- --------------------------------------------------------------------------------
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 11, 1996
Advanta Mortgage Loan Trust 1996-3
(Exact name of registrant as specified in its charter)
New York 33-99510 Application Pending
(State or Other Jurisdiction (Commission (I.R.S. Employer
of Incorporation) File Number) Identification No.)
c/o Advanta Mortgage Conduit 92127
Services, Inc. (Zip Code)
Attention: Milton Riseman
16875 West Bernardo Drive
San Diego, California
(Address of Principal
Executive Offices)
Registrant's telephone number, including area code (619) 674-1800
<PAGE>
- --------------------------------------------------------------------------------
(Former name or former address, if changed since last report)
- --------------------------------------------------------------------------------
<PAGE>
Item 5. Other Events
In connection with the offering of Advanta Mortgage Loan Trust
1996-3 Mortgage Loan Asset-Backed Certificates, Series 1996-3, described in a
Prospectus Supplement dated as of Sepetember 11, 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 the Securities Exchange Act of
1934, the registrant has duly caused this report to be signed on its behalf by
the undersigned hereunto duly authorized.
ADVANTA MORTGAGE LOAN TRUST 1996-3
By: Advanta Mortgage Conduit Services,
Inc., as Sponsor
By: S/ Mark Casale
-------------------------------------------
Name: Mark Casale
Title: Vice-President
Dated: September 11, 1996
<PAGE>
EXHIBIT INDEX
Exhibit No. Description Page No.
- ----------- ----------- --------
99.1 Related Computational 5
Materials (as defined
in Item 5 above).
<PAGE>
EXHIBIT 99.1
<PAGE>
$400,000,000 (Approximate)
Advanta Mortgage Loan Trust
Mortgage Loan Asset-Backed Certificates, Series 1996-3
Advanta Mortgage Conduit Services, Inc.
Sponsor
Advanta Mortgage Corp. USA
Master Servicer
$280,000,000.00 (Approximate) [ ]% Class A-1
$120,000,000.00 (Approximate) [ ]% Class A-2
This information has been prepared in connection with the issuance of
securities representing interests in the above trust, and is based in part on
information provided by Advanta Mortgage Corp. USA, a Delaware corporation, with
respect to the expected characteristics of the pool of closed-end mortgage loans
in which these securities will represent undivided beneficial interests. This
information supersedes all prior information that may have been delivered to you
with respect to such expected characteristics of such pool of closed-end
mortgage loans. The actual characteristics and performance of the closed-end
mortgage loans will differ from the assumptions used in preparing these
materials, which are hypothetical in nature. Changes in the assumptions may have
a material impact on the information set forth in these materials. No
representation is made that any performance or return indicated herein will be
achieved. For example, it is very unlikely that closed-end mortgage loans will
prepay at a constant rate or follow a predictable pattern. This information may
not be used or otherwise disseminated in connection with the offer or sale of
these or any other securities, except in connection with the initial offer or
sale of these securities to you to the extent set forth below. NO REPRESENTATION
IS MADE AS TO THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE
MATERIALS OR THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is
available upon request. These materials do not constitute an offer to buy or
sell or a solicitation of an offer to buy or sell any security or instrument or
to participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
$400,000,000 (Approximate)
ADVANTA Mortgage Loan Trust
Mortgage Loan Asset-Backed Certificates, Series 1996-3
ADVANTA Mortgage Corp. USA
Master Servicer
Transaction Highlights
<TABLE>
<CAPTION>
Average Expected Final Legal
Class Size(2) Ratings Life to Pricing Maturity to Final
Class(1) Class Size(2) (%) (Moody's/S&P) 10% Call(3) Index 10% Call(3) Maturity
==========================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
A-1 $280,000,000 70.0% Aaa / AAA 3.42 yrs. 1-mo. LIBOR 12/25/04 TBD
A-2 $120,000,000 30.0% Aaa / AAA 2.96 yrs. 1-mo. LIBOR 12/25/04 TBD
- ----------------------------------------------------------------------------------------------------------
Total $400,000,000 100.0% Aaa / AAA -- -- 12/25/04 TBD
- ----------------------------------------------------------------------------------------------------------
Notes: (1) The Class A-1 certificates are backed by the Group I (fixed rate)
pool of mortgage loans and the Class A-2 certificates by Group II
(ARM) pool of mortgage loans.
(2) Approximate.
(3) Class A-1 is priced at a prepayment speed of 115% of the prepayment
assumption (PPM). A 100% PPM prepayment assumption has prepayments
starting at 3.0% CPR in month 1, increasing by 1.55% per month to 20%
CPR in month 12, and remaining at 20% CPR thereafter on a seasoning
adjusted basis. Class A-2 assumes a constant prepayment speed of 25%
CPR.
Originator/Master Servicer: Advanta Mortgage Corp. USA ("Advanta") and
affiliates.
Trustee: Bankers Trust Company of California.
Distribution Dates: The 25th of each month, beginning October 25,
1996.
Certificate Insurance Policy: 100% coverage of principal and interest due to
certificates, provided by FGIC.
Available Funds Cap: The Certificates are subject to an Available
Funds Cap at the Net Funds Cap Rate. The Net
Funds Cap Rate is the weighted average loan
rate less the monthly servicing fee, surety
fee, and a 75 basis points "carve out" for the
Class A-1 and a 50 basis points "carve out"
after month 9 for Class A-2 to be used for
additional credit enhancement only if net
losses exceed the Excess Servicing in a given
month. There is a full "catch-up" feature for
certificate interest and principal shortfalls
with any shortfalls paid back in future
periods. The ABS coupon subject to shortfall
coverage is uncapped for Class A-1 and capped
at the Net ARM life cap less the surety bond
fee on Class A-2. The shortfall payment
recoveries are not guaranteed by FGIC.
Pricing Prepayment Speed:
Class A-1 The prepayment assumption is 115% of the
prepayment curve, which equates to a
prepayment speed of 3.45% CPR in the first
month, increasing by 1.78% CPR each month to
23.0% CPR in month 12, and remaining at 23.0%
CPR thereafter.
Class A-2 25% CPR.
Day Count Basis: Actual/360 day interest accrual
Optional Clean-up Call: 10% of original pool balance
Trust Tax Status: REMIC trust
Advanta 1996-3 Collateral Description
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Advanta Mortgage Corp. USA, a Delaware corporation, with respect to
the expected characteristics of the pool of closed-end mortgage loans in which
these securities will represent undivided beneficial interests. This information
supersedes all prior information that may have been delivered to you with
respect to such expected characteristics of such pool of closed-end mortgage
loans. The actual characteristics and performance of the closed-end mortgage
loans will differ from the assumptions used in preparing these materials, which
are hypothetical in nature. Changes in the assumptions may have a material
impact on the information set forth in these materials. No representation is
made that any performance or return indicated herein will be achieved. For
example, it is very unlikely that closed-end mortgage loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Collateral: The collateral pool will consist of a combination of first and
senior lien home equity loans. These loans are predominantly used by
borrowers to consolidate debt, to refinance an existing mortgage
loan on more favorable terms, or to obtain cash proceeds by
borrowing against the homeowner's equity in the related mortgage
property.
Note that the following collateral description is only reflective of
$212 million of fixed rate loans and $90 million of ARM loans.
However, the transaction will be fully funded based on Advanta's new
loan originations, for a total transaction size of $400 million as
of the closing date of this transaction. There will be no prefunding
in this transaction.
</TABLE>
<TABLE>
<CAPTION>
Fixed Rate Home Equity Loans - Group I ARM Home Equity Loans - Group II
-------------------------------------- --------------------------------
<S> <C> <C>
Aggregate Pool Balance: $212.1 million $90.5 million
Number of Loans: 3,645 829
Average Outstanding Balance: $58,192.5 $109,195.9
Total Original Balance: $212.7 million $91.0 million
Average Original Balance: $58,345.9 $109,738.7
Lien Position: 88.3% firsts; 11.7% non-firsts 100% firsts
Combined Loan to Value Ratio(1): 74.3% (33.7% at 80%+) 77.9% (43.4% at 80%+)
Average Junior Lien Mortgage Ratio: 36.2% N/A
Loan Type: 100% Fixed Rate 100% Adjustable Rate
Original Weighted Average Term: 229.00 months (56.0% 180-month maturity 27.0% 355.37 months (91.8% 360 months rem.
360-month maturity) term)
Remaining Weighted Average Maturity: 227.04 months 350.46 months
Weighted Average Seasoning: 1.96 months 4.91 months
Interest Rate Index: N/A 78.0% 6-mo. LIBOR
21.2% 1-yr. UST
0.4% 3-mo. LIBOR
Property Type: a) 91.2% single family a) 94.4% single family
b) 4.6% 2-4 family b) 4.0% 2-4 family
c) 4.2% other c) 1.6% other
Owner Occupancy: a) 93.9% owner occupied a) 97.3% owner occupied
b) 6.1% investor property b) 2.7% investor property
Weighted Average Gross Coupon: 11.21% 9.90% (Current rate only)
Weighted Average Gross Margin: N/A a) 5.55% for 6-month LIBOR ARMs
b) 5.20% for 1-yr. UST ARMs
Latest Scheduled Maturity: Expected 2026 Expected 2026
Geographic Distribution (> 5%): CA (9.6%), PA (8.2%), MD (6.9%), NC (6.0%), IL CA (20.4%), IL (8.4%), MD (7.4%), OH
(6.0%), OH (5.8%), NJ (5.4%), VA (5.4%), NY (7.3%), WA (6.1%), UT (5.7%)
(5.2%), FL (5.0%)
</TABLE>
Note: (1) Excludes first mortgages. Defined as the ratio of the current
principal balance of the mortgage loan to the sum of the current
principal balance of the loan and the principal balance at the time of
origination of any senior liens.
