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) November 19, 1998
Saxon Asset Securities Company
(Exact name of registrant as specified in charter)
<TABLE>
<CAPTION>
<S> <C> <C>
Virginia 34-0-20552 52-1785164
- --------- ---------------- ------------------
(State or other jurisdiction (Commission File Number (IRS Employer
of incorporation) Identification No.) Identification No.)
</TABLE>
4880 Cox Road, Glen Allen, Virginia 23060
--------------------------------------------
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code (804) 967-7400
---------------------------------- (Former name or former address, if
changed since last report.)
<PAGE>
Item 1. Changes in Control of Registrant.
Not Applicable.
Item 2. Acquisition or Disposition of Assets.
Not Applicable.
Item 3. Bankruptcy or Receivership.
Not Applicable.
Item 4. Changes in Registrant's Certifying Accountant.
Not Applicable.
Item 5. Other Events.
On November 24, 1998, the Registrant entered into an underwriting agreement
with Prudential Securities Incorporated, Merrill Lynch, Pierce, Fenner & Smith
Incorporated and NationsBanc Montgomery Securities, LLC (the "Underwriters"),
pursuant to which the Underwriters agreed to purchase and offer for sale to the
public, the Registrant's Mortgage Loan Asset Backed Certificates, Series 1998-4,
Class AF-1, Class AF-2, Class AF-3, Class AF-4, Class AF-5, Class AF-6, Class
MF-1, Class MF-2, Class AV-1, Class MV-1, Class MV-2 and Class BF-1 Certificates
(collectively, the "Underwritten Certificates"). The Registrant retained the
Class BV-1 Certificates which it may offer to the public, from time to time, in
negotiated transactions or otherwise, at prices to be determined at the time of
sale. The Underwritten Certificates and the Class BV-1 Certificates are
registered for sale under the Registrant's effective shelf Registration
Statement on Form S-3 (333-59479), and are offered pursuant to a Prospectus
dated September 21, 1998, and a Prospectus Supplement dated November 24, 1998,
to be filed with the Securities and Exchange Commission pursuant to Registration
No. 333-59479.
In connection with the offering of the Underwritten Certificates, the
Underwriters have prepared and disseminated to potential purchasers certain
"Computational Materials", as such term is defined in the No-Action response
letter to Kidder, Peabody and Co. Incorporated and certain affliates thereof
(publicly available, May 20, 1994). The Computational Materials furnished to
certain prospective investors by the lead Underwriter, Prudential Securities
Incorporated, are filed herewith as Exhibit 99.1. In addition, Merrill Lynch,
Pierce, Fenner & Smith Incorporated and NationsBanc Montgomery Securities, LLC,
as co-underwriters, have furnished Computational Materials to certain
prospective investors, which are substantially identical to the Computational
Materials furnished by Prudential Securities Incorporated, other than the
disclosure in each related co-underwriter's legend. Therefore, only each
co-underwriter's legend has been filed herewith.
Item 6. Resignations of Registrant's Directors.
Not Applicable.
Item 7. Financial Statements, Pro Forma Financial Information and Exhibits.
Not Applicable.
Item 8. Change in Fiscal Year.
Not Applicable.
Exhibits
- --------
99.1 Copy of "Computational Materials" as provided by Prudential
Securities Incorporated
99.2 Copy of Legend to "Computational Materials" as provided by
Merrill Lynch, Pierce, Fenner & Smith Incorporated
99.3 Copy of Legend to "Computational Materials" as provided by
NationsBanc Montgomery Securities, LLC
<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.
November 24, 1998
SAXON ASSET SECURITIES COMPANY
By: /s/ Bradley D. Adams
----------------------------------
Bradely D. Adams, Vice President
<PAGE>
INDEX TO EXHIBITS
Page
----
99.1 Copy of Computational Materials as provided by Prudential Securities
Incorporated
99.2 Copy of Legend to Computational Materials as provided by Merrill Lynch,
Pierce, Fenner & Smith Incorporated
99.3 Copy of Legend to Computational Materials as provided by NationsBanc
Montgomery Securities, LLC
PRELIMINARY
BACKGROUND INFORMATION
SAXON ASSET SECURITIES TRUST 1998-4
Mortgage Loan Asset-Backed Certificates, Series 1998-4
$ [524,793,000]
---------------------------------------------------
$[110,000,000] Class AF-1 CERTIFICATES [TBD]%
(non-SMMEA-eligible)
$[31,000,000] Class AF-2 CERTIFICATES [TBD]%
(non-SMMEA-eligible)
$[50,000,000] Class AF-3 CERTIFICATES [TBD]%
(non-SMMEA-eligible)
$[25,000,000] Class AF-4 CERTIFICATES [TBD]%
(non-SMMEA-eligible)
$[22,391,000] Class AF-5 CERTIFICATES [TBD]%
(non-SMMEA-eligible)
$[26,487,000] Class AF-6 CERTIFICATES (NAS) [TBD]%
(non-SMMEA-eligible)
$[17,507,000] Class MF-1 CERTIFICATES [TBD]%
(non-SMMEA-eligible)
$[14,462,000] Class MF-2 CERTIFICATES [TBD]%
(non-SMMEA-eligible)
$[7,612,000] Class BF-1 CERTIFICATES [TBD]%
(non-SMMEA-eligible)
$[181,224,000] Class AV-1 CERTIFICATES 1M Libor + [TBD] bps
(SMMEA-eligible)
$[17,076,000] Class MV-1 CERTIFICATES 1M Libor + [TBD] bps
(SMMEA-eligible)
$[13,771,000] Class MV-2 CERTIFICATES 1M Libor + [TBD] bps
(non-SMMEA-eligible)
$[8,263,000] Class BV-1 CERTIFICATES 1M Libor + [TBD] bps
(non-SMMEA-eligible)
The information included herein is provided solely by Prudential Securities
Incorporated ("PSI") as underwriter for the Saxon Asset Securities Trust 1998-4
transaction, and not by or as agent for Saxon Mortgage, Inc.or any of its
affiliates (collectively, the "Sponsor"). The analysis in this report is
accurate to the best of PSI's knowledge and is based on information provided by
the Sponsor. PSI makes no representations as to the accuracy of such information
provided by the Sponsor. All opinions and conclusions in this report reflect
PSI's judgment as of this date and are subject to change. All analyses are based
on certain assumptions noted herein and different assumptions could yield
substantially different results. You are cautioned that there is no universally
accepted method for analyzing financial instruments. You should review the
assumptions; there may be differences between these assumptions and your actual
business practices. Further, PSI does not guarantee any results and there is no
guarantee asto the liquidity of the instruments involved in this analysis. The
decision to adopt any strategy remains your responsibility. PSI (or any of its
affiliates) or their officers, directors, analysts or employees may have
positions in securities, commodities or derivative instruments thereon referred
to herein, and may, as principal or agent, buy or sellsuch securities,
commodities or derivative instruments. In addition, PSI may make a market in the
securities referred to herein. Neither the information nor the opinions
expressed shall be construed to be, or constitute, an offer to sell or buy or a
solicitation of an offer to sell or buy any securities, commodities or
derivative instruments mentioned herein. Finally, PSI has not addressed the
legal, accounting and tax implications of the analysis with respect to you and
PSI strongly urges you to seek advice from your counsel, accountant and tax
advisor.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
<PAGE>
SAXON ASSET SECURITIES TRUST 1998-4
Mortgage Loan Asset-Backed Certificates, Series 1998-4
ALL CERTIFICATES
----------------
Title of Securities: Saxon Asset Securities Trust 1998-4
Group I Certificates: Class AF-1 through Class AF-6 (the "Group I Senior
(Fixed Rate) Certificates"); Class MF-1, MF-2 and BF-1 (the "Group I
Subordinate Certificates") (the Group I Senior
Certificates and the Group I Subordinate Certificates
being collectively referred to hereinafter as the
"Group I Certificates"). The Group I Certificates will
be backed primarily by the Group I Loans
Group II Certificates: Class AV-1 (the "Group II Senior Certificates")
(Variable Rate) Class MV-1, MV-2 and BV-1 (the "Group II
Subordinate Certificates") (the Group II Senior
Certificates and the Group II Subordinate Certificates
being collectively referred to hereinafter as the
"Group II Certificates") The Group II Certificates and
Group I Certificates being collectively referred to as
the "Certificates". The Group II Certificates will
backed primarily by the Group II Loans.
Lead Manager: Prudential Securities Incorporated
Co-Manager: Merrill Lynch & Co.
Co-Manager: NationsBanc Montgomery Securities LLC
Group I Loans: Fixed-Rate conventional home equity mortgage loans
secured by first and second lien mortgages.
Group II Loans: Adjustable-Rate conventional home equity mortgage loans
secured by first lien mortgages.
Depositor: Saxon Asset Securities Company
Seller and
Master Servicer: Saxon Mortgage, Inc.
Servicer: Meritech Mortgage Services, Inc.
Servicing Fee: Approximately [55] bps
Trustee: Chase Bank of Texas, National Association
Settlement Date: [December 8, 1998]
<TABLE>
<CAPTION>
Certificate Ratings: Group I Certificates Group II Certificates
---------------------------------------- -------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Moody's Fitch Moody's Fitch
------ ----- ------- -----
Class AF-1 through AF-6 Aaa AAA Class A-1A Aaa AAA
Class MF-1 Aa2 AA Class M-1A Aa2 AA
Class MF-2 A2 A Class M-2A A2 A
Class BF-1 Baa2 BBB Class B-1A Baa2 BBB
</TABLE>
Optional
Termination
Date: The Master Servicer has the right to purchase all the
Mortgage Loans on any Distribution Date when the aggregate
outstanding principal balances of the Mortgage Loans equals
10% or less of the original balance of the Mortage Loans and
thereby retire all outstanding Certificates. The first date
on which this occurs will be referred to as the Optional
Termination Date.
ERISA
Consideration: The Group I Senior Certificates and the Group
II Senior Certificates will be ERISA eligible. However,
investors should consult with their counsel with respect to
the consequences under ERISA and the Internal Revenue Code of
the Plan's acquisition and ownership of such Certificates.
SMMEA
Considerations: Only the Class AV-1 and Class MV-1
Certificates will be SMMEA eligible. The remaining
offered Certificates will NOT be SMMEA eligible.
Taxation: REMIC elections.
Prospectus: The Certificates are being offered pursuant to a Prospectus
which includes a Prospectus Supplement (together, the
"Prospectus"). Complete information with respect to the
Certificates and the Collateral is contained in the
Prospectus. The foregoing is qualified in its entirety by the
information appearing in the Prospectus. To the extent that
the foregoing is inconsistent with the Prospectus, the
Prospectus shall govern in all respects. Sales of the
Certificates may not be consummated unless the purchaser has
received the Prospectus.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS,
AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS
SUPPLEMENT.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH
A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED
FINANCIAL ADVISOR IMMEDIATELY.
<PAGE>
SAXON ASSET SECURITIES TRUST 1998-4
Mortgage Loan Asset-Backed Certificates, Series 1998-4
ALL CERTIFICATES (Cont.)
-----------------------
<TABLE>
<CAPTION>
Initial Class Sizes: Group I Certificates Group II Certificates
------------------------------------------- ----------------------------
<S> <C> <C> <C> <C>
Class AF-1 through Class AF-6 [87.00%] Class AV-1 [82.25%]
Class MF-1 [5.75%] Class MV-1 [7.75%]
Class MF-2 [4.75%] Class MV-2 [6.25%]
Class BF-1 [2.50%] Class BV-1 [3.75%]
O/C [0 to 2.50%] O/C [0 to 3.00%]
</TABLE>
Overcollateralization: The credit enhancement provisions of the Trust are
intended to provide for the limited acceleration of the
Senior Certificates relative to the amortization of the
related collateral, generally in the early months of the
transaction. Accelerated amortization is achieved by
applying certain excess interest collected on the
collateral to the payment of principal on the Senior
Certificates, resulting in the build up on
overcollateralization ("O/C"). By paying down the
principal balance of the certificates faster than the
principal amortization of the respective collateral
pool, an overcollateralization amount equal to the
excess of the aggregate principal balance of the
Collateral Pool over the principal balance of the
related Certificates is created. Excess cashflow will be
directed to build the O/C amount until the pool reaches
its required O/C target. Upon this event the
acceleration feature will cease, unless it is once again
necessary to maintain the required O/C level.
Credit Enhancement: A combination of:
- Excess monthly cash flow
- Overcollateralization
- Cross-collateralization
Overcollateralization
Targets: 1. Before the Stepdown Date, overcollateralization
builds to [2.50%] and [3.00%] of the original loan balance
of the Group I and Group II, respectively.
2. On and after the Stepdown Date, overcollateralization
is maintained at [5.00%] and [6.00%] of the outstanding
loan balance of the Group I and Group II Loans,
respectively (subject to performance triggers).
3. The overcollateralization amount is subject to a
floor of [0.50%] of the original loan balance for both
loan groups.
Principal Cashflow
Priority: Collections of Principal BEFORE the Stepdown Date, or if
a Trigger Event exists, will be allocated in the
following priority:
Group I Cashflows
1. Pay AF-6 according to the following Lockout
Percentage:
Dec. 1998 - Nov. 2001 0%
Dec. 2001 - Nov. 2003 45%
Dec. 2003 - Nov. 2004 80%
Dec. 2004 - Nov. 2005 100%
Dec. 2005 and thereafter 300%
2. Pay Classes AF-1 through AF-6 sequentially
until each is reduced to zero.
3. Pay Classes MF-1, MF-2 and BF-1 sequentially
until each is reduced to zero.
Group II Cashflows
1. Pay Class AV-1 Certificates until the Class
AV-1 Certificate balance is reduced to zero.
2. Pay Classes MV-1, MV-2 and BV-1 sequentially
until each is reduced to zero.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS,
AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS
SUPPLEMENT.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH
A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED
FINANCIAL ADVISOR IMMEDIATELY.
<PAGE>
SAXON ASSET SECURITIES TRUST 1998-4
Mortgage Loan Asset-Backed Certificates, Series 1998-4 `
ALL CERTIFICATES (Cont.)
-----------------------
Principal Cashflow
Priority (cont.): Collections of Principal ON and AFTER the Stepdown
date, (assuming no Trigger Event is in effect) will be
allocated in the following priority:
Group I Cashflows
Pay the Class AF-1 through Class AF-6 (according
to priority), Class MF-1, Class MF-2 and Class BF-1
concurrently in accordance with enhancement targets,
equal to 2.0 times the initial enhancement for each
class:
<TABLE>
<CAPTION>
Targeted % of Pool Targeted Credit Enhancement
<S> <C> <C> <C>
Class AF-1 through AF-6 [69.0%] [31.0%]
Class MF-1 [11.5%] [19.5%]
Class MF-2 [9.5%] [10.0%]
Class BF-1 [5.0%] [5.0%]
Overcollateralization [5.0%]
</TABLE>
Group II Cashflows
Pay Class AV-1, MV-1, MV-2, and BV-1 concurrently
in accordance with enhancement targets equal to 2.0
times the initial enhancement for each class:
<TABLE>
<CAPTION>
Targeted % of Pool Targeted Credit Enhancement
<S> <C> <C> <C>
Class AV-1 [58.5%] [41.5%]
Class MV-1 [15.5%] [26.0%]
Class MV-2 [12.5%] [13.5%]
Class BV-1 [7.5%] [6.0%]
Overcollateralization [6.0%]
Group I Certificates Senior Specified Enhancement Percentage: [31.00%]
Group II Certificates Senior Specified Enhancement Percentage: [41.50%]
</TABLE>
Stepdown Date: With respect to a loan group, the later of: (x) the 37th
Payment Date (December 2001) and (y) the first
Distribution Date on which the Senior Enhancemnent
Percentage is greater than or equal to the related the
Senior Specified Enhancement Percentage.
