<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 (Date of earliest event reported) February 13,1998
Structured Asset Securities Corporation
- - ------------------------------------------------------------------------------
(Exact Name of Registrant as Specified in Its Charter)
Delaware 33-96378 74-2440858
- - ------------------------------------------------------------------------------
(State or Other Jurisdiction (Commission (IRS Employer
of Incorporation) File Number) Identification No.)
200 Vesey Street, New York, New York 10285
- - ------------------------------------------------------------------------------
(Address of Principal Executive Offices) (Zip Code)
Registrant's telephone number, including area code (212) 526-7000
--------------
- - ------------------------------------------------------------------------------
(Former Name or Former Address, if Changed Since Last Report)
- - ------------------------------------------------------------------------------
- - ------------------------------------------------------------------------------
<PAGE>
ITEM 5. OTHER EVENTS.
It is expected that during late February or early March of 1998, a single
series of certificates, entitled Lehman Brothers Commercial Mortgage Trust,
Commercial Mortgage Pass-Through Certificates, Series 1998-C1 (the
"Certificates"), will be issued pursuant to a pooling and servicing agreement,
to be entered into by and among Structured Asset Securities Corporation (the
"Registrant"), GMAC Commercial Mortgage Corporation, as master servicer and as
special servicer, LaSalle National Bank, as trustee, and ABN AMRO Bank N.V., as
fiscal agent. Certain classes of the Certificates (the "Underwritten
Certificates") will be registered under the Registrant's registration statement
on Form S-3 (no. 33-96378) and sold to Lehman Brothers Inc. (the "Underwriter")
pursuant to an underwriting agreement to be entered into by and between the
Registrant and the Underwriter.
In connection with the expected sale of the Underwritten Certificates, the
Underwriter has advised the Registrant that it has furnished to prospective
investors certain information attached hereto as Exhibit 99.1 that may be
considered "Computational Materials" (as defined in the no-action letter dated
May 20, 1994 issued by the Division of Corporation Finance of the Securities and
Exchange Commission (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) and
"ABS Term Sheets" (as defined in the no-action letter dated February 17, 1995
issued by the Division of Corporation Finance of the Commission to the Public
Securities Association).
The Computational Materials and ABS Term Sheets attached hereto have been
prepared and provided to the Registrant by the Underwriter. The information in
such Computational Materials and ABS Term Sheets is preliminary and will be
superseded by the final Prospectus Supplement relating to the Underwritten
Certificates and by any other information subsequently filed with the
Commission.
ITEM 7. FINANCIAL STATEMENTS AND EXHIBITS.
(a) FINANCIAL STATEMENTS OF BUSINESSES ACQUIRED:
Not applicable.
(b) PRO FORMA FINANCIAL INFORMATION:
Not applicable.
-2-
<PAGE>
(c) EXHIBITS:
Exhibit No. Description
99.1 Computational Materials and ABS Term Sheets prepared by Lehman
Brothers Inc.
-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, thereunto duly authorized.
Date: February 13, 1998
STRUCTURED ASSET SECURITIES
CORPORATION
By: /s/ Paul A. Hughson
----------------------------------
Name: Paul A. Hughson
Title: Vice President
-4-
<PAGE>
EXHIBIT INDEX
The following exhibits are filed herewith:
EXHIBIT NO. PAGE NO.
99.1 Computational Materials and ABS Term Sheets prepared by Lehman
Brothers Inc.
-5-
<PAGE>
EXHIBIT 99.1
LB Commercial Mortgage Trust
Commercial Mortgage Pass-Through Certificates,
Series 1998-C1
$1,775,167,073
(Approximate)
Certificates
[GRAPHIC OMITTED]
% of Mortgage Pool by Cut-off Date Balance
Lehman Brothers
Page 1/10
================================================================================
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 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 LAW, THE FINAL
OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED HEREIN DOES
NOT PURPORT TO BE COPMPLETE 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 PREPAIRED 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 CASE ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES AND
WEIGHTED AVERAGE LOAN AGE, LOSS 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 THE UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE>
LB Commercial Mortgage Trust
Commercial Mortgage Pass-Through Certificates, Series 1998-C1
(LBCMT 1998-C1)
- - --------------------------------------------------------------------------------
----------------------------------------------
Class A-1
Aaa/AAA
---------------------------------
Class A-2
Aaa/AAA
---------------------------------
Class A-3 Class IO
Aaa/AAA Aaa/AAA
---------------------------------
Class B
Aa2/AA
---------------------------------
Class C
A2/A
---------------------------------
Class D
Baa2/BBB
---------------------------------
Class E
Baa3/BBB-
---------------------------------
Class F
---------------------------------
Class G
---------------------------------
Class H
---------------------------------
Class J
---------------------------------
Class K
---------------------------------
Class L
---------------------------------
Class M
----------------------------------------------
- - --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
=================================================================================================================================
Original Avg Principal Legal
Class Face Rating (M/D) Description Coupon Life (1) Window (1) Status
- - ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
A-1 Aaa/AAA Public
- - ---------------------------------------------------------------------------------------------------------------------------------
A-2 Aaa/AAA Public
- - ---------------------------------------------------------------------------------------------------------------------------------
A-3 Aaa/AAA Public
- - ---------------------------------------------------------------------------------------------------------------------------------
IO Aaa/AAA WAC IO Public
- - ---------------------------------------------------------------------------------------------------------------------------------
B Aa2/AA Public
- - ---------------------------------------------------------------------------------------------------------------------------------
C A2/A Public
- - ---------------------------------------------------------------------------------------------------------------------------------
D Baa2/BBB Public
- - ---------------------------------------------------------------------------------------------------------------------------------
E Baa3/BBB- Public
- - ---------------------------------------------------------------------------------------------------------------------------------
F Not Offered (4) Private, 144A
- - ---------------------------------------------------------------------------------------------------------------------------------
G Not Offered (4) Private, 144A
- - ---------------------------------------------------------------------------------------------------------------------------------
H Not Offered (4) Private, 144A
- - ---------------------------------------------------------------------------------------------------------------------------------
J Not Offered (4) Private, 144A
- - ---------------------------------------------------------------------------------------------------------------------------------
K Not Offered (4) Private, 144A
- - ---------------------------------------------------------------------------------------------------------------------------------
L Not Offered (4) Private, 144A
- - ---------------------------------------------------------------------------------------------------------------------------------
M Not Offered (4) Private, 144A
=================================================================================================================================
Total
=================================================================================================================================
</TABLE>
(1) Assuming among other things, 0% CPR, no losses and that ARD loans pay off
on their Anticipated Repayment Date.
