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Previous: STARBUCKS CORP, 10-K, EX-27, 2000-12-22 |
Next: OPPENHEIMER MULTI SECTOR INCOME TRUST, NSAR-B, 2000-12-22 |
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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) December 22, 2000
LEHMAN ABS CORPORATION
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(Exact name of registrant as specified in its charter)
Delaware 333-76627 13-3447441
---------------------------- ----------- ------------------
(State or Other Jurisdiction (Commission (I.R.S. Employer
of Incorporation) File Number) Identification No.)
Three World Financial Center
200 Vesey Street
New York, New York 10022
---------------------------- ---------
(Address of Principal (Zip Code)
Executive Offices)
Registrant's telephone number, including area code (212) 526-7000
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<PAGE>
Item 5. Other Events.*
On December 1, 2000, Lehman ABS Corporation (the "Company") entered into
a Pooling and Servicing Agreement dated as of December 1, 2000 (the "Pooling
and Servicing Agreement"), by and among the Company, as depositor, Sovereign
Bank ("Sovereign"), as seller and as master servicer, and State Street Bank
and Trust Company, as trustee (the "Trustee"), providing for the issuance of
the Sovereign Bank Home Equity Loan Asset-Backed Certificates, Series 2000-1.
The statistical information presented in the Prospectus Supplement
concerning the pool of Mortgage Loans does not reflect all of the Mortgage
Loans which were included in the final pool on the Closing Date. Set forth
below is statistical information concerning the final Mortgage Pool.
Description of the Mortgage Pool
The closed-end fixed rate home equity loans having conforming balances
(the "Mortgage Loans") were purchased by the Seller or an affiliate in
accordance with the policies set forth under the heading "THE SELLER AND THE
MASTER SERVICER--Underwriting Guidelines." All of the Mortgage Loans are home
equity loans bearing fixed interest rates (the "Loan Rates") and evidenced by
promissory notes (the "Mortgage Notes") secured by deeds of trust or mortgages
on Mortgaged Properties.
All of the Mortgage Loans have conforming balances which do not exceed,
in the case of first mortgages secured by one-family, two-family, three-family
and four-family residential properties, $252,700, $323,400, $390,900 and
$485,800, respectively and, in the case of second mortgages, $126,350.
The pool of Mortgage Loans (the "Mortgage Pool") consists of mortgage
loans owned by the Seller which as of the close of business on November 30,
2000 (the "Cut-Off Date") are eligible to be included in the final Mortgage
Pool. The "Cut-Off Date Principal Balance" with respect to each Mortgage Loan
is the unpaid principal balance thereof as of the Cut-Off Date. The "Principal
Balance" of a Mortgage Loan (other than a Liquidated Mortgage Loan) on any day
is equal to its Cut-Off Date Principal Balance, minus all collections applied
in reduction of the Cut-Off Date Principal Balance of such Mortgage Loan.
The Mortgage Loans are secured by either first-lien or second-lien
mortgages or deeds of trust on Mortgaged Properties located in 45 states and
the District of Columbia. The Mortgaged Properties may be owner-occupied and
non-owner occupied (which includes second and vacation homes). The "Cut-Off
Date Principal Balance" with respect to each Mortgage Loan is the unpaid
principal balance thereof as of the Cut-Off Date. The final Mortgage Pool
consists of 5,556 Mortgage Loans with an aggregate Cut-Off Date Principal
Balance of $369,344,150.26 (the "Cut-Off Date Pool Principal Balance").
Approximately 75.06% of the Mortgage Loans (by Cut-Off Date Pool Principal
Balance) will bear interest at a fixed rate that is calculated on the "simple
interest" method and the remainder of the Mortgage Loans are "actuarial."
Approximately 48.08% of the Mortgage Loans (by Cut-Off Date Pool Principal
Balance) will have original terms to stated maturity of up to 15 years and
amortization schedules of up to 30 years ("Balloon Loans"), leaving a
substantial payment due at the stated maturity (each, a "Balloon Payment"). As
of the Cut-Off Date, the maximum Cut-Off Date Principal Balance of any of the
Mortgage Loans was $248,016.86, the minimum Cut-Off Date Principal Balance
thereof was $5,489.38, and the Cut-Off Date Principal Balance of such Mortgage
Loans averaged $66,476.63. As of the Cut-Off Date, the Loan Rates on the
Mortgage Loans ranged from 9.313% to 15.000% per annum, and the weighted
average Loan Rate for the Mortgage Loans was approximately 10.649% per annum.
