<PAGE>
EXHIBIT 99.1
Term Sheet Dated June 21, 2000
$941,000,000 Offered (approximate)
[CONSECO LOGO]
Conseco Finance Securitizations Corp.
Seller
Conseco Finance Corp.
Servicer
Certificates for Home Equity Loans Series 2000-D
--------------------------------------------------------------------------------
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 light of the same
warnings, lack of assurance, and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Neither Lehman Brothers Inc., nor any of its affiliates, make
any 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superseded by any subsequent versions (including, with respect to any
descriptions of the securities or underlying assets, the information contained
in the Offering Document).
<PAGE>
TERM SHEET DATED June 16, 2000
Conseco Finance Securitizations Corp.
Certificates for Home Equity Loans, Series 2000-D
$941,000,000 Offered (Approximate)
Subject to Revision
SELLER: Conseco Finance Securitizations Corp. ("Conseco
Securitizations")
SERVICER: Conseco Finance Corp. ("Conseco Finance")
TRUSTEE: U.S. Bank Trust National Association
LEAD MANAGER: Lehman Brothers
CO-MANAGERS: Credit Suisse First Boston, First Union Securities,
Merrill Lynch
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------------------------------
OFFERED CERTIFICATES
--------------------------------------------------------------------------------------------------------------------------
Est. WAL Est. WAL Est. Prin. Est. Prin.
Approx. (yrs) (yrs) Window Window
Size To To (mos) (mos) Final Scheduled Expected Ratings
Class ($MM) Type Call (1) Maturity To Call (1) To Maturity Distribution Date S&P/Moody's
--------- ---------- -------- ----------- ----------- --------------- --------------- ------------------ -----------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 356.00 Senior 1.00 1.00 1 - 22 (22) 1 - 22 (22) 10/2031 AAA/Aaa
--------- ---------- -------- ----------- ----------- --------------- --------------- ------------------ -----------------
A-2 74.00 Senior 2.00 2.00 22 - 27 (6) 22 - 27 (6) 10/2031 AAA/Aaa
--------- ---------- -------- ----------- ----------- --------------- --------------- ------------------ -----------------
A-3 226.00 Senior 3.00 3.00 27 - 49 (23) 27 - 49 (23) 10/2031 AAA/Aaa
--------- ---------- -------- ----------- ----------- --------------- --------------- ------------------ -----------------
A-4 141.00 Senior 5.00 5.20 49 - 69 (21) 49 - 119 (71) 10/2031 AAA/Aaa
--------- ---------- -------- ----------- ----------- --------------- --------------- ------------------ -----------------
A-5 138.00 Senior 5.71 7.63 69 - 69 (1) 70 - 119 (50) 10/2031 AAA/Aaa
--------- ---------- -------- ----------- ----------- --------------- --------------- ------------------ -----------------
B-1(2) 6.0 Sub. 4.71 6.21 37 - 69 (33) 37 - 123 (87) 10/2031 BBB+/Baa1
--------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) All Offered Certificates are priced to the 20% call, as further
described herein.
(2) Subject to the Available Funds Pass-Through Rate described herein.
--------------------------------------------------------------------------------
PRICING SPEED
--------------------------------------------------------------------------------
125% PPC - 100% prepayment assumption assumes a constant prepayment of 4% in
month one increased by approximately an additional 1.45% each month to 20% CPR
in month twelve, and remaining at 20% CPR thereafter
--------------------------------------------------------------------------------
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
2
<PAGE>
SUMMARY OF TERMS
----------------
Seller: Conseco Finance Securitizations Corp.
Servicer: Conseco Finance Corp. ("Conseco")
Trustee: U.S. Bank Trust National Association
Offering: Public: subject to a variance of plus or minus 5.0%.
Underwriters: Lehman Brothers (Lead),
Credit Suisse First Boston (Co),
First Union Securities (Co),
Merrill Lynch (Co).
Certificate Insurer: Financial Security Assurance Inc. ("FSA")
Rating Agencies: Standard & Poors and Moody's Investors Service
Statistical
Calculation Date: May 31, 2000
Expected Cut-off Date: The trust will be entitled to receive all payments
due after May 31, 2000 for all loans other than the
Additional Loans (added prior to closing) and
Subsequent Loans (added after closing.). For each
Additional Loan, the trust will be entitled to
receive all payments due after June 30, 2000. For
each Subsequent Loan, the trust will be entitled to
receive all payments due after the last day of the
calendar month in which the subsequent closing
occurs.
Expected Closing Date: June 28, 2000
Expected Pricing Date: Week of June 19, 2000
Registration: The Offered Certificates will be available in
book-entry form through DTC.
Non-Offered Class
B-2 Certificates: $59,000,000 Class B-2 Certificates will not be
offered in this transaction.
Record Date: The business day just before the Payment Date.
Payment Date: The 15th day of each month (or if such 15th day is
not a business day, the next succeeding business day)
commencing in July 2000.
Coupon Type: The Offered Certificates will bear interest at fixed
rates. The Class B Certificates will be subject to
the Available Funds Pass-Through Rate as described
herein.
Day Count: 30/360
Denominations: $1,000 minimum and integral multiples of $1,000 in
excess thereof.
Tax Status: REMIC Election
ERISA: The Class A Certificates are expected to be ERISA
eligible. Prospective investors that are pension
plans should consult their own counsel with respect
to an investment in the Offered Certificates.
