<PAGE>
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
--------
FORM 8-K
CURRENT REPORT
PURSUANT TO SECTION 13 OR 15 (d)
OF THE SECURITIES EXCHANGE ACT OF 1934
Date of Report (date of earliest event reported) September 24,1997
Delta Funding Corporation
(Exact name of registrant as specified in its charter)
New York 333-3418 11-2609517
(State or other jurisdiction (Commission (IRS Employer
of incorporation) File Number) ID Number)
1000 Woodbury Road, Woodbury, New York 11797
(Address of principal executive offices) (Zip Code)
Registrant's Telephone Number, including area code: (516) 364-8500
N/A
(Former name or former address, if changed since last report)
<PAGE>
Item 5. Other Events
Filing of Computational Materials and Consent of Independent Accountants.
This Current Report on Form 8-K is being filed to file a copy of the
Computational Materials (as defined below) prepared by Lehman Brothers, as an
underwriter, in connection with the issuance by Delta Funding Home Equity Loan
Trust 1997-3 of Home Equity Loan Asset-Backed Certificates, Series 1997-3. The
term "Computational Materials" shall have the meaning given in the No-Action
Letter of May 20, 1994 issued by the Securities and Exchange Commission (the
"SEC") to Kidder, Peabody Acceptance Corporation I, Kidder, Peabody & Co.
Incorporated and Kidder Structured Asset Corporation, as made applicable to
other issuers and underwriters by the Commission in response to the request of
the Public Securities Association dated May 24, 1994, and the supplemented in
the No-Action Letter of February 17, 1995 issued by the SEC to the Public
Securities Association.
Item 7. Financial Statements, Pro Forma Financial Information and Exhibits.
(a) Not applicable.
(b) Not applicable.
(c) Exhibits:
8.1 Opinion of Stroock & Stroock & Lavan LLP regarding certain tax
matters.
23.2 Consent of Stroock & Stroock & Lavan (included in Exhibit 8.1)
99.1 Computational Materials.
2
<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.
DELTA FUNDING CORPORATION
By: /s/ Richard Blass
Name: Richard Blass
Title: Senior Vice President
Dated: September 24, 1997
3
<PAGE>
EXHIBIT INDEX
Exhibit Page
- ------- ----
8.1 Opinion of Stroock & Stroock & Lavan LLP regarding certain tax
matters.
23.2 Consent of Stroock & Stroock & Lavan LLP (included in Exhibit 8.1).
99.1 Computational Materials.
<PAGE>
Exhibit 8.1
Stroock & Stroock & Lavan LLP
180 Maiden Lane
New York, New York 10038-4982
September 24, 1997
Delta Funding Corporation
1000 Woodbury Road
Woodbury, New York 11797
Re: Delta Funding Corporation
Registration Statement on Form S-3
(No. 333-3418)
Ladies and Gentlemen:
We have acted as counsel for Delta Funding Corporation ("Delta") in connection
with the issuance of $340,000,000 aggregate principal amount of Home Equity Loan
Asset-Backed Certificates, Series 1997-3 (the "Certificates"). A Registration
Statement on Form S-3 relating to the Certificates (No. 333-3418) (the
"Registration Statement") has been filed with the Securities and Exchange
Commission under the Securities Act of 1933, as amended (the "Securities Act"),
and was declared effective on January 17, 1997. As set forth in the Prospectus
dated September 23, 1997 and the Prospectus Supplement dated September 23, 1997,
the Certificates will be issued by a trust established by Delta pursuant to the
provisions of a Pooling and Servicing Agreement dated as of August 31, 1997 (the
"Pooling and Servicing Agreement") between Delta, as Seller and Servicer, and
Bankers Trust Company of California, N.A., as Trustee.
We have examined a form of the Pooling and Servicing Agreement, a form of the
Certificates, and a form of the Prospectus and Prospectus Supplement referred to
above. We also have examined such other documents, papers, statutes and
authorities as we have deemed necessary to form the basis for the opinions
hereinafter expressed. In our examination of such material, we have assumed the
genuineness of all signatures, the authenticity of all documents submitted to us
as originals and the conformity to original documents of copies of documents
submitted to us.