Trigger Event: Occurs with respect to a loan group when 60+ day
delinquency percentage is greater than (x) 50% of the
senior enhancement percentage for the Group I
Certificates or (y) 40% of the senior enhancement
percentage for the Group II Certificates.
Subordinate Trigger
Event: Occurs with respect to a loan group if both:
I. Realized losses exceed: Group I Group II
Jan. 2001 - Dec. 2001 [1.50] [2.00]
Jan. 2002 - Dec. 2002 [2.50] [3.40]
Jan. 2003 - Dec. 2003 [3.10] [4.30]
Jan. 2004 - Dec. 2004 [3.50] [4.80]
Jan. 2005 - Dec. 2005 [3.80] [5.20]
Jan. 2006 - Dec. 2006 [4.00] [5.50]
II. 60+ day delinquencies exceed:
Jan. 2001 - Dec. 2001 [4.50] [6.00]
Jan. 2002 - Dec. 2002 [4.50] [6.00]
Jan. 2003 - Dec. 2003 [7.00] [9.00]
Jan. 2004 - Dec. 2004 [7.00] [9.00]
Jan. 2005 - Dec. 2005 [9.00] [12.00]
Jan. 2006 - Dec. 2006 [9.00] [12.00]
Total credit enhancment is comprised of O/C and
subordination. If a Subordinate Trigger Event occurs but
a Trigger Event does not exist, the amount of credit
enhancement comprised of O/C will not be released. Any
reductions in credit enhancement will be applied solely
to reducing the principal balance of the subordinated
classes.
Further Information: Call the desk at (212)778-2741, John Mawe at
(212)778-1166, YQ Zhang at (212)778-1196, Brendan Keane
at (212)778-4231, Mike Mattera at (212)778-4459, Naveen
Bhalla (212)778-7448 with any questions.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS,
AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS
SUPPLEMENT.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH
A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED
FINANCIAL ADVISOR IMMEDIATELY.
<PAGE>
SAXON ASSET SECURITIES TRUST 1998-4
Mortgage Loan Asset-Backed Certificates, Series 1998-4
<TABLE>
<CAPTION>
GROUP I CERTIFICATES
-----------------------------------
<S> <C> <C> <C> <C>
Collateral: [Fixed-Rate, First and Second Lien Mortgage Loans]
Approximate Group Size: [$304,459,000]
Class*: AF-1 AF-2 AF-3 AF-4
Approximate
Face Amount: $[110,000,000] $[31,000,000] $[50,000,000] $[25,000,000]
Coupon: [TBD ]% [TBD ]% [TBD ]% [TBD ]%
Price: [TBD ] [TBD ] [TBD ] [TBD ]
Yield: [TDB ] [TBD ] [TBD ] [TBD ]
Spread: [TBD ] bps [TBD ] bps [TBD ] bps [TBD ] bps
Exp Avg Life
to Maturity: [0.904] [2.010] [3.011] [5.010]
Exp Avg Life
to 10% Call: [0.904] [2.010] [3.011] [5.010]
Exp 1st Prin Pmt: [12/28/1998] [08/25/2000] [03/25/2001] [01/25/2003]
Exp Maturity: [08/25/2000] [03/25/2001] [01/25/2003] [03/25/2005]
Exp Mat to 10% Call: [08/25/2000] [03/25/2001] [01/25/2003] [03/25/2005]
Stated Maturity: [10/25/2013] [10/25/2013] [07/25/2023] [05/25/2026]
Rating: (Moody's/Fitch) [Aaa/AAA] [Aaa/AAA] [Aaa/AAA] [Aaa/AAA]
Pricing Speed: [24]% HEP [24]% HEP [24]% HEP [24]% HEP
Investor
Settle Date: [12/08/98] [12/08/98] [12/08/98] [12/08/98]
Pmt Delay: [24] days [24] days [24] days [24] days
Cut-off Date: [11/01/98] [11/01/98] [11/01/98] [11/01/98]
Dated Date: [11/01/98] [11/01/98] [11/01/98] [11/01/98]
Int Pmt: [30/360] [30/360] [30/360] [30/360]
Pmt Terms: [Monthly] [Monthly] [Monthly] [Monthly]
1st Int. Pmt Date: [12/28/98] [12/28/98] [12/28/98] [12/28/98]
Collateral Type: Fixed-Rate Fixed-Rate Fixed-Rate Fixed-Rate
SMMEA
Eligibility: non-SMMEA non-SMMEA non-SMMEA non-SMMEA
- -------------------------------------------------------------------------------------------
</TABLE>
* Some classes may be subject to the Group I Available Funds Cap.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS,
AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS
SUPPLEMENT.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH
A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED
FINANCIAL ADVISOR IMMEDIATELY.
<PAGE>
<TABLE>
<CAPTION>
SAXON ASSET SECURITIES TRUST 1998-4
Mortgage Loan Asset-Backed Certificates, Series 1998-4
GROUP I CERTIFICATES
-----------------------------------
<S> <C> <C> <C> <C> <C>
Class*: AF-5 AF-6(NAS) MF-1 MF-2 BF-1
Approximate
Face Amount: $[22,391,000] $[26,487,000] $[17,507,000] $[14,462,000] $[7,612,000]
Coupon: [TBD ]% [TBD ]% [TBD ]% [TBD ]% [TBD ]%
Price: [TBD ] [TBD ] [TBD ] [TBD ] [TBD ]
Yield: [TBD ] [TBD ] [TBD ] [TBD ] [TBD ]
Spread: [TBD ] bps [TBD ] bps [TBD ] bps [TBD ] bps [TBD ] bps
Exp Avg Life
to Maturity: [10.473] [6.581] [6.049] [5.945] [5.718]
Exp Avg Life
to 10% Call: [7.374] [6.252] [5.353] [5.346] [5.346]
Exp 1st Prin Pmt: [03/25/2005] [01/25/2002] [12/25/2001] [12/25/2001] [12/25/2001]
Exp Maturity: [03/25/2015] [10/25/2013] [03/25/2013] [09/25/2011] [07/25/2009]
Exp Mat to 10% Call: [06/25/2006] [06/25/2006] [06/25/2006] [06/25/2006] [06/25/2006]
Stated Maturity: [01/25/2030] [01/25/2030] [01/25/2030] [01/25/2030] [01/25/2030]
Rating: (Moody's/Fitch) [Aaa/AAA] [Aaa/AAA] [Aa2/AA] [A2/A] [Baa2/BBB]
Pricing Speed: [24]% HEP [24]% HEP [24]% HEP [24]% HEP [24]% HEP
Investor
Settle Date: [12/08/98] [12/08/98] [12/08/98] [12/08/98] [12/08/98]
Pmt Delay: [24] days [24] days [24] days [24] days [24] days
Cut-off Date: [11/01/98] [11/01/98] [11/01/98] [11/01/98] [11/01/98]
Dated Date: [11/01/98] [11/01/98] [11/01/98] [11/01/98] [11/01/98]
Int Pmt: [30/360] [30/360] [30/360] [30/360] [30/360]
Pmt Terms: [Monthly] [Monthly] [Monthly] [Monthly] [Monthly]
1st Int. Pmt Date: [12/28/98] [12/28/98] [12/28/98] [12/28/98] [12/28/98]
Collateral Type: Fixed-Rate Fixed-Rate Fixed-Rate Fixed-Rate Fixed-Rate
SMMEA
Eligibility: non-SMMEA non-SMMEA non-SMMEA non-SMMEA non-SMMEA
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
* Some classes may be subject to the Group I Available Funds Cap.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS,
AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS
SUPPLEMENT.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH
A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED
FINANCIAL ADVISOR IMMEDIATELY.
<PAGE>
SAXON ASSET SECURITIES TRUST 1998-4
Mortgage Loan Asset-Backed Certificates, Series 1998-4
GROUP I CERTIFICATES (Cont.)
--------------------------------
Group I
Available Funds Cap: A rate equal to the weighted average net coupon rate
(i.e., the weighted average coupon rate less [0.55%] for
servicing and trustee fees) for the Group I Loans for
such Payment Date.
Payment Date: The 25th day of each month or, if such day is not a
business day, the next succeeding business day,
beginning on [December 28], 1998.
Payment Delay: [24] days for the Group I Certificates.
Coupon Step-Up at 10%
Optional Termination
Date: If the Mortgage Loans are not purchased on the Optional
Termination Date the coupon on the Class AF-5 will
increase by [50] basis points.
Interest Accrual
Period: For the Group I Certificates, interest will accrue from
the 1st day of the preceding month until the 30th day of
the preceding month.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS,
AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS
SUPPLEMENT.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH
A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED
FINANCIAL ADVISOR IMMEDIATELY.
<PAGE>
<TABLE>
<CAPTION>
SAXON ASSET SECURITIES TRUST 1998-4
Mortgage Loan Asset-Backed Certificates, Series 1998-4
GROUP II CERTIFICATES
------------------------------------
<S> <C> <C> <C> <C>
Collateral: Adjustable-Rate First Lien Mortgage Loans
Size: [220,334,000]
Class*: AV-1 MV-1 MV-2 BV-1
----- ----- ------ ------
Approximate
Face Amount: $[181,224,000] $[17,076,000] $[13,771,000] $[8,263,000]
Price: [TBD ] [TBD ] [TBD ] [TBD ]
Yield: Variable Variable Variable Variable
Spread: [TBD] bps [TBD] bps [TBD] bps [TBD] bps
Index: 1 M LIBOR 1 M LIBOR 1 M LIBOR 1 M LIBOR
Avg. Life to Call: [1.976] yrs [4.838] yrs [4.634] yrs [4.546] yrs
Avg. Life to Maturity: [2.085] yrs [5.105] yrs [4.842] yrs [4.614] yrs
Exp. 1st Prin Payment: [12/28/1998] [06/25/2002] [02/25/2002] [01/25/2002]
Exp. Mat to Call: [06/25/2006] [06/25/2006] [06/25/2006] [06/25/2006]
Exp. Mat: [04/25/2013] [12/25/2010] [09/25/2009] [12/25/2007]
Expected Rating:(Moody's/Fitch) [Aaa/AAA] [Aa2/AA] [A2/A] [Baa2/BBB]
Pricing Speed: [30]% CPR [30]% CPR [30]% CPR [30]% CPR
Investor Settle Date: [12/08/98] [12/08/98] [12/08/98] [12/08/98]
Payment Delay: 0 days 0 days 0 days 0 days
Cut-off Date: [11/01/98] [11/01/98] [11/01/98] [11/01/98]
Stated Maturity [01/25/2030] [01/25/2030] [01/25/2030] [01/25/2030]
Dated Date: [12/08/1998] [12/08/1998] [12/08/1998] [12/08/1998]
Interest Payment Actual/360 Actual/360 Actual/360 Actual/360
Payment Terms: Monthly Monthly Monthly Monthly
1st Interest Payment Date: [12/28/98] [12/28/98] [12/28/98] [12/28/98]
Collateral Type: Adjustable-Rate Adjustable-Rate Adjustable-Rate Adjustable-Rate
SMMEA
Eligibility: [SMMEA-Eligible] [SMMEA-Eligible] [non-SMMEA] [non-SMMEA]
- -------------------------------------------------------------------------------------------
</TABLE>
* All Classes will be subject to the Group II Available Funds Cap.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL
TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES
INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
<PAGE>
SAXON ASSET SECURITIES TRUST 1998-4
Mortgage Loan Asset-Backed Certificates, Series 1998-4
GROUP II CERTIFICATES (Cont.)
-----------------------------------
Collateral: Adjustable-Rate, First Lien Mortgage Loans
Approximate Group Size: [$220,334,000]
Group II
Available Funds Cap: A rate equal to the weighted average net coupon rate
(i.e., the weighted average coupon rate less [0.55%] for
servicing and trustee fees) for the Group II Loans for
such Payment Date.
Coupon Step-Up at 10%
Optional Termination
Date: If the Mortgage Loans are not purchased on the Optional
Termination Date the coupon on the Class AV-1
Certificates shall be raised to LIBOR + 2x Spread; and
the Class MV-1, MV-2 and BV-1 Certificate shall be
raised to LIBOR + 1.5x Spread, subject to the Group II
Available Funds Cap.
Payment Date: The 25th day of each month or, if such day is not a
business day, the next succeeding business day,
beginning on [December 28], 1998.
Interest Accrual
Period: Interest will accrue from the 25th day of the preceding
month ([December 8, 1998], for the first accrual period)
until the 24th day of the current month (from Payment
Date to Payment Date).
