================================================================================
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) August 28, 1997
Prudential Securities Secured Financing Corporation
(Exact name of registrant as specified in its charter)
New York 33-84918 13-3526694
(State or Other (Commission File (I.R.S. Employer
Jurisdiction of Incorporation) Number) Identification No.)
One New York Plaza
New York, New York 10292
(Address of Principal Executive Offices) (Zip Code)
Registrant's telephone number, including area code (212) 778-1000
No Change
- --------------------------------------------------------------------------------
(Former name or former address, if changed since last report)
================================================================================
<PAGE>
Item 5. Other Events
In connection with the offering by First Sierra Equipment Contract Trust
1997-1, a trust to be formed by Prudential Securities Financing Corporation (the
"Depositor") pursuant to a trust agreement among the Depositor, First Sierra
Receivables IV, Inc. and the trustee named therein, of Equipment Contract-Backed
Notes, Class A, Series 1997-1, described in the Preliminary Prospectus
Supplement dated as of August 22, 1997 and the Prospectus dated as of December
2, 1994, certain revised "Computational Materials" within the meanings of the
May 20, 1994 Kidder, Peabody No-Action Letter and the February 17, 1995 Public
Securities Association No-Action Letter to the Computational Materials
originally distributed on August 22, 1997 were furnished to certain prospective
investors on August 28, 1997 (the "Related Computational Materials").
Item 7. Financial Statements, Pro Forma Financial Information and Exhibits.
(a) Not applicable
(b) Not applicable
(c) Exhibit 99.1. Related Computational Materials (as defined in Item 5
above).
<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.
PRUDENTIAL SECURITIES SECURED
FINANCING CORPORATION, as
Depositor and on behalf of First
Sierra Equipment Contract Trust
1997-1
By: /s/ Norman Chaleff
-------------------------
Name: Norman Chaleff
Title: Vice President
Dated: August 28, 1997
<PAGE>
EXHIBIT INDEX
Exhibit No. Description Page No.
99.1 Related Computational Materials 5
(as defined in Item 5 above).
EXHIBIT 99.1
Preliminary Background Information for
First Sierra Equipment Contract Trust 1997-1
Contract Backed Notes
[$32,998,000] [5.732]% Class A-1 Contract Backed Notes
[$85,479,000] [6.350]% Class A-2 Contract Backed Notes
[$51,527,000] [6.350]% Class A-3 Contract Backed Notes
[$38,238,000] [6.350]% Class A-4 Contract Backed Notes
The analysis in this report is accurate to the best of PSI's knowledge and is
based on information provided by the Transferor. PSI makes no representations as
to the accuracy of such information provided to it by the Transferor. All
assumptions and information in this report reflect PSI's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PSI does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in this analysis. The decision to adopt
any strategy remains your responsibility. PSI (or any of its affiliates) or
their officers, directors, analysts or employees may have positions in
securities, commodities or derivative instruments thereon referred to here, and
may, as principal or agent, buy or sell such securities, commodities or
derivative instruments. In addition, PSI may make a market in the securities
referred to herein. Neither the information nor the assumptions reflected herein
shall be construed to be, or constitute, an offer to sell or buy or a
solicitation of an offer to sell or buy any securities, commodities or
derivative instruments mentioned herein. No sale of any securities, commodities
or derivative instruments should be consumated without the purchaser first
having received a prospectus and, if required, prospectus supplement. Finally,
PSI has not addressed the legal, accounting and tax implications of the analysis
with respect to you, and PSI strongly urges you to seek advice from your
counsel, accountant and tax advisor.
<PAGE>
Preliminary Background Information for
First Sierra Equipment Contract Trust 1997-1
Contract Backed Notes
PRICING INFORMATION
-------------------
Class: A-1 A-2 A-3 A-4
Approximate
Face Amount: $[32,998,000] $[85,479,000] $[51,527,000] $[38,238,000]
S&P/Moody's
Ratings: [A1/P1] [AAA/Aaa] [AAA/Aaa] [AAA/Aaa]
Coupon: [5.732]% [6.350]% [6.350]% [6.350]%
Approximate
Price: [100-00 ] [100-10 ] [100-01+] [99-07 ]
Yield: [5.868 ]% [6.209 ]% [6.417 ]% [6.637 ]%
Spread: [6 ]bps [34 ]bps [37 ]bps [45 ]bps
Avg Life: [0.4] yrs [1.5] yrs [3.0] yrs [4.6] yrs
1st Prin
Payment: 10/10/97 05/10/98 1/10/00 06/10/01
Exp Mat: 5/10/98 1/10/00 6/10/01 10/10/03
Stated Mat: [09/10/98] 7/10/00 12/10/01 09/10/04
Pricing Spd: 4% CPR 4% CPR 4% CPR 4% CPR
Pricing Date: [8/28/97] [8/28/97] [8/28/97] [8/28/97]
Expected
Settle Date: [9/10/97] [9/10/97] [9/10/97] [9/10/97]
Pmt Delay: 0 days 0 days 0 days 0 days
Dated Date: [9/10/97] [9/10/97] [9/10/97] [9/10/97]
Int Pmt: ACT/360 30/360 30/360 30/360
Pmt Terms: Monthly Monthly Monthly Monthly
1st Pmt Date: 10/10/97 10/10/97 10/10/97 10/10/97
Distribution: Public Public Public Public
Offering Offering Offering Offering
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
<PAGE>
Preliminary Background Information for
First Sierra Equipment Contract Trust 1997-1
Contract Backed Notes
Title of Securities: First Sierra Equipment Contract Trust 1997-1
Class A-1, Class A-2, Class A-3, Class A-4 Notes
(collectively, the "Class A Notes") and Class
B-1, Class B-2, Class B-3 Notes (collectively,
the "Class B Notes") (together with the Class A
Notes, the "Notes") and the Trust Certificate
(together with the Notes, the "Securities").