On the basis of the foregoing, we are of the opinion that the information in the
Prospectus Supplement under the caption "Federal Income Tax Considerations," and
in the Prospectus under the caption "Federal Income Tax Considerations," to the
extent that it constitutes matters of law or legal conclusions, is correct in
all material respects.
<PAGE>
This opinion is based on current provisions of the Internal Revenue Code of
1986, as amended, the Treasury regulations promulgated thereunder, and judicial
and administrative interpretations thereof.
Except as provided below, this opinion is solely for the benefit of the
addressee hereof and may not be relied upon in any manner by any other person or
entity.
We hereby consent to the filing of this opinion as an exhibit to the
Registration Statement, to the references to us in the Prospectus Supplement,
and to the filing of this opinion as an exhibit to an application made by or on
behalf of Delta or any dealer in connection with the registration of the
Certificates under the securities or blue sky laws of any state or jurisdiction.
In giving such permission, we do not admit hereby that we come within the
category of persons whose consent is required under Section 7 of the Securities
Act or the General Rules and Regulations of the Securities and Exchange
Commission thereunder.
Very truly yours,
/s/ Stroock & Stroock & Lavan LLP
STROOCK & STROOCK & LAVAN LLP
<PAGE>
LEHMAN BROTHERS
DERIVED INFORMATION
$340,000,000 Certificates
Delta Funding Home Equity Loan Trust
1997-3
Home Equity Loan Asset-Backed Certificates
Delta Funding Corporation
as Seller and Servicer
- -----------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information 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 issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
- -------------------------------------------------------------------------------
<PAGE>
LEHMAN BROTHERS
Securities Offered:
To Maturity:
<TABLE>
<CAPTION>
- ------------------ ------------- -------- ------------- --------------- ------------- ----------- ----------- --------------
Estimated Expected
Estimated Principal Expected Stated Ratings
Expected Group WAL/MDUR Pmt. Final Final (Moody's/
Securities Size No. Benchmark (yrs) Window Maturity Maturity Fitch)
- --------------- ------------- -------- ------------- --------------- ------------- ----------- ----------- --------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-1F (1) $91,302,000 I 1 mo LIBOR 1.00 22 months 7/25/99 7/25/12 Aaa/AAA
Class A-2F (1) $17,395,000 I 2 yr Tsy 2.00/1.82 5 months 11/25/99 9/25/12 Aaa/AAA
Class A-3F (1) $55,396,000 I 3 yr Tsy 3.02/2.65 28 months 2/25/02 8/25/21 Aaa/AAA
Class A-4F (1) $14,014,000 I 5 yr Tsy 5.00/4.09 17 months 6/25/03 7/25/24 Aaa/AAA
Class A-5F (1) $20,643,000 I 10 yr Tsy 9.94/6.70 126 months 11/25/13 10/25/28 Aaa/AAA
Class A-6F (1) $26,500,000 I Curve 6.61/5.08 141 months 7/25/12 10/25/28 Aaa/AAA
Class M-1F (1) $16,562,500 I Curve 6.10/4.63 135 months 12/25/11 10/25/28 Aa2/[AA]
Class M-2F (1) $12,587,500 I Curve 6.00/4.54 117 months 6/25/10 10/25/28 A2/[A+]
Class B-1F (1) $10,600,000 I Curve 5.57/4.28 91 months 4/25/08 10/25/28 [Baa3]/[BBB]
Class A-1A (2) $59,250,000 II 1 mo LIBOR 2.88 216 months 9/25/15 10/25/28 Aaa/AAA
Class M-1A (2) $6,750,000 II 1 mo LIBOR 6.84 152 months 11/25/13 10/25/28 Aa2/[AA]
Class M-2A (2) $5,250,000 II 1 mo LIBOR 6.75 132 months 3/25/12 10/25/28 A2/[A+]
Class B-1A (2) $3,750,000 II 1 mo LIBOR 6.34 101 months 8/25/09 10/25/28 [Baa3]/[BBB]
</TABLE>
- -------------------------------------------------------------------------------
Class A-IO:
- -------------------------------------------------------------------------------
There will be a Aaa/AAA rated interest-only class (Class A-IO) off Group I with
a notional balance equal to the balance of Class A6 and a coupon of 6.5% for
the first 36 months.
