================================================================================
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) March 14, 2000
Structured Asset Securities Corporation
(Exact Name of Registrant as Specified in Its Charter)
Delaware 333-49129 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 April 2000, a single series of certificates,
expected to be titled LB-UBS, Commercial Mortgage Pass-Through Certificates,
Series 2000-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") and a master servicer, a special servicer and a
trustee. It is expected that certain classes of the Certificates (the
"Underwritten Certificates") will be registered under the Registrant's
registration statement on Form S-3 (no. 333-49129) and sold to Lehman Brothers
Inc., Warburg Dillon Read LLC, Morgan Stanley & Co. Incorporated and Deutsche
Bank Securities Inc. (collectively, the "Underwriters") pursuant to an
underwriting agreement to be entered into by and among the Registrant and the
Underwriters.
In connection with the expected sale of the Underwritten
Certificates, the Registrant has been advised that prospective investors have
been furnished certain information, attached hereto as Exhibits 99.1 and 99.2,
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/or "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 materials attached hereto have been prepared and provided to the
Registrant with respect to the Underwritten Certificates. The information in
such materials is preliminary and will be superseded by a final prospectus
relating to the Underwritten Certificates and by any other information
subsequently filed with the Commission. To the extent any materials previously
filed by the Registrant with respect to the Underwritten Certificates are
inconsistent with the materials attached hereto, such previously filed materials
are superseded by the materials attached hereto.
Item 7. Financial Statements and Exhibits.
(a) Financial statements of businesses acquired:
Not applicable.
(b) Pro forma financial information:
Not applicable.
<PAGE>
(c) Exhibits:
Exhibit No. Description
99.1 Certain materials constituting Computational Materials and/or ABS
Term Sheets and disseminated in connection with the expected sale of
the Underwritten Certificates.
99.2 Certain materials constituting Computational Materials and/or ABS
Term Sheets and disseminated in connection with the expected sale of
the Underwritten Certificates.
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: March 14, 2000
STRUCTURED ASSET SECURITIES
CORPORATION
By: /s/ Mary Pat Archer
----------------------------------
Name: Mary Pat Archer
Title: Managing Director
<PAGE>
EXHIBIT INDEX
The following exhibits are filed herewith:
Exhibit No.
- - -----------
99.1 Certain materials constituting Computational Materials and/or ABS
Term Sheets and disseminated in connection with the expected sale of
the Underwritten Certificates.
99.2 Certain materials constituting Computational Materials and/or ABS
Term Sheets and disseminated in connection with the expected sale of
the Underwritten Certificates.
Annex B
LB-UBS Commercial Mortgage Trust 2000-C1
Commercial Mortgage Pass-Through Certificates
Series 2000-C1
$1,370,873,184
(Approximate)
Initial Mortgage Pool Balance
[The following table was depicted as a map of the 48 contiguous United States.]
% of Initial Pool by
Cut-off Date Balance
--------------------
Alabama 0.8%
Arizona 1.3%
Arkansas 0.6%
California 15.0%
Colorado 12.4%
Connecticut 2.2%
Delaware
Florida 2.8%
Georgia 4.8%
Hawaii
Idaho
Illinois 2.3%
Indiana 0.6%
Iowa
Kansas
Kentucky
Louisiana 2.3%
Maine
Maryland 13.8%
Massachusetts 1.3%
Michigan 0.2%
Minnesota 0.8%
Mississippi 3.0%
Missouri 0.2%
Montana
Nebraska
Nevada 0.8%
New Hampshire 0.3%
New Jersey 5.5%
New Mexico
New York 14.1%
North Carolina 2.9%
North Dakota
Ohio 0.1%
Oklahoma 0.2%
Oregon 0.2%
Pennsylvania 2.1%
Rhode Island
South Carolina 0.4%
South Dakota
Tennessee 0.4%
Texas 8.1%
Utah 0.2%
Vermont
Virginia
Washington 0.2%
West Virginia
Wisconsin
Wyoming
Warburg Dillon Read LEHMAN BROTHERS
MORGAN STANLEY DEAN WITTER DEUTSCHE BANC ALEX.BROWN
Page 1 of 16
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 ACT OF 1933, 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 SELLERS OF THOSE UNDERLYING ASSETS,
THE ISSUER OF THE SECURITIES OR THEIR RESPECTIVE AFFILIATES AND HAS NOT BEEN
INDEPENDENTLY VERIFIED BY THE UNDERWRITERS OR THEIR RESPECTIVE AFFILIATES. THE
ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND DISSEMINATED BY THE
UNDERWRITERS AND NOT 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
AND WEIGHTED AVERAGE LOAN AGE, LOSS AND OTHER MATTERS, INCLUDING, BUT NOT
LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. NEITHER THE
UNDERWRITERS NOR ANY OF THEIR RESPECTIVE AFFILIATES MAKES ANY 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 HEROF AND BY THE OFFERING DOCUMENT).
<PAGE>
LB-UBS 2000-C1 Structural and Collateral Term Sheet (continued):
LB-UBS Commercial Mortgage Trust 2000-C1
Commercial Mortgage Pass-Through Certificates
Series 2000-C1
Credit
Support
-----------------------------------------------------
20.25% Class A-1
-----------------------------------
20.25% Class A-2
-----------------------------------
14.75% Class B
-----------------------------------
11.00% Class C
-----------------------------------
9.50% Class D
-----------------------------------
8.50% Class E
-----------------------------------
7.50% Class F Class X
-----------------------------------
6.60% Class G
-----------------------------------
5.00% Class H
-----------------------------------
3.75% Class J
-----------------------------------
3.00% Class K
-----------------------------------
2.20% Class L
-----------------------------------
1.30% Class M
-----------------------------------
1.00% Class N
-----------------------------------
N/A Class P
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<TABLE>
<CAPTION>
====================================================================================================================================
Class Original Face Ratings Coupon Initial Avg Life(2) Principal Legal
Amount (Moody's/Fitch) Description(1) Coupon (years) Window(2) Status
====================================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C>
A-1 $395,000,000 Aaa/AAA Capped WAC 5.728 04/00 - 05/09 Public
- - ------------------------------------------------------------------------------------------------------------------------------------
A-2 698,271,000 Aaa/AAA Capped WAC 9.567 05/09 - 01/10 Public
- - ------------------------------------------------------------------------------------------------------------------------------------
B 75,398,000 Aa2/AA Capped WAC 9.775 01/10 - 01/10 Public
- - ------------------------------------------------------------------------------------------------------------------------------------
C 51,408,000 A2/A Capped WAC 9.799 01/10 - 02/10 Public
- - ------------------------------------------------------------------------------------------------------------------------------------
D 20,563,000 A3/A- Capped WAC 9.858 02/10 - 02/10 Public
- - ------------------------------------------------------------------------------------------------------------------------------------
E 13,708,000 Baa1/BBB+ Capped WAC 9.858 02/10 - 02/10 Public
- - ------------------------------------------------------------------------------------------------------------------------------------
F 13,709,000 Baa2/BBB Capped WAC 9.858 02/10 - 02/10 Public
- - ------------------------------------------------------------------------------------------------------------------------------------
G 12,338,000 Baa3/BBB- Capped WAC 9.858 02/10 - 02/10 Public
- - ------------------------------------------------------------------------------------------------------------------------------------
H 21,934,000 (5) Capped WAC 9.858 02/10 - 02/10 Private 144A
- - ------------------------------------------------------------------------------------------------------------------------------------
J 17,136,000 (5) Capped WAC 9.858 02/10 - 02/10 Private 144A
- - ------------------------------------------------------------------------------------------------------------------------------------
K 10,281,000 (5) Capped WAC 9.903 02/10 - 03/10 Private 144A
- - ------------------------------------------------------------------------------------------------------------------------------------
L 10,967,000 (5) Capped WAC 9.983 03/10 - 04/10 Private 144A
- - ------------------------------------------------------------------------------------------------------------------------------------
M 12,338,000 (5) Capped WAC 10.227 04/10 - 02/11 Private 144A
- - ------------------------------------------------------------------------------------------------------------------------------------
N 4,113,000 (5) Capped WAC 12.359 02/11 - 01/14 Private 144A
- - ------------------------------------------------------------------------------------------------------------------------------------
P 13,709,183 (5) Capped WAC 17.246 01/14 - 03/20 Private 144A
- - ------------------------------------------------------------------------------------------------------------------------------------
X 1,370,873,183(3) Aaa/AAA WAC I/O 8.599 (4) 04/00 - 03/20 Public
====================================================================================================================================
Total $1,370,873,183 -- -- -- -- -- --
====================================================================================================================================
</TABLE>
(1) "Capped WAC" describes a coupon equal to the lesser of the initial coupon
for the subject class and a weighted average of the net mortgage interest
rates on the underlying mortgage loans.
(2) Expected assuming among other things, 0% CPR, no losses and that ARD loans
pay off on their anticipated repayment date.
(3) Represents notional amount on Class X.
(4) Represents average life of notional amount of Class X.
(5) Not offered hereby.
Page 2 of 16
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 ACT OF 1933, 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 SELLERS OF THOSE UNDERLYING ASSETS,
THE ISSUER OF THE SECURITIES OR THEIR RESPECTIVE AFFILIATES AND HAS NOT BEEN
INDEPENDENTLY VERIFIED BY THE UNDERWRITERS OR THEIR RESPECTIVE AFFILIATES. THE
ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND DISSEMINATED BY THE
UNDERWRITERS AND NOT 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
AND WEIGHTED AVERAGE LOAN AGE, LOSS AND OTHER MATTERS, INCLUDING, BUT NOT
LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. NEITHER THE
UNDERWRITERS NOR ANY OF THEIR RESPECTIVE AFFILIATES MAKES ANY 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 HEROF AND BY THE OFFERING DOCUMENT).
<PAGE>
LB-UBS 2000-C1 Structural and Collateral Term Sheet (continued):
CERTAIN OFFERING POINTS
o First Ever Public CMBS "E-Bond" Offering by Lehman Brothers
Inc. and Warburg Dillon Read LLC. This transaction will be the
first public CMBS transaction to be offered by Lehman Brothers
Inc. and Warburg Dillon Read LLC over the Internet. Subject to
approval, investors will have access to the Internet site
through Lehman Brothers' Client Access Site at:
www.client.lehman.com. The Client Access Site will also allow
investors to place orders over the Internet if they so desire.
On the site, investors will be provided with: 1) General
details of the offering (summary of terms, structural
highlights, parties involved in the transaction, etc.), 2)
Informational materials such as the transaction summary book,
structural and collateral term sheets and links to the
Bloomberg slide show, 3) Roadshow schedule, 4)
Preliminary/Final Prospectus Supplement and 5) Base
Prospectus.
o Newly Originated Collateral. The collateral consists of 190
mortgage loans (the "Mortgage Loans") with a principal
balance, as of March 11, 2000 (the "Cut-Off Date"), of
approximately $1.37 billion. All of the mortgage loans were
originated by affiliates of Lehman Brothers Inc. as well as
affiliates of Warburg Dillon Read, directly or through conduit
correspondents.
o Call Protection. 100% of the Mortgage Loans contain call
protection provisions. As of the Cut-Off Date, 100.00% of the
Mortgage Loans provide for an initial lockout period. The
weighted average initial lockout period for all loans is 3.2
years. Following their initial lockout periods, 155 Mortgage
Loans prohibit voluntary prepayments but permit defeasance for
some part of their remaining terms. The Mortgage Loans are
generally prepayable without penalty between zero to six
months from Mortgage Loan maturity or anticipated repayment
date ("ARD"), with a weighted average open period of 2.5
months.
o Weighted average remaining lock-out and treasury
defeasance(for defeasance loans only) of 9.3 years.
o No loan delinquent 30 days or more as of the Cut-Off Date.
o $7,215,122 average loan balance as of the Cut-Off Date.
o 1.44x Weighted Average Debt Service Coverage Ratio ("DSCR"),
based on underwritten net cash flow, as of the Cut-Off Date
(excluding CTL loans).
o 63.4% Weighted Average Loan to Value ("LTV") as of the Cut-Off
Date (excluding CTL loans but including other fully amortizing
loans).
o 57.4% Weighted Average LTV at Balloon (excluding CTL loans but
including other fully amortizing loans).
o The four largest loans contributed to the Trust are: 1) Cherry
Creek Mall with a 47.6% LTV and 1.71x DSCR, 2) Annapolis Mall
with a 58.3% LTV and 1.49x DSCR, 3) Westfield Portfolio with a
43.0% LTV and 1.87x DSCR and 4) Sangertown Square with a 40.9%
LTV and 1.76x DSCR.
o Property Type Diversification (by balance). 50.9% Retail
(31.6% Regional Mall, 15.4% Anchored, and 3.9% Unanchored),
20.9% Office, 14.5% Multifamily (includes Senior Housing),
4.1% Industrial/Warehouse, 2.9% Mobile Home Park, 2.6% Hotel
(1.1% Full Service and 1.4% Limited Service), 2.3% Credit
Tenant Lease ("CTL"), 1.0% Self Storage, and 0.7% Mixed Use.
o Geographic Distribution (by balance). The properties are
distributed throughout 31 states. California (15.0%); New York
(14.1%); Maryland (13.8%); Colorado (12.4%); Texas (8.1%); New
Jersey (5.5%); Georgia (4.8%), Mississippi (3.0%), all other
states less than 3.0% 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 information 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
scheduled principal balance of the subject loan or loans as of
the Cut-Off Date (as to each loan, the "Cut-Off Date Balance")
compared to aggregate mortgage pool balance as of the Cut-Off
Date (the "Initial Pool Balance"); weighted averages are
weighted using Cut-Off Date Balance; loans with properties in
multiple states have been allocated to certain states based
upon "allocated loan amounts" or appraisal amount if the loan
did not have allocated loan amounts.