Securities Offered: [$32,998,000] [5.732 ]% Class A-1 Notes equal to
[14.4]% of the aggregate discounted contract
principal balance of the contract payments [sold
by the Transferor to the Trust at closing] (the
"ADCPB"). [$85,479,000] [6.350 ]% Class A-2
Notes, equal to [37.2]% of the ADCPB
[$51,527,000] [6.350 ]% Class A-3 Notes, equal
to [22.4]% of the ADCPB [$38,238,000] [6.350 ]%
Class A-4 Notes, equal to [16.6]% of the ADCPB
The contract payments are discounted at [7.059]%
and was calculated using (a) the Class A-4 Note
Rate and Class B Note Rates, (b) the rate to the
Insurer, (c) the rate to the Class B-2 credit
provider, (d) the Servicing Fee (50 bps), (e)
the Back-up Servicing Fee ([2] bps), and (f) the
Indenture Trustee Fee ([2] bps).
Trust: First Sierra Equipment Contract Trust 1997-1
Transferor: First Sierra Receivables IV, Inc. (the
"Transferor"), a bankruptcy-remote, special
purpose corporation wholly-owned by First Sierra
Financial, Inc., the Servicer for the
transaction.
Depositor: Prudential Securities Secured Financing
Corporation
Rating: [Class A-1 Notes -- A1/P1 rated by S&P/Moody's
Class A-2 Notes -- AAA/Aaa rated by S&P/Moody's
Class A-3 Notes -- AAA/Aaa rated by S&P/Moody's
Class A-4 Notes -- AAA/Aaa rated by S&P/Moody's]
Optional Termination
By Transferor: The Transferor, with the consent of the Note
Insurer, may call the Notes at par plus accrued
after the outstanding aggregate Note Balance is
less than 10% of the initial aggregate Note
Balance. Upon such termination, amounts owed to
the Note Insurer and the Class B-2 credit
provider must be paid.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
<PAGE>
Preliminary Background Information for
First Sierra Equipment Contract Trust 1997-1
Contract Backed Notes
Cashflow Priority: On each Payment Date, assuming that a Restricting
Event does not exist, distributions will be made by
the Trustee according to the following priority:
(i) Servicing fee and unreimbursed servicer advances;
(ii) Back-up servicing fee;
(iii) Surety fee;
(iv) Indenture Trustee fee;
(v) Trustee Expenses (upto $75,000);
(vi) Class A-1 current and overdue interest;
(vii) Class A-2 current and overdue interest;
(viii) Class A-3 current and overdue interest;
(ix) Class A-4 current and overdue interest;
(x) Class B-1 current and overdue interest*;
(xi) Class B-2 credit provider fee;
(xii) Class B-2 current and overdue interest*;
(xiii) Class A principal distribution amount**;
(xiv) Surety Reimbursement Amount;
(xv) Class B-1 current and overdue principal**;
(xvi) Class B-2 current and overdue principal**;
(xvii) Class B-2 credit provider reimbursement amount;
(xviii)Class B-3 current and overdue interest;
(xix) Class B-3 current and overdue principal**;
(xx) To the Trust Certificate (retained by
First Sierra Financial), the remaining amount to
the extent of Available Funds, provided that the
Trust Certificate Principal Balance exceeds
approximately 2% of the initial ADCPB.
* Interest payments to the Class B-1 and Class B-2 Noteholders will be paid
as described above, to the extent the disbursement of such interest does
not cause a shortfall that would cause the Note Insurer to make an Insured
Payment.
** If a Restricting Event exists, principal payments due the Securities will
be paid
(i) first to Class A-1 until the Class A-1 principal balance is reduced to
zero,
(ii) then to Class A-2 until the Class A-2 principal balance is reduced to
zero,
(iii) then to Class A-3 until the Class A-3 principal balance is reduced to
zero,
(iv) then to Class A-4 until the Class A-4 principal balance is reduced to
zero,
(v) then to Class B-1 until the Class B-1 principal balance is reduced to
zero,
(vi) then to Class B-2 until the Class B-2 principal balance is reduced to
zero,
(v) then to Class B-3 until the Class B-3 principal balance is reduced to
zero,
(vi) then to the Trust Certificate, the remaining principal payments.
Principal Distribution: On each Payment Date total principal to be
distributed will generally be equal to the
difference between (i) the ADCPB of the
contracts as of the last day of the second
preceding Collection Period and (ii) the ADCPB
of the contracts as of the the last day of the
immediately preceding Collection Period (such
difference, the "Base Principal Amount.")
Class A Principal: On each Payment Date, the regular principal
payment to the Class A Notes, as described in
the Cash Flow Priority section above, will
generally be equal to the product of (i) the
Class A Percentage [92%] and (ii) the Base
Principal Amount.
