<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) December 18, 1998
-----------------
Delta Funding Corporation
------------------------------------------------------
(Exact name of registrant as specified in its charter)
New York 333-51545 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 Inc., as an underwriter, in connection with the issuance by Delta
Funding Home Equity Loan Trust 1998-4 of Home Equity Loan Asset-Backed
Certificates, Series 1998-4. 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.
Also included for filing as Exhibit 23.1 attached hereto is
the Consent of PricewaterhouseCoopers LLP, independent accountants for MBIA
Insurance Corporation.
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.
23.1 Consent of PricewaterhouseCoopers LLP
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: December 18, 1998
<PAGE>
EXHIBIT INDEX
Exhibit Page
------- ----
8.1 Opinion of Stroock & Stroock & Lavan LLP regarding
certain tax matters.
23.1 Consent of PricewaterhouseCoopers LLP
99.1 Computational Materials.
<PAGE>
EXHIBIT 8.1
Stroock & Stroock & Lavan LLP
180 Maiden Lane
New York, New York 10038-4982
December 18, 1998
Delta Funding Corporation
1000 Woodbury Road
Woodbury, New York 11797
Re: Delta Funding Corporation
Registration Statement on Form S-3
(No. 333-51545)
Ladies and Gentlemen:
We have acted as counsel for Delta Funding Corporation ("Delta") in connection
with the issuance of $400,000,000 aggregate principal amount of Home Equity
Loan Asset-Backed Certificates, Series 1998-4 (the "Certificates"). A
Registration Statement on Form S-3 relating to the Certificates (No.
333-51545) (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 June 8, 1998. As set forth in
the Prospectus dated December 17, 1998 and the Prospectus Supplement dated
December 17, 1998, the Certificates will be issued by a trust established by
Delta pursuant to the provisions of a Pooling and Servicing Agreement dated as
of November 30, 1998 (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>
EXHIBIT 23.1
CONSENT OF INDEPENDENT ACCOUNTANTS
We consent to the incorporation by reference in the Prospectus
Supplement of Delta Funding Corporation relating to Delta Funding Home Equity
Loan Trust 1998-4, of our report dated February 3, 1998, on our audits of the
consolidated financial statements of MBIA Insurance Corporation and
Subsidiaries as of December 31, 1997 and 1996 and for each of the three years
in the period ended December 31, 1997. We also consent to the reference to our
firm under the caption "Experts".
/s/ PricewaterhouseCoopers LLP
------------------------------
PricewaterhouseCoopers LLP
December 17, 1998
<PAGE>
LEHMAN BROTHERS
DERIVED INFORMATION
-------------------
$400,000,000 (Approximate)
Delta Funding Home Equity Loan Trust, Series 1998-4
Delta Funding Corporation
(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 on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, 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>
1
Securities Offered:
To Maturity:
<TABLE>
<CAPTION>
- ---------------- ------------ ---------- -------- ------------ ------------- ----------- ---------- ----------- --------------
Est. Expected
Estimated Principal Expected Legal Ratings (S&P/
Expected Class Loan WAL/MDUR Pmt. Win. Final Final Moody's)
Securities Size Size (%) Group Benchmark (yrs) (mos) Maturity Maturity
- --------------- ------------ ---------- -------- ------------ ------------- ----------- ---------- ----------- --------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-1F (1) $108,880,000 27.22% F Curve 0.85/0.80 1-18 6/15/00 2/15/16 AAA/Aaa
Class A-2F (1) $75,120,000 18.78% F Curve 2.00/1.82 18-31 7/15/01 6/15/22 AAA/Aaa
Class A-3F (1) $40,216,000 10.05% F Curve 3.00/2.65 31-43 7/15/02 10/15/24 AAA/Aaa
Class A-4F (1) $28,828,000 7.21% F Curve 4.00/3.42 43-55 7/15/03 4/15/26 AAA/Aaa
Class A-5F (1) $20,224,000 5.06% F Curve 5.00/4.14 55-67 7/15/04 3/15/27 AAA/Aaa
Class A-6F (1) $43,932,000 10.98% F Curve 9.08/6.32 67-190 10/15/14 1/15/31 AAA/Aaa
Class A-7F (1) $36,800,000 9.20% F Curve 6.45/5.03 37-186 6/15/14 1/15/31 AAA/Aaa
Class B (1) $14,000,000 3.50% F Curve 5.24/3.83 37-110 02/15/08 1/15/31 BBB-/Baa3
Class IO-F (1) NA NA F Curve 2.02/1.14 NA 12/15/01 NA AAAr/Aaa
Class A-1A (2) $32,000,000 8.00% A 1 mo LIBOR 2.76/NA 1-190 12/15/14 12/15/30 AAA/Aaa
- ---------------- ------------ ---------- -------- ------------ ------------- ----------- ---------- ----------- --------------
</TABLE>
To 10% Clean-up Call:
<TABLE>
<CAPTION>
- ---------------- ------------ ---------- -------- ------------ ------------- ----------- ---------- ----------- --------------
Est. Expected
Estimated Principal Expected Legal Ratings (S&P/
Expected Class Loan WAL/MDUR Pmt. Win. Final Final Moody's)
Securities Size Size (%) Group Benchmark (yrs) (mos) Maturity Maturity
- ---------------- ------------ ---------- -------- ------------ ------------- ----------- ---------- ----------- --------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-4F (1) $28,828,000 7.21% F Curve 4.00/3.42 43-55 7/15/03 4/15/26 AAA/Aaa
Class A-5F (1) $20,224,000 5.06% F Curve 5.00/4.14 55-67 7/15/04 3/15/27 AAA/Aaa
Class A-6F (1) $43,932,000 10.98% F Curve 7.28/5.46 67-95 11/15/06 1/15/31 AAA/Aaa
Class A-7F (1) $36,800,000 9.20% F Curve 6.25/4.92 37-95 11/15/06 1/15/31 AAA/Aaa
Class B (1) $14,000,000 3.50% F Curve 5.18/3.80 37-95 11/15/06 1/15/31 BBB-/Baa3
Class IO-F (1) NA NA F Curve 2.02/1.14 NA 12/15/01 NA AAAr/Aaa
Class A-1A (2) $32,000,000 8.00% A 1 mo LIBOR 2.62/NA 1-95 11/15/06 12/15/30 AAA/Aaa
- ---------------- ------------ ---------- -------- ------------ ------------- ----------- ---------- ----------- --------------
</TABLE>
Class IO-F:
- --------------------------------------------------------------------------------
There will be a AAAr/Aaa rated interest-only class (Class IO-F) off the Group F
(Fixed Rate) Pool with a coupon of 6.0% for the first 36 months and 0.0% for
months 37 and beyond. The notional balance of Class IO-F is equal to the lesser
of (i) the Group F Pool Balance and (ii) the following schedule:
Month Notional Balance
1-6 $ 86,593,000
7-12 80,821,000
13-18 66,388,000
19-30 44,740,000
31-36 30,308,000
37+ 0
- --------------------------------------------------------------------------------
(1) Prepayments for the Group F loans 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.
(2) Prepayments for the Group A loans are sized at 30% CPR.
