<PAGE>
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: April 26, 2000
(Date of earliest event reported)
FIRST HORIZON ASSET SECURITIES INC.
(Exact name of Registrant as specified in its charter)
Delaware 333-74467 75-2808384
(State of Incorporation) (Commission File No.) (I.R.S. Employer
Identification No.)
4000 Horizon Way
Irving, Texas 75063
(Address of Principal executive offices) (Zip Code)
Registrant's Telephone Number, Including Area Code: (214) 441-4000
<PAGE>
Item 5. Other Events.
------------
Reference is hereby made to the Registrant's Registration Statement on Form
S-3 (File No. 333-74467) filed with the Securities and Exchange Commission (the
"Commission") on March 16, 1999, as amended by Amendment No. 1 thereto filed
with the Commission on May 21, 1999, as further amended by Amendment No. 2
thereto filed with the Commission on July 6, 1999, as further amended by
Amendment No. 3 thereto filed with the Commission on December 20, 1999, and as
further amended by Amendment No. 4 thereto filed with the Commission on January
21, 2000 (as so amended, the "Registration Statement"), pursuant to which the
Registrant registered $1,500,000,000 aggregate principal amount of its mortgage
pass-through certificates, issuable in various series, for sale in accordance
with the provisions of the Securities Act of 1933, as amended. Reference is also
hereby made to the Prospectus and the related Prospectus Supplement
(collectively, the "Prospectus"), which will be filed with the Commission
pursuant to Rule 424(b)(5), with respect to the Registrant's Mortgage Pass-
Through Certificates, Series 2000-1 (the "Offered Securities").
The Registrant is filing this Current Report on Form 8-K to provide
prospective investors with certain materials which constitute "Computational
Materials" within the meaning of the no-action letter dated May 20, 1994 issued
by the Division of Corporation Finance of the Commission to Kidder, Peabody
Acceptance Corporation I, Kidder, Peabody & Co. Incorporated, and Kidder
Structured Asset Corporation and the no-action letter dated May 27, 1994 issued
by the Division of Corporation Finance of the Commission to the Public
Securities Association (together, the "Kidder Letters"), the filing of which
materials is a condition of the relief granted in such letters (such materials
being the "Computational Materials"). The Computational Materials were prepared
solely by Lehman Brothers, Inc. in connection with the offering of the Offered
Securities, and the Registrant did not prepare or participate in the preparation
of the Computational Materials. The Computational Materials are set forth in
Exhibit 99.1 hereto.
- ------------
The assumptions used in preparing the Computational Materials were based
upon a preliminary compilation of the underlying collateral and the estimated
principal amount and other features of the Offered Securities. The actual
features of the Offered Securities and a detailed description of the final
constituency of the underlying collateral are set forth in the Prospectus.
Due to the preliminary nature of the collateral and Bond information used
in preparing the Computational Materials, no assurance can be given as to either
the Computational Materials' or the underlying assumptions' accuracy,
appropriateness or completeness in any particular context; nor can assurance be
given as to whether the Computational Materials and/or the assumptions upon
which they are based reflect present market conditions or future market
performance. These Computational Materials should not be construed as either
projections or predictions or as legal, tax, financial or accounting advice.
Any yields or weighted average lives shown in the Computational Materials
are based on prepayment assumptions, and changes in such prepayment assumptions
may dramatically affect such yields or weighted average lives. In addition, it
is possible that prepayments on the collateral will occur at rates slower or
faster than the rates shown in the attached Computational Materials.
-2-
<PAGE>
Furthermore, unless otherwise provided, the Computational Materials assume
no losses on the collateral and no interest shortfall. The specific
characteristics of the Offered Securities may differ from those shown in the
Computational Materials due to differences between the actual collateral and the
hypothetical collateral used in preparing the Computational Materials. As noted
above, the principal amount and designation of any security described in the
Computational Materials are subject to change prior to issuance.
Please be advised that mortgage-backed securities may not be appropriate
for all investors. Potential investors must be willing to assume, among other
things, market price volatility, mortgage prepayments, yield curve and interest
rate risks. Investors should make every effort to consider the risks of these
securities.
Any statement or information contained in the Computational Materials shall
be deemed to be modified or superseded for purposes of the Prospectus and the
Registration Statement by statements or information contained in the Prospectus.
Item 7. Financial Statements and Exhibits.
---------------------------------
(c) Exhibits
Exhibit No. Description
----------- -----------
99.1 Computational Materials
-3-
<PAGE>
Signatures
----------
Pursuant to the requirements of the Securities Exchange Act of 1934, the
Registrant has duly caused this Report to be signed on its behalf by the
undersigned hereunto duly authorized.
FIRST HORIZON ASSET SECURITIES INC.