Class B-1 Principal: On each Payment Date, the regular principal
payment to the Class B-1 Notes, as described in
the Cash Flow Priority section above, will
generally be equal to the product of (i) the
Class B-1 Percentage [2%] and (ii) the Base
Principal Amount.
Class B-2 Principal: On each Payment Date, the regular principal
payment to the Class B-2 Notes, as described in
the Cash Flow Priority section above, will
generally be equal to the product of (i) the
Class B-2 Percentage [2%] and (ii) the Base
Principal Amount.
Class B-3 Principal: On each Payment Date, the regular principal
payment to the Class B-3 Notes, as described in
the Cash Flow Priority section above, will
generally be equal to the product of (i) the
Class B-3 Percentage [2%] and (ii) the Base
Principal Amount.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
<PAGE>
Preliminary Background Information for
First Sierra Equipment Contract Trust 1997-1
Contract Backed Notes
Credit Enhancement
Subordination: Class A: The Class B Notes and the Trust
Certificate are subordinate to the Class
A Notes. In addition, an insurance
policy will be provided by MBIA, as
described below.
Class B-1: The Class B-2 and the Class B-3 Notes
and the Trust Certificate are
subordinate to the Class B-1 Notes.
Class B-2 The Class B-3 and the Trust Certificate
are subordinate to the Class B-2 Notes.
Class B-3: The Trust Certificate is subordinate to
the Class B-3 Notes.
Trust Certificate The Trust Certificate is subject to a floor of 2% of the
Lockout: initial ADCPB. The Trust Certificate will not receive
any payments unless the difference between (i) the ADCPB
and (ii) the principal balance of the Notes is greater
than or equal to 2% of the initial ADCPB.
Note Insurance Policy: For the benefit of the Class A Noteholders MBIA will
insure the payment of timely interest and final
principal.
Restricting Event: Any one of the following:
(i) Servicer Event of Default;
(ii) An Insured Payment is made by the Note Insurer;
(iii) Delinquency Trigger Event;
(iv) Gross Charge-off Event.
Delinquency Trigger
Event: The condition which exists on and as of any Payment Date
on which the mathematical average of the Delinquency
Trigger Ratios for such Payment Date and the two
immediately preceding Payment Dates exceeds 7.5%.
Delinquency Trigger On any Payment Date, the quotient, expressed as a
Ratio: percentage, of (A) the sum of the Discounted Contract
Principal Balances of all Contracts with respect to
which any Scheduled Payment was delinquent for more than
30 days as of the last day of the immediately preceding
month divided by (B) the Aggregated Discounted Contract
Principal Balances as of the last day of the immediately
preceding month including any contracts which were
repossessed or substituted.
Gross Charge Off
Event: The condition which exists on and as of any Payment Date
on which the mathematical average of the Gross Charge
Off Ratio for such Payment Date and the Gross Charge Off
Ratio as of the two immediately preceding Payment Dates
exceeds 2.5%.
Gross Charge Off On any Payment Date, 12 times the quotient, expressed as
Ratio: a percentage, of (A) the sum of the Aggregate Discounted
Contract Principal Balances of all Contracts that became
Defaulted Contracts during the immediately preceding
month less all recoveries received during the
immediately preceding month including but not limited to
Source Buybacks, Source Reserve Fund payments,
liquidation proceeds and residual proceeds divided by
(B) the Aggregate Discounted Contract Principal Balances
as of the first day of the immediately preceding month.
Defaulted Contracts shall include any Contract (a) that
attained a delinquency of 180 days; (b) that was
repurchased by a Source pursuant to a Source Agreement;
or (c) for which the Servicer elected not to make a
Servicer Advance or for which the Servicer has
determined that a prior Advance is not recoverable.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
<PAGE>
Preliminary Background Information for
First Sierra Equipment Contract Trust 1997-1
Contract Backed Notes
Tax Status: The Notes will be characterized as debt for
federal income tax purposes.
ERISA The Class A Notes may be purchased by Benefit Plans that
Considerations: are subject to ERISA or entities using assets of such
Benefit Plans. Any Benefit Plan should consult its tax
and/or legal advisors in determining whether all
required conditions have been satisfied.