SMMEA: The Offered Certificates will not constitute
"mortgage related securities" for purposes of SMMEA.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
3
<PAGE>
SUMMARY OF TERMS (Cont'd)
-------------------------
Loans: The Loans (the "Loans") will consist primarily of
conventional, fully amortizing and balloon, first,
second, and third lien, fixed rate closed end, one-
to four-family residential home equity loans. The
statistical information presented in this Term Sheet
is with respect to the Initial Loans (the "Initial
Loans") and is based on balances as of the close of
business on May 31, 2000. The Initial Loans consist
of 6,839 loans, with a principal balance of
approximately $ 414,285,152.45.
Additional Collateral: Between the Statistical Calculation Date and the
Expected Closing Date, the Seller expects to deposit
Additional Loans ("Additional Loans").
Pre-Funding Feature
and Subsequent Loans: On the Closing Date, a portion of the proceeds from
the sale of the Offered Certificates (the "Pre-Funded
Amount") may be deposited with the Trustee in a
segregated account (the "Pre-Funding Account") and
used by the Trust to purchase subsequent loans (the
"Subsequent Loans") during the period (not longer
than 90 days) following the Closing Date (the
"Pre-Funding Period"). The Pre-Funded Amount is not
expected to exceed 25% of the aggregate original
principal balances of the Offered Certificates. The
Pre-Funded Amount will be reduced during the
Pre-Funding Period by the amounts thereof used to
fund such purchases. Any amounts remaining in the
Pre-Funding Account following the Pre-Funding Period
will be paid to the Class A-1 Certificates and if the
principal balance of such class has been reduced to
zero, then to the Class A-2, Class A-3, Class A-4,
Class A-5, Class B-1 and Class B-2 Certificates, in
that order of priority.
Final Home Equity
Loan Group: The final pool of home equity loans in the trust will
be based on balances as of the related Cut-off Date.
Source for Calculation
of One-Month LIBOR: Telerate page 3750.
Servicing Fee Rate: 50 basis points
Distributions: On each Payment Date distributions on the
certificates will be made to the extent of the Amount
Available. The "Amount Available" will generally
consist of payments made on or in respect of the
Loans plus any insured payments made by FSA, and will
include amounts otherwise payable to the Servicer (so
long as Conseco is the Servicer) as the monthly
Servicing Fee and amounts otherwise payable to the
Class C Certificates.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
4
<PAGE>
INTEREST DISTRIBUTIONS
----------------------
Interest on the
Class A, B-1, and B-2
Certificates: Following payment to FSA of the premium amount with
respect to each Payment Date, the Amount Available
will be distributed to pay interest as follows:
o first, to each class of the Class A
Certificates (A-1, A-2, A-3, A-4, A-5), pro
rata;
o then to the Class B-1 Certificates, and
o then to the Class B-2 Certificates.
Interest will accrue on the outstanding Class A-1,
Class A-2, Class A-3, Class A-4, and Class A-5
principal balances, the Class B-1 adjusted principal
balance, and the Class B-2 adjusted principal balance
at the related pass-through rate calculated on a
30/360 basis. Interest on the outstanding Class A
principal balance, the Class B-1 adjusted principal
balance, and the Class B-2 adjusted principal balance
as applicable, will initially accrue from the Closing
Date and thereafter from the most recent Payment Date
on which interest has been paid, in each case, to but
excluding the following Payment Date.
The adjusted principal balance of any of the Class
B-1 and Class B-2 Certificates is the principal
balance less any liquidation loss principal amounts
allocated to that Class.
Interest Shortfalls
And Carryovers: If the Amount Available on any Payment Date is
insufficient to make the full distributions of
interest to a class of Offered Certificates, the
Amount Available remaining after payments with a
higher payment priority are made will be distributed
pro rata among the certificates comprising such class
(the Class A Certificates being treated as a single
class for this purpose). Any interest due but unpaid
from a prior Payment Date will also be due on the
next Payment Date, together with accrued interest
thereon at the applicable pass-through rate to the
extent legally permissible.
Draws previously made under the insurance policy and
any other amounts owed to FSA not previously
reimbursed will be carried forward for reimbursement
to FSA.
Available Funds
Pass-Through Rate: The "Available Funds Pass-Through Rate" for any
Payment Date will be a rate per annum equal to the
weighted average of the Expense Adjusted Loan Rates
on the then outstanding Loans. The "Expense Adjusted
Loan Rate" on any Loan is equal to the then
applicable home equity loan interest rate thereon,
minus the Servicing Fee and the FSA insurance
premium. Interest payable to the Class B Certificates
may be limited on any Payment Date by the Available
Funds Pass-Through Rate.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
5
<PAGE>
PRINCIPAL DISTRIBUTIONS
On each Payment Date after all interest is distributed to the Class A, Class
B-1, and Class B-2 Certificateholders, the remaining Amount Available will be
distributed to make principal distributions as follows and in the following
order of priority:
i) first, to the Class A Certificates, the Class A Formula
Principal Distribution Amount;
ii) then, to the Class B-1 Certificates, the Class B-1 Formula
Principal Distribution Amount; and
iii) then, to the Class B-2 Certificates, the Class B-2 Formula
Principal Distribution Amount.
On each Payment Date, the Class A Formula Principal Distribution Amount will be
distributed as follows: first, to the Class A-1 Certificates until the Class A-1
Certificate Principal Balance is reduced to zero, second to the Class A-2
Certificates until the Class A-2 Certificate Principal Balance has been reduced
to zero, third to the Class A-3 Certificates until the Class A-3 Certificate
Principal Balance has been reduced to zero, fourth to the Class A-4 Certificates
until the Class A-4 Certificate Principal Balance has been reduced to zero, and
fifth to the Class A-5 Certificates until the Class A-5 Certificate Principal
Balance has been reduced to zero.
