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):
March 18, 1998
The Originators listed below under the Sale and Servicing
Agreement, dated as of February 28, 1998, pursuant to which a
portfolio of residential loans have been contributed to The
Money Store Residential Trust 1998-I, which is issuing those
certain Asset-Backed Notes, Series 1998-I, under that certain
Indenture dated as of February 28, 1998.
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 A
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 Kentucky 22-2522232
Corp.
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 1998-I 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: March 18, 1998
<PAGE>
EXHIBIT INDEX
EXHIBIT
99.1 Computational Materials and ABS Term
Sheets of Lehman Brothers Inc.
EXHIBIT 99.1
LEHMAN BROTHERS
DERIVED INFORMATION
$170,000,000 NOTES (APPROXIMATE)
THE MONEY STORE RESIDENTIAL TRUST 1998-I
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 PAYMENT 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:
TO MATURITY:
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
Approx. Estimated Prin. Pmt. Expected Stated Expected
Approx. % of Expected WAL/MDUR Window Final Final Ratings
Notes Size ($) Total Benchmark Price (yrs) (months) Maturity Maturity S&P/Fitch
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-1 (1) $46,319,000 27.25% Curve 99.993% 0.80 / 0.75 20 mths. 11/15/99 3/15/06 AAA/AAA
Class A-2 (1) $16,783,000 9.87% 2 Yr Tsy 99.997% 2.00 / 1.82 10 mths. 8/15/00 3/15/08 AAA/AAA
Class A-3 (1) $24,885,000 14.64% 3 Yr Tsy 99.992% 3.00 / 2.64 16 mths. 11/15/01 2/15/11 AAA/AAA
Class A-4 (1) $19,972,000 11.75% 5 Yr Tsy 99.985% 5.00 / 4.10 45 mths. 7/15/05 8/15/15 AAA/AAA
Class A-5 (1) $15,291,000 8.99% Curve 99.934% 11.33 / 7.29 168 mths. 6/15/19 4/15/30 AAA/AAA
Class M-1 (1) $19,125,000 11.25% Curve 99.990% 8.56 / 5.86 191 mths. 2/15/18 4/15/30 AA/AA
Class M-2 (1) $16,150,000 9.50% Curve 99.956% 8.53 / 5.80 180 mths. 3/15/17 4/15/30 A/A
Class B (1) $11,475,000 6.75% Curve 99.952% 8.43 / 5.58 160 mths. 7/15/15 4/15/30 BBB/BBB
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
TO 10% CALL:
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
Approx. Estimated Prin. Pmt. Expected Stated Expected
Approx. % of Expected WAL/MDUR Window Final Final Ratings
Notes Size ($) Total Benchmark Price (yrs) (months) Maturity Maturity S&P/Fitch
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-5 (1) $15,291,000 8.99% Curve 99.934% 10.09 / 6.86 53 mths. 11/15/09 4/15/30 AAA/AAA
Class M-1 (1) $19,125,000 11.25% Curve 99.990% 7.92 / 5.65 92 mths. 11/15/09 4/15/30 AA/AA
Class M-2 (1) $16,150,000 9.50% Curve 99.956% 7.92 / 5.60 92 mths. 11/15/09 4/15/30 A/A
Class B (1) $11,475,000 6.75% Curve 99.952% 7.92 / 5.42 92 mths. 11/15/09 4/15/30 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 PAYMENT 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>
SENSITIVITY ANALYSIS
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
TO MATURITY
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
% HEP 0.0% 7.0% 11.0% 14.0% 17.0% 21.0% 28.0%
CLASS A-1
Avg. Life (yrs.) 3.03 1.20 0.92 0.80 0.71 0.63 0.54
Mod Duration (yrs) 2.56 1.11 0.86 0.75 0.67 0.60 0.51
Window (begin-end) (mths) 1-82 1-32 1-24 1-20 1-17 1-15 1-12
Expected Final Maturity 1/15/05 11/15/00 3/15/00 11/15/99 8/15/99 6/15/99 3/15/99
Yield @ 99.99337% 6.442 6.317 6.255 6.213 6.175 6.130 6.061
CLASS A-2
Avg. Life (yrs.) 7.83 3.26 2.40 2.00 1.72 1.45 1.15
Mod Duration (yrs) 5.97 2.85 2.15 1.82 1.58 1.35 1.08
Window (begin-end) (mths) 82-106 32-47 24-35 20-29 17-25 15-21 12-17
Expected Final Maturity 1/15/07 2/15/02 2/15/01 8/15/00 4/15/00 12/15/99 8/15/99
Yield @ 99.99701% 6.435 6.390 6.362 6.341 6.320 6.293 6.248
CLASS A-3
