUSION DEAL - RED HERRING
------ Corporate Bond Equivalent Yield Table -----
Lehman Brothers Page 5
Fri, 12 Feb 1999, 14:15:34
Bond Class D 6.709 FIXED CPN
Current Balance $62,278,000.00
<TABLE>
<CAPTION>
0.00% CPR 25.00% CPR 50.00% CPR 75.00% CPR 100.00% CPR
----------------- ----------------- ----------------- ----------------- -----------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur
- ----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
99-12 6.857 6.85 6.857 6.85 6.857 6.85 6.857 6.85 6.857 6.77
99-16 6.838 6.838 6.838 6.838 6.839
99-20 6.820 6.820 6.820 6.820 6.820
99-24 6.802 6.802 6.802 6.802 6.802
99-28 6.784 6.784 6.784 6.784 6.783
100-00 6.765 6.86 6.765 6.86 6.765 6.86 6.765 6.86 6.765 6.78
100-04 6.747 6.747 6.747 6.747 6.747
100-08 6.729 6.729 6.729 6.729 6.728
100-12 6.711 6.711 6.711 6.711 6.710
100-16 6.693 6.693 6.693 6.693 6.692
100-20 6.675 6.88 6.675 6.88 6.675 6.88 6.675 6.88 6.673 6.79
100-24 6.657 6.657 6.657 6.657 6.655
100-28 6.639 6.639 6.639 6.639 6.637
101-00 6.621 6.621 6.621 6.621 6.619
101-04 6.603 6.603 6.603 6.603 6.601
101-08 6.585 6.89 6.585 6.89 6.585 6.89 6.585 6.89 6.583 6.80
101-12 6.567 6.567 6.567 6.567 6.564
101-16 6.550 6.550 6.550 6.550 6.546
101-20 6.532 6.532 6.532 6.532 6.528
101-24 6.514 6.514 6.514 6.514 6.510
101-28 6.496 6.90 6.496 6.90 6.496 6.90 6.496 6.90 6.492 6.81
102-00 6.479 6.479 6.479 6.479 6.474
102-04 6.461 6.461 6.461 6.461 6.457
102-08 6.443 6.443 6.443 6.443 6.439
102-12 6.426 6.426 6.426 6.426 6.421
102-16 6.408 6.91 6.408 6.91 6.408 6.91 6.408 6.91 6.403 6.82
102-20 6.390 6.390 6.390 6.390 6.385
102-24 6.373 6.373 6.373 6.373 6.367
102-28 6.355 6.355 6.355 6.355 6.350
103-00 6.338 6.338 6.338 6.338 6.332
103-04 6.320 6.92 6.320 6.92 6.320 6.92 6.320 6.92 6.314 6.83
103-08 6.303 6.303 6.303 6.303 6.296
103-12 6.285 6.285 6.285 6.285 6.279
103-16 6.268 6.268 6.268 6.268 6.261
103-20 6.251 6.251 6.251 6.251 6.244
</TABLE>
Average Life : 9.58 9.58 9.58 9.58 9.41
First Pay : 10/15/08 10/15/08 10/15/08 10/15/08 08/15/08
Last Pay : 10/15/08 10/15/08 10/15/08 10/15/08 08/15/08
1Y 2Y 3Y 5Y 10Y 30Y Price to Maturity
4.628 4.773 4.781 4.796 4.910 5.346
SPEEDS APPLIED AT THE END OF YM PERIOD
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 14 days. Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 3/16/99 settlement date.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions
hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
<PAGE>
DEUTSCHE /BANC ONE FUSION DEAL - RED HERRING
------ Corporate Bond Equivalent Yield Table -----
Lehman Brothers Page 6
Fri, 12 Feb 1999, 14:15:34
Bond Class E 7.238 FIXED CPN
Current Balance $81,945,000.00
<TABLE>
<CAPTION>
0.00% CPR 25.00% CPR 50.00% CPR 75.00% CPR 100.00% CPR
----------------- ----------------- ----------------- ----------------- ----------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur
----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
95-25 7.872 6.63 7.872 6.63 7.872 6.63 7.872 6.63 7.879 6.57
95-29 7.852 7.852 7.853 7.853 7.859
96-01 7.833 7.833 7.833 7.833 7.839
96-05 7.813 7.813 7.813 7.814 7.820
96-09 7.794 7.794 7.794 7.794 7.800
96-13 7.774 6.65 7.774 6.65 7.774 6.65 7.775 6.65 7.780 6.59
96-17 7.755 7.755 7.755 7.755 7.761
96-21 7.735 7.735 7.736 7.736 7.741
96-25 7.716 7.716 7.716 7.716 7.722
96-29 7.697 7.697 7.697 7.697 7.702
97-01 7.677 6.66 7.677 6.66 7.678 6.66 7.678 6.66 7.683 6.60
97-05 7.658 7.658 7.658 7.659 7.663
97-09 7.639 7.639 7.639 7.639 7.644
97-13 7.620 7.620 7.620 7.620 7.625
97-17 7.601 7.601 7.601 7.601 7.605
97-21 7.581 6.67 7.581 6.67 7.582 6.67 7.582 6.67 7.586 6.61
97-25 7.562 7.562 7.562 7.563 7.567
97-29 7.543 7.543 7.543 7.544 7.547
98-01 7.524 7.524 7.524 7.525 7.528
98-05 7.505 7.505 7.505 7.506 7.509
98-09 7.486 6.68 7.486 6.68 7.486 6.68 7.487 6.68 7.490 6.63
98-13 7.467 7.467 7.467 7.468 7.471
98-17 7.448 7.448 7.448 7.449 7.452
98-21 7.429 7.429 7.430 7.430 7.433
98-25 7.411 7.411 7.411 7.411 7.413
98-29 7.392 6.70 7.392 6.70 7.392 6.70 7.392 6.70 7.394 6.64
99-01 7.373 7.373 7.373 7.373 7.376
99-05 7.354 7.354 7.354 7.355 7.357
99-09 7.335 7.335 7.336 7.336 7.338
99-13 7.317 7.317 7.317 7.317 7.319
99-17 7.298 6.71 7.298 6.71 7.298 6.71 7.298 6.71 7.300 6.65
99-21 7.279 7.279 7.280 7.280 7.281
99-25 7.261 7.261 7.261 7.261 7.262
99-29 7.242 7.242 7.242 7.243 7.244
100-01 7.224 7.224 7.224 7.224 7.225
</TABLE>
Average Life : 9.58 9.58 9.58 9.58 9.46
First Pay : 10/15/08 10/15/08 10/15/08 10/15/08 08/15/08
