<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) June 16, 1999
-------------
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.
This Current Report on Form 8-K is being filed to file a copy of the
Computational Materials (as defined below) prepared and distributed by Lehman
Brothers Inc., as an underwriter, in connection with the issuance by Delta
Funding Home Equity Loan Trust 1999-2 of Home Equity Loan Asset-Backed
Certificates, Series 1999-2. 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. Some or all of the Computational Materials
were also distributed by Banc of America Securities LLC, Credit Suisse First
Boston Corporation and First Union Capital Markets Corp., as the other
underwriters; the legends which such underwriters placed on the Computational
Materials are attached hereto as Exhibits 99.3, 99.4 and 99.5, respectively.
Item 7. Financial Statements, Pro Forma Financial Information and Exhibits.
(a) Not applicable.
(b) Not applicable.
(c) Exhibits:
8.1 Opinion of Stroock & Stroock & Lavan LLP regarding certain tax
matters.
23.2 Consent of Stroock & Stroock & Lavan LLP (included in Exhibit 8.1)
99.1 Computational Materials.
99.2 Legend of Lehman Brothers Inc. for Computational Materials.
99.3 Legend of Banc of America Securities LLC for Computational Materials.
99.4 Legend of Credit Suisse First Boston Corporation for Computational
Materials.
99.5 Legend of First Union Capital Markets Corp. for Computational
Materials.
<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/ Dawn Ceccarini
-------------------------------
Name: Dawn Ceccarini
Title: Vice President
Dated: June 16, 1999
<PAGE>
EXHIBIT INDEX
Exhibit Page
- ------- ----
8.1 Opinion of Stroock & Stroock & Lavan LLP regarding certain
tax matters.
23.2 Consent of Stroock & Stroock & Lavan LLP
(included in Exhibit 8.1).
99.1 Computational Materials.
99.2 Legend of Lehman Brothers Inc. for Computational Materials.
99.3 Legend of Banc of America Securities LLC for Computational Materials.
99.4 Legend of Credit Suisse First Boston Corporation for Computational
Materials.
99.5 Legend of First Union Capital Markets Corp. for Computational
Materials.
<PAGE>
EXHIBIT 8.1
STROOCK & STROOCK & LAVAN LLP
180 Maiden Lane
New York, NY 10038-4982
June 15, 1999
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 $420,000,000 aggregate principal amount of Home Equity Loan
Asset-Backed Certificates, Series 1999-2 (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
June 15, 1999 (the "Prospectus") and the Prospectus Supplement dated June 15,
1999 (the "Prospectus Supplement"), the Certificates will be issued by a trust
established by Delta pursuant to the provisions of a Pooling and Servicing
Agreement dated as of May 31, 1999 (the "Pooling and Servicing Agreement"),
between Delta, as seller and servicer, Norwest Bank Minnesota, National
Association, as securities administrator, and The First National Bank of
Chicago, 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. 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.
<PAGE>
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.
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>
DERIVED INFORMATION
[LOGO]
$420,000,000 Certificates (approximate)
Delta Funding Home Equity Loan Trust 1999-2
Delta Funding Corporation (Seller & Servicer)
<PAGE>
Delta Funding Home Equity Loan Trust 1999-2
<TABLE>
<CAPTION>
To Maturity
- -----------------------------------------------------------------------------------------------------------
Est.
Est. Prin. Expected Stated Expected
Approx. Tsy. WAL Window Final Final Ratings
Class Size Group Type BMark (yrs) (mos) Maturity Maturity (S&P/Fitch)
----- -------- ----- ---- ----- ----- ------ -------- -------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-1F 123,276,000 F Fxd - Seq Curve 1.00 1 - 22 04/15/01 2/15/18 AAA/AAA
A-2F 56,861,000 F Fxd - Seq Curve 2.25 22 - 33 03/15/02 2/15/23 AAA/AAA
A-3F 27,651,000 F Fxd - Seq Curve 3.10 33 - 43 01/15/03 5/15/25 AAA/AAA
A-4F 18,534,000 F Fxd - Seq Curve 4.00 43 - 53 11/15/03 7/15/26 AAA/AAA
A-5F 21,609,000 F Fxd - Seq Curve 5.09 53 - 71 05/15/05 10/15/27 AAA/AAA
A-6F 32,569,000 (1) F Fxd - Seq Curve 10.32 71 - 218 08/15/17 8/15/30 AAA/AAA
A-7F 37,000,000 F Fxd - NAS Curve 6.67 38 - 216 06/15/17 8/15/30 AAA/AAA
M-1 17,850,000 F Fxd - Mez Curve 6.13 37 - 169 07/15/13 8/15/30 AA/AA
M-2 17,850,000 F Fxd - Mez Curve 6.04 37 - 154 04/15/12 8/15/30 A/A
B 16,800,000 F Fxd - Sub Curve 5.65 37 - 130 04/15/10 8/15/30 BBB-/BBB-
A-1A 50,000,000 (1) A FLT - PT 1 m LI 2.78 1 - 218 08/15/17 8/15/30 AAA/AAA
</TABLE>
<TABLE>
<CAPTION>
To 10% Call
- -----------------------------------------------------------------------------------------------------------
Est.
Est. Prin. Expected Stated Expected
Approx. Tsy. WAL Window Final Final Ratings
Class Size Group Type BMark (yrs) (mos) Maturity Maturity (S&P/Fitch)
----- -------- ----- ---- ----- ----- ------ -------- -------- -----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-6F 32,569,000 (1) F Fxd - Seq Curve 7.87 71 - 101 11/15/07 8/15/30 AAA/AAA
A-7F 37,000,000 F Fxd - Seq Curve 6.50 38 - 101 11/15/07 8/15/30 AAA/AAA
M-1 17,850,000 F Fxd - Mez Curve 5.61 37 - 101 11/15/07 8/15/30 AA/AA
M-2 17,850,000 F Fxd - Mez Curve 5.61 37 - 101 11/15/07 8/15/30 A/A
B 16,800,000 F Fxd - Sub Curve 5.50 37 - 101 11/15/07 8/15/30 BBB-/BBB-
A-1A 50,000,000(1) A FLT - PT 1 m LI 2.66 1 - 101 11/15/07 8/15/30 AAA/AAA
</TABLE>
Pricing Speed
- -------------------------------------------------------------------------------
Group I 115% PPC
100% PPC assumes that prepayments start at 4% CPR in
month one, increase by approximately 1.455% each month
to 20% CPR in month twelve, and remain at 20% CPR
thereafter.
Group II 30% CPR
- -------------------------------------------------------------------------------
(1) Priced to call. The Class A-6F coupon increases by 50 bp per annum and the
Class A-1A margin increases to twice its initial level after the Optional
Clean-Up Call Date.
There will also be an offered Class IOF, which is an interest-only security
which accrues interest at a 6.00% per annum Pass-Through Rate on its notional
amount, initially $111,512,000. This Class is offered only by Lehman Brothers.
See "Class IOF Notional Balance Schedule" for more detail.
<PAGE>
<TABLE>
<CAPTION>
Terms of the Offering
<S> <C>
Issuer: Delta Funding Home Equity Loan Trust 1999-2
Offered Certificates: $370,000,000 Group F Certificates and Subordinate Certificates
$50,000,000 Group A Certificates
Seller and Servicer: Delta Funding Corporation
Trustee and Custodian: Norwest Bank Minnesota, N.A.