If the Amount Available on any Payment Date is insufficient to make full
distributions of principal to a class of certificates, the Amount Available
remaining after payments on Offered Certificates with a higher payment priority
are made will be distributed pro-rata among the certificates comprising such
class.
Formula Principal
Distribution Amount: On each Payment Date will be equal to the sum of (i)
all scheduled payments of principal due on each
outstanding loan during the related due period, (ii)
the scheduled principal balance of each loan which,
during the related due period, was repurchased by the
Seller, (iii) all partial principal prepayments
applied and all principal prepayments in full
received during such due period in respect of each
loan, (iv) the scheduled principal balance of each
loan that became a liquidated loan during the related
due period and (v) any amount described in clauses
(i) through (iv) above that was not previously
distributed because of an insufficient amount of
funds available in the certificate account and (vi)
any additional amount required to reach the Target
Overcollateralization Amount.
Stepdown Date: The later to occur of (A) the Payment Date in July
2003 and (B) the first Payment Date on which the
Class A Principal Balance is less than or equal to
83.00% of the Pool Scheduled Principal Balance.
Trigger Event: A Trigger Event will exist on any Payment Date on
which:
(i) The three month rolling average of the 90
plus day delinquencies (including
foreclosures and REOs) exceeds 48.5% of the
Senior Enhancement Percentage; or,
(ii) The Cumulative Rea lized Losses Test is not
satisfied; or,
(iii) The Rolling Loss Test is not satisfied.
Senior Enhancement
Percentage: The Senior Enhancement Percentage for any Payment
Date will equal the percentage obtained by dividing:
(i) the excess of (A) the Pool Scheduled Principal
Balance over (B) Class A Principal Balance, by (ii)
the Pool Scheduled Principal Balance.
Cumulative Realized
Losses Test: The Cumulative Realized Losses Test is satisfied for
any Payment Date if the cumulative realized loss
ratio for the loans for such Payment Date is less
than or equal to the percentage set forth below for
the specified period:
Month Percentage
----- ----------
37 - 48 3.65%
49 - 60 4.75%
61 - 84 5.50%
85 and 6.00%
thereafter
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
6
<PAGE>
PRINCIPAL DISTRIBUTIONS (cont'd)
--------------------------------
Rolling Loss Test: The Rolling Loss Test is satisfied for any Payment
Date if the percentage obtained by dividing (i) the
aggregate losses on the loans during the 12 months
preceding a payment date, by (ii) the Pool Scheduled
Principal Balance at the beginning of such 12 month
period, is less than the percentage set forth below
at the specified period:
Month Percentage
----- ----------
37 - 48 2.50%
49 - 72 3.00%
73 - 84 2.00%
85 and 1.00%
thereafter
Pool Scheduled Principal
Balance: The Pool Scheduled Principal Balance means, for any
Payment Date, the aggregate Scheduled Principal
Balance for such Payment Date of all Loans that were
outstanding during the immediately preceding due
period.
Class A Formula
Principal Distribution
Amount: If the Payment Date is prior to the Stepdown Date or
a Trigger Event exists, the Formula Principal
Distribution Amount for such Payment Date (but in no
event greater than the then outstanding Class A
Principal Balance). If the Payment Date is on or
after the Stepdown Date and no Trigger Event exists,
the excess of (A) the Class A Principal Balance (B)
over the lesser of (a) 83.00% of the Pool Scheduled
Principal Balance or (b) the Pool Scheduled Principal
Balance less 2.00% of the Pool Scheduled Principal
Balance as of the Cut-off Date.
Class B-1 Formula
Principal Distribution
Amount: If the Payment Date is (A) prior to the Stepdown Date
or (B) on or after the Stepdown Date and a Trigger
Event exists, the Formula Principal Distribution
Amount less the Class A Formula Principal
Distribution Amount (but in no event more than the
then outstanding Class B-1 Principal Balance). If the
Payment Date is on or after the Stepdown Date and no
Trigger Event exists, the excess (but in no event
more than the then outstanding Class B-1 Principal
Balance) of (i) the sum of (A) the Class A Principal
Balance and (B) the Class B-1 Adjusted Principal
Balance minus the amount of principal actually
distributed on such Payment Date on the Class A
Certificates over (ii) the lesser of (a) 84.20% of
the Pool Scheduled Principal Balance or (b) the Pool
Scheduled Principal Balance less 2.00% of the Pool
Scheduled Principal Balance as of the Cut-off Date.
Class B-2 Formula
Principal Distribution
Amount: If the Payment Date is (A) prior to the Stepdown Date
or (B) on or after the Stepdown Date and a Trigger
Event exists, the Formula Principal Distribution
Amount less the sum of the Class A Formula Principal
Distribution Amount and the Class B-1 Formula
Principal Distribution Amount (but in no event
greater than the then outstanding Class B-2 Principal
Balance). If the Payment Date is on or after the
Stepdown Date and no Trigger Event exists, the excess
(but in no event more than the then outstanding Class
B-2 Principal Balance) of (i) the sum of the Class A
Principal Balance, the Class B-1 Adjusted Principal
Balance and the Class B-2 Adjusted Principal Balance
minus the amount of principal actually distributed on
such Payment Date on the Class A and the Class B-1
Certificates over (ii) the lesser of (a) 96.00% of
the Pool Scheduled Principal Balance or (b) the Pool
Scheduled Principal Balance less 2.00% of the Pool
Scheduled Principal Balance as of the Cut-off Date.
Overcollateralization: There will be initial overcollateralization of
approximately 0.0% building to the Target
Overcollateralization Amount (as described herein).
