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 26, 1998
BEAR STEARNS MORTGAGE SECURITIES INC.
-------------------------------------
(Exact name of registrant as specified in charter)
Bear Stearns Mortgage Securities Inc. (as Seller
under a Pooling Agreement dated as of
March 1, 1998 providing for the
issuance of Bear Stearns
Mortgage Securities Inc.
Pass-Through Certificates, Series 1998-2)
Delaware 333-13617 13-3633241
-------- --------- ----------
(State or other (Commission (IRS Employer
jurisdiction of File Number) Identification No.)
incorporation)
245 Park Avenue, New York, New York 10167
-----------------------------------------------------
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code (212) 272-2000
Not Applicable
--------------------------------------------------------------
(Former name or former address, if changed since last report.)
-2-
<PAGE>
Item 5. Other Events.
Filing of Computational Materials.
This Current Report on Form 8-K is being filed to file a copy of the
Computational Materials (as defined below) of Bear, Stearns & Co. Inc. (an
"Underwriter") in connection with the issuance of the Bear Stearns Mortgage
Securities Inc. Pass-Through Certificates, Series 1998-2. The term
"Computational Materials" 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.
-2-
<PAGE>
Item 7. Financial Statements, Pro Forma Financial Information and Exhibits.
(c) Exhibits:
Exhibit No.
99.1 Computational Materials of Bear, Stearns & Co. Inc.
-2-
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
BEAR STEARNS MORTGAGE SECURITIES INC.
(Registrant)
Date: March 26, 1998 By: /s/ Joseph T. Jurkowski, Jr.
------------------------------
Name: Joseph T. Jurkowski, Jr.
Title: Vice President
-2-
<PAGE>
EXHIBIT INDEX
Exhibit Number Description
- -------------- -----------
99.1 Computational Materials of Bear, Stearns & Co. Inc.
EXHIBIT 99.1
<PAGE>
$499,453,283*
(*approximate)
BEAR STEARNS MORTGAGE SECURITIES INC.
Pass-Through Certificates, Series 1998-2
- --------------------------------------------------------------------------------
LAUNCH: Tuesday, March 3rd PRICE: Wednesday, March 11th
INVESTOR CALL: Friday, March 6th (1pm EST) - details to follow
Depositor: Bear Stearns Mortgage Securities Inc. ("BSMSI")
Sellers: SunAmerica Life Insurance Company, SunAmerica Inc. and
certain of its direct and indirect subsidiaries
Trustee: The Bank of New York
Rating Agency: Moody's Investors Service, Inc.
Cut-Off Date: February 1, 1998 with respect to the Underlying Mortgage
Loans (the "Mortgage Loan Information Date") and as of
the February 1998 Pooled Security Distribution Dates
(the "Pooled Security Information Date")
Settlement Date: March 27, 1998, through DTC
Distribution Date: Fifth Business Day after the 25th day of the month or
next succeeding Business Day, beginning April 1, 1998
Legal Structure: REMIC
ERISA Eligibility: The Certificates are not ERISA eligible
SMMEA Eligibility: The Certificates are not SMMEA eligible Risk Factors:
See summary of Risk Factors attached hereto
Summary of Certificates:
<TABLE>
<CAPTION>
====================================================================================================================================
Certificate % of Moody's Certificate
Class Size (+/- 10%) Transaction Rating Rate Spread WAL
====================================================================================================================================
<S> <C> <C> <C> <C> <C> <C>
A $206,127,673 39.95% Aaa (1) 115 bps area / curve 7.90 years
- ------------------------------------------------------------------------------------------------------------------------------------
B $61,399,732 11.90% Aa2 (1) 120 bps area / curve 7.90 years
- ------------------------------------------------------------------------------------------------------------------------------------
C $45,920,808 8.90% Aa3 (1) 125 bps area / curve 7.90 years
- ------------------------------------------------------------------------------------------------------------------------------------
D $74,556,818 14.45% A2 (1) Not Offered Not Offered
- ------------------------------------------------------------------------------------------------------------------------------------
E $43,083,005 8.35% A3 (1) Not Offered Not Offered
- ------------------------------------------------------------------------------------------------------------------------------------
F $53,402,288 10.35% Baa2 (1) Not Offered Not Offered
- ------------------------------------------------------------------------------------------------------------------------------------
G $14,962,959 2.90% Baa3 (1) Not Offered Not Offered
- ------------------------------------------------------------------------------------------------------------------------------------
H $16,510,853 3.20% Ba2 (1) Not Publicly Offered Not Publicly Offered
- ------------------------------------------------------------------------------------------------------------------------------------
X Notional --- Aaa (2) Not Offered Not Offered
- ------------------------------------------------------------------------------------------------------------------------------------
R-1 $100 --- Aaa (1)
- ------------------------------------------------------------------------------------------------------------------------------------
R-2 $100 --- Aaa (1) Not Offered Not Offered
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) The lesser of 6.75% or the weighted average of the Pooled Security
Interest Rates subject to available funds as described herein.
(2) The excess of interest received over that due to other Classes of
Certificates.
Note: It is anticipated that the Sellers will initially retain all of the
"Not Offered" Certificates.
Bear, Stearns & Co. Inc. Whole Loan Desk (212) 272-5451 March 3, 1998
- --------------------------------------------------------------------------------
This Information should be considered only after reading Bear Stearns' Statement
Regarding Assumptions as to Securities, Pricing Estimates, and Other Information
("the Statement"), which should be attached. Do not use or rely on this
Information if you have not received and reviewed the Statement. You may obtain
a copy of the Statement from your sales representative.
2
<PAGE>
$499,453,283*
(*approximate)
BEAR STEARNS MORTGAGE SECURITIES INC.
Pass-Through Certificates, Series 1998-2
- --------------------------------------------------------------------------------
Pooled Securities: The Certificates will be backed by a pool of 96 classes
of mortgage-backed securities with an aggregate Pooled
Security Principal Balance of approximately $515,964,138
as of the Pooled Security Information Date. The Pooled
Securities evidence interests in 83 trusts (the
"Underlying Trusts"), the assets of which consist
primarily of (i) conventional, fixed rate, first lien
mortgage loans secured by one- to four- family
residences or cooperative loans secured by shares in
cooperative corporations (the "Mortgage Loans" or
sometimes referred to as "Underlying Mortgage Loans") or
(ii) mortgage certificates representing interests in a
total of 48 underlying trusts, the assets of which
consist primarily of Mortgage Loans.
The Pooled Securities represent varying percentages of
the aggregate Pooled Security Principal Balance of all
Pooled Securities backing payment on the Certificates.
Moreover, the Pooled Securities represent varying
interests in the Underlying Mortgage Loans in the
related Underlying Trusts. A Pooled Security
representing a relatively small percentage of all Pooled
Securities may be backed by a disproportionately large
amount of Underlying Mortgage Loans; and conversely a
Pooled Security representing a relatively large
percentage of Pooled Securities may be backed by a
disproportionately small amount of Underlying Mortgage
Loans. Accordingly any aggregated statistical
information provided herein should be read in
conjunction with Schedule A attached hereto keeping in
mind the relative size of each Pooled Security as
compared to the relative size of the Underlying Mortgage
Loans.
Collateral Profile* (as of the Mortgage Loan or Pooled Security Information
Date):
# of Underlying Mtg Loans: 116,742 loans GWAC: 7.756%
Underlying Mtg Loan Balance: $27,554,398,290 WAM: 307 months
Average Balance: $236,028 Age: 42 months
Amortization Type: 100% Fixed Rate % Cal: 51%
Wtd Avg Pooled Security Interest Rates: 7.262% (based upon Pooled Security
Principal Balance)
Wtd Avg Credit Enhancement: 2.56% (based on Underlying Mortgage
Loan Balance)
<TABLE>
<CAPTION>
Percentage of Portfolio Percentage of Portfolio Percentage of Portfolio
by Underlying Servicer** By Latest Rating** by Issue Year**
=============================== =================================== =========================
<S> <C> <C> <C> <C> <C>
Countrywide 11.9% "A" or "A2" 41.0% <1993 5.8%
- ------------------------------- ----------------------------------- -------------------------
Citibank 18.3% "BBB" or "Baa2" 38.3% 1993 28.3%
- ------------------------------- ----------------------------------- -------------------------
GE Mortgage 10.4% "BBB-" or "Baa3" 20.7% 1994 36.9%
- ------------------------------- ----------------------------------- -------------------------
RFC 15.7% 1995 4.4%
- ------------------------------- ----------------------------------- -------------------------
Prudential/Norwest 29.4% 1996 13.8%
- ------------------------------- ----------------------------------- -------------------------
Others, < 5% 14.3% 1997 10.8%
=============================== =================================== =========================
</TABLE>
* All numbers are approximate
** Percentages are approximate and based upon Pooled Security Principal
Balance
Bear, Stearns & Co. Inc. Whole Loan Desk (212) 272-5451 March 3, 1998
- --------------------------------------------------------------------------------
This Information should be considered only after reading Bear Stearns' Statement
Regarding Assumptions as to Securities, Pricing Estimates, and Other Information
("the Statement"), which should be attached. Do not use or rely on this
Information if you have not received and reviewed the Statement. You may obtain
a copy of the Statement from your sales representative.