Underwriters: Lehman Brothers (lead manager)
Banc of America Securities (co-manager)
Credit Suisse First Boston (co-manager)
First Union Capital Markets (co-manager)
Expected Pricing Date: May 26 - 27
Expected Settlement Date: June 17, 1999 through DTC, Euroclear and Cedelbank
Distribution Date: 15th of each month, or the next succeeding Business Day
(First Distribution Date: July 15, 1999)
Record Date: The last Business Day in the month preceding the applicable Distribution
Date, or the Business Day immediately preceding the applicable
Distribution Date in the case of the Class A-1A Certificates
Cut-Off Date: May 31, 1999, or the origination date of such Mortgage Loan, if later
than May 31
Delay Days: 14 days, or 0 days in the case of the Class A-1A Certificates
Day Count: 30/360, or Actual/360 in the case of the Class A-1A Certificates
Servicing Fee: 0.50% of the Aggregate Principal Balance of the Mortgage Loans
Optional Clean-up Call: Any Distribution Date on or after which the Aggregate Principal Balance
of the Mortgage Loans declines to 10% or less of the Aggregate Principal
Balance as of the Cut-Off Date ("Cut-Off Date Pool Principal Balance")
Denomination: $25,000 and multiples of $1,000 in excess thereof
SMMEA Eligibility: The Certificates are not expected to be SMMEA eligible
ERISA Eligibility: The Certificates are expected to be ERISA eligible, except for the Class
M-1, Class M-2 and Class B Certificates
Tax Status: The Offered Certificates will be treated as regular interests of a REMIC
for federal income tax purposes
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Terms of the Offering (continued)
<S> <C>
Mortgage Loan Pool: o Consists of fixed and adjustable rate closed-end mortgage
loans, which accrue interest on an actuarial basis, secured by 1st
and 2nd lien level pay and balloon mortgages on primarily 1-4
family properties.
o The Pool will be divided into two Groups:
- Loan Group F: Consists of all Mortgage Loans which accrue
interest at a fixed rate
- Loan Group A: Consists of all Mortgage Loans which accrue
interest at an adjustable rate, including those
loans which bear interest at a fixed rate for two
or three years before beginning to adjust
o For collateral statistics please see the "Collateral Summary"
Credit Enhancement: o Subordination of excess interest
o Overcollateralization
o Subordination of subordinate classes of securities
o Please refer to "Credit Enhancement - Senior/Subordinate Structure"
Monthly Advances: The Servicer:
(1) is required to advance scheduled principal and interest (net
of the Servicing Fee) for a delinquent Mortgage Loan until
such loan becomes a Liquidated Mortgage Loan, but is not
required to make any advance which the Servicer deems to be
nonrecoverable
(2) The Servicer's right of reimbursement is limited to late
collections of interest of any Mortgage Loan and to
Liquidation and Insurance Proceeds on the related Mortgage
Loan. The Servicer's right to reimbursement is senior to the
rights of the Certificateholders
Servicer Advances: The Servicer:
(1) pays all "out-of-pocket" expenses to service these loans
(2) The Servicer's right of reimbursement is limited to late
collections on the related Mortgage Loan, including
Liquidation Proceeds, released property proceeds, Insurance
Proceeds or other amounts otherwise related to such Mortgage
Loan. The Servicer's right to reimbursement is senior to the
rights of the Certificateholders
Compensating Interest: The Servicer:
(1) will be required to remit 30 days interest on the Principal
Balance of any mortgage loan prepaid in full minus 1) the
related Servicing Fee, and 2) any interest actually paid in
connection with such prepayment
(2) has no right of reimbursement for Compensating Interest
This liability is capped at the aggregate Servicing Fee for the most
recent due period
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Certificate Interest Payments
<S> <C>
Group F Certificates and o Interest accrues during the month prior to the current
Subordinate Certificates: Distribution Date on a 30/360 basis at the respective fixed
pass-through rate
o Interest is paid monthly on the Distribution Date
o Any interest due but unpaid from a prior Distribution Date will
increase the interest payment due on the next Distribution Date,
plus accrued interest at the applicable Pass-Through Rate
o Interest entitlement is reduced by a pro rata share of interest
shortfalls due to application of the Soldiers' and Sailors' Civil
Relief Act of 1940
Group A Certificates: o Interest accrues from the last Distribution Date to the day
preceding the current Distribution Date on an Actual/360 basis at
the Class A-1A Pass-Through Rate
o The Class A-1A Pass-Through Rate is equal to the lesser of
(a) 1 month LIBOR + the applicable margin, (b) [14]% and (c)
the Group A Net WAC Cap (the lesser of (a) and (b), the
"Formula Rate")
o Interest is paid monthly on the Distribution Date
o Any interest due but unpaid from a prior Distribution Date will
increase the interest payment due on the next Distribution Date,
plus accrued interest at the applicable Pass-Through Rate
o Interest entitlement is reduced by a pro rata share of interest
shortfalls due to application of the Soldiers' and Sailors'
Civil Relief Act of 1940
Step-up Coupons: If the Clean-up Call is not exercised, the Class A-6F Certificate Rate
will increase by 0.50% and the margin on the Class A-1A Certificates
will increase to twice the initial margin
Class A-1A LIBOR Carryover: If the Class A-1A Pass-Through Rate is reduced to the Group
A Net WAC Cap, any interest which would have accrued at the
Formula Rate but is unpaid due to the Group A Net WAC Cap will be
payable on the next Distribution Date, together with accrued
interest at the then current Class A-1A Pass-Through Rate to the
extent of Available Funds therefor
Group F Net WAC Cap: The Group F Net WAC Cap for any Distribution Date equals the lesser of:
(A) the Group F Net WAC, and (B) the Group A Net WAC Cap
The Group F Net WAC for any Distribution Date equals (A) the Group
F Net Loan Rate minus (B) (x) the Class IOF Notional Balance,
divided by (y) the Group F Principal Balance, multiplied by 6%
Group A Net WAC Cap: The Group A Net WAC Cap for any Distribution Date equals the Group A Net
Loan Rate
The Net Loan Rate for either Loan Group is equal to (a) the weighted average
Mortgage Rate of all loans in such Loan Group for the related Due Period minus
(b) the sum of the trustee fee rate and servicing fee rate
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Certificate Principal Payments
<S> <C>
Group F Certificates: Class A-1F, Class A-2F, Class A-3F, Class A-4F, Class A-5F, Class A-6F,
Class A-7F and Class IOF Certificates
Group A Certificates: Class A-1A Certificates
Senior Certificates: Class A-1F, Class A-2F, Class A-3F, Class A-4F, Class A-5F, Class A-6F,
Class A-7F, Class IOF and Class A-1A Certificates
Subordinate Certificates: Class M-1, Class M-2 and Class B Certificates
Principal Payments: Payments of Principal to each Group of Certificates are derived
primarily from collections of principal on the related Loan Group
Credit Priority: Prior to month 37 (or while a Trigger Event is in effect):
- 100% of principal will be allocated to the Senior Certificates
Beginning in month 37 (and while no Trigger Event is in effect):
- Principal will be allocated between the Senior Certificates and
the Subordinate Certificates to maintain the credit enhancement
levels (including overcollateralization) at twice their respective
intial target percentages of the then current Pool Principal Balance
Allocation of Principal Between The Class A-1A Principal Distribution Amount ("PDA") equals the greater
the Senior Certificates: of :
- The Group A Parity Amount
- The Senior PDA multiplied by the Class A-1A Pro Rata Percentage
The Group A Parity Amount for any Distribution Date equals (a) the
Class A-1A Principal Balance as of the Preceding Distribution
Date, minus (b) the Loan Group A Principal Balance at the end of
the related Due Period
The Senior PDA for any Distribution Date equals the aggregate
amount of principal to be paid to the Senior Certificates on the
applicable Distribution Date
The Class A-1A Pro Rata Percentage equals (a) the Class A-1A
Principal Balance, divided by (b) the aggregate Principal Balance
of the Senior Certificates, each as of the end of the preceding
Distribution Date
Allocation of Principal Among The Group F PDA equals the Senior PDA less the Class A-1A PDA. The
the Group F Certificates: Group F PDA will first be paid sequentially to Classes A-1F through
A-6F. Class A-7F will begn paying in month 37, and will receive a
principal distribution determined as follows:
A-7F Principal = Shifting Percentage * Group F PDA * (Class A-7F
Principal Balance/Aggregate Group F Certificate Balance)
Distribution Date: 1 - 36 37 - 60 61 - 72 73 - 84 85 on...
------ ------- ------- ------- --------
Shifting Percentage: 0% 45% 80% 100% 300%
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Credit Enhancement - Senior/Subordinate Structure
<S> <C>
- Initial OC: 0.00%
Overcollateralization: - Initial Target OC: 1.15% of Cut-Off Date Pool Principal Balance
- OC Floor: 0.50% of Cut-Off Date Pool Principal Balance
The Target OC will step down after month 36 to the lesser of 2.30%
of the outstanding Pool Principal Balance or 1.15% of the Cut-Off
Date Pool Principal Balance, as long as a Trigger Event is not in
effect
If a Cumulative Loss Event is in effect, the Target OC will equal
the Initial Target OC
If a Delinquency Event is in effect, the Target OC will equal the
Target OC as of the preceding Distribution Date
Credit Support Percentage: Before OC Stepdown After OC Stepdown
------------------ -----------------
Rating Percent Rating Percent
------ ------- ------ -------
AAA 13.65% AAA 27.30%
AA 9.40% AA 18.80%
A 5.15% A 10.30%
BBB- 1.15% (1) BBB- 2.30% (1)
(1) Consists of the Target OC, assuming a Trigger Event is not in
effect
Cross-collateralization: Interest collections on the Group F loans will be available to build
OC and cover certain shortfalls on the Group A Certificates, while
interest collections on the Group A loans will be available to
build OC and cover certain shortfalls on the Group F Certificates.