(2) Represents notional amount on Class IO.
(3) Represents average life of related principal notional amounts on Class IO.
(4) Pass-through Rate will equal the lesser of the applicable rate set forth
above and the Weighted Average Net Mortgage Rate.
Rating Agencies: Duff & Phelps and Moody's
Trustee: LaSalle National Bank
Master Servicer: GMAC Commercial Mortgage Corporation
Special Servicer: GMAC Commercial Mortgage Corporation
Closing Date: On or about March 11, 1998 (40 days accrued interest)
Page 2/10
================================================================================
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 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 LAW, THE FINAL
OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED HEREIN DOES
NOT PURPORT TO BE COPMPLETE 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 PREPAIRED 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 CASE ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES AND
WEIGHTED AVERAGE LOAN AGE, LOSS 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 THE UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE>
LBCMT 98-C1 Structural Term Sheet (continued):
Cut-off Date: February 1, 1998.
ERISA: Classes A-1, A-2, A-3 and IO are expected to be
eligible for Lehman's individual prohibited
transaction exemptions with respect to ERISA.
SMMEA: Classes A-1, A-2, A-3, B and IO are "mortgage
related securities" for purposes of SMMEA.
Payment: Pays on 18th of each month or, if such date is not
a business day, then the following business day,
commencing March 18, 1998.
The Class IO: The Class IO is comprised of fourteen components,
one relating to each class of Principal Balance
Certificates.
Optional Call: 1% Clean-up Call.
Collateral: The Certificates are backed by 261 mortgage loans
secured by first liens on 288 commercial and
multifamily properties, such mortgage loans having
been originated by an affiliate of Lehman Brothers,
or its approved conduit originators.
Offering Highlights
o Newly Originated Collateral. The collateral consists of 261 Mortgage
Loans with a principal balance (as of February 1, 1998) of
approximately $1.775 billion.
o Call Protection. 100% of the Mortgage Loans contain call protection
provisions. 98% of the Mortgage Loans provide for initial lockout
period followed by i) defeasance; or ii) yield maintenance; or/and
iii) percentage penalty. The weighted average lockout and defeasance
periods for all loans is 8.9 years. The Mortgage Loans are generally
prepayable without penalty between three to six months from Mortgage
Loan maturity.
<TABLE>
<CAPTION>
================================================================================================================================
Type of Call Protection # of Loans % of Balance
- - --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Lockout (weighted average 60 months), then Defeasance 179 71.5
- - --------------------------------------------------------------------------------------------------------------------------------
Lockout (weighted average 56 months), then Yield Maintenance("YM")* 66 21.3
- - --------------------------------------------------------------------------------------------------------------------------------
Lockout (weighted average 68 months), then declining penalties 11 4.2
- - --------------------------------------------------------------------------------------------------------------------------------
Lockout (weighted average 60 months), then YM*, then declining penalties 3 0.9
- - --------------------------------------------------------------------------------------------------------------------------------
Declining penalties only 2 2.0
================================================================================================================================
</TABLE>
* 97.1% of such Mortgage Loans provide for yield maintenance prepayment premiums
that are calculated at a discount rate of Treasuries flat.
o No loan delinquent 30 days or more as of the Cut-off Date.
o $6.8mm average loan balance as of the Cut-off Date.
o 1.34x Weighted Average Debt Service Coverage Ratio ("DSCR") as of
the Cut-off Date).
o 73.2% Weighted Average Loan to Value ("LTV") as of the Cut-off Date.
o Property Types. 44.8% Retail (79.9% Anchored and 20.1% Unanchored),
24.8% Multifamily, 16.3% Office, 6.3% Hotel, 5.5%
Industrial/Warehouse and 1.3% Health Care.
o Geographic Diversification. Texas (10.2%), Florida (9.4%), New York
(8.4%), California (8.0%), Maryland (5.7%), Pennsylvania (5.7%); all
other states less than 5% each.
o Monthly Investor Reporting. Updated collateral summary information
will be part of the monthly remittance report in addition to
detailed P&I payment and delinquency information. Quarterly NOI and
Occupancy to the extent delivered by borrowers, will be available to
Certificateholders.
o Cash Flows will be Modeled on BLOOMBERG.
(Except as otherwise indicated, percentages (%) represent the principal
amount of loan or loans compared to aggregate pool balance, as of the
Cut-off Date (the "Initial Pool Balance."))