As of the Cut-Off Date, the original term to stated maturity of the Mortgage
Loans ranged from 60 months to 360 months, the remaining term to stated
maturity ranged from 43 months to 359 months, the weighted average original
term to stated maturity was approximately 232 months, the weighted average
remaining term to stated maturity was approximately 222 months. The Combined
Loan-to-Value Ratio for the Mortgage Loans ranged from approximately 7.69% to
approximately 95.00% with a weighted average Combined Loan-to-Value Ratio of
approximately 79.43%. Each Mortgage Loan was originated on or after July
6,1994. The Mortgage Loans had stated maturities ranging from July 9, 2004 to
October 1, 2030. Approximately 88.59% of the Mortgage Loans (by Cut-Off Date
Pool Principal Balance) are secured by first liens, and approximately 11.41%
by second liens. With respect to each Mortgage Loan in the first lien
position, the maximum original principal balance was $250,000.00 for
single-family properties and $240,000.00 for two- to- four family properties.
No Mortgage Loan which represents a second lien on the related Mortgaged
Property had an original principal balance of more than $125,000.00. With
respect to each Mortgage Loan in the second lien position at origination, the
sum of the unpaid principal balances of the first and second liens on the
related Mortgaged Property as of such origination did not exceed $401,096.00.
Approximately 51.92% of the Mortgage Loans require monthly payments of
principal that will fully amortize such Mortgage Loans by their respective
maturity dates (assuming all payments are received on the Due Date), and
approximately 48.08% of the Mortgage Loans were Balloon Loans. As of the
Cut-Off Date, approximately 1.83% of the Mortgage Loans (by Cut-Off Date Pool
Principal Balance) were 30 to 59 days delinquent. As of the Cut-Off Date, no
Mortgage Loan was 60 or more days delinquent.
Approximately 75.06% of the Mortgage Loans (based on Cut-Off Pool
Principal Balance) accrue interest on a "simple interest" basis (the "Simple
Interest Loans") pursuant to which interest is computed and charged to the
mortgagor on the outstanding Principal Balance of the related Mortgage Loan
based on the number of days elapsed between the date through which interest
was last paid on the Mortgage Loan through the date of receipt of the
mortgagor's most current payment. Accordingly, portions of each monthly
payment that are allocated to interest and principal are adjusted based on the
actual amount of interest charged on such basis.
______________
* Capitalized terms used and not otherwise defined herein shall have the
meanings assigned to them in the Prospectus dated November 29, 2000 and
the Prospectus Supplement dated December 4, 2000, of Lehman ABS
Corporation, relating to its Sovereign Bank Home Equity Loan Asset-Backed
Certificates, Series 2000-1.
<PAGE>
The following tables describe characteristics of the Mortgage Loans
as of the Cut-Off Date. All percentages set forth below have been calculated
based on the principal balance of the Mortgage Loans as of the date set forth
below. The sum of the columns may not equal the respective totals due to
rounding.
<TABLE>
<CAPTION>
Cut-Off Date Principal Balances
Range of Cut-Off Date Principal Number of Cut-Off Date Principal % of Cut-Off Date Pool
Balances ($) Mortgage Loans Balance ($) Principal Balance
<S> <C> <C> <C> <C>
5,000.01 - 10,000.00 11 100,617.30 0.03
10,000.01 - 15,000.00 95 1,272,137.23 0.34
15,000.01 - 20,000.00 192 3,509,611.92 0.95