3
<PAGE>
$499,453,283*
(*approximate)
BEAR STEARNS MORTGAGE SECURITIES INC.
Pass-Through Certificates, Series 1998-2
- --------------------------------------------------------------------------------
Credit Enhancement: Credit enhancement with respect to the Certificates will
be provided by the subordination of the Certificates.
Losses will be applied to the most junior Class of
Certificates outstanding (in reverse alphabetical order)
beginning with the Class H Certificates ("Ba2"), until
the Certificate Principal Balance of each such Class has
been reduced to zero. Credit enhancement is initially
provided by the existence of securities (or other credit
support) subordinate to the Pooled Securities in their
related Underlying Series (such underlying credit
enhancement equals approximately 2.56% based on the
aggregate Underlying Mortgage Loan Balance as of the
Underlying Mortgage Loan Information Date).
Additionally, there will be approximately 60.05% (based
upon the aggregate Pooled Security Principal Balance)
credit enhancement to the "Aaa" level provided by the
subordination of the Certificates.
Attached as Schedule B is an illustration of the credit
enhancement structure and a schematic flow of Underlying
Mortgage Loans through to the Pooled Securities.
Cashflow Summary: Payments to the Certificates will be made to the extent
of available funds according to the following priority:
1. Payment of interest on the Certificates pro-rata
at their respective Certificate Rates. The
Certificate Rate for each Class of Certificates
(other than the Class X) is a variable per annum
interest rate equal to the lesser of (x) 6.75% and
(y) the weighted average of the Pooled Security
Interest Rates, but in no event greater than (z)
available interest received on the Pooled
Securities expressed as a rate on the
Certificates.
2. Payment of scheduled principal and prepayments
will be allocated to the Certificates pro-rata
based on their respective outstanding Certificate
Principal Balance. Notwithstanding the foregoing,
holders of the most senior Class of Certificates
outstanding (in alphabetical order) are entitled
to receive on each Distribution Date additional
principal in an amount equal to the sum of the
Realized Losses, if any, allocated to all Pooled
Securities. On such Distribution Date additional
principal is paid from the principal otherwise
distributable to the holders of other Classes of
Certificates (in reverse alphabetical order). If
on any Distribution Date such principal is not
available, it will be paid on subsequent
Distribution Dates prior to payment of principal
to any Class with a later alphabetical
designation.
Bear, Stearns & Co. Inc. Whole Loan Desk (212) 272-5451 March 3, 1998
- --------------------------------------------------------------------------------
This Information should be considered only after reading Bear Stearns' Statement
Regarding Assumptions as to Securities, Pricing Estimates, and Other Information
("the Statement"), which should be attached. Do not use or rely on this
Information if you have not received and reviewed the Statement. You may obtain
a copy of the Statement from your sales representative.
4
<PAGE>
$499,453,283*
(*approximate)
BEAR STEARNS MORTGAGE SECURITIES INC.
Pass-Through Certificates, Series 1998-2
- --------------------------------------------------------------------------------
Collateral Schedule: The attached Schedule A sets forth information for each
of the Pooled Securities and the related Underlying
Mortgage Loans. This schedule is subject to and
qualified by reference to the provisions of the
Underlying Agreements and the related prospectus
supplements or private placement memoranda related to
the Pooled Securities or the related Senior Securities,
as well as any subsequent information related thereto
filed on a Current Report on Form 8-K with the
Securities and Exchange Commission following the
issuance of the related Pooled Securities. The
information set forth in this table and elsewhere herein
that is particularly within the knowledge of the various
Underlying Trustees, paying agents and Underlying
Servicers for the Underlying Trusts has been derived
from data requested from and provided by them, including
regular periodic reports provided to holders of Pooled
Securities, loan-by-loan information provided in tape
form from the related master servicers or underlying
issuers and information from outside sources such as
Bloomberg L.P. and Mortgage Information Corp, but such
information has not been independently verified by the
Depositor or the Underwriter. With respect to
approximately 4% of the aggregate outstanding principal
balance of the Underlying Mortgage Loans, loan-by-loan
information was not available for purposes of presenting
the information in this table. Neither the Depositor nor
the Underwriter, nor any of their respective affiliates,
makes any representation that such information is
accurate or complete.
All of the information provided on Schedule A as to the
Pooled Securities is provided as of the Pooled Security
Information Date and all information as to the
Underlying Mortgage Loans is provided as of the Mortgage
Loan Information Date. Unless otherwise noted, "weighted
average" numbers relating to the Underlying Mortgage
Loans are calculated based on the aggregate outstanding
principal balance (or with respect to REO properties in
certain Underlying Trusts, the aggregate book value) as
of the Mortgage Loan Information Date.
Bear, Stearns & Co. Inc. Whole Loan Desk (212) 272-5451 March 3, 1998
- --------------------------------------------------------------------------------
This Information should be considered only after reading Bear Stearns' Statement
Regarding Assumptions as to Securities, Pricing Estimates, and Other Information
("the Statement"), which should be attached. Do not use or rely on this
Information if you have not received and reviewed the Statement. You may obtain
a copy of the Statement from your sales representative.
5
<PAGE>
$499,453,283*
(*approximate)
BEAR STEARNS MORTGAGE SECURITIES INC.
Pass-Through Certificates, Series 1998-2
- --------------------------------------------------------------------------------
RISK FACTORS
Reference is made to the "Risk Factors" section of the Prospectus Supplement for
an expanded discussion of Risk Factors.
THE CERTIFICATES
Credit Risk from Subordination of the Pooled Securities to the Senior
Securities. The sole source of payments for the Certificates are 96
mortgage-backed securities (the "Pooled Securities") which are subordinated to
other classes of securities in the related Underlying Series. Payments of
principal and interest on the Underlying Mortgage Loans will be available to
make distributions on the related Pooled Securities on any Pooled Security
Distribution Date (and hence interest and principal payments on the
Certificates) only after certain required distributions of principal and
interest have been made on the related Senior and in certain cases Mezzanine
Securities and, with respect to prepayments, generally subject to certain Lock
Out Periods and satisfaction of certain delinquency and other tests with respect
to the Underlying Mortgage Loans) on such Pooled Security Distribution Date. All
Realized Losses on the Underlying Mortgage Loans, to the extent not covered by
the related Pooled Security Credit Support, if any will be allocated to the
Pooled Securities prior to being allocated to the related Senior Securities and
will adversely affect the yield on the Certificates.
Interest Rate Based on Interest Received. The interest rate allocable to each
class of Certificates is limited to the amount of interest received on the
Pooled Securities, therefore disproportionate payments on or allocations of
Realized Losses to Pooled Securities with higher Pooled Security Interest Rates
may adversely affect the yields on the Certificates.
Subordination of Certificates. On each Distribution Date, each Class of
Certificates is generally entitled to receive their applicable pro-rata
percentage of principal collections on the Pooled Securities. Notwithstanding
the foregoing, holders of the most senior Class of Certificates outstanding (in
alphabetical order) are entitled to receive additional principal in an amount
equal to the sum of Realized Losses, if any, allocated to the Pooled Securities.
Such additional principal is paid from principal otherwise distributable to the
holders of other Classes of Certificates (in reverse alphabetical order). To the
extent of funds available therefor, such other Classes of Certificates will
receive such allocated but unpaid principal on future Distribution Dates.
Uncertain Timing of Payments on the Certificates. The interest and principal
distributions on each Class of Certificates will be affected by (i) the rate and
time at which principal and interest on the Underlying Mortgage Loans is paid,
(ii) the allocation of interest and principal payments and Realized Losses on
the Underlying Mortgage Loans among the various classes of securities of the
related Underlying Series and (iii) early termination of the Underlying Trusts
and the Trust.
Payment Delay. Only funds actually received by the Trustee, as the registered
holder of the Pooled Securities, together with the related Pooled Security
Distribution Date Statement by a specified time prior to a Distribution Date
will be passed through to the Certificateholders on such Distribution Date.