The Certificateholders will be entitled to receive
additional distributions in respect of principal on
each Payment Date to the extent there is any amount
available remaining after payment of all interest and
principal on the Certificates, the Monthly Servicing
Fee to the Servicer, and the FSA insurance fee for
such Payment Date, until the overcollateralization
amount equals the Target Overcollateralization
Amount. Such additional distributions in respect of
principal will be paid in accordance with the
distribution priorities described herein and in the
Prospectus Supplement.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
7
<PAGE>
PRINCIPAL DISTRIBUTIONS (cont'd)
--------------------------------
Target
Overcollateralization
Amount: If an Overcollateralization Trigger Event does not
exist, the Target Overcollateralization Amount will
equal 2.00% of the sum of (A) the aggregate Cut-off
Date principal balance of Loans included in the Trust
as of the Closing Date and (B) the amount on deposit
in the Pre-Funding Account on the Closing Date.
If an Overcollateralization Trigger Event exists, the
Target Overcollateralization Amount will equal the
greater of (i) 2.00% of the sum of (A) the aggregate
Cut-off Date principal balance of Loans included in
the Trust as of the Closing Date and (B) the amount
on deposit in the Pre-Funding Account on the Closing
Date, or (ii) the aggregate principal balance of all
90 day and over delinquent loans (including
foreclosures and REOs) minus the current balance of
the subordinate certificates.
Overcollateralization
Trigger Event: An Overcollateralization Trigger Event will exist on
any Payment Date on which:
(i) The three month rolling average of the 90
plus day delinquencies (including
foreclosures and REOs) exceeds 50% of the
Senior Enhancement Percentage; or,
(ii) The Overcollateralization Cumulative
Realized Losses Test is not satisfied; or,
(iii) The Overcollateralization Rolling Loss Test
is not satisfied.
Overcollateralization
Cumulative Realized
Losses Test: The Overcollateralization Cumulative Realized Losses
Test is satisfied for any Payment Date if the
cumulative realized loss ratio for the loans for such
Payment Date is less than or equal to the percentage
set forth below for the specified period:
Month Percentage
----- ----------
1 - 12 1.95%
13 - 24 2.70%
25 - 36 4.65%
37 - 48 5.50%
49 - 84 5.75%
85 and 6.25%
thereafter
Overcollateralization
Rolling Loss Test: The Overcollateralization Rolling Loss Test is
satisfied for any Payment Date if the percentage
obtained by dividing (i) aggregate losses on the
loans during the 12 months preceding a payment date,
by (ii) the Pool Scheduled Principal Balance at the
beginning of such 12 month period is less than the
percentage set forth below at the specified period:
Month Percentage
----- ----------
1 - 24 1.25%
25 - 36 1.75%
37 - 48 2.75%
49 - 72 3.25%
73 - 84 2.25%
85 and 1.25%
thereafter
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
8
<PAGE>
PRINCIPAL DISTRIBUTIONS (cont'd)
--------------------------------
Subordination
Percentage: Credit enhancement with respect to the Certificates
will be provided by subordination,
overcollateralization, and, with respect to the Class
A Certificates, the FSA insurance policy.
Initial Subordination:
----------------------
Class Percent
----- -------
A 6.50%
B-1 5.90%
B-2 0.00%
After Stepdown Date:
--------------------
Class Target Percent
----- --------------
A 17.00%
B-1 15.80%
B-2 4.00%
FSA Insurance Policy: FSA will issue a financial guaranty certificate
insurance policy pursuant to which it will
irrevocably and unconditionally guarantee the timely
payment of interest and ultimate payment of principal
on the Class A Certificates.
Servicer Termination
Rights: FSA will have the right but not the obligation to
terminate the Servicer in the event that the Servicer
is in default under the terms of the Pooling and
Servicing Agreement, or if the Servicer Termination
Delinquency Test, Servicer Termination Cumulative
Realized Losses Test, or Servicer Termination Rolling
Loss Test are not satisfied.
Servicer Termination
Delinquency Test: The Servicer Termination Delinquency Test is
satisfied for any Payment Date if the three month
rolling average of the 90 plus day delinquencies
(including foreclosures and REOs) exceeds 52% of the
Senior Enhancement Percentage.
Servicer Termination
Cumulative Loss Test: The Servicer Termination Cumulative Loss Test is
satisfied for any Payment Date if the cumulative
realized loss ratio for the loans for such Payment
Date is less than or equal to the percentage set
forth below for the specified period:
Month Percentage
----- ----------
1 - 12 2.25%
13 - 24 3.00%
25 - 36 4.25%
37 - 48 4.75%
49 - 60 5.25%
61 and thereafter 6.00%
Servicer Termination
Rolling Loss Test: The Servicer Termination Rolling Loss Test is
satisfied for any Payment Date if the percentage
obtained by dividing (i) aggregate losses on the
loans during the 12 months preceding a Payment Date,
by (ii) the Pool Scheduled Principal Balance at the
beginning of such 12 month period is less than or
equal to the percentage set forth below for the
specified period:
Month Percentage
----- ----------
1 - 24 1.50%
25 - 36 2.00%
37 - 48 3.00%
49 - 72 3.50%
73 - 84 2.50%
85 and 1.50%
thereafter
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
9
<PAGE>
PRINCIPAL DISTRIBUTIONS (cont'd)
--------------------------------
Losses on Liquidated
Loans: If net liquidation proceeds from liquidated loans in
the respective collection period are less than the
scheduled principal balance of such liquidated loans
plus accrued and unpaid interest thereon, the
deficiency (a "Liquidation Loss Amount") will be
absorbed first by the Class C Certificateholders,
then by the Servicing Fee otherwise payable to the
Servicer (as long as Conseco Finance is the
Servicer), then by a reduction in the
overcollateralization amount, if any, then by the
Class B-2 Certificateholders, then by the Class B-1
Certificateholders, and then by the FSA financial
guaranty certificate insurance policy.