- -------------------------------------------------------------------------------
(1) Prepayments are sized at 120% of the prepayment assumption. A 100%
prepayment assumption assumes that prepayments start at 4% CPR in month one,
increase by approximately 1.455% each month to 20% CPR by month 12, and
remain at 20% CPR thereafter.
(2) Prepayments are sized at 125% of the prepayment assumption. A 100%
prepayment assumption assumes that prepayments start at 4% CPR in month one,
increase by approximately 1.455% each month to 20% CPR by month 12, and
remain at 20% CPR thereafter.
- -----------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information 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 issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
- -------------------------------------------------------------------------------
<PAGE>
LEHMAN BROTHERS
Securities Offered:
To 10% Clean-up Call:
<TABLE>
<CAPTION>
- ------------------ ------------- -------- ------------- --------------- ------------- ----------- ----------- --------------
Estimated Expected
Estimated Principal Expected Stated Ratings
Expected Group WAL/MDUR Pmt. Final Final (Moody's/
Securities Size No. Benchmark (yrs) Window Maturity Maturity Fitch)
- -------------- ----------- ----- --------- --------- ------------ --------- --------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-1F (1) $91,302,000 I 1 mo LIBOR 1.00 22 months 7/25/99 7/25/12 Aaa/AAA
Class A-2F (1) $17,395,000 I 2 yr Tsy 2.00/1.82 5 months 11/25/99 9/25/12 Aaa/AAA
Class A-3F (1) $55,396,000 I 3 yr Tsy 3.02/2.65 28 months 2/25/02 8/25/21 Aaa/AAA
Class A-4F (1) $14,014,000 I 5 yr Tsy 5.00/4.09 17 months 6/25/03 7/25/24 Aaa/AAA
Class A-5F (1) $20,643,000 I 10 yr Tsy 7.70/5.69 32 months 1/25/06 10/25/28 Aaa/AAA
Class A-6F (1) $26,500,000 I Curve 6.44/4.99 63 months 1/25/06 10/25/28 Aaa/AAA
Class M-1F (1) $16,562,500 I Curve 5.58/4.38 64 months 1/25/06 10/25/28 Aa2/[AA]
Class M-2F (1) $12,587,500 I Curve 5.58/4.34 64 months 1/25/06 10/25/28 A2/[A+]
Class B-1F (1) $10,600,000 I Curve 5.44/4.22 64 months 1/25/06 10/25/28 [Baa3]/[BBB]
Class A-1A (2) $59,250,000 II 1 mo LIBOR 2.71 100 months 1/25/06 10/25/28 Aaa/AAA
Class M-1A (2) $6,750,000 II 1 mo LIBOR 6.12 58 months 1/25/06 10/25/28 Aa2/[AA]
Class M-2A (2) $5,250,000 II 1 mo LIBOR 6.12 58 months 1/25/06 10/25/28 A2/[A+]
Class B-1A (2) $3,750,000 II 1 mo LIBOR 6.05 58 months 1/25/06 10/25/28 [Baa3]/[BBB]
</TABLE>
- -------------------------------------------------------------------------------
Class A-IO:
- -------------------------------------------------------------------------------
There will be a Aaa/AAA rated interest-only class (Class A-IO) off Group I with
a notional balance equal to the balance of Class A6 and a coupon of 6.5% for the
first 36 months.
- -------------------------------------------------------------------------------
(1) Prepayments are sized at 120% of the prepayment assumption. A 100%
prepayment assumption assumes that prepayments start at 4% CPR in month one,
increase by approximately 1.455% each month to 20% CPR by month 12, and
remain at 20% CPR thereafter.
(2) Prepayments are sized at 125% of the prepayment assumption. A 100%
prepayment assumption assumes that prepayments start at 4% CPR in month one,
increase by approximately 1.455% each month to 20% CPR by month 12, and remain
at 20% CPR thereafter.