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL
TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES
INCORPORATED FINANCIAL ADVISOR IMMEDIATELY
<PAGE>
Available Fund Schedule For ARM Group
= Gross WAC - Servicing 55 bps
(assume all floating rate bonds are paid on 30/360 basis)
DATE COUPON DATE COUPON
- --------------------------------
12/98 9.182 06/04 10.676
01/99 9.182 07/04 10.676
02/99 9.182 08/04 10.676
03/99 9.263 09/04 10.676
04/99 9.263 10/04 10.676
05/99 9.263 11/04 10.677
06/99 9.348
07/99 9.348 12/04 10.677
08/99 9.348 01/05 10.677
09/99 9.419 02/05 10.677
10/99 9.419 03/05 10.677
11/99 9.536 04/05 10.677
05/05 10.677
12/99 9.559 06/05 10.677
01/00 9.559 07/05 10.677
02/00 9.559 08/05 10.677
03/00 9.559 09/05 10.677
04/00 9.559 10/05 10.677
05/00 9.559 11/05 10.677
06/00 9.714
07/00 9.714 12/05 10.677
08/00 9.714 01/06 10.677
09/00 9.921 02/06 10.677
10/00 10.334 03/06 10.677
11/00 10.572 04/06 10.677
05/06 10.677
12/00 10.572 06/06 10.677
01/01 10.572
02/01 10.572
03/01 10.572
04/01 10.572
05/01 10.572
06/01 10.572
07/01 10.676
08/01 10.676
09/01 10.676
10/01 10.676
11/01 10.676
12/01 10.676
01/02 10.676
02/02 10.676
03/02 10.676
04/02 10.676
05/02 10.676
06/02 10.676
07/02 10.676
08/02 10.676
09/02 10.676
10/02 10.676
11/02 10.676
12/02 10.676
01/03 10.676
02/03 10.676
03/03 10.676
04/03 10.676
05/03 10.676
06/03 10.676
07/03 10.676
08/03 10.676
09/03 10.676
10/03 10.676
11/03 10.676
12/03 10.676
01/04 10.676
02/04 10.676
03/04 10.676
04/04 10.676
05/04 10.676
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL
TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES
INCORPORATED FINANCIAL ADVISOR IMMEDIATELY
<PAGE>
<TABLE>
<CAPTION>
<S> <C> <C>
FINANCIAL STRATEGIES GROUP PRUDENTIAL SECURITIES INCORPORATED
- -------------------------- ----------------------------------
CURRENT BALANCE: $110,000,000.00 DATED DATE: 11/01/98
COUPON: TBD FIRST PAYMENT: 12/25/98
FACTOR: 1.0000000000 TOTAL CLASSES: 13
ORIGINAL BALANCE: $110,000,000.00 BOND AF-1 BE-YIELD TABLE YIELD TABLE DATE: 12/08/98
PREPAYMENT SPEED
TO 10% CALL
</TABLE>
PRICING SPEED
FIXED: HEP% 24.0% 16.0% 20.0% 28.0% 32.0%
ARM : CPR% 30.0% 22.0% 26.0% 34.0% 38.0%
99-24 6.273 6.327 6.299 6.248 6.225
99-24+ 6.254 6.313 6.283 6.227 6.202
99-25 6.236 6.300 6.267 6.207 6.179
99-25+ 6.218 6.286 6.251 6.186 6.157
99-26 6.199 6.273 6.235 6.166 6.134
99-26+ 6.181 6.259 6.219 6.145 6.112
99-27 6.162 6.246 6.203 6.125 6.089
99-27+ 6.144 6.232 6.187 6.104 6.066
99-28 6.126 6.218 6.171 6.084 6.044
99-28+ 6.107 6.205 6.155 6.063 6.021
99-29 6.089 6.191 6.139 6.042 5.999
99-29+ 6.071 6.178 6.123 6.022 5.976
99-30 6.052 6.164 6.107 6.001 5.954
99-30+ 6.034 6.151 6.091 5.981 5.931
99-31 6.016 6.137 6.075 5.960 5.909
99-31+ 5.998 6.124 6.059 5.940 5.886
100-00 5.979 6.110 6.043 5.920 5.864
100-00+ 5.961 6.097 6.027 5.899 5.841
100-01 5.943 6.083 6.011 5.879 5.819
100-01+ 5.924 6.069 5.995 5.858 5.796
100-02 5.906 6.056 5.979 5.838 5.774
100-02+ 5.888 6.042 5.963 5.817 5.751
100-03 5.870 6.029 5.947 5.797 5.729
100-03+ 5.851 6.015 5.931 5.776 5.706
100-04 5.833 6.002 5.915 5.756 5.684
100-04+ 5.815 5.988 5.899 5.736 5.661
100-05 5.797 5.975 5.883 5.715 5.639
100-05+ 5.778 5.961 5.867 5.695 5.616
100-06 5.760 5.948 5.851 5.674 5.594
100-06+ 5.742 5.935 5.835 5.654 5.572
100-07 5.724 5.921 5.819 5.634 5.549
100-07+ 5.705 5.908 5.803 5.613 5.527
First Payment 0.047 0.047 0.047 0.047 0.047
Average Life 0.904 1.242 1.041 0.804 0.729
Last Payment 1.714 2.464 2.047 1.464 1.297
Mod.Dur. @ 100-00 0.848 1.148 0.971 0.758 0.690
Accrued Interest 0.657 0.657 0.657 0.657 0.657
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS COLLATERAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE COLLATERAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY
<PAGE>
<TABLE>
<CAPTION>
<S> <C> <C>
FINANCIAL STRATEGIES GROUP PRUDENTIAL SECURITIES INCORPORATED
- -------------------------- ----------------------------------
CURRENT BALANCE: $31,000,000.00 DATED DATE: 11/01/98
COUPON: TBD FIRST PAYMENT: 12/25/98
FACTOR: 1.0000000000 TOTAL CLASSES: 13
ORIGINAL BALANCE: $31,000,000.00 BOND AF-2 BE-YIELD TABLE YIELD TABLE DATE: 12/08/98
PREPAYMENT SPEED
TO 10% CALL
</TABLE>
PRICING SPEED
FIXED: HEP% 24.0% 16.0% 20.0% 28.0% 32.0%
ARM : CPR% 30.0% 22.0% 26.0% 34.0% 38.0%
99-24 6.152 6.178 6.165 6.139 6.126
99-24+ 6.144 6.172 6.158 6.130 6.115
99-25 6.135 6.166 6.151 6.120 6.104
99-25+ 6.127 6.160 6.143 6.110 6.094
99-26 6.118 6.154 6.136 6.100 6.083
99-26+ 6.110 6.148 6.129 6.091 6.072
99-27 6.101 6.142 6.122 6.081 6.061
99-27+ 6.093 6.136 6.114 6.071 6.050
99-28 6.084 6.131 6.107 6.061 6.039
99-28+ 6.076 6.125 6.100 6.052 6.028
99-29 6.067 6.119 6.093 6.042 6.017
99-29+ 6.059 6.113 6.085 6.032 6.006
99-30 6.050 6.107 6.078 6.023 5.995
99-30+ 6.042 6.101 6.071 6.013 5.984
99-31 6.033 6.095 6.064 6.003 5.973
99-31+ 6.025 6.089 6.057 5.994 5.962
100-00 6.016 6.083 6.049 5.984 5.951
100-00+ 6.008 6.077 6.042 5.974 5.940
100-01 6.000 6.071 6.035 5.964 5.929
100-01+ 5.991 6.065 6.028 5.955 5.918
100-02 5.983 6.059 6.021 5.945 5.907
100-02+ 5.974 6.053 6.013 5.935 5.897
100-03 5.966 6.047 6.006 5.926 5.886
100-03+ 5.957 6.041 5.999 5.916 5.875
100-04 5.949 6.035 5.992 5.906 5.864
100-04+ 5.940 6.030 5.985 5.897 5.853
100-05 5.932 6.024 5.977 5.887 5.842
100-05+ 5.924 6.018 5.970 5.877 5.831
100-06 5.915 6.012 5.963 5.868 5.820
100-06+ 5.907 6.006 5.956 5.858 5.809
100-07 5.898 6.000 5.949 5.848 5.798
100-07+ 5.890 5.994 5.941 5.839 5.787
First Payment 1.714 2.464 2.047 1.464 1.297
Average Life 2.010 2.944 2.384 1.738 1.532
Last Payment 2.297 3.464 2.714 1.964 1.714
Mod.Dur. @ 100-00 1.836 2.614 2.153 1.601 1.420
Accrued Interest 0.633 0.633 0.633 0.633 0.633
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS COLLATERAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE COLLATERAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY
<PAGE>
<TABLE>
<CAPTION>
<S> <C> <C>
FINANCIAL STRATEGIES GROUP PRUDENTIAL SECURITIES INCORPORATED
- -------------------------- ----------------------------------
CURRENT BALANCE: $50,000,000.00 DATED DATE: 11/01/98
COUPON: TBD FIRST PAYMENT: 12/25/98
FACTOR: 1.0000000000 TOTAL CLASSES: 13
ORIGINAL BALANCE: $50,000,000.00 BOND AF-3 BE-YIELD TABLE YIELD TABLE DATE: 12/08/98
PREPAYMENT SPEED
TO 10% CALL
</TABLE>
PRICING SPEED
FIXED: HEP% 24.0% 16.0% 20.0% 28.0% 32.0%
ARM : CPR% 30.0% 22.0% 26.0% 34.0% 38.0%
99-24 6.269 6.290 6.280 6.257 6.247
99-24+ 6.263 6.286 6.275 6.250 6.239
99-25 6.258 6.282 6.270 6.243 6.231
99-25+ 6.252 6.278 6.265 6.236 6.223
99-26 6.246 6.274 6.260 6.229 6.215
99-26+ 6.240 6.270 6.255 6.222 6.207
99-27 6.234 6.266 6.251 6.215 6.199
99-27+ 6.228 6.262 6.246 6.208 6.191
99-28 6.222 6.258 6.241 6.201 6.183
99-28+ 6.217 6.254 6.236 6.194 6.176
99-29 6.211 6.250 6.231 6.187 6.168
99-29+ 6.205 6.246 6.226 6.180 6.160
99-30 6.199 6.243 6.221 6.173 6.152
99-30+ 6.193 6.239 6.216 6.166 6.144
99-31 6.187 6.235 6.212 6.159 6.136
99-31+ 6.182 6.231 6.207 6.152 6.128
100-00 6.176 6.227 6.202 6.145 6.120
100-00+ 6.170 6.223 6.197 6.138 6.112
100-01 6.164 6.219 6.192 6.131 6.104
100-01+ 6.158 6.215 6.187 6.124 6.096
100-02 6.152 6.211 6.182 6.117 6.088
100-02+ 6.146 6.207 6.178 6.110 6.081
100-03 6.141 6.203 6.173 6.103 6.073
100-03+ 6.135 6.199 6.168 6.096 6.065
100-04 6.129 6.195 6.163 6.089 6.057
100-04+ 6.123 6.191 6.158 6.082 6.049
100-05 6.117 6.188 6.153 6.075 6.041
100-05+ 6.112 6.184 6.148 6.068 6.033
100-06 6.106 6.180 6.144 6.061 6.025
100-06+ 6.100 6.176 6.139 6.054 6.017
100-07 6.094 6.172 6.134 6.047 6.009
100-07+ 6.088 6.168 6.129 6.040 6.002
First Payment 2.297 3.464 2.714 1.964 1.714
Average Life 3.011 4.721 3.695 2.472 2.161
Last Payment 4.131 6.631 5.047 3.381 2.631
Mod.Dur. @ 100-00 2.658 3.951 3.193 2.222 1.961
Accrued Interest 0.642 0.642 0.642 0.642 0.642
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS COLLATERAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE COLLATERAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY
<PAGE>
<TABLE>
<CAPTION>
<S> <C> <C>
FINANCIAL STRATEGIES GROUP PRUDENTIAL SECURITIES INCORPORATED
- -------------------------- ----------------------------------
CURRENT BALANCE: $25,000,000.00 DATED DATE: 11/01/98
COUPON: TBD FIRST PAYMENT: 12/25/98
FACTOR: 1.0000000000 TOTAL CLASSES: 13
ORIGINAL BALANCE: $25,000,000.00 BOND AF-4 BE-YIELD TABLE YIELD TABLE DATE: 12/08/98
PREPAYMENT SPEED
TO 10% CALL
</TABLE>
PRICING SPEED
FIXED: HEP% 24.0% 16.0% 20.0% 28.0% 32.0%
ARM : CPR% 30.0% 22.0% 26.0% 34.0% 38.0%
99-24 6.514 6.531 6.523 6.506 6.492
99-24+ 6.510 6.528 6.520 6.501 6.486
99-25 6.507 6.526 6.517 6.497 6.480
99-25+ 6.503 6.524 6.514 6.492 6.475
99-26 6.499 6.521 6.511 6.488 6.469
99-26+ 6.495 6.519 6.508 6.483 6.463
99-27 6.492 6.517 6.505 6.479 6.458
99-27+ 6.488 6.514 6.502 6.474 6.452
99-28 6.484 6.512 6.499 6.470 6.446
99-28+ 6.480 6.509 6.496 6.465 6.441
99-29 6.477 6.507 6.493 6.461 6.435
99-29+ 6.473 6.505 6.490 6.456 6.429
99-30 6.469 6.502 6.487 6.452 6.424
99-30+ 6.465 6.500 6.484 6.447 6.418
99-31 6.462 6.498 6.481 6.443 6.412
99-31+ 6.458 6.495 6.478 6.439 6.407
100-00 6.454 6.493 6.475 6.434 6.401
100-00+ 6.450 6.491 6.472 6.430 6.395
100-01 6.447 6.488 6.469 6.425 6.390
100-01+ 6.443 6.486 6.466 6.421 6.384
100-02 6.439 6.484 6.463 6.416 6.378
100-02+ 6.435 6.481 6.460 6.412 6.373
100-03 6.432 6.479 6.457 6.407 6.367
100-03+ 6.428 6.477 6.454 6.403 6.361
100-04 6.424 6.474 6.451 6.398 6.356
100-04+ 6.420 6.472 6.448 6.394 6.350
100-05 6.417 6.470 6.445 6.389 6.345
100-05+ 6.413 6.467 6.442 6.385 6.339
100-06 6.409 6.465 6.439 6.380 6.333
100-06+ 6.405 6.463 6.436 6.376 6.328
100-07 6.402 6.460 6.433 6.372 6.322
100-07+ 6.398 6.458 6.430 6.367 6.316
First Payment 4.131 6.631 5.047 3.381 2.631
Average Life 5.010 9.110 6.598 4.081 3.131
Last Payment 6.297 11.047 8.964 4.964 4.047
Mod.Dur. @ 100-00 4.142 6.645 5.182 3.474 2.743
Accrued Interest 0.665 0.665 0.665 0.665 0.665
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS COLLATERAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE COLLATERAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY
<PAGE>
<TABLE>
<CAPTION>
<S> <C> <C>
FINANCIAL STRATEGIES GROUP PRUDENTIAL SECURITIES INCORPORATED
- -------------------------- ----------------------------------
CURRENT BALANCE: $22,391,000.00 DATED DATE: 11/01/98
COUPON: TBD FIRST PAYMENT: 12/25/98
FACTOR: 1.0000000000 TOTAL CLASSES: 13
ORIGINAL BALANCE: $22,391,000.00 BOND AF-5 BE-YIELD TABLE YIELD TABLE DATE: 12/08/98
PREPAYMENT SPEED
TO 10% CALL
</TABLE>
PRICING SPEED
FIXED: HEP% 24.0% 16.0% 20.0% 28.0% 32.0%
ARM : CPR% 30.0% 22.0% 26.0% 34.0% 38.0%
99-24 6.968 6.977 6.973 6.961 6.954
99-24+ 6.965 6.975 6.970 6.958 6.950
99-25 6.962 6.973 6.968 6.954 6.946
99-25+ 6.959 6.971 6.965 6.951 6.942
99-26 6.956 6.969 6.963 6.948 6.939
99-26+ 6.954 6.967 6.961 6.945 6.935
99-27 6.951 6.965 6.958 6.941 6.931
99-27+ 6.948 6.962 6.956 6.938 6.927
99-28 6.945 6.960 6.953 6.935 6.923
99-28+ 6.942 6.958 6.951 6.932 6.920
99-29 6.940 6.956 6.949 6.928 6.916
99-29+ 6.937 6.954 6.946 6.925 6.912
99-30 6.934 6.952 6.944 6.922 6.908
99-30+ 6.931 6.950 6.941 6.919 6.905
99-31 6.929 6.948 6.939 6.915 6.901
99-31+ 6.926 6.946 6.937 6.912 6.897
100-00 6.923 6.944 6.934 6.909 6.893
100-00+ 6.920 6.942 6.932 6.906 6.889
100-01 6.918 6.940 6.929 6.902 6.886
100-01+ 6.915 6.938 6.927 6.899 6.882
100-02 6.912 6.936 6.925 6.896 6.878
100-02+ 6.909 6.933 6.922 6.893 6.874
100-03 6.906 6.931 6.920 6.889 6.870
100-03+ 6.904 6.929 6.917 6.886 6.867
100-04 6.901 6.927 6.915 6.883 6.863
100-04+ 6.898 6.925 6.913 6.880 6.859
100-05 6.895 6.923 6.910 6.876 6.855
100-05+ 6.893 6.921 6.908 6.873 6.852
100-06 6.890 6.919 6.905 6.870 6.848
100-06+ 6.887 6.917 6.903 6.867 6.844
100-07 6.884 6.915 6.901 6.863 6.840
100-07+ 6.882 6.913 6.898 6.860 6.836
First Payment 6.297 11.047 8.964 4.964 4.047
Average Life 7.374 11.047 8.964 6.023 5.018
Last Payment 7.547 11.047 8.964 6.381 5.547
Mod.Dur. @ 100-00 5.593 7.488 6.473 4.766 4.099
Accrued Interest 0.710 0.710 0.710 0.710 0.710
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS COLLATERAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE COLLATERAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY
<PAGE>
