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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) September 26, 1996
ACCREDITED HOME LENDERS, INC.
----------------------------------------
(Exact name of registrant as specified in its charter)
California 333-07219 33-0426859
---------------- ------------ ------------
(State or Other Jurisdiction of (Commission (I.R.S. Employer
Incorporation) File Number) Identification No.)
15030 Avenue of Science, Suite 100
San Diego, California 92128 92128
(Address of Principal Executive (Zip Code)
Offices)
Registrant's telephone number, including area code (619) 676-2100
---------------
No Change
-----------------------------------------------------------------------------
(Former name or former address, if changed since last report)
-------------------------------------------------------------------------------
<PAGE>
Item 5. Other Events
------------
In connection with the offering of Accredited Mortgage Loan Trust
1996-1 Mortgage Loan Asset-Backed Certificates, Series 1996-1, described in a
Prospectus Supplement dated as of September 23, 1996, certain "Computational
Materials" within the meanings of the May 20, 1994 Kidder, Peabody No-Action
Letter and the February 17, 1995 Public Securities Association No-Action Letter
were furnished to certain prospective investors (the "Related Computational
Materials").
Item 7. Financial Statements, Pro Forma Financial Information and
Exhibits.
-------------------------
(a) Not applicable
(b) Not applicable
(c) Exhibit 99.1. Related Computational Materials (as defined in Item 5
above).
<PAGE>
SIGNATURES
Pursuant to the requirements of Section 13 or 15(d) 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.
ACCREDITED HOME LENDERS, INC.
-----------------------------
as Sponsor and on behalf of Accredited Mortgage Loan Trust
1996-1
Registrant
By: /s/ James A. Konrath
--------------------------------
Name: James A. Konrath
Title: President
Dated: September 26, 1996
<PAGE>
EXHIBIT INDEX
-------------
Exhibit No. Description Page No.
----------- ----------- --------
99.1 Related Computational
Materials (as defined in
Item 5 above).
Exhibit 99.1
LEHMAN BROTHERS
DERIVED INFORMATION
$92,121,000 Certificates (Approximate)
ACCREDITED MORTGAGE LOAN ASSET BACKED
CERTIFICATES, SERIES 1996-1
Accredited Home Lenders, Inc. (Sponsor & Master Servicer)
ADVANTA Mortgage Corp (Sub-Servicer and Backup Servicer)
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED ON THE
BASIS OF CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED
BY THE RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, LOSSES AND OTHER
MATTERS, INCLUDING, BUT NOT LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE
OFFERING DOCUMENT. LEHMAN BROTHERS INC., AND ANY OF ITS AFFILIATES, MAKE NO
REPRESENTATION OR WARRANTY AS TO THE ACTUAL RATE OR TIMING OF PAYMENTS ON ANY OF
THE UNDERLYING ASSETS OR THE PAYMENTS OR YIELD ON THE SECURITIES. THIS
INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF AND WILL BE DEEMED TO BE
SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH RESPECT TO ANY
DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE INFORMATION CONTAINED IN
THE OFFERING DOCUMENT).
<PAGE>
<TABLE>
<CAPTION>
TO MATURITY:
- ------------ ------------- -------- ------------- ------------- ------------ -------------- ----------- ------------ -------------
APPROX. ESTIMATED ESTIMATED EXPECTED STATED EXPECTED
APPROX. GROUP EXPECTED WAL/MOD. PRINCIPAL FINAL FINAL RATINGS
SECURITIES SIZE (2) NO. BENCHMARK PRICE DUR (YRS) PMT. WINDOW MATURITY MATURITY (MOODY'S/S&P)
- ------------ ------------- -------- ------------- ------------- ------------ -------------- ----------- ------------ -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A-1 (1) $14,073,000 I 3.5 yr UST 99.97711% 3.47 / 2.72 200 months 200 mos 10/2027 Aaa/AAA
CLASS A-2 (1) $78,04I,000 II 1 mo LIBOR 100% 3.48 / 2.90 215 months 215 mos 10/2027 Aaa/AAA
- ------------ ------------- -------- ------------- ------------- ------------ -------------- ----------- ------------ -------------
<CAPTION>
TO 10% CALL:
- ------------ ------------- -------- ------------- ------------- ------------ -------------- ----------- ------------ ------------
APPROX. ESTIMATED ESTIMATED EXPECTED STATED EXPECTED
APPROX. GROUP EXPECTED WAL/MOD. PRINCIPAL FINAL FINAL RATINGS
SECURITIES SIZE (2) NO. BENCHMARK PRICE DUR (YRS) PMT. WINDOW MATURITY MATURITY (MOODY'S/S&P)
- ------------ ------------- -------- ------------- ------------- ------------ -------------- ----------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A-1 (1) $14,073,000 I 3.5 yr UST 99.97711% 3.23 / 2.61 99 mos 99 mos 10/2027 Aaa/AAA
CLASS A-2 (1) $78,048,000 II 1 mo LIBOR 100% 3.23 / 2.76 99 mos 99 mos 10/2027 Aaa/AAA
- ------------ ------------- -------- ------------- ------------- ------------ -------------- ----------- ------------ ------------
</TABLE>
(1) The Prepayment Assumption assumes a conditional prepayment rate of 4.0% per
annum of the then-outstanding principal balance of the mortgage loans in the
first month of the life of the mortgage loans and an additional 1.455%
(precisely, 16/11%) per annum in each month thereafter until the twelfth month.