- --------------------------------------------------------------------------------
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 on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, 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>
2
Sensitivity Analysis
- --------------------
Projected Performance
---------------------
Under Varying Prepayment Assumptions
<TABLE>
<CAPTION>
To Maturity:
- ----------------------------------- ---------- ----------- ----------- ----------- ------------ ----------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
CPR (Group A Loans) 10.0% 15.0% 20.0% 30.0% 35.0% 40.0% 50.0%
PPC (Group F Loans) 50.0% 75.0% 100.0% 125.0% 175.0% 200.0% 250.0%
Class A-1F
- ----------
Avg. Life (yrs.) 1.59 1.20 0.98 0.85 0.69 0.64 0.55
Mod Duration (yrs) 1.46 1.11 0.92 0.80 0.66 0.61 0.53
Window (begin-end) (mths) 1-38 1-27 1-22 1-18 1-14 1-13 1-11
Expected Final Maturity 2/15/02 3/15/01 10/15/00 6/15/00 2/15/00 1/15/00 11/15/99
Yield @ 99.99954% 6.135 6.084 6.039 6.000 5.933 5.902 5.844
Class A-2F
- ----------
Avg. Life (yrs.) 4.60 3.18 2.45 2.00 1.51 1.35 1.14
Mod Duration (yrs) 3.86 2.79 2.20 1.82 1.40 1.26 1.07
Window (begin-end) (mths) 38-76 27-51 22-39 18-31 14-23 13-20 11-17
Expected Final Maturity 4/15/05 3/15/03 3/15/02 7/15/01 11/15/00 8/15/00 5/15/00
Yield @ 99.99257% 6.312 6.288 6.265 6.243 6.203 6.185 6.151
Class A-3F
- ----------
Avg. Life (yrs.) 8.00 5.11 3.81 3.00 2.16 1.90 1.55
Mod Duration (yrs) 6.06 4.22 3.28 2.65 1.96 1.74 1.43
Window (begin-end) (mths) 76-120 51-74 39-54 31-43 23-30 20-26 17-21
Expected Final Maturity 12/15/08 2/15/05 6/15/03 7/15/02 6/15/01 2/15/01 9/15/00
Yield @ 99.99986% 6.435 6.417 6.400 6.382 6.349 6.333 6.302
Class A-4F
- ----------
Avg. Life (yrs.) 11.47 7.28 5.13 4.00 2.67 2.33 1.86
Mod Duration (yrs) 7.84 5.62 4.23 3.42 2.38 2.10 1.70
Window (begin-end) (mths) 120-157 74-107 54-71 43-55 30-35 26-31 21-25
Expected Final Maturity 1/15/12 11/15/07 11/15/04 7/15/03 11/15/01 7/15/01 1/15/01
Yield @ 99.97859% 6.559 6.548 6.534 6.521 6.492 6.479 6.453
- ----------------------------------- ---------- ----------- ----------- ----------- ------------ ----------- -----------
</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 on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, 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>
3
Sensitivity Analysis
- --------------------
Projected Performance
---------------------
Under Varying Prepayment Assumptions
<TABLE>
<CAPTION>
To Maturity (Cont'd):
- ----------------------------------- ---------- ----------- ----------- ----------- ------------ ----------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
CPR (Group A Loans) 10.0% 15.0% 20.0% 30.0% 35.0% 40.0% 50.0%
PPC (Group F Loans) 50.0% 75.0% 100.0% 125.0% 175.0% 200.0% 250.0%
Class A-5F
- ----------
Avg. Life (yrs.) 14.28 10.02 6.70 5.00 3.31 2.71 2.15
Mod Duration (yrs) 9.01 7.13 5.25 4.14 2.88 2.41 1.94
Window (begin-end) (mths) 157-187 107-135 71-97 55-67 35-44 31-35 25-28
Expected Final Maturity 7/15/14 3/15/10 1/15/07 7/15/04 8/15/02 11/15/01 4/15/01
Yield @ 99.97655% 6.604 6.597 6.586 6.574 6.550 6.534 6.511
Class A-6F
- ----------
Avg. Life (yrs.) 20.57 15.54 11.97 9.08 5.37 4.07 2.67
Mod Duration (yrs) 10.30 8.94 7.65 6.32 4.23 3.39 2.35
Window (begin-end) (mths) 187-338 135-292 97-236 67-190 44-136 35-116 28-44
Expected Final Maturity 2/15/27 4/15/23 8/15/18 10/15/14 4/15/10 8/15/08 8/15/02
Yield @ 99.95315% 7.286 7.283 7.278 7.272 7.254 7.240 7.210
Class A-7F (NAS)
- ----------------
Avg. Life (yrs.) 8.27 7.39 6.83 6.45 5.95 5.76 4.71
Mod Duration (yrs) 6.04 5.57 5.25 5.03 4.72 4.59 3.91
Window (begin-end) (mths) 37-333 37-285 37-231 37-186 39-134 39-114 42-88
Expected Final Maturity 9/15/26 9/15/22 3/15/18 6/15/14 2/15/10 6/15/08 4/15/06
Yield @ 99.97283% 6.664 6.660 6.658 6.656 6.653 6.652 6.643
Class B
- -------
Avg. Life (yrs.) 11.99 8.61 6.59 5.24 3.98 3.66 3.36
Mod Duration (yrs) 6.56 5.40 4.51 3.83 3.12 2.92 2.73
Window (begin-end) (mths) 75-240 52-177 40-138 37-110 37-78 37-67 38-51
Expected Final Maturity 12/15/18 9/15/13 6/15/10 2/15/08 6/15/05 7/15/04 3/15/03
Yield @ 97.30827% 10.045 10.122 10.207 10.300 10.439 10.490 10.545
Class IO-F (NAS-IO)
- -------------------
Avg. Life (yrs.) 2.02 2.02 2.02 2.02 2.02 2.02 2.02
Mod Duration (yrs) 1.14 1.14 1.14 1.14 1.14 1.14 1.14
Window (begin-end) (mths) 6-36 6-36 6-36 6-36 6-36 6-36 6-36
Expected Final Maturity 12/15/01 12/15/01 12/15/01 12/15/01 12/15/01 12/15/01 12/15/01
Yield @ 10.84409% 7.500 7.500 7.500 7.500 7.500 7.500 7.500
Class A-1A
- ----------
Avg. Life (yrs.) 7.40 5.28 4.01 2.76 2.18 1.84 1.36
Window (begin-end) (mths) 1-338 1-292 1-236 1-190 1-136 1-116 1-88
Expected Final Maturity 2/15/27 4/15/23 8/15/18 10/15/14 4/15/10 8/15/08 4/15/06
- ----------------------------------- ---------- ----------- ----------- ----------- ------------ ----------- -----------
</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 on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, 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>
4
Sensitivity Analysis
- --------------------
Projected Performance
---------------------
Under Varying Prepayment Assumptions
<TABLE>
<CAPTION>
To 10% Cleanup Call:
- ----------------------------------- ---------- ----------- ----------- ----------- ------------ ----------- -----------
<S> <C> <C> <C> <C> <C> <C> <C>
CPR (Group A Loans) 10.0% 15.0% 20.0% 30.0% 35.0% 40.0% 50.0%
PPC (Group F Loans) 50.0% 75.0% 100.0% 125.0% 175.0% 200.0% 250.0%
Class A-4F
- ----------
Avg. Life (yrs.) 11.47 7.28 5.13 4.00 2.67 2.33 1.86
Mod Duration (yrs) 7.84 5.62 4.23 3.42 2.38 2.10 1.70
