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 13, 1996
The Originators as listed below under a Pooling and Servicing
Agreement dated as of November 30, 1996 providing for the issuance
of The Money Store Asset Backed Certificates, Series 1996-D.
TMS Mortgage Inc.
The Money Store/D.C. Inc.
The Money Store/Kentucky Inc.
The Money Home Equity Corp.
The Money Store/Minnesota Inc.
(Exact name of registrant as specified in its charter)
* 33-98734 *
(State or other jurisdiction of (Commission (IRS Employer
incorporation) File Number) ID Number)
2840 Morris Avenue, Union, New Jersey 07083
(Address of principal executive offices) (Zip Code)
Registrant's Telephone Number,
including area code: (908) 686-2000
N/A
(Former name or former address, if changed since last report)
* See Schedule A attached hereto.
<PAGE>
Item 5. Other Events
This Current Report on Form 8-K is being filed to file a copy
of the Computational Materials (as defined below) of Lehman Brothers Inc. (the
"Underwriter") in connection with the issuance by TMS Mortgage Inc., The Money
Store/D.C Inc., The Money Store/Kentucky Inc., The Money Store Home Equity Corp.
and The Money Store/Minnesota Inc., of The Money Store Asset Backed
Certificates, Series 1996-D. 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.
<PAGE>
Item 7. Financial Statements, Pro Forma Financial
Information and Exhibits.
(c) Exhibits
Exhibit No.
99.1 Computational Materials of Lehman Brothers Inc.
<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.
The Money Store/Minnesota Inc.
The Money Store/D.C. Inc.
The Money Store/Kentucky Inc.
The Money Store Home Equity Corp.
TMS Mortgage Inc.
By: /s/Morton Dear
Name: Morton Dear
Title: Executive Vice President
Dated: December 19, 1996
<PAGE>
Schedule A
State of IRS Employer
Registrant Incorporation ID Number
TMS Mortgage Inc. New Jersey 22-3217781
The Money Store/D.C. Inc. D.C. 22-2133027
The Money Store/Kentucky Inc. Kentucky 22-2459832
The Money Store/Home Equity
Corp. Kentucky 22-2522232
The Money Store/Minnesota
Inc. Minnesota 22-3003495
<PAGE>
EXHIBIT INDEX
Exhibit Description of Exhibit
99.1 Computational Materials of Lehman Brothers Inc.
LEHMAN BROTHERS
DERIVED INFORMATION
$1,035,000,000 Certificates (approximate)
The Money Store Trust 1996-D
The Money Store, Inc. (Representative 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 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>
<TABLE>
<CAPTION>
SECURITIES OFFERED:
FIXED RATE HELS - TO MATURITY:
- ----------------------------------------------------------------------------------------------------------------------------------
APPROX ESTIMATED ESTIMATED EXPECTED STATED EXPECTED
APPROX. GROUP EXPECTED WAL/MDUR PRINCIPAL FINAL FINAL RATINGS
SECURITIES SIZE NO. BENCHMARK PRICE (YRS) PMT. WINDOW MATURITY MATURITY MOODY'S/S&P
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-1(1) $66,305,000 I Curve 99.999% 0.45/0.43 10 months 10/15/97 6/15/03 Aaa/AAA
Class A-2(1) $86,383,000 I Curve 99.997% 1.15/1.07 10 months 7/15/98 12/15/08 Aaa/AAA
Class A-3(1) $96,468,000 I 2 Yr Tsy 99.988% 2.08/1.89 14 months 8/15/99 11/15/11 Aaa/AAA