Avg. Life (yrs.) 10.39 4.90 3.60 3.00 2.57 2.15 1.67
Mod Duration (yrs) 7.35 4.07 3.11 2.64 2.29 1.94 1.54
Window (begin-end) (mths) 106-144 47-72 35-53 29-44 25-38 21-32 17-25
Expected Final Maturity 3/15/10 3/15/04 8/15/02 11/15/01 5/15/01 11/15/00 4/15/00
Yield @ 99.99225% 6.463 6.437 6.419 6.405 6.391 6.372 6.339
CLASS A-4
Avg. Life (yrs.) 13.93 7.92 5.99 5.00 4.27 3.53 2.35
Mod Duration (yrs) 8.80 5.93 4.76 4.10 3.58 3.04 2.11
Window (begin-end) (mths) 144-209 72-134 53-104 44-88 38-76 32-63 25-33
Expected Final Maturity 8/15/15 5/15/09 11/15/06 7/15/05 7/15/04 6/15/03 12/15/00
Yield @ 99.98461% 6.684 6.671 6.661 6.653 6.645 6.632 6.597
CLASS A-5
Avg. Life (yrs.) 21.01 15.64 12.99 11.33 9.95 8.45 5.59
Mod Duration (yrs) 10.35 8.89 7.96 7.29 6.68 5.96 4.23
Window (begin-end) (mths) 209-327 134-293 104-277 88-255 76-233 63-207 33-166
Expected Final Maturity 6/15/25 8/15/22 4/15/21 6/15/19 8/15/17 6/15/15 1/15/12
Yield @ 99.93446% 7.391 7.387 7.385 7.382 7.379 7.375 7.360
CLASS M-1
Avg. Life (yrs.) 17.98 12.32 9.95 8.56 7.45 6.30 5.62
Mod Duration (yrs) 9.46 7.53 6.52 5.86 5.30 4.67 4.36
Window (begin-end) (mths) 152-304 79-288 59-266 49-239 42-221 38-193 46-156
Expected Final Maturity 7/15/23 3/15/22 5/15/20 2/15/18 8/15/16 4/15/14 3/15/11
Yield @ 99.98973% 7.537 7.530 7.524 7.519 7.514 7.507 7.503
- -----------------------------------------------------------------------------------------------------------------------------------
</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 PAYMENT 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>
SENSITIVITY ANALYSIS (CONTINUED)
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
TO MATURITY
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
% HEP 0.0% 7.0% 11.0% 14.0% 17.0% 21.0% 28.0%
CLASS M-2
Avg. Life (yrs.) 17.98 12.30 9.91 8.53 7.41 6.26 5.10
Mod Duration (yrs) 9.32 7.45 6.45 5.80 5.24 4.62 3.97
Window (begin-end) (mths) 152-298 79-281 59-250 49-228 42-207 37-178 40-144
Expected Final Maturity 1/15/23 8/15/21 1/15/19 3/15/17 6/15/15 1/15/13 3/15/10
Yield @ 99.95649% 7.735 7.729 7.723 7.719 7.714 7.708 7.699
CLASS B
Avg. Life (yrs.) 17.96 12.20 9.82 8.43 7.32 6.18 4.91
Mod Duration (yrs) 8.80 7.10 6.19 5.58 5.05 4.46 3.77
Window (begin-end) (mths) 152-295 79-264 59-230 49-208 42-184 37-161 38-127
Expected Final Maturity 10/15/22 3/15/20 5/15/17 7/15/15 7/15/13 8/15/11 10/15/08
Yield @ 99.95234% 8.537 8.530 8.524 8.519 8.514 8.506 8.495
- ------------------------------------------------------------------------------------------------------------------------------------
TO 10% CLEANUP CALL
- ------------------------------------------------------------------------------------------------------------------------------------
% HEP 0.0% 7.0% 11.0% 14.0% 17.0% 21.0% 28.0%
CLASS A-5
Avg. Life (yrs.) 20.33 14.33 11.69 10.09 8.75 7.37 4.69
Mod Duration (yrs) 10.23 8.56 7.56 6.86 6.22 5.48 3.75
Window (begin-end) (mths) 209-264 134-193 104-160 88-140 76-122 63-103 33-79
Expected Final Maturity 3/15/20 4/15/14 7/15/11 11/15/09 5/15/08 10/15/06 10/15/04
Yield @ 99.93446% 7.391 7.386 7.383 7.380 7.377 7.372 7.354
CLASS M-1
Avg. Life (yrs.) 17.65 11.64 9.28 7.92 6.84 5.75 5.16
Mod Duration (yrs) 9.40 7.37 6.32 5.65 5.06 4.43 4.12
Window (begin-end) (mths) 152-264 79-193 59-160 49-140 42-122 38-103 46-79
Expected Final Maturity 3/15/20 4/15/14 7/15/11 11/15/09 5/15/08 10/15/06 10/15/04
Yield @ 99.98973% 7.537 7.529 7.522 7.517 7.511 7.504 7.499
CLASS M-2
Avg. Life (yrs.) 17.65 11.64 9.28 7.92 6.84 5.74 4.66
Mod Duration (yrs) 9.26 7.29 6.26 5.60 5.02 4.39 3.75
Window (begin-end) (mths) 152-264 79-193 59-160 49-140 42-122 37-103 40-79
Expected Final Maturity 3/15/20 4/15/14 7/15/11 11/15/09 5/15/08 10/15/06 10/15/04