Page 3/10
================================================================================
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 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 LAW, THE FINAL
OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED HEREIN DOES
NOT PURPORT TO BE COPMPLETE 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 PREPAIRED 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 CASE ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES AND
WEIGHTED AVERAGE LOAN AGE, LOSS 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 THE UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE>
LB-CMT 98-C1 Structural Term Sheet (continued):
MORTGAGE LOANS: The collateral consists of an approximately
$1.775 billion pool of 261 fixed rate mortgage
loans secured by first liens on commercial and
multifamily properties in 36 different states. As
of the Cut-off Date, the Mortgage Loans have a
weighted average coupon ("WAC") of 7.603% and a
weighted average maturity ("WAM") of 131 months
(based upon the anticipated repayment date of ARD
loans).
See the Collateral Summary tables at the
end of this memo for more Mortgage Loan details.
CREDIT ENHANCEMENT: Credit enhancement for each class of Certificates
will be provided by the classes of Certificates
which are subordinate in priority with respect to
payments of interest and principal.
DISTRIBUTIONS: Principal and interest payments will generally be
made to Certificateholders in the following order:
1) Interest to the Senior Classes: Class A-1, Class
A-2, Class A-3 and Class IO, pro rata,
2) Principal to Class A-1 until such Class is
retired,*
3) Principal to Class A-2 until such Class is
retired,*
4) Principal to Class A-3 until such Class is
retired,*
5) Interest to Class B, then Principal to Class B
until such Class is retired,
6) Interest to Class C, then Principal to Class C
until such Class is retired,
7) Interest to Class D, then Principal to Class D
until such Class is retired,
8) Interest to Class E, then Principal to Class E
until such Class is retired,
9) Interest and Principal to the Private Classes,
sequentially.
* Pro rata if Classes B through M are
retired.
REALIZED LOSSES: Realized Losses from any Mortgage Loan will be
allocated in reverse sequential order (i.e. Classes
M, L, K, J, H, G, F, E, D, C, B and then pro-rata
to Classes A-1, A-2, and A-3).
APPRAISAL REDUCTIONS: With respect to certain Mortgage Loans as to which
an appraisal is required (including any Mortgage
Loan that becomes 60 days delinquent), an Appraisal
Reduction Amount may be created, in the amount, if
any, by which the Stated Principal Balance of such
Mortgage Loan, together with unadvanced interest,
unreimbursed P&I advances and certain other items,
exceeds 90% of the appraised value of the related
Mortgaged Property. The Appraisal Reduction Amount
will reduce proportionately the amount of any P&I
Advance for such loan, which reduction may result
in a shortfall of interest to the most subordinate
class of Principal Balance Certificates
outstanding. The Appraisal Reduction Amount will be
reduced to zero as of the date the related Mortgage
Loan has been brought current for three months,
paid in full, repurchased or otherwise liquidated,
and any shortfalls borne by the subordinate classes
may be made whole.
PREPAYMENT PREMIUMS (% represents % of Cut-off Date Balance):
<TABLE>
<CAPTION>
====================================================================================================================================
Prepayment 2/98 2/99 2/00 2/01 2/02 2/03 2/04 2/05 2/06 2/07 2/08
Premium
- - ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Lock-out 98.0% 98.0% 95.2% 80.3% 29.5% 24.8% 21.1% 13.8% 11.0% 9.6% 1.7%
- - ------------------------------------------------------------------------------------------------------------------------------------
Defeasance 2.4% 14.5% 50.5% 49.0% 49.2% 47.4% 48.3% 44.0% 17.6%
- - ------------------------------------------------------------------------------------------------------------------------------------
YM 0.1% 3.0% 16.3% 16.8% 18.4% 16.6% 18.0% 15.7% 3.6%
- - ------------------------------------------------------------------------------------------------------------------------------------
5% 0.2% 0.2% 0.4% 1.4% 0.2%
- - ------------------------------------------------------------------------------------------------------------------------------------
4% 0.2% 0.6% 1.4% 0.2% 0.2%
- - ------------------------------------------------------------------------------------------------------------------------------------
3% 2.0% 1.1% 1.1% 1.2% 1.0% 0.6% 1.9%
- - ------------------------------------------------------------------------------------------------------------------------------------
2% 0.9% 1.1% 1.1% 1.2% 1.0% 1.6% 2.1% 0.5%
- - ------------------------------------------------------------------------------------------------------------------------------------
1% 0.9% 0.9% 0.9% 1.2% 1.1% 2.7% 2.3% 0.8%
- - ------------------------------------------------------------------------------------------------------------------------------------
Open 1.8% 10.0% 0.3%
====================================================================================================================================
Matured 5.2% 5.2% 17.6% 17.6% 17.6% 75.6%
====================================================================================================================================
Total 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%
====================================================================================================================================
</TABLE>
*Note that Prepayment Premiums generally end prior to the last three to six
months before the Mortgage Loan's maturity date.
Page 4/10
================================================================================
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 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 LAW, THE FINAL
OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED HEREIN DOES
NOT PURPORT TO BE COPMPLETE 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 PREPAIRED 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 CASE ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES AND
WEIGHTED AVERAGE LOAN AGE, LOSS 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 THE UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE>
LB-CMT 98-C1 Structural Term Sheet (continued):
ALLOCATION OF PREPAYMENT PREMIUMS:
All Prepayment Premiums are distributed to
Certificateholders on the Distribution Date
following the one-month collection period in which
the prepayment occurred. All Prepayment Premiums
will be allocated to the Classes A through F, in
each case, up to the product of (i) the Prepayment
Premium, (ii) the "Discount Rate Fraction" and
(iii) the percentage of the total principal
distribution to Certificateholders to which such
Class is entitled. Any excess amounts will be
distributed to Class IO. The Discount Rate Fraction
for Classes A through F is defined as:
(Coupon on Class - Reinvestment Yield) /
(Coupon on Mortgage Loan - Reinvestment Yield)
PREPAYMENT PREMIUM ALLOCATION EXAMPLE:
The Yield Maintenance formulas for the Mortgage
Loans are calculated based upon various methods.