Last Pay : 10/15/08 10/15/08 10/15/08 10/15/08 09/15/08
1Y 2Y 3Y 5Y 10Y 30Y Price to Maturity
4.628 4.773 4.781 4.796 4.910 5.346
SPEEDS APPLIED AT THE END OF YM PERIOD
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 14 days. Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 3/16/99 settlement date.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions
hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
<PAGE>
DEUTSCHE /BANC ONE FUSION DEAL - RED HERRING
------ Corporate Bond Equivalent Yield Table -----
Lehman Brothers Page 7
Fri, 12 Feb 1999, 14:15:34
Bond Class F 7.238 FIXED CPN
Current Balance $19,667,000.00
<TABLE>
<CAPTION>
0.00% CPR 25.00% CPR 50.00% CPR 75.00% CPR 100.00% CPR
----------------- ----------------- ----------------- ----------------- ----------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur
- ----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
89-16 8.902 6.50 8.902 6.50 8.902 6.50 8.902 6.50 8.909 6.48
89-20 8.880 8.880 8.881 8.881 8.887
89-24 8.859 8.859 8.859 8.859 8.866
89-28 8.838 8.838 8.838 8.838 8.845
90-00 8.816 8.816 8.817 8.817 8.823
90-04 8.795 6.51 8.795 6.51 8.795 6.51 8.795 6.51 8.802 6.49
90-08 8.774 8.774 8.774 8.774 8.781
90-12 8.753 8.753 8.753 8.753 8.759
90-16 8.732 8.732 8.732 8.732 8.738
90-20 8.710 8.711 8.711 8.711 8.717
90-24 8.689 6.52 8.689 6.52 8.690 6.52 8.690 6.52 8.696 6.51
90-28 8.668 8.668 8.669 8.669 8.675
91-00 8.647 8.647 8.648 8.648 8.654
91-04 8.626 8.627 8.627 8.627 8.633
91-08 8.606 8.606 8.606 8.606 8.612
91-12 8.585 6.54 8.585 6.54 8.585 6.54 8.585 6.54 8.591 6.52
91-16 8.564 8.564 8.564 8.564 8.570
91-20 8.543 8.543 8.543 8.543 8.549
91-24 8.522 8.522 8.522 8.523 8.528
91-28 8.502 8.502 8.502 8.502 8.508
92-00 8.481 6.55 8.481 6.55 8.481 6.55 8.481 6.55 8.487 6.54
92-04 8.460 8.460 8.460 8.461 8.466
92-08 8.440 8.440 8.440 8.440 8.446
92-12 8.419 8.419 8.419 8.419 8.425
92-16 8.398 8.399 8.399 8.399 8.404
92-20 8.378 6.57 8.378 6.57 8.378 6.57 8.378 6.57 8.384 6.55
92-24 8.358 8.358 8.358 8.358 8.363
92-28 8.337 8.337 8.337 8.337 8.343
93-00 8.317 8.317 8.317 8.317 8.322
93-04 8.296 8.296 8.297 8.297 8.302
93-08 8.276 6.58 8.276 6.58 8.276 6.58 8.276 6.58 8.282 6.56
93-12 8.256 8.256 8.256 8.256 8.261
93-16 8.235 8.236 8.236 8.236 8.241
93-20 8.215 8.215 8.215 8.216 8.221
93-24 8.195 8.195 8.195 8.195 8.200
</TABLE>
Average Life : 9.58 9.58 9.58 9.58 9.54
First Pay : 10/15/08 10/15/08 10/15/08 10/15/08 09/15/08
Last Pay : 10/15/08 10/15/08 10/15/08 10/15/08 10/15/08
1Y 2Y 3Y 5Y 10Y 30Y Price to Maturity
4.628 4.773 4.781 4.796 4.910 5.346
SPEEDS APPLIED AT THE END OF YM PERIOD
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 14 days. Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 3/16/99 settlement date.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions
hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
<PAGE>
DEUTSCHE /BANC ONE FUSION DEAL - RED HERRING
------ Corporate Bond Equivalent Yield Table -----
Lehman Brothers Page 8
Fri, 12 Feb 1999, 14:15:34
Bond Class X 0.933 FIXED CPN
Current Balance $1,311,125,920.05
<TABLE>
<CAPTION>
0.00% CPR 25.00% CPR 50.00% CPR 75.00% CPR 100.00% CPR
----------------- ----------------- ----------------- ----------------- ----------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur
- ----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
4-14 12.572 3.49 12.558 3.49 12.538 3.49 12.509 3.48 12.293 3.46
4-15 12.374 12.359 12.339 12.310 12.092
4-16 12.177 12.162 12.142 12.113 11.894
4-17 11.983 11.967 11.948 11.918 11.698
4-18 11.790 11.775 11.755 11.726 11.504
4-19 11.600 3.57 11.585 3.57 11.565 3.56 11.535 3.56 11.312 3.54
4-20 11.412 11.397 11.377 11.347 11.123
4-21 11.226 11.211 11.191 11.160 10.935
4-22 11.042 11.027 11.006 10.976 10.750
4-23 10.860 10.844 10.824 10.794 10.566
4-24 10.680 3.64 10.664 3.64 10.644 3.64 10.613 3.63 10.384 3.61
4-25 10.502 10.486 10.465 10.434 10.204
4-26 10.325 10.309 10.289 10.258 10.026
4-27 10.151 10.135 10.114 10.083 9.850
4-28 9.978 9.962 9.941 9.910 9.676
4-29 9.807 3.71 9.791 3.71 9.770 3.71 9.738 3.71 9.503 3.68
4-30 9.638 9.621 9.600 9.569 9.333
4-31 9.470 9.454 9.432 9.401 9.163
5-00 9.304 9.288 9.266 9.234 8.996
5-01 9.140 9.123 9.102 9.070 8.830
5-02 8.977 3.78 8.960 3.78 8.939 3.78 8.907 3.78 8.666 3.75
5-03 8.816 8.799 8.778 8.745 8.503
5-04 8.656 8.639 8.618 8.585 8.342
5-05 8.498 8.481 8.460 8.427 8.183
5-06 8.342 8.325 8.303 8.270 8.025
5-07 8.186 3.85 8.169 3.85 8.148 3.85 8.114 3.84 7.868 3.82