Window (begin-end) (mths) 120-157 74-107 54-71 43-55 30-35 26-31 21-25
Expected Final Maturity 1/15/12 11/15/07 11/15/04 7/15/03 11/15/01 7/15/01 1/15/01
Yield @ 99.97859% 6.559 6.548 6.534 6.521 6.492 6.479 6.453
Class A-5F
- ----------
Avg. Life (yrs.) 14.28 10.02 6.70 5.00 3.31 2.71 2.15
Mod Duration (yrs) 9.01 7.13 5.25 4.14 2.88 2.41 1.94
Window (begin-end) (mths) 157-187 107-135 71-97 55-67 35-44 31-35 25-28
Expected Final Maturity 7/15/14 3/15/10 1/15/07 7/15/04 8/15/02 11/15/01 4/15/01
Yield @ 99.97655% 6.604 6.597 6.586 6.574 6.550 6.534 6.511
Class A-6F
- ----------
Avg. Life (yrs.) 17.37 12.74 9.69 7.28 4.73 3.92 2.67
Mod Duration (yrs) 9.60 8.07 6.74 5.46 3.87 3.29 2.35
Window (begin-end) (mths) 187-212 135-156 97-120 67-95 44-67 35-58 28-44
Expected Final Maturity 8/15/16 12/15/11 12/15/08 11/15/06 7/15/04 10/15/03 8/15/02
Yield @ 99.95315% 7.285 7.280 7.274 7.266 7.249 7.238 7.210
Class A-7F (NAS)
- ----------------
Avg. Life (yrs.) 8.25 7.36 6.76 6.25 5.07 4.56 3.64
Mod Duration (yrs) 6.03 5.56 5.22 4.92 4.16 3.81 3.14
Window (begin-end) (mths) 37-212 37-156 37-120 37-95 39-67 39-58 42-44
Expected Final Maturity 8/15/16 12/15/11 12/15/08 11/15/06 7/15/04 10/15/03 8/15/02
Yield @ 99.97283% 6.664 6.660 6.658 6.655 6.647 6.641 6.628
Class B
- -------
Avg. Life (yrs.) 11.88 8.52 6.52 5.18 3.94 3.63 3.33
Mod Duration (yrs) 6.54 5.37 4.49 3.80 3.09 2.90 2.71
Window (begin-end) (mths) 75-212 52-156 40-120 37-95 37-67 37-58 38-44
Expected Final Maturity 8/15/16 12/15/11 12/15/08 11/15/06 7/15/04 10/15/03 8/15/02
Yield @ 97.30827% 10.046 10.124 10.210 10.304 10.445 10.495 10.552
Class IO-F (NAS-IO)
- -------------------
Avg. Life (yrs.) 2.02 2.02 2.02 2.02 2.02 2.02 2.02
Mod Duration (yrs) 1.14 1.14 1.14 1.14 1.14 1.14 1.14
Window (begin-end) (mths) 6-36 6-36 6-36 6-36 6-36 6-36 6-36
Expected Final Maturity 12/15/01 12/15/01 12/15/01 12/15/01 12/15/01 12/15/01 12/15/01
Yield @ 10.84409% 7.500 7.500 7.500 7.500 7.500 7.500 7.500
Class A-1A
- ----------
Avg. Life (yrs.) 7.00 4.94 3.74 2.62 2.03 1.72 1.28
Window (begin-end) (mths) 1-212 1-156 1-120 1-95 1-67 1-58 1-44
Expected Final Maturity 8/15/16 12/15/11 12/15/08 11/15/06 7/15/04 10/15/03 8/15/02
- ----------------------------------- ---------- ----------- ----------- ----------- ------------ ----------- -----------
</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 on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, 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>
5
Available Funds
- ---------------
The following table lists the Available Funds Cap on the Group A loans each
month assuming a constant 6-month LIBOR of 5.1477% and a prepayment rate equal
to 30% CPR.
--------------------------------------------------------
Available Available
Funds Funds
Month Cap (%) Month Cap (%)
--------------------------------------------------------
1 9.612 31 10.555
2 9.612 32 10.555
3 9.612 33 10.555
4 9.612 34 10.555
5 9.668 35 10.622
6 9.668 36 10.664
7 9.703 37 10.664
8 9.703 38 10.664
9 9.703 39 10.664
10 9.703 40 10.664
11 9.745 41 10.664
12 9.745 42 10.664
13 9.771 43 10.664
14 9.771 44 10.664
15 9.771 45 10.664
16 9.771 46 10.664
17 9.771 47 10.664
18 9.807 48 10.664
19 9.807 49 10.664
20 9.807 50 10.664
21 9.807 51 10.664
22 9.908 52 10.664
23 10.277 53 10.664
24 10.555 54 10.664
25 10.555 55 10.664
26 10.555 56 10.664
27 10.555 57 10.664
28 10.555 58 10.664
29 10.555 59 10.664
30 10.555 60 10.664
--------------------------------------------------------
- --------------------------------------------------------------------------------
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 on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, 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>
6
Collateral Summary (Cont'd)
- ---------------------------
Collateral statistics for the Initial Adjustable Rate Mortgage Loans are listed
below as of the Statistical Pool Cut-Off Date (October 31, 1998). Initial
Adjustable Rate Mortgage Loans represent approximately 8.27% of the Home Equity
Loans, by principal balance, as of the Statistical Pool Cut-Off Date.
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
Initial Adjustable Rate Loans
-----------------------------
- ------------------------------------------- ------------------------ -------------------------------
<S> <C> <C>
Number of Loans 224
Total Outstanding Principal Balance $19,745,397.99
Average Principal Balance $88,149.10 $15,000.00 - $270,000.00
Weighted Average Start Rate 10.22% 7.75% - 16.05%
Weighted Average Margin 6.12% 3.70% - 11.30%
Weighted Average Original Term (mos.) 360 240 - 360
Weighted Average Remaining Term (mos.) 358 240 - 360
Weighted Average Life Cap 17.02% 14.75% - 23.05%
Weighted Average First Period Rate Cap 2.73% 1.00% - 3.00%
Weighted Average Periodic Rate Cap 1.00%
Product Type 6 month LIBOR 10.92%
2/28 (6 month 79.06%
LIBOR) 10.03%
3/27 (6 month
LIBOR)
Weighted Average LTV 78.94% 25.00% - 90.44%
Weighted Average Credit Score * 601 464 - 778
Lien Position (First/Second) 100.00% / 0.00%
Property Type
Single Family 80.08%
Two to Four Family 14.66%
Condo 5.26%
Occupancy Status
Owner Occupied 90.90%
Not Owner Occupied 9.10%
Document Type
Full Documentation 68.71%
Alternate Documentation 19.76%
Limited Documentation 8.74%
No Documentation 2.79%
Geographic Distribution
other states account individually for OH 18.20% NY 6.93%
less than IL 14.70% MI 6.70%
5% of Adjustable Rate Pool balance NJ 11.91% GA 5.75%
NC 7.70%
Credit Grade
A 51.60%
B 26.62%
C 19.09%
D 2.69%
- ------------------------------------------- ------------------------ -------------------------------
</TABLE>
* based on Credit Score available on 74.42% of the Adjustable Rate Mortgage
Loans.