Trigger Event: The occurrence and continuation of a Delinquency Event or a Cumulative
Loss Event as of the related Determination Date
Delinquency Event: In effect on any Distribution Date on which the 3 month average of the
Delinquency Percentage exceeds 11%
Delinquency Percentage: The ratio of (a) the aggregate Principal Balance of Mortgage Loans which
are (1) 90 or more days delinquent or (2) in bankruptcy or foreclosure
or (3) secured by REO properties divided by (b) the aggregate Principal
Balance of the Mortgage Loans
Cumulative Loss Event: In effect if the Cumulative Net Losses for the applicable Distribution
Date exceed the following percentages of the Cut-Off Date Pool Principal
Balance:
Distribution Cumulative
Date Net Losses
37 - 48 2.00%
49 - 60 2.40%
61 - 72 2.70%
73 - 84 2.85%
85 on 3.00%
</TABLE>
<PAGE>
<TABLE>
<S> <C>
- -----------------------------------------------------------------------------------------------------------------
Credit Enhancement - Senior/Subordinate Structure (continued)
- -----------------------------------------------------------------------------------------------------------------
Allocation of Losses: Losses will be allocated in reduction of the Principal Balance of the
most subordinate class then outstanding (ie. Class B, then Class M-2,
and then Class M-1)
Any such allocated losses increase the Principal Carryover Shortfall for
such Class. Such Principal Carryover Shortfall amounts will be paid on
later Distribution Dates to the extent of Available Funds therefor
Interest, however, will not accrue on Principal Carryover Shortfalls
- -----------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<S> <C>
- --------------------------------------------------------------------------------------------------------
Distribution Priorities
- --------------------------------------------------------------------------------------------------------
On each Distribution Date the Trustee will apply the Available Funds from each
Loan Group in the following order of priority, in each case, to the extent of
funds remaining
Loan Group F: 1. To pay the Trustee Fee on the Group F Certificates
2. Concurrently to pay the Interest Distribution Amount on each
Class of Senior Certificates in Group F
3. The remaining amount pursuant to "Remaining Amounts" below
Loan Group A: 1. To pay the Trustee Fee on the Group A Certificates
2. The Interest Distribution Amount on the Class A-1A Certificates
3. The remaining amount pursuant to "Remaining Amounts" below
Remaining Amounts: 1. Concurrently, to the Senior Certificates in both Certificate
Groups, the related Interest Distribution Amount not yet paid
2. Sequentially, to the Class M-1, Class M-2 and Class B
Certificates, the related Class Monthly Interest Amount
3. To the Senior Certificates, the Senior Principal Distribution
Amount, excluding any Subordination Increase Amounts
4. Sequentially, to the Class M-1, Class M-2 and Class B
Certificates, the related Class Principal Distribution
Amount, excluding any Subordination Increase Amounts
5. To the Offered Certificates, the Subordination Increase Amount,
allocated in the same manner as the Principal Distribution Amount
exclusive of the Subordination Increase Amount
6. To Class M-1, any related Class Interest Carryover Shortfall
and then any related Class Principal Carryover Shortfall
7. To Class M-2, any related Class Interest Carryover Shortfall
and then any related Class Principal Carryover Shortfall
8. To Class B, any related Class Interest Carryover Shortfall and
then any related Class Principal Carryover Shortfall
9. To the Class A-1A Certificates, the lesser of:
a) LIBOR Carryover; and
b) The Available LIBOR Carryover Amount from the LIBOR Carryover
Fund
10. To the Residual Certificates, any remaining amounts
- ----------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------
Net WAC Schedules
- -----------------------------------------------------------------------------------------------------------------
Group F (1) Group A (2)
------- -------
Net WAC Net WAC Net WAC Net WAC
Period Cap Period Cap Period Cap Period Cap
------ --- ------ --- ------ --- ------ ---
<S> <C> <C> <C> <C> <C> <C> <C>
1 7.75 31 8.41 1 9.78 31 10.01
2 7.74 32 8.38 2 9.78 32 10.01
3 7.72 33 8.35 3 9.78 33 10.01
4 7.77 34 8.48 4 9.78 34 10.01
5 7.75 35 8.46 5 9.78 35 10.14
6 7.72 36 8.43 6 9.78 36 10.42
7 7.92 37 9.56 7 9.78 37 11.03
8 7.90 38 9.56 8 9.78 38 11.03
9 7.87 39 9.57 9 9.78 39 11.03
10 7.94 40 9.57 10 9.78 40 11.03
11 7.91 41 9.57 11 9.78 41 11.03
12 7.87 42 9.57 12 9.78 42 11.03
13 8.40 43 9.57 13 9.78 43 11.03
14 8.38 44 9.57 14 9.78 44 11.03
15 8.35 45 9.57 15 9.78 45 11.03
16 8.40 46 9.57 16 9.78 46 11.03
17 8.38 47 9.57 17 9.78 47 11.03
18 8.35 48 9.57 18 9.78 48 11.03
19 8.40 49 9.57 19 9.78 49 11.03
20 8.38 50 9.57 20 9.78 50 11.03
21 8.35 51 9.57 21 9.78 51 11.03
22 8.41 52 9.57 22 9.82 52 11.03
23 8.38 53 9.57 23 9.82 53 11.03
24 8.35 54 9.57 24 9.87 54 11.03
25 8.41 55 9.57 25 10.01 55 11.03
26 8.38 56 9.57 26 10.01 56 11.03
27 8.35 57 9.57 27 10.01 57 11.03
28 8.41 58 9.57 28 10.01 58 11.03
29 8.38 59 9.57 29 10.01 59 11.03
30 8.35 60 9.57 30 10.01 60 11.03
- ------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Assuming the Group F loans prepay at 115% PPC
(2) Assuming (a) the Group A loans prepay at 30% CPR and (b) 6 month LIBOR
remains constant at 5.0962%
<PAGE>
- --------------------------------------------------------------------------------
Net WAC Schedules (continued)
- --------------------------------------------------------------------------------
Group A (1)
-------
Net WAC Net WAC
Period Cap Period Cap
------ --- ------ ---
1 9.78 31 10.54
2 9.78 32 10.54
3 9.78 33 10.54
4 9.78 34 10.57
5 9.78 35 10.85
6 9.78 36 11.59
7 9.78 37 13.16
8 9.78 38 13.16
9 9.78 39 13.16
10 9.78 40 13.19
11 9.78 41 13.28
12 9.78 42 13.56
13 9.78 43 14.16
14 9.78 44 14.16
15 9.78 45 14.16
16 9.78 46 14.18
17 9.78 47 14.27
18 9.78 48 14.55
19 9.78 49 15.14
20 9.78 50 15.14
21 9.78 51 15.14
22 9.86 52 15.14
23 9.86 53 15.23
24 10.01 54 15.47
25 10.35 55 15.95
26 10.35 56 15.95
27 10.35 57 15.95
28 10.38 58 15.95
29 10.38 59 16.04
30 10.43 60 16.27
- --------------------------------------------------------------------------------
(1) Assuming (a) the Group A loans prepay at 30% CPR and (b) 6 month LIBOR
immediately increases to 14%
<PAGE>
- --------------------------------------------------------------------------------
Class IOF Notional Balance Schedule
- --------------------------------------------------------------------------------
The Class IOF Certificates are interest only securities which accrue interest at
a Pass-Through Rate of 6.00%
The Notional Balance on which the Class IOF Certificates accrue interest is
equal to the lesser of: (A) the aggregate Principal Balance of the Group F
Mortgage Loans, and (B) the following Notional Balance schedule:
Month Notional Balance
1 - 3 111,512,000
4 - 6 107,929,000
7 - 9 94,896,000
10 - 12 89,120,000
13 - 15 59,601,000
16 - 18 55,709,000
19 - 21 52,068,000
22 - 24 48,621,000
25 - 27 45,435,000
28 - 30 42,454,000
31 - 33 39,665,000
34 - 36 34,662,000
37 on 0
- --------------------------------------------------------------------------------
<PAGE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
Sensitivity Analysis -- To Maturity
- -------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Group A % of CPR 10% 15% 20% 30% 32% 35% 40%
Group F % of PPC 50% 75% 100% 115% 160% 175% 200%
Class A-1F
Yield @ 99.9987 5.869 5.824 5.784 5.760 5.703 5.685 5.657
Average Life (yrs.) 1.88 1.38 1.12 1.00 0.80 0.76 0.70
Window (mo.) 1 - 46 1 - 32 1 - 25 1 - 22 1 - 17 1 - 16 1 - 14