Page 3 of 16
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 ACT OF 1933, 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 SELLERS OF THOSE UNDERLYING ASSETS,
THE ISSUER OF THE SECURITIES OR THEIR RESPECTIVE AFFILIATES AND HAS NOT BEEN
INDEPENDENTLY VERIFIED BY THE UNDERWRITERS OR THEIR RESPECTIVE AFFILIATES. THE
ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND DISSEMINATED BY THE
UNDERWRITERS AND NOT 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
AND WEIGHTED AVERAGE LOAN AGE, LOSS AND OTHER MATTERS, INCLUDING, BUT NOT
LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. NEITHER THE
UNDERWRITERS NOR ANY OF THEIR RESPECTIVE AFFILIATES MAKES ANY 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 HEROF AND BY THE OFFERING DOCUMENT).
<PAGE>
LB-UBS 2000-C1 Structural and Collateral Term Sheet (continued):
PRIORITY AND TIMING OF CASH FLOWS*
[BAR CHART OMITTED]
* Assuming 0% CPR and No Losses
RATING AGENCIES: Moody's Investors Service, Inc. and Fitch IBCA
Inc.
TRUSTEE: LaSalle Bank National Association
MASTER SERVICER: First Union National Bank
SPECIAL SERVICER: Lennar Partners, Inc.
CLOSING DATE: April 6, 2000
CUT-OFF DATE: March 11, 2000
ERISA: Classes A-1, A-2, and X are expected to be
eligible for each of the underwriters' individual
prohibited transaction exemptions.
DETERMINATION DATE: 11th day of each month or, if such day is not a
business day, then the following business day.
PAYMENT: Pays on 4th business day after Determination Date
of each month, commencing in April 2000.
CLASS X: The Class X is comprised of multiple components,
one relating to each class of Principal Balance
Certificates.
OPTIONAL CALL: 1% Clean-up Call.
Page 4 of 16
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 ACT OF 1933, 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 SELLERS OF THOSE UNDERLYING ASSETS,
THE ISSUER OF THE SECURITIES OR THEIR RESPECTIVE AFFILIATES AND HAS NOT BEEN
INDEPENDENTLY VERIFIED BY THE UNDERWRITERS OR THEIR RESPECTIVE AFFILIATES. THE
ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND DISSEMINATED BY THE
UNDERWRITERS AND NOT 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
AND WEIGHTED AVERAGE LOAN AGE, LOSS AND OTHER MATTERS, INCLUDING, BUT NOT
LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. NEITHER THE
UNDERWRITERS NOR ANY OF THEIR RESPECTIVE AFFILIATES MAKES ANY 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 HEROF AND BY THE OFFERING DOCUMENT).
<PAGE>
LB-UBS 2000-C1 Structural and Collateral Term Sheet (continued):
MORTGAGE LOANS: All of the mortgage loans were originated by
affiliates of Warburg Dillon Read LLC or Lehman
Brothers Inc. or by the approved conduit
correspondents of those affiliates. As of the
Cut-off Date, the Mortgage Loans have a weighted
average coupon ("WAC") of 8.336% and a weighted
average remaining term to maturity ("WAM") of 110
months (assuming that the ARD loans mature on
their ARD date). See the Collateral Overview
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 A Classes and X Class
pro rata,
2) Principal up to the Principal
Distribution Amount to the A-1 Class
until such class is retired,*
3) After the A-1 Class is retired,
Principal up to the Principal
Distribution Amount to the Class A-2
until such Class is retired,*
4) Interest to Class B, then Principal up
to the Principal Distribution Amount
to Class B until such Class is
retired,
5) Interest to Class C, then Principal up
to the Principal Distribution Amount
to Class C until such Class is
retired,
6) Interest to Class D, then Principal up
to the Principal Distribution Amount
to Class D until such Class is
retired,
7) Interest to Class E, then Principal up
to the Principal Distribution Amount
to Class E until such Class is
retired,
8) Interest to Class F, then Principal up
to the Principal Distribution Amount
to Class F until such Class is
retired,
9) Interest to Class G, then Principal up
to the Principal Distribution Amount
to Class G until such Class is retired
10) Interest and Principal up to the
Principal Distribution Amount to the
Private Classes, sequentially.
* A-1 and A-2 Classes are pro rata if Classes
B through P are retired.
REALIZED LOSSES: Realized Losses from any Mortgage Loan will be
allocated in reverse sequential order (i.e.
Classes P, N, M, L, K, J, H, G, F, E, D, C and B,
in that order). If Classes B through P have been
retired by losses, Realized Losses shall be
applied to the then existing A Classes pro-rata.
APPRAISAL REDUCTIONS: With respect to certain specially serviced
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, generally 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 P&I Advance for
that 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 a
specified number of months, paid in full,
repurchased or otherwise liquidated, and any
shortfalls borne by the subordinate classes may be
paid from amounts recovered from the related
borrower.
MINIMUM DENOMINATIONS:
Minimum Increments
Classes Denomination Thereafter Delivery
- - --------------------------------------------------------------------------------
A-1, A-2, B, C, D, E, F and G $10,000 $1 DTC
- - --------------------------------------------------------------------------------
X $250,000 $1 DTC
Page 5 of 16
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 ACT OF 1933, 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 SELLERS OF THOSE UNDERLYING ASSETS,
THE ISSUER OF THE SECURITIES OR THEIR RESPECTIVE AFFILIATES AND HAS NOT BEEN
INDEPENDENTLY VERIFIED BY THE UNDERWRITERS OR THEIR RESPECTIVE AFFILIATES. THE
ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND DISSEMINATED BY THE
UNDERWRITERS AND NOT 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
AND WEIGHTED AVERAGE LOAN AGE, LOSS AND OTHER MATTERS, INCLUDING, BUT NOT
LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. NEITHER THE
UNDERWRITERS NOR ANY OF THEIR RESPECTIVE AFFILIATES MAKES ANY 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 HEROF AND BY THE OFFERING DOCUMENT).
<PAGE>
LB-UBS 2000-C1 Structural and Collateral Term Sheet (continued):
PREPAYMENT PREMIUMS*
<TABLE>
<CAPTION>
====================================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Prepayment
Premium 3/1/00 3/1/01 3/1/02 3/1/03 3/1/04 3/1/05 3/1/06 3/1/07 3/1/08 3/1/09 3/1/10
- - ------------------------------------------------------------------------------------------------------------------------------------
Lock-Out / Def. 100.0% 100.0% 100.0% 72.2% 70.3% 68.3% 68.3% 77.2% 77.2% 74.4% 100.0%
- - ------------------------------------------------------------------------------------------------------------------------------------
Yield Maintenance - - - 27.8% 29.7% 31.3% 31.3% 22.8% 22.8% 22.8% -
====================================================================================================================================
Sub Total: 100.0% 100.0% 100.0% 100.0% 100.0% 99.6% 99.6% 100.0% 100.0% 97.2% 100.0%
====================================================================================================================================
====================================================================================================================================
5% - - - - - - - - - - -
- - ------------------------------------------------------------------------------------------------------------------------------------
4% - - - - - - - - - - -
- - ------------------------------------------------------------------------------------------------------------------------------------
3% - - - - - - - - - - -
- - ------------------------------------------------------------------------------------------------------------------------------------
2% - - - - - 0.4% - - - - -
- - ------------------------------------------------------------------------------------------------------------------------------------
1% - - - - - - 0.4% - - - -
- - ------------------------------------------------------------------------------------------------------------------------------------
Open - - - - - - - - - 2.8% -
====================================================================================================================================
Total: 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%
====================================================================================================================================
</TABLE>
* % represents % of then outstanding balance as of the date shown, assuming
no prepayments and defaults.
OPEN PREPAYMENT PERIOD AT END OF LOAN (i.e. Prior to Maturity Date or ARD, as
applicable):
========================================================
Open Period at End % of Initial
of Loan* Number of Loans Pool Balance
--------------------------------------------------------
None 28 10.74%
--------------------------------------------------------
1 Month 32 10.21
--------------------------------------------------------
2 Months 11 8.16
--------------------------------------------------------
3 Months 109 68.31
--------------------------------------------------------
4 Months 1 0.65
--------------------------------------------------------
6 Months 9 1.92
========================================================
Total: 190 100.00%
========================================================
* Weighted average open period at end of loan is 2.5 months.
Page 6 of 16
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 ACT OF 1933, 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 SELLERS OF THOSE UNDERLYING ASSETS,
THE ISSUER OF THE SECURITIES OR THEIR RESPECTIVE AFFILIATES AND HAS NOT BEEN
INDEPENDENTLY VERIFIED BY THE UNDERWRITERS OR THEIR RESPECTIVE AFFILIATES. THE
ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND DISSEMINATED BY THE
UNDERWRITERS AND NOT 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
AND WEIGHTED AVERAGE LOAN AGE, LOSS AND OTHER MATTERS, INCLUDING, BUT NOT
LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. NEITHER THE
UNDERWRITERS NOR ANY OF THEIR RESPECTIVE AFFILIATES MAKES ANY 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 HEROF AND BY THE OFFERING DOCUMENT).
<PAGE>
LB-UBS 2000-C1 Structural and Collateral Term Sheet (continued):
CREDIT TENANT
LEASE LOANS: Credit Tenant Lease Loans are secured by mortgages
on properties which are leased (each a "Credit
Tenant Lease") to a tenant which possesses (or
whose parent or other affiliate which guarantees
the lease obligation possesses) the rating
indicated in the following table. Scheduled
monthly rent payments under the Credit Tenant
Leases are generally sufficient to pay in full and
on a timely basis all interest and principal
scheduled to be paid with respect to the related
Credit Tenant Lease Loans.
The Credit Tenant Lease Loans generally provide
that the tenant is responsible for all costs and
expenses incurred in connection with the
maintenance and operation of the related Credit
Tenant Lease property and that, in the event of a
casualty or condemnation of a material portion of
the related Mortgaged Property:
(i) the Tenant is obligated to continue
making payments;
(ii) the Tenant must make an offer to
purchase the applicable property
subject to the Credit Tenant Lease for
an amount not less than the unpaid
principal balance plus accrued
interest on the related Credit Tenant
Lease Loan; or
(iii) the Trustee on behalf of the
Certificateholders will have the
benefit of certain non-cancelable
credit lease enhancement policies
obtained to cover certain casualty
and/or condemnation risks.
Approximately 2.3% of the Mortgage Loans are
Credit Tenant Lease Loans.
<TABLE>
<CAPTION>
============================================================================================================================
Number Cut-Off Date Credit Rating Credit Rating
Tenant / Guarantor Of Loans Balance ($) Lease Type(1) (S&P) (Moody's)
============================================================================================================================
<S> <C> <C> <C> <C> <C>
Super Stop & Shop(2) 1 $14,300,000 NNN A- A3
- - ----------------------------------------------------------------------------------------------------------------------------
CVS 4 8,502,001 NN A A3
- - ----------------------------------------------------------------------------------------------------------------------------
BellSouth 1 5,962,636 Bond AAA Aa2
- - ----------------------------------------------------------------------------------------------------------------------------
Walgreens 1 3,226,473 NN A+(3) Aa3
============================================================================================================================
Total: 7 $31,991,110 -- A+ A2
============================================================================================================================
</TABLE>
(1) "Bond" means bondable lease, "NNN" means triple net lease and "NN" means
double net lease.
(2) Ahold Guaranty.
(3) Issuer Credit Rating.