5-08 8.033 8.016 7.994 7.960 7.713
5-09 7.881 7.863 7.841 7.808 7.559
5-10 7.730 7.713 7.690 7.657 7.407
5-11 7.580 7.563 7.541 7.507 7.256
5-12 7.432 3.92 7.415 3.91 7.392 3.91 7.359 3.91 7.107 3.88
5-13 7.285 7.268 7.246 7.212 6.959
5-14 7.140 7.123 7.100 7.066 6.812
5-15 6.996 6.978 6.956 6.921 6.667
5-16 6.853 6.835 6.813 6.778 6.522
</TABLE>
Average Life : 8.83 8.82 8.81 8.79 8.66
First Pay : 04/15/99 04/15/99 04/15/99 04/15/99 04/15/99
Last Pay : 11/15/18 11/15/18 11/15/18 11/15/18 09/15/18
1Y 2Y 3Y 5Y 10Y 30Y Price to Maturity
4.628 4.773 4.781 4.796 4.910 5.346
SPEEDS APPLIED AT THE END OF YM PERIOD
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 14 days. Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 3/16/99 settlement date.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions
hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
<PAGE>
DEUTSCHE /BANC ONE FUSION DEAL - RED HERRING
------ Corporate Bond Equivalent Yield Table -----
Lehman Brothers Page 1
Fri, 12 Feb 1999, 14:17:18
Bond Class A1 5.950 FIXED CPN
Current Balance $181,434,000.00
<TABLE>
<CAPTION>
0.00% CPR 25.00% CPR 50.00% CPR 75.00% CPR 100.00% CPR
----------------- ----------------- ----------------- ----------------- ----------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur
- ----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
98-12 6.370 4.05 6.475 3.82 6.529 3.71 6.558 3.65 6.590 3.58
98-16 6.338 6.442 6.495 6.523 6.555
98-20 6.307 6.409 6.461 6.489 6.519
98-24 6.276 6.376 6.427 6.454 6.484
98-28 6.245 6.343 6.393 6.420 6.449
99-00 6.214 4.06 6.310 3.83 6.359 3.73 6.385 3.66 6.414 3.59
99-04 6.183 6.278 6.325 6.351 6.379
99-08 6.152 6.245 6.291 6.317 6.344
99-12 6.121 6.212 6.258 6.282 6.309
99-16 6.090 6.180 6.224 6.248 6.274
99-20 6.060 4.07 6.147 3.84 6.191 3.74 6.214 3.68 6.240 3.60
99-24 6.029 6.114 6.157 6.180 6.205
99-28 5.998 6.082 6.124 6.146 6.170
100-00 5.968 6.050 6.090 6.112 6.136
100-04 5.937 6.017 6.057 6.079 6.101
100-08 5.907 4.08 5.985 3.86 6.024 3.75 6.045 3.69 6.067 3.62
100-12 5.876 5.953 5.991 6.011 6.032
100-16 5.846 5.921 5.958 5.977 5.998
100-20 5.815 5.888 5.925 5.944 5.964
100-24 5.785 5.856 5.892 5.910 5.930
100-28 5.755 4.10 5.824 3.87 5.859 3.76 5.877 3.70 5.896 3.63
101-00 5.725 5.792 5.826 5.843 5.862
101-04 5.695 5.761 5.793 5.810 5.828
101-08 5.665 5.729 5.760 5.777 5.794
101-12 5.635 5.697 5.728 5.744 5.760
101-16 5.605 4.11 5.665 3.88 5.695 3.77 5.710 3.71 5.726 3.64
101-20 5.575 5.634 5.662 5.677 5.692
101-24 5.545 5.602 5.630 5.644 5.659
101-28 5.515 5.571 5.597 5.611 5.625
102-00 5.486 5.539 5.565 5.578 5.591
102-04 5.456 4.12 5.508 3.89 5.533 3.78 5.545 3.72 5.558 3.65
102-08 5.426 5.476 5.500 5.513 5.524
102-12 5.397 5.445 5.468 5.480 5.491
102-16 5.367 5.414 5.436 5.447 5.458
102-20 5.338 5.382 5.404 5.415 5.425
</TABLE>
Average Life : 5.00 4.67 4.52 4.44 4.36
First Pay : 04/15/99 04/15/99 04/15/99 04/15/99 04/15/99
Last Pay : 02/15/08 07/15/07 06/15/07 05/15/07 05/15/07
1Y 2Y 3Y 5Y 10Y 30Y Price to Maturity
4.628 4.773 4.781 4.796 4.910 5.346 With Prepayment Penalty;
SPEEDS APPLIED AT THE END OF LOCK OUT PERIOD
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 14 days. Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 3/16/99 settlement date.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions
hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
<PAGE>
DEUTSCHE /BANC ONE FUSION DEAL - RED HERRING
------ Corporate Bond Equivalent Yield Table -----
Lehman Brothers Page 2
Fri, 12 Feb 1999, 14:17:18
Bond Class A2 6.292 FIXED CPN
Current Balance $723,242,000.00
<TABLE>
<CAPTION>
0.00% CPR 25.00% CPR 50.00% CPR 75.00% CPR 100.00% CPR
----------------- ----------------- ----------------- ----------------- ----------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur
- ----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
99-12 6.431 6.81 6.431 6.79 6.431 6.78 6.431 6.77 6.432 6.68
99-16 6.413 6.413 6.413 6.413 6.413
99-20 6.394 6.394 6.394 6.394 6.395
99-24 6.376 6.376 6.376 6.376 6.376
99-28 6.358 6.358 6.358 6.357 6.357
100-00 6.339 6.82 6.339 6.81 6.339 6.79 6.339 6.78 6.339 6.69
100-04 6.321 6.321 6.321 6.321 6.320
100-08 6.303 6.303 6.303 6.302 6.301
100-12 6.284 6.284 6.284 6.284 6.283
100-16 6.266 6.266 6.266 6.266 6.264
100-20 6.248 6.83 6.248 6.82 6.248 6.81 6.247 6.79 6.246 6.70
100-24 6.230 6.230 6.230 6.229 6.227
100-28 6.212 6.212 6.211 6.211 6.209
101-00 6.194 6.194 6.193 6.193 6.190
101-04 6.176 6.176 6.175 6.175 6.172