Class A-4(1) $53,850,000 I 3 Yr Tsy 99.988% 3.08/2.70 12 months 7/15/00 7/15/15 Aaa/AAA
Class A-5(1) $47,916,000 I Curve 99.967% 4.08/3.45 14 months 8/15/01 3/15/18 Aaa/AAA
Class A-6(1) $36,443,000 I 5 Yr Tsy 99.993% 5.25/4.26 17 months 12/15/02 6/15/21 Aaa/AAA
Class A-7(1) $44,807,000 I Curve 99.997% 7.35/5.49 41 months 4/15/06 4/15/25 Aaa/AAA
Class A-8(1) $27,828,000 I 10 Yr Tsy 99.923% 11.93/7.59 93 months 12/15/13 4/15/28 Aaa/AAA
Class A-9(1) $40,000,000 I Curve 99.977% 6.96/5.19 168 months 12/15/13 4/15/28 Aaa/AAA
</TABLE>
<TABLE>
<CAPTION>
ARMS - TO MATURITY:
- --------------------------------------------------------------------------------------------------------------------------------
APPROX ESTIMATED ESTIMATED EXPECTED STATED EXPECTED
APPROX. GROUP EXPECTED WAL PRINCIPAL FINAL FINAL RATINGS
SECURITIES SIZE NO. BENCHMARK PRICE (yrs) PMT. WINDOW MATURITY MATURITY MOODY'S/S&P
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-10(2) $350,000,000 II 1 mo LIBOR 100.000% 3.51 215 months 11/15/14 4/15/28 Aaa/AAA
</TABLE>
<TABLE>
<CAPTION>
HOME IMPROVEMENT LOANS - TO MATURITY:
- --------------------------------------------------------------------------------------------------------------------------------
APPROX. ESTIMATED ESTIMATED EXPECTED STATED EXPECTED
APPROX. GROUP EXPECTED WAL/MDUR PRINCIPAL FINAL FINAL RATINGS
SECURITIES SIZE NO. BENCHMARK PRICE (yrs) PMT. WINDOW MATURITY MATURITY MOODY'S/S&P
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-11(3) $77,391,000 III 1 mo LIBOR 100.000% 1.08 28 months 4/15/99 8/15/07 Aaa/AAA
Class A-12(3) $34,590,000 III 3 Yr Tsy 99.983% 3.05/2.68 21 months 12/15/00 5/15/11 Aaa/AAA
Class A-13(3) $27,684,000 III 5 Yr Tsy 99.971% 5.08/4.16 30 months 5/15/03 9/15/14 Aaa/AAA
Class A-14(3) $15,909,000 III Curve 99.981% 7.40/5.56 28 months 8/15/05 10/15/16 Aaa/AAA
Class A-15(3) $19,426,000 III 10 Yr Tsy 99.970% 11.90/7.60 123 months 10/15/15 4/15/23 Aaa/AAA
</TABLE>
- -------------------------------------------------
<TABLE>
<CAPTION>
MULTIFAMILY LOANS - TO MATURITY:
- ---------------------------------------------------------------------------------------------------------------------------------
APPROX. ESTIMATED ESTIMATED EXPECTED STATED EXPECTED
APPROX. GROUP EXPECTED WAL/MDUR PRINCIPAL FINAL FINAL RATINGS
SECURITIES SIZE NO. BENCHMARK PRICE (yrs) PMT. WINDOW MATURITY MATURITY MOODY'S/S&P
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-16(4) $10,000,000 IV Curve 99.998% 6.88/4.54 338 months 2/15/25 1/15/28 Aaa/AAA
</TABLE>
- --------------------
(1) Prepayments are 2.3% CPR in month one increasing by 2.3% CPR each month to
23% CPR by month 10, remaining at 23% CPR subsequent to month 10.
(2) Prepayments are 2.5% CPR in month one increasing by 2.5% CPR each month to
25% CPR by month 10, remaining at 25% CPR subsequent to month 10.
(3) Prepayments are 1.7% CPR in month one increasing by 1.7% CPR each month to
17% CPR by month 10, remaining at 17% CPR subsequent to month 10.
(4) Prepayments equal 2% CPR from months 1 through 48 and a constant 10% CPR
beginning on the 49th month.
