<PAGE> 1
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest event reported) June 11, 1998
Advanta Mortgage Loan Trust 1998-2
-----------------------------------------------------
(Exact name of registrant as specified in its charter)
New York 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
(Former name or former address, if changed since last report)
<PAGE> 2
Item 5. Other Events
In connection with the offering of Advanta Mortgage Loan Trust
1998-2 Mortgage Loan Asset-Backed Certificates, Series 1998-2, described in a
Prospectus Supplement dated as of June 11, 1998, 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).
(d) Exhibit 99.2. Related Computational Materials (as defined in
Item 5 above).
<PAGE> 3
3
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 1998-2
By: Advanta Mortgage Conduit Services,
Inc., as Sponsor
By: /s/ Mark T. Dunsheath
---------------------
Name: Mark T. Dunsheath
Title: Vice President
Dated: June 17, 1998
<PAGE> 4
EXHIBIT INDEX
<TABLE>
<CAPTION>
EXHIBIT NO. DESCRIPTION PAGE NO.
- ----------- ----------- --------
<S> <C> <C>
99.1 Related Computational Materials (as 5
defined in Item 5 above).
99.2 Related Computational Materials (as 5
defined in Item 5 above).
</TABLE>
<PAGE> 1
EXHIBIT 99.1
MORGAN STANLEY DEAN WITTER [GRAPHIC] June 9, 1998
Asset Finance Group
ABS/MBS Capital Markets
REVISED COMPUTATIONAL MATERIALS
$925,000,000
(APPROXIMATE)
ADVANTA MORTGAGE LOAN TRUST 1998-2
HOME EQUITY LOAN ABS
- ----------
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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 2
MORGAN STANLEY DEAN WITTER [GRAPHIC] June 9, 1998
Asset Finance Group
ABS/MBS Capital Markets
$925,000,000 ADVANTA MORTGAGE LOAN TRUST 1998-2
ADVANTA MORTGAGE CORP., USA -- MASTER SERVICER
TRANSACTION HIGHLIGHTS
<TABLE>
<CAPTION>
EXPECTED MODIFIED PAYMENT
RATINGS AVG LIFE DURATION WINDOW
(S&P/ TO CALL/ TO CALL/ TO CALL/ PRICE
CLASS(1) DESCRIPTION MOODY'S) BALANCE MTY(1)(2) MTY(1)(2) MTY(1)(2) DAY COUNT BENCHMARK TALK
-------- ----------- -------- ------- --------- --------- --------- --------- --------- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 FRM Fixed SEQ AAA/Aaa $73,000,000 0.85 / 0.85 0.80 / 0.80 18 / 18 30/360 + [ ]
A-2 FRM Fixed SEQ AAA/Aaa 41,000,000 1.99 / 1.99 1.82 / 1.82 13 / 13 30/360 + [ ]
A-3 FRM Fixed SEQ AAA/Aaa 34,000,000 3.01 / 3.01 2.66 / 2.66 14 / 14 30/360 + [ ]
A-4 FRM Fixed SEQ AAA/Aaa 17,000,000 4.01 / 4.01 3.44 / 3.44 11 / 11 30/360 + [ ]
A-5 FRM Fixed SEQ AAA/Aaa 24,000,000 5.24 / 5.24 4.32 / 4.32 24 / 24 30/360 + [ ]
A-6 FRM Fixed SEQ AAA/Aaa 27,000,000 7.70 / 9.83 5.84 / 6.89 21 / 120 30/360 + [ ]
A-7 FRM NAS Class AAA/Aaa 15,000,000 5.39 / 5.39 4.42 / 4.42 51 / 51 30/360 + [ ]
A-8 FRM NAS Class AAA/Aaa 9,000,000 7.77 / 8.21 5.94 / 6.18 10 / 92 30/360 + [ ]
A-9 FRM Fixed SEQ(3) AAA/Aaa 88,000,000 0.85 / 0.85 0.80 / 0.80 18 / 18 30/360 Not Available
A-10 FRM Fixed SEQ(3) AAA/Aaa 61,000,000 2.00 / 2.00 1.83 / 1.83 14 / 14 30/360 Not Available
A-11 FRM Fixed SEQ(3) AAA/Aaa 38,000,000 3.00 / 3.00 2.66 / 2.66 12 / 12 30/360 Not Available
A-12 FRM Fixed SEQ(3) AAA/Aaa 28,000,000 3.99 / 3.99 3.43 / 3.43 13 / 13 30/360 Not Available
A-13 FRM Fixed SEQ(3) AAA/Aaa 28,000,000 5.26 / 5.26 4.33 / 4.33 21 / 21 30/360 Not Available
A-14 FRM Fixed SEQ(3) AAA/Aaa 36,000,000 7.65 / 9.63 5.79 / 6.77 23 / 117 30/360 Not Available
A-15 FRM NAS Class(3) AAA/Aaa 31,000,000 6.27 / 6.42 4.98 / 5.07 60 / 143 30/360 Not Available
F-IO FRM NAS IO(4) AAAr/Aaa 55,000,000 2.51 / 2.51 1.23 / 1.23 30 / 30 30/360 + [ ]
A-16 ARM Floater AAA/Aaa 180,000,000 3.13 / 3.47 2.64 / 2.82 96 / 212 Actual/360 + [ ]
A-17 ARM Fixed NAS AAA/Aaa 60,000,000 2.54 / 2.54 2.27 / 2.27 42 / 42 30/360 + [ ]
A-18 ARM Floater(3) AAA/Aaa 101,250,000 3.13 / 3.46 2.64 / 2.82 96 / 211 Actual/360 Not Available
A-19 ARM Fixed NAS(3) AAA/Aaa 33,750,000 2.53 / 2.53 2.27 / 2.27 42 / 42 30/360 Not Available
A-IO ARM Fixed NAS IO(4) AAAr/Aaa 93,750,000 1.18 / 1.18 0.61 / 0.61 14 / 14 30/360 + [ ]
</TABLE>
- ----------
Notes: (1) Both the fixed rate and ARM certificates are priced to the 10%
optional clean-up call and are noted in boldface.
(2) Based on the pricing prepayment speed. See details below.
(3) Certificates backed by the Group IB and Group IIB loans have
been placed at the time of this offering.
(4) The NAS IO classes are based on the aggregate balance of the
sub-group NAS classes within each loan group and will be
sole-managed by Morgan Stanley.
<TABLE>
<S> <C>
SPONSOR: Advanta Mortgage Conduit Services, Inc. ("Advanta Conduit")
MASTER SERVICER: Advanta Mortgage Corp. USA ("Advanta")
TRUSTEE: Bankers Trust Company of California, N.A.
MANAGERS: MORGAN STANLEY DEAN WITTER (LEAD MANAGER), Lehman Brothers, Prudential Securities (co-managers)
EXPECTED PRICING DATE: June 11, 1998.
EXPECTED SETTLEMENT DATE: June 22, 1998 through DTC, Euroclear, and CEDEL.
Settles with accrued interest on the fixed
rate certificates and settling flat on the
floating rate certificates.
</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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 3
TRANSACTION HIGHLIGHTS (CONT'D)
DISTRIBUTION DATES: The 25th of each month, beginning July 27, 1998.
MORTGAGE LOANS: The Trust will consist of two home equity mortgage
loan groups:
- "Group I" loans are conventional, fixed-rate,
one- to four-family home equity mortgage
loans.
- "Group II" loans are conventional,
adjustable-rate, one- to four-family home
equity mortgage loans.
Each of these loan groups will be divided into two
sub-groups:
- "Group IA" loans consist of fixed rate,
first- and second-lien loans owned by Advanta
Conduit Services, Inc. and its non-bank
affiliates.
- "Group IB" loans consist of fixed rate, first
lien loans owned by Advanta National Bank
USA.
- "Group IIA" loans consist of adjustable rate,
first- and second-lien loans owned by Advanta
Conduit Services, Inc. and its non-bank
affiliates.
- "Group IIB" loans consist of adjustable rate,
first lien loans owned by Advanta National
Bank USA.
NOTE: CERTIFICATES BACKED BY THE GROUP IB AND GROUP
IIB LOANS HAVE BEEN PLACED AT THE TIME OF THIS
OFFERING.
PRICING PREPAYMENT SPEED: - Fixed Rate Group I Certificates: The fixed
rate certificates assume 120% PPC which
equates to a ramped CPR starting at 3.6% CPR
in the first month increasing to 24.0% CPR
over 12 months, and remaining at 24.0% CPR
thereafter on a seasoning adjusted basis.
- Adjustable Rate Group II Certificates: 25%
CPR.
CREDIT ENHANCEMENT: Each of the Group I and Group II Certificates are
credit enhanced by a 100% AMBAC guaranty,
overcollateralization and the
cross-collateralization from each of the sub-groups.
CLASS A-7, A-8 AND A-15 The Class A-7, A-8 (Group IA) and A-15 (Group 1B)
FIXED RATE NAS fixed rate NAS classes pay according to the
CERTIFICATES: following schedule (of its pro-rata share):
JULY 1998 - JUNE 2001: 0%
JULY 2001 - JUNE 2003: 45%
JULY 2003 - JUNE 2004: 80%
JULY 2004 - JUNE 2005: 100%
JULY 2005 AND THEREAFTER: 300%
CLASS A-17 AND A-19 The Class A-17 and A-19 fixed rate ARM NAS classes
FIXED RATE ARM are backed by the Group IIA and Group IIB mortgage
CERTIFICATES: collateral, respectively, and pay according to the
following schedule:
JULY 1998 - JANUARY 2000: 0% OF THE CLASSES A-17
AND A-19 PRO-RATA SHARE OF PRINCIPAL
FEBRUARY 2000 - JUNE 2003: 500% OF THE CLASSES A-17
AND A-19 PRO-RATA SHARE OF PRINCIPAL
JULY 2003 AND THEREAFTER: 100% OF ALL CLASS A ARM
PRINCIPAL COLLECTIONS
NAS IO ON FIXED (F-IO): The F-IO Class pays a 5.0% coupon on the aggregate
balance of the Classes A-7, A-8 and A-15 NAS
Certificates for 30 months.
NAS IO ON ARM (A-IO): The A-IO Class pays a 5.0% coupon on the aggregate
balance of the Classes A-17 and A-19 NAS
Certificates for 14 months.
OPTIONAL CLEAN-UP CALL: 10% of original pool balance (combination of Group I
and Group II). Both the Group I and Group II
Certificates are priced to the 10% optional clean-up
call date.
STEP-UP COUPON: - The margin on the Class A-16 and A-18 will
double after the 10% clean-up call date
should the call not be exercised.
- The coupon on the A-6, A-8, A-14 and A-15
classes will increase by 0.75% after the 10%
clean-up call date should the call not be
exercised.
AVAILABLE FUNDS CAP: The sub-groups will each be subject to a separate
available funds cap schedule. Supplemental interest
will be payable on the ARM certificates.
TRUST TAX STATUS: REMIC Trust.
ERISA ELIGIBILITY: The Certificates are expected to be ERISA eligible.
SMMEA ELIGIBILITY: None of the Certificates are SMMEA eligible.
- ----------
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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 4
AVERAGE LIFE SENSITIVITY TABLES (PRICED TO CALL)
GROUP IA AND IIA FRM AND ARM SUB-GROUPS
<TABLE>
<CAPTION>
PPC % 0 50 100 120 175 200 250
CPR % 0 10 20 25 30 40 50
<S> <C> <C> <C> <C> <C> <C> <C>
CLASS A-1
Average Life 7.40 1.59 0.97 0.85 0.66 0.61 0.52
Mod Duration 5.39 1.45 0.91 0.80 0.63 0.58 0.50
First Prin 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98
Last Prin 1/25/12 8/25/01 3/25/00 12/25/99 8/25/99 6/25/99 4/25/99
Payment Window 163 38 21 18 14 12 10
CLASS A-2
Average Life 14.65 4.29 2.34 1.99 1.44 1.28 1.06
Mod Duration 9.37 3.66 2.12 1.82 1.34 1.20 1.00
First Prin 1/25/12 8/25/01 3/25/00 12/25/99 8/25/99 6/25/99 4/25/99
Last Prin 4/25/13 1/25/04 5/25/01 12/25/00 3/25/00 1/25/00 9/25/99
Payment Window 16 30 15 13 8 8 6
CLASS A-3
Average Life 17.21 7.10 3.60 3.01 2.08 1.83 1.47
Mod Duration 10.24 5.56 3.14 2.66 1.90 1.68 1.37
First Prin 4/25/13 1/25/04 5/25/01 12/25/00 3/25/00 1/25/00 9/25/99
Last Prin 12/25/17 7/25/07 10/25/02 1/25/02 11/25/00 8/25/00 2/25/00
Payment Window 57 43 18 14 9 8 6
CLASS A-4
Average Life 21.33 10.23 4.85 4.01 2.67 2.32 1.83
Mod Duration 11.36 7.31 4.06 3.44 2.39 2.10 1.68
First Prin 12/25/17 7/25/07 10/25/02 1/25/02 11/25/00 8/25/00 2/25/00
Last Prin 8/25/21 11/25/09 11/25/03 11/25/02 5/25/01 12/25/00 6/25/00
Payment Window 45 29 14 11 7 5 5
CLASS A-5
Average Life 25.11 13.19 6.60 5.24 3.37 2.88 2.22
Mod Duration 12.12 8.64 5.22 4.32 2.95 2.56 2.01
First Prin 8/25/21 11/25/09 11/25/03 11/25/02 5/25/01 12/25/00 6/25/00
Last Prin 4/25/25 4/25/13 12/25/06 10/25/04 5/25/02 10/25/01 12/25/00
Payment Window 45 42 38 24 13 11 7
</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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 5
AVERAGE LIFE SENSITIVITY TABLES (PRICED TO CALL)
GROUP IA AND IIA FRM AND ARM SUB-GROUPS (CONTINUED)
<TABLE>
<CAPTION>
PPC % 0 50 100 120 175 200 250
CPR % 0 10 20 25 30 40 50
<S> <C> <C> <C> <C> <C> <C> <C>
CLASS A-6
Average Life 27.95 15.83 9.61 7.70 5.00 4.11 3.02
Mod Duration 12.27 9.47 6.88 5.84 4.11 3.48 2.65
First Prin 4/25/25 4/25/13 12/25/06 10/25/04 5/25/02 10/25/01 12/25/00
Last Prin 9/25/26 9/25/14 3/25/08 6/25/06 4/25/04 2/25/03 12/25/01
Payment Window 18 18 16 21 24 17 13
CLASS A-7
Average Life 9.76 6.57 5.66 5.39 4.73 4.23 3.46
Mod Duration 7.02 5.20 4.61 4.42 3.97 3.61 3.03
First Prin 7/25/01 7/25/01 7/25/01 7/25/01 7/25/01 7/25/01 7/25/01
Last Prin 1/25/12 12/25/06 11/25/05 9/25/05 4/25/04 2/25/03 12/25/01
Payment Window 127 66 53 51 34 20 6
CLASS A-8
Average Life 15.26 10.62 8.48 7.77 5.84 4.68 3.51
Mod Duration 9.40 7.42 6.33 5.94 4.73 3.92 3.05
First Prin 1/25/12 12/25/06 11/25/05 9/25/05 4/25/04 2/25/03 12/25/01
Last Prin 9/25/26 9/25/14 3/25/08 6/25/06 4/25/04 2/25/03 12/25/01
Payment Window 177 94 29 10 1 1 1
CLASS A-16
Average Life 23.98 8.38 4.11 3.13 2.33 1.49 0.88
Mod Duration 12.29 5.94 3.34 2.64 2.04 1.35 0.83
First Prin 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98
Last Prin 9/25/26 9/25/14 3/25/08 6/25/06 4/25/04 2/25/03 12/25/01
Payment Window 339 195 117 96 70 56 42
CLASS A-17
Average Life 13.25 3.35 2.67 2.54 2.46 2.41 2.50
Mod Duration 8.52 2.91 2.38 2.27 2.21 2.18 2.25
First Prin 2/25/00 2/25/00 2/25/00 2/25/00 2/25/00 2/25/00 2/25/00
Last Prin 8/25/17 2/25/04 8/25/03 7/25/03 7/25/03 2/25/03 12/25/01
Payment Window 211 49 43 42 42 37 23
</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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 6
AVERAGE LIFE SENSITIVITY TABLES (PRICED TO MATURITY)
GROUP IA AND IIA FRM AND ARM SUB-GROUPS
<TABLE>
<CAPTION>
PPC % 0 50 100 120 175 200 250
CPR % 0 10 20 25 30 40 50
<S> <C> <C> <C> <C> <C> <C> <C>
CLASS A-1
Average Life 7.40 1.59 0.97 0.85 0.66 0.61 0.52
Mod Duration 5.39 1.45 0.91 0.80 0.63 0.58 0.50
First Prin 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98
Last Prin 1/25/12 8/25/01 3/25/00 12/25/99 8/25/99 6/25/99 4/25/99
Payment Window 163 38 21 18 14 12 10
CLASS A-2
Average Life 14.65 4.29 2.34 1.99 1.44 1.28 1.06
Mod Duration 9.37 3.66 2.12 1.82 1.34 1.20 1.00
First Prin 1/25/12 8/25/01 3/25/00 12/25/99 8/25/99 6/25/99 4/25/99
Last Prin 4/25/13 1/25/04 5/25/01 12/25/00 3/25/00 1/25/00 9/25/99
Payment Window 16 30 15 13 8 8 6
CLASS A-3
Average Life 17.21 7.10 3.60 3.01 2.08 1.83 1.47
Mod Duration 10.24 5.56 3.14 2.66 1.90 1.68 1.37
First Prin 4/25/13 1/25/04 5/25/01 12/25/00 3/25/00 1/25/00 9/25/99
Last Prin 12/25/17 7/25/07 10/25/02 1/25/02 11/25/00 8/25/00 2/25/00
Payment Window 57 43 18 14 9 8 6
CLASS A-4
Average Life 21.33 10.23 4.85 4.01 2.67 2.32 1.83
Mod Duration 11.36 7.31 4.06 3.44 2.39 2.10 1.68
First Prin 12/25/17 7/25/07 10/25/02 1/25/02 11/25/00 8/25/00 2/25/00
Last Prin 8/25/21 11/25/09 11/25/03 11/25/02 5/25/01 12/25/00 6/25/00
Payment Window 45 29 14 11 7 5 5
CLASS A-5
Average Life 25.11 13.19 6.60 5.24 3.37 2.88 2.22
Mod Duration 12.12 8.64 5.22 4.32 2.95 2.56 2.01
First Prin 8/25/21 11/25/09 11/25/03 11/25/02 5/25/01 12/25/00 6/25/00
Last Prin 4/25/25 4/25/13 12/25/06 10/25/04 5/25/02 10/25/01 12/25/00
Payment Window 45 42 38 24 13 11 7
</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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 7
AVERAGE LIFE SENSITIVITY TABLES (PRICED TO MATURITY)
GROUP IA AND IIA FRM AND ARM SUB-GROUPS (CONTINUED)
<TABLE>
<CAPTION>
PPC % 0 50 100 120 175 200 250
CPR % 0 10 20 25 30 40 50
<S> <C> <C> <C> <C> <C> <C> <C>
CLASS A-6
Average Life 28.38 18.32 11.88 9.83 5.66 4.40 3.05
Mod Duration 12.34 10.16 7.88 6.89 4.50 3.67 2.68
First Prin 4/25/25 4/25/13 12/25/06 10/25/04 5/25/02 10/25/01 12/25/00
Last Prin 3/25/28 2/25/26 5/25/17 9/25/14 5/25/10 9/25/08 5/25/02
Payment Window 36 155 126 120 97 84 18
CLASS A-7
Average Life 9.76 6.57 5.66 5.39 4.79 4.58 3.99
Mod Duration 7.02 5.20 4.61 4.42 4.01 3.86 3.43
First Prin 7/25/01 7/25/01 7/25/01 7/25/01 7/25/01 7/25/01 7/25/01
Last Prin 1/25/12 12/25/06 11/25/05 9/25/05 11/25/04 7/25/04 4/25/03
Payment Window 127 66 53 51 41 37 22
CLASS A-8
Average Life 15.26 10.62 8.64 8.21 7.57 7.33 5.82
Mod Duration 9.40 7.43 6.42 6.18 5.80 5.65 4.69
First Prin 1/25/12 12/25/06 11/25/05 9/25/05 11/25/04 7/25/04 4/25/03
Last Prin 1/25/28 12/25/25 4/25/13 4/25/13 2/25/10 7/25/08 3/25/06
Payment Window 193 229 90 92 64 49 36
CLASS A-16
Average Life 24.15 9.34 4.59 3.47 2.70 1.68 0.99
Mod Duration 12.32 6.24 3.57 2.82 2.27 1.48 0.92
First Prin 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98
Last Prin 4/25/28 5/25/27 3/25/20 2/25/16 12/25/12 9/25/08 1/25/06
Payment Window 358 347 261 212 174 123 91
CLASS A-17
Average Life 13.25 3.35 2.67 2.54 2.46 2.41 2.56
Mod Duration 8.52 2.91 2.38 2.27 2.21 2.18 2.29
First Prin 2/25/00 2/25/00 2/25/00 2/25/00 2/25/00 2/25/00 2/25/00
Last Prin 8/25/17 2/25/04 8/25/03 7/25/03 7/25/03 7/25/03 7/25/03
Payment Window 211 49 43 42 42 42 42
</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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 8
GROUP IA FRM LOANS - COLLATERAL SUMMARY
GROUP IA FRM LOANS
------------------
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
NUMBER OF LOANS 2,825
TOTAL OUTSTANDING PRINCIPAL BALANCE $180,012,877
BALLOON (% OF TOTAL) 18.69%
LEVEL PAY (% OF TOTAL) 81.31%
AVERAGE PRINCIPAL BALANCE $63,721 $2,451 - $914,474
WEIGHTED AVERAGE LOAN RATE 10.41% 7.40% - 17.45%
WEIGHTED AVERAGE ORIGINAL TERM (MOS.) 264 36 - 360
WEIGHTED AVERAGE REMAINING TERM (MOS.) 262 32 - 360
WEIGHTED AVERAGE CLTV 76.72% 11.67% - 95.00%
WEIGHTED AVERAGE CLTV > 80.00% 42.04%
WEIGHTED AVERAGE SECOND MORTGAGE RATIO 31.13% (for second liens only)
LIEN POSITION (FIRST/SECOND) 94.22% / 5.78%
PROPERTY TYPE
SINGLE FAMILY/PUD 85.02%
CONDO/TOWNHOUSE/ROWHOUSE 3.96%
TWO TO FOUR FAMILY 4.43%
PREFABRICATED SINGLE FAMILY 5.35%
OTHER 1.24%
OCCUPANCY STATUS
OWNER OCCUPIED 90.64%
INVESTOR OWNER 9.36%
GEOGRAPHIC DISTRIBUTION
other states account individually for less than CA 13.19% PA 5.83%
5% of Group I pool balance MI 10.38%
FL 6.87%
ORIGINATION YEAR 1998 90.85%
1997 9.10%
1995 0.05%
CREDIT CLASS A+/A/A- 66.25% C/C- 10.28%
B/B- 18.46% D 5.01%
PREPAYMENT PENALTY Yes 77.17%
No 22.83%
</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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 9
GROUP IA FRM LOANS
------------------
GEOGRAPHIC DISTRIBUTION
-----------------------
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
NUMBER OF PRINCIPAL PRINCIPAL
STATE MORTGAGE LOANS BALANCE BALANCE
- ----- -------------- ---------------- --------------
<S> <C> <C> <C>
ALABAMA 8 425,714.61 0.24
ALASKA 3 209,629.97 0.12
ARIZONA 99 6,091,799.99 3.38
ARKANSAS 5 194,633.31 0.11
CALIFORNIA 223 23,749,986.94 13.19
COLORADO 67 4,952,992.32 2.75
CONNECTICUT 11 739,594.98 0.41
DELAWARE 6 287,862.60 0.16
DISTRICT OF COLUMBIA 1 54,298.36 0.03
FLORIDA 206 12,359,940.30 6.87
GEORGIA 64 3,807,373.88 2.12
HAWAII 3 467,498.92 0.26
IDAHO 23 1,504,708.50 0.84
ILLINOIS 55 4,049,163.69 2.25
INDIANA 102 5,335,215.57 2.96
IOWA 46 2,121,674.34 1.18
KANSAS 72 4,600,458.63 2.56
KENTUCKY 28 1,209,723.52 0.67
LOUISIANA 15 567,744.60 0.32
MARYLAND 64 4,534,534.06 2.52
MASSACHUSETTS 20 1,820,331.03 1.01
MICHIGAN 429 18,679,086.40 10.38
MINNESOTA 16 1,116,730.82 0.62
MISSISSIPPI 5 251,230.75 0.14
MISSOURI 105 6,504,904.67 3.61
MONTANA 6 234,301.73 0.13
NEBRASKA 17 1,240,217.01 0.69
NEVADA 57 5,437,267.98 3.02
NEW HAMPSHIRE 2 205,414.91 0.11
NEW JERSEY 51 3,471,008.90 1.93
NEW MEXICO 19 1,021,415.32 0.57
NEW YORK 32 3,342,109.85 1.86
NORTH CAROLINA 103 6,261,913.71 3.48
OHIO 114 6,294,943.87 3.50
OKLAHOMA 28 1,364,997.30 0.76
OREGON 65 5,647,112.53 3.14
PENNSYLVANIA 193 10,492,457.21 5.83
RHODE ISLAND 6 499,203.06 0.28