101-08 6.158 6.84 6.157 6.83 6.157 6.82 6.157 6.80 6.154 6.71
101-12 6.140 6.139 6.139 6.139 6.135
101-16 6.122 6.121 6.121 6.120 6.117
101-20 6.104 6.104 6.103 6.102 6.099
101-24 6.086 6.086 6.085 6.084 6.081
101-28 6.068 6.85 6.068 6.84 6.067 6.83 6.066 6.81 6.062 6.72
102-00 6.050 6.050 6.049 6.049 6.044
102-04 6.032 6.032 6.031 6.031 6.026
102-08 6.015 6.014 6.013 6.013 6.008
102-12 5.997 5.996 5.996 5.995 5.990
102-16 5.979 6.86 5.979 6.85 5.978 6.84 5.977 6.82 5.972 6.73
102-20 5.961 5.961 5.960 5.959 5.954
102-24 5.944 5.943 5.942 5.941 5.936
102-28 5.926 5.925 5.925 5.924 5.918
103-00 5.909 5.908 5.907 5.906 5.900
103-04 5.891 6.87 5.890 6.86 5.889 6.85 5.888 6.84 5.882 6.75
103-08 5.873 5.872 5.872 5.871 5.864
103-12 5.856 5.855 5.854 5.853 5.846
103-16 5.838 5.837 5.836 5.835 5.828
103-20 5.821 5.820 5.819 5.818 5.810
</TABLE>
Average Life : 9.25 9.22 9.20 9.18 9.02
First Pay : 02/15/08 07/15/07 06/15/07 05/15/07 05/15/07
Last Pay : 09/15/08 09/15/08 09/15/08 09/15/08 07/15/08
1Y 2Y 3Y 5Y 10Y 30Y Price to Maturity
4.628 4.773 4.781 4.796 4.910 5.346 With Prepayment Penalty;
SPEEDS APPLIED AT THE END OF LOCK OUT PERIOD
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 14 days. Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 3/16/99 settlement date.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions
hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
<PAGE>
DEUTSCHE /BANC ONE FUSION DEAL - RED HERRI14G
------ Corporate Bond Equivalent Yield Table -----
Lehman Brothers Page 3
Fri, 12 Feb 1999, 14:17:18
Bond Class B 6.412 FIXED CPN
Current Balance $62,278,000.00
<TABLE>
<CAPTION>
0.00% CPR 25.00% CPR 50.00% CPR 75.00% CPR 100.00% CPR
----------------- ----------------- ----------------- ----------------- ----------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur
- ----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
99-12 6.552 6.93 6.553 6.93 6.553 6.92 6.553 6.90 6.553 6.83
99-16 6.534 6.534 6.535 6.535 6.535
99-20 6.516 6.516 6.516 6.516 6.517
99-24 6.498 6.498 6.498 6.498 6.498
99-28 6.480 6.480 6.480 6.480 6.480
100-00 6.462 6.95 6.462 6.94 6.462 6.93 6.462 6.92 6.462 6.84
100-04 6.444 6.444 6.444 6.444 6.444
100-08 6.427 6.426 6.426 6.426 6.425
100-12 6.409 6.409 6.408 6.408 6.407
100-16 6.391 6.391 6.391 6.390 6.389
100-20 6.373 6.96 6.373 6.95 6.373 6.94 6.372 6.93 6.371 6.85
100-24 6.355 6.355 6.355 6.355 6.353
100-28 6.337 6.337 6.337 6.337 6.335
101-00 6.320 6.320 6.319 6.319 6.317
101-04 6.302 6.302 6.301 6.301 6.299
101-08 6.284 6.97 6.284 6.96 6.284 6.95 6.283 6.94 6.281 6.86
101-12 6.267 6.266 6.266 6.266 6.263
101-16 6.249 6.249 6.248 6.248 6.245
101-20 6.231 6.231 6.231 6.230 6.227
101-24 6.214 6.214 6.213 6.213 6.209
101-28 6.196 6.98 6.196 6.97 6.196 6.96 6.195 6.95 6.192 6.87
102-00 6.179 6.178 6.178 6.177 6.174
102-04 6.161 6.161 6.160 6.160 6.156
102-08 6.144 6.143 6.143 6.142 6.138
102-12 6.126 6.126 6.125 6.125 6.121
102-16 6.109 6.99 6.109 6.98 6.108 6.97 6.107 6.96 6.103 6.88
102-20 6.092 6.091 6.091 6.090 6.085
102-24 6.074 6.074 6.073 6.072 6.068
102-28 6.057 6.056 6.056 6.055 6.050
103-00 6.040 6.039 6.038 6.038 6.032
103-04 6.022 7.00 6.022 6.99 6.021 6.98 6.020 6.97 6.015 6.89
103-08 6.005 6.005 6.004 6.003 5.997
103-12 5.988 5.987 5.987 5.986 5.980
103-16 5.971 5.970 5.969 5.968 5.962
103-20 5.954 5.953 5.952 5.951 5.945
Average Life : 9.55 9.54 9.52 9.50 9.35
First Pay : 09/15/08 09/15/08 09/15/08 09/15/08 07/15/08
Last Pay : 10/15/08 10/15/08 10/15/08 09/15/08 08/15/08
</TABLE>
1Y 2Y 3Y 5Y 10Y 30Y Price to Maturity
4.628 4.773 4.781 4.796 4.910 5.346 With Prepayment Penalty;
SPEEDS APPLIED AT THE END OF LOCK OUT PERIOD
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 14 days. Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 3/16/99 settlement date.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions
hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
<PAGE>
DEUTSCHE /BANC ONE FUSION DEAL - RED HERRING
------ Corporate Bond Equivalent Yield Table -----
Lehman Brothers Page 4
Fri, 12 Feb 1999, 14:17:18
Bond Class C 6.452 FIXED CPN
Current Balance $22,944,000.00
<TABLE>
<CAPTION>
0.00% CPR 25.00% CPR 50.00% CPR 75.00% CPR 100.00% CPR
----------------- ----------------- ----------------- ----------------- -----------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur
- ----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
99-12 6.593 6.94 6.593 6.94 6.593 6.94 6.593 6.93 6.594 6.85