RESERVES: The table below relates only to conventional
conduit loans and excludes all CTL loans as well
as the four loans with Cut-Off Date Balances of
more than $50 million that were originated by UBS
Principal Finance's or Lehman's Large Loan
Program.
===============================================================================
% of Conduit Loans
w/Annual Escrows Current Balance Annual Deposit
===============================================================================
Replacement Reserves 89.5% $1,793,776 $3,437,452
-------------------------------------------------------------------------------
Taxes 98.1% N/A $14,256,514
-------------------------------------------------------------------------------
Insurance 91.1% N/A $2,156,843
-------------------------------------------------------------------------------
T1 & LC Commercial 71.9% $2,736,879 $3,811,136
===============================================================================
CASH MANAGEMENT: Mortgage Loans representing 77.9% of the Initial
Pool Balance employ cash management systems.
===============================================================
Mortgage Pool
===============================================================
Springing Lockbox 49.3% of Initial Pool Balance
---------------------------------------------------------------
Hard Lockbox 28.6% of Initial Pool Balance
===============================================================
Page 7 of 16
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 ACT OF 1933, 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 SELLERS OF THOSE UNDERLYING ASSETS,
THE ISSUER OF THE SECURITIES OR THEIR RESPECTIVE AFFILIATES AND HAS NOT BEEN
INDEPENDENTLY VERIFIED BY THE UNDERWRITERS OR THEIR RESPECTIVE AFFILIATES. THE
ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND DISSEMINATED BY THE
UNDERWRITERS AND NOT 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
AND WEIGHTED AVERAGE LOAN AGE, LOSS AND OTHER MATTERS, INCLUDING, BUT NOT
LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. NEITHER THE
UNDERWRITERS NOR ANY OF THEIR RESPECTIVE AFFILIATES MAKES ANY 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 HEROF AND BY THE OFFERING DOCUMENT).
<PAGE>
LB-UBS 2000-C1 Structural and Collateral Term Sheet (continued):
SIGNIFICANT
MORTGAGE LOANS: There are four loans with a Cut-Off Date principal
balance in excess of $50 million. Each of the
large loans has been bifurcated into an A Note and
a B Note. The A Note has been deposited into the
Trust and will pay principal and interest to the
Trust, with the B Note, paying interest only until
the A Note is retired. Each B Note or securities
backed thereby will be rated investment grade by
Fitch. The following table provides a summary of
the four largest loans:
<TABLE>
<CAPTION>
====================================================================================================================================
Cherry Creek Mall Property # of Cut-Off Date % of Coupon Term to Amortization DSCR LTV
Type Prop. Balance Loan ARD Term(2)
====================================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A Note Retail 1 $148,497,918 83.9% TBD 7 years 25 years(3) 1.71x 47.6%
(Regional Mall)
- - ------------------------------------------------------------------------------------------------------------------------------------
B Note(1) Retail 1 $28,502,082 16.1% TBD 7 years 25 years(3) - -
(Regional Mall)
====================================================================================================================================
Total / Weighted Average: 1 $177,000,000 100.0% 7.680% 7 years 25 years(3) 1.47x 56.8%
====================================================================================================================================
<CAPTION>
====================================================================================================================================
Annapolis Mall Property # of Cut-Off Date % of Coupon Term to Amortization DSCR LTV
Type Prop. Balance Loan ARD Term(2)
====================================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A Note Retail 1 $123,031,572 85.4% TBD 10 years 30 years 1.51x 58.3%(4)
(Regional Mall)
- - ------------------------------------------------------------------------------------------------------------------------------------
B Note(1) Retail 1 $21,099,647 14.6% TBD 10 years 30 years - -
(Regional Mall)
====================================================================================================================================
Total / Weighted Average: 1 $144,131,219 100.0% 8.177% 10 years 30 years 1.31x 68.2%(4)
====================================================================================================================================
<CAPTION>
====================================================================================================================================
Westfield Portfolio Property # of Cut-Off Date % of Coupon Term to Amortization DSCR LTV
Type Prop. Balance Loan ARD Term(2)
====================================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A Note Retail 2 $99,000,000 77.9% TBD 10 years 30 years 1.87x 43.0%
(Regional Mall)
- - ------------------------------------------------------------------------------------------------------------------------------------
B Note(1) Retail 2 $28,128,567 22.1% TBD 10 years 30 years - -
(Regional Mall)
====================================================================================================================================
Total / Weighted Average: 2 $127,128,567 100.0% 8.177% 10 years 30 years 1.49x 55.2%
====================================================================================================================================
<CAPTION>
====================================================================================================================================
Sangertown Square Property # of Cut-Off Date % of Coupon Term to Amortization DSCR LTV
Type Prop. Balance Loan ARD Term(2)
====================================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A Note Retail 1 $62,145,749 81.4% TBD 10 years 30 years 1.76x 40.9%
(Regional Mall)
- - ------------------------------------------------------------------------------------------------------------------------------------
B Note(1) Retail 1 $14,204,280 18.6% TBD 10 years 30 years - -
(Regional Mall)
====================================================================================================================================
Total / Weighted Average: 1 $76,350,029 100.0% 8.820% 10 years 30 years 1.45x 50.2%
====================================================================================================================================
</TABLE>
(1) Privately placed.
(2) Loan has a hyper-amortization feature after ARD.
(3) First five years interest only then 25 year amortization schedule
thereafter.
(4) There is also additional collateral in the form of $15 million letter of
credit, except that it is subject to release or reduction upon
satisfaction of certain considerations.
Page 8 of 16
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 ACT OF 1933, 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 SELLERS OF THOSE UNDERLYING ASSETS,
THE ISSUER OF THE SECURITIES OR THEIR RESPECTIVE AFFILIATES AND HAS NOT BEEN
INDEPENDENTLY VERIFIED BY THE UNDERWRITERS OR THEIR RESPECTIVE AFFILIATES. THE
ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND DISSEMINATED BY THE
UNDERWRITERS AND NOT 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
AND WEIGHTED AVERAGE LOAN AGE, LOSS AND OTHER MATTERS, INCLUDING, BUT NOT
LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. NEITHER THE
UNDERWRITERS NOR ANY OF THEIR RESPECTIVE AFFILIATES MAKES ANY 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 HEROF AND BY THE OFFERING DOCUMENT).
<PAGE>
LB-UBS 2000-C1 Structural and Collateral Term Sheet (continued):
================================================================================
CHERRY CREEK MALL LOAN
================================================================================
A Note Cut-Off Date Balance: $148,497,918
- - --------------------------------------------------------------------------------
Coupon: TBD (weighted average of A & B Note is
7.680%)
- - --------------------------------------------------------------------------------
Anticipated Repayment Date: August 11,2006
- - --------------------------------------------------------------------------------
Term to ARD: 7 years
- - --------------------------------------------------------------------------------
Amortization: First five years interest only; 25 year
schedule thereafter; hyper-amortization
commencing after the ARD
- - --------------------------------------------------------------------------------
Sponsor: Taubman Centers Inc.
- - --------------------------------------------------------------------------------
Anchors: Foley's, Lord & Taylor, Saks Fifth Avenue
and Neiman Marcus
- - --------------------------------------------------------------------------------
Property: 1,316,435 square foot, two-level enclosed
regional mall
- - --------------------------------------------------------------------------------
Location: Denver, Colorado
- - --------------------------------------------------------------------------------
1999 In-Line Sales/SF: $450
- - --------------------------------------------------------------------------------
In-Line Cost of Occupancy: 14.6%
- - --------------------------------------------------------------------------------
Overall Occupancy: 97.5% (based on 12/31/00 rent rolls)
- - --------------------------------------------------------------------------------
Value: $311.8 million
- - --------------------------------------------------------------------------------
LTV (A Note): 47.6%
- - --------------------------------------------------------------------------------
DSCR (A Note): 1.71x
- - --------------------------------------------------------------------------------
Reserves: Springing (if DSCR falls below 1.30x or an
event of default occurs on combined A & B
Notes, monthly reserve of real estate taxes,
insurance, capital improvements, leasing
commissions and ground lease payments)
- - --------------------------------------------------------------------------------
Lockbox: Borrower has access to account until DSCR
falls below 1.30x or an event of default
occurs or ARD
================================================================================
================================================================================
ANNAPOLIS MALL LOAN
================================================================================
A Note Cut-Off Date Balance: $123,031,572
- - --------------------------------------------------------------------------------
Coupon: TBD (weighted average of A & B Note is
8.177%)
- - --------------------------------------------------------------------------------
Anticipated Repayment Date: December 11, 2009
- - --------------------------------------------------------------------------------
Term to ARD: 10 years
- - --------------------------------------------------------------------------------
Amortization: 30 years; hyper-amortization commencing
after the ARD
- - --------------------------------------------------------------------------------
Sponsor: Westfield America, Inc.
- - --------------------------------------------------------------------------------
Anchors: Hechts, Nordstrom, Lord & Taylor, JC Penney
and Montgomery Ward
- - --------------------------------------------------------------------------------
Property: 1,116,630 square foot regional shopping
center
- - --------------------------------------------------------------------------------
Location: Annapolis, Maryland
- - --------------------------------------------------------------------------------
1999 In-Line Sales/SF: $415
- - --------------------------------------------------------------------------------
In-Line Cost of Occupancy: 12.7%
- - --------------------------------------------------------------------------------
Overall Occupancy: 98.9% (based on 2/1/00 rent rolls)
- - --------------------------------------------------------------------------------
Value: $211.2 million(1)
- - --------------------------------------------------------------------------------
LTV (A Note): 58.3%
- - --------------------------------------------------------------------------------
DSCR (A Note): 1.51x
- - --------------------------------------------------------------------------------
Reserves: Springing (if DSCR falls below 1.25x or an
event of default occurs, lockbox will be
established for tenant improvements, leasing
commissions, operating expenses and
replacement reserves)
- - --------------------------------------------------------------------------------
Lockbox: Hard for debt service, tax and insurance;
Springing for reserves
================================================================================
(1) There is also additional collateral in the form of $15 million letter of
credit, except that it is subject to release or reduction upon
satisfaction of certain conditions.
Page 9 of 16
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 ACT OF 1933, 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 SELLERS OF THOSE UNDERLYING ASSETS,
THE ISSUER OF THE SECURITIES OR THEIR RESPECTIVE AFFILIATES AND HAS NOT BEEN
INDEPENDENTLY VERIFIED BY THE UNDERWRITERS OR THEIR RESPECTIVE AFFILIATES. THE
ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND DISSEMINATED BY THE
UNDERWRITERS AND NOT 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
AND WEIGHTED AVERAGE LOAN AGE, LOSS AND OTHER MATTERS, INCLUDING, BUT NOT
LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. NEITHER THE
UNDERWRITERS NOR ANY OF THEIR RESPECTIVE AFFILIATES MAKES ANY 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 HEROF AND BY THE OFFERING DOCUMENT).