Delays in receipt may affect yield. A delay in the receipt by the Trustee of
distributions may occur, for example, with respect to those Pooled Securities
that receive distributions by check rather than by wire transfer of immediately
available funds or which are book-entry securities. A Supplemental Distribution
Date may occur five Business Days after each Distribution Date.
Concentrations of Underlying Servicers and Underlying Trustees. The Underlying
Mortgage Loans are serviced or master serviced by a number of different
Underlying Servicers and the Pooled Securities have a number of different
Underlying Trustees. Those Underlying Servicers with respect to more than 10% of
the Underlying Mortgage Loans are Countrywide, Citibank, GE Mortgage, RFC and
Prudential/Norwest.
Bear, Stearns & Co. Inc. Whole Loan Desk (212) 272-5451 March 3, 1998
- --------------------------------------------------------------------------------
This Information should be considered only after reading Bear Stearns' Statement
Regarding Assumptions as to Securities, Pricing Estimates, and Other Information
("the Statement"), which should be attached. Do not use or rely on this
Information if you have not received and reviewed the Statement. You may obtain
a copy of the Statement from your sales representative.
6
<PAGE>
$499,453,283*
(*approximate)
BEAR STEARNS MORTGAGE SECURITIES INC.
Pass-Through Certificates, Series 1998-2
- --------------------------------------------------------------------------------
RISK FACTORS - CONT'D
Limited Obligations. The Certificates do not evidence an obligation of or an
interest in the Trustee, the Depositor, the Underwriter, SunAmerica or any of
their respective affiliates.
Rating. The ratings assigned to the Certificates by Moody's take into account
the likelihood of timely payment of principal and interest on the Pooled
Securities held in the Trust. Downgrade to the rating assigned to one or more of
the Pooled Securities may result in a downgrade or withdrawal of the ratings
assigned to the Certificates.
Legal Investment Considerations; Certificates are not SMMEA Securities. The
Certificates are not SMMEA eligible. No representations or warranties are made
concerning whether the Certificates are legal investments under any federal or
state law, regulation, rule, or order of any court.
Lack of Liquidity. There is currently no secondary market for any Class of
Certificates, and there can be no assurance that one will develop.
Certain Insolvency Risks. If the transfer of Pooled Securities from the Sellers
to the Depositor and from the Depositor to the Trust were treated as a pledge
rather than a sale, a delay or reduction in payments to Certificateholders could
result.
Suitability. The yield to maturity and the aggregate amount and timing of
distributions of the Certificates are subject to material variability from
period to period over the life of the Certificates. An investment in the
Certificates involves substantial risks and uncertainties and should only be
considered by sophisticated investors with substantial investment experience
with similar types of securities.
THE UNDERLYING MORTGAGE LOANS Mortgage Loan Delinquencies and Losses.
Substantially all of the Underlying Trusts include Underlying Mortgage Loans
that are delinquent or have experienced Realized Losses, and a significant
number have REO Properties relating to defaulted Underlying Mortgage Loans.
Underwriting Standards and Potential Delinquencies. Although some of the
Underlying Mortgage Loans were originated pursuant to underwriting standards
that generally conform to the underwriting guidelines of FNMA and FHLMC, others
were underwritten in accordance with "non-conforming" underwriting standards.
Concentration of Underlying Mortgage Loans in Certain States. Approximately 51%
of the Underlying Mortgage Loans are secured by properties located in
California. As a consequence, the loss experience of the Underlying Mortgage
Loans will be more sensitive to downturns in the California economy and to local
California natural disasters.
Deficiency on Liquidated Mortgage Loans. The market value of the Underlying
Mortgage Loans included in any Underlying Trust generally will fluctuate with
changes in prevailing rates of interest, among other factors and may result in
liquidation proceeds less than aggregate outstanding principal and accrued
interest.
Bear, Stearns & Co. Inc. Whole Loan Desk (212) 272-5451 March 3, 1998
- --------------------------------------------------------------------------------
This Information should be considered only after reading Bear Stearns' Statement
Regarding Assumptions as to Securities, Pricing Estimates, and Other Information
("the Statement"), which should be attached. Do not use or rely on this
Information if you have not received and reviewed the Statement. You may obtain
a copy of the Statement from your sales representative.
7
<PAGE>
STATEMENT REGARDING ASSUMPTIONS
AS TO SECURITIES, PRICING ESTIMATES AND OTHER INFORMATION
The information contained in the attached materials (the "Information") may
include various forms of performance analysis, security characteristics and
securities pricing estimates for the securities addressed. Please read and
understand this entire statement before utilizing the Information. The
Information is provided solely by Bear Stearns, not as agent for any issuer, and
although it may be based on data supplied to it by the issuer, the issuer has
not participated in its preparation and makes no representations regarding its
accuracy or completeness. Should you receive Information that refers to the
"Statement Regarding Assumptions and Other Information", please refer to this
statement instead.
The Information is illustrative and is not intended to predict actual results
which may differ substantially from those reflected in the Information.
Performance analysis is based on certain assumptions with respect to significant
factors that may prove not to be assumed. You should understand the assumptions
and evaluate whether they are appropriate for your purposes. Performance results
are based on mathematical models that use inputs to calculate results. As with
all models, results may vary significantly depending upon the value of the
inputs given. Inputs to these models include but are limited to: prepayment
expectations (econometric prepayment models, single expected lifetime
prepayments or a vector of periodic prepayments), interest rate assumptions
(parallel and nonparallel changes for different maturity instruments),
collateral assumptions (actual pool level data, aggregated pool level data,
reported factors or imputed factors), volatility assumptions (historically
observed or implied current) and reported information (paydown factors, rate
resets and trustee statements). Models used in any analysis may be proprietary
making the results difficult for any third party to reproduce. Contact your
registered representative for detailed explanations of any modeling techniques
employed in the Information.
The Information addresses only certain aspects of the applicable security's
characteristics and thus does not provide a complete assessment. As such, the
Information may not reflect the impact of all structural characteristics of the
security, including call events and cash flow priorities at all prepayment
speeds and/or interest rates. You should consider whether the behavior of these
securities should be tested at assumptions different from those included in the
Information. The assumptions underlying the Information, including structure and
collateral, may be modified from time to time to reflect changed circumstances.
Any investment decision should be based only on the data in the prospectus and
the prospectus supplement or private placement memorandum (Offering Documents)
and the then current version of the Information. Offering Documents contain data
that is current as of their publication dates and after publication may no
longer be complete or current. Contact your registered representative for
Offering Documents, current Information or additional materials, including other
models or performance analysis, which are likely to produce different results,
and any other further explanation regarding the Information.
Any pricing estimates Bear Stearns has supplied at your request (a) represent
our view, at the time determined, of the investment value of the securities
between the estimated bid and offer levels, the spread between which may be
significant due to market volatility or liquidity, (b) do not constitute a bid
by any person for any security, (c) may not constitute prices at which the
securities could have been purchased or sold in any market, (d) have not been
confirmed by actual trades, may vary from the value Bear Stearns assigns any
such security while in its inventory, and may not take into account the size of
a position you have in the security, and (e) may have been derived from matrix
pricing that uses data relating to other securities whose prices are more
readily ascertainable to produce a hypothetical price based on the estimated
yield spread relationship between the securities.
General Information: The data underlying the Information has been obtained from
sources that we believe are reliable, but we do not guarantee the accuracy of
the underlying data or computations based thereon. Bear Stearns and/or
individuals thereof may have positions in these securities while the Information
is circulating or during such period may engage in transactions with the issuer
or its affiliates. We act as principal in transactions with you, and
accordingly, you must determine the appropriateness for you of such transactions
and address any legal, tax or accounting considerations applicable to you. Bear
Stearns shall not be a fiduciary or advisor unless we have agreed in writing to
receive compensation specifically to act in such capacities. If you are subject
to ERISA, the Information is being furnished on the condition that it will not
form a primary basis for any investment decision. The Information is not a
solicitation of any transaction in securities which may be made only by
prospectus when required by law, in which event you may obtain such prospectus
from Bear Stearns.