- --------------------------------------------------------------------------------
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 on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, 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>
7
Collateral Summary (Cont'd)
- ---------------------------
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
Initial Adjustable Rate Loans
-----------------------------
- ---------------------------- ------------------- -------------- ------------- ---------------- ---------------- --------------
Next Rate Adjustment % by Principal Wtd. Avg. Wtd. Avg. Periodic Cap Periodic Cap Wtd. Avg.
Balance Loan Rate Margin (1st Reset) (Subs. Reset) Life Cap
- ---------------------------- ------------------- -------------- ------------- ---------------- ---------------- --------------
<S> <C> <C> <C> <C> <C> <C>
1998-12 0.26% 9.800% 7.050% 1.000% 1.000% 16.800%
- ------------------------------------------------------------------------------------------------------------------------------
1999-02 0.31 10.400 6.750 1.000 1.000 17.400
- ------------------------------------------------------------------------------------------------------------------------------
1999-03 2.67 9.677 6.300 1.000 1.000 16.127
- ------------------------------------------------------------------------------------------------------------------------------
1999-04 5.84 9.888 6.462 1.000 1.000 16.888
- ------------------------------------------------------------------------------------------------------------------------------
1999-05 1.83 9.900 5.839 1.000 1.000 16.900
- ------------------------------------------------------------------------------------------------------------------------------
1999-09 0.26 10.100 5.900 3.000 1.000 17.100
- ------------------------------------------------------------------------------------------------------------------------------
2000-01 0.28 8.850 5.650 3.000 1.000 15.850
- ------------------------------------------------------------------------------------------------------------------------------
2000-04 0.78 9.610 6.410 3.000 1.000 16.610
- ------------------------------------------------------------------------------------------------------------------------------
2000-05 1.38 12.285 7.359 2.340 1.000 18.772
- ------------------------------------------------------------------------------------------------------------------------------
2000-06 2.35 11.395 6.505 2.571 1.000 17.511
- ------------------------------------------------------------------------------------------------------------------------------
2000-07 2.01 11.793 6.799 3.000 1.000 18.579
- ------------------------------------------------------------------------------------------------------------------------------
2000-08 0.56 11.585 7.080 3.000 1.000 17.961
- ------------------------------------------------------------------------------------------------------------------------------
2000-09 14.21 10.212 6.210 2.934 1.000 16.983
- ------------------------------------------------------------------------------------------------------------------------------
2000-10 32.04 10.166 5.971 2.934 1.000 16.964
- ------------------------------------------------------------------------------------------------------------------------------
2000-11 25.18 9.892 5.770 3.000 1.000 16.671
- ------------------------------------------------------------------------------------------------------------------------------
2001-08 0.73 11.095 6.791 3.000 1.000 18.095
- ------------------------------------------------------------------------------------------------------------------------------
2001-09 1.16 13.061 8.778 3.000 1.000 20.061
- ------------------------------------------------------------------------------------------------------------------------------
2001-10 5.37 10.814 6.948 3.000 1.000 17.814
- ------------------------------------------------------------------------------------------------------------------------------
2001-11 2.77 9.597 5.301 3.000 1.000 16.597
- ------------------------------------------------------------------------------------------------------------------------------
Weighted Average 100.00% 10.219% 6.124% 2.732% 1.000% 17.016%
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
Initial Adjustable Rate Loans
-----------------------------
- ---------------------------- ------------------- -------------- ------------- ---------------- ---------------- --------------
<S> <C> <C> <C> <C> <C> <C>
Product Type % by Principal Wtd. Avg. Wtd. Avg. Periodic Cap Periodic Cap Wtd. Avg.
Balance Loan Rate Margin (1st Reset) (Subs. Reset) Life Cap
- ---------------------------- ------------------- -------------- ------------- ---------------- ---------------- --------------
2/28 6 Month Libor 79.06% 10.202% 6.022% 2.937% 1.000% 16.963%
- ------------------------------------------------------------------------------------------------------------------------------
3/27 6 Month Libor 10.03 10.759 6.695 3.000 1.000 17.759
- ------------------------------------------------------------------------------------------------------------------------------
6 Month Libor 10.92 9.851 6.340 1.000 1.000 16.716
- ------------------------------------------------------------------------------------------------------------------------------
Weighted Average 100.00% 10.219% 6.124% 2.732% 1.000% 17.016%
- ------------------------------------------------------------------------------------------------------------------------------
</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 on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, 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>
8
Collateral Summary (Cont'd)
- ---------------------------
Collateral statistics for the Initial Fixed Rate Mortgage Loans are listed below
as of the Statistical Pool Cut-Off Date (October 31, 1998). Initial Fixed Rate
Mortgage Loans represent approximately 91.73% of the Home Equity Loans, by
principal balance, as of the Statistical Pool Cut-Off Date.
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------
Initial Fixed Rate Loans
-----------------------------------------------------------------------------------------
<S> <C> <C>
Number of Loans 2,343
Total Outstanding Principal Balance $219,086,581.61
Balloon (% of Total) 2.96%
Level Pay (% of Total) 97.04%
Average Principal Balance $93,506.86 $5,000.00 - $497,711.66
Weighted Average Loan Rate 10.05% 7.25% - 16.35%
Weighted Average Original Term 325 60 - 360
(mos.)
Weighted Average Remaining Term 324 56 - 360
(mos.)
Weighted Average CLTV 74.34% 6.25% - 94.99%
Weighted Average Credit Score * 623 423 - 811
Lien Position (First/Second) 92.40% / 7.60%
Property Type
Single Family 70.43%
Two to Four Family 21.06%
Five to Eight Family 3.65%
Condo 2.37%
Mixed Use 2.16%
Other 0.33%
Occupancy Status
Owner Occupied 87.16%
Not Owner Occupied 12.84%
Document Type
Full Documentation 73.09%
Alternate Documentation 16.97%
Limited Documentation 8.08%
No Documentation 1.85%
Geographic Distribution
other states account individually NY 50.45% OH 5.39%
for less than 5% of Fixed Rate pool NJ 6.51% MA 5.20%
balance
Credit Grade
A 62.55%
B 21.79%
C 12.28%
D 3.37%
-----------------------------------------------------------------------------------------
</TABLE>
* based on Credit Score available on 74.12% of the Fixed Rate Mortgage Loans.
- --------------------------------------------------------------------------------
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 on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, 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>
9
Collateral Summary (Cont'd)
- ---------------------------
Detailed Collateral Summary (Adjustable Rate Loans)
<TABLE>
<CAPTION>
Current Balance ($) No. of Loans Total Current Balance ($) % Current Bal.