<PAGE>
LB-UBS 2000-C1 Structural and Collateral Term Sheet (continued):
================================================================================
WESTFIELD PORTFOLIO LOAN
================================================================================
A Note Cut-Off Date Balance: $99,000,000
- - --------------------------------------------------------------------------------
Coupon: TBD (weighted average of A & B Note is
8.177%)
- - --------------------------------------------------------------------------------
Anticipated Repayment Date: December 11, 2009
- - --------------------------------------------------------------------------------
Term to ARD: 10 years
- - --------------------------------------------------------------------------------
Amortization: 30 years; hyper-amortization commencing
after the ARD
- - --------------------------------------------------------------------------------
Sponsor: Westfield America, Inc,
- - --------------------------------------------------------------------------------
Anchors: Macy's, Macy's Men's & Furniture, Target,
Burlington Coat Factory and Mervyn's
- - --------------------------------------------------------------------------------
Property: Downtown Plaza, a 1,191,347 square foot
regional shopping mall, and Eastland Center,
an 846,781 square foot power center. Total
GLA: 2,038,128 square feet of GLA
- - --------------------------------------------------------------------------------
Location: California
- - --------------------------------------------------------------------------------
1999 In-Line Sales/SF: Overall: $271 ; Downtown Plaza: $314;
Eastland Center: $217
- - --------------------------------------------------------------------------------
In-Line Cost of Occupancy: Overall: 9.0%; Downtown Plaza: 12.9%;
Eastland Center: 4.0%
- - --------------------------------------------------------------------------------
Overall Occupancy: Overall: 96.9%; Downtown Plaza: 96.9%;
Eastland Center: 97.0% (based on 2/1/00 rent
rolls)
- - --------------------------------------------------------------------------------
Value: $230.2 million
- - --------------------------------------------------------------------------------
LTV (A Note): 43.0%
- - --------------------------------------------------------------------------------
DSCR (A Note): 1.87x
- - --------------------------------------------------------------------------------
Reserves: Springing (if DSCR falls below 1.25x or if
an event of default occurs, lockbox will be
established for replacement reserves,
leasing commissions, tenant improvements,
and operating expenses)
- - --------------------------------------------------------------------------------
Lockbox: Hard for debt service, tax and insurance;
Springing for reserves
================================================================================
================================================================================
SANGERTOWN SQUARE LOAN
================================================================================
A Note Cut-Off Date Balance: $62,145,749
- - --------------------------------------------------------------------------------
Coupon: TBD (weighted average of A & B Note is
8.820%)
- - --------------------------------------------------------------------------------
Anticipated Repayment Date: December 1, 2009
- - --------------------------------------------------------------------------------
Term to ARD: 10 years
- - --------------------------------------------------------------------------------
Amortization: 30 years; hyper-amortization commencing
after the ARD
- - --------------------------------------------------------------------------------
Sponsor: The Pyramid Companies
- - --------------------------------------------------------------------------------
Anchors: Sears, Kaufmann's, JC Penney and Bradlees
- - --------------------------------------------------------------------------------
Property: 855,360 square foot, fully enclosed regional
mall
- - --------------------------------------------------------------------------------
Location: New Hartford, New York
- - --------------------------------------------------------------------------------
1999 In-Line Sales/SF: $370
- - --------------------------------------------------------------------------------
In-Line Cost of Occupancy: 11.6%
- - --------------------------------------------------------------------------------
Overall Occupancy: 93.7% (based on 2/00 rent roll)
- - --------------------------------------------------------------------------------
Value: $152.0 million
- - --------------------------------------------------------------------------------
LTV (A Note): 40.9%
- - --------------------------------------------------------------------------------
DSCR (A Note): 1.76x
- - --------------------------------------------------------------------------------
Reserves: Replacement: $175,000/year; Tenant Rollover:
$200,000/year; Renovation: $2,000,000(1);
Tax & Insurance: Funded monthly based on
estimated annual expenses; Debt Service: One
month of debt service(2)
- - --------------------------------------------------------------------------------
Lockbox: Hard
================================================================================
(1) In the event that the borrower has not substantially completed a major
renovation of the property by 12/1/08, borrower will be required to
establish such renovation reserve.
(2) Subject to release based on achievement of certain NOI tests (trailing 12
months NOI should at least be $11.3 million).
Page 10 of 16
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 ACT OF 1933, 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 SELLERS OF THOSE UNDERLYING ASSETS,
THE ISSUER OF THE SECURITIES OR THEIR RESPECTIVE AFFILIATES AND HAS NOT BEEN
INDEPENDENTLY VERIFIED BY THE UNDERWRITERS OR THEIR RESPECTIVE AFFILIATES. THE
ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND DISSEMINATED BY THE
UNDERWRITERS AND NOT 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
AND WEIGHTED AVERAGE LOAN AGE, LOSS AND OTHER MATTERS, INCLUDING, BUT NOT
LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. NEITHER THE
UNDERWRITERS NOR ANY OF THEIR RESPECTIVE AFFILIATES MAKES ANY 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 HEROF AND BY THE OFFERING DOCUMENT).
<PAGE>
LB-UBS 2000-C1 Structural and Collateral Term Sheet (continued):
PREPAYMENT PREMIUM ALLOCATION EXAMPLE:
The yield maintenance charge due in connection
with a prepayment will generally be equal to the
present value of the reduction in interest
payments as a result of the prepayment through the
maturity of the prepaid Mortgage Loan, discounted
at the yield (converting from semi-annual to
monthly pay) of a Treasury security of similar
maturity in most cases, assuming ARD loans mature
on their anticipated repayment dates.
A portion of any collected prepayment premium will
be paid on the Class of Principal Balance
Certificates senior to the Class J Certificates
then receiving principal based on the Discount
Rate Fraction Methodology. The following example
reflects that method. The balance of the
prepayment premium will be distributed to the
Class X Certificates.
Discount Rate Fraction Methodology:
Mortgage Loan Characteristics of Mortgage Loan
being prepaid:
Balance $10,000,000
Coupon 8.00%
Maturity 10 years
Treasury Rate (monthly) 6.50%
Certificate Characteristics
Class A-1 Coupon 7.50%
Discount Rate Fraction Example:
<TABLE>
<CAPTION>
===============================================================================================
Class A-1 Class X
Certificates Certificates
-----------------------------------------------------------------------------------------------
<S> <C> <C>
Principal Payment $10,000,000 N/A
-----------------------------------------------------------------------------------------------
Discount Rate Fraction Calculation
(Class A-1 Coupon - Reinvestment Yield) / (7.50% - 6.50%) /
(Gross Mortgage Rate - Reinvestment Yield) = (8.00% - 6.50%) = (100.0% - 66.7%) =
Discount Rate Fraction = 66.7% 33.3%
-----------------------------------------------------------------------------------------------
% of Premium Allocated to Classes: 66.7% 33.3%
===============================================================================================
</TABLE>
ANTICIPATED REPAYMENT DATE LOANS:
Mortgage Loans representing 51.4% of the Initial
Pool Balance provided that if the unamortized
principal amount thereof is not repaid on a date
(the "Anticipated Repayment Date") set forth in
the related Mortgage Note, the Mortgage Loan will
accrue additional interest at the rate set forth
therein and the borrower will be required to apply
excess monthly cash flow generated by the
Mortgaged Property (as determined in the related
Mortgage) to the repayment of principal
outstanding on the Mortgage Loan. With respect to
such Mortgage Loans, no prepayment consideration
will be due in connection with any principal
prepayment on or after the Anticipated Repayment
Date. For purposes of analysis and presentation,
such loans are assumed to pay off at the ARD and
are treated like balloon loans that mature on the
ARD.
Page 11 of 16
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 ACT OF 1933, 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 SELLERS OF THOSE UNDERLYING ASSETS,
THE ISSUER OF THE SECURITIES OR THEIR RESPECTIVE AFFILIATES AND HAS NOT BEEN
INDEPENDENTLY VERIFIED BY THE UNDERWRITERS OR THEIR RESPECTIVE AFFILIATES. THE
ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND DISSEMINATED BY THE
UNDERWRITERS AND NOT 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
AND WEIGHTED AVERAGE LOAN AGE, LOSS AND OTHER MATTERS, INCLUDING, BUT NOT
LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. NEITHER THE
UNDERWRITERS NOR ANY OF THEIR RESPECTIVE AFFILIATES MAKES ANY 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 HEROF AND BY THE OFFERING DOCUMENT).
<PAGE>
LB-UBS 2000-C1 Structural and Collateral Term Sheet (continued):
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 Certificate holders through the
Trustee. The following is a list of all the
reports that will be available to
Certificateholders:
Name of Report Description (information provided)
------------------------------------------------------------------------------
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 Servicer Watch List Listing of loans in jeopardy of
becoming Specially Serviced
------------------------------------------------------------------------------
9 Loan Payoff Notification Report Listing of loans where borrower
has requested a pay-off statement
ADVANCING: The Master Servicer will be obligated to make
advances of scheduled principal and interest
payments (excluding balloon payments and subject
to reduction for Appraisal Reduction Amounts) and
certain servicing expenses ("Advances"), to the
extent that such Advances are deemed to be
recoverable out of collections on the related
loan. If the Master Servicer fails to make a
required Advance, the Trustee will be obligated to
make such advances.
CONTROLLING CLASS: The Controlling Class 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. A majority of
Certificateholders of the Controlling Class will,
subject to certain limitations, be entitled to
replace the Special Servicer. Such holders of the
Controlling Class will also have the right to
direct or advise the Special Servicer with respect
to special servicing actions subject to the
servicing standards set in the Pooling and
Servicing Agreement. However, in the case of each
Mortgage Loan with a Cut-Off Date Balance in
excess of $50 million, for so long as the
principal amount of the corresponding B Note (net
of any existing related Appraisal Reduction
Amount) is at least 50% of the original principal
amount of such B Note, the holder of such B Note
will have the right to direct or advise the
Special Servicer with respect to special servicing
actions for such Mortgage Loan and the
corresponding B Note.
Page 12 of 16
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 ACT OF 1933, 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 SELLERS OF THOSE UNDERLYING ASSETS,
THE ISSUER OF THE SECURITIES OR THEIR RESPECTIVE AFFILIATES AND HAS NOT BEEN
INDEPENDENTLY VERIFIED BY THE UNDERWRITERS OR THEIR RESPECTIVE AFFILIATES. THE
ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND DISSEMINATED BY THE
UNDERWRITERS AND NOT 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
AND WEIGHTED AVERAGE LOAN AGE, LOSS AND OTHER MATTERS, INCLUDING, BUT NOT
LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. NEITHER THE
UNDERWRITERS NOR ANY OF THEIR RESPECTIVE AFFILIATES MAKES ANY 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 HEROF AND BY THE OFFERING DOCUMENT).
<PAGE>
LB-UBS 2000-C1 Structural and Collateral Term Sheet (continued):
GENERAL CHARACTERISTICS
========================================================
Characteristics
- - --------------------------------------------------------
Initial Pool Balance $1,370,873,184
- - --------------------------------------------------------
Number of Loans 190
- - --------------------------------------------------------
Gross WAC 8.336%
- - --------------------------------------------------------
Original WAM(1) 114 months
- - --------------------------------------------------------
Remaining WAM(1) 110 months
- - --------------------------------------------------------
Average Loan Balance $7,215,122
- - --------------------------------------------------------
Weighted Average DSCR(2) 1.44x
- - --------------------------------------------------------
WA Cut-Off Date LTV Ratio(2) 63.4%
- - --------------------------------------------------------
WA LTV at Maturity/ARD(2,3) 57.4%
- - --------------------------------------------------------
Geographic Diversity 31 states
- - --------------------------------------------------------
Balloon or ARD Loans 98.2%
========================================================
(1) Assumes ARD loans mature on their Anticipated Repayment Dates.
(2) Excludes CTL loans.
(3) Includes fully amortizing loans other than CTL loans.
PROPERTY TYPES
=====================================================
% of Initial Pool
Property Types Balance
- - -----------------------------------------------------
Retail 50.9%
- - -----------------------------------------------------
Office 20.9
- - -----------------------------------------------------
Multifamily* 14.5
- - -----------------------------------------------------
Industrial/Warehouse 4.1
- - -----------------------------------------------------
Mobile Home Park 2.9
- - -----------------------------------------------------
CTL 2.3
- - -----------------------------------------------------
Hotel 2.6
- - -----------------------------------------------------
Self Storage 1.0
- - -----------------------------------------------------
Mixed Use 0.7
=====================================================
Total: 100.0%
=====================================================
* Includes Senior Housing loans.
DEAL SUMMARY BY PROPERTY TYPE
<TABLE>
<CAPTION>
====================================================================================================================================
% of
Aggregate Initial Average Gross Rem. WA
# of Cut-off Date Pool Cut-off Date WAC WAM WA WA Occupancy Balloon
Property Type Loans Balance ($) Balance Balance ($) (%) (mos)(1) LTV(2) DSCR(2) Rate (%)(3) %
- - ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Retail 48 $697,129,006 50.9% $14,523,521 8.222% 108 57.5% 1.56x 97.43% 28.55%
- - ------------------------------------------------------------------------------------------------------------------------------------
Regional Mall 4 432,675,239 31.6 108,168,810 8.099 104 48.6 1.70 97.24 0.00
- - ------------------------------------------------------------------------------------------------------------------------------------
Anchored 29 210,784,070 15.4 7,268,416 8.382 118 72.8 1.33 97.80 69.73
- - ------------------------------------------------------------------------------------------------------------------------------------
Unanchored 15 53,669,697 3.9 3,577,980 8.593 104 69.5 1.32 97.50 97.02
- - ------------------------------------------------------------------------------------------------------------------------------------
Office 31 287,145,624 20.9 9,262,762 8.474 109 68.1 1.29 93.17 46.10
- - ------------------------------------------------------------------------------------------------------------------------------------
Multifamily(4) 58 198,469,377 14.5 3,421,886 8.353 110 74.4 1.30 95.92 81.60
- - ------------------------------------------------------------------------------------------------------------------------------------
Industrial/W'house 14 56,776,866 4.1 4,055,490 8.446 101 70.7 1.34 98.82 84.65
- - ------------------------------------------------------------------------------------------------------------------------------------
Mobile Home Park 18 39,811,009 2.9 2,211,723 8.191 106 68.2 1.39 95.33 100.00
- - ------------------------------------------------------------------------------------------------------------------------------------
Hotel 8 35,361,045 2.6 4,420,131 8.882 105 59.5 1.54 N/A 93.43
- - ------------------------------------------------------------------------------------------------------------------------------------
Limited Service 6 19,815,802 1.4 3,302,634 8.890 117 57.5 1.65 N/A 88.28
- - ------------------------------------------------------------------------------------------------------------------------------------
Full Service 2 15,545,243 1.1 7,772,621 8.873 89 61.9 1.41 N/A 100.00
- - ------------------------------------------------------------------------------------------------------------------------------------
CTL 7 31,991,110 2.3 4,570,159 8.660 217 N/A N/A 100.00 24.21
- - ------------------------------------------------------------------------------------------------------------------------------------
Self Storage 2 13,988,507 1.0 13,988,507 8.831 60 73.4 1.31 86.27 100.00
- - ------------------------------------------------------------------------------------------------------------------------------------
Mixed Use 4 10,200,641 0.7 2,550,160 8.743 96 60.1 1.36 85.86 64.02
====================================================================================================================================
Total/Avg/Wtd.Avg: 190 $1,370,873,184 100.0% $7,215,122 8.336% 110 63.4% 1.44x 96.14% 46.87%
====================================================================================================================================
</TABLE>
(1) Assumes ARD loans mature on their Anticipated Repayment Dates
(2) Excludes credit tenant lease loans.