<TABLE>
<CAPTION>
<S> <C> <C>
FINANCIAL STRATEGIES GROUP PRUDENTIAL SECURITIES INCORPORATED
- -------------------------- ----------------------------------
CURRENT BALANCE: $26,487,000.00 DATED DATE: 11/01/98
COUPON: TBD FIRST PAYMENT: 12/25/98
FACTOR: 1.0000000000 TOTAL CLASSES: 13
ORIGINAL BALANCE: $26,487,000.00 BOND AF-6 BE-YIELD TABLE YIELD TABLE DATE: 12/08/98
PREPAYMENT SPEED
TO 10% CALL
</TABLE>
PRICING SPEED
FIXED: HEP% 24.0% 16.0% 20.0% 28.0% 32.0%
ARM : CPR% 30.0% 22.0% 26.0% 34.0% 38.0%
99-24 6.425 6.428 6.427 6.422 6.420
99-24+ 6.422 6.425 6.424 6.419 6.416
99-25 6.419 6.422 6.421 6.416 6.412
99-25+ 6.416 6.420 6.418 6.412 6.409
99-26 6.412 6.417 6.415 6.409 6.405
99-26+ 6.409 6.414 6.412 6.406 6.402
99-27 6.406 6.411 6.409 6.402 6.398
99-27+ 6.403 6.408 6.406 6.399 6.394
99-28 6.400 6.405 6.403 6.396 6.391
99-28+ 6.397 6.403 6.400 6.392 6.387
99-29 6.394 6.400 6.397 6.389 6.384
99-29+ 6.391 6.397 6.394 6.385 6.380
99-30 6.387 6.394 6.391 6.382 6.376
99-30+ 6.384 6.391 6.388 6.379 6.373
99-31 6.381 6.388 6.385 6.375 6.369
99-31+ 6.378 6.385 6.382 6.372 6.366
100-00 6.375 6.383 6.379 6.369 6.362
100-00+ 6.372 6.380 6.376 6.365 6.358
100-01 6.369 6.377 6.373 6.362 6.355
100-01+ 6.366 6.374 6.370 6.359 6.351
100-02 6.362 6.371 6.367 6.355 6.348
100-02+ 6.359 6.368 6.364 6.352 6.344
100-03 6.356 6.366 6.361 6.349 6.340
100-03+ 6.353 6.363 6.358 6.345 6.337
100-04 6.350 6.360 6.355 6.342 6.333
100-04+ 6.347 6.357 6.352 6.338 6.330
100-05 6.344 6.354 6.349 6.335 6.326
100-05+ 6.341 6.351 6.346 6.332 6.322
100-06 6.337 6.348 6.343 6.328 6.319
100-06+ 6.334 6.346 6.340 6.325 6.315
100-07 6.331 6.343 6.337 6.322 6.312
100-07+ 6.328 6.340 6.334 6.318 6.308
First Payment 3.131 3.047 3.047 3.381 3.631
Average Life 6.252 7.097 6.649 5.706 5.230
Last Payment 7.547 11.047 8.964 6.381 5.547
Mod.Dur. @ 100-00 4.965 5.456 5.199 4.624 4.309
Accrued Interest 0.655 0.655 0.655 0.655 0.655
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS COLLATERAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE COLLATERAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY
<PAGE>
<TABLE>
<CAPTION>
<S> <C> <C>
FINANCIAL STRATEGIES GROUP PRUDENTIAL SECURITIES INCORPORATED
- -------------------------- ----------------------------------
CURRENT BALANCE: $17,507,000.00 DATED DATE: 11/01/98
COUPON: TBD FIRST PAYMENT: 12/25/98
FACTOR: 1.0000000000 TOTAL CLASSES: 13
ORIGINAL BALANCE: $17,507,000.00 BOND MF-1 BE-YIELD TABLE YIELD ABLE DATE: 12/08/98
PREPAYMENT SPEED
TO 10% CALL
</TABLE>
PRICING SPEED
FIXED: HEP% 24.0% 16.0% 20.0% 28.0% 32.0%
ARM : CPR% 30.0% 22.0% 26.0% 34.0% 38.0%
99-24 7.022 7.035 7.028 7.016 7.012
99-24+ 7.018 7.032 7.025 7.012 7.007
99-25 7.014 7.029 7.022 7.008 7.003
99-25+ 7.011 7.027 7.019 7.004 6.998
99-26 7.007 7.024 7.015 6.999 6.994
99-26+ 7.003 7.021 7.012 6.995 6.990
99-27 7.000 7.019 7.009 6.991 6.985
99-27+ 6.996 7.016 7.006 6.987 6.981
99-28 6.992 7.013 7.003 6.983 6.976
99-28+ 6.989 7.010 7.000 6.979 6.972
99-29 6.985 7.008 6.996 6.975 6.968
99-29+ 6.981 7.005 6.993 6.971 6.963
99-30 6.978 7.002 6.990 6.967 6.959
99-30+ 6.974 7.000 6.987 6.963 6.955
99-31 6.971 6.997 6.984 6.959 6.950
99-31+ 6.967 6.994 6.981 6.955 6.946
100-00 6.963 6.992 6.977 6.951 6.941
100-00+ 6.960 6.989 6.974 6.947 6.937
100-01 6.956 6.986 6.971 6.943 6.933
100-01+ 6.952 6.984 6.968 6.938 6.928
100-02 6.949 6.981 6.965 6.934 6.924
100-02+ 6.945 6.978 6.962 6.930 6.920
100-03 6.941 6.975 6.958 6.926 6.915
100-03+ 6.938 6.973 6.955 6.922 6.911
100-04 6.934 6.970 6.952 6.918 6.906
100-04+ 6.931 6.967 6.949 6.914 6.902
100-05 6.927 6.965 6.946 6.910 6.898
100-05+ 6.923 6.962 6.943 6.906 6.893
100-06 6.920 6.959 6.939 6.902 6.889
100-06+ 6.916 6.957 6.936 6.898 6.885
100-07 6.912 6.954 6.933 6.894 6.880
100-07+ 6.909 6.951 6.930 6.890 6.876
First Payment 3.047 4.047 3.214 3.214 3.297
Average Life 5.353 7.898 6.380 4.667 4.260
Last Payment 7.547 11.047 8.964 6.381 5.547
Mod.Dur. @ 100-00 4.260 5.761 4.897 3.817 3.547
Accrued Interest 0.716 0.716 0.716 0.716 0.716
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS COLLATERAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE COLLATERAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY
<PAGE>
<TABLE>
<CAPTION>
<S> <C> <C>
FINANCIAL STRATEGIES GROUP PRUDENTIAL SECURITIES INCORPORATED
- -------------------------- ----------------------------------
CURRENT BALANCE: $14,462,000.00 DATED DATE: 11/01/98
COUPON: TBD FIRST PAYMENT: 12/25/98
FACTOR: 1.0000000000 TOTAL CLASSES: 13
ORIGINAL BALANCE: $14,462,000.00 BOND MF-2 BE-YIELD TABLE YIELD TABLE DATE: 12/08/98
PREPAYMENT SPEED
TO 10% CALL
</TABLE>
PRICING SPEED
FIXED: HEP% 24.0% 16.0% 20.0% 28.0% 32.0%
ARM : CPR% 30.0% 22.0% 26.0% 34.0% 38.0%
99-24 7.523 7.538 7.531 7.516 7.510
99-24+ 7.519 7.535 7.527 7.512 7.506
99-25 7.516 7.533 7.524 7.508 7.501
99-25+ 7.512 7.530 7.521 7.503 7.496
99-26 7.508 7.527 7.518 7.499 7.492
99-26+ 7.504 7.524 7.514 7.495 7.487
99-27 7.501 7.522 7.511 7.491 7.483
99-27+ 7.497 7.519 7.508 7.487 7.478
99-28 7.493 7.516 7.505 7.483 7.474
99-28+ 7.490 7.513 7.502 7.478 7.469
99-29 7.486 7.511 7.498 7.474 7.465
99-29+ 7.482 7.508 7.495 7.470 7.460
99-30 7.478 7.505 7.492 7.466 7.456
99-30+ 7.475 7.502 7.489 7.462 7.451
99-31 7.471 7.500 7.485 7.458 7.447
99-31+ 7.467 7.497 7.482 7.454 7.442
100-00 7.464 7.494 7.479 7.449 7.438
100-00+ 7.460 7.491 7.476 7.445 7.433
100-01 7.456 7.489 7.473 7.441 7.429
100-01+ 7.453 7.486 7.469 7.437 7.424
100-02 7.449 7.483 7.466 7.433 7.420
100-02+ 7.445 7.480 7.463 7.429 7.415
100-03 7.441 7.478 7.460 7.425 7.411
100-03+ 7.438 7.475 7.456 7.420 7.406
100-04 7.434 7.472 7.453 7.416 7.402
100-04+ 7.430 7.469 7.450 7.412 7.397
100-05 7.427 7.467 7.447 7.408 7.393
100-05+ 7.423 7.464 7.444 7.404 7.388
100-06 7.419 7.461 7.440 7.400 7.384
100-06+ 7.416 7.458 7.437 7.396 7.379
100-07 7.412 7.456 7.434 7.391 7.375
100-07+ 7.408 7.453 7.431 7.387 7.370
First Payment 3.047 4.047 3.214 3.131 3.131
Average Life 5.346 7.898 6.380 4.634 4.171
Last Payment 7.547 11.047 8.964 6.381 5.547
Mod.Dur. @ 100-00 4.189 5.642 4.811 3.740 3.436
Accrued Interest 0.767 0.767 0.767 0.767 0.767
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS COLLATERAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE COLLATERAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY
<PAGE>
<TABLE>
<CAPTION>
<S> <C> <C>
FINANCIAL STRATEGIES GROUP PRUDENTIAL SECURITIES INCORPORATED
- -------------------------- ----------------------------------
CURRENT BALANCE: $7,612,000.00 DATED DATE: 11/01/98
COUPON: TBD FIRST PAYMENT: 12/25/98
FACTOR: 1.0000000000 TOTAL CLASSES: 13
ORIGINAL BALANCE: $7,612,000.00 BOND BF-1 BE-YIELD TABLE YIELD TABLE DATE: 12/08/98
PREPAYMENT SPEED
TO 10% CALL
</TABLE>
PRICING SPEED
FIXED: HEP% 24.0% 16.0% 20.0% 28.0% 32.0%
ARM : CPR% 30.0% 22.0% 26.0% 34.0% 38.0%
99-24 9.027 9.048 9.038 9.017 9.008
99-24+ 9.023 9.045 9.034 9.012 9.003
99-25 9.019 9.042 9.031 9.008 8.999
99-25+ 9.015 9.039 9.027 9.004 8.994
99-26 9.011 9.036 9.024 8.999 8.989
99-26+ 9.008 9.034 9.021 8.995 8.984
99-27 9.004 9.031 9.017 8.991 8.980
99-27+ 9.000 9.028 9.014 8.986 8.975
99-28 8.996 9.025 9.010 8.982 8.970
99-28+ 8.992 9.022 9.007 8.978 8.965
99-29 8.988 9.019 9.004 8.973 8.961
99-29+ 8.984 9.016 9.000 8.969 8.956
99-30 8.980 9.013 8.997 8.965 8.951
99-30+ 8.977 9.010 8.993 8.960 8.947
99-31 8.973 9.007 8.990 8.956 8.942
99-31+ 8.969 9.004 8.987 8.952 8.937
100-00 8.965 9.001 8.983 8.947 8.932
100-00+ 8.961 8.998 8.980 8.943 8.928
100-01 8.957 8.996 8.976 8.939 8.923
100-01+ 8.953 8.993 8.973 8.934 8.918
100-02 8.949 8.990 8.970 8.930 8.914
100-02+ 8.946 8.987 8.966 8.926 8.909
100-03 8.942 8.984 8.963 8.921 8.904
100-03+ 8.938 8.981 8.960 8.917 8.899
100-04 8.934 8.978 8.956 8.913 8.895
100-04+ 8.930 8.975 8.953 8.908 8.890
100-05 8.926 8.972 8.949 8.904 8.885
100-05+ 8.922 8.969 8.946 8.900 8.881
100-06 8.919 8.966 8.943 8.895 8.876
100-06+ 8.915 8.964 8.939 8.891 8.871
100-07 8.911 8.961 8.936 8.887 8.866
100-07+ 8.907 8.958 8.933 8.882 8.862
First Payment 3.047 4.047 3.214 3.047 3.047
Average Life 5.346 7.898 6.380 4.612 4.131
Last Payment 7.547 11.047 8.964 6.381 5.547
Mod.Dur. @ 100-00 4.003 5.307 4.566 3.576 3.282
Accrued Interest 0.919 0.919 0.919 0.919 0.919
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS COLLATERAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE COLLATERAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY
<PAGE>
<TABLE>
<CAPTION>
<S> <C> <C>
FINANCIAL STRATEGIES GROUP PRUDENTIAL SECURITIES INCORPORATED
- -------------------------- ----------------------------------
CURRENT BALANCE: $181,224,000.00 DATED DATE: 12/08/98
CURRENT COUPON: TBD FIRST PAYMENT: 12/25/98
FACTOR: 1.0000000000 TOTAL CLASSES: 13
ORIGINAL BALANCE: $181,224,000.00 BOND AV-1 DISCOUNT MARGIN ACT/360 TABLE YIELD TABLE DATE: 12/08/98
ASSUMED CONSTANT LIBOR-1M 5.0610
TO 10% CALL
</TABLE>
PRICING SPEED
FIXED: HEP% 24.0% 16.0% 20.0% 28.0% 32.0%
ARM : CPR% 30.0% 22.0% 26.0% 34.0% 38.0%
99-24 63.966 59.838 61.727 66.821 70.736
99-24+ 63.091 59.222 60.992 65.768 69.438
99-25 62.216 58.605 60.258 64.714 68.139
99-25+ 61.341 57.989 59.524 63.661 66.841
99-26 60.467 57.374 58.790 62.608 65.543
99-26+ 59.593 56.758 58.056 61.555 64.246
99-27 58.720 56.143 57.322 60.503 62.949
99-27+ 57.847 55.528 56.589 59.451 61.652
99-28 56.974 54.913 55.856 58.400 60.356
99-28+ 56.101 54.298 55.123 57.349 59.060
99-29 55.228 53.683 54.391 56.298 57.765
99-29+ 54.356 53.069 53.658 55.247 56.470
99-30 53.485 52.455 52.926 54.197 55.175
99-30+ 52.613 51.841 52.194 53.147 53.881
99-31 51.742 51.227 51.463 52.098 52.587
99-31+ 50.871 50.613 50.731 51.049 51.293
100-00 50.000 50.000 50.000 50.000 50.000
100-00+ 49.130 49.387 49.269 48.952 48.707
100-01 48.259 48.774 48.538 47.903 47.415
100-01+ 47.390 48.161 47.808 46.856 46.123
100-02 46.520 47.549 47.078 45.808 44.831
100-02+ 45.651 46.936 46.348 44.761 43.540
100-03 44.782 46.324 45.618 43.714 42.249
100-03+ 43.913 45.712 44.889 42.668 40.958
100-04 43.045 45.100 44.159 41.622 39.668
100-04+ 42.177 44.489 43.430 40.576 38.378
100-05 41.309 43.877 42.702 39.531 37.089
100-05+ 40.441 43.266 41.973 38.486 35.799
100-06 39.574 42.655 41.245 37.441 34.511
100-06+ 38.707 42.044 40.517 36.396 33.222
100-07 37.840 41.434 39.789 35.352 31.934
100-07+ 36.974 40.823 39.061 34.309 30.647
First Payment 0.047 0.047 0.047 0.047 0.047
Average Life 1.976 2.942 2.403 1.606 1.271
Last Payment 7.547 11.047 8.964 6.381 5.547
Mod.Dur. @ 100-00 1.729 2.454 2.059 1.435 1.164
Accrued Interest 0.000 0.000 0.000 0.000 0.000
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS COLLATERAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE COLLATERAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY
<PAGE>
<TABLE>
<CAPTION>
<S> <C> <C>
FINANCIAL STRATEGIES GROUP PRUDENTIAL SECURITIES INCORPORATED
- -------------------------- ----------------------------------
CURRENT BALANCE: $17,076,000.00 DATED DATE: 12/08/98
CURRENT COUPON: TBD FIRST PAYMENT: 12/25/98
FACTOR: 1.0000000000 TOTAL CLASSES: 13
ORIGINAL BALANCE: $17,076,000.00 BOND MV-1 DISCOUNT MARGIN ACT/360 TABLE YIELD TABLE DATE: 12/08/98
ASSUMED CONSTANT LIBOR-1M 5.0610
TO 10% CALL
</TABLE>
PRICING SPEED
FIXED: HEP% 24.0% 16.0% 20.0% 28.0% 32.0%
ARM : CPR% 30.0% 22.0% 26.0% 34.0% 38.0%
99-24 85.943 84.908 85.547 86.041 85.757
99-24+ 85.571 84.601 85.199 85.663 85.396
99-25 85.199 84.293 84.852 85.285 85.036
99-25+ 84.828 83.986 84.505 84.907 84.676
99-26 84.456 83.679 84.158 84.529 84.316
99-26+ 84.084 83.372 83.811 84.152 83.956
99-27 83.712 83.066 83.465 83.774 83.596
99-27+ 83.341 82.759 83.118 83.396 83.236
99-28 82.969 82.452 82.771 83.019 82.876
99-28+ 82.598 82.145 82.425 82.641 82.516
99-29 82.227 81.839 82.078 82.263 82.157
99-29+ 81.855 81.532 81.731 81.886 81.797
99-30 81.484 81.225 81.385 81.509 81.438
99-30+ 81.113 80.919 81.039 81.131 81.078
99-31 80.742 80.613 80.692 80.754 80.719
99-31+ 80.371 80.306 80.346 80.377 80.359
100-00 80.000 80.000 80.000 80.000 80.000
100-00+ 79.629 79.694 79.654 79.623 79.641
100-01 79.258 79.388 79.308 79.246 79.282
100-01+ 78.888 79.082 78.962 78.869 78.922
100-02 78.517 78.776 78.616 78.492 78.563
100-02+ 78.146 78.470 78.270 78.116 78.204