Purchase Option
Auction Sale: Beginning on the Payment Date when the scheduled
principal balance of the loans is less than 20% of
the Cut-off Date Pool Principal Balance of the loans,
the holder of the Class C Certificates will have the
right to repurchase all of the outstanding loans, at
a price sufficient to pay the aggregate unpaid
principal balance of the certificates and all accrued
and unpaid interest thereon.
If the holder of the Class C Certificates does not
exercise this Purchase Option, then on the next
Payment Date the Trustee will begin an auction
process to sell the loans and the other trust assets,
but the Trustee cannot sell the trust assets and
liquidate the trust unless the proceeds of that sale
are sufficient to pay the aggregate unpaid principal
balance of the certificates and all accrued and
unpaid interest thereon. If the first auction of the
trust property is not successful because the highest
bid received is too low, then the Trustee will
conduct an auction of the loans every third month
thereafter, unless and until an acceptable bid is
received for the trust property.
If the Purchase Option is not exercised by the holder
of the Class C Certificates, excess cashflow after
all payments of interest and principal due on all
certificates and payment of monthly servicing fee are
made will be used to paydown principal as follows:
(i) first, to the Class A Certificates pro rata
until the principal balance of the Class A
Certificates is reduced to zero,
(ii) second, to the Class B-1 Certificates and
the Class B-2 Certificates, pro-rata based
on the outstanding principal balance, until
the related certificate principal balances
of the Class B Certificates are reduced to
zero.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
10
<PAGE>
DESCRIPTION OF THE INITIAL LOANS
--------------------------------
Summary
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------------------------------
Total Minimum Maximum
----- ------- -------
<S> <C> <C> <C>
Statistical Calculation Date Aggregate Principal Balance $ 414,285,152.45
Number of Loans 6,839
Average Original Loan Balance $ 60,763.81 $7,600.00 $ 364,641.95
Average Current Loan Balance $ 60,576.86 $ 7,589.76 $ 364,281.32
Weighted Average Combined LTV 89.92% 5.71% 100.00%
Weighted Average Gross Coupon 12.58% 7.10% 21.74%
Weighted Average Remaining Term to Maturity (months) 284 45 360
Weighted Average Original Term (months) 286 48 360
Weighted Average FICO Credit Score 625
Weighted Average Debt to Income Ratio 42.8%
--------------------------------------------------------------------------------------------------------------------------
</TABLE>
--------------------------------------------------------------------------------
Percent of Cut-Off
Date Principal Balance
----------------------
Fully Amortizing Loans 74.8%
Balloon Home Equity Loans 25.2%
Lien Position
First 75.7%
Second 24.1%
Third 0.3%
Property Type
Single Family 92.3%
Manufactured 5.3%
Condominium 0.9%
Occupancy Status
Primary 97.9%
Investment 2.1%
Geographic Distribution*
California 10.8%
New York 6.3%
Florida 5.8%
Michigan 5.6%
Credit Grade
A-1 56.6%
A-2 20.6%
B 17.6%
C 4.1%
D 1.0%
Delinquency
0 - 29 Days 98.2%
30 - 59 Days 1.8%
--------------------------------------------------------------------------------
*No other state constitutes more than 5.0% of the initial collateral pool.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
11
<PAGE>
DESCRIPTION OF THE INITIAL LOANS (Cont'd)
-----------------------------------------
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------------------
GEOGRAPHIC DISTRIBUTION
Number of Loans Aggregate Principal % of Outstanding
as of the Balance Outstanding as of Principal Balance as of
State or Statistical the Statistical the Statistical
Territory Calculation Date Calculation Date Calculation Date (1)
-------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Alabama 250 $ 15,006,449.50 3.62%
Arizona 151 7,380,003.51 1.78
Arkansas 69 4,267,132.36 1.03
California 596 44,568,109.83 10.76
Colorado 162 10,715,799.79 2.59
Connecticut 168 9,825,687.71 2.37
Delaware 29 1,996,423.46 0.48
Florida 334 23,923,798.78 5.77
Georgia 222 15,301,086.82 3.69
Idaho 42 2,564,411.62 0.62
Illinois 248 12,887,509.82 3.11
Indiana 134 7,312,770.89 1.77
Iowa 139 7,159,527.36 1.73
Kansas 126 6,439,591.53 1.55
Kentucky 66 3,700,528.04 0.89
Louisiana 129 7,267,709.52 1.75
Maine 37 1,547,726.02 0.37
Maryland 152 9,176,041.46 2.21
Massachusetts 133 7,411,187.09 1.79
Michigan 408 23,049,093.43 5.56
Minnesota 151 8,648,305.97 2.09
Mississippi 89 4,723,438.41 1.14
Missouri 240 13,638,595.63 3.29