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Advanta Mortgage Corp. USA, a Delaware corporation, with respect to
the expected characteristics of the pool of closed-end mortgage loans in which
these securities will represent undivided beneficial interests. This information
supersedes all prior information that may have been delivered to you with
respect to such expected characteristics of such pool of closed-end mortgage
loans. The actual characteristics and performance of the closed-end mortgage
loans will differ from the assumptions used in preparing these materials, which
are hypothetical in nature. Changes in the assumptions may have a material
impact on the information set forth in these materials. No representation is
made that any performance or return indicated herein will be achieved. For
example, it is very unlikely that closed-end mortgage loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Advanta Mortgage Loan Trust 1996-3
GROUP I - Fixed Rate Pool
Number of Aggregate Principal % of Aggregate
State Mortgage Loans Balance Principal Balance(*)
- -------------- -------------- ------------------- --------------------
California 247 20,270,012.67 9.56
Pennsylvania 359 17,294,223.24 8.15
Maryland 233 14,627,907.43 6.90
North Carolina 225 12,697,817.90 5.99
Illinois 203 12,679,823.59 5.98
Ohio 266 12,334,738.89 5.82
New Jersey 155 11,509,178.50 5.43
Virginia 212 11,445,000.45 5.40
New York 165 11,059,736.86 5.21
Florida 182 10,600,340.88 5.00
Michigan 170 9,225,146.74 4.35
South Carolina 132 5,975,093.39 2.82
Wisconsin 78 5,238,295.95 2.47
Colorado 93 5,103,561.82 2.41
Georgia 80 4,427,196.40 2.09
Massachusetts 52 4,068,337.62 1.92
Indiana 83 3,867,937.13 1.82
Connecticut 39 3,599,128.94 1.70
Oregon 53 3,388,752.44 1.60
Arizona 74 3,293,926.29 1.55
Utah 53 3,196,517.08 1.51
Indiana 41 2,695,636.68 1.27
Missouri 57 2,600,956.42 1.23
Kentucky 43 2,108,658.87 0.99
Delaware 28 1,950,005.43 0.92
Washington D.C. 26 1,790,165.49 0.84
Louisiana 40 1,611,897.70 0.76
Texas 21 1,357,603.79 0.64
Mississippi 33 1,307,973.51 0.62
Oklahoma 28 1,264,467.63 0.60
Wisconsin 21 1,244,688.73 0.59
West Virginia 17 1,060,671.88 0.50
Arkansas 15 769,733.43 0.36
Rhode Island 12 757,488.66 0.36
New Mexico 18 752,799.65 0.35
Minnesota 14 720,134.82 0.34
Iowa 13 607,048.56 0.29
Hawaii 4 542,421.26 0.26
Nevada 7 493,196.66 0.23
Kansas 12 355,231.58 0.17
New Hampshire 5 335,461.13 0.16
Idaho 7 326,190.97 0.15
Montana 5 318,133.84 0.15
Wyoming 4 286,036.44 0.13
Nebraska 6 270,897.07 0.13
Maine 4 244,305.96 0.12
Vermont 4 228,446.05 0.11
Alabama 3 104,454.39 0.05
South Dakota 2 77,464.96 0.04
North Dakota 1 26,727.43 0.01
----- -------------- ------
TOTAL 3,645 212,111,573.20 100.00
===== ============== ======
* Percentages may not sum to exactly 100% due to rounding
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Advanta Mortgage Corp. USA, a Delaware corporation, with respect to
the expected characteristics of the pool of closed-end mortgage loans in which
these securities will represent undivided beneficial interests. This information
supersedes all prior information that may have been delivered to you with
respect to such expected characteristics of such pool of closed-end mortgage
loans. The actual characteristics and performance of the closed-end mortgage
loans will differ from the assumptions used in preparing these materials, which
are hypothetical in nature. Changes in the assumptions may have a material
impact on the information set forth in these materials. No representation is
made that any performance or return indicated herein will be achieved. For
example, it is very unlikely that closed-end mortgage loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Advanta Mortgage Loan Trust 1996-3
GROUP I - Fixed Rate Pool
Range of CLTV Number of Aggregate Principal % of Aggregate
Ratios Mortgage Loans Balance Principal Balance(*)
- -------------- -------------- ------------------- --------------------
0+ to 10 2 34,209.90 0.02
10+ to 20 22 508,508.52 0.24
20+ to 30 70 2,450,142.38 1.16
30+ to 40 115 4,513,340.44 2.13
40+ to 50 166 7,516,051.09 3.54
50+ to 60 248 12,171,043.72 5.74
60+ to 70 489 29,390,601.51 13.86
70+ to 80 1,346 84,108,434.56 39.65
80+ to 90 1,165 70,270,435.20 33.13
90+ to 100 22 1,148,896.88 0.54
----- -------------- ------
TOTAL 3,645 212,111,573.20 100.00
===== ============== ======
Range of Current Number of Aggregate Principal % of Aggregate
Mortgage Rates Mortgage Loans Balance Principal Balance(*)
- ---------------- -------------- ------------------- --------------------
6 to <7 1 43,641.88 0.02
7 to <8 8 609,565.75 0.29
8 to <9 78 5,850,252.23 2.76
9 to <10 655 46,606,427.73 21.97
10 to <11 830 54,321,203.58 25.61
11 to <12 750 44,038,198.42 20.76
12 to <13 684 34,364,952.49 16.20
13 to <14 415 18,314,015.03 8.63
14 to <15 155 5,977,436.56 2.82
15 to <16 49 1,466,739.62 0.69
16 to <17 18 474,222.57 0.22
17 to <18 1 15,780.19 0.01
18 to <19 1 29,137.15 0.01
----- -------------- ------
TOTAL 3,645 212,111,573.20 100.00
===== ============== ======
* Percentages may not sum to exactly 100% due to rounding
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Advanta Mortgage Corp. USA, a Delaware corporation, with respect to
the expected characteristics of the pool of closed-end mortgage loans in which
these securities will represent undivided beneficial interests. This information
supersedes all prior information that may have been delivered to you with
respect to such expected characteristics of such pool of closed-end mortgage
loans. The actual characteristics and performance of the closed-end mortgage
loans will differ from the assumptions used in preparing these materials, which
are hypothetical in nature. Changes in the assumptions may have a material
impact on the information set forth in these materials. No representation is
made that any performance or return indicated herein will be achieved. For
example, it is very unlikely that closed-end mortgage loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Advanta Mortgage Loan Trust 1993-3
GROUP I - Fixed Rate Pool
Range of LTV Number of Aggregate Principal % of Aggregate
Ratios Mortgage Loans Balance Principal Balance(*)
- ------------ -------------- ------------------- --------------------
0+ to 10 56 850,105.67 0.40
10+ to 20 348 8,717,449.22 4.11
20+ to 30 293 10,011,921.33 4.72
30+ to 40 213 8,245,232.01 3.89
40+ to 50 196 9,156,731.62 4.32
50+ to 60 244 12,591,316.16 5.94
60+ to 70 451 28,849,540.14 13.60
70+ to 80 1,076 75,481,103.49 35.59
80+ to 90 752 57,301,279.49 0.43
90+ to 100 16 906,894.07 0.43
----- -------------- ------
TOTAL 3,645 212,111,573.20 100.00
===== ============== ======
Range of Principal Number of Aggregate Principal % of Aggregate
Balance Mortgage Loans Balance Principal Balance(*)
- ------------------ -------------- ------------------- --------------------
0 to <10000 16 130,390.50 0.06
10000 to <20000 355 5,704,564.70 2.69
20000 to <30000 522 13,263,325.01 6.25
30000 to <40000 511 18,054,713.37 8.51
40000 to <50000 498 22,425,646.03 10.57
50000 to <60000 430 23,580,924.12 11.12
60000 to <70000 325 21,096,087.81 9.95
70000 to <80000 241 18,053,195.58 8.51
80000 to <90000 159 13,539,732.05 6.38
90000 to <100000 145 13,776,070.54 6.49
100000 to <120000 191 20,969,065.09 9.89
120000 to <140000 107 13,890,861.09 6.55
140000 to <160000 56 8,341,393.50 3.93
160000 to <180000 29 4,898,096.83 2.31
180000 to <200000 21 3,981,282.02 1.88
>=200000 39 10,406,224.96 4.91
----- -------------- ------
TOTAL 3,645 212,111,573.20 100.00
===== ============== ======
* Percentages may not sum to exactly 100% due to rounding
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Advanta Mortgage Corp. USA, a Delaware corporation, with respect to
the expected characteristics of the pool of closed-end mortgage loans in which
these securities will represent undivided beneficial interests. This information
supersedes all prior information that may have been delivered to you with
respect to such expected characteristics of such pool of closed-end mortgage
loans. The actual characteristics and performance of the closed-end mortgage
loans will differ from the assumptions used in preparing these materials, which
are hypothetical in nature. Changes in the assumptions may have a material
impact on the information set forth in these materials. No representation is
made that any performance or return indicated herein will be achieved. For
example, it is very unlikely that closed-end mortgage loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Advanta Mortgage Loan Trust 1996-3
GROUP I - Fixed Rate Pool
% of Aggregate
Months Remaining To Number of Aggregate Principal Principal
Maturity Mortgage Loans Balance Balance(*)
- ------------------- -------------- ------------------- --------------
0 to 11 2 2599.00 0.12
24 to 35 2 99173.26 0.05
36 to 47 2 21198.27 0.01
48 to 59 37 1075223.05 0.51
60 to 71 18 365504.19 0.17
72 to 83 48 1306874.89 0.62
84 to 95 33 1403510.05 0.66
96 to 107 11 399387.07 0.19
108 to 119 232 7807195.11 3.68
120 to 131 44 1657891.59 0.78
132 to 143 22 1095258.32 0.52
144 to 155 19 1026118.27 0.48
156 to 167 1 51986.11 0.02
168 to 179 1,789 101570976.61 47.89
180 to 191 351 17588807.01 8.29
192 to 203 5 377865.19 0.18
204 to 215 3 163526.28 0.08
216 to 227 63 4196914.54 1.98
228 to 239 174 11077932.73 5.22
240 to 251 19 991160.78 0.47
252 to 263 1 76536.57 0.04
288 to 299 22 1745227.92 0.82
300 to 311 1 800.00 0.04
312 to 323 1 139464.20 0.07
336 to 347 3 144788.19 0.07
348 to 359 596 46799493.61 22.06
360 to 371 146 10589659.39 4.99
----- -------------- ------
TOTAL 3,645 212,111,573.20 100.00
===== ============== ======
% of Aggregate
Months Elapsed Since Number of Aggregate Principal Principal
Origination Mortgage Loans Balance Balance(*)
- -------------------- -------------- ------------------- --------------
0 653 35,862,120.28 16.91
1 1,066 63,037,917.92 29.72
2 1,023 59,644,763.56 28.12
3 599 35,363,735.35 16.67
4 195 11,754,217.68 5.54
5 59 3,682,586.30 1.74
6 16 1,031,958.26 0.49
>=7 34 1,734,273.85 0.82
----- -------------- ------
TOTAL 3,645 212,111,573.00 100.00
===== ============== ======
* Percentages may not sum to exactly 100% due to rounding
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Advanta Mortgage Corp. USA, a Delaware corporation, with respect to
the expected characteristics of the pool of closed-end mortgage loans in which
these securities will represent undivided beneficial interests. This information
supersedes all prior information that may have been delivered to you with
respect to such expected characteristics of such pool of closed-end mortgage
loans. The actual characteristics and performance of the closed-end mortgage
loans will differ from the assumptions used in preparing these materials, which
are hypothetical in nature. Changes in the assumptions may have a material
impact on the information set forth in these materials. No representation is
made that any performance or return indicated herein will be achieved. For
example, it is very unlikely that closed-end mortgage loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Advanta Mortgage Loan Trust 1996-3
GROUP I - Fixed Rate Pool
% of Aggregate
Number of Aggregate Principal Principal
Lien Position Mortgage Loans Balance Balance(*)
- -------------------- -------------- ------------------- --------------
1st Lien 2,852 187,290,080.77 88.30
2nd Lien 790 24,758,782.03 11.67
3rd Lien 3 54,710.40 0.03
----- -------------- ------
TOTAL 3,645 212,111,573.20 100.00
===== ============== ======
% of Aggregate
Number of Aggregate Principal Principal
Occupancy Status Mortgage Loans Balance Balance(*)
- -------------------- -------------- ------------------- --------------
Owner Occupied 3,402 199,098,429.08 93.86
Investor Property 243 13,013,144.12 6.14
----- -------------- ------
TOTAL 3,645 212,111,573.20 100.00
===== ============== ======
% of Aggregate
Number of Aggregate Principal Principal
Property Description Mortgage Loans Balance Balance(*)
- -------------------- -------------- ------------------- --------------
Single Family 3,294 193,437,582.18 91.20
2 Units 116 6,559,293.32 3.09
Townhouse 84 3,839,849.48 1.81
3-4 Units 43 3,137,709.08 1.48
Manufactured Housing 62 2,842,682.20 1.34
Condominium 46 2,294,456.94 1.08
----- -------------- ------
TOTAL 3,645 212,111,573.20 100.00
===== ============== ======
* Percentages may not sum to exactly 100% due to rounding
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Advanta Mortgage Corp. USA, a Delaware corporation, with respect to
the expected characteristics of the pool of closed-end mortgage loans in which
these securities will represent undivided beneficial interests. This information
supersedes all prior information that may have been delivered to you with
respect to such expected characteristics of such pool of closed-end mortgage
loans. The actual characteristics and performance of the closed-end mortgage
loans will differ from the assumptions used in preparing these materials, which
are hypothetical in nature. Changes in the assumptions may have a material
impact on the information set forth in these materials. No representation is
made that any performance or return indicated herein will be achieved. For
example, it is very unlikely that closed-end mortgage loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Advanta Mortgage Loan Trust 1996-3
GROUP I - Fixed Rate Pool
Range of % of Aggregate
Junior Lien Ratios Number of Aggregate Principal Principal
(Junior Liens Only) Mortgage Loans Balance Balance(*)
- ---------------------- -------------- ------------------- --------------
0 to <5 1 133,900.00 0.54
5 to <10 23 301,838.47 1.22
10 to <15 68 1,138,210.77 4.59
15 to <20 113 2,666,094.15 10.74
20 to <25 149 4,260,874.23 17.17
25 to <30 120 3,749,934.92 15.11
30 to <35 83 2,987,578.91 12.04
35 to <40 55 1,807,820.26 7.29
40 to <45 45 1,597,900.09 6.44
45 to <50 26 928,007.80 3.74
50 to <55 22 1,016,798.58 4.10
55 to <60 20 821,253.87 3.31
60 to <65 17 863,662.55 3.48
65 to <70 11 408,880.44 1.65
70 to <75 8 284,097.32 1.14
75 to <80 14 766,702.75 3.09
80 to <85 6 266,317.02 1.07
85 to <90 4 181,772.59 0.73
90 to <95 6 440,391.86 1.77
95 to <100 2 191,445.85 0.77
----- -------------- ------
TOTAL 793 24,813,492.43 100.00
===== ============== ======
* Percentages may not sum to exactly 100% due to rounding
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Advanta Mortgage Corp. USA, a Delaware corporation, with respect to
the expected characteristics of the pool of closed-end mortgage loans in which
these securities will represent undivided beneficial interests. This information
supersedes all prior information that may have been delivered to you with
respect to such expected characteristics of such pool of closed-end mortgage
loans. The actual characteristics and performance of the closed-end mortgage
loans will differ from the assumptions used in preparing these materials, which
are hypothetical in nature. Changes in the assumptions may have a material
impact on the information set forth in these materials. No representation is
made that any performance or return indicated herein will be achieved. For
example, it is very unlikely that closed-end mortgage loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Advanta Mortgage Loan Trust 1996-3
GROUP II - Adjustable Rate Pool
Number of Aggregate-Principal % of Aggregate
State Mortgage Loans Balance Principal Balance(*)
- -------------- -------------- ------------------- --------------------
California 123 18,456,939.84 20.39
Illinois 67 7,623,572.31 8.42
Maryland 60 6,687,062.58 7.38
Ohio 88 6,605,193.74 7.30
Washington 36 5,536,109.84 6.12
Utah 47 5,144,828.34 5.68
Pennsylvania 43 4,275,972.76 4.72
New Jersey 38 4,230,529.10 4.67
Virginia 40 4,174,584.05 4.61
Michigan 44 3,751,179.82 4.14
Oregon 23 2,863,850.24 3.16
Colorado 27 2,611,489.03 2.88
Georgia 22 2,423,068.28 2.68
Massachusetts 16 2,173,450.98 2.40
Connecticut 15 1,963,284.58 2.17
New York 18 1,753,482.37 1.94
Texas 16 1,657,580.22 1.83
Indiana 16 1,070,894.87 1.18
Delaware 10 896,159.67 0.99