100-03 77.776 78.164 77.924 77.739 77.845
100-03+ 77.405 77.858 77.579 77.362 77.487
100-04 77.035 77.552 77.233 76.986 77.128
100-04+ 76.665 77.246 76.888 76.609 76.769
100-05 76.294 76.941 76.542 76.233 76.410
100-05+ 75.924 76.635 76.197 75.857 76.052
100-06 75.554 76.330 75.851 75.480 75.693
100-06+ 75.184 76.024 75.506 75.104 75.335
100-07 74.814 75.719 75.161 74.728 74.976
100-07+ 74.444 75.413 74.816 74.352 74.618
First Payment 3.547 3.131 3.297 3.714 4.047
Average Life 4.838 6.194 5.297 4.712 4.969
Last Payment 7.547 11.047 8.964 6.381 5.547
Mod.Dur. @ 100-00 4.052 4.907 4.342 3.986 4.183
Accrued Interest 0.000 0.000 0.000 0.000 0.000
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS COLLATERAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE COLLATERAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY
<PAGE>
<TABLE>
<CAPTION>
<S> <C> <C>
FINANCIAL STRATEGIES GROUP PRUDENTIAL SECURITIES INCORPORATED
- -------------------------- ----------------------------------
CURRENT BALANCE: $13,771,000.00 DATED DATE: 12/08/98
CURRENT COUPON: TBD FIRST PAYMENT: 12/25/98
FACTOR: 1.0000000000 TOTAL CLASSES: 13
ORIGINAL BALANCE: $13,771,000.00 BOND MV-2 DISCOUNT MARGIN ACT/360 TABLE YIELD TABLE DATE: 12/08/98
ASSUMED CONSTANT LIBOR-1M 5.0610
O 10% CALL
</TABLE>
PRICING SPEED
FIXED: HEP% 24.0% 16.0% 20.0% 28.0% 32.0%
ARM : CPR% 30.0% 22.0% 26.0% 34.0% 38.0%
99-24 126.249 124.981 125.683 126.663 126.861
99-24+ 125.858 124.669 125.327 126.246 126.432
99-25 125.467 124.357 124.971 125.829 126.002
99-25+ 125.076 124.046 124.616 125.412 125.573
99-26 124.685 123.734 124.260 124.995 125.144
99-26+ 124.294 123.422 123.905 124.578 124.715
99-27 123.903 123.111 123.549 124.162 124.286
99-27+ 123.513 122.800 123.194 123.745 123.857
99-28 123.122 122.488 122.839 123.329 123.428
99-28+ 122.732 122.177 122.484 122.913 122.999
99-29 122.341 121.866 122.129 122.496 122.571
99-29+ 121.951 121.555 121.774 122.080 122.142
99-30 121.560 121.244 121.419 121.664 121.713
99-30+ 121.170 120.933 121.064 121.248 121.285
99-31 120.780 120.622 120.709 120.832 120.857
99-31+ 120.390 120.311 120.355 120.416 120.428
100-00 120.000 120.000 120.000 120.000 120.000
100-00+ 119.610 119.689 119.645 119.584 119.572
100-01 119.220 119.379 119.291 119.169 119.144
100-01+ 118.830 119.068 118.937 118.753 118.716
100-02 118.441 118.757 118.582 118.337 118.288
100-02+ 118.051 118.447 118.228 117.922 117.860
100-03 117.662 118.137 117.874 117.507 117.432
100-03+ 117.272 117.826 117.520 117.091 117.004
100-04 116.883 117.516 117.166 116.676 116.577
100-04+ 116.493 117.206 116.812 116.261 116.149
100-05 116.104 116.895 116.458 115.846 115.722
100-05+ 115.715 116.585 116.104 115.431 115.294
100-06 115.326 116.275 115.750 115.016 114.867
100-06+ 114.937 115.965 115.396 114.601 114.440
100-07 114.548 115.655 115.043 114.186 114.012
100-07+ 114.159 115.346 114.689 113.771 113.585
First Payment 3.214 3.047 3.131 3.297 3.381
Average Life 4.634 6.186 5.226 4.272 4.111
Last Payment 7.547 11.047 8.964 6.381 5.547
Mod.Dur. @ 100-00 3.848 4.827 4.230 3.609 3.504
Accrued Interest 0.000 0.000 0.000 0.000 0.000
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS COLLATERAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE COLLATERAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY
<PAGE>
<TABLE>
<CAPTION>
<S> <C> <C>
FINANCIAL STRATEGIES GROUP PRUDENTIAL SECURITIES INCORPORATED
- -------------------------- ----------------------------------
CURRENT BALANCE: $8,263,000.00 DATED DATE: 12/08/98
CURRENT COUPON: TBD FIRST PAYMENT: 12/25/98
FACTOR: 1.0000000000 TOTAL CLASSES: 13
ORIGINAL BALANCE: $8,263,000.00 BOND BV-1 DISCOUNT MARGIN ACT/360 TABLE YIELD TABLE DATE: 12/08/98
ASSUMED CONSTANT LIBOR-1M 5.0610
TO 10% CALL
</TABLE>
PRICING SPEED
FIXED: HEP% 24.0% 16.0% 20.0% 28.0% 32.0%
ARM : CPR% 30.0% 22.0% 26.0% 34.0% 38.0%
99-24 281.600 280.256 280.976 282.132 282.524
99-24+ 281.187 279.927 280.602 281.686 282.053
99-25 280.774 279.598 280.228 281.239 281.582
99-25+ 280.361 279.269 279.854 280.793 281.111
99-26 279.948 278.940 279.480 280.347 280.641
99-26+ 279.535 278.611 279.107 279.901 280.170
99-27 279.123 278.283 278.733 279.455 279.700
99-27+ 278.710 277.954 278.359 279.009 279.229
99-28 278.297 277.626 277.986 278.563 278.759
99-28+ 277.885 277.297 277.612 278.118 278.289
99-29 277.473 276.969 277.239 277.672 277.819
99-29+ 277.060 276.641 276.865 277.226 277.349
99-30 276.648 276.312 276.492 276.781 276.879
99-30+ 276.236 275.984 276.119 276.336 276.409
99-31 275.824 275.656 275.746 275.890 275.939
99-31+ 275.412 275.328 275.373 275.445 275.470
100-00 275.000 275.000 275.000 275.000 275.000
100-00+ 274.588 274.672 274.627 274.555 274.531
100-01 274.176 274.344 274.254 274.110 274.061
100-01+ 273.765 274.017 273.882 273.665 273.592
100-02 273.353 273.689 273.509 273.220 273.123
100-02+ 272.942 273.361 273.136 272.776 272.653
100-03 272.530 273.034 272.764 272.331 272.184
100-03+ 272.119 272.706 272.392 271.887 271.715
100-04 271.708 272.379 272.019 271.442 271.246
100-04+ 271.297 272.051 271.647 270.998 270.778
100-05 270.885 271.724 271.275 270.553 270.309
100-05+ 270.474 271.397 270.903 270.109 269.840
100-06 270.064 271.070 270.531 269.665 269.372
100-06+ 269.653 270.743 270.159 269.221 268.903
100-07 269.242 270.416 269.787 268.777 268.435
100-07+ 268.831 270.089 269.415 268.333 267.967
First Payment 3.131 3.047 3.047 3.131 3.131
Average Life 4.546 6.156 5.181 4.111 3.839
Last Payment 7.547 11.047 8.964 6.381 5.547
Mod.Dur. @ 100-00 3.618 4.545 3.997 3.348 3.174
Accrued Interest 0.000 0.000 0.000 0.000 0.000
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS COLLATERAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE COLLATERAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY
<PAGE>
- --------------------------------------------------------------------------------
- SASTA 1998-4
- Cut Off Date of Tape is 11/1/98
- Fixed
- $304,459,818.85 (Scheduled Balance)
- Mortgage Summary Report
- --------------------------------------------------------------------------------
Number of Mortgage Loans: 3,301
Lien Status: 1st and 2nd Lien Loans
Aggregate Unpaid Principal Balance: $304,459,818.85
Aggregate Original Principal Balance: $304,820,881.48
Weighted Average Gross Coupon: 9.624%
Gross Coupon Range: 6.000% - 16.500%
- --------------------------------------------------------------------------------
Average Unpaid Principal Balance: $92,232.60
Average Original Principal Balance: $92,341.98
Maximum Unpaid Principal Balance: $710,640.95
Minimum Unpaid Principal Balance: $9,819.71
Maximum Original Principal Balance: $711,000.00
Minimum Original Principal Balance: $9,940.00
Weighted Avg. Stated Rem. Term: 271.735 (1)
Stated Rem Term Range: 58.000 - 360.000
Weighted Average Age (First Pay thru Schd Date): 1.486
Age Range: 0.000 - 17.000
Weighted Average Original Term: 273.221
Original Term Range: 60.000 - 360.000
Weighted Average Original LTV: 77.168
Original LTV Range: 2.060% - 96.340%
Weighted Average Combined LTV: 78.962
Combined LTV Range: 2.060% - 125.000% (4)
Weighted Average Debt to Income Ratio: 36.002 (2)
Debt to Income Ratio Range: 0.333% - 146.236%
Weighted Average Borrower FICO: 614.937 (3)
Borrower FICO Range: 181.000% - 822.000%
- --------------------------------------------------------------------------------
(1) Scheduled balance date to maturity/balloon date
(2) Excludes 276 loans with missing DTI ratios
(3) Excludes 402 loans with missing FICO scores
(4) One loan with CLTV > 100% will be removed from final pool
THIS COLLATERAL TERMSHEET SUPERSEDES ANY PREVIOUS COLLATERAL TERMSHEETS,
AND WILL BE SUPERSEDED BY THE COLLATERAL INFORMATION IN THE PROSPECTUS
SUPPLEMENT.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH
A DISCLAIMER PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED
FINANCIAL ADVISOR IMMEDIATELY
<PAGE>
GROSS MORTGAGE INTEREST RATE RANGE
Percentage of
Aggregate Cut-Off Date
Gross Mortgage Number of Unpaid Aggregate
Interest Rate Mortgage Principal Principal
Range Loans Balance Balance
5.50% < Gross Coupon <= 6.00% 1 169,830.76 0.06
6.50% < Gross Coupon <= 7.00% 8 825,777.91 0.27
7.00% < Gross Coupon <= 7.50% 40 4,970,111.53 1.63
7.50% < Gross Coupon <= 7.75% 54 7,237,045.66 2.38
7.75% < Gross Coupon <= 8.00% 100 11,512,471.90 3.78
8.00% < Gross Coupon <= 8.25% 129 14,114,834.31 4.64
8.25% < Gross Coupon <= 8.50% 232 27,907,263.47 9.17
8.50% < Gross Coupon <= 8.75% 240 26,707,645.98 8.77
8.75% < Gross Coupon <= 9.00% 282 30,512,257.32 10.02
9.00% < Gross Coupon <= 9.25% 178 18,062,851.29 5.93
9.25% < Gross Coupon <= 9.50% 222 20,937,053.44 6.88
9.50% < Gross Coupon <= 9.75% 251 23,838,811.93 7.83
9.75% < Gross Coupon <= 10.00% 243 20,428,586.27 6.71
10.00% < Gross Coupon <= 10.25% 142 12,781,339.26 4.20
10.25% < Gross Coupon <= 10.50% 224 17,327,743.54 5.69
10.50% < Gross Coupon <= 10.75% 163 13,221,248.32 4.34
10.75% < Gross Coupon <= 11.00% 192 15,735,950.35 5.17
11.00% < Gross Coupon <= 11.25% 88 6,208,533.46 2.04
11.25% < Gross Coupon <= 11.50% 112 7,314,253.31 2.40
11.50% < Gross Coupon <= 11.75% 79 5,059,259.65 1.66
11.75% < Gross Coupon <= 12.00% 94 6,607,947.75 2.17
12.00% < Gross Coupon <= 12.25% 37 2,065,408.11 0.68
12.25% < Gross Coupon <= 12.50% 49 2,761,806.03 0.91
12.50% < Gross Coupon <= 12.75% 45 2,596,550.59 0.85
12.75% < Gross Coupon <= 13.00% 40 2,404,916.69 0.79
13.00% < Gross Coupon <= 13.25% 13 729,900.50 0.24
13.25% < Gross Coupon <= 13.50% 10 792,647.42 0.26
13.50% < Gross Coupon <= 13.75% 4 177,084.52 0.06
13.75% < Gross Coupon <= 14.00% 10 333,309.86 0.11
14.00% < Gross Coupon <= 14.25% 2 72,772.11 0.02
14.25% < Gross Coupon <= 14.50% 1 83,986.37 0.03
14.50% < Gross Coupon <= 14.75% 2 101,076.52 0.03
14.75% < Gross Coupon <= 15.00% 9 667,104.74 0.22
15.00% < Gross Coupon <= 15.25% 1 17,847.50 0.01
15.25% < Gross Coupon <= 15.50% 2 144,792.50 0.05
15.50% < Gross Coupon <= 15.75% 1 9,819.71 0.00
16.25% < Gross Coupon <= 16.50% 1 19,978.27 0.01
- --------------------------------------------------------------------------------
Total.......... 3301 $ 304,459,818.85 100.00%
================================================================================
REMAINING MONTHS TO STATED MATURITY
Percentage of
Aggregate Cut-Off Date
Number of Unpaid Aggregate
Mortgage Principal Principal
Remaining Term Loans Balance Balance
48 < Rem Term <= 60 8 163,801.59 0.05%
108 < Rem Term <= 120 44 1,385,205.63 0.45%
132 < Rem Term <= 144 5 260,522.03 0.09%
156 < Rem Term <= 168 5 930,042.39 0.31%
168 < Rem Term <= 180 1,598 139,351,162.75 45.77%
228 < Rem Term <= 240 94 5,868,132.83 1.93%
288 < Rem Term <= 300 7 423,068.51 0.14%
336 < Rem Term <= 348 5 344,796.86 0.11%
348 < Rem Term <= 360 1,535 155,733,086.26 51.15%
- -------------------------------------------------------------------
Total............ 3,301 304,459,818.85 100.00%
===================================================================
THIS COLLATERAL TERMSHEET SUPERSEDES ANY PREVIOUS COLLATERAL TERMSHEETS,
AND WILL BE SUPERSEDED BY THE COLLATERAL INFORMATION IN THE PROSPECTUS
SUPPLEMENT.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH
A DISCLAIMER PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED
FINANCIAL ADVISOR IMMEDIATELY
<PAGE>
ORIGINAL COMBINED LOAN-TO-VALUE RATIOS
Percentage of
Aggregate Cut-Off Date
Number of Unpaid Aggregate
Mortgage Principal Principal
Original CLTV Ratio Loans Balance Balance
0.000 < CLTV <= 5.000 1 14,969.59 0.00
10.000 < CLTV <= 15.000 2 78,982.51 0.03
15.000 < CLTV <= 20.000 3 74,097.35 0.02
20.000 < CLTV <= 25.000 2 63,306.48 0.02
25.000 < CLTV <= 30.000 16 943,307.13 0.31
30.000 < CLTV <= 35.000 12 823,651.32 0.27
35.000 < CLTV <= 40.000 29 1,398,521.41 0.46
40.000 < CLTV <= 45.000 32 2,023,645.56 0.66
45.000 < CLTV <= 50.000 48 3,132,552.30 1.03
50.000 < CLTV <= 55.000 62 3,858,411.63 1.27
55.000 < CLTV <= 60.000 81 5,527,218.73 1.82
60.000 < CLTV <= 65.000 160 14,823,183.64 4.87
65.000 < CLTV <= 70.000 261 21,063,359.48 6.92
70.000 < CLTV <= 75.000 431 42,046,605.20 13.81
75.000 < CLTV <= 80.000 926 90,234,289.75 29.64
80.000 < CLTV <= 85.000 424 39,207,073.31 12.88
85.000 < CLTV <= 90.000 663 65,952,804.22 21.66
90.000 < CLTV <= 95.000 112 11,772,656.04 3.87