Montana 18 874,435.91 0.21
Nebraska 83 5,301,703.07 1.28
Nevada 85 4,945,427.78 1.19
New Hampshire 18 1,092,615.38 0.26
New Jersey 109 6,423,520.72 1.55
New Mexico 29 2,340,187.14 0.56
New York 443 26,118,742.07 6.30
North Carolina 225 15,222,326.47 3.67
North Dakota 21 829,292.92 0.20
Ohio 226 13,366,311.67 3.23
Oklahoma 104 5,532,518.95 1.34
Oregon 53 3,234,695.57 0.78
Pennsylvania 357 17,337,182.17 4.18
Rhode Island 38 2,290,062.71 0.55
South Carolina 133 7,910,458.40 1.91
South Dakota 33 1,979,897.53 0.48
Tennessee 116 8,624,558.36 2.08
Utah 31 1,509,659.66 0.36
Vermont 21 1,023,024.19 0.25
Virginia 254 15,128,139.38 3.65
Washington 129 11,429,640.47 2.76
Washington D.C. 15 721,765.47 0.17
West Virginia 44 2,485,237.30 0.60
Wisconsin 105 5,682,877.98 1.37
Wyoming 74 4,369,942.63 1.05
-------------------------------------------------------------------------------------------------------------------
Total: 6,839 $ 414,285,152.45 100.00%
</TABLE>
(1) Percentages may not add to 100% due to rounding.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
12
<PAGE>
DESCRIPTION OF THE INITIAL LOANS (Cont'd)
-----------------------------------------
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------------------
ORIGINAL LOAN AMOUNT DISTRIBUTION
Number of Loans Aggregate Principal % of Outstanding
Range of as of the Balance Outstanding as of Principal Balance as of
Original Statistical the Statistical the Statistical
Loan Amount Calculation Date Calculation Date Calculation Date (1)
-------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Less than 10,000 1 $ 7,589.76 *
10,000 - 19,999 975 14,370,961.57 3.47%
20,000 - 29,999 1,089 26,653,402.04 6.43
30,000 - 39,999 850 29,101,882.15 7.02
40,000 - 49,999 663 29,383,187.42 7.09
50,000 - 59,999 615 33,432,043.11 8.07
60,000 - 69,999 511 32,970,587.01 7.96
70,000 - 79,999 414 30,804,271.54 7.44
80,000 - 89,999 343 28,795,568.40 6.95
90,000 - 99,999 267 25,162,555.35 6.07
100,000 - 109,999 216 22,478,731.17 5.43
110,000 - 119,999 179 20,503,504.94 4.95
120,000 - 129,999 148 18,446,554.89 4.45
130,000 - 139,999 122 16,265,441.48 3.93
140,000 - 149,999 82 11,766,474.92 2.84
150,000 - 159,999 74 11,417,801.91 2.76
160,000 - 169,999 45 7,386,071.97 1.78
170,000 - 179,999 44 7,638,098.50 1.84
180,000 - 189,999 27 4,959,640.47 1.20
190,000 - 199,999 34 6,575,319.26 1.59
200,000 - 209,999 20 4,070,786.73 0.98
210,000 - 219,999 15 3,209,490.09 0.77
220,000 - 229,999 17 3,812,938.72 0.92
230,000 - 239,999 10 2,327,378.06 0.56
240,000 - 249,999 5 1,219,771.57 0.29
250,000 - 259,999 6 1,531,125.97 0.37
260,000 - 269,999 13 3,417,560.69 0.82
270,000 - 279,999 11 3,013,685.13 0.73
280,000 - 289,999 6 1,718,504.57 0.41
290,000 - 299,999 8 2,340,609.41 0.56
300,000 - 309,999 7 2,134,451.19 0.52
310,000 - 319,999 4 1,266,413.62 0.31
320,000 - 329,999 5 1,612,830.30 0.39
330,000 - 339,999 5 1,672,547.94 0.40
340,000 - 349,999 1 349,432.47 0.08
Greater than or equal to 350,000 7 2,467,938.13 0.60
-------------------------------------------------------------------------------------------------------------------
Total: 6,839 $ 414,285,152.45 100.00%
</TABLE>
*Indicates an amount greater than 0.00% but less than 0.005%
(1) Percentages may not add to 100% due to rounding.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
13
<PAGE>
DESCRIPTION OF THE INITIAL LOANS (Cont'd)
-----------------------------------------
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------------------
INTEREST RATE DISTRIBUTION
Number of Loans Aggregate Principal % of Outstanding
Range of Home as of the Balance Outstanding as of Principal Balance as of
Equity Loan Statistical the Statistical the Statistical
Interest Rates Calculation Date Calculation Date Calculation Date (1)
-------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
7.000 - 7.999 8 $ 941,354.60 0.23%
8.000 - 8.999 35 5,175,982.75 1.25
9.000 - 9.999 215 28,007,131.15 6.76
10.000 - 10.999 457 46,390,644.01 11.20
11.000 - 11.999 962 80,958,187.31 19.54
12.000 - 12.999 1,548 113,909,255.64 27.50
13.000 - 13.999 1,144 54,204,590.26 13.08
14.000 - 14.999 1,375 50,091,480.25 12.09
15.000 - 15.999 658 22,841,840.26 5.51
16.000 - 16.999 246 7,080,334.07 1.71
17.000 - 17.999 119 2,998,134.78 0.72
18.000 - 18.999 41 1,158,948.23 0.28
19.000 - 19.999 25 423,473.16 0.10
20.000 - 20.999 4 80,826.46 0.02
21.000 - 21.999 2 22,969.52 0.01
-------------------------------------------------------------------------------------------------------------------
Total: 6,839 $ 414,285,152.45 100.00%
</TABLE>
(1) Percentages may not add to 100% due to rounding.