20,000.01 - 25,000.00 260 5,984,594.46 1.62
25,000.01 - 50,000.00 1,581 60,368,174.01 16.34
50,000.01 - 75,000.00 1,626 100,660,415.84 27.25
75,000.01 - 100,000.00 874 75,297,653.35 20.39
100,000.01 - 150,000.00 713 84,926,513.10 22.99
150,000.01 - 200,000.00 151 25,540,228.39 6.92
200,000.01 - 250,000.00 53 11,684,204.66 3.16
Total: 5,556 369,344,150.26 100.00
</TABLE>
<TABLE>
<CAPTION>
Geographic Distribution by State
Geographic Distribution by State Number of Cut-Off Date Principal % of Cut-Off Date Pool
Mortgage Loans Balance ($) Principal Balance
<S> <C> <C> <C>
OH 747 46,885,141.46 12.69
NY 444 33,779,039.87 9.15
NC 447 31,804,558.92 8.61
MI 442 28,221,542.55 7.64
PA 413 25,649,908.84 6.94
IL 312 21,432,433.97 5.80
IN 275 15,597,641.13 4.22
MA 238 14,466,761.14 3.92
SC 231 14,268,067.58 3.86
MD 172 13,593,118.44 3.68
NJ 142 13,359,371.45 3.62
TN 155 11,439,228.31 3.10
FL 158 10,033,367.25 2.72
GA 140 9,919,384.89 2.69
VA 135 9,797,559.13 2.65
</TABLE>
<TABLE>
<CAPTION>
Geographic Distribution by State (continued)
Geographic Distribution by State Number of Cut-Off Date Principal % of Cut-Off Date Pool
Mortgage Loans Balance ($) Principal Balance
<S> <C> <C> <C>
KY 124 8,014,593.74 2.17
MO 116 6,724,151.04 1.82
CT 114 6,690,205.38 1.81
MN 80 5,712,361.26 1.55
WI 72 4,796,400.37 1.30
IA 57 3,705,850.04 1.00
AL 61 3,537,144.58 0.96
KS 52 3,520,937.70 0.95
TX 43 3,071,795.53 0.83
OK 46 2,878,745.89 0.78
RI 49 2,728,275.15 0.74
WV 45 2,696,728.94 0.73
DE 28 2,222,818.35 0.60
CO 35 2,052,715.15 0.56
LA 26 1,576,590.72 0.43
NH 28 1,309,625.37 0.35
MS 24 1,134,028.27 0.31
NM 20 1,081,585.13 0.29
DC 9 1,005,561.42 0.27
WA 9 907,991.70 0.25
CA 10 842,620.42 0.23
NE 17 773,178.93 0.21
AZ 9 465,021.60 0.13
AR 8 428,859.13 0.12
ME 6 384,604.25 0.10
UT 7 247,281.19 0.07
MT 3 185,332.69 0.05
VT 3 168,194.14 0.05
OR 2 103,581.58 0.03
AK 1 72,876.24 0.02
ID 1 57,369.43 0.02
Total: 5,556 369,344,150.26 100.00
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</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Loan Rates
Loan Rates (%) Number of Cut-Off Date Principal % of Cut-Off Date Pool
Mortgage Loans Balance ($) Principal Balance
<S> <C> <C> <C>
9.001 - 9.500 347 28,173,205.14 7.63
9.501 - 10.000 1,368 105,194,779.50 28.48
10.001 - 10.500 862 59,580,148.37 16.13
10.501 - 11.000 1,064 69,568,665.21 18.84
11.001 - 11.500 629 38,833,229.88 10.51
11.501 - 12.000 671 40,683,103.98 11.01
12.001 - 12.500 274 14,009,378.64 3.79
12.501 - 13.000 200 8,235,708.85 2.23
13.001 - 13.500 69 2,310,630.32 0.63
13.501 - 14.000 46 1,711,670.15 0.46
14.001 - 14.500 19 694,421.64 0.19
14.501 - 15.000 7 349,208.58 0.09
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Total: 5,556 369,344,150.26 100.00
Original Term to Stated Maturity
Original Term to Stated Maturity Number of Cut-Off Date Principal % of Cut-Off Date Pool
(months) Mortgage Loans Balance ($) Principal Balance
1 - 60 15 634,706.47 0.17
61 - 120 295 11,106,765.14 3.01
121 - 180 3,381 219,557,846.41 59.45
181 - 240 676 37,226,742.53 10.08
241 - 300 68 4,817,451.39 1.30
301 - 360 1,121 96,000,638.32 25.99
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Total: 5,556 369,344,150.26 100.00
Remaining Months to Stated Maturity
Remaining Months to Stated Maturity Number of Cut-Off Date Principal % of Cut-Off Date Pool
(months) Mortgage Loans Balance ($) Principal Balance
37 - 48 4 97,608.93 0.03
49 - 60 11 537,097.54 0.15
61 - 72 6 191,512.86 0.05
73 - 84 9 464,792.13 0.13
85 - 96 3 103,459.58 0.03
97 - 108 129 5,007,959.99 1.36
109 - 120 157 5,567,315.05 1.51