8
<PAGE>
Bear Stearns & Co. March 23, 1998
norquist 04:25PM EST
BSMSI-9802 Page 1 of 1
BSMSI- 9802 Class A (A ) Aaa Rated Class
Orig Bal 206,127,524 Fac 1.00000 Coup 6.750 Mat 01/30/28
Wac- 7.497(7.800) WAM-11/2023(308)
use NO hist. factor when amort start is set
Price/Yield View Hist Coupons
Settle Date 27-Mar-1998 Curve Date 12-Mar-1998 Tranche:A (A )
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
100% PSA 150% PSA 200% PSA 250% PSA 300% PSA 400% PSA 500% PSA prepay
losses
Price 5.6875% 5.6875% 5.6875% 5.6875% 5.6875% 5.6875% 5.6875% 1M_LIB
11.6 10.0 8.8 7.9 7.2 6.2 5.5 Avg. Life
03/98 03/98 03/98 03/98 03/98 03/98 03/98 1st Prin
01/28 01/28 12/27 12/27 12/27 12/27 12/27 Last Prin
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
98:24 6.9 7.0 7.0 7.0 7.0 7.0 7.0 Yield
7.1 6.4 5.9 5.5 5.1 4.6 4.2 Duration
- ------------------------------------------------------------------------------------------
99:0 6.9 6.9 6.9 6.9 6.9 6.9 7.0 Yield
7.1 6.4 5.9 5.5 5.1 4.6 4.2 Duration
- ------------------------------------------------------------------------------------------
99:8 6.9 6.9 6.9 6.9 6.9 6.9 6.9 Yield
7.1 6.4 5.9 5.5 5.1 4.6 4.2 Duration
- ------------------------------------------------------------------------------------------
99:16 6.8 6.8 6.8 6.8 6.8 6.8 6.8 Yield
7.1 6.4 5.9 5.5 5.1 4.6 4.2 Duration
- ------------------------------------------------------------------------------------------
99:24 6.8 6.8 6.8 6.8 6.8 6.8 6.8 Yield
7.1 6.5 5.9 5.5 5.1 4.6 4.2 Duration
- ------------------------------------------------------------------------------------------
100:0 6.8 6.8 6.8 6.7 6.7 6.7 6.7 Yield
7.2 6.5 5.9 5.5 5.2 4.6 4.2 Duration
- ------------------------------------------------------------------------------------------
100:8 6.7 6.7 6.7 6.7 6.7 6.7 6.7 Yield
7.2 6.5 5.9 5.5 5.2 4.6 4.2 Duration
- ------------------------------------------------------------------------------------------
100:16 6.7 6.7 6.7 6.7 6.6 6.6 6.6 Yield
7.2 6.5 6.0 5.5 5.2 4.6 4.2 Duration
- ------------------------------------------------------------------------------------------
100:24 6.7 6.6 6.6 6.6 6.6 6.6 6.5 Yield
7.2 6.5 6.0 5.5 5.2 4.6 4.2 Duration
- ------------------------------------------------------------------------------------------
</TABLE>
This information should be considered only after reading Bear Stearns' Statement
Regarding Assumptions as to Securities, Pricing Estimates, and Other Information
("the Statement"), which should be attached. Do not use or rely on this
information if you have not received and reviewed the Statement. You may obtain
a copy of the Statement from your sales representative.
<PAGE>
Bear Stearns & Co. March 23, 1998
norquist 04:25PM EST
BSMSI-9802 Page 1 of 1
BSMSI- 9802 Class B (B ) Aa2 Rated Class
Orig Bal 61,399,747 Fac 1.00000 Coup 6.750 Mat 01/30/28
Wac- 7.497(7.800) WAM-11/2023(308)
use NO hist. factor when amort start is set
Price/Yield View Hist Coupons
Settle Date 27-Mar-1998 Curve Date 12-Mar-1998 Tranche:B (B )
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
100% PSA 150% PSA 200% PSA 250% PSA 300% PSA 400% PSA 500% PSA prepay
losses
Price 5.6875% 5.6875% 5.6875% 5.6875% 5.6875% 5.6875% 5.6875% 1M_LIB
11.6 10.0 8.8 7.9 7.2 6.2 5.5 Avg. Life
03/98 03/98 03/98 03/98 03/98 03/98 03/98 1st Prin
01/28 01/28 12/27 12/27 12/27 12/27 12/27 Last Prin
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
98:16 7.0 7.0 7.0 7.0 7.0 7.0 7.0 Yield
7.1 6.4 5.9 5.5 5.1 4.6 4.2 Duration
- ------------------------------------------------------------------------------------------
98:24 6.9 7.0 7.0 7.0 7.0 7.0 7.0 Yield
7.1 6.4 5.9 5.5 5.1 4.6 4.2 Duration
- ------------------------------------------------------------------------------------------
99:0 6.9 6.9 6.9 6.9 6.9 6.9 7.0 Yield
7.1 6.4 5.9 5.5 5.1 4.6 4.2 Duration
- ------------------------------------------------------------------------------------------
99:8 6.9 6.9 6.9 6.9 6.9 6.9 6.9 Yield
7.1 6.4 5.9 5.5 5.1 4.6 4.2 Duration
- ------------------------------------------------------------------------------------------
99:16 6.8 6.8 6.8 6.8 6.8 6.8 6.8 Yield
7.1 6.4 5.9 5.5 5.1 4.6 4.2 Duration
- ------------------------------------------------------------------------------------------
99:24 6.8 6.8 6.8 6.7 6.8 6.8 6.8 Yield
7.2 6.5 5.9 5.5 5.1 4.6 4.2 Duration
- ------------------------------------------------------------------------------------------
100:0 6.8 6.8 6.8 6.7 6.7 6.7 6.7 Yield
7.2 6.5 5.9 5.5 5.2 4.6 4.2 Duration
- ------------------------------------------------------------------------------------------
100:8 6.7 6.7 6.7 6.7 6.7 6.7 6.7 Yield
7.2 6.5 5.9 5.5 5.2 4.6 4.2 Duration
- ------------------------------------------------------------------------------------------
100:16 6.7 6.7 6.7 6.7 6.6 6.6 6.6 Yield
7.2 6.5 6.0 5.5 5.2 4.6 4.2 Duration
- ------------------------------------------------------------------------------------------
</TABLE>
This information should be considered only after reading Bear Stearns' Statement
Regarding Assumptions as to Securities, Pricing Estimates, and Other Information
("the Statement"), which should be attached. Do not use or rely on this
information if you have not received and reviewed the Statement. You may obtain
a copy of the Statement from your sales representative.
<PAGE>
Bear Stearns & Co. March 23, 1998
norquist 04:25PM EST
BSMSI-9802 Page 1 of 1
BSMSI- 9802 Class C (C ) Aa3 Rated Class
Orig Bal 45,920,819 Fac 1.00000 Coup 6.750 Mat 01/30/28
Wac- 7.497(7.800) WAM-11/2023(308)
use NO hist. factor when amort start is set
Price/Yield View Hist Coupons
Settle Date 27-Mar-1998 Curve Date 12-Mar-1998 Tranche:C (C )
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------
100% PSA 150% PSA 200% PSA 250% PSA 300% PSA 400% PSA 500% PSA prepay
losses
Price 5.6875% 5.6875% 5.6875% 5.6875% 5.6875% 5.6875% 5.6875% 1M_LIB
11.6 10.0 8.8 7.9 7.2 6.2 5.5 Avg. Life
03/98 03/98 03/98 03/98 03/98 03/98 03/98 1st Prin
01/28 01/28 12/27 12/27 12/27 12/27 12/27 Last Prin
- ------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
98:8 7.0 7.0 7.1 7.1 7.1 7.1 7.1 Yield
7.1 6.4 5.9 5.4 5.1 4.6 4.2 Duration
- ------------------------------------------------------------------------------------------
98:16 7.0 7.0 7.0 7.0 7.0 7.1 7.1 Yield
7.1 6.4 5.9 5.5 5.1 4.6 4.2 Duration
- ------------------------------------------------------------------------------------------
98:24 6.9 7.0 7.0 7.0 7.0 7.0 7.0 Yield
7.1 6.4 5.9 5.5 5.1 4.6 4.2 Duration
- ------------------------------------------------------------------------------------------
99:0 6.9 6.9 6.9 6.9 6.9 6.9 7.0 Yield
7.1 6.4 5.9 5.5 5.1 4.6 4.2 Duration
- ------------------------------------------------------------------------------------------
99:8 6.9 6.9 6.9 6.9 6.9 6.9 6.9 Yield
7.1 6.4 5.9 5.5 5.1 4.6 4.2 Duration
- ------------------------------------------------------------------------------------------
99:16 6.8 6.8 6.8 6.8 6.8 6.8 6.8 Yield
7.1 6.4 5.9 5.5 5.1 4.6 4.2 Duration
- ------------------------------------------------------------------------------------------
99:24 6.8 6.8 6.8 6.8 6.8 6.8 6.8 Yield
7.1 6.5 5.9 5.5 5.1 4.6 4.2 Duration
- ------------------------------------------------------------------------------------------
100:0 6.8 6.8 6.8 6.7 6.7 6.7 6.7 Yield
7.2 6.5 5.9 5.5 5.2 4.6 4.2 Duration
- ------------------------------------------------------------------------------------------
100:8 6.7 6.7 6.7 6.7 6.7 6.7 6.7 Yield
7.2 6.5 5.9 5.5 5.2 4.6 4.2 Duration
- ------------------------------------------------------------------------------------------
</TABLE>
This information should be considered only after reading Bear Stearns' Statement
Regarding Assumptions as to Securities, Pricing Estimates, and Other Information
("the Statement"), which should be attached. Do not use or rely on this
information if you have not received and reviewed the Statement. You may obtain
a copy of the Statement from your sales representative.