Expected Final Mat. 4/15/03 2/15/02 7/15/01 4/15/01 11/15/00 10/15/00 8/15/00
Duration (yrs.) 1.70 1.28 1.04 0.94 0.76 0.72 0.66
Class A-2F
Yield @ 99.9835 6.288 6.266 6.245 6.231 6.198 6.187 6.169
Average Life (yrs.) 4.98 3.41 2.60 2.25 1.71 1.58 1.41
Window (mo.) 46 - 77 32 - 51 25 - 39 22 - 33 17 - 25 16 - 23 14 - 20
Expected Final Mat. 11/15/05 9/15/03 9/15/02 3/15/02 7/15/01 5/15/01 2/15/01
Duration (yrs.) 4.15 2.98 2.33 2.04 1.58 1.46 1.31
Class A-3F
Yield @ 99.9894 6.559 6.541 6.523 6.510 6.480 6.470 6.454
Average Life (yrs.) 8.10 5.02 3.71 3.10 2.25 2.07 1.82
Window (mo.) 77 - 120 51 - 71 39 - 52 33 - 43 25 - 30 23 - 27 20 -24
Expected Final Mat. 6/15/09 5/15/05 10/15/03 1/15/03 12/15/01 9/15/01 6/15/01
Duration (yrs.) 6.10 4.15 3.20 2.72 2.03 1.88 1.67
Class A-4F
Yield @ 99.9923 6.761 6.746 6.730 6.720 6.686 6.676 6.661
Average Life (yrs.) 11.23 6.72 4.76 4.00 2.61 2.39 2.09
Window (mo.) 120 - 150 71 - 97 52 - 64 43 - 53 30 - 33 27 - 30 24 - 27
Expected Final Mat. 12/15/11 7/15/07 10/15/04 11/15/03 3/15/02 12/15/01 9/15/01
Duration (yrs.) 7.66 5.25 3.95 3.40 2.32 2.14 1.89
Class A-5F
Yield @ 99.9982 7.031 7.023 7.007 6.997 6.964 6.950 6.935
Average Life (yrs.) 14.17 9.84 6.27 5.09 3.15 2.71 2.37
Window (mo.) 150 - 193 97 - 139 64 - 98 53 - 71 33 - 46 30 - 35 27 - 30
Expected Final Mat. 7/15/15 1/15/11 8/15/07 5/15/05 4/15/03 5/15/02 12/15/01
Duration (yrs.) 8.73 6.89 4.91 4.15 2.74 2.40 2.11
Class A-6F
Yield @ 99.9780 7.487 7.503 7.509 7.515 7.462 7.419 7.371
Average Life (yrs.) 21.14 16.11 12.45 10.32 5.79 4.44 2.96
Window (mo.) 193 - 344 139 - 306 98 - 251 71 - 218 46 - 160 35 - 145 30 - 52
Expected Final Mat. 2/15/28 12/15/24 5/15/20 8/15/17 10/15/12 7/15/11 10/15/03
Duration (yrs.) 10.31 9.02 7.77 6.84 4.44 3.61 2.57
- -------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
Sensitivity Analysis -- To Maturity
- -------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Group A % of CPR 10% 15% 20% 30% 32% 35% 40%
Group F % of PPC 50% 75% 100% 115% 160% 175% 200%
Class A-7F
Yield @ 99.9729 6.959 6.956 6.954 6.953 6.951 6.952 6.948
Average Life (yrs.) 8.10 7.31 6.82 6.67 6.43 6.45 5.92
Window (mo.) 37 - 342 37 - 304 37 - 249 38 - 216 42 - 158 44 - 143 47 - 125
Expected Final Mat. 12/15/27 10/15/24 3/15/20 6/15/17 8/15/12 5/15/11 11/15/09
Duration (yrs.) 5.87 5.46 5.19 5.11 4.97 4.98 4.66
Class M-1
Yield @ 99.9746 7.440 7.432 7.424 7.417 7.405 7.403 7.400
Average Life (yrs.) 12.85 9.36 7.20 6.13 4.77 4.52 4.30
Window (mo.) 74 - 312 52 - 249 40 - 196 37 - 169 40 - 123 41 - 112 43 - 96
Expected Final Mat. 6/15/25 3/15/20 10/15/15 7/15/13 9/15/09 10/15/08 6/15/07
Duration (yrs.) 7.68 6.24 5.19 4.60 3.81 3.66 3.54
Class M-2
Yield @ 96.9769 7.839 7.924 8.015 8.086 8.221 8.258 8.304
Average Life (yrs.) 12.73 9.23 7.11 6.04 4.64 4.36 4.05
Window (mo.) 74 - 295 52 - 229 40 - 179 37 - 154 38 - 112 39 - 102 39 - 87
Expected Final Mat. 1/15/24 7/15/18 5/15/14 4/15/12 10/15/08 12/15/07 9/15/06
Duration (yrs.) 7.55 6.13 5.09 4.50 3.69 3.52 3.33
Class B
Yield @ 87.3618 9.288 9.726 10.202 10.568 11.289 11.503 11.788
Average Life (yrs.) 12.06 8.67 6.65 5.65 4.32 4.03 3.70
Window (mo.) 74 - 261 52 - 196 40 - 153 37 - 130 37 - 95 37 - 86 37 - 74
Expected Final Mat. 3/15/21 10/15/15 3/15/12 4/15/10 5/15/07 8/15/06 8/15/05
Duration (yrs.) 7.04 5.69 4.71 4.15 3.38 3.20 3.00
Class A-1A
Average Life (yrs.) 6.94 5.00 3.82 2.78 2.31 2.07 1.73
Window (mo.) 1 - 344 1 - 306 1 - 251 1 - 218 1 - 160 1 - 145 1 - 125
Expected Final Mat. 2/15/28 12/15/24 5/15/20 8/15/17 10/15/12 7/15/11 11/15/09
- -------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
Sensitivity Analysis -- To 10% Call
- -------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Group A % of CPR 10% 15% 20% 30% 32% 35% 40%
Group F % of PPC 50% 75% 100% 115% 160% 175% 200%
Class A-6F
Yield @ 100.0000 7.446 7.441 7.434 7.428 7.408 7.398 7.371
Average Life (yrs.) 17.42 12.70 9.70 7.87 4.98 4.19 2.96
Window (mo.) 193 - 211 139 - 154 98 - 119 71 - 101 46 - 74 35 - 67 30 - 52
Expected Final Mat. 1/15/17 4/15/12 5/15/09 11/15/07 8/15/05 1/15/05 10/15/03
Duration (yrs.) 9.51 7.99 6.71 5.77 4.02 3.47 2.57
Class A-7F
Yield @ 100.0000 6.959 6.956 6.953 6.952 6.946 6.943 6.937
Average Life (yrs.) 8.09 7.28 6.75 6.50 5.56 5.23 4.65
Window (mo.) 37 - 211 37 - 154 37 - 119 38 - 101 42 - 74 44 - 67 47 - 57
Expected Final Mat. 1/15/17 4/15/12 5/15/09 11/15/07 8/15/05 1/15/05 3/15/04
Duration (yrs.) 5.87 5.45 5.16 5.03 4.46 4.25 3.86
Class M-1
Yield @ 100.0000 7.439 7.430 7.421 7.414 7.401 7.399 7.396
Average Life (yrs.) 12.00 8.61 6.61 5.61 4.40 4.18 4.00
Window (mo.) 74 - 211 52 - 154 40 - 119 37 - 101 40 - 74 41 - 67 43 - 57
Expected Final Mat. 1/15/17 4/15/12 5/15/09 11/15/07 8/15/05 1/15/05 3/15/04
Duration (yrs.) 7.49 6.01 4.95 4.36 3.60 3.46 3.35
Class M-2
Yield @ 100.0000 7.847 7.938 8.038 8.114 8.258 8.296 8.345
Average Life (yrs.) 12.00 8.61 6.61 5.61 4.33 4.08 3.80
Window (mo.) 74 - 211 52 - 154 40 - 119 37 - 101 38 - 74 39 - 67 39 - 57
Expected Final Mat. 1/15/17 4/15/12 5/15/09 11/15/07 8/15/05 1/15/05 3/15/04
Duration (yrs.) 7.39 5.94 4.89 4.31 3.52 3.36 3.17
Class B
Yield @ 100.0000 9.301 9.750 10.239 10.614 11.348 11.566 11.862
Average Life (yrs.) 11.81 8.46 6.49 5.50 4.22 3.94 3.61
Window (mo.) 74 - 211 52 - 154 40 - 119 37 - 101 37 - 74 37 - 67 37 - 57
Expected Final Mat. 1/15/17 4/15/12 5/15/09 11/15/07 8/15/05 1/15/05 3/15/04
Duration (yrs.) 7.00 5.64 4.65 4.10 3.33 3.16 2.95
Class A-1A
Average Life (yrs.) 6.57 4.65 3.54 2.66 2.14 1.92 1.61
Window (mo.) 1 - 211 1 - 154 1 - 119 1 - 101 1 - 74 1 - 67 1 - 57
Expected Final Mat. 1/15/17 4/15/12 5/15/09 11/15/07 8/15/05 1/15/05 3/15/04
- -------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
Loan Group F Collateral Summary
- -----------------------------------------------------------------------------------------------------------
Collateral statistics for the fixed rate home equity loans in the Statistic Calculation Pool, as of 4/30/99
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C>
Total Number of Loans 1,984
Total Outstanding Loan Balance $162,228,730.53
Balloon (% of Total) 2.39%
Average Loan Principal Balance $81,768.51 $4,969.28 to $660,000.00
WA Coupon 10.07% 7.35% to 16.50%
WA Original Term (mo.) 319 60 to 360
WA Remaining Term (mo.) 319 59 to 360
WA CLTV 72.83% 7.30% to 90.00%
WA Second Mortgage Ratio 41.56% 7.63% to 96.40%
(for 2nd liens only)
Lien Position (first/second) 94.81% / 5.19%
Property Type
Single Family 71.20%
Condo 2.53%
Two-to-Four Family 20.36%
Five-to-Eight Family 3.21%
Mixed Use 2.23%
Mobile Home 0.47%
Occupancy Status
Owner Occupied 90.08%
Non-Owner Occupied 9.92%
Geographic Distribution
other states account individually for less than NY: 45.00%
5% of pool balance OH: 8.21%
NJ: 7.96%
PA: 6.68%
IL: 5.51%
- -----------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
Loan Group F Collateral Summary
- -----------------------------------------------------------------------------------------------------------
Collateral statistics for the fixed rate home equity loans in the Statistic Calculation Pool, as of 4/30/99
- -----------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------
Principal Balances
- -----------------------------------------------------------------------------------------------------------
Mortgage % of Group F
($) Loans Principal Balance ($) Principal Balance
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.01 - 25,000.00 182 3,484,093.82 2.15
25,000.01 - 50,000.00 532 20,500,366.76 12.64
50,000.01 - 75,000.00 442 27,190,091.03 16.76
75,000.01 - 100,000.00 270 23,573,390.65 14.53
100,000.01 - 125,000.00 176 19,835,697.92 12.23