(3) Excludes hotels.
(4) Includes Senior Housing loans.
Page 13 of 16
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 ACT OF 1933, 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 SELLERS OF THOSE UNDERLYING ASSETS,
THE ISSUER OF THE SECURITIES OR THEIR RESPECTIVE AFFILIATES AND HAS NOT BEEN
INDEPENDENTLY VERIFIED BY THE UNDERWRITERS OR THEIR RESPECTIVE AFFILIATES. THE
ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND DISSEMINATED BY THE
UNDERWRITERS AND NOT 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
AND WEIGHTED AVERAGE LOAN AGE, LOSS AND OTHER MATTERS, INCLUDING, BUT NOT
LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. NEITHER THE
UNDERWRITERS NOR ANY OF THEIR RESPECTIVE AFFILIATES MAKES ANY 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 HEROF AND BY THE OFFERING DOCUMENT).
<PAGE>
LB-UBS 2000-C1 Structural and Collateral Term Sheet (continued):
LOAN SIZE DISTRIBUTION
===========================================================
Cut-Off Date Balance # of % of Initial
Ranges ($) Loans Pool Balance
===========================================================
0 - 2,000,000 55 4.35%
- - -----------------------------------------------------------
2,000,001 - 6,000,000 87 23.04
- - -----------------------------------------------------------
6,000,001 - 10,000,000 19 11.36
- - -----------------------------------------------------------
10,000,001 - 14,000,000 12 10.54
- - -----------------------------------------------------------
14,000,001 - 18,000,000 7 8.14
- - -----------------------------------------------------------
18,000,001 - 24,000,000 3 4.55
- - -----------------------------------------------------------
24,000,001 - 36,000,000 2 3.81
- - -----------------------------------------------------------
36,000,001 - 58,000,000 1 2.65
- - -----------------------------------------------------------
58,000,001 - 66,000,000 1 4.53
- - -----------------------------------------------------------
66,000,001 - 138,000,000 2 16.20
- - -----------------------------------------------------------
138,000,001 - 149,000,000 1 10.83
===========================================================
Total: 190 100.00%
===========================================================
Min.: $298,955
Max.: $148,497,918
Avg.: $7,215,122
GROSS RATE DISTRIBUTION
==========================================================
Gross Rate Ranges # of % of Initial
(%) Loans Pool Balance
==========================================================
7.251 - 7.500 3 1.51%
- - ----------------------------------------------------------
7.501 - 7.750 4 11.40
- - ----------------------------------------------------------
7.751 - 8.000 8 7.49
- - ----------------------------------------------------------
8.001 - 8.250 41 31.30
- - ----------------------------------------------------------
8.251 - 8.500 40 11.94
- - ----------------------------------------------------------
8.501 - 8.750 47 16.92
- - ----------------------------------------------------------
8.751 - 9.000 28 12.53
- - ----------------------------------------------------------
9.001 - 9.250 14 6.58
- - ----------------------------------------------------------
9.251 - 9.500 3 0.14
- - ----------------------------------------------------------
9.501 - 9.750 2 0.20
==========================================================
Total: 190 100.00%
==========================================================
Min.: 7.430%
Max.: 9.750%
Wtd. Avg.:8.336%
REMAINING TERM TO MATURITY(1)
===========================================================
Months # of % of Initial
Loans Pool Balance
===========================================================
49 - 60 12 5.25%
- - -----------------------------------------------------------
73 - 84 10 14.92
- - -----------------------------------------------------------
85 - 96 1 0.10
- - -----------------------------------------------------------
109 - 120 160 76.93
- - -----------------------------------------------------------
121 - 132 1 0.90
- - -----------------------------------------------------------
229 - 240 6 1.90
===========================================================
Total: 190 100.00%
===========================================================
(1) Assumes ARD Loans mature on their Anticipated Repayment Dates
Min.: 50 months
Max.: 240 months
Wtd. Avg.: 110 months
REMAINING AMORTIZATION TERM(1)
==========================================================
Months # of % of Initial
Loans Pool Balance
==========================================================
0 - 156 4 1.32%
- - ----------------------------------------------------------
229 - 276 12 3.92
- - ----------------------------------------------------------
289 - 300 33 17.61
- - ----------------------------------------------------------
313 - 336 2 0.93
- - ----------------------------------------------------------
349 - 360 139 76.22
==========================================================
Total: 190 100.0%
==========================================================
Min.: 0 months
Max.: 360 months
Wtd. Avg.: 338 months
(1) Assumes ARD Loans mature on their Anticipated Repayment Dates
Page 14 of 16
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 ACT OF 1933, 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 SELLERS OF THOSE UNDERLYING ASSETS,
THE ISSUER OF THE SECURITIES OR THEIR RESPECTIVE AFFILIATES AND HAS NOT BEEN
INDEPENDENTLY VERIFIED BY THE UNDERWRITERS OR THEIR RESPECTIVE AFFILIATES. THE
ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND DISSEMINATED BY THE
UNDERWRITERS AND NOT 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
AND WEIGHTED AVERAGE LOAN AGE, LOSS AND OTHER MATTERS, INCLUDING, BUT NOT
LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. NEITHER THE
UNDERWRITERS NOR ANY OF THEIR RESPECTIVE AFFILIATES MAKES ANY 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 HEROF AND BY THE OFFERING DOCUMENT).
<PAGE>
LB-UBS 2000-C1 Structural and Collateral Term Sheet (continued):
DEBT SERVICE COVERAGE RATIOS (DSCR)(1)
===========================================================
Cut-Off Date # of % of Initial
DSCR Ranges (x) Loans Pool Balance
===========================================================
1.20 - 1.24 28 17.89%
- - -----------------------------------------------------------
1.25 - 1.29 49 19.96
- - -----------------------------------------------------------
1.30 - 1.34 32 11.40
- - -----------------------------------------------------------
1.35 - 1.39 23 8.44
- - -----------------------------------------------------------
1.40 - 1.49 22 4.67
- - -----------------------------------------------------------
1.50 - 1.69 19 11.85
- - -----------------------------------------------------------
1.70 - 1.79 6 17.82
- - -----------------------------------------------------------
1.80 - 2.59 4 7.98
===========================================================
Total: 183 100.00%
===========================================================
(1) Excludes CTL loans.
Min.: 1.20x
Max.: 2.43x
Wtd. Avg.:1.44x
LOAN TO VALUE RATIOS (LTV)(1)
==========================================================
Cut-Off Date # of % of Initial
LTV Ranges (%) Loans Pool Balance
==========================================================
30.001 - 45.000 4 12.37%
- - ----------------------------------------------------------
45.001 - 50.000 5 11.78
- - ----------------------------------------------------------
50.001 - 55.000 7 1.36
- - ----------------------------------------------------------
55.001 - 60.000 17 14.95
- - ----------------------------------------------------------
60.001 - 65.000 11 6.77
- - ----------------------------------------------------------
65.001 - 70.000 29 8.01
- - ----------------------------------------------------------
70.001 - 75.000 68 26.77
- - ----------------------------------------------------------
75.001 - 80.000 42 17.98
==========================================================
Total: 183 100.00%
==========================================================
(1) Excludes CTL loans.
Min.: 33.4%
Max.: 79.9%
Wtd. Avg.: 63.4%
OCCUPANCY RATES(1)
===========================================================
Cut-Off Date Occupancy # of % of Initial
Ranges (%) Loans Pool Balance
===========================================================
70.01 - 75.00 1 0.16%
- - -----------------------------------------------------------
75.01 - 80.00 2 1.51
- - -----------------------------------------------------------
80.01 - 85.00 5 2.49
- - -----------------------------------------------------------
85.01 - 90.00 7 3.12
- - -----------------------------------------------------------
90.01 - 95.00 40 23.63
- - -----------------------------------------------------------
95.01 >= 127 69.08
===========================================================
Total: 182 100.00%
===========================================================
(1) Excluding hotels.
Min.:71.9%
Max.: 100.0%
Wtd. Avg.:96.1%
MATURITY DATE/ARD LOAN TO VALUE(1)
==========================================================
Cut-Off Date Balloon # of % of Initial
LTV Ranges (%) Loans Pool Balance
==========================================================
30.001 - 40.000 5 12.47%
- - ----------------------------------------------------------
40.001 - 45.000 1 0.18
- - ----------------------------------------------------------
45.001 - 50.000 17 15.11
- - ----------------------------------------------------------
50.001 - 55.000 14 14.30
- - ----------------------------------------------------------
55.001 - 60.000 20 8.17
- - ----------------------------------------------------------
60.001 - 65.000 32 9.47
- - ----------------------------------------------------------
65.001 - 70.000 63 27.74
- - ----------------------------------------------------------
70.001 - 75.000 30 11.46
- - ----------------------------------------------------------
75.001 - 80.000 1 1.10
==========================================================
Total: 183 100.00%
==========================================================
(1) Excludes CTL loans but includes other fully amortizing loans.
Min.: 30.6%
Max.:75.0 %
Wtd. Avg.: 57.4%
Page 15 of 16
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 ACT OF 1933, 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 SELLERS OF THOSE UNDERLYING ASSETS,
THE ISSUER OF THE SECURITIES OR THEIR RESPECTIVE AFFILIATES AND HAS NOT BEEN
INDEPENDENTLY VERIFIED BY THE UNDERWRITERS OR THEIR RESPECTIVE AFFILIATES. THE
ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND DISSEMINATED BY THE
UNDERWRITERS AND NOT 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
AND WEIGHTED AVERAGE LOAN AGE, LOSS AND OTHER MATTERS, INCLUDING, BUT NOT
LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. NEITHER THE
UNDERWRITERS NOR ANY OF THEIR RESPECTIVE AFFILIATES MAKES ANY 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 HEROF AND BY THE OFFERING DOCUMENT).
<PAGE>
LB-UBS 2000-C1 Structural and Collateral Term Sheet (continued):
GEOGRAPHIC DISTRIBUTION
===========================================================
State # of % of Initial
Loans Pool Balance
===========================================================
California 18 15.05%
- - -----------------------------------------------------------
New York 26 14.08
- - -----------------------------------------------------------
Maryland 9 13.78
- - -----------------------------------------------------------
Colorado 4 12.40
- - -----------------------------------------------------------
Texas 30 8.13
- - -----------------------------------------------------------
New Jersey 13 5.48
- - -----------------------------------------------------------
Georgia 6 4.77
- - -----------------------------------------------------------
Mississippi 3 3.00
- - -----------------------------------------------------------
North Carolina 6 2.89
- - -----------------------------------------------------------
Florida 17 2.85
- - -----------------------------------------------------------
Illinois 3 2.28
- - -----------------------------------------------------------
Louisiana 4 2.27
- - -----------------------------------------------------------
Connecticut 7 2.25
- - -----------------------------------------------------------
Pennsylvania 10 2.09
- - -----------------------------------------------------------
Arizona 8 1.29
- - -----------------------------------------------------------
Massachusetts 3 1.28
- - -----------------------------------------------------------
Alabama 2 0.84
- - -----------------------------------------------------------
Nevada 1 0.79
- - -----------------------------------------------------------
Minnesota 1 0.78
- - -----------------------------------------------------------
Arkansas 2 0.59
- - -----------------------------------------------------------
Indiana 2 0.58
- - -----------------------------------------------------------
South Carolina 3 0.43
- - -----------------------------------------------------------
Tennessee 2 0.40
- - -----------------------------------------------------------
New Hampshire 2 0.27
- - -----------------------------------------------------------
Utah 1 0.25
- - -----------------------------------------------------------
Oklahoma 1 0.24
- - -----------------------------------------------------------
Michigan 1 0.24
- - -----------------------------------------------------------
Missouri 1 0.24
- - -----------------------------------------------------------
Washington 2 0.18
- - -----------------------------------------------------------
Oregon 1 0.17
- - -----------------------------------------------------------
Ohio 1 0.13
===========================================================
Total: 190 100.00%
===========================================================
=========================================================
Loan Type Number % of Initial
Of Loans Pool Balance
=========================================================
Balloon 154 46.9%
- - ---------------------------------------------------------
ARD Loan 31 51.4
- - ---------------------------------------------------------
Fully Amortizing 5 1.8
=========================================================
Total: 190 100.0%
=========================================================
Page 16 of 16
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 ACT OF 1933, 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 SELLERS OF THOSE UNDERLYING ASSETS,
THE ISSUER OF THE SECURITIES OR THEIR RESPECTIVE AFFILIATES AND HAS NOT BEEN
INDEPENDENTLY VERIFIED BY THE UNDERWRITERS OR THEIR RESPECTIVE AFFILIATES. THE
ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND DISSEMINATED BY THE
UNDERWRITERS AND NOT 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
AND WEIGHTED AVERAGE LOAN AGE, LOSS AND OTHER MATTERS, INCLUDING, BUT NOT
LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. NEITHER THE
UNDERWRITERS NOR ANY OF THEIR RESPECTIVE AFFILIATES MAKES ANY 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 HEROF AND BY THE OFFERING DOCUMENT).