99-16 6.575 6.575 6.575 6.575 6.576
99-20 6.557 6.557 6.557 6.557 6.557
99-24 6.539 6.539 6.539 6.539 6.539
99-28 6.521 6.521 6.521 6.521 6.521
100-00 6.503 6.95 6.503 6.95 6.503 6.95 6.503 6.94 6.503 6.86
100-04 6.485 6.485 6.485 6.485 6.485
100-08 6.467 6.467 6.467 6.467 6.467
100-12 6.450 6.450 6.450 6.449 6.448
100-16 6.432 6.432 6.432 6.432 6.430
100-20 6.414 6.96 6.414 6.96 6.414 6.96 6.414 6.95 6.412 6.87
100-24 6.396 6.396 6.396 6.396 6.394
100-28 6.378 6.378 6.378 6.378 6.376
101-00 6.361 6.361 6.361 6.360 6.358
101-04 6.343 6.343 6.343 6.343 6.340
101-08 6.325 6.97 6.325 6.97 6.325 6.97 6.325 6.96 6.322 6.88
101-12 6.308 6.308 6.308 6.307 6.305
101-16 6.290 6.290 6.290 6.290 6.287
101-20 6.272 6.272 6.272 6.272 6.269
101-24 6.255 6.255 6.255 6.254 6.251
101-28 6.237 6.98 6.237 6.98 6.237 6.98 6.237 6.97 6.233 6.89
102-00 6.220 6.220 6.220 6.219 6.216
102-04 6.202 6.202 6.202 6.202 6.198
102-08 6.185 6.185 6.185 6.184 6.180
102-12 6.167 6.167 6.167 6.167 6.163
102-16 6.150 6.99 6.150 6.99 6.150 6.99 6.149 6.98 6.145 6.90
102-20 6.133 6.133 6.133 6.132 6.127
102-24 6.115 6.115 6.115 6.115 6.110
102-28 6.098 6.098 6.098 6.097 6.092
103-00 6.081 6.081 6.081 6.080 6.075
103-04 6.063 7.00 6.063 7.00 6.063 7.00 6.063 6.99 6.057 6.91
103-08 6.046 6.046 6.046 6.045 6.040
103-12 6.029 6.029 6.029 6.028 6.022
103-16 6.012 6.012 6.012 6.011 6.005
103-20 5.994 5.994 5.994 5.994 5.987
</TABLE>
Average Life : 9.58 9.58 9.58 9.56 9.41
First Pay : 10/15/08 10/15/08 10/15/08 09/15/08 08/15/08
Last Pay : 10/15/08 10/15/08 10/15/08 10/15/08 08/15/08
1Y 2Y 3Y 5Y 10Y 30Y Price to Maturity
4.628 4.773 4.781 4.796 4.910 5.346 With Prepayment Penalty;
SPEEDS APPLIED AT THE END OF LOCK OUT PERIOD
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 14 days. Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 3/16/99 settlement date.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions
hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
<PAGE>
DEUTSCHE /BANC ONE FUSION DEAL - RED HERRING
------ Corporate Bond Equivalent Yield Table -----
Lehman Brothers Page 5
Fri, 12 Feb 1999, 14:17:18
Bond Class D 6.709 FIXED CPN
Current Balance $62,278,000.00
<TABLE>
<CAPTION>
0.00% CPR 25.00% CPR 50.00% CPR 75.00% CPR 100.00% CPR
----------------- ----------------- ----------------- ----------------- ----------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur
- ----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
99-12 6.857 6.85 6.857 6.85 6.857 6.85 6.857 6.85 6.857 6.77
99-16 6.838 6.838 6.838 6.838 6.839
99-20 6.820 6.820 6.820 6.820 6.820
99-24 6.802 6.802 6.802 6.802 6.802
99-28 6.784 6.784 6.784 6.784 6.783
100-00 6.765 6.86 6.766 6.86 6.765 6.86 6.765 6.86 6.765 6.78
100-04 6.747 6.747 6.747 6.747 6.747
100-08 6.729 6.729 6.729 6.729 6.728
100-12 6.711 6.711 6.711 6.711 6.710
100-16 6.693 6.693 6.693 6.693 6.692
100-20 6.675 6.88 6.675 6.88 6.675 6.88 6.675 6.88 6.673 6.79
100-24 6.657 6.657 6.657 6.657 6.655
100-28 6.639 6.639 6.639 6.639 6.637
101-00 6.621 6.621 6.621 6.621 6.619
101-04 6.603 6.603 6.603 6.603 6.601
101-08 6.585 6.89 6.585 6.89 6.585 6.89 6.585 6.89 6.583 6.80
101-12 6.567 6.567 6.567 6.567 6.564
101-16 6.550 6.550 6.550 6.550 6.546
101-20 6.532 6.532 6.532 6.532 6.528
101-24 6.514 6.514 6.514 6.514 6.510
101-28 6.496 6.90 6.496 6.90 6.496 6.90 6.496 6.90 6.492 6.81
102-00 6.479 6.479 6.479 6.479 6.474
102-04 6.461 6.461 6.461 6.461 6.457
102-08 6.443 6.443 6.443 6.443 6.439
102-12 6.426 6.426 6.426 6.426 6.421
102-16 6.408 6.91 6.408 6.91 6.408 6.91 6.408 6.91 6.403 6.82
102-20 6.390 6.390 6.390 6.390 6.385
102-24 6.373 6.373 6.373 6.373 6.367
102-28 6.355 6.355 6.355 6.355 6.350
103-00 6.338 6.338 6.338 6.338 6.332
103-04 6.320 6.92 6.320 6.92 6.320 6.92 6.320 6.92 6.314 6.83
103-08 6.303 6.303 6.303 6.303 6.296
103-12 6.285 6.285 6.285 6.285 6.279
103-16 6.268 6.268 6.268 6.268 6.261
103-20 6.251 6.251 6.251 6.251 6.244
</TABLE>
Average Life 9.58 9.58 9.58 9.58 9.41
First Pay : 10/15/08 10/15/08 10/15/08 10/15/08 08/15/08
Last Pay : 10/15/08 10/15/08 10/15/08 10/15/08 08/15/08
1Y 2Y 3Y 5Y 10Y 30Y Price to Maturity
4.628 4.773 4.781 4.796 4.910 5.346 With Prepayment Penalty;
SPEEDS APPLIED AT THE END OF LOCK OUT PERIOD
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 14 days. Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 3/16/99 settlement date.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions
hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
<PAGE>