Kentucky 8 824,460.07 0.91
Arizona 9 680,330.23 0.75
North Carolina 5 581,479.12 0.64
Tennessee 4 509,961.12 0.56
Florida 7 496,983.49 0.55
New Mexico 5 461,167.19 0.51
Minnesota 6 447,179.41 0.49
Washington D.C. 3 306,728.16 0.34
Iowa 4 298,896.03 0.33
New Hampshire 4 276,595.58 0.31
Idaho 3 265,372.41 0.29
Rhode Island 3 215,899.64 0.24
Maine 2 174,276.05 0.19
Oklahoma 3 169,340.02 0.19
Mississippi 2 161,277.44 0.18
West Virginia 1 141,035.90 0.16
Missouri 3 132,657.62 0.15
Kansas 2 131,847.95 0.15
Louisiana 2 109,484.58 0.12
Nevada 1 83,834.87 0.09
Montana 1 79,333.00 0.09
Wisconsin 1 53,980.32 0.06
Alabama 1 28,030.48 0.03
--- ------------- ------
TOTAL 829 90,523,383.30 100.00
=== ============= ======
* Percentages may not sum to exactly 100% due to rounding
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Advanta Mortgage Corp. USA, a Delaware corporation, with respect to
the expected characteristics of the pool of closed-end mortgage loans in which
these securities will represent undivided beneficial interests. This information
supersedes all prior information that may have been delivered to you with
respect to such expected characteristics of such pool of closed-end mortgage
loans. The actual characteristics and performance of the closed-end mortgage
loans will differ from the assumptions used in preparing these materials, which
are hypothetical in nature. Changes in the assumptions may have a material
impact on the information set forth in these materials. No representation is
made that any performance or return indicated herein will be achieved. For
example, it is very unlikely that closed-end mortgage loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Advanta Mortgage Loan Trust 1996-3
GROUP II - Adjustable Rate Pool
Range of CLTV Number of Aggregate Principal % of Aggregate
Ratios Mortgage Loans Balance Principal Balance(*)
- -------------- -------------- ------------------- --------------------
10+ to 20 1 140,000.00 0.15
20+ to 30 3 139,836.18 0.15
30+ to 40 8 389,555.95 0.43
40+ to 50 13 877,123.78 0.97
50+ to 60 43 3,520,111.85 3.89
60+ to 70 94 10,872,524.00 12.01
70+ to 80 309 35,307,019.02 39.00
80+ to 90 351 38,697,577.66 42.75
90+ to 100 7 579,634.86 0.64
--- ------------- ------
TOTAL 829 90,523,383.30 100.00
=== ============= ======
Range of Current Number of Aggregate Principal % of Aggregate
Mortgage Rates Mortgage Loans Balance Principal Balance(*)
- ---------------- -------------- ------------------- --------------------
5 to <6 1 449,398.18 0.50
7 to <8 24 2,652,126.92 2.93
8 to <9 166 21,696,335.69 23.97
9 to <10 244 26,670,559.09 29.46
10 to <11 206 21,450,336.52 23.70
11 to <12 109 10,984,133.43 12.13
12 to <13 61 5,151,654.81 5.69
13 to <14 15 1,251,816.76 1.38
14 to <15 3 217,021.90 0.24
--- ------------- ------
TOTAL 829 90,523,383.30 100.00
=== ============= ======
* Percentages may not sum to exactly 100% due to rounding
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Advanta Mortgage Corp. USA, a Delaware corporation, with respect to
the expected characteristics of the pool of closed-end mortgage loans in which
these securities will represent undivided beneficial interests. This information
supersedes all prior information that may have been delivered to you with
respect to such expected characteristics of such pool of closed-end mortgage
loans. The actual characteristics and performance of the closed-end mortgage
loans will differ from the assumptions used in preparing these materials, which
are hypothetical in nature. Changes in the assumptions may have a material
impact on the information set forth in these materials. No representation is
made that any performance or return indicated herein will be achieved. For
example, it is very unlikely that closed-end mortgage loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Advanta Mortgage Loan Trust 1996-3
GROUP II - Adjustable Rate Pool
Range of LTV Number of Aggregate Principal % of Aggregate
Ratios Mortgage Loans Balance Principal Balance(*)
- ------------ -------------- ------------------- --------------------
10+ to 20 1 140,000.00 0.15
20+ to 30 4 156,703.08 0.17
30+ to 40 7 372,689.05 0.41
40+ to 50 15 1,104,351.31 1.22
50+ to 60 42 3,411,204.32 3.77
60+ to 70 104 11,754,658.20 12.99
70+ to 80 310 35,720,660.01 39.46
80+ to 90 345 37,813,817.33 41.77
90+ to 100 1 49,300.80 0.05
--- ------------- ------
TOTAL 829 90,523,383.30 100.00
=== ============= ======
Range of Principal Number of Aggregate Principal % of Aggregate
Balance Mortgage Loans Balance Principal Balance(*)
- ------------------ -------------- ------------------- --------------------
10000 to <20000 4 68,897.73 0.08
20000 to <30000 12 324,788.79 0.36
30000 to <40000 24 858,587.84 0.95
40000 to <50000 43 1,979,694.83 2.19
50000 to <60000 78 4,334,543.38 4.79
60000 to <70000 96 6,260,693.98 6.92
70000 to <80000 73 5,473,053.92 6.05
80000 to <90000 68 5,784,077.48 6.39
90000 to <100000 64 6,085,060.16 6.72
100000 to <120000 125 13,711,203.27 15.15
120000 to <140000 72 9,280,784.17 10.25
140000 to <160000 37 5,495,400.19 6.07
160000 to <180000 36 6,124,074.12 6.77
180000 to <200000 27 5,158,118.65 5.70
200000 to <250000 31 6,974,602.01 7.70
250000 to <300000 22 6,033,702.50 6.67
300000 to <350000 7 2,234,165.13 2.47
350000 to <400000 5 1,929,588.88 2.13
>=400000 5 2,412,346.27 2.66
--- ------------- ------
TOTAL 829 90,523,383.30 100.00
=== ============= ======
* Percentages may not sum to exactly 100% due to rounding
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Advanta Mortgage Corp. USA, a Delaware corporation, with respect to
the expected characteristics of the pool of closed-end mortgage loans in which
these securities will represent undivided beneficial interests. This information
supersedes all prior information that may have been delivered to you with
respect to such expected characteristics of such pool of closed-end mortgage
loans. The actual characteristics and performance of the closed-end mortgage
loans will differ from the assumptions used in preparing these materials, which
are hypothetical in nature. Changes in the assumptions may have a material
impact on the information set forth in these materials. No representation is
made that any performance or return indicated herein will be achieved. For
example, it is very unlikely that closed-end mortgage loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Advanta Mortgage Loan Trust 1996-3
GROUP II - Adjustable Rate Pool
% of Aggregate
Number of Aggregate Principal Principal
Occupancy Status Mortgage Loans Balance Balance(*)
- -------------------- -------------- ------------------- --------------
Owner Occupied 805 88,106,564.58 97.33
Investor Property 24 2,416,818.72 2.67
--- ------------- ------
TOTAL 829 90,523,383.30 100.00
=== ============= ======
% of Aggregate
Number of Aggregate Principal Principal
Property Description Mortgage Loans Balance Balance(*)
- -------------------- -------------- ------------------- --------------
Single Family 777 85,474,128.52 94.42
2 Units 26 2,928,173.34 3.23
Condominium 12 808,369.65 0.89
3-4 Units 6 651,988.74 0.72
Townhouse 5 436,885.45 0.48
Manufactured Housing 3 223,837.60 0.25
--- ------------- ------
TOTAL 829 90,523,383.30 100.00
=== ============= ======
* Percentages may not sum to exactly 100% due to rounding
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Advanta Mortgage Corp. USA, a Delaware corporation, with respect to
the expected characteristics of the pool of closed-end mortgage loans in which
these securities will represent undivided beneficial interests. This information
supersedes all prior information that may have been delivered to you with
respect to such expected characteristics of such pool of closed-end mortgage
loans. The actual characteristics and performance of the closed-end mortgage
loans will differ from the assumptions used in preparing these materials, which
are hypothetical in nature. Changes in the assumptions may have a material
impact on the information set forth in these materials. No representation is
made that any performance or return indicated herein will be achieved. For
example, it is very unlikely that closed-end mortgage loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Advanta Mortgage Loan Trust 1996-3
GROUP II - Adjustable Rate Pool
% of Aggregate
Months Remaining To Number of Aggregate Principal Principal
Maturity Mortgage Loans Balance Balance(*)
- ------------------- -------------- ------------------- --------------
60 to 71 3 83,690.50 0.09
84 to 95 1 42,500.00 0.05
108 to 119 3 164,703.56 0.18
168 to 179 11 704,521.64 0.78
180 to 191 9 700,375.00 0.77
192 to 203 1 39,978.45 0.04
204 to 215 1 58,500.00 0.06
216 to 227 9 554,618.54 0.61
228 to 239 6 425,113.17 0.47
240 to 251 3 198,584.76 0.22
252 to 263 6 741,462.15 0.82
264 to 275 9 1,045,207.84 1.15
276 to 287 1 67,210.19 0.07
300 to 311 2 318,454.44 0.35
324 to 335 3 790,366.69 0.87
336 to 347 7 892,041.29 0.99
348 to 359 584 65,809,693.88 72.70
360 to 371 170 17,886,361.20 19.76
--- ------------- ------
TOTAL 829 90,523,383.30 100.00
=== ============= ======
% of Aggregate
Months Elapsed Since Number of Aggregate Principal Principal
Origination Mortgage Loans Balance Balance(*)
- -------------------- -------------- ------------------- --------------
0 187 18,966,436.20 0.95
1 270 30,287,470.81 33.46
2 189 19,338,960.66 21.36
3 114 13,922,833.08 15.38
4 16 1,996,464.08 2.21
5 3 184,678.23 0.20
6 4 483,760.81 0.53
>7 46 5,342,779.43 5.90
--- ------------- ------
TOTAL 829 90,523,383.30 100.00
=== ============= ======
* Percentages may not sum to exactly 100% due to rounding
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Advanta Mortgage Corp. USA, a Delaware corporation, with respect to
the expected characteristics of the pool of closed-end mortgage loans in which
these securities will represent undivided beneficial interests. This information
supersedes all prior information that may have been delivered to you with
respect to such expected characteristics of such pool of closed-end mortgage
loans. The actual characteristics and performance of the closed-end mortgage
loans will differ from the assumptions used in preparing these materials, which
are hypothetical in nature. Changes in the assumptions may have a material
impact on the information set forth in these materials. No representation is
made that any performance or return indicated herein will be achieved. For
example, it is very unlikely that closed-end mortgage loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Advanta Mortgage Loan Trust 1996-3
GROUP II - Adjustable Rate Pool
Number of Aggregate Principal % of Aggregate
Margins Mortgage Loans Balance Principal Balance(*)
- -------------- -------------- ------------------- --------------------
0 to <1 1 47,840.84 0.05
2 to <3 27 3,114,682.78 3.44
3 to <4 20 2,383,482.23 2.63
4 to <5 214 22,535,879.89 24.90
5 to <6 319 34,727,000.40 38.36
6 to <7 174 20,424,897.97 22.56
7 to <8 59 5,962,309.46 6.59
8 to <9 13 1,084,564.73 1.20
9 to <10 2 242,725.00 0.27
--- ------------- ------
TOTAL 829 90,523,383.30 100.00
=== ============= ======
Maximum Mortgage Number of Aggregate Principal % of Aggregate
Rates Mortgage Loans Balance Principal Balance(*)
- ---------------- -------------- ------------------- --------------------
9 to <10 1 106,718.89 0.12
11 to <12 5 1,235,603.68 1.36
13 to <14 15 1,624,667.05 1.79
14 to <15 42 5,507,831.81 6.08
15 to <16 147 19,113,298.97 21.11
16 to <17 250 27,972,123.92 30.90
17 to <18 187 17,926,405.67 19.80
18 to <19 99 10,142,970.41 11.20
19 to <20 62 5,179,685.29 5.72
20 to <21 15 1,260,762.94 1.39
21 to <22 3 217,021.90 0.24
22 to <23 3 236,292.77 0.26
--- ------------- ------
TOTAL 829 90,523,383.30 100.00
=== ============= ======
Minimum Mortgage Number of Aggregate Principal % of Aggregate
Rates Mortgage Loans Balance Principal Balance(*)
- ---------------- -------------- ------------------- --------------------
0 to <1 5 356,542.22 0.39
1 to <2 2 137,432.52 0.15
2 to <3 16 2,228,910.52 2.46
3 to <4 11 1,379,417.79 1.52
4 to <5 27 3,630,181.24 4.01
5 to <6 48 5,015,373.94 5.54
6 to <7 18 2,064,016.05 2.28
7 to <8 22 2,520,259.38 2.78
8 to <9 130 16,777,602.64 18.53
9 to <10 300 32,263,017.46 35.64
10 to <11 166 16,385,943.26 18.10
11 to <12 61 6,060,809.42 6.70
12 to <13 20 1,497,942.39 1.65
13 to <14 2 131,509.47 0.15
14 to <15 1 74,425.00 0.08
--- ------------- ------
TOTAL 829 90,523,383.30 100.00
=== ============= ======
* Percentages may not sum to exactly 100% due to rounding
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Advanta Mortgage Corp. USA, a Delaware corporation, with respect to
the expected characteristics of the pool of closed-end mortgage loans in which
these securities will represent undivided beneficial interests. This information
supersedes all prior information that may have been delivered to you with
respect to such expected characteristics of such pool of closed-end mortgage
loans. The actual characteristics and performance of the closed-end mortgage
loans will differ from the assumptions used in preparing these materials, which
are hypothetical in nature. Changes in the assumptions may have a material
impact on the information set forth in these materials. No representation is
made that any performance or return indicated herein will be achieved. For
example, it is very unlikely that closed-end mortgage loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Advanta Mortgage Loan Trust 1996-3
GROUP II - Adjustable Rate Pool
Next Interest Number of Aggregate Principal % of Aggregate
Adjustment Date Mortgage Loans Balance Principal Balance(*)
- --------------- -------------- ------------------- --------------------
Oct-96 6 694,587.69 0.77
Nov-96 12 1,665,917.75 1.84
Dec-96 73 9,566,433.43 10.57
Jan-97 73 7,718,108.29 8.53
Feb-97 73 10,615,159.20 11.73
Mar-97 31 3,681,706.59 4.07
Apr-97 3 241,532.64 0.27
May-97 5 465,769.33 0.51
Jun-97 14 1,333,912.64 1.47
Jul-97 29 3,420,807.11 3.78
Aug-97 32 4,084,027.79 4.51
Sep-97 18 1,954,453.44 2.16
Oct-97 1 101,520.00 0.11
Jun-98 2 256,418.11 0.28
Jul-98 2 187,085.21 0.21
Aug-98 7 1,030,098.22 1.14
Sep-98 3 621,983.24 0.69
Feb-99 1 79,772.74 0.09
May-99 5 609,502.28 0.67
Jun-99 54 6,021,592.35 6.65
Jul-99 76 7,515,962.17 8.30
Aug-99 67 6,698,353.65 7.40
Sep-99 57 5,508,343.10 6.08
Oct-99 3 335,100.00 0.37
Feb-01 1 91,163.75 0.10
May-01 2 286,285.72 0.32
Jun-01 28 2,827,757.49 3.12
Jul-01 41 4,036,311.04 4.46
Aug-01 73 5,831,973.23 6.44
Sep-01 37 3,041,745.10 3.36
--- ------------- ------
TOTAL 829 90,523,383.30 100.00
=== ============= ======
* Percentages may not sum to exactly 100% due to rounding
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Advanta Mortgage Corp. USA, a Delaware corporation, with respect to
the expected characteristics of the pool of closed-end mortgage loans in which
these securities will represent undivided beneficial interests. This information
supersedes all prior information that may have been delivered to you with
respect to such expected characteristics of such pool of closed-end mortgage
loans. The actual characteristics and performance of the closed-end mortgage
loans will differ from the assumptions used in preparing these materials, which
are hypothetical in nature. Changes in the assumptions may have a material
impact on the information set forth in these materials. No representation is
made that any performance or return indicated herein will be achieved. For
example, it is very unlikely that closed-end mortgage loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Advanta Mortgage Loan Trust
Mortgage Loan Asset-Backed Certificates, Series 1996-3
The defined terms used and not otherwise defined in the attached Advanta
Mortgage Loan Trust, Series 1996-3 Computational Materials for Classes A-1 and
A-2 Certificates of such Series 1996-3, shall have the meanings ascribed to
them, as follows:
"CPR" a constant prepayment rate, or rate at which, on an annual basis, the
outstanding aggregate principal balance of loans, due to liquidations, principal
prepayments and repurchases, declines.