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 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>
SECURITIES OFFERED:
<TABLE>
<CAPTION>
FIXED RATE HELS - TO 10% CALL:
- ----------------------------------------------------------------------------------------------------------------------------------
APPROX. ESTIMATED ESTIMATED EXPECTED STATED EXPECTED
APPROX. GROUP EXPECTED WAL/MDUR PRINCIPAL FINAL FINAL RATINGS
SECURITIES SIZE NO. BENCHMARK PRICE (yrs) PMT. WINDOW MATURITY MATURITY MOODY'S/S&P
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-7(1) $44,807,000 I Curve 99.997% 7.32/5.47 34 months 9/15/05 4/15/25 Aaa/AAA
Class A-8(1) $27,828,000 I 10 Yr Tsy 99.923% 8.71/6.19 1 month 9/15/05 4/15/28 Aaa/AAA
Class A-9(1) $40,000,000 I Curve 99.977% 6.54/4.99 69 months 9/15/05 4/15/28 Aaa/AAA
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
ARMS - TO 10% CALL:
- ----------------------------------------------------------------------------------------------------------------------------------
APPROX. ESTIMATED ESTIMATED EXPECTED STATED EXPECTED
APPROX. GROUP EXPECTED WAL PRINCIPAL FINAL FINAL RATINGS
SECURITIES SIZE NO. BENCHMARK PRICE (yrs) PMT. WINDOW MATURITY MATURITY MOODY'S/S&P
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-10(2) $350,000,000 II 1 mo LIBOR 100.000% 3.30 105 months 9/15/05 4/15/28 Aaa/AAA
</TABLE>
- -----------------------------------------------
<TABLE>
<CAPTION>
HOME IMPROVEMENT LOANS - TO 10% CALL:
- -----------------------------------------------------------------------------------------------------------------------------------
APPROX. ESTIMATED ESTIMATED EXPECTED STATED EXPECTED
APPROX. GROUP EXPECTED WAL/MDUR PRINCIPAL FINAL FINAL RATINGS
SECURITIES SIZE NO BENCHMARK PRICE (yrs) PMT. WINDOW MATURITY MATURITY MOODY'S S&P
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-15(3) $19,426,000 III 10 Yr Tsy 99.970% 8.71/6.23 2 months 9/15/05 4/15/23 Aaa/AAA
</TABLE>
- ------------------------------------------
<TABLE>
<CAPTION>
MULTIFAMILY LOANS - TO 10% CALL:
- -----------------------------------------------------------------------------------------------------------------------------------
APPROX. ESTIMATED ESTIMATED EXPECTED STATED EXPECTED
APPROX. GROUP EXPECTED WAL/MDUR PRINCIPAL FINAL FINAL RATINGS
SECURITIES SIZE NO. BENCHMARK PRICE (yrs) PMT. WINDOW MATURITY MATURITY MOODY'S/S&P
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-16(4) $10,000,000 IV Curve 99.998% 5.11/3.88 105 months 9/15/05 1/15/28 Aaa/AAA
</TABLE>
- ----------------------------
(1) Prepayments are 2.3% CPR in month one increasing by 2.3% CPR each month to
23% CPR by month 10, remaining at 23% CPR subsequent to month 10.
(2) Prepayments are 2.5% CPR in month one increasing by 2.5% CPR each month to
25% CPR by month 10, remaining at 25% CPR subsequent to month 10.
(3) Prepayments are 1.7% CPR in month one increasing by 1.7% CPR each month to
17% CPR by month 10, remaining at 17% CPR subsequent to month 10. (4)
(4) Prepayments equal 2% CPR from months 1 through 48 and a constant 10% CPR
beginning on the 49th month
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 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>
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
GROUP I LOANS
TO MATURITY