DEUTSCHE /BANC ONE FUSION DEAL - RED HERRING
------ Corporate Bond Equivalent Yield Table ------
Lehman Brothers Page 6
Fri, 12 Feb 1999, 14:17:18
Bond Class E 7.238 FIXED CPN
Current Balance $81,945,000.00
<TABLE>
<CAPTION>
0.00% CPR 25.00% CPR 50.00% CPR 75.00% CPR 100.00% CPR
----------------- ----------------- ----------------- ----------------- ----------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur
- ----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
95-25 7.872 6.63 7.871 6.63 7.871 6.63 7.871 6.63 7.877 6.58
95-29 7.852 7.851 7.851 7.851 7.857
96-01 7.833 7.832 7.831 7.831 7.838
96-05 7.813 7.812 7.812 7.812 7.818
96-09 7.794 7.793 7.792 7.792 7.798
96-13 7.774 6.65 7.773 6.65 7.773 6.65 7.773 6.65 7.779 6.59
96-17 7.755 7.754 7.754 7.754 7.759
96-21 7.735 7.734 7.734 7.734 7.739
96-25 7.716 7.715 7.715 7.715 7.720
96-29 7.697 7.696 7.695 7.695 7.700
97-01 7.677 6.66 7.676 6.66 7.676 6.66 7.676 6.66 7.681 6.60
97-05 7.658 7.657 7.657 7.657 7.661
97-09 7.639 7.638 7.638 7.638 7.642
97-13 7.620 7.619 7.618 7.618 7.623
97-17 7.601 7.600 7.599 7.599 7.603
97-21 7.581 6.67 7.580 6.67 7.580 6.67 7.580 6.67 7.584 6.61
97-25 7.562 7.561 7.561 7.561 7.565
97-29 7.543 7.542 7.542 7.542 7.545
98-01 7.524 7.523 7.523 7.523 7.526
98-05 7.505 7.504 7.504 7.504 7.507
98-09 7.486 6.68 7.485 6.68 7.485 6.68 7.485 6.68 7.488 6.63
98-13 7.467 7.466 7.466 7.466 7.469
98-17 7.448 7.447 7.447 7.447 7.450
98-21 7.429 7.428 7.428 7.428 7.431
98-25 7.411 7.410 7.409 7.409 7.412
98-29 7.392 6.70 7.391 6.70 7.390 6.70 7.390 6.70 7.393 6.64
99-01 7.373 7.372 7.372 7.372 7.374
99-05 7.354 7.353 7.353 7.353 7.355
99-09 7.335 7.334 7.334 7.334 7.336
99-13 7.317 7.316 7.315 7.315 7.317
99-17 7.298 6.71 7.297 6.71 7.297 6.71 7.297 6.71 7.298 6.65
99-21 7.279 7.278 7.278 7.278 7.279
99-25 7.261 7.260 7.260 7.259 7.260
99-29 7.242 7.241 7.241 7.241 7.242
100-01 7.224 7.223 7.222 7.222 7.223
</TABLE>
Average Life : 9.58 9.58 9.58 9.58 9.46
First Pay : 10/15/08 10/15/08 10/15/08 10/15/08 08/15/08
Last Pay : 10/15/08 10/15/08 10/15/08 10/15/08 09/15/08
1Y 2Y 3Y 5Y 10Y 30Y Price to Maturity
4.628 4.773 4.781 4.796 4.910 5.346 With Prepayment Penalty;
SPEEDS APPLIED AT THE END OF LOCK OUT PERIOD
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 14 days. Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 3/16/99 settlement date.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions
hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
<PAGE>
DEUTSCHE /BANC ONE FUSION DEAL - RED HERRING
------ Corporate Bond Equivalent Yield Table -----
Lehman Brothers Page 7
Fri, 12 Feb 1999, 14:17:18
Bond Class F 7.238 FIXED CPN
Current Balance $19,667,000.00
<TABLE>
<CAPTION>
0.00% CPR 25.00% CPR 50.00% CPR 75.00% CPR 100.00% CPR
----------------- ----------------- ----------------- ----------------- ----------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur
- ----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
89-16 8.902 6.50 8.901 6.50 8.900 6.50 8.900 6.50 8.907 6.48
89-20 8.880 8.879 8.879 8.879 8.886
89-24 8.859 8.858 8.858 8.858 8.864
89-28 8.838 8.837 8.836 8.836 8.843
90-00 8.816 8.815 8.815 8.815 8.821
90-04 8.795 6.51 8.794 6.51 8.794 6.51 8.794 6.51 8.800 6.49
90-08 8.774 8.773 8.773 8.773 8.779
90-12 8.753 8.752 8.751 8.751 8.758
90-16 8.732 8.731 8.730 8.730 8.736
90-20 8.710 8.710 8.709 8.709 8.715
90-24 8.689 6.52 8.688 6.52 8.688 6.53 8.688 6.53 8.694 6.51
90-28 8.668 8.667 8.667 8.667 8.673
91-00 8.647 8.646 8.646 8.646 8.652
91-04 8.626 8.626 8.625 8.625 8.631
91-08 8.606 8.605 8.604 8.604 8.610
91-12 8.585 6.54 8.584 6.54 8.583 6.54 8.583 6.54 8.589 6.52
91-16 8.564 8.563 8.563 8.563 8.568
91-20 8.543 8.542 8.542 8.542 8.547
91-24 8.522 8.521 8.521 8.521 8.527
91-28 8.502 8.501 8.500 8.500 8.506
92-00 8.481 6.55 8.480 6.55 8.480 6.55 8.480 6.55 8.485 6.54
92-04 8.460 8.459 8.459 8.459 8.464
92-08 8.440 8.439 8.438 8.438 8.444
92-12 8.419 8.418 8.418 8.418 8.423
92-16 8.398 8.398 8.397 8.397 8.403
92-20 8.378 6.57 8.377 6.57 8.377 6.57 8.377 6.57 8.382 6.55
92-24 8.358 8.357 8.356 8.356 8.361
92-28 8.337 8.336 8.336 8.336 8.341
93-00 8.317 8.316 8.315 8.315 8.321
93-04 8.296 8.295 8.295 8.295 8.300
93-08 8.276 6.58 8.275 6.58 8.275 6.58 8.275 6.58 8.280 6.56
93-12 8.256 8.255 8.254 8.254 8.259
93-16 8.235 8.235 8.234 8.234 8.239
93-20 8.215 8.214 8.214 8.214 8.219
93-24 8.195 8.194 8.194 8.194 8.199
</TABLE>
Average Life : 9.58 9.58 9.58 9.58 9.54
First Pay : 10/15/08 10/15/08 10/15/08 10/15/08 09/15/08