Prospectus: The Class A Notes are being offered pursuant to a
Prospectus and Prospectus Supplement. Complete
information with respect to the Notes and the Equipment
Contracts is contained in the Prospectus and Prospectus
Supplement. The foregoing is qualified in its entirety
by the information appearing in the Prospectus and
Prospectus Supplement. To the extent that the foregoing
is inconsistent with the Prospectus and Prospectus
Supplement, the Prospectus and Prospectus Supplement
shall govern in all respects. Sales of the Class A Notes
may not be consumated unless the purchaser has received
the Prospectus and Prospectus Supplement.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
<PAGE>
Financial Strategies 08/22/97 03:53:52 pm Prudential Securities
Group IMPACT CMO/ABS Analytics - Digest Information Incorporated
Deal ID/CUSIP FSR71 Not Priced Yet
Series 1997-1 Delivery Date 09/10/97
Underwriter PSI Dated Date 09/10/97
Issuer FIRST SIERRA RECEIVABLES 1997-1 Credit Support MBIA WRAP
Collateral EQUIPMENT LEASES (Real) Deal Type ASSET REMIC
N/GWAC (Orig) / (6.586/7.126) Pricing Speed CPR 4.00
WAM (Orig) (2.534) Rating AAA
Size 226,013,689 Coupon Range
Class Coupon Mat Amt 000 AvLf Sprd Price Yield Description
- ------ ------- ----- ------- ---- ---- ------- ------- -------------------------
A1 N/A N/A 32,913 0.4 N/A N/A N/A MMKT
A2 N/A N/A 85,332 1.5 N/A N/A N/A SEQ
A3 N/A N/A 51,475 3.0 N/A N/A N/A SEQ
A4 N/A N/A 38,212 4.6 N/A N/A N/A SEQ
B1 N/A N/A 4,520 2.3 N/A N/A N/A BBB DUFF 2%
B2 N/A N/A 4,520 2.3 N/A N/A N/A AA+ [BB+LOC]
B3 N/A N/A 4,521 2.3 N/A N/A N/A B DUFF ONLY 2%
B4 N/A N/A 4,521 6.4 N/A N/A N/A UNRATED HELD
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
<PAGE>
Financial Strategies 08/22/97 03:52:53 pm Prudential Securities
Group IMPACT CMO/ABS Analytics - Price / Yield Tables Incorporated
Deal ID/CUSIP FSR71
Class A1 MONEY MARKE Accr 0.00000 1st Pmt 10/10/97
Collateral (Real) Factor on / /
N/GWAC (Orig) / (6.586/7.126)
WAM (Orig) (2.534) Mat N/A Settle 09/10/97
***************MONTHLY YIELD******************
CPR 4.00 CPR 0.00 CPR 2.00 CPR 6.00 CPR 8.00
Price
----- --------- --------- --------- --------- ---------
99-00 8.538 8.174 8.350 8.729 8.922
99-02 8.364 8.022 8.187 8.542 8.723
99-04 8.189 7.871 8.025 8.356 8.525
99-06 8.015 7.719 7.862 8.170 8.327
99-08 7.841 7.568 7.700 7.984 8.129
99-10 7.667 7.417 7.538 7.798 7.931
99-12 7.493 7.266 7.376 7.613 7.734
99-14 7.320 7.115 7.214 7.427 7.536
99-16 7.146 6.964 7.052 7.242 7.339
99-18 6.973 6.814 6.890 7.057 7.142
99-20 6.800 6.663 6.729 6.872 6.946
99-22 6.627 6.513 6.568 6.688 6.749
99-24 6.454 6.363 6.406 6.503 6.553
99-26 6.281 6.213 6.245 6.319 6.356
99-28 6.109 6.063 6.085 6.134 6.160
99-30 5.936 5.913 5.924 5.950 5.965
100-00 5.764 5.763 5.763 5.767 5.769
100-02 5.592 5.614 5.603 5.583 5.573
100-04 5.420 5.464 5.443 5.400 5.378
100-06 5.249 5.315 5.283 5.216 5.183
100-08 5.077 5.166 5.123 5.033 4.988
100-10 4.906 5.017 4.963 4.850 4.793
100-12 4.735 4.868 4.803 4.667 4.599
100-14 4.564 4.720 4.644 4.485 4.404
100-16 4.393 4.571 4.484 4.302 4.210
100-18 4.222 4.423 4.325 4.120 4.016
100-20 4.051 4.274 4.166 3.938 3.822
100-22 3.881 4.126 4.007 3.756 3.629
100-24 3.711 3.978 3.848 3.574 3.435
100-26 3.540 3.830 3.689 3.393 3.242
100-28 3.371 3.682 3.531 3.211 3.049
100-30 3.201 3.535 3.373 3.030 2.856
Average Life 0.369 0.425 0.396 0.345 0.324
Mod.Dur. 0.355 0.408 0.380 0.332 0.312
First Payment 0.083 0.083 0.083 0.083 0.083
Last Payment 0.667 0.750 0.750 0.667 0.583
CLASS A1
0.00% 2.00% 4.00% 6.00% 8.00%
Payment Date
- -------------------- -----------------------------------
Initial Balance 100 100 100 100 100
September 10, 1998 0 0 0 0 0
September 10, 1999 0 0 0 0 0
September 10, 2000 0 0 0 0 0
September 10, 2001 0 0 0 0 0
September 10, 2002 0 0 0 0 0
September 10, 2003 0 0 0 0 0
September 10, 2004 0 0 0 0 0
September 10, 2005 0 0 0 0 0
Weighted Avg Life 0.4 0.4 0.4 0.3 0.3
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