95.000 < CLTV <= 100.000 35 1,391,699.25 0.46
120.000 < CLTV <= 125.000 1 29,483.95 0.01 **
- --------------------------------------------------------------------------
Total.................... 3,301 $ 304,459,818.85 100.00%
==========================================================================
** One loan with CLTV > 100% will be removed from final pool
CURRENT MORTGAGE LOAN AMOUNTS
(Scheduled Balances)
Percentage of
Aggregate Cut-Off Date
Current Number of Unpaid Aggregate
Mortgage Loan Mortgage Principal Principal
Principal Balance Loans Balance Balance
Balance <= 25,000 160 3,186,438.51 1.05
25,000 < Balance <= 50,000 728 28,264,560.57 9.28
50,000 < Balance <= 75,000 817 50,941,951.21 16.73
75,000 < Balance <= 100,000 570 49,554,448.03 16.28
100,000 < Balance <= 150,000 587 71,638,501.08 23.53
150,000 < Balance <= 175,000 130 21,041,103.01 6.91
175,000 < Balance <= 200,000 87 16,154,524.84 5.31
200,000 < Balance <= 250,000 113 25,059,033.98 8.23
250,000 < Balance <= 300,000 42 11,474,638.31 3.77
300,000 < Balance <= 350,000 28 9,059,419.66 2.98
350,000 < Balance <= 400,000 10 3,729,646.57 1.23
400,000 < Balance <= 450,000 12 5,061,350.67 1.66
450,000 < Balance <= 500,000 8 3,795,960.39 1.25
500,000 < Balance <= 600,000 6 3,524,007.49 1.16
600,000 < Balance <= 750,000 3 1,974,234.53 0.65
- --------------------------------------------------------------------------
Total.................... 3301 $304,459,818.85 100.00%
==========================================================================
THIS COLLATERAL TERMSHEET SUPERSEDES ANY PREVIOUS COLLATERAL TERMSHEETS,
AND WILL BE SUPERSEDED BY THE COLLATERAL INFORMATION IN THE PROSPECTUS
SUPPLEMENT.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH
A DISCLAIMER PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED
FINANCIAL ADVISOR IMMEDIATELY
<PAGE>
LOAN TYPE
Percentage of
Aggregate Cut-Off Date
Number of Unpaid Aggregate
Mortgage Principal Principal
Loan Type Loans Balance Balance
10 yr Fixed 44 1,385,205.63 0.45
12 yr Fixed 5 260,522.03 0.09
15 yr Fixed 441 24,365,747.04 8.00
15/5 yr Bln 1 19,919.90 0.01
20 yr Fixed 94 5,868,132.83 1.93
25 yr Fixed 7 423,068.51 0.14
30 yr Fixed 1540 156,077,883.12 51.26
30/15 yr Bln 1162 115,915,458.10 38.07
30/5 yr Bln 1 50,000.00 0.02
5 yr Fixed 6 93,881.69 0.03
- --------------------------------------------------------------------------
Total.................. 3301 $ 304,459,818.85 100.00%
==========================================================================
MORTGAGED PROPERTIES
Percentage of
Aggregate Cut-Off Date
Number of Unpaid Aggregate
Mortgage Principal Principal
Loans Balance Balance
Deminimus PUD 2 101,669.89 0.03
Low-Rise Condo 98 7,552,538.20 2.48
Manufactured Housing 129 8,090,708.55 2.66
PUD 131 16,008,895.61 5.26
Townhouses 38 3,046,369.63 1.00
2-4 Family 165 15,366,342.30 5.05
High-Rise Condo 19 1,873,235.51 0.62
Single Family Detached 2627 246,354,706.74 80.92
Single Family Attached 92 6,065,352.42 1.99
- --------------------------------------------------------------------------
Total............... 3301 $ 304,459,818.85 100.00%
==========================================================================
OWNER OCCUPANCY
Percentage of
Aggregate Cut-Off Date
Number of Unpaid Aggregate
Mortgage Principal Principal
Loans Balance Balance
Owner Occ. 2984 283,234,820.24 93.03
Investor 292 19,058,882.04 6.26
Second Home 25 2,166,116.57 0.71
- --------------------------------------------------------------------------
Total.................. 3301 $ 304,459,818.85 100.00%
==========================================================================
THIS COLLATERAL TERMSHEET SUPERSEDES ANY PREVIOUS COLLATERAL TERMSHEETS,
AND WILL BE SUPERSEDED BY THE COLLATERAL INFORMATION IN THE PROSPECTUS
SUPPLEMENT.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH
A DISCLAIMER PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED
FINANCIAL ADVISOR IMMEDIATELY
<PAGE>
LIEN SUMMARY
Percentage of
Aggregate Cut-Off Date
Number of Unpaid Aggregate
Mortgage Principal Principal
Loans Balance Balance
1 3072 295,196,495.03 96.96
2 229 9,263,323.82 3.04
- --------------------------------------------------------------------------
Total............... 3301 $ 304,459,818.85 100.00%
==========================================================================
DOCUMENTATION LEVEL
Percentage of
Aggregate Cut-Off Date
Number of Unpaid Aggregate
Mortgage Principal Principal
Loans Balance Balance
Full Documentation 2634 226,519,500.04 74.40
No Ratio 25 2,037,157.90 0.67
Stated Documentation 412 44,323,895.00 14.56
Limited Documentation 229 31,502,765.91 10.35
Unknown 1 76,500.00 0.03
- --------------------------------------------------------------------------
Total.................. 3301 $304,459,818.85 100.00%
==========================================================================
LOAN PURPOSE
Percentage of
Aggregate Cut-Off Date
Number of Unpaid Aggregate
Mortgage Principal Principal
Loans Balance Balance
Purchase 910 83,771,577.42 27.51
Refinance/ETO 1927 168,842,373.19 55.46
Refinance 464 51,845,868.24 17.03
- --------------------------------------------------------------------------
Total.................. 3301 $ 304,459,818.85 100.00%
==========================================================================
THIS COLLATERAL TERMSHEET SUPERSEDES ANY PREVIOUS COLLATERAL
TERMSHEETS, AND WILL BE SUPERSEDED BY THE COLLATERAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER PLEASE CONTACT YOUR PRUDENTIAL SECURITIES
INCORPORATED FINANCIAL ADVISOR IMMEDIATELY
<PAGE>
GEOGRAPHICAL DISTRIBUTION OF MORTGAGED PROPERTIES
Percentage of
Aggregate Cut-Off Date
Number of Unpaid Aggregate
Mortgage Principal Principal
State Loans Balance Balance
Alaska 5 627,369.80 0.21
Arizona 97 8,726,819.45 2.87
Arkansas 9 459,476.42 0.15
California 386 53,956,959.96 17.72
Colorado 93 10,649,174.58 3.50
Connecticut 30 2,924,463.18 0.96
Delaware 30 2,433,377.94 0.80
Dist of Col 13 2,536,707.45 0.83
Florida 255 18,998,248.79 6.24
Georgia 117 10,446,736.02 3.43
Hawaii 11 1,217,390.01 0.40
Idaho 19 1,939,923.93 0.64
Illinois 72 6,796,411.51 2.23
Indiana 59 3,663,522.40 1.20
Iowa 41 2,961,929.25 0.97
Kansas 13 916,399.39 0.30
Kentucky 31 2,481,162.05 0.81
Louisiana 75 5,352,947.76 1.76
Maine 3 141,394.82 0.05
Maryland 69 7,048,933.62 2.32
Massachusetts 32 3,168,761.01 1.04
Michigan 82 5,757,627.21 1.89
Minnesota 94 9,184,831.18 3.02
Mississippi 15 1,513,915.21 0.50
Missouri 83 6,450,638.91 2.12
Montana 4 267,571.67 0.09
Nebraska 23 1,809,486.35 0.59
Nevada 21 2,275,606.41 0.75
New Hampshire 6 531,497.97 0.17
New Jersey 82 8,440,440.13 2.77
New Mexico 53 4,405,877.40 1.45
New York 36 3,764,121.01 1.24
North Carolina 103 8,667,909.34 2.85
North Dakota 2 59,470.33 0.02
Ohio 213 14,330,823.34 4.71
Oklahoma 65 4,520,004.56 1.48
Oregon 97 11,469,941.32 3.77
Pennsylvania 164 11,539,831.25 3.79
Rhode Island 5 393,592.29 0.13
South Carolina 53 4,076,743.81 1.34
Tennessee 117 9,284,680.63 3.05
Texas 245 18,599,472.15 6.11
Utah 50 5,665,779.18 1.86
Vermont 1 36,637.71 0.01
Virginia 93 10,497,868.90 3.45
Washington 81 9,187,072.39 3.02
West Virgina 15 970,820.39 0.32
Wisconsin 32 2,601,434.54 0.85
Wyoming 6 708,013.93 0.23
- --------------------------------------------------------------------------
Total............... 3301 $ 304,459,818.85 100.00%
==========================================================================
THIS COLLATERAL TERMSHEET SUPERSEDES ANY PREVIOUS COLLATERAL
TERMSHEETS, AND WILL BE SUPERSEDED BY THE COLLATERAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER PLEASE CONTACT YOUR PRUDENTIAL SECURITIES
INCORPORATED FINANCIAL ADVISOR IMMEDIATELY
<PAGE>
CREDIT GRADE
Percentage of
Aggregate Cut-Off Date
Number of Unpaid Aggregate
Mortgage Principal Principal
Credit Grade Loans Balance Balance
A 1047 102,238,129.92 33.58
A+ 230 22,264,459.52 7.31
A- 1258 121,267,880.71 39.83
B 459 37,656,555.68 12.37
C 234 16,012,351.71 5.26
D 73 5,020,441.31 1.65
- -----------------------------------------------------------------
Total.......... 3301 $ 304,459,818.85 100.00%
=================================================================
AMORTIZATION
Percentage of
Aggregate Cut-Off Date
Number of Unpaid Aggregate
Mortgage Principal Principal
Amortization Loans Balance Balance
Fully Amortizing 2137 188,474,440.85 61.90
Partially Amortizing 1164 115,985,378.00 38.10
- --------------------------------------------------------------------------
Total.................. 3301 $ 304,459,818.85 100.00%
==========================================================================
THIS COLLATERAL TERMSHEET SUPERSEDES ANY PREVIOUS COLLATERAL
TERMSHEETS, AND WILL BE SUPERSEDED BY THE COLLATERAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER PLEASE CONTACT YOUR PRUDENTIAL SECURITIES
INCORPORATED FINANCIAL ADVISOR IMMEDIATELY
<PAGE>
- --------------------------------------------------------------------------------
- SASTA 1998-4
- Cut Off Date of Tape is 11/1/98
- ARM
- $220,334,935.35 (Scheduled Balance)
- --------------------------------------------------------------------------------
Number of Mortgage Loans: 1,785
Lien Status: 1st Lien Loans
Index: 6 mo LIBOR & 1 yr CMT
Aggregate Unpaid Principal Balance: $220,334,935.35
Aggregate Original Principal Balance: $220,594,426.54
Weighted Average Coupon (Gross): 9.732%
Gross Coupon Range: 6.740% - 14.250%
- --------------------------------------------------------------------------------
Weighted Average Margin (Gross): 6.209%
Gross Margin Range: 2.750% - 9.550%
Weighted Average Life Cap (Gross): 16.376%
Gross Life Cap Range: 12.740% - 21.250%
Weighted Average Life Floor (Gross): 9.592%
Gross Life Floor Range: 2.750% - 14.250%
- --------------------------------------------------------------------------------
Average Unpaid Principal Balance: $123,436.94
Average Original Principal Balance: $123,582.31
Maximum Unpaid Principal Balance: $1,949,323.41
Minimum Unpaid Principal Balance: $18,512.35
Maximum Original Principal Balance: $1,950,000.00
Minimum Original Principal Balance: $18,525.00
Weighted Avg. Stated Rem. Term: 357.554 (1)
Stated Rem Term Range: 178.000 - 360.000
Weighted Average Age (First Pay thru Schd Date): 2.358
Age Range: 0.000 - 18.000
Weighted Average Original Term: 359.912
Original Term Range: 180.000 - 360.000
Weighted Average Original LTV: 77.733
Original LTV Range: 14.630% - 95.000%
Weighted Average Periodic Interest Cap: 1.264%
Periodic Interest Cap Range: 1.000% - 3.000%
Weighted Average Months to Interest Roll: 18.979
Months to Interest Roll Range: 1 - 59
Weighted Average Interest Roll Frequency: 6.490
Interest Frequency Range: 6 - 12
Weighted Average Debt to Income Ratio: 39.381 (2)
Debt to Income Ratio Range: 2.325% - 80.000%
Weighted Average Borrower FICO: 587.564 (3)
Borrower FICO Range: 421.000% - 793.000%
- --------------------------------------------------------------------------------
(1) Scheduled balance date to maturity
(2) Excludes 58 loans with missing DTI ratios
(3) Excludes 188 loans with missing FICO scores
THIS COLLATERAL TERMSHEET SUPERSEDES ANY PREVIOUS COLLATERAL
TERMSHEETS, AND WILL BE SUPERSEDED BY THE COLLATERAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER PLEASE CONTACT YOUR PRUDENTIAL SECURITIES
INCORPORATED FINANCIAL ADVISOR IMMEDIATELY
<PAGE>
LOAN TYPE
<TABLE>
<CAPTION>
WA WA
Months WA Gross Gross WA WA Total
# % To Next Gross Life Life Periodic Int. Current
Loan Type Loans Pool Int. Roll WAC Margin Cap Floor Int. Cap Freq. Balance
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 yr Treasury 110 8.02 10.4 9.161 6.087 16.059 9.072 1.993 12.00 $17,677,303.74
2/28 LIBOR ARM 1,380 72.15 21.6 9.892 6.291 16.572 9.785 1.234 6.00 $158,970,707.72
3/27 1 yr CMT 5 .14 34.2 11.014 6.997 17.014 6.997 2.000 12.00 $317,671.45
3/27 LIBOR ARM 71 4.97 33.0 10.033 6.067 16.487 9.849 1.137 6.00 $10,957,205.24
5/25 LIBOR ARM 10 .49 56.3 9.042 6.458 15.862 9.042 1.410 6.00 $1,084,141.76
6 mo LIBOR 209 14.22 4.3 9.150 5.895 15.533 8.862 1.037 6.00 $31,327,905.44
- -----------------------------------------------------------------------------------------------------------
Total..... 1,785 100.00 19.0 9.732 6.209 16.376 9.592 1.264 6.49 $220,334,935.35