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C>
% of Prepayment Assumption 0.0% 50.0% 75.0% 100.0% 125.0% 150.0% 200.0%
Implied Seasoned CPR 0.0% 11.5% 17.3% 23.0% 28.8% 34.5% 46.0%
Class A-1
Avg. Life (yrs) 2.54 0.62 0.51 0.45 0.41 0.37 0.32
Mod Duration (yrs) 2.19 0.59 0.49 0.43 0.39 0.36 0.31
Window (begin-end) (mths) 1-67 1-14 1-11 1-10 1-9 1-8 1-7
Expected Final Maturity 7/15/02 2/15/98 11/15/97 10/15/97 9/15/97 8/15/97 7/15/97
Yield @ 99.999% 6.32 6.02 5.93 5.86 5.80 5.75 5.65
Class A-2
Avg. Life (yrs) 8.45 1.91 1.41 1.15 0.99 0.87 0.73
Mod Duration (yrs) 6.31 1.74 1.31 1.07 0.93 0.83 0.69
Window (begin-end) (mths) 67-136 14-33 11-24 10-19 9-16 8-14 7-12
Expected Final Maturity 4/15/08 9/15/99 12/15/98 7/15/98 4/15/98 2/15/98 12/15/97
Yield @ 99.997% 6.36 6.25 6.21 6.17 6.13 6.10 6.04
Class A-3
Avg. Life (yrs) 13.57 3.77 2.67 2.08 1.72 1.47 1.15
Mod Duration (yrs) 8.82 3.24 2.37 1.89 1.58 1.36 1.08
Window (begin-end)(mths) 136-178 33-60 24-42 19-32 16-27 14-23 12-17
Expected Final Maturity 10/15/11 12/15/01 6/15/00 8/15/99 3/15/99 11/15/98 5/15/98
Yield @ 99.988% 6.39 6.34 6.32 6.29 6.27 6.24 6.20
Class A-4
Avg. Life (yrs) 15.92 5.84 4.06 3.08 2.49 2.09 1.59
Mod Duration (yrs) 9.60 4.70 3.45 2.70 2.23 1.89 1.46
Window (begin-end)(mths) 178-216 60-82 42-57 32-43 27-35 23-29 17-22
Expected Final Maturity 12/15/14 10/15/03 9/15/01 7/15/00 11/15/99 5/15/99 10/15/98
Yield @ 99.988% 6.57 6.55 6.53 6.51 6.49 6.47 6.43
Class A-5
Avg. Life (yrs) 19.53 7.91 5.43 4.08 3.24 2.67 1.97
Mod Duration (yrs) 10.53 5.93 4.40 3.45 2.81 2.37 1.79
Window (begin-end) (mths) 216-252 82-110 57-76 43-56 35-45 29-37 22-27
Expected Final Maturity 12/15/17 2/15/06 4/15/03 8/15/01 9/15/00 1/15/00 3/15/99
Yield @ 99.967% 6.80 6.79 6.77 6.76 6.74 6.73 6.70
</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 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>
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
GROUP I LOANS (CONTINUED)
TO MATURITY
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C>
% of Prepayment Assumption 0.0% 50.0% 75.0% 100.0% 125.0% 150.0% 200.0%
Implied Seasond CPR 0.0% 11.5% 17.3% 23.0% 28.8% 34.5% 46.0%
Class A-6
Avg. Life (yrs) 22.11 10.33 7.13 5.25 4.13 3.36 2.40
Mod Duration (yrs) 10.97 7.14 5.44 4.26 3.47 2.90 2.14
Window (begin-end)(mths) 252-288 110-140 76-98 56-72 45-56 37-45 27-32
Expected Final Maturity 12/15/20 8/15/08 2/15/05 12/15/02 8/15/01 9/15/00 8/15/99
Yield @ 99.993% 6.99 6.97 6.96 6.95 6.94 6.92 6.89
Class A-7
Avg. Life (yrs) 26.25 13.63 9.97 7.35 5.58 4.44 3.06
Mod Duration (yrs) 11.39 8.37 6.85 5.49 4.42 3.66 2.65
Window (begin-end)(mths) 288-338 140-188 98-149 71-112 56-84 45-65 32-44
Expected Final Maturity 2/15/25 8/15/12 5/15/09 4/15/06 12/15/03 5/15/02 8/15/00
Yield @ 99.997% 7.31 7.30 7.29 7.28 7.27 7.25 7.23
Class A-8
Avg. Life (yrs) 29.03 19.24 15.08 11.93 9.43 7.32 4.26
Mod Duration (yrs) 11.51 9.83 8.71 7.59 6.48 5.39 3.52
Window (begin-end)(mths) 338-359 188-314 149-251 112-204 84-172 65-144 44-67
Expected Final Maturity 11/15/26 2/15/23 11/15/17 12/15/13 4/15/11 12/15/08 7/15/02
Yield @ 99.923% 7.53 7.52 7.52 7.52 7.51 7.51 7.49
Class A-9
Avg. Life (yrs) 14.53 8.92 7.75 6.96 6.38 5.92 5.21
Mod Duration (yrs) 8.37 6.15 5.59 5.19 4.86 4.60 4.16
Window (begin-end)(mths) 37-358 37-313 37-251 37-204 37-172 37=144 37-104