April 26, 2000 By: /s/ Wade Walker
------------------------------
Wade Walker
Senior Vice President - Asset
Securitization
-4-
<PAGE>
Exhibit 99.1
Computational Materials
-----------------------
[Begins on Next Page]
-5-
<PAGE>
EXHIBIT 99.1
COMPUTATIONAL MATERIALS
------ Corporate Bond Equivalent Yield Table ------
Page 1
Lehman Brothers Tue, 25 Apr 2000, 19:49:39
Bond Class A1 7.000 FIXED CPU
Current Balance $102,000,000.00
<TABLE>
<CAPTION>
0% PSA 100% PSA 150% PSA 250% PSA 375% PSA 650% PSA
--------------- --------------- --------------- --------------- --------------- ----------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur
- --------------- --------- ---- --------- ---- --------- ---- --------- ---- --------- ---- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
97-28 7.300 8.43 7.510 4.08 7.634 3.13 7.863 2.19 8.119 1.64 8.615 1.10
98-00 7.285 7.479 7.593 7.805 8.041 8.500
98-04 7.270 7.448 7.553 7.747 7.964 8.384
98-08 7.255 7.417 7.512 7.690 7.887 8.269
98-12 7.240 7.386 7.472 7.632 7.810 8.154
98-16 7.225 8.46 7.355 4.10 7.432 3.15 7.574 2.20 7.733 1.64 8.040 1.10
98-20 7.210 7.325 7.392 7.517 7.656 7.926
98-24 7.195 7.294 7.352 7.459 7.579 7.812
98-28 7.181 7.263 7.312 7.402 7.503 7.698
99-00 7.166 7.233 7.272 7.345 7.427 7.584
99-04 7.151 8.49 7.202 4.11 7.232 3.16 7.288 2.20 7.350 1.65 7.471 1.11
99-08 7.136 7.172 7.193 7.231 7.274 7.358
99-12 7.121 7.141 7.153 7.175 7.199 7.245
99-16 7.107 7.111 7.113 7.118 7.123 7.133
99-20 7.092 7.081 7.074 7.061 7.047 7.020
99-24 7.077 8.52 7.050 4.13 7.035 3.17 7.005 2.21 6.972 1.66 6.908 1.11
99-28 7.063 7.020 6.995 6.949 6.897 6.796
100-00 7.048 6.990 6.956 6.892 6.822 6.685
100-04 7.034 6.960 6.917 6.836 6.747 6.574
100-08 7.019 6.930 6.878 6.780 6.672 6.462
100-12 7.005 8.56 6.900 4.14 6.839 3.18 6.724 2.22 6.597 1.66 6.352 1.12
100-16 6.990 6.870 6.800 6.669 6.523 6.241
100-20 6.976 6.841 6.761 6.613 6.449 6.130
100-24 6.961 6.811 6.722 6.557 6.374 6.020
100-28 6.947 6.781 6.684 6.502 6.300 5.910
101-00 6.933 8.59 6.752 4.16 6.645 3.19 6.447 2.23 6.226 1.67 5.801 1.12
101-04 6.918 6.722 6.607 6.391 6.153 5.691
101-08 6.904 6.692 6.568 6.336 6.079 5.582
101-12 6.890 6.663 6.530 6.281 6.006 5.473
101-16 6.876 6.634 6.491 6.226 5.932 5.364
101-20 6.861 8.62 6.604 4.18 6.453 3.20 6.172 2.24 5.859 1.67 5.255 1.13
101-24 6.847 6.575 6.415 6.117 5.786 5.147
101-28 6.833 6.546 6.377 6.062 5.713 5.039
102-00 6.819 6.517 6.339 6.008 5.641 4.931
102-04 6.805 6.488 6.301 5.954 5.568 4.823
Average Life: 15.26 5.44 3.89 2.55 1.85 1.21
First Pay : 05/25/00 05/25/00 05/25/00 05/25/00 05/25/00 05/25/00
Last Pay : 06/25/24 11/29/12 01/25/09 07/25/05 12/25/03 07/25/02
Collateral Loss: 0.00 (0.00) 0.00 (0.00) 0.00 (0.00) 0.00 (0.00) 0.00 (0.00) 0.00 (0.00)
Agg. Bond Loss : 0.00 (0.00) 0.00 (0.00) 0.00 (0.00) 0.00 (0.00) 0.00 (0.00) 0.00 (0.00)
1Y 2Y 3Y 5Y 10Y 3OY Price to Maturity
5.509 6.343 6.318 6.267 6.036 5.877
</TABLE>
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest fee delay of 26 days.
Duration, First Pay, Average Life, and Maturity are stated in years
reflecting a 4/28/00 settlement date.