Yield @ 99.95649% 7.735 7.728 7.722 7.717 7.712 7.705 7.695
CLASS B
Avg. Life (yrs.) 17.65 11.64 9.28 7.92 6.84 5.74 4.55
Mod Duration (yrs) 8.76 6.98 6.04 5.42 4.88 4.28 3.59
Window (begin-end) (mths) 152-264 79-193 59-160 49-140 42-122 37-103 38-79
Expected Final Maturity 3/15/20 4/15/14 7/15/11 11/15/09 5/15/08 10/15/06 10/15/04
Yield @ 99.95234% 8.537 8.529 8.523 8.518 8.512 8.504 8.491
- ------------------------------------------------------------------------------------------------------------------------------------
</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 PAYMENT 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
Collateral statistics for the Initial Loans are listed below as of the CUT-OFF
DATE.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
PRODUCT TYPE
------------------------------------------------------------------------------------------------------
Secured HLTV HI/FHA Unsecured
TOTAL HLTV HELs Loans HI/FHA Loans
<S> <C> <C> <C> <C>
Total No. of Loans 6,633 1,805 2,014 2,814
Total Current Balance $125,198,727.56 $59,227,080.89 $52,057,506.38 $13,914,140.29
Avg. Current Balance $18,875 $32,813 $25,848 $4,945
Balloon / Level Pay 0.06% / 99.94% 0.07% / 99.93% 0.06% / 99.94% 0.00% / 100.00%
WA Coupon 14.00% 13.88% 13.89% 14.89%
WA Original Term 217 224 238 108
Original Term Ranges
1 - 60 3.41% 0.50% 0.76% 25.71%
61 - 120 12.15% 6.70% 6.88% 55.06%
121 - 180 31.74% 41.35% 24.47% 18.05%
181 - 240 25.18% 26.16% 30.53% 1.02%
241 - 300 25.75% 21.56% 37.35% 0.16%
301 - 360 1.77% 3.74% -- --
WA Remaining Term 215 222 236 106
WA CLTV 114.51% 116.98% 111.69% --
Junior Mortgage Ratio 27.48% 29.33% 25.45% --
Lien Position
1 1.73% 3.65% -- --
2 81.84% 96.35% 87.20% --
3 5.32% -- 12.80% --
N/A 11.11% -- -- 100.00%
Property Type
Single Family Detached 95.31% 94.27% 95.91% --
PUD/Condo/Townhouse 3.38% 4.69% 2.80% --
2 - 4 Family 0.74% 0.85% 0.82% --
Other 0.56% 0.20% 0.47% --
Occupancy Status
Primary Home 99.80% 99.76% 99.82% --
Second Home 0.04% 0.09% -- --
Investment 0.14% 0.15% 0.18% --
Unknown 0.01% -- -- --
- -----------------------------------------------------------------------------------------------------------------------------------
</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 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 PAYMENT 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 (CONT'D)
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
PRODUCT TYPE
------------------------------------------------------------------------------------------------------
Secured Unsecured
TOTAL HLTV HELs HIL/FHA Loans HIL/FHA Loans
<S> <C> <C> <C> <C>
Geographic Distribution *
CA - 16.86% CA - 8.92% CA - 26.58% CA - 14.26%
NY - 5.97% GA - 6.85% NY - 8.80% PA - 8.11%
IL - 5.28% MO - 6.01% MD - 6.44% NY - 7.81%
PA - 5.95% TX - 5.94%
IL - 5.93% IL - 5.70%
IN - 5.78% OH - 5.54%
Product Type
HLTV HELs 47.30% 100.00% - - - -
Secured HIL 36.45% - - 87.66% - -
Unsecured HIL 11.08% - - - - 99.73%
Secured FHA 5.13% - - 12.34% - -
Unsecured FHA 0.03% - - - - 0.27%
Delinquency
Current 99.02% 98.91% 99.27% 98.56%
30 - 59 days 0.98% 1.09% 0.73% 1.44%
WA FICO 668 678 657 667
FICO Ranges
Unknown 2.57% 0.26% 1.13% 17.85%
**600 7.32% 1.25% 12.27% 14.63%
601 - 620 3.99% 1.81% 5.94% 5.94%
621 - 640 10.92% 10.29% 12.48% 7.77%
641 - 660 17.62% 19.25% 17.96% 9.42%
661 - 680 21.12% 25.10% 19.74% 9.34%
681 - 700 14.99% 17.18% 14.30% 8.22%
701 - 720 9.88% 11.82% 8.16% 8.08%
721+ 11.59% 13.03% 8.03% 18.75%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Other states account individually for less than 5% of the principal balance.
** Less than or equal to.
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 PAYMENT 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).