"PRICE" are "flat prices" and quoted as a percentage of par, with fractions
expressed in 32nds. Where a "+" is shown, it indicates one-half of one 32nd, or
1/64. For example, a price of "97-31+" means 97 31 5/32%.
"AVG LIFE" (Weighted Average Life) refers to the average amount of time from the
date of issuance of a security until each dollar of principal of such security
will be repaid to the investor. The weighted average life of a Certificate is
determined by (I) multiplying the amount of cash distributions in reduction of
the principal balance of such Certificate by the number of years from the date
of issuance of such Certificate to the stated Distribution Date, (ii) adding the
results, and (iii) dividing the sum by the sum of the principal cash flow (which
equals the initial principal balance in a scenario in the absence of losses) of
such certificate.
"MAT" (Maturity), in years, is the expected maturity of the Certificate.
"MOD DUR" (Modified Duration) is a measure of the approximate percentage change
in a security's price for a change in yield. For example, for a 100-basis point
change in yield, a certificate with a modified duration of 6 would theoretically
have its price change by approximately 6%.
"WAM" (Weighted Average Maturity) is calculated as a weighted average of the
remaining term to maturity of a pool's underlying closed-end mortgage loans,
using the balance of each closed-end mortgage loan as the weighting factor.
"WINDOW" is the range, in months, during which the security is expected to
receive principal distributions.
"DELAY" is the difference in days between the dated date and the first
distribution date of the transaction.
"EXCESS INTEREST" is the amount of interest collected on nondefaulted closed-end
mortgage loans during the same collection period which exceeds the interest
distribution due to the holders of the Certificates for the related Series and
the Monthly Servicing Fee.
<PAGE>
ADVANTA 96-3 REPLINES
Group I
<TABLE>
<CAPTION>
Original
Gross Coupon Original Term to Remaining Term to Amortization Amortization
Principal Balance Rate Maturity (months) Maturity (months) Term (months) Method
- ----------------- ------------ ----------------- ----------------- ------------- ------------
<S> <C> <C> <C> <C> <C>
79,296,596.17 11.653% 176 174 360 Balloon
9,159,646.05 11.591% 180 180 360 Balloon
81,065,508.02 11.350% 164 163 164 Level Pay
104,021,709.29 10.772% 305 304 305 Level Pay
14,374,278.47 10.859% 360 360 360 Level Pay
287,917,738.00 11.208% 229 227 285
</TABLE>
PPM 100%: 3% CPR Month 1 increasing 1.545% (17/11) until CPR 20% is reached in
Month 12, then CPR 20% thereafter.
Group II
Original Remaining
Gross Term to Term to Next Rate
Coupon Maturity Maturity Adjustment
Principal Balance Rate (months) (months) Date Index
- ----------------- ------- -------- --------- ---------- ----------
9,436,502.43 9.119% 356 354 11/1/96 6 mo LIBOR
23,156,054.27 9.262% 360 359 2/1/97 6 mo LIBOR
3,668,545.53 9.294% 360 360 4/1/97 6 mo LIBOR
2,469,910.57 10.459% 360 358 5/1/97 6 mo LIBOR
29,528,514.38 10.453% 357 356 8/1/99 6 mo LIBOR
25,840,576.47 11.014% 348 348 9/1/01 6 mo LIBOR
3,111,582.26 9.171% 357 333 5/1/97 1 Year CMT
4,098,712.44 9.385% 353 351 6/1/97 1 Year CMT
7,890,243.36 8.992% 360 320 9/1/97 1 Year CMT
3,458,883.15 9.447% 347 347 10/1/97 1 Year CMT
6,818,302.12 9.925% 354 349 6/1/99 1 Year CMT
522,173.02 9.422% 360 359 8/1/01 1 Year CMT
120,000,000.00 9.975% 355 351
<TABLE>
<CAPTION>
Periodic Periodic Cap
Cap (First (Subsequent Reset
Principal Balance Margin Reset Date) Reset Date) Life Cap Life Floor Frequency
- ----------------- ------- ----------- ------------ -------- ---------- -----------
<S> <C> <C> <C> <C> <C> <C>
9,436,502.43 5.896% 1.018% 1.018% 15.896% 9.034% Semi-annual
23,156,054.27 5.857% 1.041% 1.041% 15.989% 8.912% Semi-annual
3,668,545.53 5.543% 1.040% 1.000% 16.090% 8.335% Semi-annual
2,469,910.57 6.122% 2.446% 1.171% 16.929% 8.346% Semi-annual
29,528,514.38 5.007% 2.835% 1.024% 17.443% 9.785% Semi-annual
25,840,576.47 5.677% 1.983% 1.000% 18.007% 9.306% Semi-annual
3,111,582.26 5.144% 1.741% 1.741% 15.734% 8.077% Annual
4,098,712.44 5.875% 1.770% 1.770% 16.385% 8.397% Annual
7,890,243.36 4.709% 1.949% 1.949% 15.722% 6.614% Annual
3,458,883.15 6.200% 2.000% 2.000% 16.447% 8.199% Annual
6,818,302.12 4.929% 3.145% 1.955% 16.283% 6.701% Annual
522,173.02 4.911% 3.000% 1.609% 16.422% 9.422% Annual
120,000,000.00 5.468% 1.971% 1.212% 16.818% 8.858%
</TABLE>
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Advanta Mortgage Corp. USA, a Delaware corporation, with respect to
the expected characteristics of the pool of closed-end mortgage loans in which
these securities will represent undivided beneficial interests. This information
supersedes all prior information that may have been delivered to you with
respect to such expected characteristics of such pool of closed-end mortgage
loans. The actual characteristics and performance of the closed-end mortgage
loans will differ from the assumptions used in preparing these materials, which
are hypothetical in nature. Changes in the assumptions may have a material
impact on the information set forth in these materials. No representation is
made that any performance or return indicated herein will be achieved. For
example, it is very unlikely that closed-end mortgage loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
Advanta Mortgage Trust Home Equity ABS Series 1996-3 (Computation Materials) Class A-1
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Current Balance $280,000,000.00 Original $280,000,000.00 Settlement Date 09/25/1996
Balance
Factor 1,000,000,000 Delay 0
Payment Frequency Monthly Coupon 1 Month LIBOR +
Formula TBD
<CAPTION>
Group I: PPM 200 Group I: PPM 175 Group I: PPM 150 Group I: PPM 115
Group II: CPR 50 Group II: CPR 40 Group II: CPR 30 Group II: CPR 25
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
09/25/1996 100 100 100 100
09/25/1997 70 74 77 82
09/25/1998 40 46 52 61
09/25/1999 23 29 35 46
09/25/2000 14 18 24 34
09/25/2001 8 12 16 25
09/25/2002 4 7 11 19
09/25/2003 2 4 8 14
09/25/2004 1 2 5 11
09/25/2005 0 1 3 8
09/25/2006 0 0 2 6
09/25/2007 0 0 1 4
09/25/2008 0 0 0 3
09/25/2009 0 0 0 2
09/25/2010 0 0 0 1
09/25/2011 0 0 0 0
09/25/2012 0 0 0 0
09/25/2013 0 0 0 0
09/25/2014 0 0 0 0
09/25/2015 0 0 0 0
09/25/2016 0 0 0 0
09/25/2017 0 0 0 0
11/25/2017 0 0 0 0
- ---------------------------------------------------------------------------------------------
Avg Life 2.1653 2.4744 2.8743 3.6746
- ---------------------------------------------------------------------------------------------
Average 1.9904 2.2855 2.6849 3.4240
Lives to Call
</TABLE>
Group I: PPM 100 Group I: PPM 80 Group I: PPM 70
Group II: CPR 20 Group II: CPR: 15 Group II: CPR 10
- ---------------------------------------------------------------------------
09/25/1996 100 100 100
09/25/1997 84 87 88
09/25/1998 66 71 74
09/25/1999 51 58 62
09/25/2000 39 47 52
09/25/2001 30 38 43
09/25/2002 24 31 35
09/25/2003 18 25 30
09/25/2004 14 21 25
09/25/2005 11 17 20
09/25/2006 8 13 17
09/25/2007 6 11 14
09/25/2008 4 8 11
09/25/2009 3 6 9
09/25/2010 2 5 7
09/25/2011 0 2 3
09/25/2012 0 1 1
09/25/2013 0 1 1
09/25/2014 0 0 1
09/25/2015 0 0 1
09/25/2016 0 0 0
09/25/2017 0 0 0
11/25/2017 0 0 0
- ---------------------------------------------------------------------------
Avg Life 4.1438 4.9560 5.4710
- ---------------------------------------------------------------------------
Average 3.9100 4.7617 5.3866
Lives to Call
PPM 100 is equal to 3% CPR month 1 increasing to 20% CPR month 12 in even
increments and remaining at 20% CPR based on loan age.
1 Month LIBOR: 5.500%
6 Month LIBOR: 5.875%
1 Yr CMT: 5.910%
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Advanta Mortgage Corp. USA, a Delaware corporation, with respect to
the expected characteristics of the pool of closed-end mortgage loans in which
these securities will represent undivided beneficial interests. This information
supersedes all prior information that may have been delivered to you with
respect to such expected characteristics of such pool of closed-end mortgage
loans. The actual characteristics and performance of the closed-end mortgage
loans will differ from the assumptions used in preparing these materials, which
are hypothetical in nature. Changes in the assumptions may have a material
impact on the information set forth in these materials. No representation is
made that any performance or return indicated herein will be achieved. For
example, it is very unlikely that closed-end mortgage loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
<TABLE>
<CAPTION>
Advanta Mortgage Trust Home Equity ABS Series 1996-3 (Computational Materials) A-2
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Current Balance $120,000,000.00 Original $120,000,000.00 Settlement Date 09/25/1996
Balance
Factor 1,000,000,000 Delay 0
Payment Frequency Monthly Coupon 1 Month LIBOR + TBD
Formula
<CAPTION>
Group I: PPM 200 Group I: PPM 175 Group I: PPM 150 Group I: PPM 115
Group II: CPR 50 Group II: CPR 40 Group II: CPR 30 Group II: CPR 25
- -------------------------------------------------------------------------------------------
<C> <C> <C> <C> <C>
09/25/1996 100 100 100 100
09/25/1997 46 56 66 71
09/25/1998 21 32 45 52
09/25/1999 11 20 31 38
09/25/2000 6 12 22 29
09/25/2001 3 7 15 21
09/25/2002 1 4 10 16
09/25/2003 0 2 7 12
09/25/2004 0 1 5 9
09/25/2005 0 0 3 6
09/25/2006 0 0 2 5
09/25/2007 0 0 1 3
09/25/2008 0 0 1 2
09/25/2009 0 0 0 1
09/25/2010 0 0 0 1
09/25/2011 0 0 0 1
09/25/2012 0 0 0 0
09/25/2013 0 0 0 0
09/25/2014 0 0 0 0
09/25/2015 0 0 0 0
09/25/2016 0 0 0 0
09/25/2017 0 0 0 0
09/25/2018 0 0 0 0
09/25/2019 0 0 0 0
09/25/2020 0 0 0 0
09/25/2021 0 0 0 0
09/25/2022 0 0 0 0
09/25/2023 0 0 0 0
09/25/2024 0 0 0 0
03/25/2025 0 0 0 0
- -------------------------------------------------------------------------------------------
Avg Life 1.3534 1.8302 2.5941 3.1863
- -------------------------------------------------------------------------------------------
Average 1.3096 1.7349 2.3896 2.9592
Lives to Call
</TABLE>
Group I: PPM 100 Group I: PPM 80 Group I: PPM 70
Group II: CPR 20 Group II: CPR: 15 Group II: CPR 10
- -----------------------------------------------------------------------
09/25/1996 100 100 100
09/25/1997 76 81 86
09/25/1998 60 68 76
09/25/1999 47 57 68
09/25/2000 37 47 60
09/25/2001 29 40 54
09/25/2002 23 34 47
09/25/2003 18 28 42
09/25/2004 15 24 38
09/25/2005 12 20 33
09/25/2006 9 17 30
09/25/2007 7 14 26
09/25/2008 6 12 23
09/25/2009 3 8 18
09/25/2010 2 7 16
09/25/2011 2 7 16
09/25/2012 2 5 14
09/25/2013 1 4 12
09/25/2014 1 3 10
09/25/2015 1 3 9
09/25/2016 0 2 8
09/25/2017 0 1 5
09/25/2018 0 1 4
09/25/2019 0 0 3
09/25/2020 0 0 2
09/25/2021 0 0 2
09/25/2022 0 0 2
09/25/2023 0 0 1
09/25/2024 0 0 0
03/25/2025 0 0 0
- -----------------------------------------------------------------------
Avg Life 4.0465 5.3920 7.6705
- -----------------------------------------------------------------------
Average 3.6925 4.8630 6.7412
Lives to Call
PPM 100 is equal to 3% CPR month 1 increasing to 20% CPR month 12 in even
increments and remaining at 20% CPR based on loan age.