Last Pay : 10/15/08 10/15/08 10/15/08 10/15/08 10/15/08
1Y 2Y 3Y 5Y 10Y 30Y Price to Maturity
4.628 4.773 4.781 4.796 4.910 5.346 With Prepayment Penalty;
SPEEDS APPLIED AT THE END OF LOCK OUT PERIOD
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 14 days. Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 3/16/99 settlement date.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions
hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
<PAGE>
DEUTSCHE /BANC ONE FUSION DEAL - RED HERRING
------ Corporate Bond Equivalent Yield Table ------
Lehman Brothers Page 8
Fri, 12 Feb 1999, 14:17:18
Bond Class X 0.933 FIXED CPN
Current Balance $1,311,125,920.05
<TABLE>
<CAPTION>
0.00% CPR 25.00% CPR 50.00% CPR 75.00% CPR 100.00% CPR
----------------- ----------------- ----------------- ----------------- ----------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur
- ----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
4-14 12.572 3.49 12.620 3.47 12.637 3.46 12.631 3.44 12.450 3.41
4-15 12.374 12.420 12.436 12.429 12.247
4-16 12.177 12.222 12.237 12.230 12.045
4-17 11.983 12.026 12.041 12.033 11.846
4-18 11.790 11.833 11.847 11.838 11.649
4-19 11.600 3.57 11.642 3.55 11.655 3.53 11.645 3.52 11.455 3.48
4-20 11.412 11.453 11.465 11.455 11.262
4-21 11.226 11.265 11.277 11.266 11.071
4-22 11.042 11.080 11.091 11.080 10.883
4-23 10.860 10.897 10.907 10.895 10.697
4-24 10.680 3.64 10.716 3.62 10.725 3.61 10.712 3.59 10.512 3.56
4-25 10.502 10.537 10.545 10.532 10.330
4-26 10.325 10.359 10.367 10.353 10.149
4-27 10.151 10.184 10.190 10.176 9.970
4-28 9.978 10.010 10.016 10.001 9.793
4-29 9.807 3.71 9.838 3.69 9.843 3.68 9.828 3.66 9.618 3.63
4-30 9.638 9.667 9.672 9.656 9.445
4-31 9.470 9.499 9.503 9.486 9.273
5-00 9.304 9.332 9.335 9.318 9.103
5-01 9.140 9.166 9.169 9.151 8.935
5-02 8.977 3.78 9.003 3.76 9.005 3.75 8.986 3.73 8.768 3.70
5-03 8.816 8.841 8.842 8.823 8.603
5-04 8.656 8.680 8.681 8.661 8.440
5-05 8.498 8.521 8.521 8.501 8.278
5-06 8.342 8.364 8.363 8.343 8.118
5-07 8.186 3.85 8.208 3.83 8.206 3.81 8.185 3.80 7.959 3.76
5-08 8.033 8.053 8.051 8.030 7.802
5-09 7.881 7.900 7.897 7.876 7.646
5-10 7.730 7.748 7.745 7.723 7.492
5-11 7.580 7.598 7.594 7.571 7.339
5-12 7.432 3.92 7.449 3.89 7.445 3.88 7.421 3.87 7.187 3.83
5-13 7.285 7.301 7.296 7.273 7.037
5-14 7.140 7.155 7.150 7.125 6.888
5-15 6.996 7.010 7.004 6.979 6.741
5-16 6.853 6.866 6.860 6.835 6.595
</TABLE>
Average Life : 8.83 8.76 8.73 8.70 8.56
First Pay : 04/15/99 04/15/99 04/15/99 04/15/99 04/15/99
Last Pay : 11/15/18 11/15/18 11/15/18 11/15/18 09/15/18
1Y 2Y 3Y 5Y 10Y 30Y Price to Maturity
4.628 4.773 4.781 4.796 4.910 5.346 With Prepayment Penalty;
SPEEDS APPLIED AT THE END OF LOCK OUT PERIOD
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 14 days. Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 3/16/99 settlement date.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions
hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
<PAGE>
DEUTSCHE /BANC ONE FUSION DEAL - RED HERRING
------ Corporate Bond Equivalent Yield Table ------
Lehman Brothers Page 1
Fri, 12 Feb 1999, 14:23:28
Bond Class X 0.933 FIXED CPN
Current Balance $1,311,125,920.05
<TABLE>
<CAPTION>
0.00% CPR 0.00% CPR 0.00% CPR 0.00% CPR 0.00% CPR
----------------- ----------------- ----------------- ----------------- -----------------
efaults% DEF 1.000% DEF 2.000% DEF 3.000% DEF 4.000% DEF
------------ ------------ ------------ ------------ ------------
65.0% REC 65.0% REC 65.0% REC 65.0% REC 65.0% REC
---------- ---------- ---------- ---------- ----------
12 MONTH LAG 12 MONTH LAG 12 MONTH LAG 12 MONTH LAG 12 MONTH LAG
--------------- --------------- --------------- --------------- ---------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur
- ----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
4-14 12.572 3.49 11.996 3.47 11.434 3.46 10.880 3.44 10.330 3.42
4-15 12.374 11.796 11.233 10.678 10.128
4-16 12.177 11.598 11.034 10.479 9.927
4-17 11.983 11.403 10.838 10.281 9.728
4-18 11.790 11.210 10.644 10.086 9.532
4-19 11.600 3.57 11.019 3.55 10.452 3.53 9.893 3.51 9.338 3.50
4-20 11.412 10.830 10.262 9.702 9.146
4-21 11.226 10.643 10.074 9.513 8.957
4-22 11.042 10.458 9.888 9.327 8.769
4-23 10.860 10.275 9.704 9.142 8.583
4-24 10.680 3.64 10.094 3.62 9.522 3.61 8.959 3.59 8.399 3.57
4-25 10.502 9.915 9.342 8.778 8.218
4-26 10.325 9.737 9.164 8.599 8.038
4-27 10.151 9.562 8.988 8.422 7.860
4-28 9.978 9.388 8.813 8.247 7.683
