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 12, 1997
The Originators listed below under the Sale and Servicing
Agreement, dated as of November 30, 1997, pursuant to which a
portfolio of residential loans have been sold to The Money
Store Residential Trust 1997-II, which is issuing those
certain Asset-Backed Notes, Series 1997-II, under that certain
Indenture dated as of November 30, 1997.
TMS Mortgage Inc.
The Money Store/D.C. Inc.
The Money Store/Minnesota Inc.
The Money Store Home Equity Corp.
The Money Store/Kentucky Inc.
(Exact name of registrant as specified in its charter)
* 333-32775 *
(State or other (Commission File (IRS Employer ID
jurisdiction of Number) Number)
incorporation)
-------------------------------------------
*--See Schedule A
2840 Morris Avenue, Union, New Jersey 07083
(Address of principal executive offices) (Zip Code)
Registrants' Telephone Number,
including area code: (908) 686-2000
N/A
(Former name or former address, if changed since last report)
<PAGE>
SCHEDULE
IRS
State Employer
of Identification
Registrant Incorporation Number
TMS Mortgage Inc. New Jersey 22-3217781
The Money Store/D.C. Inc. D.C. 22-2133027
The Money Store/Minnesota Inc. Minnesota 22-3003495
The Money Store Home Equity Corp. Kentucky 22-2522232
The Money Store/Kentucky Inc. Kentucky 22-2459832
<PAGE>
Item 5. OTHER EVENTS
This Current Report on Form 8-K is being filed to file a copy of the
Computational Materials and ABS Term Sheets (as defined below) of Lehman
Brothers Inc.(the "Underwriter") in connection with the issuance by The Money
Store Residential Trust 1997-II of those certain Asset-Backed Notes, which are
backed by that portfolio of residential loans being purchased from the
above-referenced Originators. The terms "Computational Materials" and "ABS Term
Sheets" shall have the meanings given in the No-Action Letter of May 20, 1994
issued by the Securities and Exchange Commission to Kidder, Peabody Acceptance
Corporation I, Kidder, Peabody & Co. Incorporated and Kidder Structured Asset
Corporation, as supplemented in the No-Action Letters of May 27, 1994 and
February 17, 1995 issued by the SEC to the Public Securities Association.
Item 7. FINANCIAL STATEMENTS, PRO FORMA FINANCIAL INFORMATION AND EXHIBITS.
(c) EXHIBITS
EXHIBIT NO.
99.1 Computational Materials and ABS Term Sheets 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.
TMS MORTGAGE INC.
THE MONEY STORE/D.C. INC.
THE MONEY STORE/MINNESOTA INC.
THE MONEY STORE HOME EQUITY CORP.
THE MONEY STORE/KENTUCKY INC.
By: /S/ MICHAEL BENOFF
Name: Michael Benoff
Title: Senior Vice President
Dated: December 12, 1997
<PAGE>
EXHIBIT INDEX
EXHIBIT
99.1 Computational Materials and ABS Term
Sheets of Lehman Brothers Inc.
EXHIBIT 99.1
LEHMAN BROTHERS
DERIVED INFORMATION
$110,000,000 NOTES
THE MONEY STORE RESIDENTIAL TRUST 1997-II
The Money Store, Inc.