1 Month LIBOR: 5.500%
6 Month LIBOR: 5.875%
1 Yr CMT: 5.910%
- --------------------------------------------------------------------------------
This information has been prepared in connection with the issuance of securities
representing interests in the above trust, and is based in part on information
provided by Advanta Mortgage Corp. USA, a Delaware corporation, with respect to
the expected characteristics of the pool of closed-end mortgage loans in which
these securities will represent undivided beneficial interests. This information
supersedes all prior information that may have been delivered to you with
respect to such expected characteristics of such pool of closed-end mortgage
loans. The actual characteristics and performance of the closed-end mortgage
loans will differ from the assumptions used in preparing these materials, which
are hypothetical in nature. Changes in the assumptions may have a material
impact on the information set forth in these materials. No representation is
made that any performance or return indicated herein will be achieved. For
example, it is very unlikely that closed-end mortgage loans will prepay at a
constant rate or follow a predictable pattern. This information may not be used
or otherwise disseminated in connection with the offer or sale of these or any
other securities, except in connection with the initial offer or sale of these
securities to you to the extent set forth below. NO REPRESENTATION IS MADE AS TO
THE APPROPRIATENESS, USEFULNESS, ACCURACY OR COMPLETENESS OF THESE MATERIALS OR
THE ASSUMPTIONS ON WHICH THEY ARE BASED. Additional information is available
upon request. These materials do not constitute an offer to buy or sell or a
solicitation of an offer to buy or sell any security or instrument or to
participate in any particular trading strategy. ANY SUCH OFFER TO BUY OR SELL
ANY SECURITY WOULD BE MADE PURSUANT TO A DEFINITIVE PROSPECTUS AND PROSPECTUS
SUPPLEMENT PREPARED BY THE ISSUER WHICH WOULD CONTAIN MATERIAL INFORMATION NOT
CONTAINED IN THESE MATERIALS. SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT WILL
CONTAIN ALL MATERIAL INFORMATION IN RESPECT OF ANY SUCH SECURITY OFFERED THEREBY
AND ANY DECISION TO INVEST IN SUCH SECURITIES SHOULD BE MADE SOLELY IN RELIANCE
UPON SUCH PROSPECTUS AND PROSPECTUS SUPPLEMENT. ANY CAPITALIZED TERMS USED BUT
NOT DEFINED HEREIN ARE TO BE READ IN CONJUNCTION WITH SUCH PROSPECTUS AND
PROSPECTUS SUPPLEMENT. In the event of any such offering, these materials,
including any description of the closed-end mortgage loans contained herein,
shall be deemed superseded, amended and supplemented in their entirety by such
Prospectus and Prospectus Supplement. To Our Readers Worldwide: In addition,
please note that this information has been provided by Morgan Stanley & Co.
Incorporated and approved by Morgan Stanley & Co. International Limited, a
member of the Securities and Futures Authority, and Morgan Stanley Japan Ltd. We
recommend that investors obtain the advice of their Morgan Stanley & Co.
International Limited or Morgan Stanley Japan Ltd. representative about the
investment concerned. NOT FOR DISTRIBUTION TO PRIVATE CUSTOMERS AS DEFINED BY
THE U.K. SECURITIES AND FUTURES AUTHORITY.
<PAGE>
Preliminary Information for Advanta Mortgage Loan Trust 1996-3
- Advanta Mortgage Conduit Services
Sponsor
- Advanta Mortgage Corp. USA
Master Servicer
- Advanta Mortgage Loan Trust 1996-3
Class A-1 Certificates $[280,000,000] 1M LIBOR + [ ]%
Class A-2 Certificates $[120,000,000] 1M LIBOR + [ ]%
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 to it by the Sponsor. All assumptions
and information in this report reflect PSI's judgment as of this date and are
subject to change. All analyses are based on certain assumptions noted herein
and different assumptions could yield substantially different results. You are
cautioned that there is no universally accepted method for analyzing financial
instruments. You should review the assumptions; there may be differences between
these assumptions and your actual business practices. Further, PSI does not
guarantee any results and there is no guarantee as to the liquidity of the
instruments involved in this analysis. The decision to adopt any strategy
remains your responsibility. PSI (or any of its affiliates) or their officers,
directors, analysts or employees may have positions in securities, commodities
or derivative instruments thereon referred to here, and may, as principal or
agent, buy or sell such securities, commodities or derivative instruments. In
addition, PSI may make a market in the securities referred to herein. Neither
the information nor the assumptions reflected herein shall be construed to be,
or constitute, an offer to sell or buy or a solicitation of an offer to sell or
buy any securities, commodities or derivative instruments mentioned herein. No
sale of any securities, commodities or derivative instruments should be
consumated without the purchaser first having received a prospectus and, if
required, prospectus supplement. Finally, PSI has not addressed the legal,
accounting and tax implications of the analysis with respect to you, and PSI
strongly urges you to seek advice from your counsel, accountant and tax advisor.
<PAGE>
Advanta Mortgage Loan Trust 1996-3
Title of Securities: Advanta Mortgage Loan Trust 1996-3. Classes A-1 and A-2
(collectively, the "Certificates").
Description of
Transaction: This approximately $400,000,000 FGIC-wrapped transaction
is supported by two collateral types. Certificate Class
A-1 and A-2 are each floating rate classes and are
backed by fixed-rate and adjustable-rate home equity
mortgage loans, respectively. Excess spread from each
collateral pool will be available to credit-enhance the
Certificates supported by the other pool through
overcollateralization.
Interest Shortfall
Reimbursement: The Class A-1 and Class A-2 Certificates will feature
interest shortfall reimbursement, in which any interest
shortfall due to the movement in the one-month LIBOR
rate will be carried forward, with accrued interest at
the coupon rate, and paid from excess cash flow from the
adjustable- or fixed-rate collateral (as the case may
be) in a later period. For Certificate Class A-1, the
amount of interest shortfall which may be reimbursed is
uncapped. However, for Certificate Class A-2, the amount
of interest shortfall which may be reimbursed is capped
at the Weighted Average Life Cap of the adjustable-rate
mortgage loans less servicer and surety fees. THERE IS
NO CROSS-COLLATERALIZATION FOR PURPOSES OF INTEREST
PAYMENTS OR INTEREST SHORTFALL REIMBURSMENT. [In
addition, the Master Servicer, prior to exercising its
Clean-Up Call option or prior to the Final Maturity of
the Certificates, will be obligated to pay any existing
shortfall.] The FGIC insurance policy does not cover
payment of the interest shortfall reimbursement.
For additional information concerning pricing and
relative value, please call Greg Richter or Rob Karr on
the asset backed desk at 212-778-2741. Additional
structural and collateral information can be provided
through Jacqui Galdieri (212-778-2612) of the Structured
Finance Group, or Brendan Keane (212-778-4231) or Sean
Low (212-778-2581) of the Asset-Backed Finance Group.
<PAGE>
CERTIFICATE CLASS A-1 (SUPPORTED BY FIXED-RATE HOME EQUITY MORTGAGE LOANS)
Settlement Date: September 25, 1996
Dated Date: September 25, 1996
Prepayment Assumption: 115% of "Advanta Ramp" (3.0% CPR in month 1
of loan origination with monthly incremental
increases of approximately 1.545% CPR until
the speed reaches 20% CPR in month 12) --
Actual prepayments may vary.
Approximate Size: $280,000,000
Avg. Life to Maturity: (app.) [3.67] years
Avg. Life to Call: (app.) [3.42] years
Coupon 1M LIBOR + [ ]%, subject to an available funds
cap*
* Coupon will step up by twice its stated
margin if the clean up call is not exercised.
Coupon Day Count: Actual/360
CERTIFICATE CLASS A-2 (SUPPORTED BY ADJUSTABLE-RATE HOME EQUITY MORTGAGE LOANS)
Settlement Date: September 25, 1996
Dated Date: September 25, 1996
Prepayment Assumption: 25% C.P.R. -- Actual prepayments may vary.
Approximate Size: $120,000,000
Avg. Life to Maturity (app.) [3.19] years
Avg. Life to Call (app.) [2.96] years
Coupon: 1M LIBOR + [ ]%, subject to an available funds
cap *
* Coupon will step up by twice its stated
margin if the clean up call is not exercised.
Coupon Day Count: Actual/360
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>
Advanta Mortgage Loan Trust 1996-3
Cleanup Call: The Master Servicer may repurchase the collateral and,
(All Certificate as a result, cause the Certificates (in aggregate, NOT
Classes) Class A-1 or Class A-2 individually) to be called at
par plus accrued interest after the remaining balance
of the mortgage loans in aggregate is less than 10% of
the original collateral balance. If the Certificates
are not called at this point, the coupon on the Class
A-1 and Class A-2 Certificates will each step up by
twice its respective margin.
Collateral Pool 1: Fixed-rate home equity mortgage loans secured by
(Supports Certificate one-to-four family residences.
Class A-1, app.
$280,000,000)
Collateral Pool 2: Adjustable-rate home equity mortgage loans secured by
(Supports Certificate one-to-four family residences.
Class A-2,app.
$120,000,000)
Cross-
Collateralization: Excess spread from one collateral pool will be
available to credit enhance all Certificates supported
by the other pool, pro-rata, based on their needs.
Form of Certificates: Book entry form, same day funds (through DTC, CEDEL or
Euroclear).
Master Servicer: Advanta Mortgage Corp. USA
Servicing Fee: 50 basis points per annum.
Trustee: Bankers Trust Company of California N.A.
Payment Date: The 25th day of each month or, if such day is not a
business day, the next succeeding business day,
beginning on October 25, 1996.
Payment Delay: No delay for Certificate Class A-1 or A-2.
Interest Accrual
Period: For the Class A-1 and A-2 Certificates, interest will
accrue from the 25th day of the preceding month until
the 24th day of the current month based on an
actual/360 day count. The Class A-1 and Class A-2
Certificates will start accruing interest from
September 25, 1996.
Certificate Ratings: The Certificates will be rated AAA/Aaa by Standard &
Poor's and Moody's, respectively. These ratings will
not address the interest shortfall reimbursement.
Certificate Insurer: Financial Guaranty Insurance Company ("FGIC"). FGIC's
claims-paying ability is rated AAA/Aaa by Standard and
Poor's and Moody's.
Surety Fee: [11] bps
Certificate Insurance: Timely interest and eventual principal payments on the
Certificates will be 100% guaranteed by FGIC. The
insurance policy does not include the interest
shortfall reimbursement.
Prefunding Account: None of the collateral is expected to be prefunded.
Overcollateralization: The subordination provisions of the Trust are intended
to provide for limited acceleration of the Certificates
relative to the amortization of the related collateral,
generally in the early months of the transaction. The
accelerated amortization is achieved by applying
certain excess interest collected on the collateral to
the payment of principal on the Certificates. This
acceleration feature is intended to create, with
respect to each Collateral Pool, an amount
("Overcollateralization") resulting from, and equal to,
the excess of the aggregate principal balances of the
Collateral Pool over the principal balance of the
related Certificates. Once the required
Overcollateralization level is reached, the
acceleration feature will cease, unless necessary to
maintain the required level of Overcollateralization.
CERTIFICATE CLASS A-1 (supported by fixed-rate home
equity mortgage loans) Excess spread will be used to
build the Spread Amount to an initial target of [3.64]%
of the original principal balance. Upon the earlier of
month 30 or 50% of Pool 1 paying down, the Spread
Amount requirement will be changed to the lesser of
[3.64]% of original principal balance or [9.10]% of
current principal balance, subject to a floor of
[0.75]% of original principal balance. Initial
overcollateralization of approximately [2.75]% will
support Class A-1.
CERTIFICATE CLASS A-2 (supported by adjustable-rate
home equity mortgage loans) Excess spread will be used
to build the Spread Amount to an initial target of
[3.62]% of the original principal balance. Upon the
earlier of month 30 or 50% of Pool 2 paying down, the
Spread Amount requirement will be changed to the lesser
of [3.62]% of original principal balance or [7.24]% of
current principal balance, subject to a floor of
[0.50]% of original principal balance.
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>
Advanta Mortgage Loan Trust 1996-3
Cashflow Structure: Interest Payments are applied as follows:
CERTIFICATE CLASS A-1 (supported by fixed-rate home
equity mortgage loans) 1) Repayment of any unreimbursed
Servicer advances with respect to defaulted loans; 2)
Ongoing Trust Fees; 3) Accrued monthly interest,
subject to the available funds cap; 4) Paydown of
Certificates to the required level of
Overcollateralization; 5) Any excess cash flow reverts
to the holder of the residual interest.