------------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
$0.01 - $25,000.00 5 $ 86,726.48 0.44%
25,000.01 - 50,000.00 53 2,110,464.77 10.69
50,000.01 - 75,000.00 52 3,125,450.36 15.83
75,000.01 - 100,000.00 36 3,132,251.33 15.86
100,000.01 - 125,000.00 29 3,198,972.44 16.20
125,000.01 - 150,000.00 22 2,997,117.95 15.18
150,000.01 - 175,000.00 10 1,616,203.59 8.19
175,000.01 - 200,000.00 10 1,856,633.50 9.40
200,000.01 - 225,000.00 4 842,577.57 4.27
250,000.01 - 275,000.00 3 779,000.00 3.95
**Total** 224 $ 19,745,397.99 100.00%
</TABLE>
<TABLE>
<CAPTION>
Original Balance ($) No. of Loans Total Current Balance ($) % Current Bal.
-------------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
$0.01 - $25,000.00 5 $ 86,726.48 0.44%
25,000.01 - 50,000.00 53 2,110,464.77 10.69
50,000.01 - 75,000.00 52 3,125,450.36 15.83
75,000.01 - 100,000.00 36 3,132,251.33 15.86
100,000.01 - 125,000.00 29 3,198,972.44 16.20
125,000.01 - 150,000.00 22 2,997,117.95 15.18
150,000.01 - 175,000.00 10 1,616,203.59 8.19
175,000.01 - 200,000.00 10 1,856,633.50 9.40
200,000.01 - 225,000.00 4 842,577.57 4.27
250,000.01 - 275,000.00 3 779,000.00 3.95
**Total** 224 $ 19,745,397.99 100.00%
</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 on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, 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>
10
Collateral Summary (Cont'd)
- ---------------------------
Detailed Collateral Summary (Adjustable Rate Loans)
<TABLE>
<CAPTION>
Gross Coupon (%) No. of Loans Total Current Balance ($) % Current Bal.
---------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
7.501% - 8.000% 5 $ 466,287.80 2.36%
8.001 - 8.500 10 828,923.12 4.20
8.501 - 9.000 19 1,899,768.54 9.62
9.001 - 9.500 26 2,787,701.46 14.12
9.501 - 10.000 41 4,050,110.63 20.51
10.001 - 10.500 26 2,313,419.40 11.72
10.501 - 11.000 38 3,716,810.26 18.82
11.001 - 11.500 15 924,375.00 4.68
11.501 - 12.000 17 1,159,056.47 5.87
12.001 - 12.500 11 583,718.49 2.96
12.501 - 13.000 4 370,735.71 1.88
13.001 - 13.500 4 115,229.18 0.58
13.501 - 14.000 4 391,692.95 1.98
14.001 - 14.500 3 108,172.30 0.55
Greater than 15.001 1 29,396.68 0.15
**Total** 224 $ 19,745,397.99 100.00%
</TABLE>
<TABLE>
<CAPTION>
Margin (%) No. of Loans Total Current Balance ($) % Current Bal.
---------- ------------ ------------------------- --------------
<S> <C> <C> <C>
3.501% - 4.000% 6 $ 561,612.80 2.84%
4.001 - 4.500 14 1,229,304.67 6.23
4.501 - 5.000 20 1,796,524.56 9.10
5.001 - 5.500 26 2,631,110.66 13.33
5.501 - 6.000 30 3,052,014.83 15.46
6.001 - 6.500 34 3,336,412.94 16.90
6.501 - 7.000 39 3,527,739.31 17.87
7.001 - 7.500 21 1,596,999.60 8.09
7.501 - 8.000 17 1,088,847.98 5.51
8.001 - 8.500 6 527,550.00 2.67
8.501 - 9.000 3 119,275.00 0.60
9.001 - 9.500 7 248,608.96 1.26
11.001 - 11.500 1 29,396.68 0.15
**Total** 224 $ 19,745,397.99 100.00%
</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 on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, 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>
11
Collateral Summary (Cont'd)
- ---------------------------
Detailed Collateral Summary (Adjustable Rate Loans)
<TABLE>
<CAPTION>
First Period Rate Cap (%) No. of Loans Total Current Balance ($) % Current Bal.
------------------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
1.000% 27 $ 2,456,631.94 12.44%
2.000 3 379,971.71 1.92
3.000 194 16,908,794.34 85.63
**Total** 224 $ 19,745,397.99 100.00%
</TABLE>
<TABLE>
<CAPTION>
Periodic Rate Cap (%) No. of Loans Total Current Balance ($) % Current Bal.
--------------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
1.000% 224 $ 19,745,397.99 100.00%
**Total** 224 $ 19,745,397.99 100.00%
</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 on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, 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>
12
Collateral Summary (Cont'd)
- ---------------------------
Detailed Collateral Summary (Adjustable Rate Loans)
<TABLE>
<CAPTION>
Floor (%) No. of Loans Total Current Balance ($) % Current Bal.
--------- ------------ ------------------------- --------------
<S> <C> <C> <C>
5.501% - 6.000% 1 $ 91,971.39 0.47%
7.501 - 8.000 6 561,087.80 2.84
8.001 - 8.500 10 828,923.12 4.20
8.501 - 9.000 19 1,916,968.54 9.71
9.001 - 9.500 27 2,891,317.90 14.64
9.501 - 10.000 40 3,938,110.63 19.94
10.001 - 10.500 25 2,209,802.96 11.19
10.501 - 11.000 38 3,716,810.26 18.82
11.001 - 11.500 15 924,375.00 4.68
11.501 - 12.000 16 1,067,085.08 5.40
12.001 - 12.500 11 583,718.49 2.96
12.501 - 13.000 4 370,735.71 1.88
13.001 - 13.500 4 115,229.18 0.58
13.501 - 14.000 4 391,692.95 1.98
14.001 - 14.500 3 108,172.30 0.55
16.001 - 16.500 1 29,396.68 0.15
**Total** 224 $ 19,745,397.99 100.00%
</TABLE>
<TABLE>
<CAPTION>
Maximum Rate (%) No. of Loans Total Current Balance ($) % Current Bal.
---------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
14.501% - 15.000% 6 $ 561,087.80 2.84%
15.001 - 15.500 13 1,269,908.62 6.43
15.501 - 16.000 28 3,100,900.11 15.70
16.001 - 16.500 29 2,945,432.40 14.92
16.501 - 17.000 37 3,550,574.38 17.98
17.001 - 17.500 21 1,784,668.01 9.04
17.501 - 18.000 35 3,046,321.28 15.43
18.001 - 18.500 17 1,111,575.00 5.63
18.501 - 19.000 15 1,192,720.79 6.04
19.001 - 19.500 9 396,518.49 2.01
19.501 - 20.000 3 281,367.95 1.42
20.001 - 20.500 4 115,229.18 0.58
20.501 - 21.000 3 251,525.00 1.27
21.001 - 21.500 3 108,172.30 0.55
Greater than 22.001 1 29,396.68 0.15
**Total** 224 $ 19,745,397.99 100.00%
</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 on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, 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>
13
Collateral Summary (Cont'd)
- ---------------------------
Detailed Collateral Summary (Adjustable Rate Loans)
<TABLE>
<CAPTION>
Original Term (months) No. of Loans Total Current Balance ($) % Current Bal.
---------------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
240 1 $ 57,200.00 0.29%
360 223 19,688,197.99 99.71
**Total** 224 $ 19,745,397.99 100.00%
</TABLE>
<TABLE>
<CAPTION>
Remaining Term (months) No. of Loans Total Current Balance ($) % Current Bal.