as Servicer
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
1 LEHMAN BROTHERS
<TABLE>
<CAPTION>
SECURITIES OFFERED:
TO MATURITY:
- -----------------------------------------------------------------------------------------------------------------------------------
Approx. Estimated Prin. Expected Stated Expected
Approx. % of Expected WAL/MDUR Pmt. Final Final Ratings
Notes Size Total Benchmark Price (yrs) Window S&P/Fitch
($) (months) Maturity Maturity
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-1 (1) $41,266,000 37.51% 1 Yr Tsy 99.995% 1.15 / 1.06 30 mths. 6/15/00 12/15/08 AAA/AAA
Class A-2 (1) $14,573,000 13.25% 3 Yr Tsy 99.999% 3.00 /2.63 15 mths. 8/15/01 8/15/11 AAA/AAA
Class A-3 (1) $10,034,000 9.12% Curve 99.985% 4.30 /3.59 25 mths 8/15/03 5/15/13 AAA/AAA
Class A-4 (1) $13,602,000 12.37% 10 Yr Tsy 99.961% 9.78 /6.61 179 mths. 6/15/18 1/15/29 AAA/AAA
Class M-1 (1) $11,275,000 10.25% Curve 99.947% 8.47 /5.74 186 mths. 6/15/17 1/15/29 AA/AA
Class M-2 (1) $11,275,000 10.25% Curve 99.973% 8.44 /5.69 177 mths. 9/15/16 1/15/29 A/A
Class B (1) $7,975,000 7.25% Curve 99.938% 8.34 /5.48 157 mths. 1/15/15 1/15/29 BBB/BBB
- -----------------------------------------------------------------------------------------------------------------------------------
TO 10% CALL:
- -----------------------------------------------------------------------------------------------------------------------------------
Approx. Estimated Prin. Expected Stated Expected
Approx. % of Expected WAL/MDUR Pmt. Final Final Ratings
Notes Size Benchmark Price (yrs) Window S&P/Fitch
($) Total (months) Maturity Maturity
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-4 (1) $13,602,000 12.37% 10 Yr Tsy 99.961% 8.93 / 6.30 72 mths. 7/15/09 1/15/29 AAA/AAA
Class M-1 (1) $11,275,000 10.25% Curve 99.947% 7.85 / 5.54 91 mths. 7/15/09 1/15/29 AA/AA
Class M-2 (1) $11,275,000 10.25% Curve 99.973% 7.85 / 5.49 91 mths. 7/15/09 1/15/29 A/A
Class B (1) $7,975,000 7.25% Curve 99.938% 7.85 / 5.33 91 mths. 7/15/09 1/15/29 BBB/BBB
- -----------------------------------------------------------------------------------------------------------------------------------
(1) PREPAYMENTS ARE 1.4% CPR IN MONTH ONE INCREASING BY 1.4% CPR EACH MONTH TO
14% CPR BY MONTH 10, REMAINING AT 14% CPR SUBSEQUENT TO MONTH 10 ("14%
HEP").
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
2 LEHMAN BROTHERS
<TABLE>
<CAPTION>
SENSITIVITY ANALYSIS
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
TO MATURITY
- ---------------------------------------------------------------------------------------------------------------------------
% HEP 0.0% 7.0% 11.0% 14.0% 17.0% 21.0% 28.0%
<S> <C> <C> <C> <C> <C> <C> <C>
CLASS A-1
Avg. Life (yrs) 4.18 1.79 1.35 1.15 1.01 0.87 0.72
Mod Duration (yrs) 3.37 1.60 1.23 1.06 0.94 0.82 0.68
Window (begin-end)(mths) 1 - 101 1 - 48 1 - 36 1 - 30 1 - 26 1 - 22 1 - 17
Expected Final Maturity 5/15/06 12/15/01 12/15/00 6/15/00 2/15/00 10/15/99 5/15/99
Yield @ 99.995% 6.71 6.62 6.58 6.54 6.51 6.47 6.41
CLASS A-2
Avg. Life (yrs) 10.07 4.85 3.60 3.00 2.57 2.15 1.67
Mod Duration (yrs) 7.07 4.00 3.09 2.63 2.28 1.94 1.53
Window (begin-end)(mths) 101 - 139 48 - 69 36 - 52 30 - 44 26 - 37 22 - 31 17 - 24
Expected Final Maturity 7/15/09 9/15/03 4/15/02 8/15/01 1/15/01 7/15/00 12/15/99
Yield @ 99.999% 6.78 6.75 6.73 6.72 6.70 6.68 6.65
CLASS A-3
Avg. Life (yrs) 12.68 6.72 5.13 4.30 3.68 3.06 2.24
Mod Duration (yrs) 8.16 5.18 4.17 3.59 3.14 2.66 2.00
Window (begin-end) (mths) 139 - 172 69 - 103 52 - 80 44 - 68 37 - 58 31 - 49 24 - 30
Expected Final Maturity 4/15/12 7/15/06 8/15/04 8/15/03 10/15/02 1/15/02 6/15/00
Yield @ 99.985% 6.99 6.97 6.96 6.95 6.94 6.93 6.89