- -----------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information 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 issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
- -------------------------------------------------------------------------------
<PAGE>
LEHMAN BROTHERS
Sensitivity Analysis
Projected Performance
Under Varying Prepayment Assumptions
Group I Loans
To Maturity
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
Group I % Prepay Assumption 0.0% 75.0% 100.0% 120.0% 150.0% 175.0% 200.0%
Implied Seasoned CPR 0.0% 15.0% 20.0% 24.0% 30.0% 35.0% 40.0%
Group II % Prepay Assumption 0.0% 75.0% 100.0% 125.0% 150.0% 175.0% 200.0%
Class A-1F
Avg. Life (yrs) 9.90 1.41 1.14 1.00 0.85 0.77 0.70
Window (begin-end) (mths) 1 - 178 1 - 33 1 - 26 1 - 22 1 - 18 1 - 16 1 - 14
Expected Final Maturity 7/25/12 6/25/00 11/25/99 7/25/99 3/25/99 1/25/99 11/25/98
Class A-2F
Avg. Life (yrs) 14.84 3.02 2.35 2.00 1.65 1.45 1.30
Mod Duration (yrs) 9.20 2.66 2.11 1.82 1.52 1.34 1.21
Window (begin-end) (mths) 178 - 179 33 - 40 26 - 31 22 - 26 18 - 22 16 - 19 14 - 17
Expected Final Maturity 8/25/12 1/25/01 4/25/00 11/25/99 7/25/99 4/25/99 2/25/99
Yield @ 99.991% 6.64 6.53 6.49 6.46 6.41 6.37 6.34
Class A-3F
Avg. Life (yrs) 17.90 5.04 3.67 3.02 2.33 2.02 1.78
Mod Duration (yrs) 10.09 4.12 3.14 2.65 2.10 1.83 1.63
Window (begin-end) (mths) 179 - 287 40 - 104 31 - 66 26 - 53 22 - 35 19 - 30 17 - 27
Expected Final Maturity 8/25/21 5/25/06 3/25/03 2/25/02 8/25/00 3/25/00 12/25/99
Yield @ 99.975% 6.72 6.66 6.63 6.61 6.56 6.53 6.51
Class A-4F
Avg. Life (yrs) 25.45 10.25 6.56 5.00 3.64 2.70 2.36
Mod Duration (yrs) 11.59 7.10 5.09 4.09 3.11 2.39 2.11
Window (begin-end) (mths) 287 - 322 104 - 143 66 - 104 53 - 69 35 - 51 30 - 34 27 - 30
Expected Final Maturity 7/25/24 8/25/09 5/25/06 6/25/03 12/25/01 7/25/00 3/25/00
Yield @ 99.990% 7.03 7.01 6.98 6.96 6.93 6.88 6.86
Class A-5F
Avg. Life (yrs) 28.44 15.29 12.36 9.94 6.68 4.08 2.74
Mod Duration (yrs) 11.65 8.87 7.82 6.70 4.96 3.39 2.40
Window (begin-end) (mths) 322 - 357 143 - 280 104 - 226 69 - 194 51 - 171 34 - 145 30 - 36
Expected Final Maturity 6/25/27 1/25/21 7/25/16 11/25/13 12/25/11 10/25/09 9/25/00
Yield @ 99.968% 7.36 7.35 7.34 7.33 7.31 7.27 7.21
</TABLE>
- -----------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information 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 issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
- -------------------------------------------------------------------------------
<PAGE>
LEHMAN BROTHERS
Sensitivity Analysis (continued)
Projected Performance
Under Varying Prepayment Assumptions
Group I Loans
To Maturity
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
Group I % Prepay Assumption 0.0% 75.0% 100.0% 120.0% 150.0% 175.0% 200.0%
Implied Seasoned CPR 0.0% 15.0% 20.0% 24.0% 30.0% 35.0% 40.0%
Group II % Prepay Assumption 0.0% 75.0% 100.0% 125.0% 150.0% 175.0% 200.0%
Class A-6F
Avg. Life (yrs) 11.82 7.26 6.81 6.61 6.51 6.61 5.80
Mod Duration (yrs) 7.70 5.43 5.18 5.08 5.02 5.07 4.57
Window (begin-end) (mths) 37 - 178 37 - 269 37 - 219 38 - 178 42 - 168 45 - 143 36 - 125
Expected Final Maturity 7/25/12 2/25/20 12/25/15 7/25/12 9/25/11 8/25/09 2/25/08
Yield @ 99.995% 6.97 6.95 6.94 6.94 6.94 6.94 6.93