Beginning in the twelfth month and in each month thereafter during the life of
the mortgage loans, the 100% Prepayment Assumption assumes a conditional
prepayment rate of 20.0% per annum each month. The data above use 125% of the
Prepayment Assumption.
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED ON THE
BASIS OF CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED
BY THE RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, LOSSES AND OTHER
MATTERS, INCLUDING, BUT NOT LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE
OFFERING DOCUMENT. LEHMAN BROTHERS INC., AND ANY OF ITS AFFILIATES, MAKE NO
REPRESENTATION OR WARRANTY AS TO THE ACTUAL RATE OR TIMING OF PAYMENTS ON ANY OF
THE UNDERLYING ASSETS OR THE PAYMENTS OR YIELD ON THE SECURITIES. THIS
INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF AND WILL BE DEEMED TO BE
SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH RESPECT TO ANY
DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE INFORMATION CONTAINED IN
THE OFFERING DOCUMENT).
<PAGE>
COLLATERAL SUMMARY
Collateral statistics for the Group I Mortgage Loans are listed below as of the
Cut-Off Date.
<TABLE>
GROUP I LOANS
-------------
<S> <C> <C> <C>
TOTAL NUMBER OF LOANS 235
TOTAL OUTSTANDING LOAN BALANCE $14,073,699.73
BALLOON (% OF TOTAL) 23.32%
LEVEL PAY (% OF TOTAL) 76.68%
AVERAGE LOAN PRINCIPAL BALANCE $59,888
WEIGHTED AVERAGE COUPON 12.48%
WEIGHTED AVERAGE ORIGINAL TERM (MONTHS) 303
RANGE OF ORIGINAL TERMS (MONTHS) Level Balloon
----- -------
180: 10.81% 180: 100%
360: 89.19%
WEIGHTED AVERAGE REMAINING TERM (MONTHS) 300
WEIGHTED AVERAGE CLTV 66.95%
WEIGHTED AVERAGE SECOND MORTGAGE RATIO 38.10%
(AS OF ORIGINATION FOR 2ND LIENS ONLY)
LIEN POSITION (FIRST/SECOND) 79.58% / 20.42%
LOANS SUBJECT TO PREPAYMENT PENALTIES 58.74%
PROPERTY TYPE
SINGLE FAMILY 93.39%
CONDO/TOWNHOUSE 3.66%
2-4 FAMILY 2.16%
OTHER 0.79%
OCCUPANCY STATUS
OWNER OCCUPIED 89.17%
NON-OWNER OCCUPIED 10.83%
GEOGRAPHIC DISTRIBUTION CA 27.49%
(Other states account individually for less than 5% of Group OR 10.63%
I principal balance.) WA 10.05%
FL 9.95%
UT 8.12%
CO 7.17%
ORIGINATION YEAR (1995/1996) 2.80% / 97.20%
CREDIT CLASS A: 39.83% C: 11.64%
B: 15.17% C- (D): 33.35%
DAYS DELINQUENT Current: 95.37%
30 - 59 Days: 4.63%
</TABLE>
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED ON THE
BASIS OF CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED
BY THE RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, LOSSES AND OTHER
MATTERS, INCLUDING, BUT NOT LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE
OFFERING DOCUMENT. LEHMAN BROTHERS INC., AND ANY OF ITS AFFILIATES, MAKE NO
REPRESENTATION OR WARRANTY AS TO THE ACTUAL RATE OR TIMING OF PAYMENTS ON ANY OF
THE UNDERLYING ASSETS OR THE PAYMENTS OR YIELD ON THE SECURITIES. THIS
INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF AND WILL BE DEEMED TO BE
SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH RESPECT TO ANY
DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE INFORMATION CONTAINED IN
THE OFFERING DOCUMENT).
<PAGE>
COLLATERAL SUMMARY* (CONTINUED)
Collateral statistics for the Group II Mortgage Loans are listed below as of the
Cut-Off Date.