SOUTH CAROLINA 57 3,100,539.51 1.72
SOUTH DAKOTA 4 81,830.45 0.05
TENNESSEE 82 5,181,579.14 2.88
</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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 10
GROUP IA FRM LOANS
------------------
GEOGRAPHIC DISTRIBUTION
-----------------------
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
NUMBER OF PRINCIPAL PRINCIPAL
STATE MORTGAGE LOANS BALANCE BALANCE
- ----- -------------- ---------------- --------------
<S> <C> <C> <C>
TEXAS 33 1,733,779.48 0.96
UTAH 44 3,417,252.29 1.90
VERMONT 3 166,740.64 0.09
VIRGINIA 131 7,624,609.53 4.24
WASHINGTON 71 6,040,958.68 3.36
WEST VIRGINIA 10 509,498.83 0.28
WISCONSIN 17 845,626.54 0.47
WYOMING 4 161,265.44 0.09
TOTAL: 2,825 180,012,876.67 100.00
</TABLE>
GROUP IA FRM LOANS
------------------
DISTRIBUTION OF CLTVS
---------------------
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
RANGE OF NUMBER OF PRINCIPAL PRINCIPAL
CLTV RATIOS MORTGAGE LOANS BALANCE BALANCE
- ----------- -------------- --------------- --------------
<S> <C> <C> <C>
90.001 - 95.000 23 1,376,396.51 0.76
85.001 - 90.000 178 13,878,209.80 7.71
80.001 - 85.000 860 60,430,731.14 33.57
75.001 - 80.000 595 43,116,101.68 23.95
70.001 - 75.000 311 21,045,205.83 11.69
65.001 - 70.000 236 13,855,478.81 7.70
60.001 - 65.000 186 10,192,196.51 5.66
55.001 - 60.000 125 5,515,568.70 3.06
50.001 - 55.000 58 2,468,337.36 1.37
0.001 - 50.000 253 8,134,650.33 4.52
- ----------------------------------------------------------------------------------------------------------------
TOTAL: 2,825 180,012,876.67 100.00
</TABLE>
Minimum: 11.67
Maximum: 95.00
Weighted Average: 76.72
- ----------
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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 11
<TABLE>
<CAPTION>
GROUP IA FRM LOANS
------------------
DISTRIBUTION OF LTVS
--------------------
AGGREGATE % OF AGGREGATE
RANGE OF NUMBER OF PRINCIPAL PRINCIPAL
LTV RATIOS MORTGAGE LOANS BALANCE BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
90.001 - 95.000 21 1,341,805.82 0.75
85.001 - 90.000 152 13,188,985.31 7.33
80.001 - 85.000 689 54,895,565.91 30.50
75.001 - 80.000 537 40,792,368.81 22.66
70.001 - 75.000 290 20,354,876.27 11.31
65.001 - 70.000 229 13,584,552.34 7.55
60.001 - 65.000 179 9,840,283.72 5.47
55.001 - 60.000 119 5,228,003.29 2.90
50.001 - 55.000 60 2,712,796.85 1.51
0.001 - 50.000 549 18,073,638.35 10.04
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 2,825 180,012,876.67 100.00
</TABLE>
Minimum: 4.32
Maximum: 95.00
Weighted Average: 73.53
<TABLE>
<CAPTION>
GROUP IA FRM LOANS
------------------
DISTRIBUTION OF JUNIOR LIEN RATIOS (JUNIOR LIENS ONLY)
------------------------------------------------------
AGGREGATE % OF AGGREGATE
RANGE OF NUMBER OF PRINCIPAL PRINCIPAL
JUNIOR LIEN RATIOS MORTGAGE LOANS BALANCE BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.01 - 10.00 9 91,203.60 0.88
10.01 - 20.00 92 2,285,591.75 21.97
20.01 - 30.00 108 3,612,173.37 34.72
30.01 - 40.00 53 2,095,213.65 20.14
40.01 - 50.00 23 1,120,569.86 10.77
50.01 - 60.00 12 706,828.49 6.79
60.01 - 70.00 6 228,135.25 2.19
70.01 - 80.00 4 263,941.20 2.54
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 307 10,403,657.17 100.00
</TABLE>
Minimum: 5.10
Maximum: 75.64
Weighted Average: 31.13
- ----------
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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 12
<TABLE>
<CAPTION>
GROUP IA FRM LOANS
------------------
DISTRIBUTION OF CURRENT MORTGAGE RATES
--------------------------------------
AGGREGATE % OF AGGREGATE
RANGE OF CURRENT NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE RATES MORTGAGE LOANS BALANCE BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
7.001 - 8.000 58 5,567,727.15 3.09
8.001 - 9.000 357 33,127,635.97 18.40
9.001 - 10.000 677 53,293,595.80 29.61
10.001 - 11.000 559 37,267,746.88 20.70
11.001 - 12.000 360 19,815,077.45 11.01
12.001 - 13.000 519 20,157,109.62 11.20
13.001 - 14.000 188 6,631,528.31 3.68
14.001 - 15.000 76 2,934,408.42 1.63
15.001 - 16.000 25 1,024,792.87 0.57
16.001 - 17.000 4 121,631.37 0.07
17.001 - 18.000 2 71,622.83 0.04
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 2,825 180,012,876.67 100.00
</TABLE>
Minimum: 7.4000
Maximum: 17.4500
Weighted Average: 10.4055
- ----------
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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 13
<TABLE>
<CAPTION>
GROUP IA FRM LOANS
------------------
REMAINING TERM TO MATURITY DISTRIBUTION
---------------------------------------
AGGREGATE % OF AGGREGATE
REMAINING TERM NUMBER OF PRINCIPAL PRINCIPAL
TO MATURITY MORTGAGE LOANS BALANCE BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
25 - 36 2 78,789.88 0.04
37 - 48 1 16,132.37 0.01
49 - 60 20 330,217.46 0.18
73 - 84 12 343,545.51 0.19
85 - 96 7 257,398.81 0.14
97 - 108 1 74,952.84 0.04
109 - 120 130 4,701,985.39 2.61
133 - 144 11 506,839.16 0.28
145 - 156 2 148,642.34 0.08
169 - 180 1,175 64,175,766.75 35.65
193 - 204 5 470,670.90 0.26
205 - 216 3 221,563.00 0.12
217 - 228 10 588,613.79 0.33
229 - 240 512 33,079,366.76 18.38
289 - 300 9 574,803.36 0.32
301 - 312 1 104,787.27 0.06
349 - 360 924 74,338,801.08 41.30
- ---------------------------------------------------------------------------------------------------------------
TOTAL: 2,825 180,012,876.67 100.00
</TABLE>
Minimum: 32
Maximum: 360
Weighted Average: 262.0
- ----------
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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 14
<TABLE>
<CAPTION>
GROUP IA FRM LOANS
------------------
PRINCIPAL BALANCE DISTRIBUTION
------------------------------
AGGREGATE % OF AGGREGATE
RANGE OF NUMBER OF PRINCIPAL PRINCIPAL
PRINCIPAL BALANCES MORTGAGE LOANS BALANCE BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.01 - 5,000.00 2 7,394.60 0.00
5,000.01 - 10,000.00 29 281,150.48 0.16
10,000.01 - 15,000.00 84 1,103,063.83 0.61
15,000.01 - 20,000.00 157 2,833,432.16 1.57
20,000.01 - 25,000.00 172 3,955,244.48 2.20
25,000.01 - 30,000.00 205 5,674,066.31 3.15
30,000.01 - 35,000.00 189 6,180,535.20 3.43
35,000.01 - 40,000.00 195 7,414,790.18 4.12
40,000.01 - 45,000.00 188 8,024,763.72 4.46
45,000.01 - 50,000.00 164 7,793,292.54 4.33
50,000.01 - 55,000.00 173 9,097,826.54 5.05
55,000.01 - 60,000.00 180 10,397,671.59 5.78
60,000.01 - 65,000.00 116 7,282,451.63 4.05
65,000.01 - 70,000.00 105 7,074,731.17 3.93
70,000.01 - 75,000.00 93 6,739,751.87 3.74
75,000.01 - 80,000.00 84 6,535,575.03 3.63
80,000.01 - 85,000.00 74 6,129,482.60 3.41
85,000.01 - 90,000.00 63 5,517,953.99 3.07
90,000.01 - 95,000.00 55 5,082,329.80 2.82
95,000.01 - 100,000.00 65 6,350,871.89 3.53
100,000.01 - 150,000.00 296 35,319,782.29 19.62
150,000.01 - 200,000.00 69 12,000,287.29 6.67
200,000.01 - 250,000.00 32 7,204,076.30 4.00
250,000.01 - 300,000.00 16 4,265,295.91 2.37
300,000.01 - 350,000.00 9 2,962,825.94 1.65
350,000.01 - 400,000.00 3 1,103,345.30 0.61
400,000.01 - 450,000.00 2 818,407.34 0.45
450,000.01 - 500,000.00 3 1,420,678.81 0.79
500,000.01 - 550,000.00 1 527,324.31 0.29
900,000.01 - 950,000.00 1 914,473.57 0.51
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 2,825 180,012,876.67 100.00
</TABLE>
Minimum: 2,451
Maximum: 914,474
Average: 63,721
- ----------
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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 15
<TABLE>
<CAPTION>
GROUP IA FRM LOANS
------------------
DISTRIBUTION OF SEASONING
-------------------------
AGGREGATE % OF AGGREGATE
MONTHS ELAPSED NUMBER OF PRINCIPAL PRINCIPAL
SINCE ORIGINATION MORTGAGE LOANS BALANCE BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
= Less than 0 326 18,315,911.76 10.17
1- 6 2,463 159,758,430.64 88.75
7 - 12 34 1,845,739.14 1.03
25 - 36 2 92,795.13 0.05
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 2,825 180,012,876.67 100.00
</TABLE>
Minimum: 0
Maximum: 31
Weighted Average: 1.8
- ----------
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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 16
GROUP IIA ARM LOANS- COLLATERAL SUMMARY
---------------------------------------
GROUP IIA ARM LOANS
-------------------
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
NUMBER OF LOANS 2,141
TOTAL OUTSTANDING PRINCIPAL BALANCE $198,389,365
BALLOON (% OF TOTAL) 0.00%
LEVEL PAY (% OF TOTAL) 100.00%
AVERAGE PRINCIPAL BALANCE $92,662 $9,996 - $674,668
WEIGHTED AVERAGE LOAN RATE 10.45% 7.24% - 16.49%
WEIGHTED AVERAGE MARGIN 6.47% 2.25% - 11.50%
WEIGHTED AVERAGE ORIGINAL TERM (MOS.) 359 120 - 360
WEIGHTED AVERAGE REMAINING TERM (MOS.) 357 118 - 360
WEIGHTED AVERAGE MAXIMUM RATE 17.11% 13.49% - 22.99%
WEIGHTED AVERAGE PERIODIC CAP - SUBSEQUENT 1.17% 1.00% - 2.00%
WEIGHTED AVERAGE FLOOR 9.77% 3.90% - 16.49%
INDEX 6 month LIBOR 99.91%
1 Yr CMT 0.09%
WEIGHTED AVERAGE CLTV 79.92% 13.64% - 94.34%
WEIGHTED AVERAGE CLTV > 80.00% 50.22%
LIEN POSITION (FIRST/SECOND) 100.00% / 0.00%
PROPERTY TYPE
SINGLE FAMILY/PUD 88.84%
CONDO/TOWNHOUSE/ROWHOUSE 3.60%
TWO TO FOUR FAMILY 4.28%
PREFABRICATED SINGLE FAMILY 3.03%
OTHER 0.24%
OCCUPANCY STATUS
OWNER OCCUPIED / INVESTOR OWNER 94.25% / 5.75%
GEOGRAPHIC DISTRIBUTION
other states account individually for less than CA 16.11% OR 4.84%
4% of Group II pool balance MI 14.74% NV 4.39%
FL 5.21% UT 4.36%
WA 5.01% OH 4.06%
ORIGINATION YEAR 1998 91.19%
1997 8.81%
CREDIT CLASS A+/A/A- 50.97% C/C- 17.99%
B/B- 25.86% D 5.18%
PREPAYMENT PENALTY Yes 81.58%
No 18.42%
</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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 17
GROUP IIA ARM LOANS
DISTRIBUTION BY LOAN TYPE
<TABLE>
<CAPTION>
% OF AGGREGATE WEIGHTED WEIGHTED INITIAL AVERAGE AVERAGE
PRINCIPAL AVERAGE AVERAGE PERIODIC PERIODIC MAXIMUM
LOAN TYPE BALANCE COUPON MARGIN CAP CAP RATE
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
6 mo LIBOR 4.63 10.426 6.913 1.388 1.388 17.065
1 Yr Fix,6 mo LIBOR 0.08 10.211 4.461 1.000 1.000 17.211
2 Yr Fix,6 mo LIBOR 67.43 10.561 6.764 2.954 1.187 17.114
3 Yr Fix,1 Yr CMT 0.09 8.453 4.824 3.000 1.703 15.453
3 Yr Fix,6 mo LIBOR 17.79 10.225 6.152 2.962 1.093 17.140
5 Yr Fix,6 mo LIBOR 9.97 10.129 4.902 1.424 1.058 17.072
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL: 100.00 10.450 6.473 2.729 1.167 17.111
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
GROUP IIA ARM LOANS
GEOGRAPHIC DISTRIBUTION
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------------
AGGREGATE % OF AGGREGATE
NUMBER OF PRINCIPAL PRINCIPAL
STATE MORTGAGE LOANS BALANCE BALANCE
-------------------- ------------------- ---------------------
<S> <C> <C> <C>
ALABAMA 1 111,089.38 0.06
ALASKA 1 151,200.00 0.08
ARIZONA 47 4,416,203.82 2.23
ARKANSAS 1 69,693.71 0.04
CALIFORNIA 205 31,958,930.73 16.11
COLORADO 69 7,037,767.03 3.55
CONNECTICUT 21 2,383,728.83 1.20
DELAWARE 4 385,909.19 0.19
FLORIDA 122 10,326,600.95 5.21
GEORGIA 28 2,808,848.14 1.42
IDAHO 20 2,200,529.48 1.11
ILLINOIS 59 5,298,212.74 2.67
INDIANA 78 4,202,608.14 2.12
IOWA 12 882,317.13 0.44
KANSAS 11 890,025.12 0.45
KENTUCKY 21 1,664,780.28 0.84
LOUISIANA 4 266,642.07 0.13
MAINE 3 236,984.98 0.12
MARYLAND 34 3,421,016.32 1.72
MASSACHUSETTS 22 2,190,399.99 1.10
MICHIGAN 448 29,237,989.11 14.74
MINNESOTA 26 2,358,085.62 1.19
MISSISSIPPI 3 287,733.66 0.15
</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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 18
GROUP IIA ARM LOANS
GEOGRAPHIC DISTRIBUTION
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------------
AGGREGATE % OF AGGREGATE
NUMBER OF PRINCIPAL PRINCIPAL
STATE MORTGAGE LOANS BALANCE BALANCE
-------------------- ------------------- ---------------------
<S> <C> <C> <C>
MISSOURI 21 2,032,589.08 1.02
MONTANA 5 478,400.59 0.24
NEBRASKA 3 157,806.99 0.08
NEVADA 81 8,716,343.79 4.39
NEW HAMPSHIRE 6 563,728.96 0.28
NEW JERSEY 55 5,383,179.60 2.71
NEW MEXICO 9 967,288.77 0.49
NEW YORK 44 4,690,635.77 2.36
NORTH CAROLINA 36 3,063,646.22 1.54
OHIO 105 8,058,768.55 4.06
OKLAHOMA 15 1,209,945.31 0.61
OREGON 96 9,602,802.54 4.84
PENNSYLVANIA 65 5,407,334.11 2.73
RHODE ISLAND 6 551,364.93 0.28
SOUTH CAROLINA 9 844,780.98 0.43
SOUTH DAKOTA 5 457,092.90 0.23
TENNESSEE 20 1,593,615.77 0.80
TEXAS 79 7,045,281.02 3.55
UTAH 78 8,653,909.99 4.36
VERMONT 2 738,014.65 0.37
VIRGINIA 18 1,437,885.69 0.72
WASHINGTON 86 9,947,335.57 5.01
WEST VIRGINIA 8 594,914.50 0.30
WISCONSIN 48 3,268,602.38 1.65
WYOMING 1 136,800.00 0.07
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL: 2,141 198,389,365.08 100.00
- -------------------------------------------------------------------------------------------------------------------------------
</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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 19
GROUP IIA ARM LOANS
DISTRIBUTION OF CLTVS
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
RANGE OF NUMBER OF PRINCIPAL PRINCIPAL
CLTV RATIOS MORTGAGE LOANS BALANCE BALANCE
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
90.001 - 95.000 10 1,299,275.05 0.65
85.001 - 90.000 367 44,447,293.21 22.40
80.001 - 85.000 571 53,885,198.27 27.16
75.001 - 80.000 517 46,810,567.60 23.60
70.001 - 75.000 249 21,435,747.48 10.80
65.001 - 70.000 171 13,903,315.17 7.01
60.001 - 65.000 104 7,103,768.20 3.58
55.001 - 60.000 54 3,179,794.39 1.60
50.001 - 55.000 31 2,380,267.22 1.20
0.001 - 50.000 67 3,944,138.49 1.99
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL: 2,141 198,389,365.08 100.00
Minimum: 13.64
Maximum: 94.34
Weighted Average: 79.92
</TABLE>
GROUP IIA ARM LOANS
DISTRIBUTION OF CURRENT MORTGAGES
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
RANGE OF CURRENT NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE RATES MORTGAGE LOANS BALANCE BALANCE
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
7.001 - 8.000 36 4,826,086.77 2.43
8.001 - 9.000 170 19,845,885.62 10.00
9.001 - 10.000 485 53,808,758.79 27.12
10.001 - 11.000 717 66,139,831.67 33.34
11.001 - 12.000 476 35,372,118.48 17.83
12.001 - 13.000 165 12,861,871.09 6.48
13.001 - 14.000 52 3,104,288.76 1.56
14.001 - 15.000 27 1,747,614.32 0.88
15.001 - 16.000 10 547,077.95 0.28
16.001 - 17.000 3 135,831.63 0.07
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL: 2,141 198,389,365.08 100.00
Minimum: 7.2400
Maximum: 16.4900
Weighted Average: 10.4498
</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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 20
GROUP IIA ARM LOANS
REMAINING TERM TO MATURITY DISTRIBUTION
<TABLE>
<CAPTION>
REMAINING TERM NUMBER OF PRINCIPAL PRINCIPAL
TO MATURITY MORTGAGE LOANS BALANCE BALANCE
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
109 - 120 1 29,284.22 0.01
169 - 180 15 993,933.22 0.50
217 - 228 2 118,931.53 0.06
229 - 240 1 135,411.46 0.07
289 - 300 2 100,019.52 0.05
349 - 360 2,120 197,011,785.13 99.31
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL: 2,141 198,389,365.08 100.00
Minimum: 118
Maximum: 360
Weighted Average: 357.2
</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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 21
GROUP IIA ARM LOANS
PRINCIPAL BALANCE DISTRIBUTION
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
RANGE OF NUMBER OF PRINCIPAL PRINCIPAL
PRINCIPAL BALANCES MORTGAGE LOANS BALANCE BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
5,000.01 -10,000.00 1 9,996.25 0.01
10,000.01 -15,000.00 2 24,937.87 0.01
15,000.01 -20,000.00 19 343,831.54 0.17
20,000.01 -25,000.00 37 867,529.58 0.44
25,000.01 -30,000.00 70 1,978,574.70 1.00
30,000.01 -35,000.00 55 1,812,003.96 0.91
35,000.01 -40,000.00 89 3,353,804.22 1.69
40,000.01 -45,000.00 92 3,950,316.69 1.99
45,000.01 -50,000.00 126 6,030,534.88 3.04
50,000.01 -55,000.00 89 4,706,327.92 2.37
55,000.01 -60,000.00 131 7,586,011.98 3.82
60,000.01 -65,000.00 102 6,399,992.70 3.23
65,000.01 -70,000.00 104 7,033,666.18 3.55
70,000.01 -75,000.00 99 7,204,956.07 3.63
75,000.01 -80,000.00 83 6,441,927.08 3.25
80,000.01 -85,000.00 94 7,741,582.53 3.90
85,000.01 -90,000.00 82 7,187,845.39 3.62
90,000.01 -95,000.00 80 7,419,558.51 3.74
95,000.01 -100,000.00 70 6,837,707.87 3.45
100,000.01 -150,000.00 442 53,352,173.76 26.89
150,000.01 -200,000.00 153 26,142,369.66 13.18
200,000.01 -250,000.00 63 13,911,710.27 7.01
250,000.01 -300,000.00 37 10,157,445.99 5.12
300,000.01 -350,000.00 11 3,441,485.49 1.73
350,000.01 -400,000.00 4 1,505,812.39 0.76
400,000.01 -450,000.00 4 1,762,072.36 0.89
500,000.01 -550,000.00 1 510,521.26 0.26
650,000.01 -700,000.00 1 674,667.98 0.34
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 2,141 198,389,365.08 100.00
Minimum: 9,996
Maximum: 674,668
Average: 92,662
</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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 22
GROUP IIA ARM LOANS
SEASONING DISTRIBUTION
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
MONTHS ELAPSED NUMBER OF PRINCIPAL PRINCIPAL
SINCE ORIGINATION MORTGAGE LOANS BALANCE BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
= Less Than 0 309 26,829,400.28 13.52
1 -6 1,819 170,812,746.32 86.10
7 -12 13 747,218.48 0.38
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 2,141 198,389,365.08 100.00
Minimum: 0
Maximum: 9
Weighted Average: 1.6
</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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 23
GROUP IIA ARM LOANS
DISTRIBUTION OF MAXIMUM MORTGAGE RATES
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
RANGE OF MAXIMUM NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE RATES MORTGAGE LOANS BALANCE BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
13.000 - 13.499 1 139,873.83 0.07
13.500 - 13.999 3 297,770.35 0.15
14.000 - 14.499 13 1,515,471.58 0.76
14.500 - 14.999 36 4,899,903.64 2.47
15.000 - 15.499 55 6,669,134.44 3.36
15.500 - 15.999 179 20,987,282.32 10.58
16.000 - 16.499 315 28,843,560.32 14.54
16.500 - 16.999 346 35,710,924.39 18.00
17.000 - 17.499 366 33,457,466.84 16.86
17.500 - 17.999 372 31,113,575.68 15.68
18.000 - 18.499 143 11,678,190.67 5.89
18.500 - 18.999 109 9,233,829.70 4.65
19.000 - 19.499 74 5,215,185.17 2.63
19.500 - 19.999 61 4,571,457.47 2.30
20.000 - 20.499 20 1,072,912.80 0.54
20.500 - 20.999 14 935,095.12 0.47
21.000 - 21.499 18 1,274,637.09 0.64
21.500 - 21.999 10 457,184.66 0.23