Under one method, the Yield Maintenance prepayment
premium will be equal to the present value of the
reduction in interest payments as a result of the
prepayment through the maturity of the Mortgage
Loan, discounted at the yield of a Treasury
security of similar maturity in most cases
(converted from semi-annual to monthly pay). The
following example reflects that method.
General Yield Maintenance Example:
Assuming the structure presented on pages 3 and 4
of this memo and the following assumptions:
Mortgage Loan Characteristics of loan being
prepaid*:
Balance $10,000,000
Coupon 8.0%
Maturity 10 yrs (February 1, 2008)
Amortization Term 30 yrs
Prepayment Date 3/1/98
Prepayment Premium Type Yield Maintenance (Treasuries flat)
Certificate Characteristics
Class A-1 Coupon 6.00%
* The Yield Maintenance formula for certain Mortgage Loans may result in a lower
Yield Maintenance prepayment premium than set forth in this example.
<TABLE>
<CAPTION>
===============================================================================================================================
Mortgage Class A-1 Class IO
Loan Certificates Certificates
===============================================================================================================================
<S> <C> <C> <C>
Amount of Principal Prepayment $10,000,000 $10,000,000 N/A
- - -------------------------------------------------------------------------------------------------------------------------------
Maturity Date of the Mortgage Loan 2/01/08
Number of Payments (1) 120
- - -------------------------------------------------------------------------------------------------------------------------------
Treasury Note used for Reinvestment Yield (2) 7.875% 11/07
Treasury Yield (CBE) 5.563%
Reinvestment Yield (Mtg) (3) 5.500%
- - -------------------------------------------------------------------------------------------------------------------------------
Mortgage Rate 8.00%
Payment Differential ($ per month) (4) $20,833.33
- - -------------------------------------------------------------------------------------------------------------------------------
Certificate Pass-Through Rate 6.00%
- - -------------------------------------------------------------------------------------------------------------------------------
Total Prepayment Premium $1,919,658
- - -------------------------------------------------------------------------------------------------------------------------------
Discount Rate Fraction Calculation (6.00% - 5.500%) / excess
(Class A-1 Coupon - Reinvestment Yield) / (8.00% - 5.500%) = prepayment
(Gross Mortgage Rate - Reinvestment Yield) = 0.5 / 2.5 = premiums
- - -------------------------------------------------------------------------------------------------------------------------------
$ Premium allocated to each class $383,931.60 $1,535,726.40
===============================================================================================================================
</TABLE>
(1) The number of payments to discount for yield maintenance prepayment
premium computation.
(2) The yield on the treasury note with a maturity date closest to the
maturity date of the loan.
(3) The Reinvestment Yield used is the mortgage equivalent of the CBE
treasury yield.
(4) (Mortgage Rate - Reinvestment Yield) x (amount of Principal
Prepayment) / 12 used for 120 payments.
Page 5/10
================================================================================
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 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 LAW, THE FINAL
OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED HEREIN DOES
NOT PURPORT TO BE COPMPLETE 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 PREPAIRED 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 CASE ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES AND
WEIGHTED AVERAGE LOAN AGE, LOSS 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 THE UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE>
LB-CMT 98-C1 Structural Term Sheet (continued):
ADVANCING: The Master Servicer will be obligated to make advances
of scheduled principal and interest payments (excluding
balloon payments and Appraisal Reduction Amounts) and
certain servicing expenses ("Advances"), to the extent
that such Advances are deemed to be recoverable. If the
Master Servicer fails to make a required Advance, the
Trustee or Fiscal Agent will be obligated to make such
advances.
CONTROLLING CLASS
REPRESENTATIVE: A Controlling Class Representative will be appointed by
a majority of Certificateholders of the Controlling
Class, which will generally be the most subordinate
class with a Certificate Balance outstanding that is at
least 25% of the initial Certificate Balance of such
Class. The Controlling Class Representative will,
subject to certain limitations, be entitled to direct
the Special Servicer on how to resolve delinquent or
defaulted loans.
SPECIAL SERVICER
FLEXIBILITY: The Pooling and Servicing Agreement will generally
permit the Special Servicer to modify, waive or amend
any term of any Mortgage Loan if (a) it determines, in
accordance with the servicing standard, that it is
appropriate to do so and (b) such modification, waiver
or amendment will not, subject to certain exceptions:
(i) affect the amount or timing of any
scheduled payments of principal, interest
or other amount (including Prepayment
Premiums and Yield Maintenance Charges)
payable under the Mortgage Loan;
(ii) affect the obligation of the related
borrower to pay a Prepayment Premium or
Yield Maintenance Charge or permit a
principal prepayment during the applicable
Lockout Period;
(iii) except as expressly provided by the related
Mortgage or in connection with a material
adverse environmental condition at the
related Mortgaged Property, result in a
release of the lien of the related Mortgage
on any material portion of such Mortgaged
Property without a corresponding principal
prepayment, or;
(iv) in the judgment of the Special Servicer,
materially impair the security for the
Mortgage Loan or reduce the likelihood of
timely payment of amounts due thereon.
SPECIAL AND GMAC COMMERCIAL MORTGAGE CORPORATION ("GMAC")
MASTER SERVICER: As of December 31, 1997, GMAC had a total commercial
and multifamily mortgage loan servicing portfolio
(including loans serviced for its own account and for
others) of approximately $40.2 billion.