Expected Final Maturity 10/15/26 1/15/23 11/15/17 12/15/13 4/15/11 12/15/08 8/15/05
Yield @ 99.977% 7.17 7.16 7.15 7.15 7.14 7.14 7.14
</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 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>
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
GROUP I LOANS (CONTINUED)
To Maturity
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C>
% of Prepayment Assumption 0.0% 50.0% 75.0% 100.0% 125.0% 150.0% 200.0%
Implied Seasoned CPR 0.0% 11.5% 17.3% 13.0% 28.8% 34.5% 46.0%
Class A-6
Avg. Life (yrs) 22.11 10.33 7.13 5.25 4.13 3.36 2.40
Mod Duration (yrs) 10.97 7.14 5.44 4.26 3.47 2.90 2.14
Window (begin-end)(mths) 252-288 110-140 76-98 56-72 45-56 37-45 27-32
Expected Final Maturity 12/15/20 8/15/08 2/15/05 12/15/02 8/15/01 9/15/00 8/15/99
Yield @ 99.993% 6.99 6.97 6.96 6.95 6.94 6.92 6.89
Class A-7
Avg. Life (yrs) 26.25 13.63 9.97 7.35 5.58 4.44 3.06
Mod Duration (yrs) 11.39 8.37 6.85 5.49 4.42 3.66 2.65
Window (begin-end)(mths) 288-338 140-188 98-149 72-112 56-84 45-65 32-44
Expected Final Maturity 2/15/25 8/15/12 5/15/09 4/15/06 12/15/03 5/15/02 8/15/00
Yield @ 99.997% 7.31 7.30 7.29 7.28 7.27 7.25 7.23
Class A-8
Avg. Life (yrs) 29.03 19.24 15.08 11.93 9.43 7.32 4.26
Mod Duration (yrs) 11.51 9.83 8.71 7.59 6.48 5.39 3.52
Window (begin-end)(mths) 338-359 188-314 149-251 112-204 84-172 65-144 44-67
Expected Final Maturity 11/15/26 2/15/23 11/15/17 12/15/13 4/15/11 12/15/08 7/15/02
Yield @ 99.923% 7.53 7.52 7.52 7.52 7.51 7.51 7.49
Class A-9
Avg. Life (yrs) 14.53 8.92 7.75 6.96 6.38 5.92 5.21
Mod Duration (yrs) 8.37 6.15 5.59 5.19 4.86 4.60 4.16
Window (begin-end)(mths) 37-358 37-313 37-251 37-204 37-172 37-144 37-104
Expected Final Maturity 10/15/26 1/15/23 11/15/17 12/15/13 4/15/11 12/15/08 8/15/05
Yield @ 99.977% 7.17 7.16 7.15 7.15 7.14 7i.14 7.14
</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 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>
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
GROUP I LOANS (CONTINUED)
To 10% Cleanup Call*
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C>
% of Prepayment Assumption 0.0% 50.0% 75.0% 100.0% 125.0% 150.0% 200.0%
Implied Seasoned CRP 0.0% 11.5% 17.3% 23.0% 28.8% 34.5% 46.0%
Class A-7
Avg. Life (yrs) 26.25 13.58 9.86 7.32 5.58 4.44 3.06
Mod Duration (yrs) 11.39 8.35 6.80 5.47 4.42 3.66 2.65
Window (begin-end)(mths) 288-337 140-178 98-135 72-105 56-84 45-65 32-44
Expected Final Maturity 1/15/25 10/15/11 3/15/08 9/15/05 12/15/03 5/15/02 8/15/00
Yield @ 99.997% 7.31 7.30 7.29 7.28 7.27 7.25 7.23
Class A-8
Avg. Life (yrs) 28.04 14.79 11.21 8.71 7.04 5.82 4.08
Mod Duration (yrs) 11.40 8.67 7.34 6.19 5.29 4.56 3.40
Window (begin-end)(mths) 337-337 178-178 135-135 105-105 84-85 65-71 44-52
Expected Final Maturity 1/15/25 10/15/11 3/15/08 9/15/05 1/15/04 11/15/02 4/15/01
Yield @ 99.923% 7.53 7.52 7.52 7.51 7.51 7.50 7.48
Class A-9
Avg. Life (yrs) 14.52 8.73 7.44 6.54 5.80 5.15 4.08
Mod Duration (yrs) 8.37 6.09 5.47 4.99 4.56 4.15 3.42
Window (begin-end)(mths) 37-337 37-178 37-135 37-105 37-85 37-71 37-52
Expected Final Maturity 1/15/25 10/15/11 3/15/08 9/15/05 1/15/04 11/15/02 4/15/01
Yield @ 99.977% 7.17 7.15 7.15 7.15 7.14 7.14 7.12
</TABLE>
* Classes A-1 to A-6 information is the same as to maturity.