Class M-1F
Avg. Life (yrs) 21.48 9.12 7.19 6.10 5.05 4.59 4.40
Mod Duration (yrs) 10.48 6.26 5.25 4.63 4.01 3.73 3.63
Window (begin-end) (mths) 179 - 354 52 - 225 40 - 180 37 - 171 39 - 137 41 - 116 43 - 100
Expected Final Maturity 3/25/27 6/25/16 9/25/12 12/25/11 2/25/09 5/25/07 1/25/06
Yield @ 99.978% 7.20 7.17 7.16 7.15 7.13 7.13 7.12
Class M-2F
Avg. Life (yrs) 21.46 9.01 7.13 6.00 4.92 4.38 4.06
Mod Duration (yrs) 10.26 6.15 5.18 4.54 3.90 3.57 3.37
Window (begin-end) (mths) 179 - 352 52 - 201 40 - 178 37 - 153 38 - 122 38 - 103 39 - 89
Expected Final Maturity 1/25/27 6/25/14 7/25/12 6/25/10 11/25/07 4/25/06 2/25/05
Yield @ 99.988% 7.46 7.43 7.41 7.40 7.38 7.37 7.36
Class B-1F
Avg. Life (yrs) 21.10 8.58 6.63 5.57 4.55 4.02 3.69
Mod Duration (yrs) 9.93 5.90 4.89 4.28 3.65 3.31 3.09
Window (begin-end) (mths) 179 - 344 52 - 178 40 - 151 37 - 127 37 - 101 37 - 86 37 - 74
Expected Final Maturity 5/25/26 7/25/12 4/25/10 4/25/08 2/25/06 11/25/04 11/25/03
Yield @ 99.989% 7.80 7.77 7.75 7.74 7.72 7.70 7.69
</TABLE>
- -----------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information 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 issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
- -------------------------------------------------------------------------------
<PAGE>
LEHMAN BROTHERS
Sensitivity Analysis (continued)
Projected Performance
Under Varying Prepayment Assumptions
Group I Loans
To Call
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
Group I % Prepay Assumption 0.0% 75.0% 100.0% 120.0% 150.0% 175.0% 200.0%
Implied Seasoned CPR 0.0% 15.0% 20.0% 24.0% 30.0% 35.0% 40.0%
Group II % Prepay Assumption 0.0% 75.0% 100.0% 125.0% 150.0% 175.0% 200.0%
Class A-1F
Avg. Life (yrs) 9.90 1.41 1.14 1.00 0.85 0.77 0.70
Window (begin-end) (mths) 1 - 178 1 - 33 1 - 26 1 - 22 1 - 18 1 - 16 1 - 14
Expected Final Maturity 7/25/12 6/25/00 11/25/99 7/25/99 3/25/99 1/25/99 11/25/98
Class A-2F
Avg. Life (yrs) 14.84 3.02 2.35 2.00 1.65 1.45 1.30
Mod Duration (yrs) 9.20 2.66 2.11 1.82 1.52 1.34 1.21
Window (begin-end) (mths) 178 - 179 33 - 40 26 - 31 22 - 26 18 - 22 16 - 19 14 - 17
Expected Final Maturity 8/25/12 1/25/01 4/25/00 11/25/99 7/25/99 4/25/99 2/25/99
Yield @ 99.991% 6.64 6.53 6.49 6.46 6.41 6.37 6.34
Class A-3F
Avg. Life (yrs) 17.90 5.04 3.67 3.02 2.33 2.02 1.78
Mod Duration (yrs) 10.09 4.12 3.14 2.65 2.10 1.83 1.63
Window (begin-end) (mths) 179 - 287 40 - 104 31 - 66 26 - 53 22 - 35 19 - 30 17 - 27
Expected Final Maturity 8/25/21 5/25/06 3/25/03 2/25/02 8/25/00 3/25/00 12/25/99
Yield @ 99.975% 6.72 6.66 6.63 6.61 6.56 6.53 6.51
Class A-4F
Avg. Life (yrs) 25.45 10.25 6.56 5.00 3.64 2.70 2.36
Mod Duration (yrs) 11.59 7.10 5.09 4.09 3.11 2.39 2.11
Window (begin-end) (mths) 287 - 322 104 - 143 66 - 104 53 - 69 35 - 51 30 - 34 27 - 30
Expected Final Maturity 7/25/24 8/25/09 5/25/06 6/25/03 12/25/01 7/25/00 3/25/00
Yield @ 99.990% 7.03 7.01 6.98 6.96 6.93 6.88 6.86
Class A-5F
Avg. Life (yrs) 27.91 12.90 9.86 7.70 5.50 4.01 2.74
Mod Duration (yrs) 11.59 8.11 6.82 5.69 4.37 3.35 2.40
Window (begin-end) (mths) 322 - 338 143 - 156 104 - 120 69 - 100 51 - 80 34 - 67 30 - 36
Expected Final Maturity 11/25/25 9/25/10 9/25/07 1/25/06 5/25/04 4/25/03 9/25/00