CERTIFICATE CLASS A-2 (supported by adjustable-rate
home equity mortgage loans) 1) Repayment of any
unreimbursed Servicer advances with respect to
defaulted loans; 2) Ongoing Trust Fees; 3) Accrued
monthly interest, subject to the available funds cap;
4) Paydown of Certificates to the required level of
Overcollateralization; 5) Any excess cash flow reverts
to the holder of the residual interest.
Principal payments are applied as follows:
CERTIFICATE CLASS A-1 (supported by fixed-rate home
equity mortgage loans) 1) 100% to Class A-1 until Class
A-1 is retired;
CERTIFICATE CLASS A-2 (supported by adjustable-rate
home equity mortgage loans) 1) 100% to Class A-2 until
Class A-2 is retired;
Credit Enhancement: 1) 100% wrap from FGIC guarantees timely payment of
interest and eventual principal (excluding interest
shortfall reimbursement).
2) Overcollateralization.
3) Cross-Collateralization.
4) Excess spread.
Pricing Date: September [11], 1996
Settlement Date: September 25, 1996
ERISA
Considerations: All of the Certificates will be ERISA eligible.
Taxation: REMIC.
Legal Investment: The Certificates will not be SMMEA eligible.
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 consumated unless the purchaser has received the
Prospectus.
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 Funds information:
The Class A-1 and Class A-2 Certificates are subject to an available funds cap;
Class A-1 Available Funds = Pool 1 Weighted Average Coupon - Servicing
Fee (50 bps) - Insurer's Premium (11 bps) - FGIC cushion
(0.75% on Pool 1 balance). FGIC cushion may be used to pay
Class A-1 interest after O/C buildup and the payment of losses
during a particular period, but will not be guaranteed by
FGIC.
Class A-2 Available Funds = Pool 2 Weighted Average Coupon - Servicing
Fee - Insurer's Premium - FGIC cushion (0% until month 9;
0.50% on Pool 2 balance thereafter). FGIC cushion may be used
to pay Class A-2 interest after O/C buildup and the payment of
losses during a particular period, but will not be guaranteed
by FGIC.
Average Life/Principal Window Tables
Class A-1
<TABLE>
<CAPTION>
Pool I Prepay Speed: PPM 200 PPM 175 PPM 150 PPM 115 PPM 100* PPM 80 PPM 70
Pool II Prepay Speed: CPR 50 CPR 40 CPR 30 CPR 25 CPR 20 CPR 15 CPR 10
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
09/25/1996 100 100 100 100 100 100 100
09/25/1997 70 74 77 82 84 87 88
09/25/1998 40 46 52 61 66 71 74
09/25/1999 23 29 35 46 51 58 62
09/25/2000 14 18 24 34 39 47 52
09/25/2001 8 12 16 25 30 38 43
09/25/2002 4 7 11 19 24 31 35
09/25/2003 2 4 8 14 18 25 30
09/25/2004 1 2 5 11 14 21 25
09/25/2005 0 1 3 8 11 17 20
09/25/2006 0 0 2 6 8 13 17
09/25/2007 0 0 1 4 6 11 14
09/25/2008 0 0 0 3 4 8 11
09/25/2009 0 0 0 2 3 6 9
09/25/2010 0 0 0 1 2 5 7
09/25/2011 0 0 0 0 0 2 3
09/25/2012 0 0 0 0 0 1 2
09/25/2013 0 0 0 0 0 1 1
09/25/2014 0 0 0 0 0 0 1
09/25/2015 0 0 0 0 0 0 1
09/25/2016 0 0 0 0 0 0 0
09/25/2017 0 0 0 0 0 0 0
11/25/2017 0 0 0 0 0 0 0
- ----------------------------------------------------------------------------------------------------------------------
Avg. Life (to Mat.) 2.1653 2.4744 2.8743 3.6746 4.1438 4.9560 5.4710
Avg. Life (to Call) 1.9904 2.2855 2.6849 3.4240 3.9100 4.7617 5.3866
</TABLE>
*PPM 100 is equal to 3% CPR month 1 increasing to 20% CPR month 12 in even
increments and remaining at 20% CPR based on loan age
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>
Average Life/Principal Window Tables
Class A-2
<TABLE>
<CAPTION>
Pool I Prepay Speed: PPM 200 PPM 175 PPM 150 PPM 115 PPM 100* PPM 80 PPM 70
Pool II Prepay Speed: CPR 50 CPR 40 CPR 30 CPR 25 CPR 20 CPR 15 CPR 10
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
09/25/1996 100 100 100 100 100 100 100
09/25/1997 46 56 66 71 76 81 86
09/25/1998 21 32 45 52 60 68 76
09/25/1999 11 20 31 38 47 57 68
09/25/2000 6 12 22 29 37 47 60
09/25/2001 3 7 15 21 29 40 54
09/25/2002 1 4 10 16 23 34 47
09/25/2003 0 2 7 12 18 28 42
09/25/2004 0 1 5 9 15 24 38
09/25/2005 0 0 3 6 12 20 33
09/25/2006 0 0 2 5 9 17 30
09/25/2007 0 0 1 3 7 14 26
09/25/2008 0 0 1 2 6 12 23
09/25/2009 0 0 0 2 4 10 20
09/25/2010 0 0 0 1 3 8 18
09/25/2011 0 0 0 1 2 7 16
09/25/2012 0 0 0 0 2 5 14
09/25/2013 0 0 0 0 1 4 12
09/25/2014 0 0 0 0 1 3 10
09/25/2015 0 0 0 0 1 3 9
09/25/2016 0 0 0 0 0 2 8
09/25/2017 0 0 0 0 0 2 6
09/25/2018 0 0 0 0 0 1 5
09/25/2019 0 0 0 0 0 1 4
09/25/2020 0 0 0 0 0 0 3
09/25/2021 0 0 0 0 0 0 2
09/25/2022 0 0 0 0 0 0 2
09/25/2023 0 0 0 0 0 0 1
09/25/2024 0 0 0 0 0 0 0
03/25/2025 0 0 0 0 0 0 0
- -----------------------------------------------------------------------------------------------------------------------
Avg. Life (to Mat.) 1.3534 1.8302 2.5941 3.1863 4.0465 5.3920 7.6705
Avg. Life (to Call) 1.3096 1.7349 2.3896 2.9592 3.6925 4.8630 6.7412
</TABLE>
*PPM 100 is equal to 3% CPR month 1 increasing to 20% CPR month 12 in even
increments and remaining at 20% CPR based on loan age
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>
LEHMAN BROTHERS
$400,000,000 (Approximate)
ADVANTA Mortgage Loan Trust
Mortgage Loan Asset-Backed Certificates, Series 1996-3
ADVANTA Mortgage Corp. USA
Master Servicer
Transaction Highlights
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
Average Expected Final Legal
Class Size(2) Ratings Life to Pricing Maturity to Final
Class(1) Class Size(2) (%) (Moody's/S&P) 10% Call(3) Index 10% Call(3) Maturity
====================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
A-1 $280,000,000 70.0% Aaa / AAA 3.42 yrs. 1-mo. LIBOR 12/25/04 TBD
A-2 $120,000,000 30.0% Aaa / AAA 2.96 yrs. 1-mo. LIBOR 12/25/04 TBD
- --------------------------------------------------------------------------------------------------------------------
Total $400,000,000 100.0% Aaa / AAA -- -- 12/25/04 TBD
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
Note: (1) The Class A-1 certificates are backed by the Group I (fixed rate) pool
of mortgage loans and the Class A-2 certificates by Group II (ARM)
pool of mortgage loans.
(2) Approximate.
(3) Class A-1 is priced at a prepayment speed of 115% of the prepayment
assumption (PPM). A 100% PPM prepayment assumption has prepayments
starting at 3.0% CPR in month 1, increasing by 1.55% per month to 20%
CPR in month 12, and remaining at 20% CPR thereafter on a seasoning
adjusted basis. Class A-2 assumes a constant prepayment speed of 25%
CPR.
Originator/Master Servicer: Advanta Mortgage Corp. USA ("Advanta") and
affiliates.
Trustee: Bankers Trust Company of California.
Distribution Dates: The 25th of each month, beginning October 25,
1996.
Certificate Insurance Policy: 100% coverage of principal and interest due
to certificates, provided by FGIC:
Available Funds Cap: The Certificates are subject to an Available
Funds Cap at the Net Funds Cap Rate. The Net
Funds Cap Rate is the weighted average loan
rate less the monthly servicing fee, surety
fee, and a 75 basis points "carve out" for
the Class A-1 and a 50 basis point "carve
out" after month 9 for Class A-2 to be used
for additional credit enhancement only if net
losses exceed the Excess Servicing in a given
month. There is a full "catch-up" feature for
certificate interest and principal shortfalls
with any shortfalls paid back in future
periods. The ABS coupon subject to shortfall
coverage is uncapped for Class A-1 and capped
at the Net ARM life cap less the surety bond
fee on Class A-2. The shortfall payment
recoveries are not guaranteed by FGIC.
Pricing Prepayment Speed:
Class A-1 The prepayment assumption is 115% of the
prepayment curve, which equates to a
prepayment speed of 3.45% CPR in the first
month, increasing by 1.78% CPR each month to
23.0% CPR in month 12, and remaining at 23.0%
CPR thereafter.
Class A-2 25% CPR.
Day Count Basis: Actual/360 day interest accrual
Optional Clean-up Call: 10% of original pool balance
Trust Tax Status: REMIC trust
- --------------------------------------------------------------------------------
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>
LEHMAN BROTHERS
Projected Performance
Under Varying Prepayment Assumptions
Class A-1 Certificates
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
% of Group I
Prepay Assumption: 200 175 150 115 100 80 70
% Group II CRP: 50 40 30 25 20 15 10
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
9/25/96 100 100 100 100 100 100 100
9/25/97 70 74 77 82 84 87 88
9/25/98 40 46 52 61 66 71 74
9/25/99 23 29 35 46 51 58 62
9/25/00 14 18 24 34 39 47 52
9/25/01 8 12 16 25 30 38 43
9/25/02 4 7 11 19 24 31 35
9/25/03 2 4 8 14 18 25 30
9/25/04 1 2 5 11 14 21 25
9/25/05 0 1 3 8 11 17 20
9/25/06 0 0 2 6 8 13 17
9/25/07 0 0 1 4 6 11 14
9/25/08 0 0 0 3 4 8 11
9/25/09 0 0 0 2 3 6 9
9/25/10 0 0 0 1 2 5 7
9/25/11 0 0 0 0 0 2 3
9/25/12 0 0 0 0 0 1 2
9/25/13 0 0 0 0 0 1 1
9/25/14 0 0 0 0 0 0 1
9/25/15 0 0 0 0 0 0 1
9/25/16 0 0 0 0 0 0 0
9/25/17 0 0 0 0 0 0 0
11/25/17 0 0 0 0 0 0 0
- ------------------------------------------------------------------------------------------------------------------------------------
Avg Life to Maturity (yrs) 2.1653 2.4744 2.8743 3.6746 4.1438 4.956 5.471
Avg. Life to Call (yrs) 1.9904 2.2855 2.6849 3.424 3.91 4.7617 5.3866
- ------------------------------------------------------------------------------------------------------------------------------------
</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>
LEHMAN BROTHERS
Projected Performance
Under Varying Prepayment Assumptions
Class A-2 Certificates
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
% of Group I
Prepay Assumption: 200 175 150 115 100 80 70
% Group II CRP: 50 40 30 25 20 15 10
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
9/25/96 100 100 100 100 100 100 100
9/25/97 46 56 66 71 76 81 86
9/25/98 21 32 45 52 60 68 76
9/25/99 11 20 31 38 47 57 68
9/25/00 6 12 22 29 37 47 60
9/25/01 3 7 15 21 29 40 54
9/25/02 1 4 10 16 23 34 47
9/25/03 0 2 7 12 18 28 42
9/25/04 0 1 5 9 15 24 38
9/25/05 0 0 3 6 12 20 33
9/25/06 0 0 2 5 9 17 30
9/25/07 0 0 1 3 7 14 26
9/25/08 0 0 1 2 6 12 23
9/25/09 0 0 0 2 4 10 20
9/25/10 0 0 0 1 3 8 18
9/25/11 0 0 0 1 2 7 16
9/25/12 0 0 0 0 2 5 14
9/25/13 0 0 0 0 1 4 12
9/25/14 0 0 0 0 1 3 10
9/25/15 0 0 0 0 1 3 9
9/25/16 0 0 0 0 0 2 8
9/25/17 0 0 0 0 0 2 6
9/25/18 0 0 0 0 0 1 5
9/25/19 0 0 0 0 0 1 4
9/25/20 0 0 0 0 0 0 3
9/25/21 0 0 0 0 0 0 2
9/25/22 0 0 0 0 0 0 2
9/25/23 0 0 0 0 0 0 1
9/25/24 0 0 0 0 0 0 0
3/25/25 0 0 0 0 0 0 0
- ------------------------------------------------------------------------------------------------------------------------------------
Avg Life to Maturity (yrs) 1.3534 1.8302 2.5941 3.1863 4.0465 5.392 7.6705
Avg. Life to Call (yrs) 1.3096 1.7349 2.3896 2.9592 3.6925 4.863 6.7412
- ------------------------------------------------------------------------------------------------------------------------------------
</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>
LEHMAN BROTHERS
Collateral Description
Collateral: The collateral pool will consist of a combination of first and
senior lien home equity loans. These loans are predominantly used by
borrowers to consolidate debt, to refinance an existing mortgage
loan on more favorable terms, or to obtain cash proceeds by
borrowing against the homeowner's equity in the related mortgage
property.