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 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>
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
GROUP II LOANS
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C>
% of Prepayment Assumption 0.0% 50.0% 75.0% 100.0% 125.0% 150.0% 200.0%
Implied Seasoned CPR 0.0% 12.5% 18.8% 25.0% 31.3% 37.5% 50.0%
Class A-10
Avg. Life (yrs) 21.18 6.72 4.66 3.51 2.80 2.32 1.69
Window (begin-end)(mths) 1-360 1-337 1-277 1-215 1-170 1-138 1-96
Expected Maturity 12/15/26 1/15/25 1/15/20 11/15/14 2/15/11 6/15/08 12/15/04
</TABLE>
to 10% Cleanup Call
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C>
% of Prepayment Assumption 0.0% 50.0% 75.0% 100.0% 125.0% 150.0% 200.0%
Implied Seasoned CPR 0.0% 12.5% 18.8% 25.0% 31.3% 37.5% 50.0%
Class A-10
Avg. Life (yrs) 21.00 6.18 4.33 3.30 2.65 2.20 1.62
Window (begin-end (mths) 1-337 1-178 1-135 1-105 1-85 1-71 1-52
Expected Final Maturity 1/15/25 10/15/11 3/15/08 9/15/05 1/15/04 11/15/02 4/15/01
</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 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>
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
GROUP III LOANS
To Maturity
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C>
% of Prepayment Assumption 0.0% 50.0% 75.0% 100.0% 125.0% 150.0% 200.0%
Implied Seasoned CPR 0.0% 8.5% 12.8% 17.0% 21.3% 25.5% 34.0%
Class A-11
Avg. Life (yrs) 3.99 1.64 1.29 1.08 0.94 0.85 0.72
Window (begin-end)(mths) 1-101 1-46 1-35 1-28 1-23 1-20 1-16
Expected Final Maturity 5/15/05 10/15/00 11/15/99 4/15/99 11/15/98 8/15/98 4/15/98
Class A-12
Avg. Life (yrs) 10.67 5.02 3.82 3.05 2.53 2.16 1.67
Mod. Duration (yrs) 7.45 4.15 3.27 2.68 2.26 1.95 1.54
Window (begin-end)(mths) 101-156 46-78 35-60 28-48 23-40 20-34 16-26
Expected Final Maturity 12/15/09 6/15/03 12/15/01 12/15/00 4/15/00 10/15/99 2/15/99
Yield @ 99.983% 6.51 6.48 6.47 6.45 6.43 6.42 6.39
Class A-13
Avg. Life (yrs) 14.67 8.00 6.28 5.08 4.22 3.58 2.69
Mod Duration (yrs) 9.03 5.97 4.95 4.16 3.55 3.07 2.38
Window (begin-end)(mths) 156-201 78-120 60-94 48-77 40-64 34-55 26-42
Expected Final Maturity 9/15/13 12/15/06 10/15/04 5/15/03 4/15/02 7/15/01 6/15/00
Yield @ 99.971% 6.79 6.78 6.77 6.76 6.75 6.74 6.72
Class A-14
Avg. Life (yrs) 17.94 11.51 9.02 7.40 6.21 5.30 4.01
Mod Duration (yrs) 9.83 7.61 6.44 5.56 4.85 4.26 3.37
Window (begin-end)(mths) 201-231 120-159 94-128 77-104 64-88 55-75 42-57
Expected Final Maturity 3/15/16 3/15/10 8/15/07 8/15/05 4/15/04 3/15/03 9/15/01
Yield @ 99.981% 7.15 7.14 7.14 7.13 7.12 7.12 7.10
Class A-15
Avg. Life (yrs) 21.89 16.61 14.10 11.90 10.12 8.71 6.65
Mod Duration (yrs) 10.56 9.25 8.44 7.6 6.83 6.15 5.04
Window (begin-end)(mths) 231-298 159-282 128-254 104-226 88-201 75-177 57-139
Expected Final Maturity 10/15/21 6/15/20 2/15/18 10/15/15 9/15/13 9/15/11 7/15/08
Yield @ 99.970% 7.37 7.36 7.36 7.36 7.35 7.35 7.34
</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 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>
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
GROUP III LOANS (CONTINUED)
To 10% Clean-up Call*
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C>
% of Prepayment Assumption 0.0% 50.0% 75.0% 100.0% 125.0% 150.0% 200.0%
Implied Seasoned CPR 0.0% 8.5% 12.8% 17.0% 21.3% 25.5% 34.0%
Class A-15
Avg. Life (yrs) 21.89 14.52 11.17 8.71 7.04 5.88 4.29
Mod. Duration (yrs) 10.56 8.66 7.39 6.23 5.32 4.62 3.56
Window (begin-end)(mths) 231-298 159-178 128-135 104-105 85-85 71-71 52-52
Expected Final Maturity 10/15/21 10/15/11 3/15/08 9/15/05 1/15/04 11/15/02 4/15/01
Yield @ 99.970% 7.37 7.36 7.36 7.35 7.34 7.34 7.32
</TABLE>
* Classes A-11 to A-14 information is the same as to maturity.