Yield @ 99.968% 7.36 7.35 7.34 7.32 7.30 7.27 7.21
</TABLE>
- -----------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information 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 issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
- -------------------------------------------------------------------------------
<PAGE>
LEHMAN BROTHERS
Sensitivity Analysis (continued)
Projected Performance
Under Varying Prepayment Assumptions
Group I Loans
To Call
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
Group I % Prepay Assumption 0.0% 75.0% 100.0% 120.0% 150.0% 175.0% 200.0%
Implied Seasoned CPR 0.0% 15.0% 20.0% 24.0% 30.0% 35.0% 40.0%
Group II % Prepay Assumption 0.0% 75.0% 100.0% 125.0% 150.0% 175.0% 200.0%
Class A-6F
Avg. Life (yrs) 11.82 7.24 6.74 6.44 5.84 5.28 4.64
Mod Duration (yrs) 7.70 5.43 5.15 4.99 4.64 4.29 3.84
Window (begin-end) (mths) 37 - 178 37 - 156 37 - 120 38 - 100 42 - 80 45 - 67 36 - 58
Expected Final Maturity 7/25/12 9/25/10 9/25/07 1/25/06 5/25/04 4/25/03 7/25/02
Yield @ 99.995% 6.97 6.95 6.94 6.94 6.93 6.92 6.91
Class M-1F
Avg. Life (yrs) 21.37 8.66 6.65 5.58 4.64 4.23 4.10
Mod Duration (yrs) 10.46 6.10 5.02 4.38 3.79 3.52 3.44
Window (begin-end) (mths) 179 - 338 52 - 156 40 - 120 37 - 100 39 - 80 41 - 67 43 - 58
Expected Final Maturity 11/25/25 9/25/10 9/25/07 1/25/06 5/25/04 4/25/03 7/25/02
Yield @ 99.978% 7.20 7.17 7.16 7.14 7.13 7.12 7.12
Class M-2F
Avg. Life (yrs) 21.37 8.66 6.65 5.58 4.59 4.09 3.82
Mod Duration (yrs) 10.25 6.03 4.98 4.34 3.72 3.40 3.21
Window (begin-end) (mths) 179 - 338 52 - 156 40 - 120 37 - 100 38 - 80 38 - 67 39 - 58
Expected Final Maturity 11/25/25 9/25/10 9/25/07 1/25/06 5/25/04 4/25/03 7/25/02
Yield @ 99.988% 7.46 7.43 7.41 7.39 7.38 7.36 7.36
Class B-1F
Avg. Life (yrs) 21.08 8.45 6.49 5.44 4.45 3.94 3.62
Mod Duration (yrs) 9.92 5.85 4.83 4.22 3.60 3.26 3.04
Window (begin-end) (mths) 179 - 338 52 - 156 40 - 120 37 - 100 37 - 80 37 - 67 37 - 58
Expected Final Maturity 11/25/25 9/25/10 9/25/07 1/25/06 5/25/04 4/25/03 7/25/02
Yield @ 99.989% 7.80 7.77 7.75 7.74 7.72 7.70 7.69
</TABLE>
- -----------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information 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 issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
- -------------------------------------------------------------------------------
<PAGE>
LEHMAN BROTHERS
Sensitivity Analysis (continued)
Projected Performance
Under Varying Prepayment Assumptions
Group II Loans
To Maturity
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
Group II % Prepay Assumption 0.0% 75.0% 100.0% 125.0% 150.0% 175.0% 200.0%
Implied Seasoned CPR 0.0% 15.0% 20.0% 25.0% 30.0% 35.0% 40.0%
Group I % Prepay Assumption 0.0% 75.0% 100.0% 120.0% 150.0% 175.0% 200.0%
Class A-1A
Avg. Life (yrs) 20.83 4.66 3.57 2.88 2.41 2.04 1.69
Window (begin-end) (mths) 1 - 360 1 - 319 1 - 266 1 - 216 1 - 179 1 - 150 1 - 128
Expected Final Maturity 9/25/27 4/25/24 11/25/19 9/25/15 8/25/12 3/25/10 5/25/08
Class M-1A
Avg. Life (yrs) 28.14 11.32 8.60 6.84 5.64 4.96 4.83
Window (begin-end) (mths) 312 - 359 70 - 298 53 - 241 43 - 194 37 - 160 40 - 134 43 - 114
Expected Final Maturity 8/25/27 7/25/22 10/25/17 11/25/13 1/25/11 11/25/08 3/25/07
Class M-2A