22.000 - 22.499 2 91,688.75 0.05
22.500 - 22.999 4 224,220.26 0.11
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 2,141 198,389,365.08 100.00
Minimum: 13.4900
Maximum: 22.9900
Weighted Average: 17.1111
</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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 24
GROUP IIA ARM LOANS
DISTRIBUTION OF MINIMUM MORTGAGE RATES
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
RANGE OF MINIMUM NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE RATES MORTGAGE LOANS BALANCE BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
3.500 - 3.999 2 73,976.00 0.04
4.000 - 4.499 10 774,037.94 0.39
4.500 - 4.999 17 1,789,884.52 0.90
5.000 - 5.499 41 3,725,334.06 1.88
5.500 - 5.999 83 8,294,351.37 4.18
6.000 - 6.499 63 6,308,582.42 3.18
6.500 - 6.999 34 2,746,314.40 1.38
7.000 - 7.499 7 687,646.82 0.35
7.500 - 7.999 37 4,214,514.42 2.12
8.000 - 8.499 25 2,854,267.11 1.44
8.500 - 8.999 253 26,933,280.11 13.58
9.000 - 9.499 109 13,007,359.82 6.56
9.500 - 9.999 229 24,768,825.49 12.48
10.000 - 10.499 302 27,803,573.33 14.01
10.500 - 10.999 276 25,980,381.08 13.10
11.000 - 11.499 218 16,285,906.18 8.21
11.500 - 11.999 226 16,852,492.39 8.49
12.000 - 12.499 65 5,433,934.04 2.74
12.500 - 12.999 66 5,014,144.04 2.53
13.000 - 13.499 28 1,614,023.78 0.81
13.500 - 13.999 14 921,708.58 0.46
14.000 - 14.499 10 520,277.49 0.26
14.500 - 14.999 13 1,101,640.11 0.56
15.000 - 15.499 7 367,000.57 0.18
15.500 - 15.999 3 180,077.38 0.09
16.000 - 16.499 3 135,831.63 0.07
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 2,141 198,389,365.08 100.00
Minimum: 3.9000
Maximum: 16.4900
Weighted Average: 9.7749
</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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 25
GROUP IIA ARM LOANS
DISTRIBUTION OF MARGINS
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
RANGE OF NUMBER OF PRINCIPAL PRINCIPAL
MARGINS MORTGAGE LOANS BALANCE BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
2.001 - 3.000 10 1,607,811.86 0.81
3.001 - 4.000 67 6,939,450.52 3.50
4.001 - 5.000 162 16,988,877.47 8.56
5.001 - 6.000 450 45,365,237.23 22.87
6.001 - 7.000 724 66,750,813.76 33.65
7.001 - 8.000 487 40,205,404.84 20.27
8.001 - 9.000 168 15,037,444.54 7.58
9.001 - 10.000 62 4,655,326.26 2.35
10.001 - 11.000 10 737,091.67 0.37
11.001 - 12.000 1 101,906.93 0.05
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 2,141 198,389,365.08 100.00
Minimum: 2.2500
Maximum: 11.5000
Weighted Average: 6.4727
</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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 26
GROUP IIA ARM LOANS
DISTRIBUTION BY NEXT INTEREST ADJUSTMENT DATE
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
NEXT INTEREST NUMBER OF PRINCIPAL PRINCIPAL
ADJUSTMENT DATE MORTGAGE LOANS BALANCE BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
1998-06 5 406,528.31 0.20
1998-07 8 1,082,742.45 0.55
1998-08 17 1,796,222.10 0.91
1998-09 8 1,003,349.43 0.51
1998-10 47 4,440,672.11 2.24
1998-11 3 463,820.00 0.23
1999-03 1 81,600.00 0.04
1999-04 1 85,806.55 0.04
1999-08 1 75,644.51 0.04
1999-10 6 251,361.68 0.13
1999-11 13 1,203,729.30 0.61
1999-12 13 1,043,495.78 0.53
2000-01 112 11,582,011.61 5.84
2000-02 152 15,096,609.21 7.61
2000-03 248 22,711,011.64 11.45
2000-04 687 61,274,077.61 30.89
2000-05 240 20,424,216.98 10.30
2000-06 2 116,000.00 0.06
2000-10 3 255,944.38 0.13
2000-11 5 431,512.46 0.22
2000-12 4 479,294.00 0.24
2001-01 12 938,921.66 0.47
2001-02 53 5,547,401.46 2.80
2001-03 192 16,656,994.96 8.40
2001-04 95 9,552,544.85 4.82
2001-05 20 1,600,075.00 0.81
2002-08 2 115,493.81 0.06
2002-09 1 48,774.10 0.02
2002-11 2 236,543.90 0.12
2003-01 1 59,917.55 0.03
2003-02 4 333,496.18 0.17
2003-03 50 4,849,298.53 2.44
2003-04 89 9,918,964.67 5.00
2003-05 44 4,225,288.30 2.13
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 2,141 198,389,365.08 100.00
Minimum: 06/01/98
Maximum: 05/07/03
Weighted Average: 08/09/00
</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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 27
AVERAGE LIFE SENSITIVITY TABLES (PRICED TO CALL)
GROUP IB AND IIB FRM AND ARM SUB-GROUPS
<TABLE>
<CAPTION>
PPC % 0 50 100 120 175 200 250
CPR % 0 10 20 25 30 40 50
<S> <C> <C> <C> <C> <C> <C> <C>
CLASS A-9
Average Life 6.15 1.51 0.96 0.85 0.68 0.63 0.55
Mod Duration 4.67 1.38 0.90 0.80 0.64 0.60 0.53
First Prin 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98
Last Prin 3/25/10 5/25/01 2/25/00 12/25/99 7/25/99 6/25/99 5/25/99
Payment Window 141 35 20 18 13 12 11
CLASS A-10
Average Life 13.99 4.14 2.33 2.00 1.47 1.31 1.11
Mod Duration 9.09 3.54 2.10 1.83 1.36 1.23 1.04
First Prin 3/25/10 5/25/01 2/25/00 12/25/99 7/25/99 6/25/99 5/25/99
Last Prin 5/25/13 12/25/03 6/25/01 1/25/01 4/25/00 1/25/00 10/25/99
Payment Window 39 32 17 14 10 8 6
CLASS A-11
Average Life 15.45 6.78 3.57 3.00 2.11 1.87 1.51
Mod Duration 9.64 5.37 3.11 2.66 1.92 1.71 1.41
First Prin 5/25/13 12/25/03 6/25/01 1/25/01 4/25/00 1/25/00 10/25/99
Last Prin 7/25/15 11/25/06 8/25/02 12/25/01 11/25/00 7/25/00 2/25/00
Payment Window 27 36 15 12 8 7 5
CLASS A-12
Average Life 18.44 9.81 4.80 3.99 2.70 2.35 1.88
Mod Duration 10.55 7.09 4.02 3.43 2.41 2.12 1.72
First Prin 7/25/15 11/25/06 8/25/02 12/25/01 11/25/00 7/25/00 2/25/00
Last Prin 2/25/18 9/25/09 12/25/03 12/25/02 6/25/01 1/25/01 7/25/00
Payment Window 32 35 17 13 8 7 6
CLASS A-13
Average Life 22.69 12.84 6.55 5.26 3.43 2.94 2.28
Mod Duration 11.57 8.48 5.18 4.33 2.99 2.60 2.06
First Prin 2/25/18 9/25/09 12/25/03 12/25/02 6/25/01 1/25/01 7/25/00
Last Prin 9/25/23 1/25/13 9/25/06 8/25/04 5/25/02 10/25/01 1/25/01
Payment Window 68 41 34 21 12 10 7
</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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 28
AVERAGE LIFE SENSITIVITY TABLES (PRICED TO CALL)
GROUP IB AND IIB FRM AND ARM SUB-GROUPS (CONTINUED)
<TABLE>
<CAPTION>
PPC % 0 50 100 120 175 200 250
CPR % 0 10 20 25 30 40 50
<S> <C> <C> <C> <C> <C> <C> <C>
CLASS A-14
Average Life 27.38 15.66 9.55 7.65 5.00 4.12 3.05
Mod Duration 12.12 9.38 6.83 5.79 4.11 3.49 2.68
First Prin 9/25/23 1/25/13 9/25/06 8/25/04 5/25/02 10/25/01 1/25/01
Last Prin 9/25/26 9/25/14 3/25/08 6/25/06 4/25/04 2/25/03 12/25/01
Payment Window 37 21 19 23 24 17 12
CLASS A-15
Average Life 11.28 7.99 6.69 6.27 5.14 4.39 3.48
Mod Duration 7.69 5.99 5.24 4.98 4.25 3.73 3.03
First Prin 7/25/01 7/25/01 7/25/01 7/25/01 7/25/01 7/25/01 7/25/01
Last Prin 9/25/26 9/25/14 3/25/08 6/25/06 4/25/04 2/25/03 12/25/01
Payment Window 303 159 81 60 34 20 6
CLASS A-18
Average Life 23.66 8.34 4.11 3.13 2.33 1.50 0.88
Mod Duration 12.20 5.92 3.34 2.64 2.04 1.35 0.83
First Prin 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98
Last Prin 9/25/26 9/25/14 3/25/08 6/25/06 4/25/04 2/25/03 12/25/01
Payment Window 339 195 117 96 70 56 42
CLASS A-19
Average Life 12.69 3.34 2.67 2.53 2.46 2.41 2.50
Mod Duration 8.28 2.91 2.38 2.27 2.21 2.18 2.25
First Prin 2/25/00 2/25/00 2/25/00 2/25/00 2/25/00 2/25/00 2/25/00
Last Prin 1/25/17 2/25/04 8/25/03 7/25/03 7/25/03 2/25/03 12/25/01
Payment Window 204 49 43 42 42 37 23
</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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 29
AVERAGE LIFE SENSITIVITY TABLES (PRICED TO MATURITY)
GROUP IB AND IIB FRM AND ARM SUB-GROUPS (CONTINUED)
<TABLE>
<CAPTION>
PPC % 0 50 100 120 175 200 250
CPR % 0 10 20 25 30 40 50
<S> <C> <C> <C> <C> <C> <C> <C>
CLASS A-9
Average Life 6.15 1.51 0.96 0.85 0.68 0.63 0.55
Mod Duration 4.67 1.38 0.90 0.80 0.64 0.60 0.53
First Prin 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98
Last Prin 3/25/10 5/25/01 2/25/00 12/25/99 7/25/99 6/25/99 5/25/99
Payment Window 141 35 20 18 13 12 11
CLASS A-10
Average Life 13.99 4.14 2.33 2.00 1.47 1.31 1.11
Mod Duration 9.09 3.54 2.10 1.83 1.36 1.23 1.04
First Prin 3/25/10 5/25/01 2/25/00 12/25/99 7/25/99 6/25/99 5/25/99
Last Prin 5/25/13 12/25/03 6/25/01 1/25/01 4/25/00 1/25/00 10/25/99
Payment Window 39 32 17 14 10 8 6
CLASS A-11
Average Life 15.45 6.78 3.57 3.00 2.11 1.87 1.51
Mod Duration 9.64 5.37 3.11 2.66 1.92 1.71 1.41
First Prin 5/25/13 12/25/03 6/25/01 1/25/01 4/25/00 1/25/00 10/25/99
Last Prin 7/25/15 11/25/06 8/25/02 12/25/01 11/25/00 7/25/00 2/25/00
Payment Window 27 36 15 12 8 7 5
CLASS A-12
Average Life 18.44 9.81 4.80 3.99 2.70 2.35 1.88
Mod Duration 10.55 7.09 4.02 3.43 2.41 2.12 1.72
First Prin 7/25/15 11/25/06 8/25/02 12/25/01 11/25/00 7/25/00 2/25/00
Last Prin 2/25/18 9/25/09 12/25/03 12/25/02 6/25/01 1/25/01 7/25/00
Payment Window 32 35 17 13 8 7 6
CLASS A-13
Average Life 22.69 12.84 6.55 5.26 3.43 2.94 2.28
Mod Duration 11.57 8.48 5.18 4.33 2.99 2.60 2.06
First Prin 2/25/18 9/25/09 12/25/03 12/25/02 6/25/01 1/25/01 7/25/00
Last Prin 9/25/23 1/25/13 9/25/06 8/25/04 5/25/02 10/25/01 1/25/01
Payment Window 68 41 34 21 12 10 7
</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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 30
AVERAGE LIFE SENSITIVITY TABLES (PRICED TO MATURITY)
GROUP IB AND IIB FRM AND ARM SUB-GROUPS (CONTINUED)
<TABLE>
<CAPTION>
PPC % 0 50 100 120 175 200 250
CPR % 0 10 20 25 30 40 50
<S> <C> <C> <C> <C> <C> <C> <C>
CLASS A-14
Average Life 27.69 17.43 11.59 9.63 5.64 4.43 3.10
Mod Duration 12.17 9.87 7.73 6.77 4.48 3.69 2.71
First Prin 9/25/23 1/25/13 9/25/06 8/25/04 5/25/02 10/25/01 1/25/01
Last Prin 4/25/28 6/25/25 9/25/16 4/25/14 4/25/10 8/25/08 6/25/02
Payment Window 56 150 121 117 96 83 18
CLASS A-15
Average Life 11.28 7.99 6.74 6.42 5.81 5.59 4.71
Mod Duration 7.69 5.99 5.27 5.07 4.68 4.53 3.93
First Prin 7/25/01 7/25/01 7/25/01 7/25/01 7/25/01 7/25/01 7/25/01
Last Prin 2/25/28 10/25/24 5/25/13 5/25/13 2/25/10 6/25/08 4/25/06
Payment Window 320 280 143 143 104 84 58
CLASS A-18
Average Life 23.79 9.26 4.57 3.46 2.69 1.68 1.00
Mod Duration 12.23 6.20 3.56 2.82 2.26 1.48 0.92
First Prin 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98
Last Prin 3/25/28 2/25/27 2/25/20 1/25/16 11/25/12 9/25/08 1/25/06
Payment Window 357 344 260 211 173 123 91
CLASS A-19
Average Life 12.69 3.34 2.67 2.53 2.46 2.41 2.56
Mod Duration 8.28 2.91 2.38 2.27 2.21 2.18 2.29
First Prin 2/25/00 2/25/00 2/25/00 2/25/00 2/25/00 2/25/00 2/25/00
Last Prin 1/25/17 2/25/04 8/25/03 7/25/03 7/25/03 7/25/03 7/25/03
Payment Window 204 49 43 42 42 42 42
</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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 31
GROUP IB FRM LOANS - COLLATERAL SUMMARY
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
GROUP IB FRM LOANS
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NUMBER OF LOANS 3,409
TOTAL OUTSTANDING PRINCIPAL BALANCE $226,270,470
BALLOON (% OF TOTAL) 19.70%
LEVEL PAY (% OF TOTAL) 80.30%
AVERAGE PRINCIPAL BALANCE $66,374 $2,862 - $599,003
WEIGHTED AVERAGE LOAN RATE 9.73% 6.50% - 16.45%
WEIGHTED AVERAGE ORIGINAL TERM (MOS.) 248 60 - 360
WEIGHTED AVERAGE REMAINING TERM (MOS.) 247 38 - 360
WEIGHTED AVERAGE CLTV 74.82% 5.36 % - 90.00%
WEIGHTED AVERAGE CLTV GREATER THAN 80.00% 36.47%
WEIGHTED AVERAGE SECOND MORTGAGE RATIO 0.00% (no second liens)
LIEN POSITION (FIRST/SECOND) 100% / 0.00%
PROPERTY TYPE
SINGLE FAMILY/PUD 89.97%
CONDO/TOWNHOUSE/ROWHOUSE 4.12%
TWO TO FOUR FAMILY 2.74%
PREFABRICATED SINGLE FAMILY 3.16%
OTHER 0.00%
OCCUPANCY STATUS
OWNER OCCUPIED 98.14%
INVESTOR OWNER 1.86%
GEOGRAPHIC DISTRIBUTION
other states account individually for less than MI 12.52%
5% of Group I pool balance PA 7.01%
OH 5.66%
MD 5.24%
ORIGINATION YEAR 1998 96.98%
1997 2.99%
1996 0.03%
CREDIT CLASS A+/A/A- 76.17% C/C- 8.69%
B/B- 13.61% D 1.53%
PREPAYMENT PENALTY Yes 79.28%
No 20.72%
- ---------------------------------------------------------------------------------------------------------------------
</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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 32
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
GROUP IB FRM LOANS
GEOGRAPHIC DISTRIBUTION
- ---------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
NUMBER OF AGGREGATE PRINCIPAL PRINCIPAL
STATE MORTGAGE LOANS BALANCE BALANCE
-------------- ------------------- ---------------
<S> <C> <C> <C>
ALABAMA 34 1,775,544.35 0.78
ARIZONA 39 2,800,318.17 1.24
ARKANSAS 56 2,386,455.85 1.05
CALIFORNIA 87 11,300,044.43 4.99
COLORADO 59 5,504,887.69 2.43
CONNECTICUT 28 2,399,984.32 1.06
DELAWARE 29 2,201,869.54 0.97
DISTRICT OF COLUMBIA 14 1,155,975.25 0.51
FLORIDA 90 5,666,719.16 2.50
GEORGIA 102 6,877,965.72 3.04
HAWAII 4 904,390.10 0.40
IDAHO 7 407,203.89 0.18
ILLINOIS 146 10,296,846.58 4.55
INDIANA 93 4,708,513.08 2.08
IOWA 41 1,916,958.10 0.85
KANSAS 49 2,518,520.23 1.11
KENTUCKY 46 2,258,032.41 1.00
LOUISIANA 48 2,454,669.47 1.08
MAINE 16 797,290.44 0.35
MARYLAND 138 11,851,474.97 5.24
MASSACHUSETTS 33 4,173,711.98 1.84
MICHIGAN 503 28,326,626.30 12.52
MINNESOTA 66 4,796,269.71 2.12
MISSISSIPPI 36 1,997,491.12 0.88
MISSOURI 116 5,850,264.76 2.59
MONTANA 10 464,504.36 0.21
NEBRASKA 28 1,307,630.36 0.58
NEVADA 10 672,441.88 0.30
NEW HAMPSHIRE 6 360,851.53 0.16
NEW JERSEY 99 10,120,173.99 4.47
NEW MEXICO 30 1,937,962.40 0.86
NEW YORK 128 10,020,778.15 4.43
NORTH CAROLINA 104 6,878,233.43 3.04
NORTH DAKOTA 7 226,818.20 0.10
</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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 33
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
GROUP IB FRM LOANS
GEOGRAPHIC DISTRIBUTION
- ---------------------------------------------------------------------------------------------------------------------
% OF AGGREGATE
NUMBER OF AGGREGATE PRINCIPAL PRINCIPAL
STATE MORTGAGE LOANS BALANCE BALANCE
-------------- ------------------- ---------------
<S> <C> <C> <C>
OHIO 199 12,812,347.49 5.66
OKLAHOMA 41 2,008,538.54 0.89
OREGON 36 3,236,386.14 1.43
PENNSYLVANIA 267 15,850,273.25 7.01
RHODE ISLAND 9 720,055.29 0.32
SOUTH CAROLINA 31 1,608,242.85 0.71
SOUTH DAKOTA 11 550,901.37 0.24
TENNESSEE 83 4,930,560.94 2.18
TEXAS 135 6,838,595.09 3.02
UTAH 21 2,157,907.03 0.95
VERMONT 18 1,225,162.72 0.54
VIRGINIA 85 5,442,403.51 2.41
WASHINGTON 42 5,307,775.78 2.35
WEST VIRGINIA 87 4,071,069.69 1.80
WISCONSIN 36 1,917,710.91 0.85
WYOMING 6 275,117.97 0.12
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 3,409 226,270,470.49 100.00
- ---------------------------------------------------------------------------------------------------------------------
</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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 34
GROUP IB FRM LOANS
DISTRIBUTION OF CLTVS
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
RANGE OF NUMBER OF PRINCIPAL PRINCIPAL
CLTV RATIOS MORTGAGE LOANS BALANCE BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
85.001 - 90.000 26 2,388,486.31 1.06
80.001 - 85.000 1,036 80,137,122.98 35.42
75.001 - 80.000 738 54,697,950.47 24.17
70.001 - 75.000 486 33,657,805.57 14.88
65.001 - 70.000 271 16,819,826.84 7.43
60.001 - 65.000 208 10,892,155.31 4.81
55.001 - 60.000 157 7,932,149.58 3.51
50.001 - 55.000 96 4,911,321.14 2.17
0.001 - 50.000 391 14,833,652.29 6.56
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 3,409 226,270,470.49 100.00
Minimum: 5.36
Maximum: 90.00
Weighted Average: 74.82
</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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 35
GROUP IB FRM LOANS
DISTRIBUTION OF LTVS
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
RANGE OF NUMBER OF PRINCIPAL PRINCIPAL
LTV RATIOS MORTGAGE LOANS BALANCE BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
85.001 - 90.000 26 2,388,486.31 1.06
80.001 - 85.000 1,036 80,137,122.98 35.42
75.001 - 80.000 738 54,697,950.47 24.17
70.001 - 75.000 486 33,657,805.57 14.88
65.001 - 70.000 271 16,819,826.84 7.43
60.001 - 65.000 208 10,892,155.31 4.81
55.001 - 60.000 157 7,932,149.58 3.51
50.001 - 55.000 96 4,911,321.14 2.17
0.001 - 50.000 391 14,833,652.29 6.56
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 3,409 226,270,470.49 100.00
Minimum: 5.36
Maximum: 90.00
Weighted Average: 74.82
</TABLE>
GROUP IB FRM LOANS
DISTRIBUTION OF CURRENT MORTGAGES
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
RANGE OF CURRENT NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE RATES MORTGAGE LOANS BALANCE BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
6.001 - 7.000 8 721,475.23 0.32
7.001 - 8.000 228 19,743,710.00 8.73
8.001 - 9.000 751 60,379,612.91 26.68
9.001 - 10.000 986 68,978,649.52 30.49
10.001 - 11.000 624 37,732,266.60 16.68
11.001 - 12.000 451 22,107,367.17 9.77
12.001 - 13.000 262 12,044,149.82 5.32
13.001 - 14.000 78 3,657,086.00 1.62
14.001 - 15.000 16 707,878.77 0.31
15.001 - 16.000 3 138,085.45 0.06
16.001 - 17.000 2 60,189.02 0.03
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 3,409 226,270,470.49 100.00
Minimum: 6.5000
Maximum: 16.4500
Weighted Average: 9.7350
</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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 36
GROUP IB FRM LOANS
REMAINING TERM TO MATURITY DISTRIBUTION
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
REMAINING TERM NUMBER OF PRINCIPAL PRINCIPAL
TO MATURITY MORTGAGE LOANS BALANCE BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
37 - 48 1 37,297.01 0.02
49 - 60 17 530,621.68 0.23
61 - 72 6 166,136.91 0.07
73 - 84 20 588,922.65 0.26
85 - 96 5 243,173.26 0.11
97 - 108 2 32,181.63 0.01
109 - 120 179 6,848,871.21 3.03
121 - 132 7 294,748.15 0.13
133 - 144 30 1,419,777.40 0.63
145 - 156 5 329,453.78 0.15
157 - 168 6 411,240.12 0.18
169 - 180 1,397 87,381,686.77 38.62
181 - 192 8 408,091.15 0.18
193 - 204 11 643,905.73 0.28
205 - 216 5 383,751.05 0.17
217 - 228 56 3,581,966.54 1.58
229 - 240 737 50,362,665.95 22.26
265 - 276 2 127,000.00 0.06
277 - 288 1 15,000.00 0.01
289 - 300 24 1,846,880.31 0.82
313 - 324 1 22,886.40 0.01
337 - 348 1 162,560.55 0.07
349 - 360 888 70,431,652.24 31.13
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 3,409 226,270,470.49 100.00
Minimum: 38
Maximum: 360
Weighted Average: 247.3
</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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 37
<TABLE>
<CAPTION>
GROUP IB FRM LOANS
PRINCIPAL BALANCE DISTRIBUTION
AGGREGATE % OF AGGREGATE
RANGE OF NUMBER OF PRINCIPAL PRINCIPAL