----------------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
181 - 240 1 $ 57,200.00 0.29%
301 - 360 223 19,688,197.99 99.71
**Total** 224 $ 19,745,397.99 100.00%
</TABLE>
<TABLE>
<CAPTION>
Loan Age (months) No. of Loans Total Current Balance ($) % Current Bal.
----------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
0 71 $ 5,879,792.00 29.78%
1 - 3 136 12,315,116.99 62.37
4 - 6 12 1,185,487.02 6.00
7 - 12 4 314,080.77 1.59
13 - 18 1 50,921.21 0.26
**Total** 224 $ 19,745,397.99 100.00%
</TABLE>
<TABLE>
<CAPTION>
Lien Position No. of Loans Total Current Balance ($) % Current Bal.
------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
1 224 $ 19,745,397.99 100.00%
**Total** 224 $ 19,745,397.99 100.00%
</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 on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, 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>
14
Collateral Summary (Cont'd)
- ---------------------------
Detailed Collateral Summary (Adjustable Rate Loans)
<TABLE>
<CAPTION>
Original Loan-to-Value No. of Loans Total Current Balance ($) % Current Bal.
---------------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
20.001% - 25.000% 1 $ 36,250.00 0.18%
35.001 - 40.000 2 44,982.09 0.23
40.001 - 45.000 1 17,500.00 0.09
45.001 - 50.000 3 171,962.35 0.87
50.001 - 55.000 6 578,904.88 2.93
55.001 - 60.000 9 758,059.00 3.84
60.001 - 65.000 10 423,125.14 2.14
65.001 - 70.000 19 1,172,041.27 5.94
70.001 - 75.000 40 3,672,245.25 18.60
75.001 - 80.000 52 4,556,259.66 23.08
80.001 - 85.000 41 4,082,139.57 20.67
85.001 - 90.000 38 3,956,438.69 20.04
90.001 - 95.000 2 275,490.09 1.40
**Total** 224 $ 19,745,397.99 100.00%
</TABLE>
<TABLE>
<CAPTION>
Months Delinquent No. of Loans Total Current Balance ($) % Current Bal.
----------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
0 223 $ 19,689,623.85 99.72%
1 1 55,774.14 0.28
**Total** 224 $ 19,745,397.99 100.00%
</TABLE>
<TABLE>
<CAPTION>
Occupancy Status No. of Loans Total Current Balance ($) % Current Bal.
---------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
Owner Occupied 199 $ 17,948,859.54 90.90%
Not Owner Occupied 25 1,796,538.45 9.10
**Total** 224 $ 19,745,397.99 100.00%
</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 on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, 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>
15
Collateral Summary (Cont'd)
- ---------------------------
Detailed Collateral Summary (Adjustable Rate Loans)
<TABLE>
<CAPTION>
Credit Grade No. of Loans Total Current Balance ($) % Current Bal.
------------ ------------ ------------------------- --------------
<S> <C> <C> <C>
A 98 $ 10,189,315.43 51.60%
B 58 5,256,981.91 26.62
C 56 3,768,839.91 19.09
D 12 530,260.74 2.69
**Total** 224 $ 19,745,397.99 100.00%
</TABLE>
<TABLE>
<CAPTION>
Credit Score No. of Loans Total Current Balance ($) % Current Bal.
------------ ------------ ------------------------- --------------
<S> <C> <C> <C>
NA 57 $ 5,050,224.41 25.58%
1 - 560 57 3,955,789.61 20.03
561 - 580 16 1,365,879.52 6.92
581 - 600 19 1,568,943.45 7.95
601 - 620 18 2,341,232.20 11.86
621 - 640 23 2,009,610.46 10.18
641 - 660 12 1,255,475.45 6.36
661 - 680 7 659,318.09 3.34
681 - 700 10 1,098,114.80 5.56
701 - 720 2 109,399.50 0.55
Greater than 721 3 331,410.50 1.68
**Total** 224 $ 19,745,397.99 100.00%
</TABLE>
<TABLE>
<CAPTION>
Property Type No. of Loans Total Current Balance ($) % Current Bal.
------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
Single Family 182 $ 15,811,395.78 80.08%
Condo 11 1,038,513.41 5.26
2-4 Family 31 2,895,488.80 14.66
**Total** 224 $ 19,745,397.99 100.00%
</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 on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, 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>
16
Collateral Summary (Cont'd)
- ---------------------------
Detailed Collateral Summary (Adjustable Rate Loans)
<TABLE>
<CAPTION>
Loan Documentation No. of Loans Total Current Balance ($) % Current Bal.
------------------ ------------ ------------------------- --------------
<S> <C> <C> <C>
Full 157 $ 13,566,301.22 68.71%
Alternate 35 3,902,107.18 19.76
Limited 25 1,726,240.09 8.74
No Doc 7 550,749.50 2.79
**Total** 224 $ 19,745,397.99 100.00%
</TABLE>
<TABLE>
<CAPTION>
State No. of Loans Total Current Balance ($) % Current Bal.
----- ------------ ------------------------- --------------
<S> <C> <C> <C>-
OH 46 $ 3,592,861.33 18.20%
IL 28 2,903,201.11 14.70
NJ 20 2,351,956.06 11.91
NC 16 1,521,201.15 7.70
NY 10 1,368,771.54 6.93
MI 25 1,323,693.17 6.70
GA 17 1,135,281.92 5.75
MA 8 941,700.00 4.77
PA 10 619,134.18 3.14
FL 8 609,301.05 3.09
VA 3 416,200.00 2.11
CT 3 388,552.30 1.97
DC 3 290,221.39 1.47
DE 3 236,612.80 1.20
CO 2 221,650.00 1.12
IN 3 214,325.00 1.09
TN 3 212,425.17 1.08
MD 3 210,942.51 1.07
RI 2 201,415.32 1.02
WI 1 194,400.00 0.98
CA 1 151,300.00 0.77
MO 2 151,024.14 0.76
NH 1 120,600.00 0.61
MS 1 116,100.00 0.59
AZ 1 92,841.98 0.47
SC 1 64,900.00 0.33
ME 1 59,785.87 0.30
AR 1 20,000.00 0.10
ND 1 15,000.00 0.08
**Total** 224 $ 19,745,397.99 100.00%
</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 on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, 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>
17
Collateral Summary (Cont'd)
- ---------------------------
Detailed Collateral Summary (Fixed Rate Loans)
<TABLE>
<CAPTION>
Current Balance ($) No. of Loans Total Current Balance ($) % Current Bal.