<PAGE>
Financial Strategies 08/22/97 03:52:53 pm Prudential Securities
Group IMPACT CMO/ABS Analytics - Price / Yield Tables Incorporated
Deal ID/CUSIP FSR71
Class A2 SEQ Accr 0.00000 1st Pmt 10/10/97
Collateral (Real) Factor on / /
N/GWAC (Orig) / (6.586/7.126)
WAM (Orig) (2.534) Mat N/A Settle 09/10/97
CPR 4.00 CPR 0.00 CPR 2.00 CPR 6.00 CPR 8.00
Price
----- --------- --------- --------- --------- ---------
99-02 7.050 6.986 7.017 7.083 7.118
99-04 7.004 6.945 6.974 7.035 7.068
99-06 6.958 6.903 6.930 6.987 7.018
99-08 6.912 6.862 6.887 6.939 6.967
99-10 6.867 6.820 6.843 6.891 6.917
99-12 6.821 6.779 6.800 6.844 6.867
99-14 6.776 6.738 6.756 6.796 6.817
99-16 6.730 6.697 6.713 6.748 6.767
99-18 6.685 6.655 6.670 6.700 6.717
99-20 6.639 6.614 6.627 6.653 6.667
99-22 6.594 6.573 6.583 6.605 6.617
99-24 6.549 6.532 6.540 6.558 6.567
99-26 6.503 6.491 6.497 6.510 6.517
99-28 6.458 6.450 6.454 6.463 6.467
99-30 6.413 6.409 6.411 6.415 6.418
100-00 6.368 6.368 6.368 6.368 6.368
100-02 6.323 6.327 6.325 6.321 6.318
100-04 6.278 6.286 6.282 6.273 6.269
100-06 6.233 6.245 6.239 6.226 6.219
100-08 6.188 6.204 6.196 6.179 6.170
100-10 6.143 6.164 6.153 6.132 6.120
100-12 6.098 6.123 6.111 6.085 6.071
100-14 6.053 6.082 6.068 6.037 6.021
100-16 6.008 6.042 6.025 5.990 5.972
100-18 5.963 6.001 5.982 5.943 5.923
100-20 5.919 5.960 5.940 5.897 5.874
100-22 5.874 5.920 5.897 5.850 5.824
100-24 5.829 5.879 5.855 5.803 5.775
100-26 5.785 5.839 5.812 5.756 5.726
100-28 5.740 5.798 5.770 5.709 5.677
100-30 5.696 5.758 5.727 5.663 5.628
101-00 5.651 5.718 5.685 5.616 5.579
101-02 5.607 5.677 5.642 5.569 5.530
101-04 5.562 5.637 5.600 5.523 5.481
101-06 5.518 5.597 5.558 5.476 5.433
101-08 5.473 5.556 5.516 5.430 5.384
101-10 5.429 5.516 5.473 5.383 5.335
101-12 5.385 5.476 5.431 5.337 5.287
101-14 5.341 5.436 5.389 5.290 5.238
Avg. Life 1.500 1.662 1.578 1.426 1.357
Mod. Dur. 1.387 1.528 1.455 1.321 1.260
1st Pmt. 0.667 0.750 0.750 0.667 0.583
Last Pmt. 2.333 2.583 2.417 2.250 2.167
CLASS A2
0.00% 2.00% 4.00% 6.00% 8.00%
Payment Date
- -------------------- -----------------------------------
Initial Balance 100 100 100 100 100
September 10, 1998 86 82 78 74 70
September 10, 1999 28 22 17 12 7
September 10, 2000 0 0 0 0 0
September 10, 2001 0 0 0 0 0
September 10, 2002 0 0 0 0 0
September 10, 2003 0 0 0 0 0
September 10, 2004 0 0 0 0 0
September 10, 2005 0 0 0 0 0
Weighted Avg Life 1.7 1.6 1.5 1.4 1.4
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
<PAGE>
Financial Strategies 08/22/97 03:53:08 pm Prudential Securities
Group IMPACT CMO/ABS Analytics - Price / Yield Tables Incorporated
Deal ID/CUSIP FSR71
Class A3 SEQ Accr 0.00000 1st Pmt 10/10/97
Collateral (Real) Factor on / /
N/GWAC (Orig) / (6.586/7.126)
WAM (Orig) (2.534) Mat N/A Settle 09/10/97
CPR 4.00 CPR 0.00 CPR 2.00 CPR 6.00 CPR 8.00
Price
----- --------- --------- --------- --------- ---------
98-29+ 6.912 6.885 6.898 6.926 6.940
98-31+ 6.888 6.863 6.875 6.901 6.915
99-01+ 6.864 6.840 6.852 6.876 6.889
99-03+ 6.840 6.818 6.829 6.851 6.864
99-05+ 6.816 6.796 6.806 6.827 6.838
99-07+ 6.792 6.773 6.783 6.802 6.813
99-09+ 6.768 6.751 6.759 6.777 6.787
99-11+ 6.744 6.729 6.736 6.753 6.762
99-13+ 6.721 6.707 6.713 6.728 6.736
99-15+ 6.697 6.684 6.690 6.704 6.711
99-17+ 6.673 6.662 6.667 6.679 6.685
99-19+ 6.649 6.640 6.644 6.654 6.660
99-21+ 6.626 6.618 6.622 6.630 6.634
99-23+ 6.602 6.595 6.599 6.605 6.609
99-25+ 6.578 6.573 6.576 6.581 6.584
99-27+ 6.555 6.551 6.553 6.556 6.558
99-29+ 6.531 6.529 6.530 6.532 6.533
99-31+ 6.507 6.507 6.507 6.507 6.508
100-01+ 6.484 6.485 6.484 6.483 6.482
100-03+ 6.460 6.463 6.461 6.459 6.457
100-05+ 6.436 6.441 6.439 6.434 6.432
100-07+ 6.413 6.419 6.416 6.410 6.407
100-09+ 6.389 6.397 6.393 6.386 6.382
100-11+ 6.366 6.375 6.370 6.361 6.356
100-13+ 6.342 6.353 6.348 6.337 6.331
100-15+ 6.319 6.331 6.325 6.313 6.306
100-17+ 6.295 6.309 6.302 6.288 6.281
100-19+ 6.272 6.287 6.279 6.264 6.256