PRINCIPAL BALANCES MORTGAGE LOANS BALANCE BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.01 - 5,000.00 1 2,862.35 0.00
5,000.01 - 10,000.00 3 29,526.07 0.01
10,000.01 - 15,000.00 66 936,337.23 0.41
15,000.01 - 20,000.00 125 2,276,229.30 1.01
20,000.01 - 25,000.00 163 3,801,744.52 1.68
25,000.01 - 30,000.00 223 6,290,733.61 2.78
30,000.01 - 35,000.00 217 7,166,603.69 3.17
35,000.01 - 40,000.00 267 10,115,425.93 4.47
40,000.01 - 45,000.00 249 10,700,278.14 4.73
45,000.01 - 50,000.00 243 11,636,740.51 5.14
50,000.01 - 55,000.00 207 10,878,162.61 4.81
55,000.01 - 60,000.00 231 13,349,631.21 5.90
60,000.01 - 65,000.00 161 10,113,729.67 4.47
65,000.01 - 70,000.00 149 10,074,263.75 4.45
70,000.01 - 75,000.00 142 10,335,122.52 4.57
75,000.01 - 80,000.00 125 9,741,709.92 4.31
80,000.01 - 85,000.00 91 7,545,699.53 3.33
85,000.01 - 90,000.00 74 6,516,077.76 2.88
90,000.01 - 95,000.00 73 6,770,429.32 2.99
95,000.01 - 100,000.00 81 7,917,501.27 3.50
100,000.01 - 150,000.00 343 40,772,387.81 18.02
150,000.01 - 200,000.00 94 16,153,574.19 7.14
200,000.01 - 250,000.00 39 8,799,669.42 3.89
250,000.01 - 300,000.00 17 4,615,026.21 2.04
300,000.01 - 350,000.00 12 3,974,397.77 1.76
350,000.01 - 400,000.00 4 1,451,379.53 0.64
400,000.01 - 450,000.00 4 1,692,833.58 0.75
450,000.01 - 500,000.00 2 963,740.14 0.43
500,000.01 - 550,000.00 2 1,049,650.00 0.46
550,000.01 - 600,000.00 1 599,002.93 0.26
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 3,409 226,270,470.49 100.00
</TABLE>
Minimum: 2,862
Maximum: 599,003
Average: 66,374
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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 38
<TABLE>
<CAPTION>
GROUP IB FRM LOANS
SEASONING DISTRIBUTION
AGGREGATE % OF AGGREGATE
MONTHS ELAPSED NUMBER OF PRINCIPAL PRINCIPAL
SINCE ORIGINATION MORTGAGE LOANS BALANCE BALANCE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
equal or less than 0 1,129 71,719,072.67 31.70
1- 6 2,262 153,589,353.62 67.88
7- 12 13 692,572.41 0.31
13 - 24 5 269,471.79 0.12
- -------------------------------------------------------------------------------------------------------------
TOTAL: 3,409 226,270,470.49 100.00
Minimum: 0
Maximum: 22
Weighted Average: 1.1
</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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 39
GROUP IIB ARM LOANS - COLLATERAL SUMMARY
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
GROUP IIB ARM LOANS
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NUMBER OF LOANS 1,274
TOTAL OUTSTANDING PRINCIPAL BALANCE $107,217,030
BALLOON (% OF TOTAL) 0.00%
LEVEL PAY (% OF TOTAL) 100.00%
AVERAGE PRINCIPAL BALANCE $84,158 $12,155 - $711,550
WEIGHTED AVERAGE LOAN RATE 10.04% 6.425% - 13.90%
WEIGHTED AVERAGE MARGIN 5.879% 2.42% - 9.70%
WEIGHTED AVERAGE ORIGINAL TERM (MOS.) 356 96 - 360
WEIGHTED AVERAGE REMAINING TERM (MOS.) 355 95 - 360
WEIGHTED AVERAGE MAXIMUM RATE 16.68% 13.00% - 20.90%
WEIGHTED AVERAGE PERIODIC CAP - SUBSEQUENT 1.07% 1.00% - 3.00%
WEIGHTED AVERAGE FLOOR 9.78% 3.875% - 13.90%
INDEX 6 month LIBOR 99.58%
1 Yr CMT 0.42%
WEIGHTED AVERAGE CLTV 77.59% 6.67% - 90.00%
WEIGHTED AVERAGE CLTV greater than 80.00% 39.61%
LIEN POSITION (FIRST/SECOND) 100.00% / 0.00%
PROPERTY TYPE
SINGLE FAMILY/PUD 91.70%
CONDO/TOWNHOUSE/ROWHOUSE 3.21%
TWO TO FOUR FAMILY 3.17%
PREFABRICATED SINGLE FAMILY 1.92%
OTHER 0.00%
OCCUPANCY STATUS
OWNER OCCUPIED / INVESTOR OWNER 98.82% / 1.18%
GEOGRAPHIC DISTRIBUTION
other states account individually for less than MI 32.53% OH 6.72%
4% of Group II pool balance IL 7.41% PA 4.12%
CA 7.12%
ORIGINATION YEAR 1998 87.04%
1997 12.96%
CREDIT CLASS A+/A/A- 62.30% C/C- 17.38%
B/B- 20.26% D 0.05%
PREPAYMENT PENALTY Yes 81.52%
No 18.48%
- --------------------------------------------------- -------------- --------------------- ------------- --------------
</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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 40
<TABLE>
<CAPTION>
GROUP IIB ARM LOANS
DISTRIBUTION BY LOAN TYPE
% OF AGGREGATE WEIGHTED WEIGHTED INITIAL AVERAGE AVERAGE
PRINCIPAL AVERAGE AVERAGE PERIODIC PERIODIC MAXIMUM
LOAN TYPE BALANCE COUPON MARGIN CAP CAP RATE
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
2 Yr Fix,6 mo LIBOR 71.85 10.115 5.946 2.920 1.093 16.618
3 Yr Fix,1 Yr CMT 0.26 10.750 6.283 3.000 2.000 17.750
3 Yr Fix,6 mo LIBOR 24.04 9.893 5.745 3.000 1.004 16.880
5 Yr Fix,6 mo LIBOR 3.69 9.513 5.350 3.000 1.000 16.513
5 Yr Fix,1 Yr CMT 0.16 11.403 7.437 3.000 2.000 18.403
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL: 100.00 10.043 5.879 2.943 1.072 16.683
</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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 41
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------------
GROUP IIB ARM LOANS
GEOGRAPHIC DISTRIBUTION
- -------------------------------------------------------------------------------------------------------------------------------
AGGREGATE % OF AGGREGATE
NUMBER OF PRINCIPAL PRINCIPAL
STATE MORTGAGE LOANS BALANCE BALANCE
<S> <C> <C> <C>
ARIZONA 6 533,880.72 0.50
ARKANSAS 9 417,506.82 0.39
CALIFORNIA 46 7,637,866.88 7.12
COLORADO 31 3,490,871.58 3.26
CONNECTICUT 5 532,021.09 0.50
DELAWARE 6 544,907.46 0.51
DISTRICT OF COLUMBIA 3 333,518.68 0.31
FLORIDA 18 1,607,563.17 1.50
GEORGIA 15 1,907,442.81 1.78
IDAHO 5 339,583.13 0.32
ILLINOIS 84 7,939,561.79 7.41
INDIANA 32 1,807,308.04 1.69
IOWA 21 1,091,083.94 1.02
KANSAS 10 554,902.18 0.52
KENTUCKY 4 243,043.01 0.23
LOUISIANA 7 473,300.55 0.44
MAINE 5 282,267.71 0.26
MARYLAND 30 3,215,590.04 3.00
MASSACHUSETTS 19 2,393,250.02 2.23
MICHIGAN 488 34,877,694.89 32.53
MINNESOTA 20 1,852,785.87 1.73
MISSISSIPPI 3 108,951.34 0.10
MISSOURI 17 1,244,580.99 1.16
MONTANA 1 64,973.32 0.06
NEBRASKA 5 322,372.15 0.30
NEVADA 7 767,908.92 0.72
NEW HAMPSHIRE 1 46,000.00 0.04
NEW JERSEY 31 3,833,515.53 3.58
NEW MEXICO 2 73,000.00 0.07
NEW YORK 26 2,430,667.04 2.27
NORTH CAROLINA 21 1,403,760.14 1.31
OHIO 104 7,205,016.96 6.72
OKLAHOMA 1 58,341.30 0.05
OREGON 30 3,300,863.29 3.08
PENNSYLVANIA 44 4,418,595.00 4.12
RHODE ISLAND 2 325,972.15 0.30
SOUTH CAROLINA 8 518,308.19 0.48
SOUTH DAKOTA 2 148,709.81 0.14
TENNESSEE 5 546,731.49 0.51
TEXAS 5 391,303.85 0.36
UTAH 4 438,043.00 0.41
VERMONT 3 301,106.85 0.28
VIRGINIA 29 2,316,578.13 2.16
WASHINGTON 6 1,127,096.17 1.05
WEST VIRGINIA 8 414,535.71 0.39
WISCONSIN 43 3,143,617.23 2.93
WYOMING 2 190,530.97 0.18
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,274 107,217,029.91 100.00
- -------------------------------------------------------------------------------------------------------------------------------
</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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 42
<TABLE>
<CAPTION>
GROUP IIB ARM LOANS
DISTRIBUTION OF CLTVS
AGGREGATE % OF AGGREGATE
RANGE OF NUMBER OF PRINCIPAL PRINCIPAL
CLTV RATIOS MORTGAGE LOANS BALANCE BALANCE
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
85.001 - 90.000 3 271,846.49 0.25
80.001 - 85.000 452 42,191,579.07 39.35
75.001 - 80.000 390 33,192,458.77 30.96
70.001 - 75.000 187 16,103,956.31 15.02
65.001 - 70.000 69 5,362,237.09 5.00
60.001 - 65.000 51 3,510,965.32 3.27
55.001 - 60.000 40 2,247,957.66 2.10
50.001 - 55.000 19 1,155,537.87 1.08
0.001 - 50.000 63 3,180,491.33 2.97
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,274 107,217,029.91 100.00
</TABLE>
Minimum: 6.67
Maximum: 90.00
Weighted Average: 77.59
<TABLE>
<CAPTION>
GROUP IIB ARM LOANS
DISTRIBUTION OF CURRENT MORTGAGE RATES
AGGREGATE % OF AGGREGATE
RANGE OF CURRENT NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE RATES MORTGAGE LOANS BALANCE BALANCE
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
6.001 - 7.000 2 162,485.34 0.15
7.001 - 8.000 43 4,886,811.58 4.56
8.001 - 9.000 174 19,535,996.50 18.22
9.001 - 10.000 285 27,669,903.82 25.81
10.001 - 11.000 455 34,085,795.25 31.79
11.001 - 12.000 258 16,962,918.97 15.82
12.001 - 13.000 48 3,521,228.70 3.28
13.001 - 14.000 9 391,889.75 0.37
- -----------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,274 107,217,029.91 100.00
</TABLE>
Minimum: 6.4250
Maximum: 13.9000
Weighted Average: 10.0432
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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 43
<TABLE>
<CAPTION>
GROUP IIB ARM LOANS
REMAINING TERM TO MATURITY DISTRIBUTION
AGGREGATE % OF AGGREGATE
REMAINING TERM NUMBER OF PRINCIPAL PRINCIPAL
TO MATURITY MORTGAGE LOANS BALANCE BALANCE
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
85 - 96 1 29,541.82 0.03
133 - 144 1 28,700.33 0.03
169 - 180 22 1,364,977.21 1.27
217 - 228 2 89,144.82 0.08
229 - 240 18 951,880.31 0.89
289 - 300 3 133,583.06 0.12
349 - 360 1,227 104,619,202.36 97.58
- ------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,274 107,217,029.91 100.00
</TABLE>
Minimum: 95
Maximum: 360
Weighted Average: 354.9
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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 44
<TABLE>
<CAPTION>
GROUP IIB ARM LOANS
PRINCIPAL BALANCE DISTRIBUTION
AGGREGATE % OF AGGREGATE
RANGE OF NUMBER OF PRINCIPAL PRINCIPAL
PRINCIPAL BALANCES MORTGAGE LOANS BALANCE BALANCE
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
10,000.01 - 15,000.00 3 42,142.48 0.04
15,000.01 - 20,000.00 8 149,534.39 0.14
20,000.01 - 25,000.00 20 473,093.50 0.44
25,000.01 - 30,000.00 45 1,274,197.30 1.19
30,000.01 - 35,000.00 49 1,620,769.80 1.51
35,000.01 - 40,000.00 64 2,420,532.45 2.26
40,000.01 - 45,000.00 80 3,444,124.73 3.21
45,000.01 - 50,000.00 82 3,923,113.89 3.66
50,000.01 - 55,000.00 69 3,642,778.83 3.40
55,000.01 - 60,000.00 96 5,569,877.51 5.19
60,000.01 - 65,000.00 76 4,785,091.24 4.46
65,000.01 - 70,000.00 79 5,355,337.00 4.99
70,000.01 - 75,000.00 58 4,199,221.32 3.92
75,000.01 - 80,000.00 54 4,199,659.10 3.92
80,000.01 - 85,000.00 31 2,557,043.83 2.38
85,000.01 - 90,000.00 36 3,180,231.85 2.97
90,000.01 - 95,000.00 46 4,264,483.16 3.98
95,000.01 - 100,000.00 42 4,104,068.44 3.83
100,000.01 - 150,000.00 222 26,923,636.17 25.11
150,000.01 - 200,000.00 61 10,553,234.53 9.84
200,000.01 - 250,000.00 30 6,631,498.23 6.19
250,000.01 - 300,000.00 12 3,243,751.63 3.03
300,000.01 - 350,000.00 5 1,653,715.02 1.54
400,000.01 - 450,000.00 2 840,941.94 0.78
450,000.01 - 500,000.00 3 1,453,401.57 1.36
700,000.01 - 750,000.00 1 711,550.00 0.66
- --------------------------------------------------------------------------------------------------------------------
TOTAL: 1,274 107,217,029.91 100.00
</TABLE>
Minimum: 12,155
Maximum: 711,550
Average: 84,158
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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 45
<TABLE>
<CAPTION>
GROUP IIB ARM LOANS
SEASONING DISTRIBUTION
AGGREGATE % OF AGGREGATE
MONTHS ELAPSED NUMBER OF PRINCIPAL PRINCIPAL
SINCE ORIGINATION MORTGAGE LOANS BALANCE BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
equal or less than 0 493 35,932,651.01 33.51
1 - 6 769 69,311,006.79 64.65
7 - 12 12 1,973,372.11 1.84
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 1,274 107,217,029.91 100.00
</TABLE>
Minimum: 0
Maximum: 10
Weighted Average: 1.4
<TABLE>
<CAPTION>
GROUP IIB ARM LOANS
DISTRIBUTION OF MAXIMUM MORTGAGE RATES
AGGREGATE % OF AGGREGATE
RANGE OF MAXIMUM NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE RATES MORTGAGE LOANS BALANCE BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
13.000 - 13.499 2 162,485.34 0.15
13.500 - 13.999 1 95,632.32 0.09
14.000 - 14.499 5 873,040.35 0.81
14.500 - 14.999 45 4,875,426.51 4.55
15.000 - 15.499 76 8,463,179.04 7.89
15.500 - 15.999 159 16,687,948.79 15.56
16.000 - 16.499 257 20,367,677.56 19.00
16.500 - 16.999 188 16,085,256.02 15.00
17.000 - 17.499 151 11,912,591.64 11.11
17.500 - 17.999 229 17,245,499.98 16.08
18.000 - 18.499 70 4,576,068.38 4.27
18.500 - 18.999 38 2,206,973.67 2.06
19.000 - 19.499 29 2,193,627.11 2.05
19.500 - 19.999 15 1,079,733.45 1.01
20.000 - 20.499 6 308,676.49 0.29
20.500 - 20.999 3 83,213.26 0.08
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 1,274 107,217,029.91 100.00
</TABLE>
Minimum: 13.0000
Maximum: 20.9000
Weighted Average: 16.6827
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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 46
<TABLE>
<CAPTION>
GROUP IIB ARM LOANS
DISTRIBUTION OF MINIMUM MORTGAGE RATES
AGGREGATE % OF AGGREGATE
RANGE OF MINIMUM NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE RATES MORTGAGE LOANS BALANCE BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
3.500 - 3.999 4 314,402.20 0.29
4.000 - 4.499 12 777,332.03 0.73
4.500 - 4.999 19 1,200,569.11 1.12
5.000 - 5.499 4 364,172.69 0.34
5.500 - 5.999 7 748,972.90 0.70
6.000 - 6.499 8 1,057,990.17 0.99
6.500 - 6.999 3 276,351.77 0.26
7.000 - 7.499 11 919,980.59 0.86
7.500 - 7.999 39 4,100,929.59 3.82
8.000 - 8.499 71 7,975,123.49 7.44
8.500 - 8.999 110 12,406,813.92 11.57
9.000 - 9.499 84 8,218,909.39 7.67
9.500 - 9.999 167 16,010,732.67 14.93
10.000 - 10.499 234 17,087,046.32 15.94
10.500 - 10.999 196 15,470,631.22 14.43
11.000 - 11.499 113 7,626,541.13 7.11
11.500 - 11.999 130 8,439,259.02 7.87
12.000 - 12.499 37 2,793,991.69 2.61
12.500 - 12.999 16 1,035,390.26 0.97
13.000 - 13.499 4 253,660.61 0.24
13.500 - 13.999 5 138,229.14 0.13
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 1,274 107,217,029.91 100.00
</TABLE>
Minimum: 3.8750
Maximum: 13.9000
Weighted Average: 9.7829
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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 47
<TABLE>
<CAPTION>
GROUP IIB ARM LOANS
DISTRIBUTION OF MARGINS
AGGREGATE % OF AGGREGATE
RANGE OF NUMBER OF PRINCIPAL PRINCIPAL
MARGINS MORTGAGE LOANS BALANCE BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
2.001 - 3.000 4 286,923.78 0.27
3.001 - 4.000 42 4,240,446.03 3.96
4.001 - 5.000 232 23,738,491.28 22.14
5.001 - 6.000 345 31,217,620.54 29.12
6.001 - 7.000 422 32,634,959.78 30.44
7.001 - 8.000 186 12,738,860.29 11.88
8.001 - 9.000 39 2,249,530.34 2.10
9.001 - 10.000 4 110,197.87 0.10
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 1,274 107,217,029.91 100.00
</TABLE>
Minimum: 2.4200
Maximum: 9.7000
Weighted Average: 5.8790
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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 48
<TABLE>
<CAPTION>
GROUP IIB ARM LOANS
DISTRIBUTION BY NEXT INTEREST ADJUSTMENT DATE
AGGREGATE % OF AGGREGATE
NEXT INTEREST NUMBER OF PRINCIPAL PRINCIPAL
ADJUSTMENT DATE MORTGAGE LOANS BALANCE BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
1999-07 2 261,524.66 0.24
1999-08 2 172,148.05 0.16
1999-09 2 337,932.76 0.32
1999-10 5 1,018,511.10 0.95
1999-11 5 382,822.33 0.36
1999-12 30 3,799,652.94 3.54
2000-01 71 7,303,933.89 6.81
2000-02 64 7,697,020.99 7.18
2000-03 82 6,993,385.54 6.52
2000-04 304 24,819,953.61 23.15
2000-05 304 21,367,118.14 19.93
2000-06 41 2,877,710.00 2.68
2000-10 1 183,255.54 0.17
2000-12 1 53,385.86 0.05
2001-01 3 364,988.99 0.34
2001-03 23 1,777,861.73 1.66
2001-04 160 13,181,429.64 12.29
2001-05 134 10,429,727.87 9.73
2001-06 1 65,520.00 0.06
2002-12 1 78,143.12 0.07
2003-03 1 66,801.94 0.06
2003-04 24 2,791,626.21 2.60
2003-05 13 1,192,575.00 1.11
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 1,274 107,217,029.91 100.00
</TABLE>
Minimum: 07/01/99
Maximum: 05/15/03
Weighted Average: 08/01/00
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 WITH RESPECT TO THE EXPECTED
CHARACTERISTICS OF THE POOLS OF HOME EQUITY LOANS IN WHICH THE RELATED
SECURITIES WILL REPRESENT UNDIVIDED BENEFICIAL INTERESTS. THE ACTUAL
CHARACTERISTICS AND PERFORMANCE OF THE HOME EQUITY 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
THE 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 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> 1
Exhibit 99.2
LEHMAN BROTHERS
DERIVED INFORMATION
$925,000,000 Certificates (Approximate)
ADVANTA MORTGAGE LOAN TRUST 1998-2
ADVANTA Mortgage Conduit Services, Inc. (Sponsor)
ADVANTA Mortgage Corp. USA (Master Servicer)
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 2
SECURITIES OFFERED 2
<TABLE>
<CAPTION>
EXPECTED MODIFIED PAYMENT
RATINGS AVG LIFE DURATION WINDOW
(S&P/ TO CALL / TO CALL/ TO CALL/ PRICE
CLASS(1) DESCRIPTION MOODY'S) BALANCE MTY(1)(2) MTY(1)(2) MTY(1)(2) DAY COUNT BENCHMARK TALK
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 FRM Fixed SEQ AAA/Aaa $73,000,000 0.85 / 0.85 0.80 / 0.80 18 / 18 30/360 +[ ]
A-2 FRM Fixed SEQ AAA/Aaa 41,000,000 1.99 / 1.99 1.82 / 1.82 13 / 13 30/360 +[ ]
A-3 FRM Fixed SEQ AAA/Aaa 34,000,000 3.01 / 3.01 2.66 / 2.66 14 / 14 30/360 +[ ]
A-4 FRM Fixed SEQ AAA/Aaa 17,000,000 4.01 / 4.01 3.44 / 3.44 11 / 11 30/360 +[ ]
A-5 FRM Fixed SEQ AAA/Aaa 24,000,000 5.24 / 5.24 4.32 / 4.32 24 / 24 30/360 +[ ]
A-6 FRM Fixed SEQ AAA/Aaa 27,000,000 7.70 / 9.83 5.84 / 6.89 21 / 120 30/360 +[ ]
A-7 FRM NAS Class AAA/Aaa 15,000,000 5.39 / 5.39 4.42 / 4.42 51 / 51 30/360 +[ ]
A-8 FRM NAS Class AAA/Aaa 9,000,000 7.77 / 8.21 5.94 / 6.18 10 / 92 30/360 +[ ]
A-9 FRM Fixed SEQ(3) AAA/Aaa 88,000,000 0.85 / 0.85 0.80 / 0.80 18 / 18 30/360 Not Available
A-10 FRM Fixed SEQ(3) AAA/Aaa 61,000,000 2.00 / 2.00 1.83 1.84 30/360 Not Available
/ 1.83 14 / 14
A-11 FRM Fixed SEQ(3) AAA/Aaa 38,000,000 3.00 / 3.00 2.66 / 2.66 12 / 12 30/360 Not Available
A-12 FRM Fixed SEQ(3) AAA/Aaa 28,000,000 3.99 / 3.99 3.43 / 3.43 13 / 13 30/360 Not Available
A-13 FRM Fixed SEQ(3) AAA/Aaa 28,000,000 5.26 / 5.26 4.33 / 4.33 21 / 21 30/360 Not Available
A-14 FRM Fixed SEQ(3) AAA/Aaa 36,000,000 7.65 / 9.63 5.79 / 6.77 23 / 117 30/360 Not Available
A-15 FRM NAS Class(3) AAA/Aaa 31,000,000 6.27 / 6.42 4.98 / 5.07 60 / 143 30/360
F-IO FRM NAS IO(4) AAAr/Aaa 55,000,000 2.51 / 2.51 1.23 / 1.23 30 / 30 30/360 +[ ]
A-16 ARM Floater AAA/Aaa 180,000,000 3.13 / 3.47 2.64 / 2.82 96 / 212 Actual/360 +[ ]
A-17 ARM Fixed NAS AAA/Aaa 60,000,000 2.54 / 2.54 2.27 / 2.27 42 / 42 30/360 +[ ]
A-18 ARM Floater(3) AAA/Aaa 101,250,000 3.13 / 3.46 2.64 / 2.82 96 / 211 Actual/360 Not Available
A-19 ARM Fixed NAS(3) AAA/Aaa 33,750,000 2.53 / 2.53 2.27 / 2.27 42 / 42 30/360 Not Available
A-IO ARM Fixed NAS IO(4) AAAr/Aaa 93,750,000 1.18 / 1.18 0.61 / 0.61 14 / 14 30/360 +[ ]
</TABLE>
Notes: (1) Both the fixed rate and ARM certificates are priced to the 10%
optional clean-up call and are noted in boldface.