MINIMUM DENOMINATIONS:
Minimum Increments
Classes Denomination Thereafter Delivery
- - --------------------------------------------------------------------------------
A-1, A-2, A-3, B, C, D, and E $10,000 $1 DTC
- - --------------------------------------------------------------------------------
IO $100,000 $1 DTC
DETAILED MONTHLY INVESTOR REPORTING:
Updated collateral summary information will be a part
of the monthly remittance report in addition to
detailed P&I payment and delinquency information.
Quarterly NOI and Occupancy data, to the extent
delivered by the borrowers, will be available to
Certificateholders through the Trustee. The following
is a list of all the reports that will be available to
Certificateholders:
<TABLE>
<CAPTION>
Name of Report Description (information provided)
- - ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
1 Remittance Report principal and interest distributions, principal balances
- - ---------------------------------------------------------------------------------------------------------------------
2 Mortgage Loan Status Report portfolio stratifications
- - ---------------------------------------------------------------------------------------------------------------------
3 Comparative Financial Status Report revenue, NOI, DSCR to the extent available
- - ---------------------------------------------------------------------------------------------------------------------
4 Delinquent Loan Status Report listing of delinquent mortgage loans
- - ---------------------------------------------------------------------------------------------------------------------
5 Historical Loan Modification Report information on modified mortgage loans
- - ---------------------------------------------------------------------------------------------------------------------
6 Historical Loss Estimate Report liquidation proceeds, expenses, and realized losses
- - ---------------------------------------------------------------------------------------------------------------------
7 REO Status Report NOI and value of REO
- - ---------------------------------------------------------------------------------------------------------------------
8 Watch List listing of loans in jeopardy of becoming Specially Serviced
- - ---------------------------------------------------------------------------------------------------------------------
9 Loan Payoff Notification Report listing of loans that have given notice of intent to payoff
</TABLE>
Page 6/10
================================================================================
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 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 LAW, THE FINAL
OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED HEREIN DOES
NOT PURPORT TO BE COPMPLETE 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 PREPAIRED 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 CASE ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES AND
WEIGHTED AVERAGE LOAN AGE, LOSS 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 THE UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE>
COLLATERAL OVERVIEW (as of the cut-off date - February 1, 1998):
GENERAL CHARACTERISTICS
================================================
Characteristics
- - ------------------------------------------------
Initial Pool Balance $1,775,167,073
- - ------------------------------------------------
# of Loans 261
- - ------------------------------------------------
Gross WAC 7.603%
- - ------------------------------------------------
Original WAM 134(mos)
- - ------------------------------------------------
Remaining WAM 131(mos)
- - ------------------------------------------------
Avg. Loan Balance $6,801,406
- - ------------------------------------------------
WA DSCR 1.34x
- - ------------------------------------------------
WA Cut-off Date LTV Ratio 73.2%
- - ------------------------------------------------
Balloon Loans 62.3%
- - ------------------------------------------------
ARD Loans 30.1%
================================================
PROPERTY TYPES
===============================================
Property % of Initial Pool
Types Balance
- - ----------------------------------------------
Retail 44.8
- - ----------------------------------------------
Multifamily 24.8
- - ----------------------------------------------
Office 16.3
- - ----------------------------------------------
Hotel 6.3
- - ----------------------------------------------
Industrial/Warehouse 5.5
- - ----------------------------------------------
Health Care 1.3
- - ----------------------------------------------
Self Storage 0.6
- - ----------------------------------------------
Mobile Home Park 0.2
- - ----------------------------------------------
Parking Garage 0.1
==============================================
<TABLE>
<CAPTION>
DEAL SUMMARY BY PROPERTY TYPE:
- - -----------------------------------------------------------------------------------------------------------------------------------
Aggregate % of Average Rem WA WA
# of Initial Pool Initial Initial Pool Gross WAM LTV WA Occup. % %
Property Type Loans Balance ($) Pool Balance ($) WAC (%) (mos) Ratio (%) DSCR (x) Rate (%)(1) CA Balloon
- - -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Retail 103 794,883,450 44.8 7,717,315 7.68 130 73.0 1.33 95.9 4.5 25.1
- - -----------------------------------------------------------------------------------------------------------------------------------
Anchored 64 635,228,678 35.8 9,925,448 7.68 131 73.3 1.32 95.7 3.8 18.0
- - -----------------------------------------------------------------------------------------------------------------------------------
Unanchored 39 159,654,772 9.0 4,093,712 7.70 126 71.6 1.39 96.5 0.7 7.1
- - -----------------------------------------------------------------------------------------------------------------------------------
Multifamily 75 440,621,293 24.8 5,874,951 7.42 127 76.9 1.31 94.3 2.0 17.4
- - -----------------------------------------------------------------------------------------------------------------------------------
Conventional 72 424,398,139 23.9 5,894,419 7.42 127 77.0 1.31 94.3 2.0 16.5
- - -----------------------------------------------------------------------------------------------------------------------------------
Section 42 3 16,223,153 0.9 5,407,718 7.30 118 75.2 1.24 94.1 - 0.9
- - -----------------------------------------------------------------------------------------------------------------------------------
Office 50 289,905,060 16.3 5,798,101 7.67 130 70.4 1.34 96.6 0.8 11.0
- - -----------------------------------------------------------------------------------------------------------------------------------
Hotel 9 112,290,555 6.3 12,476,728 7.50 145 71.3 1.52 - - 4.6
- - -----------------------------------------------------------------------------------------------------------------------------------
Full Service 4 59,471,100 3.4 14,867,775 7.51 125 72.5 1.47 - - 3.2
- - -----------------------------------------------------------------------------------------------------------------------------------
Limited Service 5 52,819,455 3.0 10,563,891 7.50 167 69.9 1.58 - - 1.4
- - -----------------------------------------------------------------------------------------------------------------------------------
Industrial/W'hse 16 97,954,817 5.5 6,122,176 7.70 153 68.5 1.39 98.3 0.3 2.3
- - -----------------------------------------------------------------------------------------------------------------------------------