________________________________________________________________________________
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information continued
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 of an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient thereof) regarding payments, interest rates, weighted average lives
and weighted average loan age, losses and other matters, including, but not
limited to, the assumption described in the Offering Document, Lehman Brothers
Inc., and any of its affiliates, make no representation or warranty as to the
actual rate or timing of payments on any of the underlying assets, or the
payments or yield on the securities. This information supersedes any prior
versions hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
<PAGE>
<TABLE>
<CAPTION>
COMPUTATIONAL MATERIALS
------- Corporate Bond Equivalent Yield Table -------
Lehman Brothers Page 2
Bond Class A1 7.000 FIXED CPR
Current Balance $ 78,868,000.00
0% PSA 100% PSA 150% PSA 250% PSA 375% PSA 650% PSA
------------------ ------------------ ------------------ --------------- ---------------- -----------------
Price CBE Yield Dur CBE Yield Dur CBE Yield Dur Yield Dur CBE Yield Dur CBE Yield Dur
- ------- ---------- ----- --------- ----- --------- ----- ------ ----- --------- ----- ----------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
98-04 7.223 11.79 7.232 10.97 7.243 10.07 7.283 7.84 7.370 5.29 7.568 3.04
98-08 7.212 7.220 7.231 7.267 7.346 7.526
98-12 7.201 7.209 7.218 7.251 7.322 7.485
98-16 7.190 7.197 7.206 7.235 7.299 7.443
98-20 7.180 7.186 7.193 7.219 7.275 7.402
98-24 7.169 11.83 7.174 11.00 7.181 10.10 7.203 7.86 7.251 5.30 7.360 3.05
98-28 7.158 7.163 7.168 7.187 7.227 7.319
99-00 7.148 7.151 7.156 7.171 7.204 7.278
99-04 7.137 7.140 7.143 7.155 7.180 7.237
99-08 7.127 7.129 7.131 7.139 7.156 7.196
99-12 7.116 11.88 7.117 11.04 7.118 10.13 7.123 7.88 7.133 5.31 7.155 3.05
99-16 7.106 7.106 7.106 7.107 7.109 7.114
99-20 7.095 7.095 7.094 7.091 7.086 7.073
99-24 7.085 7.083 7.082 7.075 7.062 7.032
99-28 7.074 7.072 7.069 7.060 7.039 6.991
100-00 7.064 11.92 7.061 11.08 7.057 10.16 7.044 7.90 7.015 5.32 6.951 3.06
100-04 7.053 7.050 7.045 7.028 6.992 6.910
100-08 7.043 7.038 7.033 7.012 6.969 6.869
100-12 7.033 7.027 7.020 6.997 6.945 6.829
100-16 7.022 7.016 7.008 6.981 6.922 6.788
100-20 7.012 11.97 7.005 11.12 6.996 10.19 6.996 7.92 6.899 5.33 6.748 3.06
100-24 7.002 6.994 6.984 6.950 6.876 6.708
100-28 6.991 6.983 6.972 6.934 6.853 6.667
101-00 6.981 6.972 6.960 6.919 6.830 6.627
101-04 6.971 6.961 6.948 6.903 6.807 6.587
101-08 6.961 12.02 6.950 11.15 6.936 10.22 6.888 7.94 6.784 5.34 6.547 3.07
101-12 6.950 6.939 6.924 6.872 6.761 6.507
101-16 6.940 6.928 6.912 6.857 6.738 6.467
101-20 6.930 6.917 6.900 6.842 6.715 6.427
101-24 6.920 6.906 6.888 6.826 6.692 6.387
101-28 6.910 12.06 6.895 11.19 6.876 10.25 6.811 7.96 6.669 5.36 6.348 3.07
102-00 6.900 6.884 6.864 6.796 6.646 6.308
102-04 6.889 6.873 6.852 6.780 6.624 6.268
102-08 6.879 6.862 6.840 6.765 6.601 6.229
102-12 6.869 6.851 6.829 6.750 6.578 6.189
Average Life: 27.93 23.17 19.39 12.65 7.11 3.57
First Pay : 12/25/26 07/25/28 12/25/13 02/25/08 04/25/05 04/25/03
Last Pay: 06/25/29 06/25/29 06/25/29 06/23/29 06/25/29 08/25/04
Collateral Loss: 0.00 (0.00) 0.00 (0.00) 0.00 (0.00) 0.00 (0.00) 0.00 (0.00) 0.00 (0.00)
Agg. Bond Loss: 0.00 (0.00) 0.00 (0.00) 0.00 (0.00) 0.00 (0.00) 0.00 (0.00) 0.00 (0.00)
1Y 2Y 3Y 5Y 10Y 30Y Price to Maturity
5.509 6.343 6.318 6.267 6.036 5.877
</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 continued
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 of an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient thereof) regarding payments, interest rates, weighted average lives
and weighted average loan age, losses and other matters, including, but not
limited to, the assumption described in the Offering Document. Lehman Brothers
Inc., and any of its affiliates, make no representation or warranty as to the
actual rate or timing of payments on any of the underlying assets, or the
payments or yield on the securities. This information supersedes any prior
versions hereof and will be deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or the underlying
assets, the information contained in the Offering Document).