125,000.01 - 150,000.00 139 19,098,692.23 11.77
150,000.01 - 175,000.00 93 15,042,000.07 9.27
175,000.01 - 200,000.00 61 11,370,704.03 7.01
200,000.01 - 225,000.00 42 8,881,294.56 5.47
225,000.01 - 250,000.00 11 2,611,427.35 1.61
250,000.01 - 275,000.00 19 4,983,180.99 3.07
275,000.01 - 300,000.00 10 2,909,273.52 1.79
300,000.01 - 325,000.00 3 953,750.00 0.59
350,000.01 - 375,000.00 2 717,000.00 0.44
400,000.01 - 425,000.00 1 417,767.60 0.26
650,000.01 - 675,000.00 1 660,000.00 0.41
----- -------------- ------
Total: 1,984 162,228,730.53 100.00
- -----------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
- --------------------------------------------------------------------------------
Loan Group F Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the fixed rate home equity loans in the
Statistic Calculation Pool, as of 4/30/99
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Loan Rates
- --------------------------------------------------------------------------------
(%) Mortgage % of Group F
Loans Principal Balance ($) Principal Balance
- --------------------------------------------------------------------------------
7.001 - 7.500 39 3,811,592.39 2.35
7.501 - 8.000 127 12,795,249.31 7.89
8.001 - 8.500 127 14,270,146.53 8.80
8.501 - 9.000 185 18,070,846.24 11.14
9.001 - 9.500 171 15,297,790.01 9.43
9.501 - 10.000 292 25,253,178.53 15.57
10.001 - 10.500 187 13,793,349.82 8.50
10.501 - 11.000 293 21,910,173.36 13.51
11.001 - 11.500 157 10,815,839.87 6.67
11.501 - 12.000 157 11,032,223.69 6.80
12.001 - 12.500 88 5,314,733.99 3.28
12.501 - 13.000 80 5,027,345.01 3.10
13.001 - 13.500 22 1,448,541.66 0.89
13.501 - 14.000 28 1,712,031.98 1.06
14.001 - 14.500 14 659,682.93 0.41
14.501 - 15.000 13 755,993.66 0.47
15.001 - 15.500 3 199,089.58 0.12
16.001 - 16.500 1 60,921.97 0.04
Total: 1,984 162,228,730.53 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Prepayment Penalties
- --------------------------------------------------------------------------------
Mortgage % of Group F
Loans Principal Balance ($) Principal Balance
- --------------------------------------------------------------------------------
Penalty 1,467 125,404,750.77 77.30
No Penalty 517 36,823,979.76 22.70
Total: 1,984 162,228,730.53 100.00
- --------------------------------------------------------------------------------
<PAGE>
- --------------------------------------------------------------------------------
Loan Group F Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the fixed rate home equity loans in the
Statistic Calculation Pool, as of 4/30/99
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Original Term to Stated Maturity
- --------------------------------------------------------------------------------
(months) Mortgage % of Group F
Loans Principal Balance ($) Principal Balance
- --------------------------------------------------------------------------------
1 - 60 7 193,012.06 0.12
61 - 120 76 3,190,509.97 1.97
121 - 180 383 22,956,534.57 14.15
181 - 240 164 11,324,534.86 6.98
241 - 300 41 3,958,850.71 2.44
301 - 360 1,313 120,605,288.36 74.34
Total: 1,984 162,228,730.53 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Remaining Term to Stated Maturity
- --------------------------------------------------------------------------------
(months) Mortgage % of Group F
Loans Principal Balance ($) Principal Balance
- --------------------------------------------------------------------------------
1 - 60 7 193,012.06 0.12
61 - 120 76 3,190,509.97 1.97
121 - 180 383 22,956,534.57 14.15
181 - 240 164 11,324,534.86 6.98
241 - 300 41 3,958,850.71 2.44
301 - 360 1,313 120,605,288.36 74.34
Total: 1,984 162,228,730.53 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Seasoning
- --------------------------------------------------------------------------------
(months) Mortgage % of Group F
Loans Principal Balance ($) Principal Balance
- --------------------------------------------------------------------------------
0 1,271 103,204,631.31 63.62
1 - 3 673 55,404,511.46 34.15
4 - 6 34 2,899,432.67 1.79
7 - 12 4 368,545.15 0.23
13 or more 2 351,609.94 0.22
Total: 1,984 162,228,730.53 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Balloon Loans
- --------------------------------------------------------------------------------
Mortgage % of Group F
Loans Principal Balance ($) Principal Balance
- --------------------------------------------------------------------------------
Balloon 47 3,871,098.29 2.39
Level Pay 1,937 158,357,632.24 97.61
Total: 1,984 162,228,730.53 100.00
- --------------------------------------------------------------------------------
<PAGE>
- --------------------------------------------------------------------------------
Loan Group F Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the fixed rate home equity loans in the
Statistic Calculation Pool, as of 4/30/99
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Combined Loan-to-Value Ratio
- --------------------------------------------------------------------------------
(%) Mortgage % of Group F
Loans Principal Balance ($) Principal Balance
- --------------------------------------------------------------------------------
5.01 - 10.00 3 75,615.00 0.05
10.01 - 15.00 4 78,568.17 0.05
15.01 - 20.00 16 546,726.45 0.34
20.01 - 25.00 18 624,967.16 0.39
25.01 - 30.00 23 1,136,952.00 0.70
30.01 - 35.00 29 1,298,156.80 0.80
35.01 - 40.00 45 2,418,017.94 1.49
40.01 - 45.00 61 3,198,539.20 1.97
45.01 - 50.00 94 5,250,358.53 3.24
50.01 - 55.00 75 5,721,606.71 3.53
55.01 - 60.00 116 7,700,916.52 4.75
60.01 - 65.00 138 10,032,376.42 6.18
65.01 - 70.00 281 21,746,434.57 13.40
70.01 - 75.00 228 20,326,709.02 12.53
75.01 - 80.00 461 40,384,255.57 24.89
80.01 - 85.00 207 20,228,462.58 12.47
85.01 - 90.00 185 21,460,067.89 13.23
Total: 1,984 162,228,730.53 100.00
- --------------------------------------------------------------------------------
<PAGE>
- --------------------------------------------------------------------------------
Loan Group F Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the fixed rate home equity loans in the
Statistic Calculation Pool, as of 4/30/99
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Occupancy Type
- --------------------------------------------------------------------------------
Mortgage % of Group F
Loans Principal Balance ($) Principal Balance
- --------------------------------------------------------------------------------
Owner occupied 1,743 146,129,290.69 90.08
Non-owner occupied 241 16,099,439.84 9.92
Total: 1,984 162,228,730.53 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Property Type
- --------------------------------------------------------------------------------
Mortgage % of Group F
Loans Principal Balance ($) Principal Balance
- --------------------------------------------------------------------------------
Single Family 1,527 115,500,401.05 71.20
Condo 56 4,110,961.41 2.53
Two-to-Four Family 301 33,026,258.42 20.36
Five-to-Eight Family 46 5,205,956.95 3.21
Mixed Use 37 3,615,090.50 2.23
Mobile Home 17 770,062.20 0.47
Total: 1,984 162,228,730.53 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
States
- --------------------------------------------------------------------------------
Mortgage % of Group F
Loans Principal Balance ($) Principal Balance
- --------------------------------------------------------------------------------
AR 8 422,941.99 0.26
AZ 7 360,746.80 0.22
CA 1 44,881.00 0.03
CO 4 144,856.66 0.09
CT 29 2,528,506.60 1.56
DC 1 272,700.00 0.17
DE 8 716,097.69 0.44
FL 101 5,134,526.87 3.16
GA 70 3,957,646.86 2.44
IL 100 8,937,510.95 5.51
continued...