LB-UBS COMMERCIAL MORTGAGE
TRUST 2000-C1
COMMERCIAL MORTGAGE PASS-THROUGH
CERTIFICATES, SERIES 2000-C1
INITIAL MORTGAGE POOL BALANCE
APPROXIMATELY $1.37 BILLION
Warburg Dillon Read LEHMAN BROTHERS
MORGAN STANLEY DEAN WITTER DEUTSCHE BANC ALEX.BROWN
<PAGE>
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 ACT OF 1933, 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 SELLERS OF THOSE UNDERLYING ASSETS,
THE ISSUER OF THE SECURITIES OR THEIR RESPECTIVE AFFILIATES AND HAS NOT BEEN
INDEPENDENTLY VERIFIED BY THE UNDERWRITERS OR THEIR RESPECTIVE AFFILIATES. THE
ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND DISSEMINATED BY THE
UNDERWRITERS AND NOT 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
AND WEIGHTED AVERAGE LOAN AGE, LOSS AND OTHER MATTERS, INCLUDING, BUT NOT
LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. NEITHER THE
UNDERWRITERS NOR ANY OF THEIR RESPECTIVE AFFILIATES MAKES ANY 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 HEROF AND BY THE OFFERING DOCUMENT).
<PAGE>
Transaction Highlights
================================================================================
Initial Mortgage Pool Balance: Approximately $1.37 billion
Public Certificates: Approximately $1.28 billion
Private Certificates: Approximately $90.5 million
Co-Lead Managers: Warburg Dillon Read LLC and Lehman Brothers
Inc.
Co-Managers: Morgan Stanley & Co. Incorporated and
Deutsche Bank Securities Inc.
Rating Agencies: Moody's Investor's Service, Inc. & Fitch IBCA
Inc.
E-Bond Offering: First ever public CMBS transaction offered by
Lehman Brothers Inc. and Warburg Dillon Read
LLC over the Internet. Investors with Lehman
accounts will be able to place orders online.
Trustee: LaSalle Bank National Association
Fiscal Agent: ABN AMRO Bank N.V.
Master Servicer: First Union National Bank
Special Servicer: Lennar Partners, Inc.
1
<PAGE>
Transaction Highlights
================================================================================
Determination Date: 11th day of each month or if such day is not
a business day, then the following business
day
Distribution Date: 4th business day after the Determination Date
of each month, commencing in April 2000
Eligibility for Underwriters' Classes A-1, A-2, and X
Prohibited Transaction
Exemption for ERISA Purposes:
DTC: All public certificates
Bloomberg: Cash flows will be modeled on Bloomberg
Denominations: Class Minimum Denomination*
------------------------------ ---------------------
A Classes, B, C, D, E, F and G $10,000
X $250,000
*Increments $1 thereafter.
2
<PAGE>
Transaction Highlights
================================================================================
CMBS "E-Bond" Offering
o LB-UBS 2000-C1 will be the first public CMBS transaction to be offered by
Lehman Brothers Inc. and Warburg Dillon Read LLC over the Internet.
o Subject to approval, investors will have access to the Internet site
through Lehman Brothers' Client Access Site at: www.client.lehman.com
o The Client Access Site will also allow investors to place orders over the
Internet if they so desire.
o On the site, investors will be provided with:
-- General details of the offering (summary of terms, structural
highlights, parties involved in the transaction, etc.)
-- Informational materials such as this book, structural and collateral
term sheets and links to the Bloomberg slide show
-- Roadshow schedule
-- Preliminary/Final Prospectus Supplement
-- Base Prospectus
3
<PAGE>
Structural Highlights
================================================================================
Certificates
[The following table was depicted as a graphic chart in the printed material.]
Offered Certificates Private, 144A Certificates
-------------------- --------------------------
Class A-1 Class H
Class A-2 Class J
Class B Class K
Class C Class L
Class D Class M
Class E Class N
Class F Class P
Class G
Class X
4
<PAGE>
Structural Highlights
================================================================================
Bond Structure
o Sequential pay structure.
o Interest and principal to senior classes before subsequent classes receive
interest and principal.
o Credit enhancement for each class will be provided by the classes which
are subordinate.
o Losses allocated in reverse sequential order starting with the non-rated
principal balance class (Class P).
<TABLE>
<CAPTION>
==================================================================================================================
Original Face Rating Credit Avg. Life(2) Principal
Class Amount ($) (Moody's/Fitch) Support Description(1) (years) Window (2)
==================================================================================================================
<S> <C> <C> <C> <C> <C> <C>
A-1 $395,000,000 Aaa / AAA 20.25% Capped WAC 5.728 04/00 - 05/09
- - ------------------------------------------------------------------------------------------------------------------
A-2 698,271,000 Aaa / AAA 20.25% Capped WAC 9.567 05/09 - 01/10
- - ------------------------------------------------------------------------------------------------------------------
B 75,398,000 Aa2 / AA 14.75% Capped WAC 9.775 01/10 - 01/10
- - ------------------------------------------------------------------------------------------------------------------
C 51,408,000 A2 / A 11.00% Capped WAC 9.799 01/10 - 02/10
- - ------------------------------------------------------------------------------------------------------------------
D 20,563,000 A3 / A- 9.50% Capped WAC 9.858 02/10 - 02/10
- - ------------------------------------------------------------------------------------------------------------------
E 13,708,000 Baa1 / BBB+ 8.50% Capped WAC 9.858 02/10 - 02/10
- - ------------------------------------------------------------------------------------------------------------------
F 13,709,000 Baa2 / BBB 7.50% Capped WAC 9.858 02/10 - 02/10
- - ------------------------------------------------------------------------------------------------------------------
G 12,338,000 Baa3 / BBB- 6.60% Capped WAC 9.858 02/10 - 02/10
- - ------------------------------------------------------------------------------------------------------------------
H 21,934,000 (5) 5.00% Capped WAC 9.858 02/10 - 02/10
- - ------------------------------------------------------------------------------------------------------------------
J 17,136,000 (5) 3.75% Capped WAC 9.858 02/10 - 02/10
- - ------------------------------------------------------------------------------------------------------------------
K 10,281,000 (5) 3.00% Capped WAC 9.903 02/10 - 03/10
- - ------------------------------------------------------------------------------------------------------------------
L 10,967,000 (5) 2.20% Capped WAC 9.983 03/10 - 04/10
- - ------------------------------------------------------------------------------------------------------------------
M 12,338,000 (5) 1.30% Capped WAC 10.227 04/10 - 02/11
- - ------------------------------------------------------------------------------------------------------------------
N 4,113,000 (5) 1.00% Capped WAC 12.359 02/11 - 01/14
- - ------------------------------------------------------------------------------------------------------------------
P 13,709,183 (5) N/A Capped WAC 17.246 01/14 - 03/20
- - ------------------------------------------------------------------------------------------------------------------
X 1,370,873,183(3) Aaa / AAA N/A WAC I/O 8.599(4) 04/00 - 03/20
==================================================================================================================
Total: $1,370,873,183 -- -- -- -- --
==================================================================================================================
</TABLE>
(1) "Capped WAC" describes a coupon equal to the lesser of the initial coupon
for the subject class and a weighted average of net mortgage interest
rates on the underlying mortgage loans.
(2) Expected assuming among other things, 0% CPR, no losses and that ARD loans
pay off on their Anticipated Repayment Date.
(3) Represents notional amount on Class X.
(4) Represents average life of notional amount on Class X.
(5) Not offered hereby.
5
<PAGE>
Structural Highlights
================================================================================
Call Protection
================================================================================
% of Total Pool
================================================================================
Total Loans With Lock-Out 100.0%
- - --------------------------------------------------------------------------------
Loans With Initial Lock-Out & 70.2%
Defeasance Thereafter
- - --------------------------------------------------------------------------------
Loans With Initial Lock-Out & 29.4%
Yield Maintenance Thereafter
- - --------------------------------------------------------------------------------
Weighted Average Remaining 9.3 years
Lock-Out and Defeasance*
- - --------------------------------------------------------------------------------
Weighted Average Open Period 2.5 months
================================================================================
* Only for loans with defeasance.
===============================================================
Open Period at End Number of % of Initial
Of Loan Loans Pool Balance
---------------------------------------------------------------
None 28 10.74
---------------------------------------------------------------
1 Month 32 10.21
---------------------------------------------------------------
2 Months 11 8.16
---------------------------------------------------------------
3 Months 109 68.31
---------------------------------------------------------------
4 Months 1 0.65
---------------------------------------------------------------
6 Months 9 1.92
===============================================================
Total: 190 100.0%
===============================================================
6
<PAGE>
Structural Highlights
================================================================================
Prepayment Premiums*
<TABLE>
<CAPTION>
=============================================================================================================================
Prepayment
Premium 3/1/00 3/1/01 3/1/02 3/1/03 3/1/04 3/1/05 3/1/06 3/1/07 3/1/08 3/1/09 3/1/10
- - -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Lock-Out/Def. 100.0% 100.0% 100.0% 72.2% 70.3% 68.3% 68.3% 77.2% 77.2% 74.4% 100.0%
- - -----------------------------------------------------------------------------------------------------------------------------
Yield Maint. - - - 27.8% 29.7% 31.3% 31.3% 22.8% 22.8% 22.8% -
=============================================================================================================================
Sub-Total 100.0% 100.0% 100.0% 100.0% 100.0% 99.6% 99.6% 100.0% 100.0% 97.2% 100.0%
=============================================================================================================================
=============================================================================================================================
5% - - - - - - - - - - -
- - -----------------------------------------------------------------------------------------------------------------------------
4% - - - - - - - - - - -
- - -----------------------------------------------------------------------------------------------------------------------------
3% - - - - - - - - - - -
- - -----------------------------------------------------------------------------------------------------------------------------
2% - - - - - 0.4% - - - - -
- - -----------------------------------------------------------------------------------------------------------------------------
1% - - - - - - 0.4% - - - -
- - -----------------------------------------------------------------------------------------------------------------------------
Open - - - - - - - - - 2.8% -
=============================================================================================================================
Total 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0%
=============================================================================================================================
</TABLE>
* % represents % of then outstanding balance as of the date shown, assuming
no prepayments and defaults.
7
<PAGE>
Structural Highlights
================================================================================
Prepayment Premium Allocation Example:
The yield maintenance charge due in connection with a prepayment will generally
be equal to the present value of the reduction in interest payments as a result
of the prepayment through the maturity of the prepaid Mortgage Loan, discounted
at the yield (converted from semi-annual to monthly pay) of a Treasury security
of similar maturity in most cases, assuming ARD loans mature on their
Anticipated Repayment Dates.
A portion of any collected prepayment premium will be paid on the Class of
Principal Balance Certificates senior to the Class J Certificates then receiving
principal based on the Discount Rate Fraction Methodology. The following example
reflects that method. The balance of the prepayment premium will be distributed
to the Class X Certificates.