100-21+ 6.249 6.265 6.257 6.240 6.231
100-23+ 6.225 6.243 6.234 6.216 6.206
100-25+ 6.202 6.221 6.212 6.191 6.181
100-27+ 6.178 6.199 6.189 6.167 6.156
100-29+ 6.155 6.177 6.166 6.143 6.131
100-31+ 6.132 6.155 6.144 6.119 6.106
101-01+ 6.108 6.134 6.121 6.095 6.081
101-03+ 6.085 6.112 6.099 6.071 6.056
101-05+ 6.062 6.090 6.076 6.047 6.031
101-07+ 6.039 6.068 6.054 6.023 6.006
101-09+ 6.015 6.046 6.031 5.999 5.981
Avg. Life 3.000 3.228 3.112 2.891 2.784
Mod. Dur. 2.647 2.829 2.737 2.559 2.473
1st Pmt. 2.333 2.583 2.417 2.250 2.167
Last Pmt. 3.750 4.000 3.833 3.667 3.500
CLASS A3
0.00% 2.00% 4.00% 6.00% 8.00%
Payment Date
- -------------------- -----------------------------------
Initial Balance 100 100 100 100 100
September 10, 1998 100 100 100 100 100
September 10, 1999 100 100 100 100 100
September 10, 2000 62 54 45 38 30
September 10, 2001 0 0 0 0 0
September 10, 2002 0 0 0 0 0
September 10, 2003 0 0 0 0 0
September 10, 2004 0 0 0 0 0
September 10, 2005 0 0 0 0 0
Weighted Avg Life 3.2 3.1 3.0 2.9 2.8
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
<PAGE>
Financial Strategies 08/22/97 03:53:18 pm Prudential Securities
Group IMPACT CMO/ABS Analytics - Price / Yield Tables Incorporated
Deal ID/CUSIP FSR71
Class A4 SEQ Accr 0.00000 1st Pmt 10/10/97
Collateral (Real) Factor on / /
N/GWAC (Orig) / (6.586/7.126)
WAM (Orig) (2.534) Mat N/A Settle 09/10/97
CPR 4.00 CPR 0.00 CPR 2.00 CPR 6.00 CPR 8.00
Price
----- --------- --------- --------- --------- ---------
98-03 6.998 6.980 6.989 7.008 7.019
98-05 6.982 6.964 6.973 6.992 7.002
98-07 6.965 6.948 6.956 6.975 6.985
98-09 6.949 6.932 6.940 6.958 6.967
98-11 6.933 6.916 6.924 6.941 6.950
98-13 6.916 6.901 6.908 6.924 6.933
98-15 6.900 6.885 6.892 6.908 6.916
98-17 6.883 6.869 6.876 6.891 6.899
98-19 6.867 6.853 6.860 6.874 6.882
98-21 6.850 6.837 6.844 6.858 6.865
98-23 6.834 6.822 6.828 6.841 6.848
98-25 6.818 6.806 6.812 6.824 6.831
98-27 6.801 6.790 6.796 6.807 6.814
98-29 6.785 6.774 6.780 6.791 6.797
98-31 6.769 6.759 6.764 6.774 6.780
99-01 6.752 6.743 6.748 6.758 6.763
99-03 6.736 6.727 6.732 6.741 6.746
99-05 6.720 6.712 6.716 6.724 6.729
99-07 6.704 6.696 6.700 6.708 6.712
99-09 6.687 6.680 6.684 6.691 6.695
99-11 6.671 6.665 6.668 6.675 6.678
99-13 6.655 6.649 6.652 6.658 6.661
99-15 6.639 6.634 6.636 6.641 6.644
99-17 6.622 6.618 6.620 6.625 6.627
99-19 6.606 6.602 6.604 6.608 6.611
99-21 6.590 6.587 6.588 6.592 6.594
99-23 6.574 6.571 6.573 6.575 6.577
99-25 6.558 6.556 6.557 6.559 6.560
99-27 6.542 6.540 6.541 6.542 6.543
99-29 6.526 6.525 6.525 6.526 6.527
99-31 6.509 6.509 6.509 6.510 6.510
100-01 6.493 6.494 6.493 6.493 6.493
100-03 6.477 6.478 6.478 6.477 6.476
100-05 6.461 6.463 6.462 6.460 6.459
100-07 6.445 6.447 6.446 6.444 6.443
100-09 6.429 6.432 6.430 6.428 6.426
100-11 6.413 6.416 6.415 6.411 6.409
100-13 6.397 6.401 6.399 6.395 6.393
100-15 6.381 6.385 6.383 6.378 6.376
Avg. Life 4.629 4.838 4.734 4.523 4.417
Mod. Dur. 3.875 4.025 3.951 3.798 3.721
1st Pmt. 3.750 4.000 3.833 3.667 3.500
Last Pmt. 6.083 6.167 6.167 6.000 5.917
CLASS A4
0.00% 2.00% 4.00% 6.00% 8.00%
Payment Date
- -------------------- -----------------------------------
Initial Balance 100 100 100 100 100
September 10, 1998 100 100 100 100 100
September 10, 1999 100 100 100 100 100
September 10, 2000 100 100 100 100 100
September 10, 2001 95 87 79 72 65
September 10, 2002 35 31 27 23 19
September 10, 2003 4 2 0 0 0
September 10, 2004 0 0 0 0 0
September 10, 2005 0 0 0 0 0
Weighted Avg Life 4.8 4.7 4.6 4.5 4.4
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
<PAGE>
- --------------------------------------------------------------------------------
- FIRST SIERRA LEASE 1997-1
- $229,728,292.98
- Equipment Lease Collateral
- --------------------------------------------------------------------------------
Product: Equipment Leases
Number of Contracts: 11,498
Aggregate Unpaid Principal Balance: $229,728,292.98
Aggregate Original Equipment Cost: $208,485,310.74