<PAGE>
SCHEDULE A
BSMSI-9802 POOLED SECURITY / UNDERLYING MORTGAGE LOAN INFORMATION
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Re- Issue Rating/ Pay Coupon Original Current Collateral
Shelf Series Des Remic Date Agency Date Type Coupon Balance Balance Balance
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
AMERT 9303 3-B Yes 1993/07 BBB- / FT 27th WAC 8.213 19,131,145 17,169,145.49 257,629,309.62
BSMSI 9308 M No 1993/08 Baa3 / MD 25th FIX 7.500 19,978,507 18,976,086.54 241,287,849.23
CAPPTC 94C B-1 No 1994/02 A / FT 25th FIX 6.750 6,070,000 5,742,237.55 244,407,365.26
CFC 9301 B-1 No 1993/09 Baa2 / MD 25th FIX 7.125 20,000,194 18,976,449.94 279,719,873.85
CFC 9401 B-1 No 1994/01 BBB / FT 25th FIX 6.875 9,003,885 8,570,478.30 323,394,429.13
CFC 9409 B-2 No 1994/03 BBB / FT 25th FIX 6.500 3,373,659 3,221,688.52 369,901,330.14
CFC 9418 B-3 No 1994/07 BBB / FT 25th FIX 8.000 1,750,000 1,696,474.36 86,631,785.57
CFC 9602 B-2 No 1996/07 A / FT 25th FIX 7.750 2,847,000 2,808,563.12 122,533,413.44
CFC 9705 B-3 No 1997/07 Baa2 / MD 25th FIX 7.500 2,100,068 2,090,202.69 307,649,327.56
CHASE 94E B-2 No 1994/04 A / FT 25th FIX 6.250 2,001,000 1,665,768.02 140,802,438.83
CHEMPT 9601 B-3 No 1996/01 BBB / FT 25th FIX 7.250 2,406,000 2,359,480.75 191,054,844.90
CITIMT 9016 B No 1990/10 BBB / SP 25th FIX 9.500 5,673,664 5,673,664.00 18,011,596.57
CITIMT 9205 B No 1992/04 A / SP 25th FIX 8.000 9,516,504 9,516,503.91 15,201,363.67
CITIMT 9219 B No 1992/11 BBB / SP 25th FIX 7.500 9,109,558 9,109,558.01 72,943,862.95
CITIMT 9401 B-1 No 1994/01 Baa3 / MD 25th FIX 6.500 11,036,000 10,397,986.26 103,487,705.97
CITIMT 9405 B-1 No 1994/03 Baa3 / MD 25th FIX 6.250 16,828,704 15,965,171.18 205,628,868.85
CITIMT 9407 B-1 No 1994/04 Baa3 / MD 25th FIX 6.250 9,938,740 9,472,008.16 115,338,163.95
CITIMT 9410 B-1 No 1994/06 Baa3 / MD 25th FIX 6.250 9,098,005 8,721,074.80 100,537,509.95
CITIMT 9411 B-1 No 1994/08 Baa3 / MD 25th FIX 6.250 15,381,000 14,808,195.03 127,284,021.35
CITIMT 9413 B-2 No 1994/10 BBB- / SP 25th FIX 6.500 1,228,437 1,183,772.45 80,600,581.93
CITIMT 9502 B-3 No 1995/05 BBB / FT 25th FIX 7.500 1,320,000 1,283,259.41 63,756,940.03
CITIMT 9601 B-1 No 1996/12 A / FT 25th FIX 7.500 2,500,680 2,475,645.92 160,601,911.67
CITIMT 9703 B-1 No 1997/08 A / FT 25th FIX 7.250 2,019,437 2,010,900.63 180,307,602.18
CITIMT 9703 B-2 No 1997/08 BBB / FT 25th FIX 7.250 2,019,437 2,010,900.63 ----
CITIMT 9707 B-1 No 1997/12 A / FT 25th FIX 7.000 2,020,172 2,017,186.16 200,876,413.16
CWD 94A B-3 No 1994/01 BBB / FT 25th FIX 6.750 2,000,000 1,898,999.30 147,700,962.86
CWD 94C B-2 No 1994/02 A / FT 25th FIX 6.500 3,060,807 2,914,107.99 194,821,665.73
CWD 94G B-1 No 1994/03 A / FT 25th FIX 6.500 4,612,288 4,402,238.11 249,740,674.76
DLJ 9403 B-1 No 1994/03 A / FT 25th FIX 6.500 7,059,438 6,697,566.56 323,059,628.11
FBCS 9302R 1 Yes 1994/08 Baa3 / MD 28th FIX 7.425 10,000,000 8,485,202.34 115,432,731.50
GECAP 9401 B-2 No 1994/01 BBB / FT 25th FIX 6.500 7,992,626 7,578,757.32 611,922,527.89
GECAP 9416 B-2 No 1994/05 BBB / FT 25th FIX 6.500 3,195,000 3,047,974.62 267,705,778.75
GECAP 9427 B-2 No 1994/07 BBB / FT 25th FIX 6.500 2,331,552 2,229,035.56 186,951,080.27
GECAP 9507 B-2 No 1995/09 BBB / FT 25th FIX 7.500 5,000,654 4,877,117.69 272,723,862.30
GECAP 9615 B-1 No 1996/10 A / FT 25th FIX 7.750 3,136,499 3,098,874.22 186,050,002.84
GECAP 9616 B-2 No 1996/11 BBB / FT 25th FIX 7.750 2,518,000 2,493,028.34 144,983,767.93
GECAP 9701 B-1 No 1997/01 A / FT 25th FIX 7.500 3,751,000 3,717,013.21 247,813,213.10
GECAP 9702 1-B-2 No 1997/02 BBB / FT 25th FIX 7.500 4,503,000 4,461,572.63 382,203,685.95
GECAP 9709 1-B-1 No 1997/10 A / FT 25th FIX 7.250 4,761,000 4,747,490.10 459,799,121.62
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
%
30 Day 60 Day 90 Day Forecl REO Total Credit WAM AGE % Largest ORIG
Shelf PCT PCT PCT PCT PCT DQ Enhanc CGWAC CNWAC (mos) (mos) CAL State LTV
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
AMERT 1.27% 0.52% 1.16% 1.11% 0.44% 4.50% 3.77% 8.986% 8.623% 274 79 (2) (2) (2)
BSMSI 0.88% 0.00% 0.00% 0.24% 0.18% 1.30% 0.67% 7.579% 7.299% 289 55 CA 77% CA 77% 70.91%
CAPPTC 0.45% 0.23% 0.09% 0.21% 0.12% 1.11% 2.46% 7.169% 6.838% 294 51 CA 25% CA 25% 73.86%
CFC 0.76% 0.12% 0.38% 0.00% 0.00% 1.27% 1.25% 7.420% 7.157% 305 54 CA 70% CA 70% 70.21%
CFC 0.49% 0.08% 0.00% 0.00% 0.00% 0.56% 1.14% 7.151% 6.888% 300 50 CA 63% CA 63% 72.20%
CFC 0.40% 0.13% 0.06% 0.00% 0.08% 0.68% 1.08% 7.288% 7.025% 311 48 CA 61% CA 61% 70.33%
CFC 2.31% 0.28% 0.00% 0.73% 0.52% 3.84% 1.81% 8.217% 7.966% 304 44 CA 20% CA 20% 79.07%
CFC 0.40% 0.19% 0.66% 0.22% 0.19% 1.67% 2.62% 8.335% 8.034% 333 21 CA 46% CA 46% 77.09%
CFC 1.17% 0.00% 0.09% 0.06% 0.00% 1.32% 1.02% 8.165% 7.906% 341 8 CA 36% CA 36% 78.29%
CHASE 0.84% 0.00% 0.21% 0.00% 0.00% 1.04% 1.18% 6.839% 6.587% 139 47 CA 41% CA 41% 63.82%
CHEMPT 0.15% 0.12% 0.00% 0.16% 0.00% 0.43% 1.23% 7.964% 7.250% 325 27 CA 56% CA 56% 76.83%
CITIMT 3.01% 1.42% 4.14% 7.79% 0.00% 16.36% 7.40% 10.655% 10.405% 253 103 CA 21% NY 63% 71.70%
CITIMT 2.80% 0.24% 0.00% 4.96% 0.00% 8.00% 2.04% 9.547% 9.297% 259 89 CA 19% NY 42% 72.00%
CITIMT 1.52% 0.76% 0.55% 1.59% 0.00% 4.42% 3.69% 8.719% 8.469% 261 88 CA 23% NY 37% 65.50%