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------------------
REMAINING MONTHS TO MATURITY
Number of Loans Aggregate Principal % of Outstanding
Range of as of the Balance Outstanding as of Principal Balance as of
Remaining Months Statistical the Statistical the Statistical
to Maturity Calculation Date Calculation Date Calculation Date (1)
-------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
31 - 60 68 $ 1,407,177.68 0.34%
61 - 90 47 1,396,179.51 0.34
91 - 120 468 14,439,160.17 3.49
121 - 150 49 2,115,720.22 0.51
151 - 180 1,049 45,001,575.83 10.86
181 - 210 11 524,355.36 0.13
211 - 240 2,294 111,227,495.73 26.85
241 - 270 4 225,790.76 0.05
271 - 300 1,081 72,457,295.18 17.49
301 - 330 6 429,806.69 0.10
331 - 360 1,762 165,060,595.32 39.84
-------------------------------------------------------------------------------------------------------------------
Total: 6,839 $ 414,285,152.45 100.00%
</TABLE>
(1) Percentages may not add to 100% due to rounding.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
14
<PAGE>
DESCRIPTION OF THE INITIAL LOANS (Cont'd)
-----------------------------------------
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------------------
LIEN POSITION
Number of Loans Aggregate Principal % of Outstanding
as of the Balance Outstanding as of Principal Balance as of
Statistical the Statistical the Statistical
Lien Calculation Date Calculation Date Calculation Date (1)
-------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
First 3,751 $ 313,434,247.76 75.66%
Second 3,045 99,792,581.25 24.09
Third 43 1,058,323.44 0.26
-------------------------------------------------------------------------------------------------------------------
Total: 6,839 $ 414,285,152.45 100.00%
</TABLE>
(1) Percentages may not add to 100% due to rounding.
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------------------
COMBINED LOAN-TO-VALUE RATIO
Number of Loans Aggregate Principal % of Outstanding
Range of Combined as of the Balance Outstanding as of Principal Balance as of
Loan-to-Value Statistical the Statistical the Statistical
Ratios Calculation Date Calculation Date Calculation Date (1)
-------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
5.01 - 10.00 4 $ 67,897.00 0.02%
10.01 - 15.00 4 79,503.36 0.02
15.01 - 20.00 14 372,279.25 0.09
20.01 - 25.00 16 459,803.12 0.11
25.01 - 30.00 21 664,195.83 0.16
30.01 - 35.00 27 881,662.72 0.21
35.01 - 40.00 28 919,722.97 0.22
40.01 - 45.00 43 1,505,575.85 0.36
45.01 - 50.00 58 2,418,254.18 0.58
50.01 - 55.00 41 1,841,732.88 0.44
55.01 - 60.00 83 3,441,081.46 0.83
60.01 - 65.00 107 5,044,575.17 1.22
65.01 - 70.00 168 8,489,428.17 2.05
70.01 - 75.00 240 11,709,719.39 2.83
75.01 - 80.00 417 22,827,231.66 5.51
80.01 - 85.00 661 37,417,595.02 9.03
85.01 - 90.00 1,145 68,165,341.57 16.45
90.01 - 95.00 1,879 122,386,903.24 29.54
95.01 - 100.00 1,883 125,592,649.61 30.32
-------------------------------------------------------------------------------------------------------------------
Total: 6,839 $ 414,285,152.45 100.00%
</TABLE>
(1) Percentages may not add to 100% due to rounding.
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
15
<PAGE>
DESCRIPTION OF THE INITIAL LOANS (Cont'd)
-----------------------------------------
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------------------
YEAR OF ORIGINATION
Number of Loans Aggregate Principal % of Outstanding
as of the Balance Outstanding as of Principal Balance as of
Year of Statistical the Statistical the Statistical
Origination Calculation Date Calculation Date Calculation Date (1)
-------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
1989 1 $ 12,110.41 *
1995 3 57,316.89 0.01%
1997 8 237,330.16 0.06
1998 14 689,441.82 0.17
1999 224 12,591,669.02 3.04
2000 6,589 400,697,284.15 96.72
-------------------------------------------------------------------------------------------------------------------
Total: 6,839 $ 414,285,152.45 100.00%
</TABLE>
*Indicates an amount greater than 0.00% but less than 0.005%
(1) Percentages may not add to 100% due to rounding.
------------------------------------------------------------------------------
Assumed Additional Loan Characteristics
------------------------------------------------------------------------------
Cut-off Date Pool Wtd. Avg. Wtd. Avg. Wtd. Avg. Orig Wtd. Avg.
Pool Principal Balance Loan Rate WAM (Mo) Term (Mo) Amort Term
==============================================================================
1 81,454,944.56 12.270 215 215 359
2 13,792,796.03 13.355 111 111 111
3 37,911,580.29 12.990 178 178 178
4 88,266,470.00 13.136 240 240 240
5 107,543,611.93 12.078 328 328 328
------------------------------------------------------------------------------
328,969,402.80
Assumed Subsequent Loan Characteristics
------------------------------------------------------------------------------
Cut-off Date Pool Wtd. Avg. Wtd. Avg. Wtd. Avg. Orig Wtd. Avg.