Maximum Current Principal Balance: $658,759.30
Minimum Current Principal Balance: $75.32
Average Current Principal Balance: $19,979.85
Maximum Original Equipment Cost: $601,000.00
Minimum Original Equipment Cost: $20.01
Average Original Equipment Cost: $18,132.31
Collateral Discount Rate: 7.250
Weighted Average Maturity: 53.043
Remaining Term Range: 2.000 - 85.000
Weighted Average Age of Leases in Months: 4.183
Age Range: 0.000 - 29.000
Weighted Average Original Term: 57.227
Original Term Range: 4.000 - 85.000
- --------------------------------------------------------------------------------
ORIGINAL TERMS TO MATURITY
Percentage of
Aggregate Cut-Off Date
Discounted Discounted
Number of Contract Contract
Original Term Leases Balance Balance
0 < Orig. Term <= 12 114 540,984.45 0.24
12 < Orig. Term <= 24 577 6,645,160.41 2.89
24 < Orig. Term <= 36 2,829 40,819,449.29 17.77
36 < Orig. Term <= 48 4,729 31,354,457.50 13.65
48 < Orig. Term <= 60 2,268 75,174,288.16 32.72
60 < Orig. Term <= 72 407 22,460,768.20 9.78
72 < Orig. Term <= 84 515 48,882,208.58 21.28
84 < Orig. Term <= 96 59 3,850,976.40 1.68
- --------------------------------------------------------------------
Total............ 11,498 229,728,292.98 100.00
====================================================================
REMAINING MONTHS TO STATED MATURITY
Percentage of
Aggregate Cut-Off Date
Discounted Discounted
Number of Contract Contract
Remaining Term Leases Balance Balance
1 < Rem Term <= 12 184 905,478.88 0.39
12 < Rem Term <= 24 736 8,703,969.00 3.79
24 < Rem Term <= 36 4,584 44,853,392.82 19.52
36 < Rem Term <= 48 2,952 31,283,822.78 13.62
48 < Rem Term <= 60 2,270 77,247,471.32 33.63
60 < Rem Term <= 72 254 19,281,188.54 8.39
72 < Rem Term <= 84 517 47,361,207.42 20.62
84 < Rem Term <= 96 1 91,762.22 0.04
- ------------------------------------------------------------------------
Total............ 11,498 229,728,292.98 100.00%
========================================================================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
<PAGE>
DISCOUNTED CONTRACT BALANCE
Percentage of
Aggregate Cut-Off Date
Current Number of Discounted Discounted
Discounted Lease Contract Contract
Lease Balance Contracts Balance Balance
Balance <= 5,000 5,106 7,665,210.30 3.34
5,000 < Balance <= 10,000 1,214 8,426,077.55 3.67
10,000 < Balance <= 15,000 856 10,560,968.03 4.60
15,000 < Balance <= 20,000 777 13,649,888.18 5.94
20,000 < Balance <= 25,000 656 14,587,182.50 6.35
25,000 < Balance <= 30,000 522 14,355,854.51 6.25
30,000 < Balance <= 35,000 458 14,843,335.23 6.46
35,000 < Balance <= 40,000 303 11,286,998.78 4.91
40,000 < Balance <= 45,000 199 8,440,294.06 3.67
45,000 < Balance <= 50,000 178 8,434,605.45 3.67
50,000 < Balance <= 55,000 178 9,311,428.76 4.05
55,000 < Balance <= 60,000 153 8,764,410.68 3.82
60,000 < Balance <= 65,000 166 10,376,900.57 4.52
65,000 < Balance <= 70,000 115 7,732,273.91 3.37
70,000 < Balance <= 75,000 62 4,502,558.48 1.96
75,000 < Balance <= 80,000 62 4,811,932.38 2.09
80,000 < Balance <= 85,000 48 3,967,456.12 1.73
85,000 < Balance <= 90,000 39 3,409,955.65 1.48
90,000 < Balance <= 95,000 27 2,497,439.27 1.09
95,000 < Balance <= 100,000 34 3,319,856.21 1.45
100,000 < Balance <= 150,000 181 21,772,433.94 9.48
150,000 < Balance <= 200,000 107 18,327,546.65 7.98
200,000 < Balance <= 250,000 22 4,883,357.53 2.13
250,000 < Balance <= 300,000 11 3,057,851.17 1.33
300,000 < Balance <= 350,000 8 2,619,021.00 1.14
350,000 < Balance <= 400,000 2 776,254.79 0.34
400,000 < Balance <= 450,000 3 1,313,811.38 0.57
450,000 < Balance <= 500,000 4 1,878,083.38 0.82
500,000 < Balance <= 600,000 5 2,858,576.27 1.24
600,000 < Balance <= 750,000 2 1,296,730.23 0.56
- ------------------------------------------------------------------------------
Total.................... 11,498 $229,728,292.98 100.00%
==============================================================================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