(2) Fixed Rate Group I Certificates: The fixed rate certificates
assume 120% PPC which equates to a ramped CPR starting at 3.6%
CPR in the first month increasing to 24.0% CPR over 12 months,
and remaining at 24.0% CPR thereafter on a seasoning adjusted
basis. Adjustable Rate Group II Certificates: 25% CPR.
(3) Certificates backed by the Group IB and Group IIB loans have
been placed at the time of this offering. (4) The NAS IO
classes are based on the aggregate balance of the sub-group
NAS classes within each loan group and will be sole-managed by
Morgan Stanley.
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 3
3
<TABLE>
<CAPTION>
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
GROUP IA AND IIA FRM AND ARM SUB-GROUPS - TO CALL
PPC % 0 50 100 120 175 200 250
CPR % 0 10 20 25 30 40 50
<S> <C> <C> <C> <C> <C> <C> <C>
CLASS A-1
Average Life 7.40 1.59 0.97 0.85 0.66 0.61 0.52
Mod Duration 5.39 1.45 0.91 0.80 0.63 0.58 0.50
First Prin 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98
Last Prin 1/25/12 8/25/01 3/25/00 12/25/99 8/25/99 6/25/99 4/25/99
Payment Window 163 38 21 18 14 12 10
CLASS A-2
Average Life 14.65 4.29 2.34 1.99 1.44 1.28 1.06
Mod Duration 9.37 3.66 2.12 1.82 1.34 1.20 1.00
First Prin 1/25/12 8/25/01 3/25/00 12/25/99 8/25/99 6/25/99 4/25/99
Last Prin 4/25/13 1/25/04 5/25/01 12/25/00 3/25/00 1/25/00 9/25/99
Payment Window 16 30 15 13 8 8 6
CLASS A-3
Average Life 17.21 7.10 3.60 3.01 2.08 1.83 1.47
Mod Duration 10.24 5.56 3.14 2.66 1.90 1.68 1.37
First Prin 4/25/13 1/25/04 5/25/01 12/25/00 3/25/00 1/25/00 9/25/99
Last Prin 12/25/17 7/25/07 10/25/02 1/25/02 11/25/00 8/25/00 2/25/00
Payment Window 57 43 18 14 9 8 6
CLASS A-4
Average Life 21.33 10.23 4.85 4.01 2.67 2.32 1.83
Mod Duration 11.36 7.31 4.06 3.44 2.39 2.10 1.68
First Prin 12/25/17 7/25/07 10/25/02 1/25/02 11/25/00 8/25/00 2/25/00
Last Prin 8/25/21 11/25/09 11/25/03 11/25/02 5/25/01 12/25/00 6/25/00
Payment Window 45 29 14 11 7 5 5
CLASS A-5
Average Life 25.11 13.19 6.60 5.24 3.37 2.88 2.22
Mod Duration 12.12 8.64 5.22 4.32 2.95 2.56 2.01
First Prin 8/25/21 11/25/09 11/25/03 11/25/02 5/25/01 12/25/00 6/25/00
Last Prin 4/25/25 4/25/13 12/25/06 10/25/04 5/25/02 10/25/01 12/25/00
Payment Window 45 42 38 24 13 11 7
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 4
4
<TABLE>
<CAPTION>
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
GROUP IA AND IIA FRM AND ARM SUB-GROUPS - TO CALL
PPC % 0 50 100 120 175 200 250
CPR % 0 10 20 25 30 40 50
<S> <C> <C> <C> <C> <C> <C> <C>
CLASS A-6
Average Life 27.95 15.83 9.61 7.70 5.00 4.11 3.02
Mod Duration 12.27 9.47 6.88 5.84 4.11 3.48 2.65
First Prin 4/25/25 4/25/13 12/25/06 10/25/04 5/25/02 10/25/01 12/25/00
Last Prin 9/25/26 9/25/14 3/25/08 6/25/06 4/25/04 2/25/03 12/25/01
Payment Window 18 18 16 21 24 17 13
CLASS A-7
Average Life 9.76 6.57 5.66 5.39 4.73 4.23 3.46
Mod Duration 7.02 5.20 4.61 4.42 3.97 3.61 3.03
First Prin 7/25/01 7/25/01 7/25/01 7/25/01 7/25/01 7/25/01 7/25/01
Last Prin 1/25/12 12/25/06 11/25/05 9/25/05 4/25/04 2/25/03 12/25/01
Payment Window 127 66 53 51 34 20 6
CLASS A-8
Average Life 15.26 10.62 8.48 7.77 5.84 4.68 3.51
Mod Duration 9.40 7.42 6.33 5.94 4.73 3.92 3.05
First Prin 1/25/12 12/25/06 11/25/05 9/25/05 4/25/04 2/25/03 12/25/01
Last Prin 9/25/26 9/25/14 3/25/08 6/25/06 4/25/04 2/25/03 12/25/01
Payment Window 177 94 29 10 1 1 1
CLASS A-16
Average Life 23.98 8.38 4.11 3.13 2.33 1.49 0.88
Mod Duration 12.29 5.94 3.34 2.64 2.04 1.35 0.83
First Prin 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98
Last Prin 9/25/26 9/25/14 3/25/08 6/25/06 4/25/04 2/25/03 12/25/01
Payment Window 339 195 117 96 70 56 42
CLASS A-17
Average Life 13.25 3.35 2.67 2.54 2.46 2.41 2.50
Mod Duration 8.52 2.91 2.38 2.27 2.21 2.18 2.25
First Prin 2/25/00 2/25/00 2/25/00 2/25/00 2/25/00 2/25/00 2/25/00
Last Prin 8/25/17 2/25/04 8/25/03 7/25/03 7/25/03 2/25/03 12/25/01
Payment Window 211 49 43 42 42 37 23
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 5
5
<TABLE>
<CAPTION>
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
GROUP IA AND IIA FRM AND ARM SUB-GROUPS - TO CALL
PPC % 0 50 100 120 175 200 250
CPR % 0 10 20 25 30 40 50
<S> <C> <C> <C> <C> <C> <C> <C>
CLASS A-1
Average Life 7.40 1.59 0.97 0.85 0.66 0.61 0.52
Mod Duration 5.39 1.45 0.91 0.80 0.63 0.58 0.50
First Prin 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98
Last Prin 1/25/12 8/25/01 3/25/00 12/25/99 8/25/99 6/25/99 4/25/99
Payment Window 163 38 21 18 14 12 10
CLASS A-2
Average Life 14.65 4.29 2.34 1.99 1.44 1.28 1.06
Mod Duration 9.37 3.66 2.12 1.82 1.34 1.20 1.00
First Prin 1/25/12 8/25/01 3/25/00 12/25/99 8/25/99 6/25/99 4/25/99
Last Prin 4/25/13 1/25/04 5/25/01 12/25/00 3/25/00 1/25/00 9/25/99
Payment Window 16 30 15 13 8 8 6
CLASS A-3
Average Life 17.21 7.10 3.60 3.01 2.08 1.83 1.47
Mod Duration 10.24 5.56 3.14 2.66 1.90 1.68 1.37
First Prin 4/25/13 1/25/04 5/25/01 12/25/00 3/25/00 1/25/00 9/25/99
Last Prin 12/25/17 7/25/07 10/25/02 1/25/02 11/25/00 8/25/00 2/25/00
Payment Window 57 43 18 14 9 8 6
CLASS A-4
Average Life 21.33 10.23 4.85 4.01 2.67 2.32 1.83
Mod Duration 11.36 7.31 4.06 3.44 2.39 2.10 1.68
First Prin 12/25/17 7/25/07 10/25/02 1/25/02 11/25/00 8/25/00 2/25/00
Last Prin 8/25/21 11/25/09 11/25/03 11/25/02 5/25/01 12/25/00 6/25/00
Payment Window 45 29 14 11 7 5 5
CLASS A-5
Average Life 25.11 13.19 6.60 5.24 3.37 2.88 2.22
Mod Duration 12.12 8.64 5.22 4.32 2.95 2.56 2.01
First Prin 8/25/21 11/25/09 11/25/03 11/25/02 5/25/01 12/25/00 6/25/00
Last Prin 4/25/25 4/25/13 12/25/06 10/25/04 5/25/02 10/25/01 12/25/00
Payment Window 45 42 38 24 13 11 7
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 6
6
<TABLE>
<CAPTION>
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
GROUP IA AND IIA FRM AND ARM SUB-GROUPS - TO CALL
PPC % 0 50 100 120 175 200 250
CPR % 0 10 20 25 30 40 50
<S> <C> <C> <C> <C> <C> <C> <C>
CLASS A-6
Average Life 28.38 18.32 11.88 9.83 5.66 4.40 3.05
Mod Duration 12.34 10.16 7.88 6.89 4.50 3.67 2.68
First Prin 4/25/25 4/25/13 12/25/06 10/25/04 5/25/02 10/25/01 12/25/00
Last Prin 3/25/28 2/25/26 5/25/17 9/25/14 5/25/10 9/25/08 5/25/02
Payment Window 36 155 126 120 97 84 18
CLASS A-7
Average Life 9.76 6.57 5.66 5.39 4.79 4.58 3.99
Mod Duration 7.02 5.20 4.61 4.42 4.01 3.86 3.43
First Prin 7/25/01 7/25/01 7/25/01 7/25/01 7/25/01 7/25/01 7/25/01
Last Prin 1/25/12 12/25/06 11/25/05 9/25/05 11/25/04 7/25/04 4/25/03
Payment Window 127 66 53 51 41 37 22
CLASS A-8
Average Life 15.26 10.62 8.64 8.21 7.57 7.33 5.82
Mod Duration 9.40 7.43 6.42 6.18 5.80 5.65 4.69
First Prin 1/25/12 12/25/06 11/25/05 9/25/05 11/25/04 7/25/04 4/25/03
Last Prin 1/25/28 12/25/25 4/25/13 4/25/13 2/25/10 7/25/08 3/25/06
Payment Window 193 229 90 92 64 49 36
CLASS A-16
Average Life 24.15 9.34 4.59 3.47 2.70 1.68 0.99
Mod Duration 12.32 6.24 3.57 2.82 2.27 1.48 0.92
First Prin 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98
Last Prin 4/25/28 5/25/27 3/25/20 2/25/16 12/25/12 9/25/08 1/25/06
Payment Window 358 347 261 212 174 123 91
CLASS A-17
Average Life 13.25 3.35 2.67 2.54 2.46 2.41 2.56
Mod Duration 8.52 2.91 2.38 2.27 2.21 2.18 2.29
First Prin 2/25/00 2/25/00 2/25/00 2/25/00 2/25/00 2/25/00 2/25/00
Last Prin 8/25/17 2/25/04 8/25/03 7/25/03 7/25/03 7/25/03 7/25/03
Payment Window 211 49 43 42 42 42 42
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 7
GROUP IA FRM LOANS - COLLATERAL SUMMARY 7
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
GROUP IA FRM LOANS
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NUMBER OF LOANS 2,825
TOTAL OUTSTANDING PRINCIPAL BALANCE $180,012,877
BALLOON (% OF TOTAL) 18.69%
LEVEL PAY (% OF TOTAL) 81.31%
AVERAGE PRINCIPAL BALANCE $63,721 $2,451 - $914,474
WEIGHTED AVERAGE LOAN RATE 10.41% 7.40% - 17.45%
WEIGHTED AVERAGE ORIGINAL TERM (MOS.) 264 36 - 360
WEIGHTED AVERAGE REMAINING TERM (MOS.) 262 32 - 360
WEIGHTED AVERAGE CLTV 76.72% 11.67% - 95.00%
WEIGHTED AVERAGE CLTV > 80.00% 42.04%
WEIGHTED AVERAGE SECOND MORTGAGE RATIO 31.13% (for second liens only)
LIEN POSITION (FIRST/SECOND) 94.22% / 5.78%
PROPERTY TYPE
SINGLE FAMILY/PUD 85.02%
CONDO/TOWNHOUSE/ROWHOUSE 3.96%
TWO TO FOUR FAMILY 4.43%
PREFABRICATED SINGLE FAMILY 5.35%
OTHER 1.24%
OCCUPANCY STATUS
OWNER OCCUPIED 90.64%
INVESTOR OWNER 9.36%
GEOGRAPHIC DISTRIBUTION
other states account individually for less than CA 13.19% PA 5.83%
5% of Group I pool balance MI 10.38%
FL 6.87%
ORIGINATION YEAR 1998 90.85%
1997 9.10%
1995 0.05%
CREDIT CLASS A+/A/A- 66.25% C/C- 10.28%
B/B- 18.46% D 5.01%
PREPAYMENT PENALTY Yes 77.17%
No 22.83%
- --------------------------------------------------- ---------------- -------------------- ------------- -----------------
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 8
7
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
GROUP IA FRM LOANS
GEOGRAPHIC DISTRIBUTION
- ---------------------------------------------------------------------------------------------------------------------
AGGREGATE % OF AGGREGATE
NUMBER OF PRINCIPAL PRINCIPAL
STATE MORTGAGE LOANS BALANCE BALANCE
<S> <C> <C> <C>
ALABAMA 8 425,714.61 0.24
ALASKA 3 209,629.97 0.12
ARIZONA 99 6,091,799.99 3.38
ARKANSAS 5 194,633.31 0.11
CALIFORNIA 223 23,749,986.94 13.19
COLORADO 67 4,952,992.32 2.75
CONNECTICUT 11 739,594.98 0.41
DELAWARE 6 287,862.60 0.16
DISTRICT OF COLUMBIA 1 54,298.36 0.03
FLORIDA 206 12,359,940.30 6.87
GEORGIA 64 3,807,373.88 2.12
HAWAII 3 467,498.92 0.26
IDAHO 23 1,504,708.50 0.84
ILLINOIS 55 4,049,163.69 2.25
INDIANA 102 5,335,215.57 2.96
IOWA 46 2,121,674.34 1.18
KANSAS 72 4,600,458.63 2.56
KENTUCKY 28 1,209,723.52 0.67
LOUISIANA 15 567,744.60 0.32
MARYLAND 64 4,534,534.06 2.52
MASSACHUSETTS 20 1,820,331.03 1.01
MICHIGAN 429 18,679,086.40 10.38
MINNESOTA 16 1,116,730.82 0.62
MISSISSIPPI 5 251,230.75 0.14
MISSOURI 105 6,504,904.67 3.61
MONTANA 6 234,301.73 0.13
NEBRASKA 17 1,240,217.01 0.69
NEVADA 57 5,437,267.98 3.02
NEW HAMPSHIRE 2 205,414.91 0.11
NEW JERSEY 51 3,471,008.90 1.93
NEW MEXICO 19 1,021,415.32 0.57
NEW YORK 32 3,342,109.85 1.86
NORTH CAROLINA 103 6,261,913.71 3.48
OHIO 114 6,294,943.87 3.50
OKLAHOMA 28 1,364,997.30 0.76
OREGON 65 5,647,112.53 3.14
PENNSYLVANIA 193 10,492,457.21 5.83
RHODE ISLAND 6 499,203.06 0.28
SOUTH CAROLINA 57 3,100,539.51 1.72
SOUTH DAKOTA 4 81,830.45 0.05
TENNESSEE 82 5,181,579.14 2.88
TEXAS 33 1,733,779.48 0.96
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 9
8
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
GROUP IA FRM LOANS
GEOGRAPHIC DISTRIBUTION
- ---------------------------------------------------------------------------------------------------------------------
AGGREGATE % OF AGGREGATE
NUMBER OF PRINCIPAL PRINCIPAL
STATE MORTGAGE LOANS BALANCE BALANCE
<S> <C> <C> <C>
UTAH 44 3,417,252.29 1.90
VERMONT 3 166,740.64 0.09
VIRGINIA 131 7,624,609.53 4.24
WASHINGTON 71 6,040,958.68 3.36
WEST VIRGINIA 10 509,498.83 0.28
WISCONSIN 17 845,626.54 0.47
WYOMING 4 161,265.44 0.09
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 2,825 180,012,876.67 100.00
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
GROUP IA FRM LOANS
DISTRIBUTION OF CLTVS
AGGREGATE % OF AGGREGATE
RANGE OF NUMBER OF PRINCIPAL PRINCIPAL
CLTV RATIOS MORTGAGE LOANS BALANCE BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
90.001 - 95.000 23 1,376,396.51 0.76
85.001 - 90.000 178 13,878,209.80 7.71
80.001 - 85.000 860 60,430,731.14 33.57
75.001 - 80.000 595 43,116,101.68 23.95
70.001 - 75.000 311 21,045,205.83 11.69
65.001 - 70.000 236 13,855,478.81 7.70
60.001 - 65.000 186 10,192,196.51 5.66
55.001 - 60.000 125 5,515,568.70 3.06
50.001 - 55.000 58 2,468,337.36 1.37
0.001 - 50.000 253 8,134,650.33 4.52
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 2,825 180,012,876.67 100.00
</TABLE>
Minimum: 11.67
Maximum: 95.00
Weighted Average: 76.72
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 10
LEHMAN BROTHERS 10
GROUP IA FRM LOANS
DISTRIBUTION OF LTVS
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
RANGE OF NUMBER OF PRINCIPAL PRINCIPAL
LTV RATIOS MORTGAGE LOANS BALANCE BALANCE
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C>
90.001 - 95.000 21 1,341,805.82 0.75
85.001 - 90.000 152 13,188,985.31 7.33
80.001 - 85.000 689 54,895,565.91 30.50
75.001 - 80.000 537 40,792,368.81 22.66
70.001 - 75.000 290 20,354,876.27 11.31
65.001 - 70.000 229 13,584,552.34 7.55
60.001 - 65.000 179 9,840,283.72 5.47
55.001 - 60.000 119 5,228,003.29 2.90
50.001 - 55.000 60 2,712,796.85 1.51
0.001 - 50.000 549 18,073,638.35 10.04
- ---------------------------------------------------------------------------------------
TOTAL: 2,825 180,012,876.67 100.00
</TABLE>
Minimum: 4.32
Maximum: 95.00
Weighted Average: 73.53
GROUP IA FRM LOANS
DISTRIBUTION OF JUNIOR LIEN RATIOS (JUNIOR LIENS ONLY)
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
RANGE OF NUMBER OF PRINCIPAL PRINCIPAL
JUNIOR LIEN RATIOS MORTGAGE LOANS BALANCE BALANCE
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.01 - 10.00 9 91,203.60 0.88
10.01 - 20.00 92 2,285,591.75 21.97
20.01 - 30.00 108 3,612,173.37 34.72
30.01 - 40.00 53 2,095,213.65 20.14
40.01 - 50.00 23 1,120,569.86 10.77
50.01 - 60.00 12 706,828.49 6.79
60.01 - 70.00 6 228,135.25 2.19
70.01 - 80.00 4 263,941.20 2.54
- ---------------------------------------------------------------------------------------
TOTAL: 307 10,403,657.17 100.00
</TABLE>
Minimum: 5.10
Maximum: 75.64
Weighted Average: 31.13
- --------------------------------------------------------------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 11
LEHMAN BROTHERS 11
GROUP IA FRM LOANS
DISTRIBUTION OF CURRENT MORTGAGE RATES
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
RANGE OF CURRENT NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE RATES MORTGAGE LOANS BALANCE BALANCE
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C>
7.001 - 8.000 58 5,567,727.15 3.09
8.001 - 9.000 357 33,127,635.97 18.40
9.001 - 10.000 677 53,293,595.80 29.61
10.001 - 11.000 559 37,267,746.88 20.70
11.001 - 12.000 360 19,815,077.45 11.01
12.001 - 13.000 519 20,157,109.62 11.20
13.001 - 14.000 188 6,631,528.31 3.68
14.001 - 15.000 76 2,934,408.42 1.63
15.001 - 16.000 25 1,024,792.87 0.57
16.001 - 17.000 4 121,631.37 0.07
17.001 - 18.000 2 71,622.83 0.04
- ---------------------------------------------------------------------------------------
TOTAL: 2,825 180,012,876.67 100.00
</TABLE>
Minimum: 7.4000
Maximum: 17.4500
Weighted Average: 10.4055
- --------------------------------------------------------------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 12
LEHMAN BROTHERS 12
GROUP IA FRM LOANS
REMAINING TERM TO MATURITY DISTRIBUTION
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
REMAINING TERM NUMBER OF PRINCIPAL PRINCIPAL
TO MATURITY MORTGAGE LOANS BALANCE BALANCE
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C>
25 - 36 2 78,789.88 0.04
37 - 48 1 16,132.37 0.01
49 - 60 20 330,217.46 0.18
73 - 84 12 343,545.51 0.19
85 - 96 7 257,398.81 0.14
97 - 108 1 74,952.84 0.04
109 - 120 130 4,701,985.39 2.61
133 - 144 11 506,839.16 0.28
145 - 156 2 148,642.34 0.08
169 - 180 1,175 64,175,766.75 35.65
193 - 204 5 470,670.90 0.26
205 - 216 3 221,563.00 0.12
217 - 228 10 588,613.79 0.33
229 - 240 512 33,079,366.76 18.38
289 - 300 9 574,803.36 0.32
301 - 312 1 104,787.27 0.06
349 - 360 924 74,338,801.08 41.30
- ---------------------------------------------------------------------------------------
TOTAL: 2,825 180,012,876.67 100.00
</TABLE>
Minimum: 32
Maximum: 360
Weighted Average: 262.0
- --------------------------------------------------------------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 13
LEHMAN BROTHERS 13
GROUP IA FRM LOANS
PRINCIPAL BALANCE DISTRIBUTION
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
RANGE OF NUMBER OF PRINCIPAL PRINCIPAL
PRINCIPAL BALANCES MORTGAGE LOANS BALANCE BALANCE