4-29 9.807 3.71 9.216 3.70 8.641 3.68 8.073 3.66 7.509 3.64
4-30 9.638 9.046 8.470 7.901 7.336
4-31 9.470 8.878 8.300 7.731 7.165
5-00 9.304 8.711 8.133 7.563 6.996
5-01 9.140 8.546 7.967 7.396 6.829
5-02 8.977 3.78 8.382 3.76 7.803 3.75 7.231 3.73 6.663 3.71
5-03 8.816 8.220 7.640 7.068 6.498
5-04 8.656 8.060 7.479 6.906 6.336
5-05 8.498 7.901 7.319 6.745 6.175
5-06 8.342 7.744 7.161 6.587 6.015
5-07 8.186 3.85 7.588 3.83 7.005 3.81 6.429 3.80 5.857 3.78
5-08 8.033 7.434 6.850 6.274 5.700
5-09 7.881 7.281 6.696 6.119 5.545
5-10 7.730 7.129 6.544 5.966 5.392
5-11 7.580 6.979 6.393 5.815 5.239
5-12 7.432 3.92 6.830 3.90 6.243 3.88 5.665 3.86 5.088 3.84
5-13 7.285 6.683 6.095 5.516 4.939
5-14 7.140 6.537 5.949 5.368 4.791
5-15 6.996 6.392 5.803 5.222 4.644
5-16 6.853 6.249 5.659 5.077 4.498
<CAPTION>
0.00% CPR
----------------
5.000% DEF
-----------
65.0% REC
---------
12 MONTH LAG
--------------
PRICE CBE Yield Dur
- ----------- --------- -----
<S> <C> <C>
4-14 9.778 3.40
4-15 9.574
4-16 9.372
4-17 9.173
4-18 8.975
4-19 8.780 3.48
4-20 8.587
4-21 8.396
4-22 8.208
4-23 8.021
4-24 7.836 3.55
4-25 7.653
4-26 7.472
4-27 7.293
4-28 7.116
4-29 6.941 3.62
4-30 6.767
4-31 6.595
5-00 6.425
5-01 6.257
5-02 6.090 3.69
5-03 5.925
5-04 5.761
5-05 5.599
5-06 5.439
5-07 5.280 3.76
5-08 5.122
5-09 4.966
5-10 4.812
5-11 4.659
5-12 4.507 3.82
5-13 4.357
5-14 4.208
5-15 4.060
5-16 3.914
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
Average Life : 8.83 8.64 8.47 8.30
First Pay : 04/15/99 04/15/99 04/15/99 4/15/99
Last Pay : 11/15/18 11/15/18 11/15/18 11/15/18
Collateral Loss : 0.00 (0.00 ) 26745068.60 (2.04 ) 52077330.76 (3.97 ) 76060606.32
Agg. Bond Loss : 0.00 0.00 0.00 0.00
<CAPTION>
<S> <C> <C>
Average Life : 8.13 7.98
First Pay : 04/15/99 4/15/99
Last Pay : 11/15/18 11/15/18
Collateral Loss :(5.80 )98756268.89 (7.53 ) 120223331.83 (9.17)
Agg. Bond Loss : 0.00 0.00
</TABLE>
1Y 2Y 3Y 5Y 10Y 30Y Price to Maturity
4.628 4.773 4.781 4.796 4.910 5.346
0% CPR, %CDR APPLIED STARTING MONTH 25, 65% RECOVERY, 12 MONTH LAG
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 14 days. Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 3/16/99 settlement date.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions
hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
<PAGE>
DEUTSCHE /BANC ONE FUSION DEAL - AS OF 2/18
------ Corporate Bond Equivalent Yield Table -----
Lehman Brothers Page 1
Fri, 19 Feb 1999, 22:12:37
Bond Class Al 6.055 FIXED CPN
Current Balance $181,434,000.00
<TABLE>
<CAPTION>
SCENARIO 1 SCENARIO 2 SCENARIO 3
----------------- --------------- -----------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur
- ----------- ---------- ------ --------- ----- --------- ----
<S> <C> <C> <C> <C> <C> <C>
98-12 6.478 4.03 6.711 2.41 6.474 4.08
98-16 6.446 6.659 6.443
98-20 6.415 6.606 6.412
98-24 6.384 6.554 6.381
98-28 6.352 6.502 6.350
99-00 6.321 4.05 6.449 2.41 6.319 4.09
99-04 6.290 6.397 6.288
99-08 6.259 6.345 6.258
99-12 6.228 6.293 6.227
99-16 6.197 6.241 6.196
99-20 6.166 4.06 6.190 2.42 6.166 4.10
99-24 6.135 6.138 6.135
99-28 6.105 6.086 6.105
100-00 6.074 6.035 6.075
100-04 6.043 5.983 6.044
100-08 6.013 4.07 5.932 2.42 6.014 4.12
100-12 5.982 5.881 5.984
100-16 5.952 5.830 5.954
100-20 5.921 5.778 5.924
100-24 5.891 5.727 5.894
100-28 5.861 4.08 5.676 2.43 5.864 4.13
101-00 5.830 5.626 5.834
101-04 5.800 5.575 5.804
101-08 5.770 5.524 5.774
101-12 5.740 5.474 5.744
101-16 5.710 4.09 5.423 2.43 5.715 4.14
101-20 5.680 5.373 5.685
101-24 5.650 5.322 5.656
101-28 5.620 5.272 5.626
102-00 5.590 5.222 5.596
102-04 5.561 4.11 5.172 2.44 5.567 4.15
102-08 5.531 5.122 5.538
102-12 5.501 5.072 5.508
102-16 5.472 5.022 5.479
102-20 5.442 4.972 5.450
Average Life : 5.00 2.71 5.07
First Pay : 04/15/99 04/15/99 04/15/99
Last Pay : 02/15/08 04/15/02 02/15/08
Collateral Loss: 0.00 (0.00) 254806373.60 (19.43) 0.00 (0.00 )
Agg. Bond Loss : 0.00 (0.00) 0.00 (0.00) 0.00 (0.00 )
</TABLE>
1Y 2Y 3Y 5Y 10Y 30Y
4.680 4.881 4.891 4.912 4.984 5.317
SCENARIO 1: 0% CPR BASE CASE
SCENARIO 2: 0% CPR, DEFAULT LOANS WITH DSCR less than 1.30 STARTING MONTH 25,
50% RECOVERY, 12 MONTHS LAG
SCENARIO 3: 0% CPR, EXTEND LOAN WITH LTV greater than 65% FOR 36 MONTHS
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 14 days. Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 3/16/99 settlement date.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions
hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