Health Care 3 23,216,532 1.3 7,738,844 7.49 134 75.7 1.46 94.2 0.4 1.3
- - -----------------------------------------------------------------------------------------------------------------------------------
Assisted Living/ 1 9,740,102 0.5 9,740,102 7.66 118 73.8 1.46 93.0 - 0.5
Skilled Nursing
- - -----------------------------------------------------------------------------------------------------------------------------------
Congregate Care 1 7,481,807 0.4 7,481,807 7.13 118 79.6 1.37 100.0 0.4 0.4
- - -----------------------------------------------------------------------------------------------------------------------------------
Assisted Living 1 5,994,623 0.3 5,994,623 7.67 179 74.0 1.57 89.0 - 0.3
- - -----------------------------------------------------------------------------------------------------------------------------------
Self Storage 3 11,147,050 0.6 3,715,683 8.00 116 66.0 1.45 89.4 - 0.6
- - -----------------------------------------------------------------------------------------------------------------------------------
Mobile Home Park 1 2,900,000 0.2 2,900,000 7.11 120 75.3 1.37 96.0 - -
- - -----------------------------------------------------------------------------------------------------------------------------------
Parking Garage 1 2,248,317 0.1 2,248,317 7.46 119 72.5 1.36 100.0 - -
===================================================================================================================================
Total/Avg/Min/Max/ 261 1,775,167,073 100.0 6,801,406 7.60 131 73.2 1.34 95.7 8.0 62.3
Wtd.Avg.:
- - -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Excluding Hotels.
Page 7/10
================================================================================
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 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 LAW, THE FINAL
OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED HEREIN DOES
NOT PURPORT TO BE COPMPLETE 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 PREPAIRED 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 CASE ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES AND
WEIGHTED AVERAGE LOAN AGE, LOSS 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 THE UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE>
COLLATERAL OVERVIEW (as of the cut-off date - February 1, 1998):
DEAL SUMMARY BY PROPERTY TYPE (continued):
<TABLE>
<CAPTION>
- - ------------------------------------------------------------------------------------------------------------------------------------
Aggregate % of Average Minimum Maximum Gross
Property # of Inital Pool Initial Initial Pool Initial Pool Initial Pool WAC
Type Loans Balance Pool Balance Balance Balance
- - ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Retail 103 794,883,450 44.8 7,717,315 664,323 62,467,513 7.68
- - ------------------------------------------------------------------------------------------------------------------------------------
Anchored 64 635,228,678 35.8 9,925,448 1,455,349 62,467,513 7.68
- - ------------------------------------------------------------------------------------------------------------------------------------
Unanchored 39 159,654,772 9.0 4,093,712 664,323 11,477,744 7.70
- - ------------------------------------------------------------------------------------------------------------------------------------
Multifamily 75 440,621,293 24.8 5,874,951 958,972 33,180,421 7.42
- - ------------------------------------------------------------------------------------------------------------------------------------
Conventional 72 424,398,139 23.9 5,894,419 958,972 33,180,421 7.42
- - ------------------------------------------------------------------------------------------------------------------------------------
Section 42 3 16,223,153 0.9 5,407,718 2,038,367 11,986,547 7.30
- - ------------------------------------------------------------------------------------------------------------------------------------
Office 50 289,905,060 16.3 5,798,101 613,738 31,382,675 7.67
- - ------------------------------------------------------------------------------------------------------------------------------------
Hotel 9 112,290,555 6.3 12,476,728 2,696,562 20,360,654 7.50
- - ------------------------------------------------------------------------------------------------------------------------------------
Full Service 4 59,471,100 3.4 14,867,775 2,696,562 20,360,654 7.51
- - ------------------------------------------------------------------------------------------------------------------------------------
Limited Service 5 52,819,455 3.0 10,563,891 4,625,654 17,944,805 7.50
- - ------------------------------------------------------------------------------------------------------------------------------------
Industrial/W'hse 16 97,954,817 5.5 6,122,176 1,097,047 17,735,508 7.70
- - ------------------------------------------------------------------------------------------------------------------------------------
Health Care 3 23,216,532 1.3 7,738,844 5,994,623 9,740,102 7.49
- - ------------------------------------------------------------------------------------------------------------------------------------
Assisted Living/ 1 9,740,102 0.5 9,740,102 9,740,102 9,740,102 7.66
Skilled Nursing
- - ------------------------------------------------------------------------------------------------------------------------------------
Congregate Care 1 7,481,807 0.4 7,481,807 7,481,807 7,481,807 7.13
- - ------------------------------------------------------------------------------------------------------------------------------------
Assisted Living 1 5,994,623 0.3 5,994,623 5,994,623 5,994,623 7.67
- - ------------------------------------------------------------------------------------------------------------------------------------
Self Storage 3 11,147,050 0.6 3,715,683 1,998,192 4,656,636 8.00
- - ------------------------------------------------------------------------------------------------------------------------------------
Mobile Home Park 1 2,900,000 0.2 2,900,000 2,900,000 2,900,000 7.11
- - ------------------------------------------------------------------------------------------------------------------------------------
Parking Garage 1 2,248,317 0.1 2,248,317 2,248,317 2,248,317 7.46
====================================================================================================================================
Total/Avg/Min/Max/ 261 1,775,167,073 100.0 6,801,406 613,738 62,467,513 7.60
Wtd.Avg.:
- - ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- - -----------------------------------------------------------------------------------------------------------------------------
Min Max Min Max WA Min Max WA Min Max
Property WAC WAC WAM WAM DSCR DSCR DSCR LTV LTV LTV
Type Ratio Ratio Ratio
- - -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Retail 6.97 9.05 59 360 1.33 1.21 1.82 73.0 50.5 80.0
- - -----------------------------------------------------------------------------------------------------------------------------
Anchored 6.97 9.05 59 360 1.32 1.21 1.80 73.3 50.5 80.0
- - -----------------------------------------------------------------------------------------------------------------------------
Unanchored 7.14 8.46 78 229 1.39 1.25 1.82 71.6 55.4 77.8
- - -----------------------------------------------------------------------------------------------------------------------------
Multifamily 6.98 8.57 58 299 1.31 1.19 1.72 76.9 58.8 80.0