<TABLE>
<CAPTION>
GROUP II LOANS 6 MONTH LI LOANS 2/28 LOANS
-------------- ---------------- ----------
<S> <C> <C> <C>
TOTAL NUMBER OF LOANS 737 192 536
TOTAL OUTSTANDING LOAN BALANCE $78,048,303.22 $22,758,175.73 $53,907,039.18
BALLOON (% OF TOTAL) 0.09% 0.31% 0%
LEVEL PAY (% OF TOTAL) 99.91% 99.69% 100%
AVERAGE LOAN PRINCIPAL BALANCE $105,900.00 $118,532.17 $100,572.83
WEIGHTED AVERAGE COUPON 10.46% 9.87% 10.69
WEIGHTED AVERAGE MARGIN 6.36% 6.13% 6.45%
WEIGHTED AVERAGE ORIG. TERM (MONTHS) 359 359 359
RANGE OF ORIGINAL TERMS (MONTHS) Level Pay Level Pay Level Pay
--------- --------- ---------
180: 0.56% 180: 0.73% 180: 0.50%
240: 0.05% 360: 99.27% 240: 0.07%
360: 99.39% 360: 99.43%
Balloons Balloon Balloon
180: 100% 180: 100% N/A
WEIGHTED AVERAGE REMAINING TERM (MONTHS) 356 months 356 months 357 months
WEIGHTED AVERAGE LIFECAP 16.96% 16.41% 17.19%
WEIGHTED AVERAGE PERIODIC CAP 1.00%: 78.14% 1.00%: 27.72% 1.00%: 98.86%
1.50%: 21.86% 1.50%: 72.28% 1.50%: 1.14%
WEIGHTED AVERAGE FLOOR 10.35% 9.56% 10.67%
WEIGHTED AVERAGE LTV 69.58% 71.69% 68.71%
LIEN POSITION (FIRST/SECOND) 100% / 0% 100% / 0% 100% / 0%
LOANS SUBJECT TO PREPAYMENT PENALTIES 71.57% 60.10% 76.82%
PROPERTY TYPE
SINGLE FAMILY 91.70% 90.23% 92.29%
TWO TO FOUR FAMILY 3.84% 4.69% 3.41%
TOWNHOUSE/CONDO 3.42% 4.89% 2.89%
OTHER 1.03% 0.18% 1.42%
OCCUPANCY STATUS
OWNER OCCUPIED 92.67% 91.09% 93.16%
INVESTMENT 7.33% 8.91% 6.84%
</TABLE>
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED ON THE
BASIS OF CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED
BY THE RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, LOSSES AND OTHER
MATTERS, INCLUDING, BUT NOT LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE
OFFERING DOCUMENT. LEHMAN BROTHERS INC., AND ANY OF ITS AFFILIATES, MAKE NO
REPRESENTATION OR WARRANTY AS TO THE ACTUAL RATE OR TIMING OF PAYMENTS ON ANY OF
THE UNDERLYING ASSETS OR THE PAYMENTS OR YIELD ON THE SECURITIES. THIS
INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF AND WILL BE DEEMED TO BE
SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH RESPECT TO ANY
DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE INFORMATION CONTAINED IN
THE OFFERING DOCUMENT).
<PAGE>
COLLATERAL SUMMARY* (CONTINUED)
<TABLE>
<CAPTION>
GROUP II LOANS 6 MONTH LI LOANS 2/28 LOANS
-------------- ---------------- ----------
<S> <C> <C> <C>
GEOGRAPHIC DISTRIBUTION
(Other states account CA 23.16% CA 24.71% CA 22.84%
individually for less than 5% of WA 12.71% TX 11.34% WA 13.98%
Group II principal balance.) TX 10.90% CO 10.90% OR 12.51%
OR 10.39% WA 10.46% TX 10.99%
CO 8.76% HI 7.01% UT 8.82%
UT 7.90% UT 6.20% FL 8.41%
FL 7.36% OR 6.01% CO 7.22%
ORIGINATION YEARS 1996: 98.26% 1996: 95.51% 1996: 99.71%
1995: 1.74% 1995: 4.49% 1995: 0.29%
GROUP II LOANS 6 MONTH LI LOANS 2/28 LOANS
-------------- ---------------- ----------
NEXT RATE ADJUSTMENT DATE: 9/96: 0.73% 9/96: 2.50% 12/7: 0.08%
10/96: 4.36% 10/96: 14.95% 1/98: 0.21%
11/96: 4.01% 11/96: 13.75% 2/98: 6.34%
12/96: 2.94% 12/96: 10.09% 3/98: 9.77%
1/97: 3.89% 1/97: 13.35% 4/98: 11.22%
2/97: 7.09% 2/97: 24.30% 5/98: 14.18%
3/97: 6.14% 3/97: 21.06% 6/98: 15.80%
12/97: 0.06% 7/98: 18.22%
1/98: 0.14% 8/98: 15.08%
2/98: 4.38% 9/98: 9.09%
3/98: 6.75%
4/98: 7.75%
5/98: 9.80%
6/98: 10.91%
7/98: 12.59%
8/98: 10.41%
9/98: 6.38%
1/99+: 1.67%
CREDIT CLASS A: 50.12% A: 61.25% A: 45.69%
B: 22.68% B: 14.91% B: 25.80%
C: 6.84% C: 6.12% C: 7.24%
C- ( D): 20.36% C- ( D): 17.71% C- ( D): 21.27%
DAYS DELINQUENT Current: 98.63% Current: 99.70% Current: 98.14%
30 - 59 Days: 1.37% 30 - 59 Days: 0.30% 30 - 59 Days: 1.86%
</TABLE>
*Approximately 1.5% of the Mortgage Loans are 6 month LIBOR loans with either a
three or a five year fixed period and a semi-annual rate adjustments thereafter.