121 - 132 5 202,499.65 0.05
133 - 144 2 71,854.86 0.02
145 - 156 8 408,917.02 0.11
157 - 168 1,438 97,693,203.09 26.45
169 - 180 1,921 120,978,691.79 32.76
181 - 192 1 105,838.92 0.03
193 - 204 3 286,214.38 0.08
205 - 216 5 305,610.66 0.08
217 - 228 223 12,289,986.20 3.33
229 - 240 442 24,213,497.90 6.56
241 - 252 1 101,747.65 0.03
253 - 264 1 76,746.23 0.02
265 - 276 2 78,772.18 0.02
277 - 288 25 1,782,642.98 0.48
289 - 300 39 2,777,542.35 0.75
301 - 312 1 46,229.72 0.01
325 - 336 7 604,468.71 0.16
337 - 348 418 34,872,345.84 9.44
349 - 360 695 60,477,594.05 16.37
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Total: 5,556 369,344,150.26 100.00
Seasoning
Seasoning (months) Number of Cut-Off Date Principal % of Cut-Off Date Pool
Mortgage Loans Balance ($) Principal Balance
1 - 6 1,309 79,903,018.53 21.63
7 - 12 2,351 162,237,692.77 43.93
13 - 18 1,772 119,117,023.73 32.25
19 - 24 98 7,188,415.18 1.95
25 - 30 10 457,289.39 0.12
31 - 36 1 31,045.70 0.01
43 - 48 1 111,805.50 0.03
49 - 54 2 30,054.05 0.01
55 - 60 1 13,936.47 0.00
61 - 66 4 92,335.35 0.02
67 - 72 5 99,705.51 0.03
73 - 78 2 61,828.08 0.02
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Total: 5,556 369,344,150.26 100.00
Property Type
Property Type Number of Cut-Off Date Principal % of Cut-Off Date Pool
Mortgage Loans Balance ($) Principal Balance
Single Family 5,311 352,420,104.21 95.42
Two-to-Four Family 178 12,776,807.38 3.46
Condo 67 4,147,238.67 1.12
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Total: 5,556 369,344,150.26 100.00
Occupancy Status
Occupancy Status Number of Cut-Off Date Principal % of Cut-Off Date Pool
Mortgage Loans Balance ($) Principal Balance
Owner Occupied 5,500 366,546,235.46 99.24
Non Owner Occupied 56 2,797,914.80 0.76
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Total: 5,556 369,344,150.26 100.00
Combined Loan to Value
Combined Loan-to-Value Ratios (%) Number of Cut-Off Date Principal % of Cut-Off Date Pool
Mortgage Loans Balance ($) Principal Balance
5.01 - 10.00 3 109,012.68 0.03
10.01 - 15.00 5 115,792.76 0.03
15.01 - 20.00 14 345,742.38 0.09
20.01 - 25.00 18 599,572.82 0.16
25.01 - 30.00 35 1,373,006.85 0.37
30.01 - 35.00 29 1,067,723.82 0.29
35.01 - 40.00 51 2,097,421.21 0.57
40.01 - 45.00 59 2,182,988.80 0.59
45.01 - 50.00 75 3,129,596.22 0.85
50.01 - 55.00 84 4,302,852.30 1.16
55.01 - 60.00 116 5,966,857.59 1.62
60.01 - 65.00 148 7,874,871.31 2.13
65.01 - 70.00 278 15,547,065.09 4.21
70.01 - 75.00 534 31,727,634.84 8.59
75.01 - 80.00 1,975 135,305,574.36 36.63
80.01 - 85.00 1,181 82,566,926.07 22.36
85.01 - 90.00 940 74,418,548.47 20.15
90.01 - 95.00 11 612,962.69 0.17
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Total: 5,556 369,344,150.26 100.00
Credit Grade
Credit Grade Number of Cut-Off Date Principal % of Cut-Off Date Pool
Mortgage Loans Balance ($) Principal Balance
A 1,945 131,949,587.02 35.73
A2 1,904 129,668,379.48 35.11
AA 1,105 74,922,041.75 20.29
B 502 28,364,906.09 7.68
C 100 4,439,235.92 1.20
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Total: 5,556 369,344,150.26 100.00
</TABLE>
<PAGE>
Item 7. Financial Statements, Pro Forma Financial
---- -----------------------------------------
Information and Exhibits.
------------------------
(a) Not applicable.
(b) Not applicable.
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.
LEHMAN ABS CORPORATION
By: /s/ Samir A. Tabet
-----------------------------
Name: Samir A. Tabet
Title: Senior Vice President
Dated: December 22, 2000
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