CITIMT 1.30% 0.08% 0.00% 0.16% 0.24% 1.78% 0.80% 7.463% 7.213% 283 69 CA 21% NY 39% 64.40%
CITIMT 0.56% 0.16% 0.10% 0.28% 0.15% 1.25% 0.70% 7.336% 7.086% 290 56 CA 19% CA 19% 67.80%
CITIMT 1.16% 0.19% 0.12% 0.05% 0.00% 1.52% 0.88% 7.352% 7.102% 295 55 CA 22% CA 22% 68.90%
CITIMT 0.89% 0.49% 0.00% 0.06% 0.00% 1.44% 0.86% 7.511% 7.261% 302 50 CA 12% NY 20% 70.10%
CITIMT 1.99% 0.16% 0.00% 0.10% 0.62% 2.87% 1.33% 7.938% 7.688% 300 49 CA 14% NY 26% 71.90%
CITIMT 1.35% 0.32% 0.00% 0.30% 0.00% 1.97% 1.82% 8.011% 7.761% 296 54 CA 16% NY 37% 69.90%
CITIMT 1.30% 0.20% 0.50% 0.11% 0.06% 2.17% 2.40% 8.236% 7.986% 304 44 CA 9% NY 29% 71.90%
CITIMT 0.74% 0.00% 0.00% 0.00% 0.00% 0.74% 2.77% 8.210% 7.960% 337 17 CA 25% CA 25% 74.60%
CITIMT 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 2.23% 8.017% 7.767% 348 8 CA 25% CA 25% 74.80%
CITIMT ---- ---- ---- ---- ---- ---- 1.12% ---- ---- ---- ---- ---- ---- ----
CITIMT 0.36% 0.00% 0.00% 0.00% 0.00% 0.36% 1.76% 7.623% 7.373% 356 3 CA 45% CA 45% 72.70%
CWD 0.78% 0.46% 0.25% 0.25% 0.00% 1.74% 1.29% 7.302% 6.866% 309 51 CA 36% CA 36% 72.17%
CWD 1.76% 0.27% 0.57% 0.00% 0.00% 2.61% 2.05% 7.443% 7.050% 308 50 CA 79% CA 79% 68.81%
CWD 1.46% 0.08% 0.23% 0.16% 0.08% 2.01% 2.05% 7.651% 7.263% 305 48 CA 94% CA 94% 70.47%
DLJ 0.37% 0.13% 0.35% 0.40% 0.46% 1.70% 2.36% 7.426% 7.133% 302 49 CA 47% CA 47% 74.21%
FBCS 6.30% 1.68% 1.27% 0.99% 0.39% 10.64% 1.87% 9.545% 7.479% 185 159 CA 1% TX 84% 87.38%
GECAP 0.72% 0.08% 0.15% 0.32% 0.09% 1.36% 1.13% 7.244% 6.990% 297 51 CA 45% CA 45% 73.75%
GECAP 0.49% 0.00% 0.00% 0.50% 0.10% 1.08% 1.34% 7.054% 6.825% 302 47 CA 33% CA 33% 75.02%
GECAP 0.78% 0.14% 0.14% 0.13% 0.00% 1.19% 1.16% 7.117% 6.817% 299 49 CA 24% CA 24% 75.23%
GECAP 0.88% 0.28% 0.08% 0.19% 0.09% 1.52% 2.12% 8.132% 7.916% 321 31 CA 33% CA 33% 80.69%
GECAP 0.90% 0.00% 0.16% 0.39% 0.00% 1.45% 3.33% 8.417% 8.166% 336 18 CA 26% CA 26% 81.11%
GECAP 1.57% 0.00% 0.19% 0.30% 0.00% 2.06% 1.72% 8.439% 8.182% 338 17 CA 26% CA 26% 81.00%
GECAP 0.89% 0.12% 0.00% 0.68% 0.00% 1.70% 2.70% 8.107% 7.849% 342 15 CA 32% CA 32% 80.11%
GECAP 0.91% 0.00% 0.29% 0.21% 0.00% 1.41% 1.17% 7.995% 7.748% 343 13 CA 37% CA 37% 79.60%
GECAP 0.55% 0.00% 0.00% 0.00% 0.00% 0.55% 1.90% 7.839% 7.584% 353 5 CA 47% CA 47% 77.68%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 1
<PAGE>
SCHEDULE A
BSMSI-9802 POOLED SECURITY / UNDERLYING MORTGAGE LOAN INFORMATION
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Feb-98
Re- Issue Rating/ Pay Coupon Original Current Collateral
Shelf Series Des Remic Date Agency Date Type Coupon Balance Balance Balance
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
GECAP 9709 1-B-2 No 1997/10 BBB / FT 25th FIX 7.250 3,758,500 3,747,834.80 ----
GECAP 9709 2-B-2 No 1997/10 BBB / FT 25th FIX 7.000 2,630,500 2,622,896.06 329,484,902.66
GECAP 9712 B-1 No 1997/12 A / FT 25th FIX 7.000 6,127,497 6,118,725.68 620,544,954.55
GECAP 9712 B-2 No 1997/12 BBB / FT 25th FIX 7.000 4,837,497 4,830,572.27 ----
HMSI 9705 B-2 No 1997/10 A / FT 25th FIX 7.250 4,954,964 4,940,602.37 270,378,594.20
MORSRV 9602 B-1 No 1996/08 A / SP 25th FIX 7.250 2,070,499 2,007,208.45 169,902,877.24
MSCAP1 9601 B-2 No 1996/02 A / FT 25th FIX 7.250 2,355,000 2,311,319.70 130,996,094.16
NSCOR 9604 B-1 No 1996/08 A / FT 25th FIX 7.750 4,789,000 4,726,179.03 314,000,073.34
NSCOR 9605 B-1 No 1996/10 A / FT 25th FIX 8.000 4,562,000 4,512,981.74 310,417,577.18
PHMSC 93E 2-B Yes 1993/07 A / FT 28th WAC 7.394 21,207,000 20,850,914.47 895,269,636.41
PHMSC 93L 3-B-3 Yes 1993/12 BBB / FT 28th WAC 6.641 5,000,000 4,999,999.97 2,125,459,836.34
PHMSC 94A 5-B Yes 1994/04 BBB / FT 28th WAC 6.803 21,000,000 20,268,735.65 3,701,560,776.11
PHMSC 94E 2-B Yes 1994/10 A / FT 28th WAC 7.340 32,343,000 31,578,899.74 1,441,946,523.87
PHMSC 95A 3-B Yes 1995/03 BBB / FT 28th WAC 8.981 6,452,000 6,283,935.20 314,078,197.67
PNC 9502 B-3 No 1995/09 BBB / FT 25th FIX 7.500 2,700,018 2,637,368.10 211,733,837.86
PNC 9702 B-2 No 1997/02 A / FT 25th FIX 7.500 1,774,000 1,758,667.44 145,198,021.75
PNC 9705 B-2 No 1997/09 A / FT 25th FIX 7.250 2,626,078 2,617,251.19 308,119,304.27
PNC 9705 B-3 No 1997/09 BBB / FT 25th FIX 7.250 3,501,438 3,489,668.91 ----
PWMAC 9307 M-3 No 1993/06 Baa3 / MD 25th FIX 7.500 1,967,570 1,860,517.59 103,400,662.44
PWMAC 9402 M-2 No 1994/02 A / FT 25th FIX 6.500 3,464,869 3,299,405.67 211,606,871.35
PWMAC 9402 M-3 No 1994/02 BBB / FT 25th FIX 6.500 2,551,354 2,429,515.17 ----
RALI 97Q12 M-2 No 1997/11 A / FT 25th FIX 7.250 4,471,600 4,463,224.20 291,246,693.96
RAST 96A3 B-1-B No 1996/05 A / FT 25th FIX 7.500 7,010,900 6,907,227.16 261,169,090.80
RAST 96A4 B-2 No 1996/06 A / FT 25th FIX 7.500 5,098,000 5,027,207.47 191,876,746.83
RFC 93S10 M-2 No 1993/02 A / SP 25th FIX 8.500 2,016,155 1,833,799.78 29,667,310.65
RFC 93S18 M-2 No 1993/05 A / SP 25th FIX 7.500 6,257,900 5,886,813.16 218,280,762.77
RFC 93S18 M-3 No 1993/05 BBB / SP 25th FIX 7.500 3,754,700 3,546,124.62 ----
RFC 93S21 M-3 No 1993/06 BBB / SP 25th FIX 7.500 2,692,006 2,572,254.97 132,765,095.08
RFC 93S22 M-2 No 1993/06 A / SP 25th FIX 7.000 4,333,550 4,102,206.32 245,923,828.41
RFC 93S22 M-3 No 1993/06 BBB / SP 25th FIX 7.000 2,600,140 2,461,333.26 ----
RFC 93S24 M-3 No 1993/07 BBB / FT 25th FIX 7.000 3,739,700 3,587,645.22 259,059,014.02