===========================================================================================================
</TABLE>
GROSS MORTGAGE INTEREST RATE RANGE
Percentage of
Aggregate Cut-Off Date
Gross Mortgage Number of Unpaid Aggregate
Interest Rate Mortgage Principal Principal
Range Loans Balance Balance
6.50% < Gross Coupon <= 7.00% 8 1,741,492.04 0.79
7.00% < Gross Coupon <= 7.50% 13 1,603,412.07 0.73
7.50% < Gross Coupon <= 7.75% 21 3,708,360.84 1.68
7.75% < Gross Coupon <= 8.00% 51 8,128,595.81 3.69
8.00% < Gross Coupon <= 8.25% 44 5,820,490.23 2.64
8.25% < Gross Coupon <= 8.50% 86 14,232,814.20 6.46
8.50% < Gross Coupon <= 8.75% 85 12,856,344.27 5.83
8.75% < Gross Coupon <= 9.00% 132 17,197,489.14 7.81
9.00% < Gross Coupon <= 9.25% 102 13,526,859.58 6.14
9.25% < Gross Coupon <= 9.50% 156 20,119,878.58 9.13
9.50% < Gross Coupon <= 9.75% 153 19,666,216.71 8.93
9.75% < Gross Coupon <= 10.00% 213 23,894,739.64 10.84
10.00% < Gross Coupon <= 10.25% 99 11,101,424.57 5.04
10.25% < Gross Coupon <= 10.50% 158 18,905,068.51 8.58
10.50% < Gross Coupon <= 10.75% 116 11,914,491.86 5.41
10.75% < Gross Coupon <= 11.00% 111 12,452,049.42 5.65
11.00% < Gross Coupon <= 11.25% 58 6,847,665.18 3.11
11.25% < Gross Coupon <= 11.50% 50 5,204,234.84 2.36
11.50% < Gross Coupon <= 11.75% 34 3,066,374.86 1.39
11.75% < Gross Coupon <= 12.00% 36 2,677,968.16 1.22
12.00% < Gross Coupon <= 12.25% 12 890,740.10 0.40
12.25% < Gross Coupon <= 12.50% 13 1,838,219.93 0.83
12.50% < Gross Coupon <= 12.75% 5 521,470.48 0.24
12.75% < Gross Coupon <= 13.00% 7 545,900.52 0.25
13.00% < Gross Coupon <= 13.25% 10 635,431.36 0.29
13.25% < Gross Coupon <= 13.50% 3 460,988.36 0.21
13.50% < Gross Coupon <= 13.75% 5 572,068.00 0.26
13.75% < Gross Coupon <= 14.00% 1 58,988.86 0.03
14.00% < Gross Coupon <= 14.25% 3 145,157.23 0.07
- --------------------------------------------------------------------------------
Total.......... 1785 $ 220,334,935.35 100.00%
================================================================================
THIS COLLATERAL TERMSHEET SUPERSEDES ANY PREVIOUS COLLATERAL
TERMSHEETS, AND WILL BE SUPERSEDED BY THE COLLATERAL INFORMATION
IN THE PROSPECTUS SUPPLEMENT.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT
RECEIVE SUCH A DISCLAIMER PLEASE CONTACT YOUR PRUDENTIAL
SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY
<PAGE>
REMAINING MONTHS TO STATED MATURITY
Percentage of
Aggregate Cut-Off Date
Number of Unpaid Aggregate
Mortgage Principal Principal
Remaining Term Loans Balance Balance
168 < Rem Term <= 180 2 107,347.91 0.05%
336 < Rem Term <= 348 7 1,537,251.82 0.70%
348 < Rem Term <= 360 1,776 218,690,335.62 99.25%
- -------------------------------------------------------------------
Total............ 1,785 220,334,935.35 100.00%
===================================================================
ORIGINAL LOAN-TO-VALUE RATIOS
Percentage of
Aggregate Cut-Off Date
Original Number of Unpaid Aggregate
Loan-To-Value Mortgage Principal Principal
Ratio Loans Balance Balance
10.00 < LTV <= 15.00 1 54,909.39 0.02
20.00 < LTV <= 25.00 2 138,822.97 0.06
25.00 < LTV <= 30.00 6 341,057.00 0.15
30.00 < LTV <= 35.00 6 426,091.64 0.19
35.00 < LTV <= 40.00 5 1,404,585.42 0.64
40.00 < LTV <= 45.00 8 439,354.06 0.20
45.00 < LTV <= 50.00 17 1,505,295.37 0.68
50.00 < LTV <= 55.00 31 2,877,686.45 1.31
55.00 < LTV <= 60.00 41 4,432,090.88 2.01
60.00 < LTV <= 65.00 114 18,047,365.02 8.19
65.00 < LTV <= 70.00 169 20,483,167.15 9.30
70.00 < LTV <= 75.00 245 28,344,011.39 12.86
75.00 < LTV <= 80.00 566 69,466,650.66 31.53
80.00 < LTV <= 85.00 261 30,568,039.38 13.87
85.00 < LTV <= 90.00 305 40,873,135.02 18.55
90.00 < LTV <= 95.00 8 932,673.55 0.42
- --------------------------------------------------------------------------
Total.................... 1785 $ 220,334,935.35 100.00%
==========================================================================
THIS COLLATERAL TERMSHEET SUPERSEDES ANY PREVIOUS COLLATERAL
TERMSHEETS, AND WILL BE SUPERSEDED BY THE COLLATERAL INFORMATION
IN THE PROSPECTUS SUPPLEMENT.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT
RECEIVE SUCH A DISCLAIMER PLEASE CONTACT YOUR PRUDENTIAL
SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY
<PAGE>
CURRENT MORTGAGE LOAN AMOUNTS
(Scheduled Balance)
Percentage of
Aggregate Cut-Off Date
Current Number of Unpaid Aggregate
Mortgage Loan Mortgage Principal Principal
Principal Balance Loans Balance Balance
Balance <= 25,000 14 308,289.32 0.14
25,000 < Balance <= 50,000 183 7,289,662.76 3.31
50,000 < Balance <= 75,000 371 23,501,031.80 10.67
75,000 < Balance <= 100,000 364 31,986,263.48 14.52
100,000 < Balance <= 150,000 435 53,076,990.76 24.09
150,000 < Balance <= 175,000 131 21,178,037.55 9.61
175,000 < Balance <= 200,000 75 14,027,648.40 6.37
200,000 < Balance <= 250,000 95 21,067,803.96 9.56
250,000 < Balance <= 300,000 39 10,560,041.52 4.79
300,000 < Balance <= 350,000 17 5,575,583.05 2.53
350,000 < Balance <= 400,000 19 7,025,084.70 3.19
400,000 < Balance <= 450,000 7 3,022,723.20 1.37
450,000 < Balance <= 500,000 9 4,282,192.65 1.94
500,000 < Balance <= 600,000 17 9,518,187.39 4.32
600,000 < Balance <= 750,000 6 3,986,912.17 1.81
750,000 < Balance <= 1,000,000 1 779,636.10 0.35
1,000,000 < Balance <= 2,000,000 2 3,148,846.54 1.43
- --------------------------------------------------------------------------
Total.................... 1785 $220,334,935.35 100.00%
==========================================================================
MORTGAGED PROPERTIES
Percentage of
Aggregate Cut-Off Date
Number of Unpaid Aggregate
Mortgage Principal Principal
Loans Balance Balance
Deminimus PUD 5 575,878.35 0.26
Low-Rise Condo 84 7,774,332.12 3.53
Manufactured Housing 24 1,718,906.38 0.78
PUD 51 10,021,607.90 4.55
Townhouses 9 975,052.11 0.44
2-4 Family 100 10,641,668.59 4.83
High-Rise Condo 10 1,044,114.67 0.47
Single Family Detached 1477 184,204,510.88 83.60
Single Family Attached 25 3,378,864.35 1.53
- --------------------------------------------------------------------------
Total............... 1785 $220,334,935.35 100.00%
==========================================================================
THIS COLLATERAL TERMSHEET SUPERSEDES ANY PREVIOUS COLLATERAL
TERMSHEETS, AND WILL BE SUPERSEDED BY THE COLLATERAL INFORMATION
IN THE PROSPECTUS SUPPLEMENT.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT
RECEIVE SUCH A DISCLAIMER PLEASE CONTACT YOUR PRUDENTIAL
SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY
<PAGE>
OWNER OCCUPANCY
Percentage of
Aggregate Cut-Off Date
Number of Unpaid Aggregate
Mortgage Principal Principal
Loans Balance Balance
Owner Occ. 1656 208,830,199.71 94.78
Investor 121 10,462,562.69 4.75
Second Home 8 1,042,172.95 0.47
- --------------------------------------------------------------------------
Total.................. 1785 $ 220,334,935.35 100.00%
==========================================================================
DOCUMENTATION LEVEL
Percentage of
Aggregate Cut-Off Date
Number of Unpaid Aggregate
Mortgage Principal Principal
Loans Balance Balance
Full Documentation 1361 156,248,411.90 70.91
No Ratio 2 827,464.96 0.38
Stated Documentation 334 45,523,065.85 20.66
Limited Documentation 88 17,735,992.64 8.05
- --------------------------------------------------------------------------------
Total.................. 1785 $ 220,334,935.35 100.00%
================================================================================
LOAN PURPOSE
Percentage of
Aggregate Cut-Off Date
Number of Unpaid Aggregate
Mortgage Principal Principal
Loans Balance Balance
Purchase 722 84,484,846.33 38.34
Refinance/ETO 850 108,044,574.84 49.04
Refinance 213 27,805,514.18 12.62
- --------------------------------------------------------------------------
Total.................. 1785 $220,334,935.35 100.00%
==========================================================================
THIS COLLATERAL TERMSHEET SUPERSEDES ANY PREVIOUS COLLATERAL
TERMSHEETS, AND WILL BE SUPERSEDED BY THE COLLATERAL INFORMATION
IN THE PROSPECTUS SUPPLEMENT.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT
RECEIVE SUCH A DISCLAIMER PLEASE CONTACT YOUR PRUDENTIAL
SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY
<PAGE>
GROSS MARGIN
Percentage of
Aggregate Cut-Off Date
Number of Unpaid Aggregate
Gross Mortgage Principal Principal
Margin Loans Balance Balance
2.000 < Gross Margin <= 3.00 1 239,374.73 0.11
3.000 < Gross Margin <= 4.00 13 2,886,645.39 1.31
4.000 < Gross Margin <= 5.00 70 12,459,984.86 5.66
5.000 < Gross Margin <= 6.00 625 78,798,085.38 35.76
6.000 < Gross Margin <= 7.00 810 98,749,095.09 44.82
7.000 < Gross Margin <= 8.00 231 23,158,242.31 10.51
8.000 < Gross Margin <= 9.00 30 3,533,513.42 1.60
9.000 < Gross Margin <= 10.00 5 509,994.17 0.23
- --------------------------------------------------------------------------
Total................. 1785 $ 220,334,935.35 100.00%
==========================================================================
LIFE CAP
Percentage of
Aggregate Cut-Off Date
Number of Unpaid Aggregate
Gross Mortgage Principal Principal
Life Cap Loans Balance Balance
12.500 < LIFE CAP <= 13.000 8 1,741,492.04 0.79
13.000 < LIFE CAP <= 13.500 10 1,356,608.26 0.62
13.500 < LIFE CAP <= 14.000 48 7,849,004.89 3.56
14.000 < LIFE CAP <= 14.500 62 9,462,158.73 4.29
14.500 < LIFE CAP <= 15.000 113 17,200,681.47 7.81
15.000 < LIFE CAP <= 15.500 164 23,153,275.37 10.51
15.500 < LIFE CAP <= 16.000 233 29,012,096.08 13.17
16.000 < LIFE CAP <= 16.500 249 30,538,860.97 13.86
16.500 < LIFE CAP <= 17.000 325 38,355,896.52 17.41
17.000 < LIFE CAP <= 17.500 203 22,858,006.65 10.37
17.500 < LIFE CAP <= 18.000 185 19,783,543.77 8.98
18.000 < LIFE CAP <= 18.500 78 9,718,266.48 4.41
18.500 < LIFE CAP <= 19.000 52 4,195,400.61 1.90
19.000 < LIFE CAP <= 19.500 22 2,223,176.42 1.01
19.500 < LIFE CAP <= 20.000 11 1,013,833.28 0.46
20.000 < LIFE CAP <= 20.500 13 1,096,419.72 0.50
20.500 < LIFE CAP <= 21.000 6 631,056.86 0.29
21.000 < LIFE CAP <= 21.500 3 145,157.23 0.07
- --------------------------------------------------------------------------
Total................. 1785 $ 220,334,935.35 100.00%
==========================================================================
THIS COLLATERAL TERMSHEET SUPERSEDES ANY PREVIOUS COLLATERAL
TERMSHEETS, AND WILL BE SUPERSEDED BY THE COLLATERAL INFORMATION IN
THE PROSPECTUS SUPPLEMENT.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER PLEASE CONTACT YOUR PRUDENTIAL SECURITIES
INCORPORATED FINANCIAL ADVISOR IMMEDIATELY
<PAGE>
LIFE FLOOR
Percentage of
Aggregate Cut-Off Date
Number of Unpaid Aggregate
Gross Mortgage Principal Principal
Life Floor Loans Balance Balance
2.500 < Life Floor <= 3.000 1 239,374.73 0.11
4.000 < Life Floor <= 4.500 1 104,697.19 0.05
4.500 < Life Floor <= 5.000 2 161,723.58 0.07
5.000 < Life Floor <= 5.500 8 1,109,962.39 0.50
5.500 < Life Floor <= 6.000 19 2,026,587.44 0.92
6.000 < Life Floor <= 6.500 5 579,188.71 0.26
6.500 < Life Floor <= 7.000 19 3,523,148.38 1.60
7.000 < Life Floor <= 7.500 19 3,016,363.09 1.37
7.500 < Life Floor <= 8.000 74 11,960,581.26 5.43
8.000 < Life Floor <= 8.500 131 19,689,784.83 8.94
8.500 < Life Floor <= 9.000 214 29,910,209.37 13.57
9.000 < Life Floor <= 9.500 246 32,101,979.14 14.57
9.500 < Life Floor <= 10.000 357 42,807,247.45 19.43
10.000 < Life Floor <= 10.500 247 27,963,087.82 12.69
10.500 < Life Floor <= 11.000 217 22,966,003.70 10.42
11.000 < Life Floor <= 11.500 106 11,921,017.46 5.41
11.500 < Life Floor <= 12.000 64 4,979,932.01 2.26
12.000 < Life Floor <= 12.500 23 2,593,981.77 1.18
12.500 < Life Floor <= 13.000 11 891,914.04 0.40
13.000 < Life Floor <= 13.500 13 1,096,419.72 0.50
13.500 < Life Floor <= 14.000 5 546,574.04 0.25
14.000 < Life Floor <= 14.500 3 145,157.23 0.07
- --------------------------------------------------------------------------
Total................. 1785 $ 220,334,935.35 100.00%
==========================================================================
PERIODIC INTEREST CAP
Percentage of
Aggregate Cut-Off Date
Number of Unpaid Aggregate
Periodic Mortgage Principal Principal
Cap Loans Balance Balance
1.000 997 122,900,875.02 55.78
1.500 670 78,920,837.04 35.82
2.000 117 18,267,687.83 8.29