CLASS A-4
Avg. Life (yrs) 18.93 13.73 11.26 9.78 8.58 7.29 4.78
Mod Duration (yrs) 9.96 8.29 7.28 6.61 6.02 5.33 3.73
Window (begin-end) (mths) 172 - 303 103 - 293 80 - 272 68 - 246 58 - 228 49 - 204 30 - 165
Expected Final Maturity 3/15/23 5/15/22 8/15/20 6/15/18 12/15/16 12/15/14 9/15/11
Yield @ 99.972% 7.21 7.21 7.20 7.20 7.20 7.19 7.17
CLASS M-1
Avg. Life (yrs) 17.48 12.07 9.79 8.47 7.40 6.27 5.60
Mod Duration (yrs) 9.13 7.31 6.36 5.74 5.21 4.60 4.30
Window (begin-end) (mths) 150 - 302 78 - 286 59 - 258 49 - 234 42 - 217 37 - 190 47 - 155
Expected Final Maturity 2/15/23 10/15/21 6/15/19 6/15/17 1/15/16 10/15/13 11/15/10
Yield @ 99.956% 7.83 7.82 7.82 7.81 7.81 7.80 7.80
CLASS M-2
Avg. Life (yrs) (yrs) 17.48 12.04 9.76 8.44 7.36 6.24 5.10
Mod Duration 9.00 7.23 6.29 5.69 5.16 4.56 3.94
Window (begin-end) (mths) 150 - 301 78 - 278 59 - 242 49 - 225 42 - 205 37 - 178 40 - 145
Expected Final Maturity 1/15/23 2/15/21 2/15/18 9/15/16 1/15/15 10/15/12 1/15/10
Yield @ 99.983% 8.03 8.02 8.02 8.01 8.01 8.00 7.99
- -----------------------------------------------------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
SENSITIVITY ANALYSIS (CONTINUED)
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
TO MATURITY
- -----------------------------------------------------------------------------------------------------------------------------------
% HEP 0.0% 7.0% 11.0% 14.0% 17.0% 21.0% 28.0%
CLASS B
<S> <C> <C> <C> <C> <C> <C> <C>
Avg. Life (yrs) 17.45 11.94 9.68 8.34 7.28 6.16 4.91
Mod Duration (yrs) 8.54 6.92 6.06 5.48 4.98 4.42 3.74
Window (begin-end) (mths) 150 - 297 78 - 257 59 - 226 49 - 205 42 - 182 37 - 161 38 - 128
Expected Final Maturity 9/15/22 5/15/19 10/15/16 1/15/15 2/15/13 5/15/11 8/15/08
Yield @ 99.946% 8.77 8.77 8.76 8.76 8.75 8.75 8.73
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
TO 10% CLEANUP ALL
- ------------------------------------------------------------------------------------------------------------------------------------
% HEP 0.0% 7.0% 11.0% 14.0% 17.0% 21.0% 28.0%
CLASS A-4
<S> <C> <C> <C> <C> <C> <C> <C>
Avg. Life (yrs) 18.24 12.80 10.40 8.93 7.74 6.49 4.15
Mod Duration (yrs) 9.83 8.04 7.01 6.30 5.68 4.97 3.39
Window (begin-end) (mths) 172 - 250 103 - 187 80 - 159 68 - 139 58 - 121 49 - 101 30 - 79
Expected Final Maturity 10/15/18 7/15/13 3/15/11 7/15/09 1/15/08 5/15/06 7/15/04
Yield @ 99.972% 7.21 7.21 7.20 7.20 7.20 7.19 7.17
CLASS M-1
Avg. Life (yrs) 16.97 11.39 9.17 7.85 6.79 5.70 5.15
Mod Duration (yrs) 9.04 7.15 6.18 5.54 4.98 4.36 4.07
Window (begin-end) (mths) 150 - 250 78 - 187 59 - 159 49 - 139 42 - 121 37 - 101 47 - 79
Expected Final Maturity 10/15/18 7/15/13 3/15/11 7/15/09 1/15/08 5/15/06 7/15/04
Yield @ 99.956% 7.83 7.82 7.81 7.81 7.80 7.80 7.79
CLASS M-2
Avg. Life (yrs) 16.97 11.39 9.17 7.85 6.79 5.69 4.67
Mod Duration (yrs) 8.91 7.07 6.12 5.49 4.94 4.32 3.72
Window (begin-end) (mths) 150 - 250 78 - 187 59 - 159 49 - 139 42 - 121 37 - 101 40 - 79
Expected Final Maturity 10/15/18 7/15/13 3/15/11 7/15/09 1/15/08 5/15/06 7/15/04
Yield @ 99.983% 8.03 8.02 8.01 8.01 8.00 8.00 7.99
CLASS B
Avg. Life (yrs) 16.97 11.39 9.17 7.85 6.79 5.69 4.55
Mod Duration (yrs) 8.47 6.80 5.92 5.33 4.81 4.22 3.56
Window (begin-end) (mths) 150 - 250 78 - 187 59 - 159 49 - 139 42 - 121 37 - 101 38 - 79
Expected Final Maturity 10/15/18 7/15/13 3/15/11 7/15/09 1/15/08 5/15/06 7/15/04
Yield @ 99.946% 8.77 8.77 8.76 8.76 8.75 8.74 8.73
- -----------------------------------------------------------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
</TABLE>
<PAGE>
COLLATERAL SUMMARY
<TABLE>
<CAPTION>
Collateral statistics for the Initial Loans are listed below as of the CUT-OFF
DATE.