------------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
$0.01 - $25,000.00 159 $ 3,181,001.22 1.45%
25,000.01 - 50,000.00 573 21,978,258.65 10.03
50,000.01 - 75,000.00 505 31,432,366.65 14.35
75,000.01 - 100,000.00 327 28,724,998.72 13.11
100,000.01 - 125,000.00 223 25,309,515.27 11.55
125,000.01 - 150,000.00 192 26,397,213.44 12.05
150,000.01 - 175,000.00 111 17,942,457.58 8.19
175,000.01 - 200,000.00 53 10,004,191.61 4.57
200,000.01 - 225,000.00 34 7,278,159.23 3.32
225,000.01 - 250,000.00 59 14,015,629.70 6.40
250,000.01 - 275,000.00 34 8,917,838.93 4.07
275,000.01 - 300,000.00 31 8,942,989.98 4.08
300,000.01 - 325,000.00 13 4,083,318.57 1.86
325,000.01 - 350,000.00 12 4,133,498.11 1.89
350,000.01 - 375,000.00 9 3,277,735.03 1.50
375,000.01 - 400,000.00 2 784,151.97 0.36
400,000.01 - 425,000.00 1 422,000.00 0.19
425,000.01 - 450,000.00 3 1,309,963.13 0.60
450,000.01 - 475,000.00 1 453,582.16 0.21
475,000.01 - 500,000.00 1 497,711.66 0.23
**Total** 2,343 $ 219,086,581.61 100.00%
</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 on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, 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>
18
Collateral Summary (Cont'd)
- ---------------------------
Detailed Collateral Summary (Fixed Rate Loans)
<TABLE>
<CAPTION>
Original Balance ($) No. of Loans Total Current Balance ($) % Current Bal.
-------------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
$0.01 - $25,000.00 159 $ 3,181,001.22 1.45%
25,000.01 - 50,000.00 573 21,978,258.65 10.03
50,000.01 - 75,000.00 505 31,432,366.65 14.35
75,000.01 - 100,000.00 327 28,724,998.72 13.11
100,000.01 - 125,000.00 222 25,189,460.94 11.50
125,000.01 - 150,000.00 193 26,517,267.77 12.10
150,000.01 - 175,000.00 111 17,942,457.58 8.19
175,000.01 - 200,000.00 53 10,004,191.61 4.57
200,000.01 - 225,000.00 34 7,278,159.23 3.32
225,000.01 - 250,000.00 59 14,015,629.70 6.40
250,000.01 - 275,000.00 34 8,917,838.93 4.07
275,000.01 - 300,000.00 31 8,942,989.98 4.08
300,000.01 - 325,000.00 13 4,083,318.57 1.86
325,000.01 - 350,000.00 12 4,133,498.11 1.89
350,000.01 - 375,000.00 9 3,277,735.03 1.50
375,000.01 - 400,000.00 2 784,151.97 0.36
400,000.01 - 425,000.00 1 422,000.00 0.19
425,000.01 - 450,000.00 3 1,309,963.13 0.60
450,000.01 - 475,000.00 1 453,582.16 0.21
475,000.01 - 500,000.00 1 497,711.66 0.23
**Total** 2,343 $ 219,086,581.61 100.00%
</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 on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, 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>
19
Collateral Summary (Cont'd)
- ---------------------------
Detailed Collateral Summary (Fixed Rate Loans)
<TABLE>
<CAPTION>
Gross Coupon (%) No. of Loans Total Current Balance ($) % Current Bal.
---------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
7.001% - 7.500% 43 $ 5,740,893.90 2.62%
7.501 - 8.000 112 13,557,707.05 6.19
8.001 - 8.500 139 15,445,186.10 7.05
8.501 - 9.000 252 26,436,231.84 12.07
9.001 - 9.500 195 18,303,780.31 8.35
9.501 - 10.000 431 43,896,097.75 20.04
10.001 - 10.500 240 22,682,084.55 10.35
10.501 - 11.000 298 26,969,331.01 12.31
11.001 - 11.500 187 15,316,380.01 6.99
11.501 - 12.000 173 13,801,509.09 6.30
12.001 - 12.500 92 6,295,218.11 2.87
12.501 - 13.000 81 4,673,840.31 2.13
13.001 - 13.500 37 2,862,437.57 1.31
13.501 - 14.000 32 1,655,179.30 0.76
14.001 - 14.500 14 569,993.94 0.26
14.501 - 15.000 10 633,741.44 0.29
15.001 - 15.500 2 66,500.00 0.03
15.501 - 16.000 4 162,898.13 0.07
16.001 - 16.500 1 17,571.20 0.01
**Total** 2,343 $ 219,086,581.61 100.00%
</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 on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, 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>
20
Collateral Summary (Cont'd)
- ---------------------------
Detailed Collateral Summary (Fixed Rate Loans)
<TABLE>
<CAPTION>
Original Term (months) No. of Loans Total Current Balance ($) % Current Bal.
---------------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
1 - 60 9 $ 237,598.02 0.11%
61 - 120 63 2,943,245.08 1.34
121 - 180 421 26,889,247.89 12.27
181 - 240 214 15,013,348.71 6.85
241 - 300 34 3,621,244.46 1.65
301 - 360 1,602 170,381,897.45 77.77
**Total** 2,343 $ 219,086,581.61 100.00%
</TABLE>
<TABLE>
<CAPTION>
Remaining Term (mths) No. of Loans Total Current Balance ($) % Current Bal.
--------------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
1 - 60 9 $ 237,598.02 0.11%
61 - 120 63 2,943,245.08 1.34
121 - 180 421 26,889,247.89 12.27
181 - 240 214 15,013,348.71 6.85
241 - 300 34 3,621,244.46 1.65
301 - 360 1,602 170,381,897.45 77.77
**Total** 2,343 $ 219,086,581.61 100.00%
</TABLE>
<TABLE>
<CAPTION>
Loan Age (months) No. of Loans Total Current Balance ($) % Current Bal.
----------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
0 769 $ 64,971,850.61 29.66%
1 - 3 1,422 134,345,022.07 61.32
4 - 6 138 18,420,345.81 8.41
7 - 12 12 1,227,493.16 0.56
13 - 18 1 75,255.99 0.03
19 - 24 1 46,613.97 0.02
**Total** 2,343 $ 219,086,581.61 100.00%
</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 on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, 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>
21
Collateral Summary (Cont'd)
- ---------------------------
Detailed Collateral Summary (Fixed Rate Loans)
<TABLE>
<CAPTION>
Lien Position No. of Loans Total Current Balance ($) % Current Bal.
------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
1 2,017 $ 202,426,398.35 92.40%
2 326 16,660,183.26 7.60
**Total** 2,343 $ 219,086,581.61 100.00%
</TABLE>
<TABLE>
<CAPTION>
Original Combined No. of Loans Total Current Balance ($) % Current Bal.
------------------ ------------ ------------------------- --------------
Loan-to-Value
-------------
<S> <C> <C> <C>
5.001% - 10.000% 1 $ 15,000.00 0.01%
10.001 - 15.000 5 121,458.75 0.06
15.001 - 20.000 13 414,599.22 0.19
20.001 - 25.000 17 608,357.05 0.28
25.001 - 30.000 17 729,852.06 0.33
30.001 - 35.000 23 1,534,326.43 0.70
35.001 - 40.000 40 2,778,382.95 1.27
40.001 - 45.000 41 2,497,955.32 1.14
45.001 - 50.000 81 5,037,279.27 2.30
50.001 - 55.000 76 5,997,940.06 2.74
55.001 - 60.000 134 11,641,891.28 5.31
60.001 - 65.000 185 14,094,088.90 6.43
65.001 - 70.000 263 24,099,136.27 11.00
70.001 - 75.000 304 27,272,762.41 12.45
75.001 - 80.000 618 60,715,108.07 27.71
80.001 - 85.000 265 29,732,325.05 13.57
85.001 - 90.000 259 31,741,118.52 14.49
90.001 - 95.000 1 55,000.00 0.03
**Total** 2,343 $ 219,086,581.61 100.00%
</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 on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, 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>
22
Collateral Summary (Cont'd)
- ---------------------------
Detailed Collateral Summary (Fixed Rate Loans)
<TABLE>
<CAPTION>
Jr. Mortgage Ratio No. of Loans Total Current Balance ($) % Current Bal.