- ---------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.01 - 5,000.00 2 7,394.60 0.00
5,000.01 - 10,000.00 29 281,150.48 0.16
10,000.01 - 15,000.00 84 1,103,063.83 0.61
15,000.01 - 20,000.00 157 2,833,432.16 1.57
20,000.01 - 25,000.00 172 3,955,244.48 2.20
25,000.01 - 30,000.00 205 5,674,066.31 3.15
30,000.01 - 35,000.00 189 6,180,535.20 3.43
35,000.01 - 40,000.00 195 7,414,790.18 4.12
40,000.01 - 45,000.00 188 8,024,763.72 4.46
45,000.01 - 50,000.00 164 7,793,292.54 4.33
50,000.01 - 55,000.00 173 9,097,826.54 5.05
55,000.01 - 60,000.00 180 10,397,671.59 5.78
60,000.01 - 65,000.00 116 7,282,451.63 4.05
65,000.01 - 70,000.00 105 7,074,731.17 3.93
70,000.01 - 75,000.00 93 6,739,751.87 3.74
75,000.01 - 80,000.00 84 6,535,575.03 3.63
80,000.01 - 85,000.00 74 6,129,482.60 3.41
85,000.01 - 90,000.00 63 5,517,953.99 3.07
90,000.01 - 95,000.00 55 5,082,329.80 2.82
95,000.01 - 100,000.00 65 6,350,871.89 3.53
100,000.01 - 150,000.00 296 35,319,782.29 19.62
150,000.01 - 200,000.00 69 12,000,287.29 6.67
200,000.01 - 250,000.00 32 7,204,076.30 4.00
250,000.01 - 300,000.00 16 4,265,295.91 2.37
300,000.01 - 350,000.00 9 2,962,825.94 1.65
350,000.01 - 400,000.00 3 1,103,345.30 0.61
400,000.01 - 450,000.00 2 818,407.34 0.45
450,000.01 - 500,000.00 3 1,420,678.81 0.79
500,000.01 - 550,000.00 1 527,324.31 0.29
900,000.01 - 950,000.00 1 914,473.57 0.51
- ---------------------------------------------------------------------------------------
TOTAL: 2,825 180,012,876.67 100.00
</TABLE>
Minimum: 2,451
Maximum: 914,474
Average: 63,721
- --------------------------------------------------------------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 14
LEHMAN BROTHERS 14
GROUP IA FRM LOANS
DISTRIBUTION OF SEASONING
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
MONTHS ELAPSED NUMBER OF PRINCIPAL PRINCIPAL
SINCE ORIGINATION MORTGAGE LOANS BALANCE BALANCE
- --------------------------------------------------------------------------------------
<S> <C> <C> <C>
less than equal to 0 326 18,315,911.76 10.17
1- 6 2,463 159,758,430.64 88.75
7 - 12 34 1,845,739.14 1.03
25 - 36 2 92,795.13 0.05
- --------------------------------------------------------------------------------------
TOTAL: 2,825 180,012,876.67 100.00
</TABLE>
Minimum: 0
Maximum: 31
Weighted Average: 1.8
- --------------------------------------------------------------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 15
LEHMAN BROTHERS 15
GROUP IIA ARM LOANS - COLLATERAL SUMMARY
- --------------------------------------------------------------------------------
GROUP IIA ARM LOANS
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C>
NUMBER OF LOANS 2,141
TOTAL OUTSTANDING PRINCIPAL BALANCE $198,389,365
BALLOON (% OF TOTAL) 0.00%
LEVEL PAY (% OF TOTAL) 100.00%
AVERAGE PRINCIPAL BALANCE $92,662 $9,996 - $674,668
WEIGHTED AVERAGE LOAN RATE 10.45% 7.24% - 16.49%
WEIGHTED AVERAGE MARGIN 6.47% 2.25% - 11.50%
WEIGHTED AVERAGE ORIGINAL TERM (MOS.) 359 120 - 360
WEIGHTED AVERAGE REMAINING TERM (MOS.) 357 118 - 360
WEIGHTED AVERAGE MAXIMUM RATE 17.11% 13.49% - 22.99%
WEIGHTED AVERAGE PERIODIC CAP - SUBSEQUENT 1.17% 1.00% - 2.00%
WEIGHTED AVERAGE FLOOR 9.77% 3.90% - 16.49%
INDEX 6 month LIBOR 99.91%
1 Yr CMT 0.09%
WEIGHTED AVERAGE CLTV 79.92% 13.64% - 94.34%
WEIGHTED AVERAGE CLTV > 80.00% 50.22%
LIEN POSITION (FIRST/SECOND) 100.00% / 0.00%
PROPERTY TYPE
SINGLE FAMILY/PUD 88.84%
CONDO/TOWNHOUSE/ROWHOUSE 3.60%
TWO TO FOUR FAMILY 4.28%
PREFABRICATED SINGLE FAMILY 3.03%
OTHER 0.24%
OCCUPANCY STATUS
OWNER OCCUPIED / INVESTOR OWNER 94.25% / 5.75%
GEOGRAPHIC DISTRIBUTION
other states account individually for less than CA 16.11% OR 4.84%
4% of Group II pool balance MI 14.74% NV 4.39%
FL 5.21% UT 4.36%
WA 5.01% OH 4.06%
ORIGINATION YEAR 1998 91.19%
1997 8.81%
CREDIT CLASS A+/A/A- 50.97% C/C- 17.99%
B/B- 25.86% D 5.18%
PREPAYMENT PENALTY Yes 81.58%
No 18.42%
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 16
LEHMAN BROTHERS 16
GROUP IIA ARM LOANS
DISTRIBUTION BY LOAN TYPE
<TABLE>
<CAPTION>
% OF AGGREGATE WEIGHTED WEIGHTED INITIAL AVERAGE AVERAGE
PRINCIPAL AVERAGE AVERAGE PERIODIC PERIODIC MAXIMUM
LOAN TYPE BALANCE COUPON MARGIN CAP CAP RATE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
6 mo LIBOR 4.63 10.426 6.913 1.388 1.388 17.065
1 Yr Fix,6 mo LIBOR 0.08 10.211 4.461 1.000 1.000 17.211
2 Yr Fix,6 mo LIBOR 67.43 10.561 6.764 2.954 1.187 17.114
3 Yr Fix,1 Yr CMT 0.09 8.453 4.824 3.000 1.703 15.453
3 Yr Fix,6 mo LIBOR 17.79 10.225 6.152 2.962 1.093 17.140
5 Yr Fix,6 mo LIBOR 9.97 10.129 4.902 1.424 1.058 17.072
- -----------------------------------------------------------------------------------------------------------
TOTAL: 100.00 10.450 6.473 2.729 1.167 17.111
</TABLE>
- --------------------------------------------------------------------------------
GROUP IIA ARM LOANS
GEOGRAPHIC DISTRIBUTION
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
NUMBER OF PRINCIPAL PRINCIPAL
STATE MORTGAGE LOANS BALANCE BALANCE
-------------- ------- -------
<S> <C> <C> <C>
ALABAMA 1 111,089.38 0.06
ALASKA 1 151,200.00 0.08
ARIZONA 47 4,416,203.82 2.23
ARKANSAS 1 69,693.71 0.04
CALIFORNIA 205 31,958,930.73 16.11
COLORADO 69 7,037,767.03 3.55
CONNECTICUT 21 2,383,728.83 1.20
DELAWARE 4 385,909.19 0.19
FLORIDA 122 10,326,600.95 5.21
GEORGIA 28 2,808,848.14 1.42
IDAHO 20 2,200,529.48 1.11
ILLINOIS 59 5,298,212.74 2.67
INDIANA 78 4,202,608.14 2.12
IOWA 12 882,317.13 0.44
KANSAS 11 890,025.12 0.45
KENTUCKY 21 1,664,780.28 0.84
LOUISIANA 4 266,642.07 0.13
MAINE 3 236,984.98 0.12
MARYLAND 34 3,421,016.32 1.72
MASSACHUSETTS 22 2,190,399.99 1.10
MICHIGAN 448 29,237,989.11 14.74
MINNESOTA 26 2,358,085.62 1.19
MISSISSIPPI 3 287,733.66 0.15
MISSOURI 21 2,032,589.08 1.02
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 17
LEHMAN BROTHERS 17
- --------------------------------------------------------------------------------
GROUP IIA ARM LOANS
DISTRIBUTION BY LOAN TYPE
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
NUMBER OF PRINCIPAL PRINCIPAL
STATE MORTGAGE LOANS BALANCE BALANCE
-------------- ------- -------
<S> <C> <C> <C>
MONTANA 5 478,400.59 0.24
NEBRASKA 3 157,806.99 0.08
NEVADA 81 8,716,343.79 4.39
NEW HAMPSHIRE 6 563,728.96 0.28
NEW JERSEY 55 5,383,179.60 2.71
NEW MEXICO 9 967,288.77 0.49
NEW YORK 44 4,690,635.77 2.36
NORTH CAROLINA 36 3,063,646.22 1.54
OHIO 105 8,058,768.55 4.06
OKLAHOMA 15 1,209,945.31 0.61
OREGON 96 9,602,802.54 4.84
PENNSYLVANIA 65 5,407,334.11 2.73
RHODE ISLAND 6 551,364.93 0.28
SOUTH CAROLINA 9 844,780.98 0.43
SOUTH DAKOTA 5 457,092.90 0.23
TENNESSEE 20 1,593,615.77 0.80
TEXAS 79 7,045,281.02 3.55
UTAH 78 8,653,909.99 4.36
VERMONT 2 738,014.65 0.37
VIRGINIA 18 1,437,885.69 0.72
WASHINGTON 86 9,947,335.57 5.01
WEST VIRGINIA 8 594,914.50 0.30
WISCONSIN 48 3,268,602.38 1.65
WYOMING 1 136,800.00 0.07
- --------------------------------------------------------------------------------
TOTAL: 2,141 198,389,365.08 100.00
- --------------------------------------------------------------------------------
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 18
LEHMAN BROTHERS 18
GROUP IIA ARM LOANS
DISTRIBUTION OF CLTVS
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
RANGE OF NUMBER OF PRINCIPAL PRINCIPAL
CLTV RATIOS MORTGAGE LOANS BALANCE BALANCE
- ------------------------------------------------------------------------------------
<S> <C> <C> <C>
90.001 - 95.000 10 1,299,275.05 0.65
85.001 - 90.000 367 44,447,293.21 22.40
80.001 - 85.000 571 53,885,198.27 27.16
75.001 - 80.000 517 46,810,567.60 23.60
70.001 - 75.000 249 21,435,747.48 10.80
65.001 - 70.000 171 13,903,315.17 7.01
60.001 - 65.000 104 7,103,768.20 3.58
55.001 - 60.000 54 3,179,794.39 1.60
50.001 - 55.000 31 2,380,267.22 1.20
0.001 - 50.000 67 3,944,138.49 1.99
- ------------------------------------------------------------------------------------
TOTAL: 2,141 198,389,365.08 100.00
</TABLE>
Minimum: 13.64
Maximum: 94.34
Weighted Average: 79.92
GROUP IIA ARM LOANS
DISTRIBUTION OF CURRENT MORTGAGES
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
RANGE OF CURRENT NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE RATES MORTGAGE LOANS BALANCE BALANCE
- ------------------------------------------------------------------------------------
<S> <C> <C> <C>
7.001 - 8.000 36 4,826,086.77 2.43
8.001 - 9.000 170 19,845,885.62 10.00
9.001 - 10.000 485 53,808,758.79 27.12
10.001 - 11.000 717 66,139,831.67 33.34
11.001 - 12.000 476 35,372,118.48 17.83
12.001 - 13.000 165 12,861,871.09 6.48
13.001 - 14.000 52 3,104,288.76 1.56
14.001 - 15.000 27 1,747,614.32 0.88
15.001 - 16.000 10 547,077.95 0.28
16.001 - 17.000 3 135,831.63 0.07
- ------------------------------------------------------------------------------------
TOTAL: 2,141 198,389,365.08 100.00
</TABLE>
Minimum: 7.2400
Maximum: 16.4900
Weighted Average: 10.4498
- --------------------------------------------------------------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 19
LEHMAN BROTHERS 19
GROUP IIA ARM LOANS
REMAINING TERM TO MATURITY DISTRIBUTION
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
REMAINING TERM NUMBER OF PRINCIPAL PRINCIPAL
TO MATURITY MORTGAGE LOANS BALANCE BALANCE
- ------------------------------------------------------------------------------------
<S> <C> <C> <C>
109 - 120 1 29,284.22 0.01
169 - 180 15 993,933.22 0.50
217 - 228 2 118,931.53 0.06
229 - 240 1 135,411.46 0.07
289 - 300 2 100,019.52 0.05
349 - 360 2,120 197,011,785.13 99.31
- ------------------------------------------------------------------------------------
TOTAL: 2,141 198,389,365.08 100.00
</TABLE>
Minimum: 118
Maximum: 360
Weighted Average: 357.2
- --------------------------------------------------------------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 20
LEHMAN BROTHERS 20
GROUP IIA ARM LOANS
PRINCIPAL BALANCE DISTRIBUTION
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
RANGE OF NUMBER OF PRINCIPAL PRINCIPAL
PRINCIPAL BALANCES MORTGAGE LOANS BALANCE BALANCE
- ------------------------------------------------------------------------------------
<S> <C> <C> <C>
5,000.01 -10,000.00 1 9,996.25 0.01
10,000.01 -15,000.00 2 24,937.87 0.01
15,000.01 -20,000.00 19 343,831.54 0.17
20,000.01 -25,000.00 37 867,529.58 0.44
25,000.01 -30,000.00 70 1,978,574.70 1.00
30,000.01 -35,000.00 55 1,812,003.96 0.91
35,000.01 -40,000.00 89 3,353,804.22 1.69
40,000.01 -45,000.00 92 3,950,316.69 1.99
45,000.01 -50,000.00 126 6,030,534.88 3.04
50,000.01 -55,000.00 89 4,706,327.92 2.37
55,000.01 -60,000.00 131 7,586,011.98 3.82
60,000.01 -65,000.00 102 6,399,992.70 3.23
65,000.01 -70,000.00 104 7,033,666.18 3.55
70,000.01 -75,000.00 99 7,204,956.07 3.63
75,000.01 -80,000.00 83 6,441,927.08 3.25
80,000.01 -85,000.00 94 7,741,582.53 3.90
85,000.01 -90,000.00 82 7,187,845.39 3.62
90,000.01 -95,000.00 80 7,419,558.51 3.74
95,000.01 -100,000.00 70 6,837,707.87 3.45
100,000.01 -150,000.00 442 53,352,173.76 26.89
150,000.01 -200,000.00 153 26,142,369.66 13.18
200,000.01 -250,000.00 63 13,911,710.27 7.01
250,000.01 -300,000.00 37 10,157,445.99 5.12
300,000.01 -350,000.00 11 3,441,485.49 1.73
350,000.01 -400,000.00 4 1,505,812.39 0.76
400,000.01 -450,000.00 4 1,762,072.36 0.89
500,000.01 -550,000.00 1 510,521.26 0.26
650,000.01 -700,000.00 1 674,667.98 0.34
- ------------------------------------------------------------------------------------
TOTAL: 2,141 198,389,365.08 100.00
</TABLE>
Minimum: 9,996
Maximum: 674,668
Average: 92,662
- --------------------------------------------------------------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 21
LEHMAN BROTHERS 21
GROUP IIA ARM LOANS
SEASONING DISTRIBUTION
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
MONTHS ELAPSED NUMBER OF PRINCIPAL PRINCIPAL
SINCE ORIGINATION MORTGAGE LOANS BALANCE BALANCE
- ------------------------------------------------------------------------------------
<S> <C> <C> <C>
less than equal to 0 309 26,829,400.28 13.52
1 -6 1,819 170,812,746.32 86.10
7 -12 13 747,218.48 0.38
- ---------------------------------------------------------------------------------------------
TOTAL: 2,141 198,389,365.08 100.00
</TABLE>
Minimum: 0
Maximum: 9
Weighted Average: 1.6
- --------------------------------------------------------------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 22
LEHMAN BROTHERS 22
GROUP IIA ARM LOANS
DISTRIBUTION OF MAXIMUM MORTGAGE RATES
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
RANGE OF MAXIMUM NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE RATES MORTGAGE LOANS BALANCE BALANCE
- ------------------------------------------------------------------------------------
<S> <C> <C> <C>
13.000 - 13.499 1 139,873.83 0.07
13.500 - 13.999 3 297,770.35 0.15
14.000 - 14.499 13 1,515,471.58 0.76
14.500 - 14.999 36 4,899,903.64 2.47
15.000 - 15.499 55 6,669,134.44 3.36
15.500 - 15.999 179 20,987,282.32 10.58
16.000 - 16.499 315 28,843,560.32 14.54
16.500 - 16.999 346 35,710,924.39 18.00
17.000 - 17.499 366 33,457,466.84 16.86
17.500 - 17.999 372 31,113,575.68 15.68
18.000 - 18.499 143 11,678,190.67 5.89
18.500 - 18.999 109 9,233,829.70 4.65
19.000 - 19.499 74 5,215,185.17 2.63
19.500 - 19.999 61 4,571,457.47 2.30
20.000 - 20.499 20 1,072,912.80 0.54
20.500 - 20.999 14 935,095.12 0.47
21.000 - 21.499 18 1,274,637.09 0.64
21.500 - 21.999 10 457,184.66 0.23
22.000 - 22.499 2 91,688.75 0.05
22.500 - 22.999 4 224,220.26 0.11
- ------------------------------------------------------------------------------------
TOTAL: 2,141 198,389,365.08 100.00
</TABLE>
Minimum: 13.4900
Maximum: 22.9900
Weighted Average: 17.1111
- --------------------------------------------------------------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 23
LEHMAN BROTHERS 23
GROUP IIA ARM LOANS
DISTRIBUTION OF MINIMUM MORTGAGE RATES
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
RANGE OF MINIMUM NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE RATES MORTGAGE LOANS BALANCE BALANCE
- ------------------------------------------------------------------------------------
<S> <C> <C> <C>
3.500 - 3.999 2 73,976.00 0.04
4.000 - 4.499 10 774,037.94 0.39
4.500 - 4.999 17 1,789,884.52 0.90
5.000 - 5.499 41 3,725,334.06 1.88
5.500 - 5.999 83 8,294,351.37 4.18
6.000 - 6.499 63 6,308,582.42 3.18
6.500 - 6.999 34 2,746,314.40 1.38
7.000 - 7.499 7 687,646.82 0.35
7.500 - 7.999 37 4,214,514.42 2.12
8.000 - 8.499 25 2,854,267.11 1.44
8.500 - 8.999 253 26,933,280.11 13.58
9.000 - 9.499 109 13,007,359.82 6.56
9.500 - 9.999 229 24,768,825.49 12.48
10.000 - 10.499 302 27,803,573.33 14.01
10.500 - 10.999 276 25,980,381.08 13.10
11.000 - 11.499 218 16,285,906.18 8.21
11.500 - 11.999 226 16,852,492.39 8.49
12.000 - 12.499 65 5,433,934.04 2.74
12.500 - 12.999 66 5,014,144.04 2.53
13.000 - 13.499 28 1,614,023.78 0.81
13.500 - 13.999 14 921,708.58 0.46
14.000 - 14.499 10 520,277.49 0.26
14.500 - 14.999 13 1,101,640.11 0.56
15.000 - 15.499 7 367,000.57 0.18
15.500 - 15.999 3 180,077.38 0.09
16.000 - 16.499 3 135,831.63 0.07
- ------------------------------------------------------------------------------------
TOTAL: 2,141 198,389,365.08 100.00
</TABLE>
Minimum: 3.9000
Maximum: 16.4900
Weighted Average: 9.7749
- --------------------------------------------------------------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 24
LEHMAN BROTHERS 24
GROUP IIA ARM LOANS
DISTRIBUTION OF MARGINS
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
RANGE OF NUMBER OF PRINCIPAL PRINCIPAL
MARGINS MORTGAGE LOANS BALANCE BALANCE
- ------------------------------------------------------------------------------------
<S> <C> <C> <C>
2.001 - 3.000 10 1,607,811.86 0.81
3.001 - 4.000 67 6,939,450.52 3.50
4.001 - 5.000 162 16,988,877.47 8.56
5.001 - 6.000 450 45,365,237.23 22.87
6.001 - 7.000 724 66,750,813.76 33.65
7.001 - 8.000 487 40,205,404.84 20.27
8.001 - 9.000 168 15,037,444.54 7.58
9.001 - 10.000 62 4,655,326.26 2.35