Note that the following collateral description is only reflective of
$212 million of fixed rate loans and $90 million of ARM loans.
However, the transaction will be be fully funded based on Advanta's
new loan originations, for a total transaction size of $400 million
as of the closing date of this transaction. There will be no
prefunding in this transaction.
<TABLE>
<CAPTION>
Fixed Rate Group I Loans ARM Group II Loans
------------------------ ------------------
<S> <C> <C>
Aggregate Pool Balance: $212.1 million $90.5 million
Number of Loans: 3,645 829
Average Outstanding Balance: $58,192.5 $109,195.9
Total Original Balance: $212.7 million $91.0 million
Average Original Balance: $58,345.9 $109,738.7
Lien Position: 88.3% first; 11.7% non-first 100% first
Combined Loan to Value Ratio: 74.3% (33.7% at 80%+) 77.9% (43.4% at 80%+)
Average Junior Mortgage
Ratio(1): 36.2% N/A
Loan Type: 100% Fixed Rate 100% Adjustable Rate
Original Weighted Average 229.00 months (56.0% 180-month maturity 355.37 months (91.8% 360 months rem.
Term: 27.0% 360-month maturity) term)
Remaining Weighted Average
Maturity: 227.04 months 350.46 months
Weighted Average Seasoning: 1.96 months 4.91 months
Interest Rate Index: N/A 78.0% 6-mo. LIBOR
21.2% 1-yr. UST
0.4% 3-mo. LIBOR
Property Type: a) 91.2% single family a) 94.4% single family
b) 4.6% 2-4 family b) 4.0% 2-4 family
c) 4.2% other c) 1.6% other
</TABLE>
- ----------
Note: (1) Excludes first mortgages. Defined as the ratio the original principal
balance of the mortgage loan to the sum of the original principal
balance of the loan and the principal balance at the time of
origination of the loan of any senior liens.
- --------------------------------------------------------------------------------
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>
LEHMAN BROTHERS
Collateral Description (continued)
<TABLE>
<CAPTION>
Fixed Rate Group I Loans ARM Group II Loans
------------------------ ------------------
<S> <C> <C>
Owner Occupancy: a) 93.9% owner occupied a) 97.3% owner occupied
b) 6.1% investor property b) 2.7% investor property
Weighted Average Gross
Coupon: 11.21% 9.90% (Current rate only)
Weighted Average Gross N/A a) 5.55% for 6-month LIBOR ARMs
Margin: b) 5.20% for 1-yr. UST ARMs
Latest Scheduled Maturity: Expected 2026 Expected 2026
Geographic Distribution (>5%): CA (9.6%), PA (8.2%), MD (6.9%), NC CA (20.4%), IL (8.4%), MD (7.4%),
(6.0%), IL (6.0%), OH (5.8%), NJ (5.4%), OH (7.3%), WA (6.1%), UT (5.7%)
VA (5.4%), NY (5.2%), FL (5.0%)
</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>
LEHMAN BROTHERS
Group I Collateral Statistics
<TABLE>
<CAPTION>
Number of Aggregate % of Aggregate
State Mortgage Loans Principal Balance Principal Balance (*)
----- -------------- ----------------- ---------------------
<S> <C> <C> <C>
California 247 20,270,012.67 9.56
Pennsylvania 359 17,294,223.24 8.15
Maryland 233 14,627,907.43 6.90
North Carolina 225 12,697,817.90 5.99
Illinois 203 12,679,823.59 5.98
Ohio 266 12,334,738.89 5.82
New Jersey 155 11,509,178.50 5.43
Virginia 212 11,445,000.45 5.40
New York 165 11,059,736.86 5.21
Florida 182 10,600,340.88 5.00
Michigan 170 9,225,146.74 4.35
South Carolina 132 5,975,093.39 2.82
Wisconsin 78 5,238,295.95 2.47
Colorado 93 5,103,561.82 2.41
Georgia 80 4,427,196.40 2.09
Massachusetts 52 4,068,337.62 1.92
Indiana 83 3,867,937.13 1.82
Connecticut 39 3,599,128.94 1.70
Oregon 53 3,388,752.44 1.60
Arizona 74 3,293,926.29 1.55
Utah 53 3,196,517.08 1.51
Indiana 41 2,695,636.68 1.27
Missouri 57 2,600,956.42 1.23
Kentucky 43 2,108,658.87 0.99
Delaware 28 1,950,005.43 0.92
Washington D.C. 26 1,790,165.49 0.84
Louisiana 40 1,611,897.70 0.76
Texas 21 1,357,603.79 0.64
Mississippi 33 1,307,973.51 0.62
Oklahoma 28 1,264,467.63 0.60
Wisconsin 21 1,244,688.73 0.59
West Virginia 17 1,060,671.88 0.50
Arkansas 15 769,733.43 0.36
Rhode Island 12 757,488.66 0.36
New Mexico 18 752,799.65 0.35
Minnesota 14 720,134.82 0.34
Iowa 13 607,048.56 0.29
Hawai 4 542,421.26 0.26
Nevada 7 493,196.66 0.23
Kansas 12 355,231.58 0.17
New Hampshire 5 335,461.13 0.16
Idaho 7 326,190.97 0.15
Montana 5 318,133.84 0.15
Wyoming 4 286,036.44 0.13
Nebraska 6 270,897.07 0.13
Maine 4 244,305.96 0.12
Vermont 4 228,446.05 0.11
Alabama 3 104,454.39 0.05
South Dakota 2 77,464.96 0.04
North Dakota 1 26,727.43 0.01
----- -------------- ------
TOTAL 3,645 212,111,573.20 100.00
===== ============== ======
</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>
LEHMAN BROTHERS
Group I Collateral Statistics
<TABLE>
<CAPTION>
Number of Aggregate % of Aggregate
Range of CLTV Ratios Mortgage Loans Principal Balance Principal Balance (*)
-------------------- -------------- ----------------- ---------------------
<S> <C> <C> <C>
0+ to 10 2 34,209.90 0.02
10+ to 20 22 508,508.52 0.24
20+ to 30 70 2,450,142.38 1.16
30+ to 40 115 4,513,340.44 2.13
40+ to 50 166 7,516,051.09 3.54
50+ to 60 248 12,171,043.72 5.74
60+ to 70 489 29,390,601.51 13.86
70+ to 80 1,346 84,108,343.56 39.65
80+ to 90 1,165 70,270,435.20 33.13
90+ to 100 22 1,148,896.88 0.54
----- -------------- ------
TOTAL 3,645 212,111,573.20 100.00
===== ============== ======
<CAPTION>
Range of Current Number of Aggregate % of Aggregate
Mortgage Rates Mortgage Loans Principal Balance Principal Balance (*)
-------------- -------------- ----------------- ---------------------
<S> <C> <C> <C>
6 to <7 1 43,641.88 0.02
7 to <8 8 609,565.75 0.29
8 to <9 78 5,850,252.23 2.76
9 to <10 655 46,606,427.73 21.97
10 to <11 830 54,321,203.58 25.61
11 to <12 750 44,038,198.42 20.76
12 to <13 684 34,364,952.49 16.20
13 to <14 415 18,314,015.03 8.63
14 to <15 155 5,977,436.56 2.82
15 to <16 49 1,466,739.62 0.69
16 to <17 18 474,222.57 0.22
17 to <18 1 15,780.19 0.01
18 to <19 1 29,137.15 0.01
----- -------------- ------
TOTAL 3,645 212,111,573.20 100.00
===== ============== ======
<CAPTION>
Number of Aggregate % of Aggregate
Range of LTV Ratios Mortgage Loans Principal Balance Principal Balance (*)
------------------- -------------- ----------------- ---------------------
<S> <C> <C> <C>
0+ to 10 56 850,105.67 0.40
10+ to 20 348 8,717,449.22 4.11
20+ to 30 293 10,011,921.33 4.72
30+ to 40 213 8,245,232.01 3.89
40+ to 50 196 9,156,731.62 4.32
50+ to 60 244 12,591,316.16 5.94
60+ to 70 451 28,849,540.14 13.60
70+ to 80 1,076 75,481,103.49 35.59
80+ to 90 752 57,301,279.49 27.01
90+ to 100 16 906,894.07 0.43
----- -------------- ------
TOTAL 3,645 212,111,573.20 100.00
===== ============== ======
</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>
LEHMAN BROTHERS
Group I Collateral Statistics
<TABLE>
<CAPTION>
Range of Number of Aggregate % of Aggregate
Principal Balances Mortgage Loans Principal Balance Principal Balance (*)
------------------ -------------- ----------------- ---------------------
<S> <C> <C> <C>
0 to <10000 16 130,390.50 0.06
10000 to <20000 355 5,704,564.70 2.69
20000 to <30000 522 13,263,325.01 6.25
30000 to <40000 511 18,054,713.37 8.51
40000 to <50000 498 22,425,646.03 10.57
50000 to <60000 430 23,580,924.12 11.12
60000 to <70000 325 21,096,087.81 9.95
70000 to <80000 241 18,053,195.58 8.51
80000 to <90000 159 13,539,732.05 6.38
90000 to <100000 145 13,776,070.54 6.49
100000 to <120000 191 20,969,065.09 9.89
120000 to <140000 107 13,890,861.09 6.55
140000 to <160000 56 8,341,393.50 3.93
160000 to <180000 29 4,898,096.83 2.31
180000 to <200000 21 3,981,282.02 1.88
>=200000 39 10,406,224.96 4.91
----- -------------- ------
TOTAL 3,645 212,111,573.20 100.00
===== ============== ======
<CAPTION>
Number of Aggregate % of Aggregate
Lien Position Mortgage Loans Principal Balance Principal Balance (*)
------------- -------------- ----------------- ---------------------
<S> <C> <C> <C>
1st Lien 2,852 187,298,080.77 88.30
2nd Lien 790 24,758,782.03 11.67
3rd Lien 3 54,710.40 0.03
----- -------------- ------
TOTAL 3,645 212,111,573.20 100.00
===== ============== ======
<CAPTION>
Number of Aggregate % of Aggregate
Occupancy Status Mortgage Loans Principal Balance Principal Balance (*)
---------------- -------------- ----------------- ---------------------
<S> <C> <C> <C>
Owner Occupied 3,402 199,098,429.08 93.86
Investor Property 243 13,013,144.12 6.14
----- -------------- ------
TOTAL 3,645 212,111,573.20 100.00
===== ============== ======
<CAPTION>
Number of Aggregate % of Aggregate
Property Description Mortgage Loans Principal Balance Principal Balance (*)
-------------------- -------------- ----------------- ---------------------
<S> <C> <C> <C>
Single Family 3,294 193,437,582.18 91.20
2 Units 116 6,559,293.32 3.09
Townhouse 84 3,839,849.48 1.81
3-4 Units 43 3,137,709.08 1.48
Manufactured Housing 62 2,842,682.20 1.34
Condominium 46 2,294,456.94 1.08
----- -------------- ------
TOTAL 3,645 212,111,573.20 100.00
===== ============== ======
</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>
LEHMAN BROTHERS
Group I Collateral Statistics
<TABLE>
<CAPTION>
Months Remaining Number of Aggregate % of Aggregate
To Maturity Mortgage Loans Principal Balance Principal Balance (*)
----------- -------------- ----------------- ---------------------
<S> <C> <C> <C>
0 to 11 2 259900 0.12
24 to 35 2 99173.26 0.05
36 to 47 2 21198.27 0.01
48 to 59 37 1075223.05 0.51
60 to 71 18 365504.19 0.17
72 to 83 48 1306874.89 0.62
84 to 95 33 1403510.05 0.66
96 to 107 11 399387.07 0.19
108 to 119 232 7807195.11 3.68
120 to 131 44 1657891.59 0.78
132 to 143 22 1095258.32 0.52
144 to 155 19 1026118.27 0.48
156 to 167 1 51986.11 0.02
168 to 179 1,789 101570976.61 47.89
180 to 191 351 17588807.01 8.29
192 to 203 5 377865.19 0.18
204 to 215 3 163526.28 0.08
216 to 227 63 4196914.54 1.98
228 to 239 174 11077932.73 5.22
240 to 251 19 991160.78 0.47
252 to 263 1 76536.57 0.04
288 to 299 22 1745227.92 0.82
300 to 311 1 80000 0.04
312 to 323 1 139464.2 0.07
336 to 347 3 144788.19 0.07
348 to 359 596 46799493.61 22.06
360 to 371 146 10589659.39 4.99
----- -------------- ------
TOTAL 3,645 212,111,573.20 100.00
===== ============== ======
<CAPTION>
Months Elapsed Number of Aggregate % of Aggregate
Since Origination Mortgage Loans Principal Balance Principal Balance (*)
----------------- -------------- ----------------- ---------------------
<S> <C> <C> <C>
0 653 35,862,120.28 16.91
1 1,066 63,037,917.92 29.72
2 1,023 59,644,763.56 28.12
3 599 35,363,735.35 16.67
4 195 11,754,217.68 5.54
5 59 3,682,586.30 1.74
6 16 1,031,958.26 0.49
>=7 34 1,734,273.85 0.82
----- ----------- ------
TOTAL 3,645 212,111,573 100.00
===== =========== ======
</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>
LEHMAN BROTHERS
Group I Collateral Statistics
<TABLE>
<CAPTION>
Range of
Junior Lien Ratios Number of Aggregate % of Aggregate