- --------------------------------------------------------------------------------
<PAGE>
- --------------------------------------------------------------------------------
Loan Group F Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the fixed rate home equity loans in the
Statistic Calculation Pool, as of 4/30/99
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
States (continued)
- --------------------------------------------------------------------------------
Mortgage % of Group F
Loans Principal Balance ($) Principal Balance
- --------------------------------------------------------------------------------
IN 50 3,006,467.15 1.85
KS 2 133,313.38 0.08
KY 13 807,360.35 0.50
LA 16 608,441.41 0.38
MA 53 5,193,806.92 3.20
MD 26 2,722,040.40 1.68
ME 15 833,745.48 0.51
MI 67 3,621,015.90 2.23
MN 1 14,829.02 0.01
MO 17 874,124.73 0.54
MS 16 548,408.68 0.34
NC 55 3,167,700.36 1.95
NE 1 60,000.00 0.04
NH 12 655,876.78 0.40
NJ 128 12,920,418.79 7.96
NM 2 128,208.35 0.08
NY 663 73,000,969.03 45.00
OH 200 13,314,876.93 8.21
OK 3 308,374.46 0.19
OR 1 55,000.00 0.03
PA 203 10,831,685.86 6.68
RI 6 376,273.02 0.23
SC 14 838,778.84 0.52
TN 62 3,812,583.97 2.35
TX 7 344,427.60 0.21
VA 18 1,301,174.23 0.80
WA 1 62,931.86 0.04
WI 2 126,490.74 0.08
WV 1 38,990.87 0.02
Total: 1,984 162,228,730.53 100.00
- --------------------------------------------------------------------------------
<PAGE>
- --------------------------------------------------------------------------------
Loan Group F Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the fixed rate home equity loans in the
Statistic Calculation Pool, as of 4/30/99
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Lien Position
- --------------------------------------------------------------------------------
Mortgage % of Group F
Loans Principal Balance ($) Principal Balance
- --------------------------------------------------------------------------------
First Lien 1,761 153,814,249.53 94.81
Second Lien 223 8,414,481.00 5.19
Total: 1,984 162,228,730.53 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Second Mortgage Ratio
- --------------------------------------------------------------------------------
(%) Mortgage % of Group F
Loans Principal Balance ($) Principal Balance
- --------------------------------------------------------------------------------
5.01 - 10.00 3 21,445.68 0.25
10.01 - 15.00 7 84,938.15 1.01
15.01 - 20.00 35 770,593.26 9.16
20.01 - 25.00 30 764,343.91 9.08
25.01 - 30.00 29 926,930.24 11.02
30.01 - 35.00 19 700,350.36 8.32
35.01 - 40.00 28 1,146,016.31 13.62
40.01 - 45.00 16 832,542.40 9.89
45.01 - 50.00 10 589,487.26 7.01
50.01 - 55.00 12 735,676.36 8.74
55.01 - 60.00 9 566,681.47 6.73
60.01 - 65.00 9 470,157.51 5.59
65.01 - 70.00 5 237,775.00 2.83
70.01 - 75.00 2 133,000.00 1.58
75.01 - 80.00 4 169,350.00 2.01
80.01 - 85.00 2 117,372.33 1.39
85.01 - 90.00 1 64,963.76 0.77
90.01 - 95.00 1 33,500.00 0.40
95.01 - 100.00 1 49,357.00 0.59
Total: 223 8,414,481.00 100.00
- --------------------------------------------------------------------------------
<PAGE>
- --------------------------------------------------------------------------------
Loan Group F Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the fixed rate home equity loans in the
Statistic Calculation Pool, as of 4/30/99
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Documentation Type
- --------------------------------------------------------------------------------
Mortgage % of Group F
Loans Principal Balance ($) Principal Balance
- --------------------------------------------------------------------------------
Full 1,502 123,273,044.03 75.99
Alternate 282 24,705,046.93 15.23
Limited 170 11,903,962.11 7.34
No 30 2,346,677.46 1.45
Total: 1,984 162,228,730.53 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Credit Grade
- --------------------------------------------------------------------------------
Mortgage % of Group F
Loans Principal Balance ($) Principal Balance
- --------------------------------------------------------------------------------
A 1,106 97,501,546.07 60.10
B 419 32,960,909.40 20.32
C 342 25,291,857.67 15.59
D 117 6,474,417.39 3.99
Total: 1,984 162,228,730.53 100.00
- --------------------------------------------------------------------------------
<PAGE>
- --------------------------------------------------------------------------------
Loan Group A Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the adjustable rate home equity loans
in the Statistic Calculation Pool, as of 4/30/99
- --------------------------------------------------------------------------------
Total Number of Loans 250
Total Outstanding Loan Balance $20,074,082.25
Average Loan Principal Balance $80,296.33 $14,400.00 to $286,836.58
WA Coupon 10.29% 7.70% to 15.35%
ARM Characteristics
Margin 6.44% 4.05% to 10.95%
First Periodic Cap 3.00% 2.00% to 3.00%
Subsequent Periodic Cap 1.00%
Lifetime Cap 17.27% 14.70% to 22.35%
Lifetime Floor 10.28% 0.00% to 15.35%
WA Original Term (mo.) 359 180 to 360
WA Remaining Term (mo.) 358 180 to 360
Lien Position (first/second) 100.00% / 0.00%
WA LTV 78.18% 16.36% to 90.00%
Loan Type
2 yr Fixed, 6 mo LI ARM 19.19%
3 yr Fixed, 6 mo LI ARM 80.81%
Property Type
Single Family 88.30%
Two- to Four-Family 6.53%
Condo 5.17%
Occupancy Status
Owner Occupied 91.93%
Non-Owner Occupied 8.07%
Geographic Distribution
other states account individually
for less than OH: 32.22%
5% of pool balance IL: 9.57%
PA: 7.14%
GA: 6.94%
FL: 6.36%
NJ: 6.16%
MI: 5.66%
- --------------------------------------------------------------------------------
<PAGE>
- --------------------------------------------------------------------------------
Loan Group A Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the adjustable rate home equity loans
in the Statistic Calculation Pool, as of 4/30/99
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Principal Balances
- --------------------------------------------------------------------------------
($) Mortgage % of Group A
Loans Principal Balance ($) Principal Balance
- --------------------------------------------------------------------------------
0.01 - 25,000.00 11 230,702.99 1.15
25,000.01 - 50,000.00 67 2,664,746.95 13.27
50,000.01 - 75,000.00 70 4,386,781.05 21.85
75,000.01 - 100,000.00 40 3,394,671.29 16.91
100,000.01 - 125,000.00 22 2,476,270.55 12.34
125,000.01 - 150,000.00 15 2,040,073.51 10.16
150,000.01 - 175,000.00 11 1,729,707.34 8.62
175,000.01 - 200,000.00 3 558,450.00 2.78
200,000.01 - 225,000.00 5 1,060,428.09 5.28
225,000.01 - 250,000.00 2 469,613.90 2.34
250,000.01 - 275,000.00 3 775,800.00 3.86
275,000.01 - 300,000.00 1 286,836.58 1.43
Total: 250 20,074,082.25 100.00
- --------------------------------------------------------------------------------
<PAGE>
- --------------------------------------------------------------------------------
Loan Group A Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the adjustable rate home equity loans
in the Statistic Calculation Pool, as of 4/30/99
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Loan Rates
- --------------------------------------------------------------------------------
(%) Mortgage % of Group A
Loans Principal Balance ($) Principal Balance
- --------------------------------------------------------------------------------
7.501 - 8.000 3 315,550.00 1.57
8.001 - 8.500 5 555,314.45 2.77
8.501 - 9.000 19 1,953,292.61 9.73
9.001 - 9.500 26 2,255,073.26 11.23
9.501 - 10.000 53 4,261,163.70 21.23
10.001 - 10.500 33 2,814,528.43 14.02
10.501 - 11.000 52 4,370,896.73 21.77
11.001 - 11.500 11 791,442.44 3.94
11.501 - 12.000 19 1,397,802.96 6.96
12.001 - 12.500 13 712,900.82 3.55
12.501 - 13.000 6 219,450.00 1.09
13.001 - 13.500 2 116,200.00 0.58
13.501 - 14.000 4 129,287.85 0.64
14.001 - 14.500 2 102,879.00 0.51
14.501 - 15.000 1 42,600.00 0.21
15.001 - 15.500 1 35,700.00 0.18
Total: 250 20,074,082.25 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Prepayment Penalties
- --------------------------------------------------------------------------------
Mortgage % of Group A
Loans Principal Balance ($) Principal Balance
- --------------------------------------------------------------------------------
Penalty 228 18,298,918.79 91.16
No Penalty 22 1,775,163.46 8.84
Total: 250 20,074,082.25 100.00
- --------------------------------------------------------------------------------
<PAGE>
- --------------------------------------------------------------------------------
Loan Group A Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the adjustable rate home equity loans
in the Statistic Calculation Pool, as of 4/30/99
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Original Term to Stated Maturity