RFC 93S26 M-2 No 1993/07 A / FT 25th FIX 7.500 5,640,445 5,338,218.34 188,028,918.60
RFC 93S26 M-3 No 1993/07 BBB / FT 25th FIX 7.500 3,760,297 3,630,616.61 ----
RFC 93S27 M-3 No 1993/06 BBB / SP 25th FIX 7.500 2,059,280 1,968,943.81 114,607,020.39
RFC 93S28 M-2 No 1993/08 A / FT 25th FIX 7.000 3,210,000 3,049,350.79 150,742,324.25
RFC 93S28 M-3 No 1993/08 BBB / FT 25th FIX 7.000 2,141,000 2,033,850.45 ----
RFC 93S34 M-3 No 1993/09 BBB / FT 25th FIX 7.000 2,139,566 2,030,033.78 156,466,414.36
RFC 94S3 M-3 No 1994/02 BBB / SP 25th WAC 6.739 1,496,000 1,428,149.92 237,673,100.22
RFC 95R20 M-3 No 1995/12 BBB / FT 25th FIX 7.500 3,263,317 3,189,359.27 239,995,441.72
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
%
30 Day 60 Day 90 Day Forecl REO Total Credit WAM AGE % Largest ORIG
Shelf PCT PCT PCT PCT PCT DQ Enhanc CGWAC CNWAC (mos) (mos) CAL State LTV
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
GECAP ---- ---- ---- ---- ---- ---- 1.09% ---- ---- ---- ---- ---- ---- ----
GECAP 0.65% 0.09% 0.00% 0.00% 0.00% 0.74% 1.06% 7.738% 7.482% 353 5 CA 48% CA 48% 76.92%
GECAP 1.07% 0.08% 0.00% 0.00% 0.00% 1.15% 1.82% 7.733% 7.473% 355 4 CA 49% CA 49% 76.37%
GECAP ---- ---- ---- ---- ---- ---- 1.04% ---- ---- ---- ---- ---- ---- ----
HMSI 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 2.87% 8.486% 8.227% 346 5 CA 56% CA 56% 75.25%
MORSRV 1.81% 0.37% 0.00% 0.00% 0.00% 2.18% 2.95% 8.137% 7.896% 266 57 CA 12% NY 43% 71.88%
MSCAP1 2.56% 0.22% 0.61% 0.18% 0.00% 3.57% 2.65% 8.032% 7.244% 325 27 CA 40% CA 40% 78.75%
NSCOR 0.99% 0.26% 0.94% 0.14% 0.27% 2.60% 2.71% 8.262% 7.992% 332 21 CA 27% CA 27% 76.93%
NSCOR 1.19% 0.08% 0.00% 0.00% 0.00% 1.27% 2.98% 8.436% 8.166% 336 18 CA 26% CA 26% 78.04%
PHMSC 0.88% 0.08% 0.33% 0.28% 0.18% 1.75% 4.94% 8.019% 7.819% 289 59 CA 62% CA 62% 72.69%
PHMSC 0.57% 0.06% 0.12% 0.21% 0.06% 1.02% 1.40% 7.333% 7.133% 297 52 CA 72% CA 72% 72.18%
PHMSC 0.41% 0.10% 0.14% 0.16% 0.10% 0.90% 1.32% 7.311% 7.112% 300 50 CA 68% CA 68% 72.51%
PHMSC 0.35% 0.17% 0.25% 0.32% 0.07% 1.16% 2.73% 7.684% 7.484% 303 47 CA 54% CA 54% 73.47%
PHMSC 1.13% 0.67% 1.11% 0.93% 0.08% 3.91% 3.24% 8.860% 8.660% 305 42 CA 27% CA 27% 75.85%
PNC 2.12% 0.26% 0.00% 0.26% 0.00% 2.65% 1.56% 7.979% 7.037% 318 33 CA 23% CA 23% 77.65%
PNC 1.52% 0.21% 0.00% 0.51% 0.00% 2.24% 2.42% 8.044% 7.754% 306 15 CA 38% CA 38% 75.31%
PNC 0.52% 0.00% 0.00% 0.00% 0.00% 0.52% 2.27% 8.193% 7.905% 312 7 CA 49% CA 49% 75.48%
PNC ---- ---- ---- ---- ---- ---- 1.13% ---- ---- ---- ---- ---- ---- ----
PWMAC 1.31% 0.25% 0.21% 0.00% 0.00% 1.77% 2.16% 7.576% 7.189% 289 57 CA 50% CA 50% 70.07%
PWMAC 1.26% 0.00% 0.00% 0.10% 0.26% 1.61% 2.29% 7.173% 6.754% 297 52 CA 44% CA 44% 73.66%
PWMAC ---- ---- ---- ---- ---- ---- 1.14% ---- ---- ---- ---- ---- ---- ----
RALI 2.37% 0.46% 0.00% 0.19% 0.00% 3.02% 2.81% 8.481% 8.151% 354 4 CA 20% CA 20% 78.71%
RAST 2.72% 0.55% 0.53% 0.69% 0.36% 4.83% 3.89% 8.916% 8.531% 333 22 CA 35% CA 35% 71.79%
RAST 3.38% 0.76% 0.96% 0.75% 0.34% 6.19% 3.93% 8.922% 8.536% 334 21 CA 36% CA 36% 73.99%
RFC 6.21% 0.00% 0.00% 1.11% 0.99% 8.31% 11.05% 9.077% 8.646% 291 62 CA 81% CA 81% 74.52%
RFC 0.74% 0.32% 0.17% 0.50% 0.45% 2.18% 6.32% 8.068% 7.629% 288 58 CA 55% CA 55% 72.20%
RFC ---- ---- ---- ---- ---- ---- 4.70% ---- ---- ---- ---- ---- ---- ----
RFC 1.20% 0.43% 0.16% 1.47% 0.00% 3.26% 3.73% 8.027% 7.580% 294 57 CA 56% CA 56% 73.04%
RFC 0.64% 0.13% 0.00% 0.30% 0.10% 1.17% 3.32% 7.646% 7.209% 290 57 CA 65% CA 65% 70.47%
RFC ---- ---- ---- ---- ---- ---- 2.32% ---- ---- ---- ---- ---- ---- ----
RFC 0.73% 0.07% 0.00% 0.38% 0.09% 1.28% 1.95% 7.587% 7.190% 292 56 CA 62% CA 62% 71.29%
RFC 1.96% 0.20% 0.00% 0.35% 0.23% 2.73% 4.40% 7.985% 7.568% 290 56 CA 67% CA 67% 72.08%
RFC ---- ---- ---- ---- ---- ---- 2.47% ---- ---- ---- ---- ---- ---- ----
RFC 1.97% 0.00% 0.00% 0.64% 0.00% 2.61% 3.61% 8.085% 7.608% 292 57 CA 82% CA 82% 71.05%
RFC 0.68% 0.00% 0.00% 0.48% 0.11% 1.28% 2.95% 7.580% 7.105% 293 55 CA 70% CA 70% 71.67%
RFC ---- ---- ---- ---- ---- ---- 1.60% ---- ---- ---- ---- ---- ---- ----
RFC 0.88% 0.00% 0.27% 0.50% 0.00% 1.65% 1.46% 7.532% 7.147% 296 54 CA 68% CA 68% 71.45%
RFC 0.80% 0.06% 0.00% 0.38% 0.00% 1.25% 1.80% 7.312% 6.924% 302 50 CA 34% CA 34% 71.66%
RFC 0.10% 0.09% 0.10% 1.00% 0.00% 1.29% 1.95% 8.020% 7.489% 316 36 CA 41% CA 41% 76.77%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Page 2
<PAGE>
SCHEDULE A
BSMSI-9802 POOLED SECURITY / UNDERLYING MORTGAGE LOAN INFORMATION
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Re- Issue Rating/ Pay Coupon Original Current Collateral
Shelf Series Des Remic Date Agency Date Type Coupon Balance Balance Balance
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
RFC 96S10 M-2 No 1996/05 A / FT 25th FIX 7.500 6,700,600 6,573,570.86 453,671,870.48
RFC 96S14 M-2 No 1996/05 A / SP 25th FIX 7.500 3,675,000 3,606,538.23 327,751,427.12
RFC 96S14 M-3 No 1996/05 BBB / SP 25th FIX 7.500 1,837,500 1,803,269.14 ----
RFC 96S16 M-2 No 1996/07 A / SP 25th FIX 7.750 4,552,300 4,485,140.01 255,432,415.19
RFC 96S18 M-2 No 1996/08 A / FT 25th FIX 8.000 2,677,200 2,634,212.19 166,854,953.76
RFC 96S23 M-2 No 1996/11 A / FT 25th FIX 7.750 3,247,100 3,215,088.65 204,920,544.86
RFC 96S25 M-2 No 1996/12 A / FT 25th FIX 7.750 3,188,300 3,158,716.44 169,290,034.97