<PAGE>
GEOGRAPHICAL DISTRIBUTION OF CONTRACT LEASES
Percentage of
Aggregate Cut-Off Date
Number of Discounted Discounted
Lease Contract Contract
State Contracts Balance Balance
Alabama 175 2,576,736.16 1.12
Alaska 14 360,203.15 0.16
Arizona 212 5,717,504.71 2.49
Arkansas 53 765,135.09 0.33
California 2029 61,663,539.65 26.84
Colorado 133 3,119,008.29 1.36
Connecticut 150 3,481,485.74 1.52
Delaware 23 1,005,315.02 0.44
Florida 1201 22,279,344.75 9.70
Georgia 439 7,481,479.24 3.26
Hawaii 19 389,316.47 0.17
Idaho 25 428,758.38 0.19
Illinois 449 6,068,798.07 2.64
Indiana 130 2,139,297.84 0.93
Iowa 49 583,560.23 0.25
Kansas 87 1,200,878.69 0.52
Kentucky 72 1,643,601.20 0.72
Louisiana 85 1,575,591.76 0.69
Maine 16 746,199.56 0.32
Maryland 342 4,314,338.42 1.88
Massachusetts 292 5,520,483.85 2.40
Michigan 422 5,362,357.15 2.33
Minnesota 79 1,814,222.79 0.79
Mississippi 40 892,771.03 0.39
Missouri 180 1,973,376.58 0.86
Montana 22 784,783.07 0.34
Nebraska 51 1,099,361.03 0.48
Nevada 68 2,280,970.96 0.99
New Hampshire 41 999,672.12 0.44
New Jersey 498 9,059,159.28 3.94
New Mexico 42 650,013.45 0.28
New York 1037 16,042,980.99 6.98
North Carolina 237 4,968,484.98 2.16
North Dakota 2 43,900.60 0.02
Ohio 261 5,046,311.45 2.20
Oklahoma 91 1,333,901.84 0.58
Oregon 76 2,905,413.49 1.26
Pennsylvania 356 7,172,645.50 3.12
Rhode Island 42 809,299.86 0.35
South Carolina 95 1,560,584.10 0.68
South Dakota 10 333,651.98 0.15
Tennessee 148 2,070,485.29 0.90
Texas 987 17,172,181.47 7.47
Utah 45 1,637,333.54 0.71
Vermont 13 133,643.36 0.06
Virginia 311 4,624,271.59 2.01
Washington 127 3,377,352.75 1.47
Washington, DC 40 376,139.54 0.16
West Virginia 26 506,338.04 0.22
Wisconsin 146 1,522,048.63 0.66
Wyoming 10 114,060.26 0.05
- ------------------------------------------------------------------
Total............... 11498 $229,728,292.98 100.00%
==================================================================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
<PAGE>
TOP TWENTY-FIVE DEFINED LESSEE INDUSTRIES
Percentage of
Aggregate Cut-Off Date
Number of Discounted Discounted
Lease Contract Contract
Contracts Balance Balance
OFFICES AND CLINICS OF DENTISTS 1,202 $75,270,395.39 32.76
OFFICES & CLINICS OF MEDICAL DOCTORS 364 $11,064,912.56 4.82
VETERINARY SERVICES 165 $7,004,024.84 3.05
EATING PLACES 430 $6,214,183.08 2.71
AUTOMOTIVE DEALERS, NEC 291 $5,610,553.70 2.44
BUSINESS SERVICES, NEC 519 $4,773,026.59 2.08
OFFICES AND CLINICS OF CHIROPRACTORS 107 $3,631,754.79 1.58
EATING AND DRINKING PLACES 297 $3,572,142.24 1.55
HOTELS AND MOTELS 146 $2,835,569.49 1.23
GASOLINE SERVICE STATIONS 330 $2,634,995.19 1.15
LAWN AND GARDEN SERVICES 101 $2,093,868.18 0.91
LOCAL TRUCKING, WITHOUT STORAGE 69 $2,046,880.27 0.89
OFFICES AND CLINICS OF OPTOMETRISTS 49 $1,901,412.20 0.83
VETERINARY SERVICES FOR LIVESTOCK 28 $1,630,152.47 0.71
GROCERY STORES 128 $1,514,007.90 0.66
COMMERCIAL PRINTING, LITOGRAPHIC 46 $1,481,634.42 0.64
EQUIPMENT RENTAL & LEASING 76 $1,475,895.77 0.64
MISCELLANEOUS RETAIL STORES 324 $1,428,403.66 0.62
MISCELLANEOUS FOOD STORES 127 $1,182,195.30 0.51
DRUG STORES AND PROPRIETARIES 101 $1,117,385.59 0.49
LANDSCAPE AND HORTICULTURE 67 $1,113,751.44 0.48
HOME HEALTH CARE SERVICES 41 $1,070,914.13 0.47
ENGINEERING SERVICES 40 $1,037,299.68 0.45
COMPUTER RELATED SERVICES 78 $1,028,437.92 0.45
TOP & BODY REPAIR & PAINTING 45 $1,015,171.44 0.44
- --------------------------------------------------------------------------------
Total (Top 25 Industries)........ 5,171 $143,748,968.24 62.57
- --------------------------------------------------------------------------------
All Others....................... 6,327 $85,979,324.74 37.43
- --------------------------------------------------------------------------------
Total............................ 11,498 $229,728,292.98 100.00
================================================================================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