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 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>
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
GROUP IV LOANS
To Maturity
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C>
% of Prepayment Assumption 0.0% 50.0% 75.0% 100.0% 125.0% 150.0% 200.0%
Implied Seasoned CPR 0.0% 5.0% 7.5% 10.0% 12.5% 15.0% 20.0%
Class A-16
Avg. Life (yrs) 14.81 9.31 7.89 6.88 6.13 5.56 4.74
Mod Duration 7.47 5.53 4.96 4.54 4.20 3.93 3.52
Window (begin-end)(mths) 1-345 1-344 1-342 1-388 1-332 1-320 1-284
Expected Final Maturity 9/15/25 8/15/25 6/15/25 2/15/25 8/15/24 8/15/23 8/15/20
Yield @ 99.998% 7.24 7.23 7.22 7.22 7.21 7.21 7.20
</TABLE>
To 10% Cleanup Call
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C>
% of Prepayment Assumption 0.0% 50.0% 75.0% 100.0% 125.0% 150.0% 200.0%
Implied Seasoned CPR 0.0% 5.0% 7.5% 10.0% 12.5% 15.0% 20.0%
Class A-16
Avg. Life (yrs) 14.8 7.76 6.16 5.11 4.38 3.84 3.02
Mod Duration (yrs) 7.47 5.14 4.42 3.88 3.46 3.12 2.55
Window (begin-end)(mths) 1-337 1-178 1-135 1-105 1-85 1-71 1-52
Expected Final Maturity 1/15/25 10/15/11 3/15/08 9/15/05 1/15/04 11/15/02 4/15/01
Yield @ 99.998% 7.24 7.22 7.22 7.21 7.20 7.19 7.17
</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 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>
COLLATERAL SUMMARY
GROUP I SAMPLE LOANS (FIXED RATE HELS)
TOTAL NUMBER OF LOANS 7,051
TOTAL OUTSTANDING LOAN BALANCE $295,357,079
BALLOON (% OF TOTAL) 11.0%
LEVEL PAY (% OF TOTAL) 89.0%
AVERAGE LOAN PRINCIPAL BALANCE $41,889
WEIGHTED AVERAGE COUPON 11.92%
WEIGHTED AVERAGE ORIGINAL TERM 253
(MTHS)
RANGE OF ORIGINAL TERMS LEVEL PAY BALLOON
--------- -------
1 - 120: 10.6% 169 - 180: 100.0%
121-180: 32.9%
181-240: 7.3%
241-300: 5.7%
301-360: 43.6%
WEIGHTED AVERAGE REMAINING TERM 252
(MTHS)
WEIGHTED AVERAGE CLTV 71.2%
LIEN POSITION (FIRST/SECOND) 76.8% / 23.2%
PROPERTY TYPE
SINGLE FAMILY 87.4%
2-4 FAMILY 5.9%
CONDO / TOWNHOUSE 1.5%
OTHER 5.2%
OCCUPANCY STATUS
OWNER OCCUPIED 94.4%
INVESTMENT 5.6%
GEOGRAPHIC DISTRIBUTION NY: 8.3% IL: 6.2%
other states account CA: 7.2% PA: 6.1%
individually for less than NJ: 6.2% WA: 6.0%
5% of Group I principal balance
ORIGINATION YEARS 1996: 99.4%
1995: 0.6%
<PAGE>
COLLATERAL SUMMARY
GROUP II SAMPLE LOANS (ARMS)
TOTAL NUMBER OF LOANS 2,955
TOTAL OUTSTANDING LOAN BALANCE $240,037,216
BALLOON (% OF TOTAL) 0.0%
LEVEL PAY (% OF TOTAL) 100.0%
AVERAGE LOAN PRINCIPAL BALANCE $81,231
WEIGHTED AVERAGE COUPON 9.89%
WEIGHTED AVERAGE MARGIN 5.63%
WEIGHTED AVERAGE ORIGINAL TERM 360
(MTHS)
RANGE OF ORIGINAL TERMS (MTHS) 61 - 240: 0.3% 360: 99.7%
WEIGHTED AVERAGE REMAINING TERM 359