- ------------------------------------------------------------------------------------------------------------------------------
PRODUCT TYPE
------------------------------------------------------------------------------------------------------------
Secured HLTV Unsecured
TOTAL HLTV HELs HI/FHA Loans HI/FHA Loans
<S> <C> <C> <C> <C>
Total No. of Loans 3,341 1,110 755 1,476
Total Current Balance $57,691,477.67 $33,531,285.73 $16,591,426.38 $7,568,765.56
Avg. Current Balance $17,267.73 $30,208.37 $21,975.40 $5,127.89
Balloon / Level Pay 1.08% / 98.92% 1.74% / 98.26% 0.21% / 99.79% 0.06% / 99.94%
WA Coupon 13.85% 13.91% 13.38% 14.63%
WA Original Term 212 218 243 116
Original Term Ranges
1 - 60 3.85% 0.52% 0.82% 25.23%
61 - 120 12.11% 5.90% 6.12% 52.72%
121 - 180 33.36% 45.16% 18.01% 14.74%
181 - 240 29.29% 31.41% 36.81% 3.44%
241 - 300 18.65% 12.28% 38.25% 3.86%
301 - 360 2.75% 4.73% -- --
WA Remaining Term 210 217 241 113
WA CLTV 114.03% 115.97% 110.10% --
Junior Mortgage Ratio 25.96% 28.27% 21.58% --
Lien Position
1 3.68% 6.25% 0.17% --
2 78.08% 93.75% 82.04% --
3 5.07% -- 17.62% --
4 0.05% -- 0.17% --
Property Type
Single Family Detached 93.72% 94.31% 91.79% --
PUD/Condo/Townhouse 2.55% 3.43% 1.94% --
2 - 4 Family 1.85% 1.09% 4.23% --
Other 1.88% 1.17% 2.05% --
Occupancy Status
Primary Home 99.09% 99.51% 98.06% --
Second Home 0.22% 0.07% 0.41% --
Investment 0.68% 0.42% 1.53% --
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
COLLATERAL SUMMARY (CONTINUED)
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
PRODUCT TYPE
----------------------------------------------------------------------------------------------------
Secured HLTV Unsecured
TOTAL HLTV HELs HI/FHA Loans HI/FHA Loans
<S> <C> <C> <C> <C>
Geographic Distribution *
CA - 16.55% IN - 7.66% CA - 35.31% CA - 19.69%
IL - 6.98% IL - 7.21% NV - 7.59% IL - 7.34%
PA - 5.74% PA - 6.78% IL - 6.35% PA - 6.88%
IN - 5.22% CA - 6.57% NY - 6.01% TX - 5.88%
OH - 5.11%
Product Type
HLTV HELs 58.12% 100.00% - - - -
Secured HLTV HI 21.50% - - 74.77% - -
Unsecured HI 13.10% - - - - 99.82%
Secured HLTV FHA 7.26% - - 25.23% - -
Unsecured FHA 0.02% - - - - 0.18%
Delinquency
Current 99.61% 99.87% 99.65% 98.38%
30 - 59 days 0.39% 0.13% 0.35% 1.62%
WA FICO 655 670 622 664
- ----------------------------------------------------------------------------------------------------------------------------------
* Other states account individually for less than 5% of the principal balance.
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