Discount Rate Fraction Methodology:
Mortgage Loan Characteristics of Mortgage Loan being prepaid:
Balance: $10,000,000
Coupon: 8.00%
Maturity: 10 years
Treasury Rate (monthly): 6.50%
Certificate Characteristics:
Class A-1 Coupon: 7.50%
Discount Rate Fraction Example:
<TABLE>
<CAPTION>
============================================================================================
Class A-1 Class X
Certificates Certificates
============================================================================================
<S> <C> <C>
Principal Payment $10,000,000 N/A
- - --------------------------------------------------------------------------------------------
Discount Rate Fraction Calculation
(Class A-1 Coupon - Reinvestment Yield) / (7.50% - 6.50%) /
(100.0% - 66.7%) =
(Gross Mortgage Rate - Reinvestment Yield) = (8.00% - 6.50%) = 33.3%
Discount Rate Fraction = 66.7%
- - --------------------------------------------------------------------------------------------
% of Premium Allocated to Classes 66.7% 33.3%
============================================================================================
</TABLE>
8
<PAGE>
Pool Highlights
================================================================================
o The pool is comprised of conventional conduit loans and investment grade
rated large loans:
================================================================================
Number Total Principal Balance % of Total
of Loans as of Cut-Off Date Mortgage Pool
================================================================================
Conduit 186 $938,197,945 68.4%
- - --------------------------------------------------------------------------------
Investment Grade 4 $432,675,239 31.6%
Rated Large Loans
================================================================================
Total Mortgage
Pool: 190 $1,370,873,184 100.0%
================================================================================
o The investment grade loans have been further de-levered by utilizing the
A/B structure that Lehman developed in LBCMT 1999-C2.
- - --------------- -------- --------------- --------------
---> A Note ---> AA Cashflows* ---> LB-UBS
2000-C1
Investment -------- --------------- --------------
Grade Loan
Rated by Fitch -------- --------------- --------------
A Cashflows
---> B Note ---> --------------- ---> B Note Trust
BBB Cashflows or Holder
- - --------------- -------- --------------- --------------
* Fitch has indicated to the Depositor that a portion of the A Note proceeds
is expected to contribute to AAA cash flows while the remainder of such A
Note proceeds will contribute towards AA cash flows of the LB-UBS 2000-C1
transaction.
o B Note receives no principal until the principal amount on the A Note has
been paid in full.
9
<PAGE>
Pool Highlights
================================================================================
o The A Note DSCR and LTV is set forth below:
================================================================================
A Note DSCR and LTV Characteristics
================================================================================
Cherry Annapolis Mall Westfield Sangertown
Creek Mall Portfolio Square
================================================================================
DSCR(1) 1.71x 1.51x 1.87x 1.76x
- - --------------------------------------------------------------------------------
LTV 47.6% 58.3% 43.0% 40.9%
================================================================================
(1) Based on underwritten net cash flow.
10
<PAGE>
Pool Highlights
================================================================================
================================================================================
General Pool Characteristics as of the Cut-Off Date, March 11, 2000
================================================================================
Size of Pool $1,370,873,184
- - --------------------------------------------------------------------------------
Contributor of Collateral UBS Principal Finance LLC ("UBS") 67.6%
Lehman 32.4%
- - --------------------------------------------------------------------------------
Number of Loans 190
- - --------------------------------------------------------------------------------
Weighted Average Gross WAC 8.336%
- - --------------------------------------------------------------------------------
Weighted Average Remaining WAM(1) 110 months
- - --------------------------------------------------------------------------------
Average Balance $7,215,122
- - --------------------------------------------------------------------------------
Largest Loan $148,497,918
- - --------------------------------------------------------------------------------
Largest Conduit Loan $36,312,585
- - --------------------------------------------------------------------------------
WA DSCR(2) 1.44x
- - --------------------------------------------------------------------------------
Min - Max DSCR(2) 1.20x - 2.43x
- - --------------------------------------------------------------------------------
WA LTV(2) 63.4%
- - --------------------------------------------------------------------------------
Min - Max LTV(2) 33.4% - 79.9%
- - --------------------------------------------------------------------------------
WA LTV at Maturity(2) 57.4%
- - --------------------------------------------------------------------------------
Geographic Diversity 31 states
- - --------------------------------------------------------------------------------
Balloon or ARD Loans 98.2%
================================================================================
(1) Assumes ARD loans mature on their Anticipated Repayment Dates.
(2) Excluding Credit Tenant Lease ("CTL") Loans but including other fully
amortizing loans.
11
<PAGE>
Pool Highlights
================================================================================
Origination and Structuring
o Sponsors of properties securing loans in the LB-UBS 2000-C1 transaction
include the following:
-- Large Loan Sponsors
o Westfield America, Inc.
o Taubman Centers Inc.
o The Pyramid Companies
-- Conduit Sponsors
o Westfield America, Inc.
o Konover Properties
o W.P. Carey
o Capital Senior Living
o The Related Company
12
<PAGE>
Pool Highlights
================================================================================
Origination and Structuring (cont'd)
o Conduit Origination
-- UBS and Lehman re-underwrite loans not directly originated by UBS or
Lehman, respectively--no secondary market loan purchases
-- Underwritten NCF either verified on conduit loans subject to a
variance of 2.5% or re-underwritten by third party service providers
(i.e., by Univest for UBS and by Deloitte & Touche for Lehman)
-- All hospitality loans have "agreed upon procedures" performed by a
"Big Five" accounting firm to verify revenue and expense items
-- Sponsor/principal due diligence performed for all loans using a
combination of either Lexis/Nexis, bank references, Equifax, TRW
reports, litigation searches or other types of credit history checks
-- Appraisals are prepared in accordance with USPAP standards by
approved vendors (all FIRREA appraisals)
-- Substantially all borrowers are single asset entities
-- Non-consolidation opinions
o Delivered for substantially all loans with principal balances
greater than $15 million
o Delivered for all hospitality loans
-- Cash management systems affecting approximately 77.9% of the Pool
balance.
o Springing lockbox - 49.3% of the Pool balance.
o Hard lockbox - 28.6% of the Pool balance.
13
<PAGE>
Pool Highlights
================================================================================
Origination and Structuring (cont'd)
-- Fully Funded Escrows:
<TABLE>
<CAPTION>
=============================================================================================
Pool % of Pool w/ Funded Escrows* Current Balance* Annual Deposits*
- - ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Replacement Reserves 89.5% $1,793,776 $3,437,452
- - ---------------------------------------------------------------------------------------------
Taxes 98.1% N/A $14,256,514
- - ---------------------------------------------------------------------------------------------
Insurance 91.1% N/A $2,156,843
- - ---------------------------------------------------------------------------------------------
TI & LC Commercial 71.9% $2,736,879 $3,811,136
=============================================================================================
</TABLE>
* Excludes Credit Tenant Lease ("CTL") and Large Loans.
14
<PAGE>
Pool Highlights
================================================================================
Origination and Structuring (cont'd)
o Large Loan Origination and Structuring
-- All borrowers are special purpose entities
-- All Large Loans have "agreed upon procedures" or audited statements
performed by a "Big Five" accounting firm to verify income and
expenses
-- All investment grade Large Loan proceeds have been sized to "AA"
leverage levels from Fitch (approximately 31.6% of the Mortgage
Pool)
o Credit Tenant Lease Origination and Structuring
-- All CTL loans are self-amortizing or have the benefit of a residual
value insurance policy.
-- All CTL loans have hard lockboxes.
-- All non "bond" type CTL loans have the benefit of lease enhancement
policies issued by Chubb Custom Insurance
-- Weighted average credit rating of A+/A2 (no credit below A-/A3) by
S&P and Moody's, respectively
-- 2.3% of the Mortgage Pool
15
<PAGE>
Pool Highlights
================================================================================
Property Type: Aggregate Pool
o Multifamily(1), Office, Industrial/Warehouse, Mobile Home Parks, Anchored
Retail and standalone investment grade loans (all of which are Regional
Mall(2) loans) comprise approximately 89.4% of the Initial Pool
Balance.
o Investment grade Regional Mall(2) loans sized to "AA" leverage from
Fitch comprise 31.6% of the Initial Pool Balance.
================================================================================
Property Type (Aggregate Pool)
================================================================================
[The following table was depicted as a pie chart in the printed material.]
Regional Mall(2) 31.6%
Mobile Home Park 2.9%
Mixed Use 0.7%
Multifamily(1) 14.5%
CTL 2.3%
Hotel 2.6%
Office 20.9%
Self Storage 1.0%
Industrial/Warehouse 4.1%
Anchored Retail 15.4%
Unanchored Retail 3.9%
================================================================================
(1) Includes Senior Housing loans.
(2) Regional Mall property type includes Eastland Center property of the
Westfield Portfolio which is a power center.
16
<PAGE>
Pool Highlights
================================================================================
Property Type: Conduit Portion Only
o Multifamily, Mobile Home Park, Industrial/Warehouse, Office and Anchored
Retail comprise approximately 84.6% of the conduit portion of the Mortgage
Pool.
================================================================================
Property Type (Conduit Portion Only)
================================================================================
[The following table was depicted as a pie chart in the printed material.]
Anchored Retail 22.5%
Mobile Home Park 4.2%
Mixed Use 1.1%
Multifamily(1) 21.2%
CTL 3.4%
Hotel 3.8%
Office 30.6%
Self Storage 1.5%
Industrial/Warehouse 6.1%
Unanchored Retail 5.7%
================================================================================
(1) Includes Senior Housing loans.
17
<PAGE>
Pool Highlights
================================================================================
Geographic Diversity
o Loans are secured by properties located in 31 states.
================================================================================
State Distribution
================================================================================
[The following table was depicted as a pie chart in the printed material.]
CA 15.0%
NY 14.1%
MD 13.8%
CO 12.4%
TX 8.1%
HJ 5.5%
GA 4.8%
Other 26.3%
================================================================================
* All other individual states comprise less than 4% of the Initial Pool
Balance.
18
<PAGE>
Pool Highlights
================================================================================
Loan Size Diversity
o 190 mortgage loans
o Average loan size (Aggregate Pool): $7,215,122
o Average loan size (conduit component): $5,044,075
o Largest loan is shadow rated "AA" by Fitch and comprises 10.8% of the
Initial Pool Balance (Cherry Creek Mall)
o Investment grade Large Loans sized to "AA" leverage by Fitch comprise
31.6% of the Initial Pool Balance
================================================================================
Loan Size Distribution
================================================================================
[The following table was depicted as a bar chart in the printed material.]
$ millions % # of Loans
- - ---------- ------ ----------
<$2 4.4% 55
$2-$6 23.0% 87
$6-$10 11.4% 19
$10-$14 10.5% 12
$14-$18 8.1% 7
$18-$24 4.6% 3
$24-$36 3.8% 2
$36-$58 2.6% 1
$58-$66 4.5% 1
$66-$138 16.2% 2
$138> 10.8% 1
================================================================================
19
<PAGE>
Pool Highlights
================================================================================
Debt Service Coverage Ratio(1)
o Weighted average debt service coverage of 1.44x
================================================================================
Debt Service Coverage Ratio
================================================================================
Property Type % of Pool WA DSCR Min - Max DSCR
- - --------------------------------------------------------------------------------
Retail 50.9% 1.56x 1.20x - 1.87x
- - --------------------------------------------------------------------------------
Regional(1,2) 31.6% 1.70x 1.51x - 1.87x
- - --------------------------------------------------------------------------------
Anchored 15.4% 1.33x 1.20x - 1.78x
- - --------------------------------------------------------------------------------
Unanchored 3.9% 1.32x 1.25x - 1.44x
- - --------------------------------------------------------------------------------
Office 20.9% 1.29x 1.22x - 1.47x
- - --------------------------------------------------------------------------------
Multifamily(3) 14.5% 1.30x 1.20x - 1.82x
- - --------------------------------------------------------------------------------
Industrial/Warehouse 4.1% 1.34x 1.20x - 1.52x
- - --------------------------------------------------------------------------------
Mobile Home Park 2.9% 1.39x 1.20x - 1.84x
- - --------------------------------------------------------------------------------
Hotel 2.6% 1.54x 1.40x - 2.43x
- - --------------------------------------------------------------------------------
Limited Service 1.4% 1.65x 1.40x - 2.43x
- - --------------------------------------------------------------------------------
Full Service 1.1% 1.41x 1.40x - 1.42x
- - --------------------------------------------------------------------------------
CTL 2.3% N/A N/A
- - --------------------------------------------------------------------------------
Self Storage 1.0% 1.31x 1.30x - 1.38x
- - --------------------------------------------------------------------------------
Mixed Use 0.7% 1.36x 1.25x - 1.59x
================================================================================
Total: 100.0% 1.44x 1.20x - 2.43x
================================================================================
[The following table was depicted as a bar chart in the printed material.]