(MTHS)
WEIGHTED AVERAGE LIFECAP 15.9%
WEIGHTED AVERAGE PERIODIC CAPS 1 mo LIBOR ARM: 2.0% (per annum)
6 mo LIBOR ARM: 1.0% (per six months)
1 Yr LIBOR ARM: 2.0% (per annum)
1 Yr CMT ARM: 2.0% (per annum)
WEIGHTED AVERAGE FLOOR 9.49%
WEIGHTED AVERAGE LTV 73.0%
LIEN POSITION (FIRST/SECOND) 100.0% / 0.0%
PROPERTY TYPE
SINGLE FAMILY 88.4%
2-4 FAMILY 6.8%
TOWNHOUSE / CONDO 1.7%
OTHER 3.1%
OCCUPANCY STATUS
OWNER OCCUPIED 97.0%
INVESTMENT 3.0%
GEOGRAPHIC DISTRIBUTION IL: 10.8% MI: 6.2%
other states account CA: 10.6% WA: 6.1%
individually for less than OH: 6.9% PA: 5.6%
5% of Group II principal balance
NEXT RATE ADJUSTMENT DATE: 12/96 0.2% 7/97 - 8/98 2.3%
1/97 2.3% 9/98 1.7%
2/97 2.7% 10/98 8.1%
3/97 4.2% 11/98 9.1%
4/97 20.6% 12/98 3.5%
5/97 28.9% 2/99-6/00 1.6%
6/97 14.7%
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 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>
COLLATERAL SUMMARY
GROUP II SAMPLE LOANS (ARMS)
ORIGINATION YEARS 1996: 99.0%
1995: 0.8%
1994: 0.2%
INDEX mo LIBOR: 1.3%
6 mo LIBOR: 95.8%
1 Yr LIBOR: 1.9%
1 Yr CMT: 1.1%
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 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>
COLLATERAL SUMMARY
GROUP III SAMPLE LOANS (HOME IMPROVEMENT)
TOTAL NUMBER OF LOANS 6,965
TOTAL OUTSTANDING LOAN BALANCE $111,529,627
AVERAGE LOAN PRINCIPAL BALANCE $16,013
WEIGHTED AVERAGE COUPON 12.48%
WEIGHTED AVERAGE ORIGINAL TERM 210
(MTHS)
RANGE OF ORIGINAL TERMS 1 - 60: 2.9%
61 - 120: 17.7%
121 - 180: 26.5%
181 - 240: 29.3%
241 - 300: 23.6%
WEIGHTED AVERAGE REMAINING TERM 209
(MTHS)
LIEN POSITION (FIRST / SECOND) 0.4% / 99.6%
OCCUPANCY STATUS
OWNER OCCUPIED at least 98.2%
GEOGRAPHIC DISTRIBUTION
other states account CA: 24.8% LA: 5.7%
individually for less than IL: 7.0% AZ: 5.4%
5% of Group III principal TX: 6.1% GA: 5.1%
balance NV: 5.9%
ORIGINATION YEARS 1996: 96.8%
1995: 3.1%
1994: 0.1%
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 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>
COLLATERAL SUMMARY
GROUP IV SAMPLE LOANS (MULTI-FAMILY)
TOTAL NUMBER OF LOANS 13
TOTAL OUTSTANDING LOAN BALANCE $3,381,840
AVERAGE LOAN PRINCIPAL BALANCE $260,142
WEIGHTED AVERAGE COUPON 11.70%
WEIGHTED AVERAGE ORIGINAL TERM 345
(MTHS)
RANGE OF ORIGINAL TERMS 180: 8.2%
360: 91.8%
WEIGHTED AVERAGE REMAINING TERM 345
(MTHS)
WEIGHTED AVERAGE LTV 62.2%
LIEN POSITION (FIRST/SECOND) 100% / 0%
OCCUPANCY STATUS
OWNER OCCUPIED 2.4%
INVESTMENT 97.6%
GEOGRAPHIC DISTRIBUTION
CA: 32.0% GA: 12.8%
TX: 30.3% FL: 11.9%
NJ: 13.0%
ORIGINATION YEARS 1996: 100.0%
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 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).