- --------------------------------------------------------------------------------
(months) Mortgage % of Group A
Loans Principal Balance ($) Principal Balance
- --------------------------------------------------------------------------------
180 1 30,000.00 0.15
240 1 203,502.34 1.01
360 248 19,840,579.91 98.84
Total: 250 20,074,082.25 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Remaining Term to Stated Maturity
- --------------------------------------------------------------------------------
(months) Mortgage % of Group A
Loans Principal Balance ($) Principal Balance
- --------------------------------------------------------------------------------
121 - 180 1 30,000.00 0.15
181 - 240 1 203,502.34 1.01
301 - 360 248 19,840,579.91 98.84
Total: 250 20,074,082.25 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Seasoning
- --------------------------------------------------------------------------------
(months) Mortgage % of Group A
Loans Principal Balance ($) Principal Balance
- --------------------------------------------------------------------------------
0 185 14,881,499.53 74.13
1 - 3 62 4,928,492.56 24.55
4 - 6 2 171,877.41 0.86
7 - 12 1 92,212.75 0.46
Total: 250 20,074,082.25 100.00
- --------------------------------------------------------------------------------
<PAGE>
- --------------------------------------------------------------------------------
Loan Group A Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the adjustable rate home equity loans
in the Statistic Calculation Pool, as of 4/30/99
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Loan-to-Value Ratio
- --------------------------------------------------------------------------------
(%) Mortgage % of Group A
Loans Principal Balance ($) Principal Balance
- --------------------------------------------------------------------------------
20.00 or Less 2 83,982.74 0.42
20.01 - 30.00 2 60,000.00 0.30
30.01 - 35.00 1 19,000.00 0.09
35.01 - 40.00 2 64,396.58 0.32
40.01 - 50.00 10 474,680.02 2.36
50.01 - 55.00 4 147,196.11 0.73
55.01 - 60.00 12 600,004.00 2.99
60.01 - 65.00 15 670,995.50 3.34
65.01 - 70.00 26 2,139,717.37 10.66
70.01 - 75.00 34 2,231,332.92 11.12
75.01 - 80.00 65 5,703,052.28 28.41
80.01 - 85.00 37 3,888,071.99 19.37
85.01 - 90.00 40 3,991,652.74 19.88
Total: 250 20,074,082.25 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Occupancy Type
- --------------------------------------------------------------------------------
Mortgage % of Group A
Loans Principal Balance ($) Principal Balance
- --------------------------------------------------------------------------------
Owner occupied 215 18,453,451.09 91.93
Non-owner occupied 35 1,620,631.16 8.07
Total: 250 20,074,082.25 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Property Type
- --------------------------------------------------------------------------------
Mortgage % of Group A
Loans Principal Balance ($) Principal Balance
- --------------------------------------------------------------------------------
Single Family 214 17,726,345.99 88.30
Two-to-Four Family 20 1,310,675.60 6.53
Condo 16 1,037,060.66 5.17
Total: 250 20,074,082.25 100.00
- --------------------------------------------------------------------------------
<PAGE>
- --------------------------------------------------------------------------------
Loan Group A Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the adjustable rate home equity loans
in the Statistic Calculation Pool, as of 4/30/99
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
States
- --------------------------------------------------------------------------------
Mortgage % of Group A
Loans Principal Balance ($) Principal Balance
- --------------------------------------------------------------------------------
AR 1 90,960.00 0.45
AZ 3 153,777.99 0.77
CO 4 546,269.63 2.72
CT 3 144,911.40 0.72
DE 4 474,554.00 2.36
FL 16 1,277,230.22 6.36
GA 14 1,392,562.23 6.94
ID 1 159,950.28 0.80
IL 17 1,921,847.12 9.57
IN 6 638,715.19 3.18
KY 5 283,942.64 1.41
MA 11 767,810.30 3.82
MD 3 389,069.45 1.94
MI 22 1,136,594.98 5.66
MO 10 818,563.39 4.08
NC 3 159,550.00 0.79
NH 1 69,000.00 0.34
NJ 12 1,235,753.89 6.16
NY 3 151,431.54 0.75
OH 90 6,467,368.25 32.22
PA 15 1,433,788.09 7.14
RI 1 35,871.11 0.18
TN 1 72,250.00 0.36
VA 3 183,460.55 0.91
WV 1 68,850.00 0.34
Total: 250 20,074,082.25 100.00
- --------------------------------------------------------------------------------
<PAGE>
- --------------------------------------------------------------------------------
Loan Group A Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the adjustable rate home equity loans
in the Statistic Calculation Pool, as of 4/30/99
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Documentation Type
- --------------------------------------------------------------------------------
Mortgage % of Group A
Loans Principal Balance ($) Principal Balance
- --------------------------------------------------------------------------------
Full 186 15,227,461.67 75.86
Alternate 31 2,337,720.86 11.65
Limited 21 1,608,040.16 8.01
No 12 900,859.56 4.49
Total: 250 20,074,082.25 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Credit Grade
- --------------------------------------------------------------------------------
Mortgage % of Group A
Loans Principal Balance ($) Principal Balance
- --------------------------------------------------------------------------------
A 114 10,388,524.09 51.75
B 60 4,676,171.11 23.29
C 52 3,814,421.15 19.00
D 24 1,194,965.90 5.95
Total: 250 20,074,082.25 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Product Type
- --------------------------------------------------------------------------------
Mortgage Principal % of Group A
Loans Balance ($) Principal Balance
- --------------------------------------------------------------------------------
2 year Fixed, 6 mo. LIBOR ARM 45 3,851,552.18 19.19
3 year Fixed, 6 mo. LIBOR ARM 205 16,222,530.07 80.81
Total: 250 20,074,082.25 100.00
- --------------------------------------------------------------------------------
<PAGE>
- --------------------------------------------------------------------------------
Loan Group A Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the adjustable rate home equity loans
in the Statistic Calculation Pool, as of 4/30/99
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Margin
- --------------------------------------------------------------------------------
(%) Mortgage % of Group A
Loans Principal Balance ($) Principal Balance
- --------------------------------------------------------------------------------
4.001 - 4.500 8 965,296.51 4.81
4.501 - 5.000 6 750,248.24 3.74
5.001 - 5.500 22 1,938,473.38 9.66
5.501 - 6.000 41 3,005,912.61 14.97
6.001 - 6.500 47 4,022,344.61 20.04
6.501 - 7.000 52 4,528,247.33 22.56
7.001 - 7.500 26 2,124,620.48 10.58
7.501 - 8.000 17 1,225,466.83 6.10
8.001 - 8.500 17 935,825.02 4.66
8.501 - 9.000 6 267,180.39 1.33
9.001 - 9.500 4 129,287.85 0.64
9.501 - 10.000 2 102,879.00 0.51
10.001 - 10.500 1 42,600.00 0.21
10.501 - 11.000 1 35,700.00 0.18
Total: 250 20,074,082.25 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Next Rate Adjustment Date
- --------------------------------------------------------------------------------
Mortgage % of Group A
Loans Principal Balance ($) Principal Balance
- --------------------------------------------------------------------------------
August, 2000 1 92,212.75 0.46
November, 2000 1 68,082.20 0.34
December, 2000 1 103,795.21 0.52
February, 2001 3 238,050.00 1.19
March, 2001 9 896,200.10 4.46
April, 2001 29 2,255,211.92 11.23
May, 2001 1 198,000.00 0.99
January, 2002 1 207,925.75 1.04
February, 2002 3 430,849.53 2.15
March, 2002 57 3,954,196.11 19.70
April, 2002 141 11,405,008.68 56.81
May, 2002 3 224,550.00 1.12
Total: 250 20,074,082.25 100.00
- --------------------------------------------------------------------------------
<PAGE>
- --------------------------------------------------------------------------------
Loan Group A Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the adjustable rate home equity loans
in the Statistic Calculation Pool, as of 4/30/99
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Lifetime Cap
- --------------------------------------------------------------------------------
(%) Mortgage % of Group A
Loans Principal Balance ($) Principal Balance
- --------------------------------------------------------------------------------
14.501 - 15.000 3 315,550.00 1.57
15.001 - 15.500 6 622,514.45 3.10
15.501 - 16.000 21 2,159,087.82 10.76
16.001 - 16.500 26 2,255,955.46 11.24
16.501 - 17.000 52 4,124,218.49 20.54