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED ON THE
BASIS OF CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED
BY THE RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, LOSSES AND OTHER
MATTERS, INCLUDING, BUT NOT LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE
OFFERING DOCUMENT. LEHMAN BROTHERS INC., AND ANY OF ITS AFFILIATES, MAKE NO
REPRESENTATION OR WARRANTY AS TO THE ACTUAL RATE OR TIMING OF PAYMENTS ON ANY OF
THE UNDERLYING ASSETS OR THE PAYMENTS OR YIELD ON THE SECURITIES. THIS
INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF AND WILL BE DEEMED TO BE
SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH RESPECT TO ANY
DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE INFORMATION CONTAINED IN
THE OFFERING DOCUMENT).
<PAGE>
SENSITIVITY ANALYSIS
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
<TABLE>
WITHOUT A 10% CLEANUP CALL
- ------------------------------ --------------- -------------- --------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
% of Prepayment Assumption 50% 75% 100% 125% (1) 150% 175%
Implied Seasoned CPR 10% 15% 20% 25% 30% 35%
Class A-1
Avg. Life (yrs) 7.71 5.60 4.31 3.47 2.88 2.45
Duration (yrs) 4.94 3.92 3.22 2.72 2.34 2.04
Window (mths) 343 304 248 200 175 147
Yield @ 99.97711% 7.562 7.537 7.511 7.483 7.454 7.424
Class A-2
Avg. Life (yrs) 8.05 5.72 4.35 3.48 2.88 2.45
Duration (yrs) 5.58 4.31 3.48 2.90 2.47 2.15
Window (mths) 347 316 264 215 177 149
Yield @100% 5.833 5.838 5.841 5.842 5.844 5.844
- ------------------------------ --------------- -------------- --------------- --------------- --------------- ---------------
<CAPTION>
WITH A 10% CLEANUP CALL
- ------------------------------ --------------- -------------- --------------- --------------- --------------- ---------------
<S> <C> <C> <C> <C> <C> <C>
% of Prepayment Assumption 50% 75% 100% 125% (1) 150% 175%
Implied Seasoned CPR 10% 15% 20% 25% 30% 35%
Class A-1
Avg. Life (yrs) 7.44 5.32 4.03 3.23 2.68 2.28
Duration (yrs) 4.89 3.85 3.12 2.61 2.23 1.94
Window (mths) 228 165 124 99 81 68
Yield @ 99.97711% 7.561 7.535 7.506 7.476 7.445 7.413
Class A-2
Avg. Life (yrs) 7.64 5.33 4.03 3.23 2.67 2.27
Duration (yrs) 5.46 4.16 3.32 2.76 2.34 2.03
Window (mths) 228 165 124 99 81 68
Yield @ 100% 5.827 5.827 5.827 5.827 5.827 5.827
- ------------------------------ --------------- -------------- --------------- --------------- --------------- ---------------
</TABLE>
(1) The Prepayment Assumption assumes a conditional prepayment rate of 4.0% per
annum of the then-outstanding principal balance of the mortgage loans in the
first month of the life of the mortgage loans and an additional 1.455%
(precisely, 16/11%) per annum in each month thereafter until the twelfth month.
Beginning in the twelfth month and in each month thereafter during the life of
the mortgage loans, the 100% Prepayment Assumption assumes a conditional
prepayment rate of 20.0% per annum each month. The data above use 125% of the
Prepayment Assumption.
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED ON THE
BASIS OF CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED
BY THE RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, LOSSES AND OTHER
MATTERS, INCLUDING, BUT NOT LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE
OFFERING DOCUMENT. LEHMAN BROTHERS INC., AND ANY OF ITS AFFILIATES, MAKE NO
REPRESENTATION OR WARRANTY AS TO THE ACTUAL RATE OR TIMING OF PAYMENTS ON ANY OF
THE UNDERLYING ASSETS OR THE PAYMENTS OR YIELD ON THE SECURITIES. THIS
INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF AND WILL BE DEEMED TO BE
SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH RESPECT TO ANY
DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE INFORMATION CONTAINED IN
THE OFFERING DOCUMENT).