RYLPT3 92A 1-B Yes 1992/08 BBB / SP 29th(1) WAC 8.266 1,500,000 1,500,000.00 179,678,759.73
RYLPTC 9304 B-2 No 1993/08 BBB / FT 25th FIX 7.500 5,405,000 5,135,340.09 328,102,095.25
SASCO 9601 B-1 No 1996/04 A / FT 25th FIX 7.250 3,214,000 3,156,155.68 157,070,692.49
SASCO 9601 B-2 No 1996/04 BBB / FT 25th FIX 7.250 1,653,000 1,623,249.94 ----
SASCO 9602 B-2 No 1996/05 A / SP 25th FIX 7.000 2,509,000 2,455,002.07 167,461,222.09
SASI 9405 B-2 No 1994/05 A / SP 25th FIX 7.000 4,987,697 4,779,332.42 391,211,554.04
SASI 9405 B-3 No 1994/05 BBB / SP 25th FIX 7.000 3,740,773 3,584,499.55 ----
SASI 9504 B-2 No 1995/10 BBB / SP 25th FIX 7.500 4,386,789 4,292,282.41 329,560,889.71
SASI 93J 3-B Yes 1993/11 BBB / FT 28th WAC 6.808 16,672,000 16,199,173.04 1,860,429,279.96
SBMSI 9409 B-2 No 1994/07 A / FT 25th FIX 7.000 4,265,000 4,095,482.42 151,377,498.03
SBMSI 92D B-4 Yes 1992/10 BBB / SP 28th WAC 8.015 4,500,000 4,146,276.11 289,487,335.89
- ------------------------------------------------------------------------------------------------------------------------------------
TOTALS 7.213 535,342,259 515,964,267.42 27,554,398,290.40
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
%
30 Day 60 Day 90 Day Forecl REO Total Credit WAM AGE % Largest ORIG
Shelf PCT PCT PCT PCT PCT DQ Enhanc CGWAC CNWAC (mos) (mos) CAL State LTV
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
RFC 1.22% 0.15% 0.07% 0.44% 0.00% 1.87% 2.59% 7.888% 7.595% 332 22 CA 52% CA 52% 75.79%
RFC 1.42% 0.01% 0.00% 0.16% 0.07% 1.65% 1.98% 7.816% 7.487% 318 30 CA <1% NY 49% 72.33%
RFC ---- ---- ---- ---- ---- ---- 1.65% ---- ---- ---- ---- ---- ---- ----
RFC 1.11% 0.23% 0.33% 1.30% 0.09% 3.05% 3.10% 8.536% 8.248% 334 20 CA 52% CA 52% 77.18%
RFC 2.27% 0.04% 0.00% 0.08% 0.00% 2.39% 2.84% 8.487% 8.180% 335 20 CA 35% CA 35% 76.46%
RFC 2.17% 0.25% 0.16% 0.82% 0.00% 3.40% 2.82% 8.441% 8.146% 339 16 CA 46% CA 46% 77.64%
RFC 1.00% 0.58% 0.00% 0.47% 0.26% 2.32% 2.49% 8.415% 8.110% 340 15 CA 42% CA 42% 76.44%
RYLPT3 5.04% 1.29% 3.11% 1.70% 0.14% 11.28% 19.10% 9.598% 9.131% 199 141 CA 3% TX 38% 88.63%
RYLPTC 0.36% 0.10% 0.28% 0.00% 0.00% 0.74% 1.40% 7.606% 7.336% 293 55 CA 83% CA 83% 70.60%
SASCO 1.44% 0.00% 0.74% 0.18% 0.00% 2.36% 2.28% 7.774% 7.518% 327 25 CA 46% CA 46% 76.65%
SASCO ---- ---- ---- ---- ---- ---- 1.24% ---- ---- ---- ---- ---- ---- ----
SASCO 0.00% 1.29% 0.00% 0.12% 0.00% 1.41% 3.52% 7.740% 7.524% 304 56 (2) (2) (2)
SASI 1.14% 0.00% 0.28% 0.00% 0.13% 1.55% 2.93% 7.398% 7.103% 311 48 CA 36% CA 36% 73.93%
SASI ---- ---- ---- ---- ---- ---- 2.01% ---- ---- ---- ---- ---- ---- ----
SASI 1.00% 0.68% 0.37% 0.58% 0.17% 2.79% 2.61% 8.187% 7.954% 320 31 CA 38% CA 38% 75.98%
SASI 0.32% 0.14% 0.16% 0.21% 0.10% 0.93% 1.96% 7.502% 7.302% 296 54 CA 67% CA 67% 72.73%
SBMSI 1.60% 0.14% 0.00% 0.00% 0.00% 1.73% 3.28% 7.819% 7.000% 312 48 (2) (2) (2)
SBMSI 2.39% 0.23% 0.11% 1.16% 0.36% 4.26% 11.05% 8.683% 8.231% 283 67 CA 71% CA 71% 73.93%
- ------------------------------------------------------------------------------------------------------------------------------------
TOTALS 0.90% 0.17% 0.20% 0.29% 0.09% 1.65% 2.56% 7.756% 7.470% 307 42 CA 51% 72.37%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) 29th day of the month, or if in February, the last day, or if such day is
not a business day, then the immediately succeeding business day.
(2) Not Available
This information should be considered only after reading Bear Sterns' Statement
Regarding Assumption as to Securities, Pricing Estimates, and Other Information
("the Statement"), which should be attached. Do not use or rely on this
information if you have not received the Statement. You may obtain a copy of
Statement from your sales representative.
Page 3
<PAGE>
SCHEDULE B
BSMSI 1998-2 - CONTRIBUTION OF COLLATERAL
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C>
BSMSI 1998-2
Pass-Through Certificates
-------------------------
Class A - "Aaa" Sub %
$206,127,673 60.05%
-------------------------
Class B - "Aa2"
$61,399,732 48.15%
- ------------------- -------------- ------------------------- -------------------------
Class C - "Aa3"
$45,920,808 39.25%
116,742 Senior
Securities 96 Classes -------------------------
$27,554,398,290 Contributed to 83 (the "Pooled Securities") Class D - "A2"
Underlying Trusts $515,964,138 $74,556,818 24.80%
Underlying --------------
-------------------------
Mortgage Mezzanine Mezzanine Class E - "A3"
Loans (includes Trusts Securities and $43,083,005 16.45%
secured by Mortgage Subordinate
-------------- Securities -------------------------
Loans and Trusts Subordinate Class F - "Baa2"
secured by securities) Securities $53,402,288 6.10%
- ------------------- -------------- ------------------------- -------------------------
Class G - "Baa3"
$14,962,960 3.20%
-------------------------
Class H - "Ba2"
$16,510,853 ---
-------------------------
</TABLE>
This Information should be considered only after reading Bear Stearns' Statement
Regarding Assumptions as to Securities, Pricing Estimates, and Other Information
("the Statement"), which should be attached. Do not use or rely on this
Information if you have not received the Statement. You may obtain a copy of the
Statement from your sales representative.