Avg. Life (yrs) 28.14 11.21 8.49 6.75 5.57 4.80 4.35
Window (begin-end) (mths) 312 - 358 70 - 275 53 - 217 43 - 174 37 - 143 38 - 120 39 - 102
Expected Final Maturity 7/25/27 8/25/20 10/25/15 3/25/12 8/25/09 9/25/07 3/25/06
Class B-1A
Avg. Life (yrs) 28.07 10.58 7.98 6.34 5.23 4.48 4.00
Window (begin-end) (mths) 312 - 356 70 - 234 53 - 180 43 - 143 37 - 117 37 - 99 37 - 84
Expected Final Maturity 5/25/27 3/25/17 9/25/12 8/25/09 6/25/07 12/25/05 9/25/04
</TABLE>
- -----------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information 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 issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
- -------------------------------------------------------------------------------
<PAGE>
LEHMAN BROTHERS
Sensitivity Analysis (continued)
Projected Performance
Under Varying Prepayment Assumptions
Group II Loans
To Call
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
Group II % Prepay Assumption 0.0% 75.0% 100.0% 125.0% 150.0% 175.0% 200.0%
Implied Seasoned CPR 0.0% 15.0% 20.0% 25.0% 30.0% 35.0% 40.0%
Group I % Prepay Assumption 0.0% 75.0% 100.0% 120.0% 150.0% 175.0% 200.0%
Class A-1A
Avg. Life (yrs) 20.72 4.34 3.32 2.71 2.26 1.91 1.59
Window (begin-end) (mths) 1 - 338 1 - 156 1 - 120 1 - 100 1 - 80 1 - 67 1 - 58
Expected Final Maturity 11/25/25 9/25/10 9/25/07 1/25/06 5/25/04 4/25/03 7/25/02
Class M-1A
Avg. Life (yrs) 27.66 9.99 7.57 6.12 5.00 4.42 4.37
Window (begin-end) (mths) 312 - 338 70 - 156 53 - 120 43 - 100 37 - 80 40 - 67 43 - 58
Expected Final Maturity 11/25/25 9/25/10 9/25/07 1/25/06 5/25/04 4/25/03 7/25/02
Class M-2A
Avg. Life (yrs) 27.66 9.99 7.57 6.12 5.00 4.32 3.95
Window (begin-end) (mths) 312 - 338 70 - 156 53 - 120 43 - 100 37 - 80 38 - 67 39 - 58
Expected Final Maturity 11/25/25 9/25/10 9/25/07 1/25/06 5/25/04 4/25/03 7/25/02
Class B-1A
Avg. Life (yrs) 27.66 9.92 7.51 6.05 4.96 4.25 3.81
Window (begin-end) (mths) 312 - 338 70 - 156 53 - 120 43 - 100 37 - 80 37 - 67 37 - 58
Expected Final Maturity 11/25/25 9/25/10 9/25/07 1/25/06 5/25/04 4/25/03 7/25/02
</TABLE>
- -----------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information 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 issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
- -------------------------------------------------------------------------------
<PAGE>
LEHMAN BROTHERS
Collateral Summary
- -------------------------------------------------------------------------------
Initial Group I Loans
- -------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C>
Number of Loans 2,281
Total Outstanding Principal Balance $169,622,928.54
Balloon (% of Total) 30.80%
Level Pay (% of Total) 69.20%
Average Principal Balance $74,363.41 $9,570.00 - $695,500.00
Weighted Average Loan Rate 11.13% 8.25% - 17.99%
Weighted Average Original Term (mos.) 259 60 - 360
Weighted Average Remaining Term (mos.) 257 51 - 360
Weighted Average CLTV 71.91% 4.90% - 90.27%
Weighted Average Second Mortgage Ratio 41.60% (for second liens only)
Lien Position (first/second) 91.92%/8.08%
Property Type
Single Family 68.15%
Two-to-Four Family 24.07%
Five-to-Eight Family 2.80%
Mixed Use 3.16%
Condo 1.74%
Other 0.08%
Occupancy Status
Owner Occupied 87.13%
Investor Owner 12.87%
Geographic Distribution