(Junior Liens Only) Mortgage Loans Principal Balance Principal Balance (*)
------------------- -------------- ----------------- ---------------------
<S> <C> <C> <C>
0 to <5 1 133,900.00 0.54
5 to <10 23 301,838.47 1.22
10 to <15 68 1,138,210.77 4.59
15 to <20 113 2,666,094.15 10.74
20 to <25 149 4,260,874.23 17.17
25 to <30 120 3,749,934.92 15.11
30 to <35 83 2,987,578.91 12.04
35 to <40 55 1,807,830.26 7.29
40 to <45 45 1,597,900.09 6.44
45 to <50 26 928,007.80 3.74
50 to <55 22 1,016,798.58 4.10
55 to <60 20 821,253.87 3.31
60 to <65 17 863,662.55 3.48
65 to <70 11 408,880.44 1.65
70 to <75 8 284,097.32 1.14
75 to <80 14 766,702.75 3.09
80 to <85 6 266,317.02 1.07
85 to <90 4 181,772.59 0.73
90 to <95 6 440,391.86 1.77
95 to <100 2 191,445.85 0.77
--- ------------- ------
TOTAL 793 24,813,492.43 100.00
=== ============= ======
</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>
LEHMAN BROTHERS
Group II Collateral Statistics
<TABLE>
<CAPTION>
Number of Aggregate % of Aggregate
State Mortgage Loans Principal Balance Principal Balance (*)
----- -------------- ----------------- ---------------------
<S> <C> <C> <C>
California 123 18,456,939.84 20.39
Illinois 67 7,623,572.31 8.42
Maryland 60 6,681,062.58 7.38
Ohio 88 6,605,193.74 7.30
Washington 36 5,536,109.84 6.12
Utah 47 5,144,828.34 5.68
Pennsylvania 43 4,275,972.76 4.72
New Jersey 38 4,230,529.10 4.67
Virginia 40 4,174,584.05 4.61
Michigan 44 3,751,179.82 4.14
Oregon 23 2,863,850.24 3.16
Colorado 27 2,611,489.03 2.88
Georgia 22 2,423,068.28 2.68
Massachusetts 16 2,173,450.98 2.40
Connecticut 15 1,963,284.58 2.17
New York 18 1,753,482.37 1.94
Texas 16 1,657,580.22 1.83
Indiana 16 1,070,894.87 1.18
Delaware 10 896,159.67 0.99
Kentucky 8 824,460.07 0.91
Arizona 9 680,330.23 0.75
North Carolina 5 581,479.12 0.64
Tennessee 4 509,961.12 0.56
Florida 7 496,983.49 0.55
New Mexico 5 461,167.19 0.51
Minnesota 6 447,179.41 0.49
Washington D.C. 3 306,728.16 0.34
Iowa 4 298,896.03 0.33
New Hampshire 4 276,595.58 0.31
Idaho 3 265,372.41 0.29
Rhode Island 3 215,899.64 0.24
Maine 2 174,276.05 0.19
Oklahoma 3 169,340.02 0.19
Mississippi 2 161,277.44 0.18
West Virginia 1 141,035.90 0.16
Missouri 3 132,657.62 0.15
Kansas 2 131,847.95 0.15
Louisiana 2 109,484.58 0.12
Nevada 1 83,834.87 0.09
Montana 1 79,333.00 0.09
Wisconsin 1 53,980.32 0.06
Alabama 1 28,030.48 0.03
--- ------------- ------
TOTAL 829 90,523,383.30 100.00
=== ============= ======
</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>
LEHMAN BROTHERS
<TABLE>
<CAPTION>
Group II Collateral Statistics
Number of Aggregate % of Aggregate
Range of CLTV Ratios Mortgage Loans Principal Balance Principal Balance (*)
-------------------- -------------- ----------------- ---------------------
<S> <C> <C> <C>
10+ to 20 1 140,000.00 0.15
20+ to 30 3 139,836.18 0.15
30+ to 40 8 389,555.95 0.43
40+ to 50 13 877,123.78 0.97
50+ to 60 43 3,520,111.85 3.89
60+ to 70 94 10,872,524.00 12.01
70+ to 80 309 35,307,019.02 39.00
80+ to 90 351 38,697,577.66 42.75
90+ to 100 7 579,634.86 0.64
--- ------------- ------
TOTAL 829 90,523,383.30 100.00
=== ============= ======
<CAPTION>
Range of Current Number of Aggregate % of Aggregate
Mortgage Rates Mortgage Loans Principal Balance Principal Balance (*)
-------------- -------------- ----------------- ---------------------
<S> <C> <C> <C>
5 to <6 1 449,398.18 0.50
7 to <8 24 2,652,126.92 2.93
8 to <9 166 21,696,335.69 23.97
9 to <10 244 26,670,559.09 29.46
10 to <11 206 21,450,336.52 23.70
11 to <12 109 10,984,133.43 12.13
12 to <13 61 5,151,654.81 5.69
13 to <14 15 1,251,816.76 1.38
14 to <15 3 217,021.90 0.24
--- ------------- ------
TOTAL 829 90,523,383.30 100.00
=== ============= ======
</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>
LEHMAN BROTHERS
<TABLE>
<CAPTION>
Group II Collateral Statistics
Range of Number of Aggregate % of Aggregate
Principal Balances Mortgage Loans Principal Balance Principal Balance (*)
------------------ -------------- ----------------- ---------------------
<S> <C> <C> <C>
10000 to <20000 4 68,897.73 0.08
20000 to <30000 12 324,788.79 0.36
30000 to <40000 24 858,587.84 0.95
40000 to <50000 43 1,979,694.83 2.19
50000 to <60000 78 4,334,543.38 4.79
60000 to <70000 96 6,260,693.98 6.92
70000 to <80000 73 5,473,053.92 6.05
80000 to <90000 68 5,784,077.48 6.39
90000 to <100000 64 6,085,060.16 6.72
100000 to <120000 125 13,711,203.27 15.15
120000 to <140000 72 9,280,784.17 10.25
140000 to <160000 37 5,495,400.19 6.07
160000 to <180000 36 6,124,074.12 6.77
180000 to <200000 27 5,158,118.65 5.70
200000 to <250000 31 6,974,602.01 7.70
250000 to <300000 22 6,033,702.50 6.67
300000 to <350000 7 2,234,165.13 2.47
350000 to <400000 5 1,929,588.88 2.13
>=400000 5 2,412,346.27 2.66
--- ------------- ------
TOTAL 829 90,523,383.30 100.00
=== ============= ======
<CAPTION>
Number of Aggregate % of Aggregate
Occupancy Status Mortgage Loans Principal Balance Principal Balance (*)
---------------- -------------- ----------------- ---------------------
<S> <C> <C> <C>
Owner Occupied 805 88,106,564.58 97.33
Investor Property 24 2,416,818.72 2.67
-- ------------ ----
TOTAL 829 90,523,383.30 100.00
=== ============= ======
<CAPTION>
Number of Aggregate % of Aggregate
Property Description Mortgage Loans Principal Balance Principal Balance (*)
-------------------- -------------- ----------------- ---------------------
<S> <C> <C> <C>
Single Family 777 85,474,128.52 94.42
2 Units 26 2,928,173.34 3.23
Condominium 12 808,369.65 0.89
3-4 Units 6 651,988.74 0.72
Townhouse 5 436,885.45 0.48
Manufactured Housing 3 223,837.60 0.25
--- ------------- ------
TOTAL 829 90,523,383.30 100.00
=== ============= ======
</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>
LEHMAN BROTHERS
Group II Collateral Statistics
<TABLE>
<CAPTION>
Months Remaining Number of Aggregate % of Aggregate
To Maturity Mortgage Loans Principal Balance Principal Balance (*)
----------- -------------- ----------------- ---------------------
<S> <C> <C> <C>
60 to 71 3 83,690.50 0.09
84 to 95 1 42,500.00 0.05
108 to 119 3 164,703.56 0.18
168 to 179 11 704,521.64 0.78
180 to 191 9 700,375.00 0.77
192 to 203 1 39,978.45 0.04
204 to 215 1 58,500.00 0.06
216 to 227 9 554,618.54 0.61
228 to 239 6 425,113.17 0.47
240 to 251 3 198,584.76 0.22
252 to 263 6 741,462.15 0.82
264 to 275 9 1,045,207.84 1.15
276 to 287 1 67,210.19 0.07
300 to 311 2 318,454.44 0.35
324 to 335 3 790,366.69 0.87
336 to 347 7 892,041.29 0.99
348 to 359 584 65,809,693.88 72.70
360 to 371 170 17,886,361.20 19.76
--- ------------- -----
TOTAL 829 90,523,383.30 100.00
=== ============= ======
<CAPTION>
Months Elapsed Number of Aggregate % of Aggregate
Since Origination Mortgage Loans Principal Balance Principal Balance (*)
----------------- -------------- ----------------- ---------------------
<S> <C> <C> <C>
0 187 18,966,436.20 20.95
1 270 30,287,470.81 33.46
2 189 19,338,960.66 21.36
3 114 13,922,833.08 15.38
4 16 1,996,464.08 2.21
5 3 184,678.23 0.20
6 4 483,760.81 0.53
>7 46 5,342,779.43 5.90
--- ------------- ------
TOTAL 829 90,523,383.30 100.00
=== ============= ======
<CAPTION>
Number of Aggregate % of Aggregate
Margins Mortgage Loans Principal Balance Principal Balance (*)
------- -------------- ----------------- ---------------------
<S> <C> <C> <C>
0 to <1 1 47,840.84 0.05
2 to <3 27 3,114,682.78 3.44
3 to <4 20 2,383,482.23 2.63
4 to <5 214 22,535,879.89 24.90
5 to <6 319 34,727,000.40 38.36
6 to <7 174 20,424,897.97 22.56
7 to <8 59 5,962,309.46 6.59
8 to <9 13 1,084,564.73 1.20
9 to <10 2 242,725.00 0.27
--- ------------- ------
TOTAL 829 90,523,383.30 100.00
=== ============= ======
</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>
LEHMAN BROTHERS
Group II Collateral Statistics
<TABLE>
<CAPTION>
Maximum Number of Aggregate % of Aggregate
Mortgage Rates Mortgage Loans Principal Balance Principal Balance (*)
-------------- -------------- ----------------- ---------------------
<S> <C> <C> <C>
9 to <10 1 106,718.89 0.12
11 to <12 5 1,235,603.68 1.36
13 to <14 15 1,624,667.05 1.79
14 to <15 42 5,507,831.81 6.08
15 to <16 147 19,113,298.97 21.11
16 to <17 250 27,972,123.92 30.90
17 to <18 187 17,926,405.67 19.80
18 to <19 99 10,142,970.41 11.20
19 to <20 62 5,179,685.29 5.72
20 to <21 15 1,260,762.94 1.39
21 to <22 3 217,021.90 0.24
22 to <23 3 236,292.77 0.26
--- ------------- ------
TOTAL 829 90,523,383.30 100.00
=== ============= ======
<CAPTION>
Minimum Number of Aggregate % of Aggregate
Mortgage Rates Mortgage Loans Principal Balance Principal Balance (*)
-------------- -------------- ----------------- ---------------------
<S> <C> <C> <C>
0 to <1 5 356,542.22 0.39
1 to <2 2 137,432.52 0.15
2 to <3 16 2,228,910.52 2.46
3 to <4 11 1,379,417.79 1.52
4 to <5 27 3,630,181.24 4.01
5 to <6 48 5,015,373.94 5.54
6 to <7 18 2,064,016.05 2.28
7 to <8 22 2,520,259.38 2.78
8 to <9 130 16,777,602.64 18.53
9 to <10 300 32,263,017.46 35.64
10 to <11 166 16,385,943.26 18.10
11 to <12 61 6,060,809.42 6.70
12 to <13 20 1,497,942.39 1.65
13 to <14 2 131,509.47 0.15
14 to <15 1 74,425.00 0.08
--- ------------- ------
TOTAL 829 90,523,383.30 100.00
=== ============= ======
</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>
LEHMAN BROTHERS
Group II Collateral Statistics
<TABLE>
<CAPTION>
Next Interest Number of Aggregate % of Aggregate WAvg.
Adjustment Date Mortgage Loans Principal Balance Principal Balance (*) Mos. to Roll
=============== ============== ================= ===================== ============
<S> <C> <C> <C> <C>
Oct-96 6 694,587.69 0.77 1.00
Nov-96 12 1,665,917.75 1.84 2.00
Dec-96 73 9,566,433.43 10.57 3.03
Jan-97 73 7,718,108.29 8.53 4.05
Feb-97 73 10,615,159.20 11.73 5.01
Mar-97 31 3,681,706.59 4.07 6.01
Apr-97 3 241,532.64 0.27 7.00
May-97 5 465,769.33 0.51 8.00
Jun-97 14 1,333,912.64 1.47 9.07
Jul-97 29 3,420,807.11 3.78 10.11
Aug-97 32 4,084,027.79 4.51 11.10
Sep-97 18 1,954,453.44 2.16 12.03
Oct-97 1 101,520.00 0.11 13.00
Jun-98 2 256,418.11 0.28 21.00
Jul-98 2 187,085.21 0.21 22.00
Aug-98 7 1,030,098.22 1.14 23.00
Sep-98 3 621,983.24 0.69 24.00
Feb-99 1 79,772.74 0.09 29.00
May-99 5 609,502.28 0.67 32.00
Jun-99 54 6,021,592.35 6.65 33.09
Jul-99 76 7,515,962.17 8.30 34.09
Aug-99 67 6,698,353.65 7.40 35.16
Sep-99 57 5,508,343.10 6.08 36.00
Oct-99 3 335,100.00 0.37 37.00
Feb-01 1 91,163.75 0.10 53.00
May-01 2 286,285.72 0.32 56.00
Jun-01 28 2,827,757.49 3.12 57.61
Jul-01 41 4,036,311.04 4.46 58.53
Aug-01 73 5,831,973.23 6.44 59.47
Sep-01 37 3,041,745.10 3.36 60.06
--- ------------- ------ -----
TOTAL 829 90,523,383.30 100.00 24.11
=== ============= ====== =====
</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).