- - -----------------------------------------------------------------------------------------------------------------------------
Conventional 6.98 8.57 58 299 1.31 1.19 1.72 77.0 58.8 80.0
- - -----------------------------------------------------------------------------------------------------------------------------
Section 42 7.12 7.36 118 119 1.24 1.22 1.24 75.2 73.5 79.9
- - -----------------------------------------------------------------------------------------------------------------------------
Office 7.03 9.17 58 297 1.34 1.24 2.13 70.4 28.0 78.8
- - -----------------------------------------------------------------------------------------------------------------------------
Hotel 7.36 7.97 117 275 1.52 1.40 2.05 71.3 54.4 77.4
- - -----------------------------------------------------------------------------------------------------------------------------
Full Service 7.36 7.97 117 275 1.47 1.40 1.91 72.5 57.4 77.4
- - -----------------------------------------------------------------------------------------------------------------------------
Limited Service 7.38 7.83 117 239 1.58 1.46 2.05 69.9 54.4 74.8
- - -----------------------------------------------------------------------------------------------------------------------------
Industrial/W'hse 7.09 8.12 81 239 1.39 1.28 1.74 68.5 55.5 80.0
- - -----------------------------------------------------------------------------------------------------------------------------
Health Care 7.13 7.67 118 179 1.46 1.37 1.57 75.7 73.8 79.6
- - -----------------------------------------------------------------------------------------------------------------------------
Assisted Living/ 7.66 7.66 118 118 1.46 1.46 1.46 73.8 73.8 73.8
Skilled Nursing
- - -----------------------------------------------------------------------------------------------------------------------------
Congregate Care 7.13 7.13 118 118 1.37 1.37 1.37 79.6 79.6 79.6
- - -----------------------------------------------------------------------------------------------------------------------------
Assisted Living 7.67 7.67 179 179 1.57 1.57 1.57 74.0 74.0 74.0
- - -----------------------------------------------------------------------------------------------------------------------------
Self Storage 7.84 8.17 114 118 1.45 1.33 1.60 66.0 58.2 71.8
- - -----------------------------------------------------------------------------------------------------------------------------
Mobile Home Park 7.11 7.11 120 120 1.37 1.37 1.37 75.3 75.3 75.3
- - -----------------------------------------------------------------------------------------------------------------------------
Parking Garage 7.46 7.46 119 119 1.36 1.36 1.36 72.5 72.5 72.5
=============================================================================================================================
Total/Avg/Min/Max/ 6.97 9.17 58 360 1.34 1.19 2.13 73.2 28.0 80.0
Wtd.Avg.:
- - -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 8/10
================================================================================
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 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 LAW, THE FINAL
OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED HEREIN DOES
NOT PURPORT TO BE COPMPLETE 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 PREPAIRED 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 CASE ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES AND
WEIGHTED AVERAGE LOAN AGE, LOSS 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 THE UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE>
COLLATERAL OVERVIEW (as of the cut-off date - February 1, 1998):
LOAN SIZE DISTRIBUTION
====================================================================
% of Initial
Balance Ranges ($) # of Loans Pool Balance
- - --------------------------------------------------------------------
613,738 - 2,000,000 30 2.5
- - --------------------------------------------------------------------
2,000,001 - 4,000,000 72 11.5
- - --------------------------------------------------------------------
4,000,001 - 6,000,000 61 16.9
- - --------------------------------------------------------------------
6,000,001 - 8,000,000 27 10.3
- - --------------------------------------------------------------------
8,000,001 - 10,000,000 20 10.4
- - --------------------------------------------------------------------
10,000,001 - 12,000,000 14 8.9
- - --------------------------------------------------------------------
12,000,001 - 14,000,000 9 6.5
- - --------------------------------------------------------------------
14,000,001 - 16,000,000 8 6.6
- - --------------------------------------------------------------------
16,000,001 - 18,000,000 6 5.8
- - --------------------------------------------------------------------
18,000,001 - 20,000,000 8 8.6
- - --------------------------------------------------------------------
20,000,001 - 22,000,000 1 1.1
- - --------------------------------------------------------------------
22,000,001 - 24,000,000 1 1.3
- - --------------------------------------------------------------------
30,000,001 - 32,000,000 1 1.8
- - --------------------------------------------------------------------
32,000,001 - 34,000,000 1 1.9
- - --------------------------------------------------------------------
40,000,001 - 42,000,000 1 2.4
- - --------------------------------------------------------------------
62,000,001 - 62,467,513 1 3.5
====================================================================
Minimum Balance: $ 613,738
Maximum Balance: $62,467,513
Average Balance: $ 6,801,406
GROSS RATE DISTRIBUTION
===============================================
Gross Rate % of Initial
(%) Pool Balance
- - ----------------------------------------------
6.970 - 6.999% 3.8
- - ----------------------------------------------
7.000 - 7.249% 14.0
- - ----------------------------------------------
7.250 - 7.499% 28.7
- - ----------------------------------------------
7.500 - 7.749% 27.1
- - ----------------------------------------------
7.750 - 7.999% 9.2
- - ----------------------------------------------
8.000 - 8.249% 9.2
- - ----------------------------------------------
8.250 - 8.499% 2.7
- - ----------------------------------------------
8.500 - 8.749% 2.1
- - ----------------------------------------------
8.750 - 8.999% 1.8
- - ----------------------------------------------
9.000 - 9.170% 1.3
==============================================
Minimum WAC: 6.970%
Maximum WAC: 9.170%
Weighted Avg. WAC: 7.603%
REMAINING TERMS TO MATURITY*
==========================================
% of Initial
Months Pool Balance
- - ------------------------------------------
49 - 60 5.2
- - ------------------------------------------
73 - 84 12.4
- - ------------------------------------------
109 - 120 58.1
- - ------------------------------------------
133 - 144 1.1
- - ------------------------------------------
145 - 156 1.0
- - ------------------------------------------
169 - 180 13.3
- - ------------------------------------------
217 - 228 0.1
- - ------------------------------------------
229 - 240 5.6
- - ------------------------------------------
265 - 276 0.2
- - ------------------------------------------
289 - 300 2.5
- - ------------------------------------------
349 - 360 0.7
==========================================
Minimum Remaining
Term to Maturity: 58 months
Maximum Remaining
Term to Maturity: 360 months
Weighted Average
Remaining Term to Maturity: 131 months
* Assumes ARD Loans pay off on their anticipated repayment date.