other states account individually for less than NY 45.48% PA 4.56%
3% of Group I pool balance OH 7.36% IN 4.06%
NJ 7.08% IL 3.62
GA 4.98% FL 3.35
Origination Year 1997 99.92% 1996 0.08%
Credit Class A 45.69% C 18.44%
B 30.08% D 5.79%
</TABLE>
- -----------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information 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 issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
- -------------------------------------------------------------------------------
<PAGE>
LEHMAN BROTHERS
Collateral Summary (continued)
- -------------------------------------------------------------------------------
Initial Group II Loans
- -------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C>
Number of Loans 524
Total Outstanding Principal Balance $50,069,826.89
Balloon (% of Total) 0.00%
Level Pay (% of Total) 100.00%
Average Principal Balance $95,553.10 $14,000.00 - $599,771.30
Weighted Average Loan Rate 10.84% 7.80% - 15.50%
Weighted Average Margin 6.69% 3.70% - 10.25%
Weighted Average Original Term (mos.) 360 240 - 360
Weighted Average Remaining Term (mos.) 359 239 - 360
Weighted Average Life Cap 16.94% 13.75% - 21.50%
Weighted Average Periodic Cap 1.00% 1.00% - 1.00%
Weighted Average Floor 10.29% 4.40% - 14.90%
Index 6 month LIBOR 100.00%
Weighted Average CLTV 77.19% 18.88% - 90.46%
Lien Position (first/second) 100.00%
Property Type
Single Family 81.72%
Two-to-Four Family 13.90%
Mixed Use 0.06%
Condo 4.32%
Occupancy Status
Owner Occupied / Investor Owned 92.67%/7.33%
Geographic Distribution
other states account individually for less than NY 17.89% MA 6.70%
3% of Group II principal balance OH 13.91% PA 5.72%
NJ 13.04% MI 5.56%
IL 10.07% NH 3.45%
GA 8.49%
Origination Year 1997 99.78% 1996 0.22%
Credit Class A 51.56% C 20.01%
B 24.43% D 4.00%
</TABLE>
- -----------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information 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 issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
- -------------------------------------------------------------------------------
<PAGE>
LEHMAN BROTHERS
Collateral Summary (continued)
- ------------------------------------------------------------------------------
Initial Group II Loans
- ------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- --------------------------- ----------- ----------- --------- ------------ ------------- ----------
Loan Type % by Wtd. Avg. Wtd. Periodic Cap Periodic Cap Wtd. Avg.
Principal Loan Rate Avg. (1st Reset) (Subs. Reset) Life Cap
Balance Margin
- --------------------------- ----------- ----------- --------- ------------ ------------- ----------
<S> <C> <C> <C> <C> <C> <C>
6 mo LIBOR 41.25% 10.72% 6.89% 1.04% 1.00% 16.83%
2 Yr Fix, 6 mo LIBOR 58.06% 10.93% 6.55% 2.97% 1.00% 17.01%
3 Yr Fix, 6 mo LIBOR 0.69% 11.06% 6.53% 3.00% 1.00% 17.06%
- --------------------------- ----------- ----------- --------- ------------ ------------- ----------
</TABLE>
- -----------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information 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 issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
- -------------------------------------------------------------------------------