Pool Principal Balance Loan Rate WAM (Mo) Term (Mo) Amort Term
==============================================================================
1 57,416,283.17 12.270 215 215 359
2 11,169,288.17 13.355 111 111 111
3 31,855,967.20 12.990 178 178 178
4 64,637,413.33 13.136 240 240 240
5 84,921,048.13 12.078 328 328 328
------------------------------------------------------------------------------
250,000,000.00
------------------------------------------------------------------------------
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
16
<PAGE>
PREPAYMENT SCENARIOS - TO 20% CALL
----------------------------------
<TABLE>
<CAPTION>
-------------------
Pricing
---------------------------------------------------------------------------------------------------------------------------
PPC 75% 100% 125% 150% 175%
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
A-1 (To Call)
Average Life (yrs.) 1.43 1.16 1.00 0.89 0.80
First - Last Payment Date 07/00-04/03 07/00-08/02 07/00-04/02 07/00-01/02 07/00-11/01
Payment Windows (mos.) 1 - 34 (34) 1 - 26 (26) 1 - 22 (22) 1 - 19 (19) 1 - 17 (17)
A-2 (To Call)
Average Life (yrs.) 3.08 2.42 2.00 1.72 1.51
First - Last Payment Date 04/03-11/03 08/02-02/03 04/02-09/02 01/02-05/02 11/01-02/02
Payment Windows (mos.) 34 - 41 (8) 26 - 32 (7) 22 - 27 (6) 19 - 23 (5) 17 - 20 (4)
A-3 (To Call)
Average Life (yrs.) 4.76 3.69 3.00 2.50 2.15
First - Last Payment Date 11/03-12/06 02/03-07/05 09/02-07/04 05/02-11/03 02/02-03/03
Payment Windows (mos.) 41 - 78 (38) 32 - 61 (30) 27 - 49 (23) 23 - 41 (19) 20 - 33 (14)
A-4 (To Call)
Average Life (yrs.) 8.01 6.20 5.00 4.18 3.50
First - Last Payment Date 12/06-08/09 07/05-08/07 07/04-03/06 11/03-04/05 03/03-07/04
Payment Windows (mos.) 78 - 110 (33) 61 - 86 (26) 49 - 69 (21) 41 - 58 (18) 33 - 49 (17)
A-5 (To Call)
Average Life (yrs.) 9.13 7.13 5.71 4.80 4.05
First - Last Payment Date 08/09-08/09 08/07-08/07 03/06-03/06 04/05-04/05 07/04-07/04
Payment Windows (mos.) 110 - 110 (1) 86 - 86 (1) 69 - 69 (1) 58 - 58 (1) 49 - 49 (1)
B-1 (To Call)
Average Life (yrs.) 7.51 5.83 4.71 4.05 3.65
First - Last Payment Date 12/04-08/09 12/03-08/07 07/03-03/06 08/03-04/05 09/03-07/04
Payment Windows (mos.) 54 - 110 (57) 42 - 86 (45) 37 - 69 (33) 38 - 58 (21) 39 - 49 (11)
B-2 (To Call)
Average Life (yrs.) 6.96 5.40 4.38 3.78 3.43
First - Last Payment Date 12/04-08/09 12/03-08/07 07/03-03/06 07/03-04/05 07/03-07/04
Payment Windows (mos.) 54 - 110 (57) 42 - 86 (45) 37 - 69 (33) 37 - 58 (22) 37 - 49 (13)
-------------------
</TABLE>
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
17
<PAGE>
PREPAYMENT SCENARIOS - TO MATURITY
----------------------------------
<TABLE>
<CAPTION>
-------------------
Pricing
---------------------------------------------------------------------------------------------------------------------------
PPC 75% 100% 125% 150% 175%
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
A-1 (To Maturity)
Average Life (yrs.) 1.43 1.16 1.00 0.89 0.80
First - Last Payment Date 07/00-04/03 07/00-08/02 07/00-04/02 07/00-01/02 07/00-11/01
Payment Windows (mos.) 1 - 34 (34) 1 - 26 (26) 1 - 22 (22) 1 - 19 (19) 1 - 17 (17)
A-2 (To Maturity)
Average Life (yrs.) 3.08 2.42 2.00 1.72 1.51
First - Last Payment Date 04/03-11/03 08/02-02/03 04/02-09/02 01/02-05/02 11/01-02/02
Payment Windows (mos.) 34 - 41 (8) 26 - 32 (7) 22 - 27 (6) 19 - 23 (5) 17 - 20 (4)
A-3 (To Maturity)
Average Life (yrs.) 4.76 3.69 3.00 2.50 2.15
First - Last Payment Date 11/03-12/06 02/03-07/05 09/02-07/04 05/02-11/03 02/02-03/03
Payment Windows (mos.) 41 - 78 (38) 32 - 61 (30) 27 - 49 (23) 23 - 41 (19) 20 - 33 (14)
A-4 (To Maturity)
Average Life (yrs.) 8.38 6.45 5.20 4.28 3.56
First - Last Payment Date 12/06-11/14 07/05-04/12 07/04-05/10 11/03-01/09 03/03-11/07
Payment Windows (mos.) 78 - 173 (96) 61 - 142 (82) 49 - 119 (71) 41 - 103 (63) 33 - 89 (57)
A-5 (To Maturity)
Average Life (yrs.) 11.58 9.27 7.63 6.53 5.65
First - Last Payment Date 09/09-11/14 09/07-04/12 04/06-05/10 05/05-01/09 08/04-11/07
Payment Windows (mos.) 111 - 173 (63) 87 - 142 (56) 70 - 119 (50) 59 - 103 (45) 50 - 89 (40)
B-1 (To Maturity)
Average Life (yrs.) 9.57 7.58 6.21 5.28 4.71
First - Last Payment Date 12/04-05/15 12/03-09/12 07/03-09/10 08/03-04/09 09/03-02/08
Payment Windows (mos.) 54 - 179 (126) 42 - 147 (106) 37 - 123 (87) 38 - 106 (69) 39 - 92 (54)
B-2 (To Maturity)
Average Life (yrs.) 7.82 6.03 4.87 4.10 3.65
First - Last Payment Date 12/04-05/15 12/03-09/12 07/03-09/10 07/03-04/09 07/03-02/08
Payment Windows (mos.) 54 - 179 (126) 42 - 147 (106) 37 - 123 (87) 37 - 106 (70) 37 - 92 (56)
-------------------
</TABLE>
Recipients must read the statement printed on the attached cover. Do not use or
rely on this information if you have not received and reviewed this statement.
If you have not received this statement, call your Lehman Brothers account
executive for another copy.
18