10.001 - 11.000 10 737,091.67 0.37
11.001 - 12.000 1 101,906.93 0.05
- ----------------------------------------------------------------------------------------
TOTAL: 2,141 198,389,365.08 100.00
</TABLE>
Minimum: 2.2500
Maximum: 11.5000
Weighted Average: 6.4727
- --------------------------------------------------------------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 25
LEHMAN BROTHERS 25
GROUP IIA ARM LOANS
DISTRIBUTION BY NEXT INTEREST ADJUSTMENT DATE
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
NEXT INTEREST NUMBER OF PRINCIPAL PRINCIPAL
ADJUSTMENT DATE MORTGAGE LOANS BALANCE BALANCE
- ------------------------------------------------------------------------------------
<S> <C> <C> <C>
1998-06 5 406,528.31 0.20
1998-07 8 1,082,742.45 0.55
1998-08 17 1,796,222.10 0.91
1998-09 8 1,003,349.43 0.51
1998-10 47 4,440,672.11 2.24
1998-11 3 463,820.00 0.23
1999-03 1 81,600.00 0.04
1999-04 1 85,806.55 0.04
1999-08 1 75,644.51 0.04
1999-10 6 251,361.68 0.13
1999-11 13 1,203,729.30 0.61
1999-12 13 1,043,495.78 0.53
2000-01 112 11,582,011.61 5.84
2000-02 152 15,096,609.21 7.61
2000-03 248 22,711,011.64 11.45
2000-04 687 61,274,077.61 30.89
2000-05 240 20,424,216.98 10.30
2000-06 2 116,000.00 0.06
2000-10 3 255,944.38 0.13
2000-11 5 431,512.46 0.22
2000-12 4 479,294.00 0.24
2001-01 12 938,921.66 0.47
2001-02 53 5,547,401.46 2.80
2001-03 192 16,656,994.96 8.40
2001-04 95 9,552,544.85 4.82
2001-05 20 1,600,075.00 0.81
2002-08 2 115,493.81 0.06
2002-09 1 48,774.10 0.02
2002-11 2 236,543.90 0.12
2003-01 1 59,917.55 0.03
2003-02 4 333,496.18 0.17
2003-03 50 4,849,298.53 2.44
2003-04 89 9,918,964.67 5.00
2003-05 44 4,225,288.30 2.13
- ------------------------------------------------------------------------------------
TOTAL: 2,141 198,389,365.08 100.00
</TABLE>
Minimum: 06/01/98
Maximum: 05/07/03
Weighted Average: 08/09/00
- --------------------------------------------------------------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 26
LEHMAN BROTHERS 26
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
GROUP IB AND IIB FRM AND ARM SUB-GROUPS - TO CALL
<TABLE>
<CAPTION>
PPC % 0 50 100 120 175 200 250
CPR % 0 10 20 25 30 40 50
<S> <C> <C> <C> <C> <C> <C> <C>
CLASS A-9
Average Life 6.15 1.51 0.96 0.85 0.68 0.63 0.55
Mod Duration 4.67 1.38 0.90 0.80 0.64 0.60 0.53
First Prin 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98
Last Prin 3/25/10 5/25/01 2/25/00 12/25/99 7/25/99 6/25/99 5/25/99
Payment Window 141 35 20 18 13 12 11
CLASS A-10
Average Life 13.99 4.14 2.33 2.00 1.47 1.31 1.11
Mod Duration 9.09 3.54 2.10 1.83 1.36 1.23 1.04
First Prin 3/25/10 5/25/01 2/25/00 12/25/99 7/25/99 6/25/99 5/25/99
Last Prin 5/25/13 12/25/03 6/25/01 1/25/01 4/25/00 1/25/00 10/25/99
Payment Window 39 32 17 14 10 8 6
CLASS A-11
Average Life 15.45 6.78 3.57 3.00 2.11 1.87 1.51
Mod Duration 9.64 5.37 3.11 2.66 1.92 1.71 1.41
First Prin 5/25/13 12/25/03 6/25/01 1/25/01 4/25/00 1/25/00 10/25/99
Last Prin 7/25/15 11/25/06 8/25/02 12/25/01 11/25/00 7/25/00 2/25/00
Payment Window 27 36 15 12 8 7 5
CLASS A-12
Average Life 18.44 9.81 4.80 3.99 2.70 2.35 1.88
Mod Duration 10.55 7.09 4.02 3.43 2.41 2.12 1.72
First Prin 7/25/15 11/25/06 8/25/02 12/25/01 11/25/00 7/25/00 2/25/00
Last Prin 2/25/18 9/25/09 12/25/03 12/25/02 6/25/01 1/25/01 7/25/00
Payment Window 32 35 17 13 8 7 6
CLASS A-13
Average Life 22.69 12.84 6.55 5.26 3.43 2.94 2.28
Mod Duration 11.57 8.48 5.18 4.33 2.99 2.60 2.06
First Prin 2/25/18 9/25/09 12/25/03 12/25/02 6/25/01 1/25/01 7/25/00
Last Prin 9/25/23 1/25/13 9/25/06 8/25/04 5/25/02 10/25/01 1/25/01
Payment Window 68 41 34 21 12 10 7
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 27
LEHMAN BROTHERS 27
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
GROUP IB AND IIB FRM AND ARM SUB-GROUPS - TO CALL
<TABLE>
<CAPTION>
PPC % 0 50 100 120 175 200 250
CPR % 0 10 20 25 30 40 50
<S> <C> <C> <C> <C> <C> <C> <C>
CLASS A-14
Average Life 27.38 15.66 9.55 7.65 5.00 4.12 3.05
Mod Duration 12.12 9.38 6.83 5.79 4.11 3.49 2.68
First Prin 9/25/23 1/25/13 9/25/06 8/25/04 5/25/02 10/25/01 1/25/01
Last Prin 9/25/26 9/25/14 3/25/08 6/25/06 4/25/04 2/25/03 12/25/01
Payment Window 37 21 19 23 24 17 12
CLASS A-15
Average Life 11.28 7.99 6.69 6.27 5.14 4.39 3.48
Mod Duration 7.69 5.99 5.24 4.98 4.25 3.73 3.03
First Prin 7/25/01 7/25/01 7/25/01 7/25/01 7/25/01 7/25/01 7/25/01
Last Prin 9/25/26 9/25/14 3/25/08 6/25/06 4/25/04 2/25/03 12/25/01
Payment Window 303 159 81 60 34 20 6
CLASS A-18
Average Life 23.66 8.34 4.11 3.13 2.33 1.50 0.88
Mod Duration 12.20 5.92 3.34 2.64 2.04 1.35 0.83
First Prin 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98
Last Prin 9/25/26 9/25/14 3/25/08 6/25/06 4/25/04 2/25/03 12/25/01
Payment Window 339 195 117 96 70 56 42
CLASS A-19
Average Life 12.69 3.34 2.67 2.53 2.46 2.41 2.50
Mod Duration 8.28 2.91 2.38 2.27 2.21 2.18 2.25
First Prin 2/25/00 2/25/00 2/25/00 2/25/00 2/25/00 2/25/00 2/25/00
Last Prin 1/25/17 2/25/04 8/25/03 7/25/03 7/25/03 2/25/03 12/25/01
Payment Window 204 49 43 42 42 37 23
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 28
LEHMAN BROTHERS 28
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
GROUP IB AND IIB FRM AND ARM SUB-GROUPS - TO MATURITY
<TABLE>
<CAPTION>
PPC % 0 50 100 120 175 200 250
CPR % 0 10 20 25 30 40 50
<S> <C> <C> <C> <C> <C> <C> <C>
CLASS A-9
Average Life 6.15 1.51 0.96 0.85 0.68 0.63 0.55
Mod Duration 4.67 1.38 0.90 0.80 0.64 0.60 0.53
First Prin 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98
Last Prin 3/25/10 5/25/01 2/25/00 12/25/99 7/25/99 6/25/99 5/25/99
Payment Window 141 35 20 18 13 12 11
CLASS A-10
Average Life 13.99 4.14 2.33 2.00 1.47 1.31 1.11
Mod Duration 9.09 3.54 2.10 1.83 1.36 1.23 1.04
First Prin 3/25/10 5/25/01 2/25/00 12/25/99 7/25/99 6/25/99 5/25/99
Last Prin 5/25/13 12/25/03 6/25/01 1/25/01 4/25/00 1/25/00 10/25/99
Payment Window 39 32 17 14 10 8 6
CLASS A-11
Average Life 15.45 6.78 3.57 3.00 2.11 1.87 1.51
Mod Duration 9.64 5.37 3.11 2.66 1.92 1.71 1.41
First Prin 5/25/13 12/25/03 6/25/01 1/25/01 4/25/00 1/25/00 10/25/99
Last Prin 7/25/15 11/25/06 8/25/02 12/25/01 11/25/00 7/25/00 2/25/00
Payment Window 27 36 15 12 8 7 5
CLASS A-12
Average Life 18.44 9.81 4.80 3.99 2.70 2.35 1.88
Mod Duration 10.55 7.09 4.02 3.43 2.41 2.12 1.72
First Prin 7/25/15 11/25/06 8/25/02 12/25/01 11/25/00 7/25/00 2/25/00
Last Prin 2/25/18 9/25/09 12/25/03 12/25/02 6/25/01 1/25/01 7/25/00
Payment Window 32 35 17 13 8 7 6
CLASS A-13
Average Life 22.69 12.84 6.55 5.26 3.43 2.94 2.28
Mod Duration 11.57 8.48 5.18 4.33 2.99 2.60 2.06
First Prin 2/25/18 9/25/09 12/25/03 12/25/02 6/25/01 1/25/01 7/25/00
Last Prin 9/25/23 1/25/13 9/25/06 8/25/04 5/25/02 10/25/01 1/25/01
Payment Window 68 41 34 21 12 10 7
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 29
LEHMAN BROTHERS 29
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
GROUP IB AND IIB FRM AND ARM SUB-GROUPS - TO MATURITY
<TABLE>
<CAPTION>
PPC % 0 50 100 120 175 200 250
CPR % 0 10 20 25 30 40 50
<S> <C> <C> <C> <C> <C> <C> <C>
CLASS A-14
Average Life 27.69 17.43 11.59 9.63 5.64 4.43 3.10
Mod Duration 12.17 9.87 7.73 6.77 4.48 3.69 2.71
First Prin 9/25/23 1/25/13 9/25/06 8/25/04 5/25/02 10/25/01 1/25/01
Last Prin 4/25/28 6/25/25 9/25/16 4/25/14 4/25/10 8/25/08 6/25/02
Payment Window 56 150 121 117 96 83 18
CLASS A-15
Average Life 11.28 7.99 6.74 6.42 5.81 5.59 4.71
Mod Duration 7.69 5.99 5.27 5.07 4.68 4.53 3.93
First Prin 7/25/01 7/25/01 7/25/01 7/25/01 7/25/01 7/25/01 7/25/01
Last Prin 2/25/28 10/25/24 5/25/13 5/25/13 2/25/10 6/25/08 4/25/06
Payment Window 320 280 143 143 104 84 58
CLASS A-18
Average Life 23.79 9.26 4.57 3.46 2.69 1.68 1.00
Mod Duration 12.23 6.20 3.56 2.82 2.26 1.48 0.92
First Prin 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98 7/25/98
Last Prin 3/25/28 2/25/27 2/25/20 1/25/16 11/25/12 9/25/08 1/25/06
Payment Window 357 344 260 211 173 123 91
CLASS A-19
Average Life 12.69 3.34 2.67 2.53 2.46 2.41 2.56
Mod Duration 8.28 2.91 2.38 2.27 2.21 2.18 2.29
First Prin 2/25/00 2/25/00 2/25/00 2/25/00 2/25/00 2/25/00 2/25/00
Last Prin 1/25/17 2/25/04 8/25/03 7/25/03 7/25/03 7/25/03 7/25/03
Payment Window 204 49 43 42 42 42 42
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 30
LEHMAN BROTHERS 30
GROUP IB FRM LOANS - COLLATERAL SUMMARY
- ---------------------------------------
GROUP IB FRM LOANS
<TABLE>
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NUMBER OF LOANS 3,409
TOTAL OUTSTANDING PRINCIPAL BALANCE $226,270,470
BALLOON (% OF TOTAL) 19.70%
LEVEL PAY (% OF TOTAL) 80.30%
AVERAGE PRINCIPAL BALANCE $66,374 $2,862 - $599,003
WEIGHTED AVERAGE LOAN RATE 9.73% 6.50% - 16.45%
WEIGHTED AVERAGE ORIGINAL TERM (MOS.) 248 60 - 360
WEIGHTED AVERAGE REMAINING TERM (MOS.) 247 38 - 360
WEIGHTED AVERAGE CLTV 74.82% 5.36 % - 90.00%
WEIGHTED AVERAGE CLTV Greater Than 80.00% 36.47%
WEIGHTED AVERAGE SECOND MORTGAGE RATIO 0.00% (no second liens)
LIEN POSITION (FIRST/SECOND) 100% / 0.00%
PROPERTY TYPE
SINGLE FAMILY/PUD 89.97%
CONDO/TOWNHOUSE/ROWHOUSE 4.12%
TWO TO FOUR FAMILY 2.74%
PREFABRICATED SINGLE FAMILY 3.16%
OTHER 0.00%
OCCUPANCY STATUS
OWNER OCCUPIED 98.14%
INVESTOR OWNER 1.86%
GEOGRAPHIC DISTRIBUTION
other states account individually for less than MI 12.52%
5% of Group I pool balance PA 7.01%
OH 5.66%
MD 5.24%
ORIGINATION YEAR 1998 96.98%
1997 2.99%
1996 0.03%
CREDIT CLASS A+/A/A- 76.17% C/C- 8.69%
B/B- 13.61% D 1.53%
PREPAYMENT PENALTY Yes 79.28%
No 20.72%
- ---------------------------------------------------------------------------------------------------------------------
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 31
LEHMAN BROTHERS 31
GROUP IB FRM LOANS
GEOGRAPHIC DISTRIBUTION
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF AGGREGATE PRINCIPAL PRINCIPAL
STATE MORTGAGE LOANS BALANCE BALANCE
-------------- ------------------- --------------
<S> <C> <C> <C>
ALABAMA 34 1,775,544.35 0.78
ARIZONA 39 2,800,318.17 1.24
ARKANSAS 56 2,386,455.85 1.05
CALIFORNIA 87 11,300,044.43 4.99
COLORADO 59 5,504,887.69 2.43
CONNECTICUT 28 2,399,984.32 1.06
DELAWARE 29 2,201,869.54 0.97
DISTRICT OF COLUMBIA 14 1,155,975.25 0.51
FLORIDA 90 5,666,719.16 2.50
GEORGIA 102 6,877,965.72 3.04
HAWAII 4 904,390.10 0.40
IDAHO 7 407,203.89 0.18
ILLINOIS 146 10,296,846.58 4.55
INDIANA 93 4,708,513.08 2.08
IOWA 41 1,916,958.10 0.85
KANSAS 49 2,518,520.23 1.11
KENTUCKY 46 2,258,032.41 1.00
LOUISIANA 48 2,454,669.47 1.08
MAINE 16 797,290.44 0.35
MARYLAND 138 11,851,474.97 5.24
MASSACHUSETTS 33 4,173,711.98 1.84
MICHIGAN 503 28,326,626.30 12.52
MINNESOTA 66 4,796,269.71 2.12
MISSISSIPPI 36 1,997,491.12 0.88
MISSOURI 116 5,850,264.76 2.59
MONTANA 10 464,504.36 0.21
NEBRASKA 28 1,307,630.36 0.58
NEVADA 10 672,441.88 0.30
NEW HAMPSHIRE 6 360,851.53 0.16
NEW JERSEY 99 10,120,173.99 4.47
NEW MEXICO 30 1,937,962.40 0.86
NEW YORK 128 10,020,778.15 4.43
NORTH CAROLINA 104 6,878,233.43 3.04
NORTH DAKOTA 7 226,818.20 0.10
OHIO 199 12,812,347.49 5.66
OKLAHOMA 41 2,008,538.54 0.89
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 32
LEHMAN BROTHERS 32
GROUP IB FRM LOANS
GEOGRAPHIC DISTRIBUTION
<TABLE>
<CAPTION>
% OF AGGREGATE
NUMBER OF AGGREGATE PRINCIPAL PRINCIPAL
STATE MORTGAGE LOANS BALANCE BALANCE
-------------- ------------------- --------------
<S> <C> <C> <C>
OREGON 36 3,236,386.14 1.43
PENNSYLVANIA 267 15,850,273.25 7.01
RHODE ISLAND 9 720,055.29 0.32
SOUTH CAROLINA 31 1,608,242.85 0.71
SOUTH DAKOTA 11 550,901.37 0.24
TENNESSEE 83 4,930,560.94 2.18
TEXAS 135 6,838,595.09 3.02
UTAH 21 2,157,907.03 0.95
VERMONT 18 1,225,162.72 0.54
VIRGINIA 85 5,442,403.51 2.41
WASHINGTON 42 5,307,775.78 2.35
WEST VIRGINIA 87 4,071,069.69 1.80
WISCONSIN 36 1,917,710.91 0.85
WYOMING 6 275,117.97 0.12
- ----------------------------------------------------------------------------------------------
TOTAL: 3,409 226,270,470.49 100.00
- ----------------------------------------------------------------------------------------------
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 33
LEHMAN BROTHERS 33
GROUP IB FRM LOANS
DISTRIBUTION OF CLTVS
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
RANGE OF NUMBER OF PRINCIPAL PRINCIPAL
CLTV RATIOS MORTGAGE LOANS BALANCE BALANCE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
85.001 - 90.000 26 2,388,486.31 1.06
80.001 - 85.000 1,036 80,137,122.98 35.42
75.001 - 80.000 738 54,697,950.47 24.17
70.001 - 75.000 486 33,657,805.57 14.88
65.001 - 70.000 271 16,819,826.84 7.43
60.001 - 65.000 208 10,892,155.31 4.81
55.001 - 60.000 157 7,932,149.58 3.51
50.001 - 55.000 96 4,911,321.14 2.17
0.001 - 50.000 391 14,833,652.29 6.56
- ---------------------------------------------------------------------------------------------------------
TOTAL: 3,409 226,270,470.49 100.00
Minimum: 5.36
Maximum: 90.00
Weighted Average: 74.82
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 34
LEHMAN BROTHERS 34
GROUP IB FRM LOANS
DISTRIBUTION OF LTVS
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
RANGE OF NUMBER OF PRINCIPAL PRINCIPAL
LTV RATIOS MORTGAGE LOANS BALANCE BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
85.001 - 90.000 26 2,388,486.31 1.06
80.001 - 85.000 1,036 80,137,122.98 35.42
75.001 - 80.000 738 54,697,950.47 24.17
70.001 - 75.000 486 33,657,805.57 14.88
65.001 - 70.000 271 16,819,826.84 7.43
60.001 - 65.000 208 10,892,155.31 4.81
55.001 - 60.000 157 7,932,149.58 3.51
50.001 - 55.000 96 4,911,321.14 2.17
0.001 - 50.000 391 14,833,652.29 6.56
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 3,409 226,270,470.49 100.00
Minimum: 5.36
Maximum: 90.00
Weighted Average: 74.82
</TABLE>
GROUP IB FRM LOANS
DISTRIBUTION OF CURRENT MORTGAGES
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
RANGE OF CURRENT NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE RATES MORTGAGE LOANS BALANCE BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
6.001 - 7.000 8 721,475.23 0.32
7.001 - 8.000 228 19,743,710.00 8.73
8.001 - 9.000 751 60,379,612.91 26.68
9.001 - 10.000 986 68,978,649.52 30.49
10.001 - 11.000 624 37,732,266.60 16.68
11.001 - 12.000 451 22,107,367.17 9.77
12.001 - 13.000 262 12,044,149.82 5.32
13.001 - 14.000 78 3,657,086.00 1.62
14.001 - 15.000 16 707,878.77 0.31
15.001 - 16.000 3 138,085.45 0.06
16.001 - 17.000 2 60,189.02 0.03
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 3,409 226,270,470.49 100.00
Minimum: 6.5000
Maximum: 16.4500
Weighted Average: 9.7350
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 35
LEHMAN BROTHERS 35
GROUP IB FRM LOANS
REMAINING TERM TO MATURITY DISTRIBUTION
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
REMAINING TERM NUMBER OF PRINCIPAL PRINCIPAL
TO MATURITY MORTGAGE LOANS BALANCE BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
37 - 48 1 37,297.01 0.02
49 - 60 17 530,621.68 0.23
61 - 72 6 166,136.91 0.07
73 - 84 20 588,922.65 0.26
85 - 96 5 243,173.26 0.11
97 - 108 2 32,181.63 0.01
109 - 120 179 6,848,871.21 3.03
121 - 132 7 294,748.15 0.13
133 - 144 30 1,419,777.40 0.63
145 - 156 5 329,453.78 0.15
157 - 168 6 411,240.12 0.18
169 - 180 1,397 87,381,686.77 38.62
181 - 192 8 408,091.15 0.18
193 - 204 11 643,905.73 0.28
205 - 216 5 383,751.05 0.17
217 - 228 56 3,581,966.54 1.58
229 - 240 737 50,362,665.95 22.26
265 - 276 2 127,000.00 0.06
277 - 288 1 15,000.00 0.01
289 - 300 24 1,846,880.31 0.82
313 - 324 1 22,886.40 0.01
337 - 348 1 162,560.55 0.07
349 - 360 888 70,431,652.24 31.13
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 3,409 226,270,470.49 100.00
Minimum: 38
Maximum: 360
Weighted Average: 247.3
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 36
LEHMAN BROTHERS 36
GROUP IB FRM LOANS
PRINCIPAL BALANCE DISTRIBUTION
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
RANGE OF NUMBER OF PRINCIPAL PRINCIPAL
PRINCIPAL BALANCES MORTGAGE LOANS BALANCE BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.01 - 5,000.00 1 2,862.35 0.00