# of Loans
----------
1.20x-1.24x 17.9% 28
1.25x-1.29x 20.0% 49
1.30x-1.34x 11.4% 32
1.35x-1.39x 8.4% 23
1.40x-1.49x 4.7% 22
1.50x-1.69x 11.9% 19
1.70x-1.79x 17.8% 6
1.80x-2.59x 8.0% 4
(1) Excludes CTL loans.
(2) All the investment grade Regional Mall loans have been sized to "AA"
leverage by Fitch.
(3) Regional Mall portion includes Eastland Center property of the Westfield
Portfolio which is a power center.
(4) Includes Senior Housing loans.
20
<PAGE>
Pool Highlights
================================================================================
Loan to Value(1)
o Weighted Average Loan to Value of 63.4%
o Weighted Average Loan to Value at Balloon or ARD of 57.4% (including fully
amortizing loans other than CTL loans)
================================================================================
Loan to Value
================================================================================
# of Loans
----------
30%-45% 12.4% 4
45%-50% 11.8% 5
50%-55% 1.4% 7
55%-60% 15.0% 17
60%-65% 6.8% 11
65%-70% 8.0% 29
70%-75% 26.8% 68
75%-80% 18.0% 42
================================================================================
(1) Excludes CTL loans.
21
<PAGE>
Pool Highlights
================================================================================
Credit Tenant Lease Loans
o CTL loans comprise 2.3% of the Initial Pool Balance and have an
approximate weighted average credit rating of A+/A2 (S&P/Moody's).
<TABLE>
<CAPTION>
===============================================================================================
Tenants/Guarantors
===============================================================================================
Tenant/Guarantor Current Balance S&P Rating Moody's Rating
- - -----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Super Stop & Shop (Ahold Guaranty) $14,300,000 A- A3
- - -----------------------------------------------------------------------------------------------
CVS 8,502,001 A A3
- - -----------------------------------------------------------------------------------------------
BellSouth 5,962,636 AAA Aa2
- - -----------------------------------------------------------------------------------------------
Walgreens 3,226,473 A+(1) Aa3
===============================================================================================
TOTAL/WEIGHTED AVG.: 31,991,110 A+ A2
===============================================================================================
</TABLE>
(1) Issuer Credit rating.
22
<PAGE>
Significant Loans
================================================================================
Combined Large Loan Characteristics:
<TABLE>
<CAPTION>
==========================================================================================================================
Cherry Creek Mall
==========================================================================================================================
Note Property Type Cut-Off Date % of Coupon Term to Amortization DSCR LTV
Balance Loan ARD Term
==========================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C> <C>
A Note Retail $148,497,918 83.9% TBD 7 years 25 years(2) 1.71x 47.6%
(Regional Mall)
- - --------------------------------------------------------------------------------------------------------------------------
B Note(1) Retail $28,502,082 16.1% TBD 7 years 25 years(2) - -
(Regional Mall)
==========================================================================================================================
Total / Weighted Average: $177,000,000 100.0% 7.680% 7 years 25 years(2) 1.47x 56.8%
==========================================================================================================================
</TABLE>
(1) Placed privately.
<TABLE>
<CAPTION>
================================================================================================================================
Annapolis Mall
================================================================================================================================
Note Property Type Cut-Off Date % of Coupon Term to Amortization DSCR LTV
Balance Loan ARD Term
================================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C> <C>
A Note Retail $123,031,572 85.4% TBD 10 years 30 years 1.51x 58.3%(3)
(Regional Mall)
- - --------------------------------------------------------------------------------------------------------------------------------
B Note(1) Retail $21,099,647 14.6% TBD 10 years 30 years - -
(Regional Mall)
================================================================================================================================
Total / Weighted Average: $144,131,219 100.0% 8.177% 10 years 30 years 1.31x 68.2%(3)
================================================================================================================================
</TABLE>
(1) Placed privately.
(2) First five years interest only, then 25 year amortization schedule
thereafter.
(3) There is also additional collateral in the form of a $15 million letter of
credit, except that it is subject to release and reduction upon the
satisfaction of certain conditions.
23
<PAGE>
Significant Loans
================================================================================
Combined Large Loan Characteristics (cont'd):
<TABLE>
<CAPTION>
===================================================================================================================================
Westfield Portfolio
===================================================================================================================================
Note Property Type Cut-Off Date % of Coupon Term to Amortization DSCR LTV
Balance Loan ARD Term
===================================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C> <C>
A Note Retail $99,000,000 77.9% TBD 10 years 30 years 1.87x 43.0%
(Regional Mall)
- - -----------------------------------------------------------------------------------------------------------------------------------
B Note(1) Retail $28,128,567 22.1% TBD 10 years 30 years - -
(Regional Mall)
===================================================================================================================================
Total / Weighted Average: $127,128,567 100.0% 8.177% 10 years 30 years 1.49x 55.2%
===================================================================================================================================
</TABLE>
(1) Placed privately.
<TABLE>
<CAPTION>
==================================================================================================================================
Sangertown Square
==================================================================================================================================
Note Property Type Cut-Off Date % of Coupon Term to Amortization DSCR LTV
Balance Loan ARD Term
==================================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C> <C>
A Note Retail $62,145,749 81.4% TBD 10 years 30 years 1.76x 40.9%
(Regional Mall)
- - ----------------------------------------------------------------------------------------------------------------------------------
B Note(1) Retail $14,204,280 18.6% TBD 10 years 30 years - -
(Regional Mall)
==================================================================================================================================
Total / Weighted Average: $76,350,029 100.0% 8.820% 10 years 30 years 1.45x 50.2%
==================================================================================================================================
</TABLE>
(1) Placed privately.
24
<PAGE>
Significant Loans
================================================================================
Cherry Creek Mall; Denver, Colorado:
[PHOTO OMITTED]
[PHOTO OMITTED]
25
<PAGE>
Significant Loans
================================================================================
Cherry Creek Mall:
Principal Amount (A Note): $148,497,918
Interest Rate: TBD (weighted average of A & B Note is
7.680%)
Anticipated Repayment Date: August 11, 2006
Term to ARD: 7 years
Amortization: First five years interest only; 25 year
schedule thereafter; hyper-amortization
commencing after the ARD
Sponsor: Taubman Centers Inc.
Anchors: Foley's, Lord & Taylor, Saks Fifth Avenue
and Neiman Marcus
Property: 1,316,435 square foot, two-level enclosed
regional mall
Location: Denver, Colorado
1999 In-Line Sales/SF: $450
In-Line Cost of Occupancy: 14.6%
Overall Occupancy: 97.5% (based on 12/31/99 rent rolls)
Value: $311.8 million
LTV (A Note): 47.6%
DSCR (A Note): 1.71x
Reserves: Springing (if DSCR falls below 1.30x or an
event of default occurs on combined A & B
Notes, monthly reserve of real estate taxes,
insurance, capital improvements, leasing
commissions and ground lease payments)
Lockbox: Borrower has access to account until DSCR
falls below 1.30x or an event of default
occurs or ARD
26
<PAGE>
Significant Loans
================================================================================
Annapolis Mall; Annapolis, Maryland:
[PHOTO OMITTED]
[PHOTO OMITTED]
27
<PAGE>
Significant Loans
================================================================================
Annapolis Mall:
Principal Amount (A Note): $123,031,572
Interest Rate: TBD (weighted average of A & B Note is
8.177%)
Anticipated Repayment Date: December 11, 2009
Term to ARD: 10 years
Amortization: 30 years; hyper-amortization commencing after
the ARD
Sponsor: Westfield America, Inc.
Anchors: Hechts, Nordstrom, Lord & Taylor, JC Penney
and Montgomery Ward
Property: 1,116,630 square foot regional shopping
center
Location: Annapolis, Maryland
1999 In-Line Sales/SF: $415
In-Line Cost of Occupancy: 12.7%
Overall Occupancy: 98.9% (based on 2/1/00 rent rolls)
Value: $211.2 million(1)
LTV: 58.3%
DSCR: 1.51x
Reserves: Springing (if DSCR falls below 1.25x or an
event of default occurs, lockbox will be
established for tenant improvements, leasing
commissions, operating expenses and
replacement reserves)
Lockbox: Hard for debt service, tax and insurance;
Springing for reserves
(1) There is also additional collateral in the form of a $15 million letter of
credit, except that it is subject to release or reduction upon
satisfaction of certain considerations.
28
<PAGE>
Significant Loans
================================================================================
Westfield Portfolio (Downtown Plaza; Sacramento, California):
[PHOTO OMITTED]
[PHOTO OMITTED]
29
<PAGE>
Significant Loans
================================================================================
Westfield Portfolio (Eastland Center; West Covina, California):
[PHOTO OMITTED]
30
<PAGE>
Significant Loans
================================================================================
Westfield Portfolio:
Principal Amount (A Note): $99,000,000
Interest Rate: TBD (weighted average of A & B Note is
8.177%)
Anticipated Repayment Date: December 11, 2009
Term to ARD: 10 years
Amortization: 30 years; hyper-amortization commencing after
the ARD
Sponsor: Westfield America, Inc.
Anchors: Macy's, Macy's Men's & Furniture, Target,
Mervyn's and Burlington Coat Factory
Property: Downtown Plaza, a 1,191,347 square foot
regional shopping mall and Eastland Center,
an 846,781 square foot power center. Total
GLA: 2,038,128 square feet
Location: California
Value: $230.2 million
LTV (A Note): 43.0%
DSCR (A Note): 1.87x
Reserves: Springing (if DSCR falls below 1.25x or if an
event of default occurs, lockbox will be
established for replacement reserves, leasing
commissions, tenant improvements, and
operating expenses)
Lockbox: Hard for debt service, tax and insurance;
Springing for reserves
31
<PAGE>
Significant Loans
================================================================================
Westfield Portfolio (cont'd):
<TABLE>
<CAPTION>
====================================================================================================================================
Property Characteristics
====================================================================================================================================
1999 In-Line
Property Location Total In-Line GLA In-Line Overall Cost of Anchors
GLA (SF) (SF) Sales/SF Occupancy(1) Occupancy
- - ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Downtown Plaza Sacramento, CA 1,191,347 405,258 $314 96.9% 12.9% Macy's and Macy's
Men's & Furniture
- - ------------------------------------------------------------------------------------------------------------------------------------
Eastland Center West Covina, CA 846,781 544,981 $217 97.0% 4.0% Target, Mervyn's, and
Burlington Coat Factory
====================================================================================================================================
Total/Weighted Average: $271 96.9% 9.0% --
====================================================================================================================================
</TABLE>
(1) Based on 2/1/00 rent rolls.
32
<PAGE>
Significant Loans
================================================================================
Sangertown Square; New Hartford, New York:
[PHOTO OMITTED]
33
<PAGE>
Significant Loans
================================================================================
Sangertown Square:
Principal Amount (A Note): $62,145,749
Interest Rate: TBD (weighted average of A & B Note is
8.820%)
Anticipated Repayment Date: December 1, 2009
Term to ARD: 10 years
Amortization: 30 years; hyper-amortization commencing after
the ARD
Sponsor: The Pyramid Companies
Anchors: Sears, Kaufmann's, JC Penney and Bradlees
Property: 855,360 square foot, fully enclosed regional
mall
Location: New Hartford, New York
1999 In-Line Sales/PSF: $370
In-Line Cost of Occupancy: 11.6%
Overall Occupancy: 93.7% (based on 2/00 rent roll)
Value (A Note): $152.0 million
LTV (A Note): 40.9%
DSCR: 1.76x
Reserves: Replacement: $175,000/year; Tenant Rollover:
$200,000/year; Renovation: $2,000,000(1); Tax
& Insurance: Funded monthly based on
estimated annual expenses; Debt Service: One
month of debt service(2)
Lockbox: Hard
(1) In the event that the borrower has not substantially completed a major
renovation of the property by 12/1/08, borrower will be required to
establish such renovation reserve.
(2) Subject to release based on achievement of certain NOI tests (trailing 12
months NOI should at least be $11.3 million).
34
<PAGE>
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 Servicer 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>
35
<PAGE>
Timeline
================================================================================
Date Event
================================ =============================================
Week of March 13th, 2000 Structural & Collateral Term Sheets Available
Red Herrings Available
Rating Agency Pre-Sale Reports Available
Internet Access Site Available
Road shows
- - --------------------------------------------------------------------------------
Week of March 20th, 2000 Road shows (cont'd)
Investor Calls
- - --------------------------------------------------------------------------------
Week of March 27th, 2000 Pricing
- - --------------------------------------------------------------------------------
April 6th, 2000 Closing
- - --------------------------------------------------------------------------------
36