3.000 1 245,535.46 0.11
- --------------------------------------------------------------------------
Total................. 1785 $ 220,334,935.35 100.00%
==========================================================================
THIS COLLATERAL TERMSHEET SUPERSEDES ANY PREVIOUS COLLATERAL
TERMSHEETS, AND WILL BE SUPERSEDED BY THE COLLATERAL INFORMATION
IN THE PROSPECTUS SUPPLEMENT.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT
RECEIVE SUCH A DISCLAIMER PLEASE CONTACT YOUR PRUDENTIAL
SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY
<PAGE>
NEXT INTEREST ROLLDATE DATE
Percentage of
Aggregate Cut-Off Date
Next Number of Unpaid Aggregate
Roll Mortgage Principal Principal
Date Loans Balance Balance
12/98 4 $831,608.32 00.38
01/99 12 $1,824,208.91 00.83
02/99 27 $3,088,839.70 01.40
03/99 79 $11,483,344.04 05.21
04/99 67 $10,471,648.75 04.75
05/99 21 $4,071,340.60 01.85
06/99 5 $466,604.32 00.21
07/99 7 $1,481,572.86 00.67
08/99 2 $282,230.13 00.13
09/99 42 $6,100,779.25 02.77
10/99 37 $6,816,429.64 03.09
11/99 22 $3,350,493.58 01.52
12/99 1 $97,703.25 00.04
01/00 9 $931,351.94 00.42
02/00 14 $1,678,212.61 00.76
03/00 12 $2,198,556.38 01.00
04/00 5 $494,493.70 00.22
05/00 25 $2,513,886.45 01.14
06/00 50 $6,343,199.06 02.88
07/00 58 $7,771,659.41 03.53
08/00 234 $27,160,341.53 12.33
09/00 509 $59,127,523.34 26.84
10/00 396 $43,331,113.13 19.67
11/00 61 $6,058,776.00 02.75
02/01 1 $74,707.06 00.03
03/01 2 $264,212.96 00.12
04/01 2 $712,930.63 00.32
05/01 4 $892,328.64 00.40
06/01 3 $279,196.66 00.13
07/01 4 $1,066,336.42 00.48
08/01 13 $1,587,338.09 00.72
09/01 25 $3,140,934.87 01.43
10/01 21 $3,171,891.36 01.44
11/01 1 $85,000.00 00.04
06/03 6 $565,720.23 00.26
08/03 2 $194,508.18 00.09
09/03 1 $295,924.48 00.13
10/03 1 $27,988.87 00.01
- ------------------------------------------------------------------
Total........ 1785 $220,334,935.35 100.00%
==================================================================
THIS COLLATERAL TERMSHEET SUPERSEDES ANY PREVIOUS COLLATERAL
TERMSHEETS, AND WILL BE SUPERSEDED BY THE COLLATERAL INFORMATION
IN THE PROSPECTUS SUPPLEMENT.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT
RECEIVE SUCH A DISCLAIMER PLEASE CONTACT YOUR PRUDENTIAL
SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY
<PAGE>
GEOGRAPHICAL DISTRIBUTION OF MORTGAGED PROPERTIES
Percentage of
Aggregate Cut-Off Date
Number of Unpaid Aggregate
Mortgage Principal Principal
State Loans Balance Balance
Alaska 2 210,214.51 0.10
Arizona 32 6,631,465.59 3.01
Arkansas 3 208,088.76 0.09
California 325 57,618,801.51 26.15
Colorado 61 6,341,047.58 2.88
Connecticut 40 5,109,528.99 2.32
Delaware 4 318,199.15 0.14
Dist of Col 2 1,074,022.48 0.49
Florida 77 7,030,338.71 3.19
Georgia 29 5,165,941.95 2.34
Hawaii 3 594,104.47 0.27
Idaho 9 803,696.57 0.36
Illinois 148 17,524,060.16 7.95
Indiana 34 2,297,033.73 1.04
Iowa 5 281,079.91 0.13
Kansas 6 764,022.55 0.35
Kentucky 14 1,033,814.44 0.47
Louisiana 6 570,521.64 0.26
Maine 3 246,303.59 0.11
Maryland 23 3,128,691.57 1.42
Massachusetts 43 6,003,500.93 2.72
Michigan 63 6,284,206.31 2.85
Minnesota 30 2,620,251.91 1.19
Missouri 29 1,999,937.31 0.91
Montana 9 615,768.66 0.28
Nebraska 1 63,729.40 0.03
Nevada 20 2,769,765.68 1.26
New Hampshire 10 1,090,383.45 0.49
New Jersey 40 6,095,124.18 2.77
New Mexico 15 1,466,561.39 0.67
New York 9 1,336,283.87 0.61
North Carolina 35 3,522,307.58 1.60
Ohio 141 10,817,227.92 4.91
Oklahoma 2 71,818.77 0.03
Oregon 66 7,498,074.64 3.40
Pennsylvania 24 3,068,963.37 1.39
Rhode Island 7 733,562.35 0.33
South Carolina 6 395,126.69 0.18
Tennessee 20 1,962,511.09 0.89
Texas 39 4,357,341.61 1.98
Utah 108 11,955,200.17 5.43
Virginia 22 4,463,525.04 2.03
Washington 135 17,294,354.25 7.85
West Virgina 4 345,100.78 0.16
Wisconsin 81 6,553,330.14 2.97
- --------------------------------------------------------------------------
Total............... 1785 $ 220,334,935.35 100.00%
==========================================================================
CREDIT GRADE
Percentage of
Aggregate Cut-Off Date
Number of Unpaid Aggregate
Mortgage Principal Principal
Credit Grade Loans Balance Balance
A 142 19,370,984.10 8.79
A+ 9 1,008,389.01 0.46
A- 771 104,256,569.11 47.32
B 431 52,568,408.99 23.86
C 322 31,791,867.84 14.43
D 110 11,338,716.30 5.15
- -----------------------------------------------------------------
Total.......... 1785 $ 220,334,935.35 100.00%
=================================================================
THIS COLLATERAL TERMSHEET SUPERSEDES ANY PREVIOUS COLLATERAL
TERMSHEETS, AND WILL BE SUPERSEDED BY THE COLLATERAL INFORMATION
IN THE PROSPECTUS SUPPLEMENT.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT
RECEIVE SUCH A DISCLAIMER PLEASE CONTACT YOUR PRUDENTIAL
SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY
FOR ADDITIONAL INFORMATION PLEASE CALL:
Asset Backed Finance Group ABS Trading/Syndicate
Andrew Peisch (212) 449-7736 Scott Soltas (212) 449-3659
Pete Cerwin (212) 449-3270 Terrence Mack (212) 449-3659
Ken Mulford (212) 449-0752 Brian Kane (212) 449-3659
Peter Cai (212) 449-6384
Research ABS Trading
Chris Flanagan (212) 449-1655 Vince Mora (212) 449-5320
Ralph DiSerio (212) 449-1629 Dan Pace (212) 449-5320
Ryan Asato (212) 449-9622
ABS NEW TRANSACTION
COMPUTATIONAL MATERIALS
$524,793,000(APPROX.)
SAXON ASSET SECURITIES TRUST 1998-4
MORTGAGE LOAN ASSET-BACKED CERTIFICATES, SERIES 1998-4
SAXON MORTGAGE, INC.
SELLER/MASTER SERVICER
SAXON ASSET SECURITIES COMPANY
DEPOSITOR
NOVEMBER 19, 1998
[MERRILL LYNCH LOGO HERE]
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
<PAGE>
The attached tables and other statistical analyses (the "Computational
Material") are privileged and confidential and are intended for use by the
addressee only. These Computational Materials are furnished to you solely by
Merrill Lynch, Pierce, Fenner & Smith Incorporated ("Merrill Lynch") and not by
the issuer of the securities or any of its affiliates. The issuer of these
securities has not prepared or taken part in the preparation of these materials.
Neither Merrill Lynch, the issuer of the securities nor any of its affiliates
makes any representation as to the accuracy or completeness of the information
herein. The information herein is preliminary, and will be superseded by the
applicable prospectus supplement and by any other information subsequently filed
with the Securities and Exchange Commission. They may not be provided to any
third party other than the addressee's legal, tax, financial and/or accounting
advisors for the purposes of evaluating said material.
Numerous assumptions were used in preparing the Computational Material which may
or may not be stated therein. As such, no assurance can be given as to the
accuracy, appropriateness or completeness of the Computational Materials in any
particular context; or as to whether the Computational Materials and/or the
assumptions upon which they are based reflect present market conditions or
future market performance. These Computational Materials should not be construed
as either projections or predictions or as legal, tax, financial or accounting
advice.
Any yields or weighted average lives shown in the Computational Materials are
based on prepayment assumptions and actual prepayment experience may
dramatically affect such yields or weighted average lives. In addition, it is
possible that prepayments on the underlying assets will occur at rates slower or
faster than the rates assumed in the attached Computational Materials.
Furthermore, unless otherwise provided, the Computational Materials assume no
losses on the underlying assets and no interest shortfall. The specific
characteristics of the securities may differ from those shown in the
Computational Materials due to differences between the actual underlying assets
and the hypothetical assets used in preparing the Computational Materials. The
principal amount and designation of any security described in the Computational
Materials are subject to change prior to issuance.
Although a registration statement (including the prospectus) relating to the
securities discussed in this communication has been filed with the Securities
and Exchange Commission and is effective, the final prospectus supplement
relating to the securities discussed in this communication has not been filed
with the Securities and Exchange Commission. This communication shall not
constitute an offer to sell or the solicitation of an offer to buy nor shall
there be any sale of the securities discussed in this communication in any state
in which such offer, solicitation or sale would be unlawful prior to
registration or qualification under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus and prospectus
supplement relating to the securities discussed in this communication for
definitive Computational Materials on any matter discussed in this
communication. A final prospectus and prospectus supplement may be obtained by
contacting the Merrill Lynch Trading Desk at (212) 449-5320.
Please be advised that mortgage-backed and/or asset-backed securities may not be
appropriate for all investors. Potential investors must be willing to assume,
among other things, market price volatility, prepayments, yield curve and
interest rate risks. Investors should fully consider the risk of an investment
in these securities.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
PRELIMINARY
[MERRILL LYNCH LOGO HERE]
- --------------------------------------------------------------------------------
Recipients must read the information contained in the attached statement. Do not
use or rely on this information if you have not received and reviewed the
statement. If you have not received the statement, call your Merrill Lynch
account executive for another copy.
[NATIONSBANC SECURITIES HEADER HERE]
NATIONSBANC MONTGOMERY SECURITIES LLC
- --------------------------------------------------------------------------------
THIS STRUCTURAL TERM SHEET, COLLATERAL TERM SHEET, OR COMPUTATIONAL MATERIALS,
AS APPROPRIATE (THE "MATERIAL"), IS FOR YOUR PRIVATE INFORMATION AND NATIONSBANC
MONTGOMERY SECURITIES LLC (THE "UNDERWRITER") IS NOT SOLICITING ANY ACTION BASED
UPON IT. THIS MATERIAL IS NOT TO BE CONSTRUED AS AN OFFER TO SELL OR THE
SOLICITATION OF ANY OFFER TO BUY ANY SECURITY IN ANY JURISDICTION WHERE SUCH AN
OFFER OR SOLICITATION WOULD BE ILLEGAL. THIS MATERIAL IS BASED ON INFORMATION
THAT THE UNDERWRITER CONSIDERS RELIABLE, BUT THE UNDERWRITER DOES NOT REPRESENT
THAT IT IS ACCURATE OR COMPLETE AND IT SHOULD NOT BE RELIED UPON AS SUCH. BY
ACCEPTING THIS MATERIAL THE RECIPIENT AGREES THAT IT WILL NOT DISTRIBUTE OR
PROVIDE THE MATERIAL TO ANY OTHER PERSON. THE INFORMATION CONTAINED IN THIS
MATERIAL MAY PERTAIN TO SECURITIES THAT ULTIMATELY ARE NOT SOLD. THE INFORMATION
CONTAINED IN THIS MATERIAL MAY BE BASED ON ASSUMPTIONS REGARDING MARKET
CONDITIONS AND OTHER MATTERS AS REFLECTED HEREIN. THE UNDERWRITER MAKES NO
REPRESENTATION REGARDING THE REASONABLENESS OF SUCH ASSUMPTIONS OR THE
LIKELIHOOD THAT ANY OF SUCH ASSUMPTIONS WILL COINCIDE WITH ACTUAL MARKET
CONDITIONS OR EVENTS, AND THIS MATERIAL SHOULD NOT BE RELIED UPON FOR SUCH
PURPOSES. THE UNDERWRITER AND ITS AFFILIATES, OFFICERS, DIRECTORS, PARTNERS AND
EMPLOYEES, INCLUDING PERSONS INVOLVED IN THE PREPARATION OR ISSUANCE OF THIS
MATERIAL MAY, FROM TIME TO TIME, HAVE LONG OR SHORT POSITIONS IN, AND BUY AND
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OPTIONS). THIS MATERIAL MAY BE FILED WITH THE SECURITIES AND EXCHANGE COMMISSION
(THE "SEC") AND INCORPORATED BY REFERENCE INTO AN EFFECTIVE REGISTRATION
STATEMENT PREVIOUSLY FILED WITH THE SEC UNDER RULE 415 OF THE SECURITIES ACT OF
1933, INCLUDING ALL CASES WHERE THE MATERIAL DOES NOT PERTAIN TO SECURITIES THAT
ARE ULTIMATELY OFFERED FOR SALE PURSUANT TO SUCH REGISTRATION STATEMENT.
INFORMATION CONTAINED IN THIS MATERIAL IS CURRENT AS OF THE DATE APPEARING ON
THIS MATERIAL ONLY. INFORMATION IN THIS MATERIAL REGARDING ANY ASSETS BACKING
ANY SECURITIES DISCUSSED HEREIN SUPERSEDES ALL PRIOR INFORMATION REGARDING SUCH
ASSETS. ANY INFORMATION IN THE MATERIAL, WHETHER REGARDING THE ASSETS BACKING
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