5,000.01 - 10,000.00 3 29,526.07 0.01
10,000.01 - 15,000.00 66 936,337.23 0.41
15,000.01 - 20,000.00 125 2,276,229.30 1.01
20,000.01 - 25,000.00 163 3,801,744.52 1.68
25,000.01 - 30,000.00 223 6,290,733.61 2.78
30,000.01 - 35,000.00 217 7,166,603.69 3.17
35,000.01 - 40,000.00 267 10,115,425.93 4.47
40,000.01 - 45,000.00 249 10,700,278.14 4.73
45,000.01 - 50,000.00 243 11,636,740.51 5.14
50,000.01 - 55,000.00 207 10,878,162.61 4.81
55,000.01 - 60,000.00 231 13,349,631.21 5.90
60,000.01 - 65,000.00 161 10,113,729.67 4.47
65,000.01 - 70,000.00 149 10,074,263.75 4.45
70,000.01 - 75,000.00 142 10,335,122.52 4.57
75,000.01 - 80,000.00 125 9,741,709.92 4.31
80,000.01 - 85,000.00 91 7,545,699.53 3.33
85,000.01 - 90,000.00 74 6,516,077.76 2.88
90,000.01 - 95,000.00 73 6,770,429.32 2.99
95,000.01 - 100,000.00 81 7,917,501.27 3.50
100,000.01 - 150,000.00 343 40,772,387.81 18.02
150,000.01 - 200,000.00 94 16,153,574.19 7.14
200,000.01 - 250,000.00 39 8,799,669.42 3.89
250,000.01 - 300,000.00 17 4,615,026.21 2.04
300,000.01 - 350,000.00 12 3,974,397.77 1.76
350,000.01 - 400,000.00 4 1,451,379.53 0.64
400,000.01 - 450,000.00 4 1,692,833.58 0.75
450,000.01 - 500,000.00 2 963,740.14 0.43
500,000.01 - 550,000.00 2 1,049,650.00 0.46
550,000.01 - 600,000.00 1 599,002.93 0.26
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 3,409 226,270,470.49 100.00
Minimum: 2,862
Maximum: 599,003
Average: 66,374
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 37
LEHMAN BROTHERS 37
GROUP IB FRM LOANS
SEASONING DISTRIBUTION
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
MONTHS ELAPSED NUMBER OF PRINCIPAL PRINCIPAL
SINCE ORIGINATION MORTGAGE LOANS BALANCE BALANCE
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Equal To or Less Than 0 1,129 71,719,072.67 31.70
1- 6 2,262 153,589,353.62 67.88
7- 12 13 692,572.41 0.31
13 - 24 5 269,471.79 0.12
- -----------------------------------------------------------------------------------------------------------------
TOTAL: 3,409 226,270,470.49 100.00
Minimum: 0
Maximum: 22
Weighted Average: 1.1
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 38
LEHMAN BROTHERS 38
GROUP IIB ARM LOANS - COLLATERAL SUMMARY
GROUP IIB ARM LOANS
<TABLE>
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
NUMBER OF LOANS 1,274
TOTAL OUTSTANDING PRINCIPAL BALANCE $107,217,030
BALLOON (% OF TOTAL) 0.00%
LEVEL PAY (% OF TOTAL) 100.00%
AVERAGE PRINCIPAL BALANCE $84,158 $12,155 - $711,550
WEIGHTED AVERAGE LOAN RATE 10.04% 6.425% - 13.90%
WEIGHTED AVERAGE MARGIN 5.879% 2.42% - 9.70%
WEIGHTED AVERAGE ORIGINAL TERM (MOS.) 356 96 - 360
WEIGHTED AVERAGE REMAINING TERM (MOS.) 355 95 - 360
WEIGHTED AVERAGE MAXIMUM RATE 16.68% 13.00% - 20.90%
WEIGHTED AVERAGE PERIODIC CAP - SUBSEQUENT 1.07% 1.00% - 3.00%
WEIGHTED AVERAGE FLOOR 9.78% 3.875% - 13.90%
INDEX 6 month LIBOR 99.58%
1 Yr CMT 0.42%
WEIGHTED AVERAGE CLTV 77.59% 6.67% - 90.00%
WEIGHTED AVERAGE CLTV > 80.00% 39.61%
LIEN POSITION (FIRST/SECOND) 100.00% / 0.00%
PROPERTY TYPE
SINGLE FAMILY/PUD 91.70%
CONDO/TOWNHOUSE/ROWHOUSE 3.21%
TWO TO FOUR FAMILY 3.17%
PREFABRICATED SINGLE FAMILY 1.92%
OTHER 0.00%
OCCUPANCY STATUS
OWNER OCCUPIED / INVESTOR OWNER 98.82% / 1.18%
GEOGRAPHIC DISTRIBUTION
other states account individually for less than MI 32.53% OH 6.72%
4% of Group II pool balance IL 7.41% PA 4.12%
CA 7.12%
ORIGINATION YEAR 1998 87.04%
1997 12.96%
CREDIT CLASS A+/A/A- 62.30% C/C- 17.38%
B/B- 20.26% D 0.05%
PREPAYMENT PENALTY Yes 81.52%
No 18.48%
- --------------------------------------------------------------------------------------------------------------------------
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 39
LEHMAN BROTHERS 39
GROUP IIB ARM LOANS
DISTRIBUTION BY LOAN TYPE
<TABLE>
<CAPTION>
% OF AGGREGATE WEIGHTED WEIGHTED INITIAL AVERAGE AVERAGE
PRINCIPAL AVERAGE AVERAGE PERIODIC PERIODIC MAXIMUM
LOAN TYPE BALANCE COUPON MARGIN CAP CAP RATE
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
2 Yr Fix,6 mo LIBOR 71.85 10.115 5.946 2.920 1.093 16.618
3 Yr Fix,1 Yr CMT 0.26 10.750 6.283 3.000 2.000 17.750
3 Yr Fix,6 mo LIBOR 24.04 9.893 5.745 3.000 1.004 16.880
5 Yr Fix,6 mo LIBOR 3.69 9.513 5.350 3.000 1.000 16.513
5 Yr Fix,1 Yr CMT 0.16 11.403 7.437 3.000 2.000 18.403
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL: 100.00 10.043 5.879 2.943 1.072 16.683
</TABLE>
GROUP IIB ARM LOANS
GEOGRAPHIC DISTRIBUTION
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------------
AGGREGATE % OF AGGREGATE
NUMBER OF PRINCIPAL PRINCIPAL
STATE MORTGAGE LOANS BALANCE BALANCE
-------------- ------------ --------------
<S> <C> <C> <C>
ARIZONA 6 533,880.72 0.50
ARKANSAS 9 417,506.82 0.39
CALIFORNIA 46 7,637,866.88 7.12
COLORADO 31 3,490,871.58 3.26
CONNECTICUT 5 532,021.09 0.50
DELAWARE 6 544,907.46 0.51
DISTRICT OF COLUMBIA 3 333,518.68 0.31
FLORIDA 18 1,607,563.17 1.50
GEORGIA 15 1,907,442.81 1.78
IDAHO 5 339,583.13 0.32
ILLINOIS 84 7,939,561.79 7.41
INDIANA 32 1,807,308.04 1.69
IOWA 21 1,091,083.94 1.02
KANSAS 10 554,902.18 0.52
KENTUCKY 4 243,043.01 0.23
LOUISIANA 7 473,300.55 0.44
MAINE 5 282,267.71 0.26
MARYLAND 30 3,215,590.04 3.00
MASSACHUSETTS 19 2,393,250.02 2.23
MICHIGAN 488 34,877,694.89 32.53
MINNESOTA 20 1,852,785.87 1.73
MISSISSIPPI 3 108,951.34 0.10
MISSOURI 17 1,244,580.99 1.16
MONTANA 1 64,973.32 0.06
NEBRASKA 5 322,372.15 0.30
- -------------------------------------------------------------------------------------------------------------------------------
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 40
LEHMAN BROTHERS 40
GROUP IIB ARM LOANS
GEOGRAPHIC DISTRIBUTION
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------------
AGGREGATE % OF AGGREGATE
NUMBER OF PRINCIPAL PRINCIPAL
STATE MORTGAGE LOANS BALANCE BALANCE
-------------- ------------ --------------
<S> <C> <C> <C>
NEVADA 7 767,908.92 0.72
NEW HAMPSHIRE 1 46,000.00 0.04
NEW JERSEY 31 3,833,515.53 3.58
NEW MEXICO 2 73,000.00 0.07
NEW YORK 26 2,430,667.04 2.27
NORTH CAROLINA 21 1,403,760.14 1.31
OHIO 104 7,205,016.96 6.72
OKLAHOMA 1 58,341.30 0.05
OREGON 30 3,300,863.29 3.08
PENNSYLVANIA 44 4,418,595.00 4.12
RHODE ISLAND 2 325,972.15 0.30
SOUTH CAROLINA 8 518,308.19 0.48
SOUTH DAKOTA 2 148,709.81 0.14
TENNESSEE 5 546,731.49 0.51
TEXAS 5 391,303.85 0.36
UTAH 4 438,043.00 0.41
VERMONT 3 301,106.85 0.28
VIRGINIA 29 2,316,578.13 2.16
WASHINGTON 6 1,127,096.17 1.05
WEST VIRGINIA 8 414,535.71 0.39
WISCONSIN 43 3,143,617.23 2.93
WYOMING 2 190,530.97 0.18
- -------------------------------------------------------------------------------------------------------------------------------
TOTAL: 1,274 107,217,029.91 100.00
- -------------------------------------------------------------------------------------------------------------------------------
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 41
LEHMAN BROTHERS 41
GROUP IIB ARM LOANS
DISTRIBUTION OF CLTVS
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
RANGE OF NUMBER OF PRINCIPAL PRINCIPAL
CLTV RATIOS MORTGAGE LOANS BALANCE BALANCE
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
85.001 - 90.000 3 271,846.49 0.25
80.001 - 85.000 452 42,191,579.07 39.35
75.001 - 80.000 390 33,192,458.77 30.96
70.001 - 75.000 187 16,103,956.31 15.02
65.001 - 70.000 69 5,362,237.09 5.00
60.001 - 65.000 51 3,510,965.32 3.27
55.001 - 60.000 40 2,247,957.66 2.10
50.001 - 55.000 19 1,155,537.87 1.08
0.001 - 50.000 63 3,180,491.33 2.97
- ---------------------------------------------------------------------------------------------------------------
TOTAL: 1,274 107,217,029.91 100.00
Minimum: 6.67
Maximum: 90.00
Weighted Average: 77.59
</TABLE>
GROUP IIB ARM LOANS
DISTRIBUTION OF CURRENT MORTGAGE RATES
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
RANGE OF CURRENT NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE RATES MORTGAGE LOANS BALANCE BALANCE
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
6.001 - 7.000 2 162,485.34 0.15
7.001 - 8.000 43 4,886,811.58 4.56
8.001 - 9.000 174 19,535,996.50 18.22
9.001 - 10.000 285 27,669,903.82 25.81
10.001 - 11.000 455 34,085,795.25 31.79
11.001 - 12.000 258 16,962,918.97 15.82
12.001 - 13.000 48 3,521,228.70 3.28
13.001 - 14.000 9 391,889.75 0.37
- -------------------------------------------------------------------------------------------------------------
TOTAL: 1,274 107,217,029.91 100.00
Minimum: 6.4250
Maximum: 13.9000
Weighted Average: 10.0432
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 42
LEHMAN BROTHERS 42
GROUP IIB ARM LOANS
REMAINING TERM TO MATURITY DISTRIBUTION
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
REMAINING TERM NUMBER OF PRINCIPAL PRINCIPAL
TO MATURITY MORTGAGE LOANS BALANCE BALANCE
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
85 - 96 1 29,541.82 0.03
133 - 144 1 28,700.33 0.03
169 - 180 22 1,364,977.21 1.27
217 - 228 2 89,144.82 0.08
229 - 240 18 951,880.31 0.89
289 - 300 3 133,583.06 0.12
349 - 360 1,227 104,619,202.36 97.58
- -----------------------------------------------------------------------------------------------------------
TOTAL: 1,274 107,217,029.91 100.00
Minimum: 95
Maximum: 360
Weighted Average: 354.9
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 43
LEHMAN BROTHERS 43
GROUP IIB ARM LOANS
PRINCIPAL BALANCE DISTRIBUTION
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
RANGE OF NUMBER OF PRINCIPAL PRINCIPAL
PRINCIPAL BALANCES MORTGAGE LOANS BALANCE BALANCE
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
10,000.01 -15,000.00 3 42,142.48 0.04
15,000.01 -20,000.00 8 149,534.39 0.14
20,000.01 -25,000.00 20 473,093.50 0.44
25,000.01 -30,000.00 45 1,274,197.30 1.19
30,000.01 -35,000.00 49 1,620,769.80 1.51
35,000.01 -40,000.00 64 2,420,532.45 2.26
40,000.01 -45,000.00 80 3,444,124.73 3.21
45,000.01 -50,000.00 82 3,923,113.89 3.66
50,000.01 -55,000.00 69 3,642,778.83 3.40
55,000.01 -60,000.00 96 5,569,877.51 5.19
60,000.01 -65,000.00 76 4,785,091.24 4.46
65,000.01 -70,000.00 79 5,355,337.00 4.99
70,000.01 -75,000.00 58 4,199,221.32 3.92
75,000.01 -80,000.00 54 4,199,659.10 3.92
80,000.01 -85,000.00 31 2,557,043.83 2.38
85,000.01 -90,000.00 36 3,180,231.85 2.97
90,000.01 -95,000.00 46 4,264,483.16 3.98
95,000.01 -100,000.00 42 4,104,068.44 3.83
100,000.01 -150,000.00 222 26,923,636.17 25.11
150,000.01 -200,000.00 61 10,553,234.53 9.84
200,000.01 -250,000.00 30 6,631,498.23 6.19
250,000.01 -300,000.00 12 3,243,751.63 3.03
300,000.01 -350,000.00 5 1,653,715.02 1.54
400,000.01 -450,000.00 2 840,941.94 0.78
450,000.01 -500,000.00 3 1,453,401.57 1.36
700,000.01 -750,000.00 1 711,550.00 0.66
- --------------------------------------------------------------------------------------------------------------------
TOTAL: 1,274 107,217,029.91 100.00
Minimum: 12,155
Maximum: 711,550
Average: 84,158
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 44
LEHMAN BROTHERS 44
GROUP IIB ARM LOANS
SEASONING DISTRIBUTION
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
MONTHS ELAPSED NUMBER OF PRINCIPAL PRINCIPAL
SINCE ORIGINATION MORTGAGE LOANS BALANCE BALANCE
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Equal To or Less Than 0 493 35,932,651.01 33.51
1 -6 769 69,311,006.79 64.65
7 -12 12 1,973,372.11 1.84
- ---------------------------------------------------------------------------------------------------
TOTAL: 1,274 107,217,029.91 100.00
Minimum: 0
Maximum: 10
Weighted Average: 1.4
</TABLE>
GROUP IIB ARM LOANS
DISTRIBUTION OF MAXIMUM MORTGAGE RATES
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
RANGE OF MAXIMUM NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE RATES MORTGAGE LOANS BALANCE BALANCE
- ---------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
13.000 - 13.499 2 162,485.34 0.15
13.500 - 13.999 1 95,632.32 0.09
14.000 - 14.499 5 873,040.35 0.81
14.500 - 14.999 45 4,875,426.51 4.55
15.000 - 15.499 76 8,463,179.04 7.89
15.500 - 15.999 159 16,687,948.79 15.56
16.000 - 16.499 257 20,367,677.56 19.00
16.500 - 16.999 188 16,085,256.02 15.00
17.000 - 17.499 151 11,912,591.64 11.11
17.500 - 17.999 229 17,245,499.98 16.08
18.000 - 18.499 70 4,576,068.38 4.27
18.500 - 18.999 38 2,206,973.67 2.06
19.000 - 19.499 29 2,193,627.11 2.05
19.500 - 19.999 15 1,079,733.45 1.01
20.000 - 20.499 6 308,676.49 0.29
20.500 - 20.999 3 83,213.26 0.08
- ---------------------------------------------------------------------------------------------------
TOTAL: 1,274 107,217,029.91 100.00
Minimum: 13.0000
Maximum: 20.9000
Weighted Average: 16.6827
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 45
LEHMAN BROTHERS 45
GROUP IIB ARM LOANS
DISTRIBUTION OF MINIMUM MORTGAGE RATES
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
RANGE OF MINIMUM NUMBER OF PRINCIPAL PRINCIPAL
MORTGAGE RATES MORTGAGE LOANS BALANCE BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
3.500 - 3.999 4 314,402.20 0.29
4.000 - 4.499 12 777,332.03 0.73
4.500 - 4.999 19 1,200,569.11 1.12
5.000 - 5.499 4 364,172.69 0.34
5.500 - 5.999 7 748,972.90 0.70
6.000 - 6.499 8 1,057,990.17 0.99
6.500 - 6.999 3 276,351.77 0.26
7.000 - 7.499 11 919,980.59 0.86
7.500 - 7.999 39 4,100,929.59 3.82
8.000 - 8.499 71 7,975,123.49 7.44
8.500 - 8.999 110 12,406,813.92 11.57
9.000 - 9.499 84 8,218,909.39 7.67
9.500 - 9.999 167 16,010,732.67 14.93
10.000 - 10.499 234 17,087,046.32 15.94
10.500 - 10.999 196 15,470,631.22 14.43
11.000 - 11.499 113 7,626,541.13 7.11
11.500 - 11.999 130 8,439,259.02 7.87
12.000 - 12.499 37 2,793,991.69 2.61
12.500 - 12.999 16 1,035,390.26 0.97
13.000 - 13.499 4 253,660.61 0.24
13.500 - 13.999 5 138,229.14 0.13
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 1,274 107,217,029.91 100.00
Minimum: 3.8750
Maximum: 13.9000
Weighted Average: 9.7829
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 46
LEHMAN BROTHERS 46
GROUP IIB ARM LOANS
DISTRIBUTION OF MARGINS
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
RANGE OF NUMBER OF PRINCIPAL PRINCIPAL
MARGINS MORTGAGE LOANS BALANCE BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
2.001 - 3.000 4 286,923.78 0.27
3.001 - 4.000 42 4,240,446.03 3.96
4.001 - 5.000 232 23,738,491.28 22.14
5.001 - 6.000 345 31,217,620.54 29.12
6.001 - 7.000 422 32,634,959.78 30.44
7.001 - 8.000 186 12,738,860.29 11.88
8.001 - 9.000 39 2,249,530.34 2.10
9.001 - 10.000 4 110,197.87 0.10
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 1,274 107,217,029.91 100.00
Minimum: 2.4200
Maximum: 9.7000
Weighted Average: 5.8790
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 47
LEHMAN BROTHERS 47
GROUP IIB ARM LOANS
DISTRIBUTION BY NEXT INTEREST ADJUSTMENT DATE
<TABLE>
<CAPTION>
AGGREGATE % OF AGGREGATE
NEXT INTEREST NUMBER OF PRINCIPAL PRINCIPAL
ADJUSTMENT DATE MORTGAGE LOANS BALANCE BALANCE
- ----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
1999-07 2 261,524.66 0.24
1999-08 2 172,148.05 0.16
1999-09 2 337,932.76 0.32
1999-10 5 1,018,511.10 0.95
1999-11 5 382,822.33 0.36
1999-12 30 3,799,652.94 3.54
2000-01 71 7,303,933.89 6.81
2000-02 64 7,697,020.99 7.18
2000-03 82 6,993,385.54 6.52
2000-04 304 24,819,953.61 23.15
2000-05 304 21,367,118.14 19.93
2000-06 41 2,877,710.00 2.68
2000-10 1 183,255.54 0.17
2000-12 1 53,385.86 0.05
2001-01 3 364,988.99 0.34
2001-03 23 1,777,861.73 1.66
2001-04 160 13,181,429.64 12.29
2001-05 134 10,429,727.87 9.73
2001-06 1 65,520.00 0.06
2002-12 1 78,143.12 0.07
2003-03 1 66,801.94 0.06
2003-04 24 2,791,626.21 2.60
2003-05 13 1,192,575.00 1.11
- ----------------------------------------------------------------------------------------------------------
TOTAL: 1,274 107,217,029.91 100.00
Minimum: 07/01/99
Maximum: 05/15/03
Weighted Average: 08/01/00
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION REGARDING THE
UNDERLYING ASSETS HAS BEEN PROVIDED BY THE ISSUER OF THE SECURITIES OR AN
AFFILIATE THEREOF AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY LEHMAN BROTHERS
INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