17.001 - 17.500 32 2,746,446.23 13.68
17.501 - 18.000 52 4,347,478.27 21.66
18.001 - 18.500 11 791,442.44 3.94
18.501 - 19.000 18 1,352,371.42 6.74
19.001 - 19.500 13 712,900.82 3.55
19.501 - 20.000 6 219,450.00 1.09
20.001 - 20.500 1 97,000.00 0.48
20.501 - 21.000 5 148,487.85 0.74
21.001 - 21.500 2 102,879.00 0.51
21.501 - 22.000 1 42,600.00 0.21
22.001 - 22.500 1 35,700.00 0.18
Total: 250 20,074,082.25 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
First Period Cap
- --------------------------------------------------------------------------------
(%) Mortgage % of Group A
Loans Principal Balance ($) Principal Balance
- --------------------------------------------------------------------------------
2.00 1 45,431.54 0.23
3.00 249 20,028,650.71 99.77
Total: 250 20,074,082.25 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Subsequent Period Cap
- --------------------------------------------------------------------------------
(%) Mortgage % of Group A
Loans Principal Balance ($) Principal Balance
- --------------------------------------------------------------------------------
1.00 250 20,074,082.25 100.00
Total: 250 20,074,082.25 100.00
- --------------------------------------------------------------------------------
<PAGE>
- --------------------------------------------------------------------------------
Loan Group A Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the adjustable rate home equity loans
in the Statistic Calculation Pool, as of 4/30/99
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Lifetime Floor
- --------------------------------------------------------------------------------
(%) Mortgage % of Group A
Loans Principal Balance ($) Principal Balance
- --------------------------------------------------------------------------------
7.500 or Less 6 468,999.23 2.34
7.501 - 8.000 3 315,550.00 1.57
8.001 - 8.500 5 555,314.45 2.77
8.501 - 9.000 19 1,953,292.61 9.73
9.001 - 9.500 26 2,255,073.26 11.23
9.501 - 10.000 51 4,055,368.49 20.20
10.001 - 10.500 32 2,746,446.23 13.68
10.501 - 11.000 50 4,221,206.45 21.03
11.001 - 11.500 11 791,442.44 3.94
11.501 - 12.000 18 1,352,371.42 6.74
12.001 - 12.500 13 712,900.82 3.55
12.501 - 13.000 6 219,450.00 1.09
13.001 - 13.500 2 116,200.00 0.58
13.501 - 14.000 4 129,287.85 0.64
14.001 - 14.500 2 102,879.00 0.51
14.501 - 15.000 1 42,600.00 0.21
15.001 - 15.500 1 35,700.00 0.18
Total: 250 20,074,082.25 100.00
- --------------------------------------------------------------------------------
<PAGE>
EXHIBIT 99.2
[LEHMAN BROTHERS LOGO] Asset-Backed Securities
- --------------------------------------------------------------------------------
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>
EXHIBIT 99.3
Banc of America Securities LLC
- ------------------------------
[Bank of America Logo]
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not
represent that it is accurate or complete and it should not be relied upon as
such. By accepting this material the recipient agrees that it will not
distribute or provide the material to any other person. The information
contained in this material may pertain to securities that ultimately are not
sold. The information contained in this material may be based on assumptions
regarding market conditions and other matters as reflected herein. The
Underwriter makes no representation regarding the reasonableness of such
assumptions or the likelihood that any of such assumptions will coincide with
actual market conditions or events, and this material should not be relied upon
for such purposes. The Underwriter and its affiliates, officers, directors,
partners and employees, including persons involved in the preparation or
issuance of this material may, from time to time, have long or short positions
in, and buy and sell, the securities mentioned therein or derivatives thereof
(including options). This material may be filed with the Securities and Exchange
Commission (the "SEC") and incorporated by reference into an effective
registration statement previously filed with the SEC under Rule 415 of the
Securities Act of 1933, including all cases where the material does not pertain
to securities that are ultimately offered for sale pursuant to such registration
statement. Information contained in this material is current as of the date
appearing on this material only. Information in this material regarding any
assets backing any securities discussed herein supersedes all prior information
regarding such assets. Any information in the material, whether regarding the
assets backing any securities discussed herein or otherwise, will be superseded
by the information contained in any final prospectus for any securities actually
sold to you. This material is furnished solely by the Underwriter and not by
the issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
<PAGE>
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based soley upon all
of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Credit Suisse First Boston. All information
described above is preliminary, limited in nature and subject to completion or
amendment. Credit Suisse First Boston makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
<PAGE>
EXHIBIT 99.5
The attached Marketing Memorandum (the "Marketing Memorandum") is privileged
and confidential and is intended for use by the addressee only. This Marketing
Memorandum is furnished to you solely by First Union Capital Markets Corp. (the
"Underwriter") and not by the issuer of the notes identified above (the "Notes")
or any other party. The Marketing Memorandum is based upon information made
available to the Underwriter. Neither the Underwriter, the issuer of the Notes,
nor any other party makes any representation to the accuracy or completeness of
the information therein. The information herein is preliminary, and will be
superseded by the applicable prospectus supplement and by any other information
subsequently filed with the Securities and Exchange Commission. The information
herein may not be provided to any third party other than the addressee's legal,
tax, financial and/or accounting advisors for the purpose of evaluating such
information.
No assurance can be given as to the accuracy, appropriateness or completeness of
the Marketing Memorandum in any particular context; or as to whether the
Marketing Memorandum reflects future performance. This Marketing Memorandum
should not be construed as either a prediction or as legal, tax, and financial
or accounting advice.
Any yields or weighted average lives shown in the Marketing Memorandum are based
on prepayment and other assumptions. Actual experience may dramatically affect
such yields or weighted average lives. The principal amount and designation of
any security described in the Marketing Memorandum are subject to change prior
to issuance.
Although a registration statement (including the prospectus) relating to the
Notes has been filed with the Securities and Exchange Commission and is
effective, the final prospectus supplement relating to the Notes has not been
filed with the Securities and Exchange Commission. This communication shall not
constitute an offer to sell or a solicitation of an offer to buy nor shall there
be any sale of the Offered Notes in any state in which such offer, solicitation
or sale would be unlawful prior to registration or qualification under the
securities laws of any such state. Prospective purchasers are referred to the
final prospectus and prospectus supplement relating to the Offered Notes for
definitive terms of the Offered Notes and the collateral.
Please be advised that the Notes may not be appropriate for all investors.
Potential investors must be willing to assume among other things, market price
volatility, prepayments, yield curve and interest rate risks. Investors should
fully consider the risk of an investment in the Notes.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
[FIRST UNION LOGO]
FIRST UNION CAPITAL MARKETS CORP.
- --------------------------------------------------------------------------------
FIRST UNION CAPITAL MARKETS CORP.
This document does not constitute either an offer to sell or a solicitation of
an offer to buy any of the securities described herein. Offers to sell and
solicitations of offers to buy are made only by, and this document must be read
in conjunction with, the final offering circular supplement. 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 circular supplement. The
descriptions of the securities have been prepared on the basis of certain
assumptions regarding payments, interest rates and other factors described in
the prospectus supplement.