REMAINING AMORTIZATION TERM
===============================================
% of Initial
Months Pool Balance
- - -----------------------------------------------
181 - 192 0.1
- - -----------------------------------------------
217 - 228 0.1
- - -----------------------------------------------
229 - 240 6.2
- - -----------------------------------------------
265 - 276 0.5
- - -----------------------------------------------
277 - 288 0.2
- - -----------------------------------------------
289 - 300 18.4
- - -----------------------------------------------
313 - 324 0.1
- - -----------------------------------------------
325 - 336 0.3
- - -----------------------------------------------
349 - 360 74.1
===============================================
Minimum Remaining
Amortization Term: 189 months
Maximum Remaining
Amortization Term: 360 months
Weighted Average
Amortization Term: 338 months
Page 9/10
================================================================================
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 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 LAW, THE FINAL
OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED HEREIN DOES
NOT PURPORT TO BE COPMPLETE 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 PREPAIRED 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 CASE ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES AND
WEIGHTED AVERAGE LOAN AGE, LOSS 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 THE UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE>
COLLATERAL OVERVIEW (as of the cut-off date - February 1, 1998):
DEBT SERVICE COVERAGE RATIOS
================================================
% of Initial
DSCR Ranges (x) Pool Balance
- - ------------------------------------------------
1.19 - 1.24 14.3
- - ------------------------------------------------
1.25 - 1.29 26.7
- - ------------------------------------------------
1.30 - 1.34 19.1
- - ------------------------------------------------
1.35 - 1.39 16.5
- - ------------------------------------------------
1.40 - 1.44 6.6
- - ------------------------------------------------
1.45 - 1.49 7.9
- - ------------------------------------------------
1.50 - 1.54 1.4
- - ------------------------------------------------
1.55 - 1.59 2.6
- - ------------------------------------------------
1.60 - 1.64 1.1
- - ------------------------------------------------
1.65 - 1.69 0.9
- - ------------------------------------------------
1.70 - 1.74 0.8
- - ------------------------------------------------
1.80 - 1.84 1.3
- - ------------------------------------------------
1.90 - 1.94 0.2
- - ------------------------------------------------
2.05 - 2.14 0.6
================================================
Minimum DSCR: 1.19x
Maximum DSCR: 2.13x
Weighted Average DSCR: 1.34x
LOAN TO VALUE % (LTV)
====================================================
% of Initial
LTV Ranges Pool Balance
- - ----------------------------------------------------
25.01 - 30.00 0.2
- - ----------------------------------------------------
45.01 - 50.00 0.6
- - ----------------------------------------------------
50.01 - 55.00 2.2
- - ----------------------------------------------------
55.01 - 60.00 2.7
- - ----------------------------------------------------
60.01 - 65.00 2.9
- - ----------------------------------------------------
65.01 - 70.00 11.3
- - ----------------------------------------------------
70.01 - 75.00 42.2
- - ----------------------------------------------------
75.01 - 80.00 37.8
====================================================
Minimum LTV: 28.0%
Maximum LTV: 80.0%
Weighted Average LTV: 73.2%
STATE DISTRIBUTION
=============================================
% of Initial
State Pool Balance
- - ---------------------------------------------
Texas 10.2
- - ---------------------------------------------
Florida 9.4
- - ---------------------------------------------
New York 8.4
- - ---------------------------------------------
California 8.0
- - ---------------------------------------------
Maryland 5.7
- - ---------------------------------------------
Pennsylvania 5.7
- - ---------------------------------------------
Tennessee 4.9
- - ---------------------------------------------
Nevada 4.0
- - ---------------------------------------------
Ohio 3.9
- - ---------------------------------------------
Connecticut 3.6
- - ---------------------------------------------
Other* 36.2
=============================================
* No other state greater than 3.5%.
Page 10/10
================================================================================
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
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MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT AND THE
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INC. OR ANY AFFILIATE. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPAIRED AND
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RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES AND
WEIGHTED AVERAGE LOAN AGE, LOSS AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
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AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
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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).