------------------ ------------ ------------------------- --------------
<S> <C> <C> <C>
5.001% - 10.000% 1 $ 5,100.00 0.03%
10.001 - 15.000 12 269,821.18 1.62
15.001 - 20.000 56 1,660,638.57 9.97
20.001 - 25.000 66 2,520,992.44 15.13
25.001 - 30.000 57 2,447,231.63 14.69
30.001 - 35.000 34 1,908,594.65 11.46
35.001 - 40.000 32 1,820,153.70 10.93
40.001 - 45.000 12 973,952.79 5.85
45.001 - 50.000 11 816,368.63 4.90
50.001 - 55.000 10 646,591.07 3.88
55.001 - 60.000 6 665,918.79 4.00
60.001 - 65.000 7 819,712.20 4.92
65.001 - 70.000 3 283,911.76 1.70
70.001 - 75.000 3 128,066.35 0.77
75.001 - 80.000 5 272,626.00 1.64
80.001 - 85.000 4 336,431.09 2.02
85.001 - 90.000 7 1,084,072.41 6.51
**Total** 326 $ 16,660,183.26 100.00%
</TABLE>
<TABLE>
<CAPTION>
Months Delinquent No. of Loans Total Current Balance ($) % Current Bal.
----------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
0 2,338 $ 218,847,401.10 99.89%
1 5 239,180.51 0.11
**Total** 2,343 $ 219,086,581.61 100.00%
</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 on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, 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>
23
Collateral Summary (Cont'd)
- ---------------------------
Detailed Collateral Summary (Fixed Rate Loans)
<TABLE>
<CAPTION>
Occupancy Status No. of Loans Total Current Balance ($) % Current Bal.
---------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
Owner Occupied 1,998 $ 190,959,710.13 87.16%
Not Owner Occupied 345 28,126,871.48 12.84
**Total** 2,343 $ 219,086,581.61 100.00%
</TABLE>
<TABLE>
<CAPTION>
Loan Type No. of Loans Total Current Balance ($) % Current Bal.
--------- ------------ ------------------------- --------------
<S> <C> <C> <C>
Balloon 87 $ 6,494,343.55 2.96%
Fixed 2,256 212,592,238.06 97.04
**Total** 2,343 $ 219,086,581.61 100.00%
</TABLE>
<TABLE>
<CAPTION>
Credit Grade No. of Loans Total Current Balance ($) % Current Bal.
------------ ------------ ------------------------- --------------
<S> <C> <C> <C>
A 1,303 $ 137,042,886.53 62.55%
B 547 47,744,191.05 21.79
C 374 26,912,565.42 12.28
D 119 7,386,938.61 3.37
**Total** 2,343 $ 219,086,581.61 100.00%
</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 on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, 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>
24
Collateral Summary (Cont'd)
- ---------------------------
Detailed Collateral Summary (Fixed Rate Loans)
<TABLE>
<CAPTION>
Credit Score No. of Loans Total Current Balance ($) % Current Bal.
------------ ------------ ------------------------- --------------
<S> <C> <C> <C>
NA 633 $ 56,693,821.90 25.88%
1 - 560 326 26,291,446.51 12.00
561 - 580 185 14,807,675.21 6.76
581 - 600 204 19,472,370.07 8.89
601 - 620 200 20,108,509.41 9.18
621 - 640 188 19,824,839.22 9.05
641 - 660 181 18,559,260.72 8.47
661 - 680 143 15,354,875.63 7.01
681 - 700 95 10,221,686.89 4.67
701 - 720 60 6,094,311.19 2.78
Greater than 721 128 11,657,784.86 5.32
**Total** 2,343 $ 219,086,581.61 100.00%
</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 on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, 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>
25
Collateral Summary (Cont'd)
- ---------------------------
Detailed Collateral Summary (Fixed Rate Loans)
<TABLE>
<CAPTION>
Property Type No. of Loans Total Current Balance ($) % Current Bal.
------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
Single Family 1,762 $ 154,297,247.87 70.43%
2-4 Family 398 46,137,698.89 21.06
5-8 Family 62 7,998,478.40 3.65
Condo 59 5,187,878.58 2.37
Mixed Use 48 4,734,829.02 2.16
Other 14 730,448.85 0.33
**Total** 2,343 $ 219,086,581.61 100.00%
</TABLE>
<TABLE>
<CAPTION>
Loan Documentation No. of Loans Total Current Balance ($) % Current Bal.
------------------ ------------ ------------------------- --------------
<S> <C> <C> <C>
Full 1,760 $ 160,140,358.77 73.09%
Alternate 331 37,188,083.99 16.97
Limited 209 17,695,854.20 8.08
No Doc 43 4,062,284.65 1.85
**Total** 2,343 $ 219,086,581.61 100.00%
</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 on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, 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>
26
Collateral Summary (Cont'd)
- ---------------------------
Detailed Collateral Summary (Fixed Rate Loans)
<TABLE>
<CAPTION>
State No. of Loans Total Current Balance ($) % Current Bal.
----- ------------ ------------------------- --------------
<S> <C> <C> <C>
NY 949 $ 110,519,576.68 50.45%
NJ 133 14,262,707.66 6.51
OH 176 11,817,970.06 5.39
MA 100 11,382,811.23 5.20
PA 176 10,739,324.55 4.90
IL 105 9,783,211.41 4.47
FL 112 9,222,694.23 4.21
GA 86 6,537,817.20 2.98
NC 75 5,233,160.44 2.39
TN 76 5,187,571.51 2.37
MI 82 5,050,644.65 2.31
CT 35 3,387,445.40 1.55
IN 43 2,773,375.41 1.27
MD 24 2,320,899.90 1.06
MO 25 1,486,021.46 0.68
NH 16 1,433,437.47 0.65
RI 16 1,111,561.66 0.51
SC 16 1,056,462.60 0.48
TX 12 719,620.87 0.33
CO 8 698,000.00 0.32
MS 18 658,150.39 0.30
VA 12 634,740.42 0.29
KY 6 404,632.28 0.18
DE 5 340,899.16 0.16
ME 4 318,349.10 0.15
CA 4 278,428.48 0.13
VT 2 260,253.83 0.12
AR 6 227,291.60 0.10
OR 2 217,000.00 0.10
NM 3 202,322.48 0.09
WI 3 157,619.19 0.07
MN 3 124,410.18 0.06
NE 2 111,850.00 0.05
WY 1 94,500.00 0.04
DC 2 93,972.53 0.04
KS 1 67,200.00 0.03
NV 1 63,517.71 0.03
LA 1 50,400.00 0.02
WA 1 38,279.87 0.02
WV 1 18,450.00 0.01
**Total** 2,343 $ 219,086,581.61 100.00%
</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 on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, 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).
