<PAGE>
EXHIBIT 99.1
Term Sheet Dated June 6, 2000
$370,800,000 (approximate)
[LOGO OF CONSECO]
Conseco Finance Securitizations Corp.
Seller
Conseco Finance Corp.
Servicer
Certificates for Home Equity Loans Series 2000-C
--------------------------------------------------------------------------------
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superseded by any subsequent versions (including, with respect to any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 6, 2000
Conseco Finance Securitizations Corp.
Certificates for Home Equity Loans, Series 2000-C
$370,800,000 (Approximate)
Subject to Revision
SELLER: Conseco Finance Securitizations Corp.
SERVICER: Conseco Finance Corp. ("Conseco")
TRUSTEE: U.S. Bank Trust National Association
UNDERWRITER: Lehman Brothers
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------------------------------
Offered Certificates
------------ ---------- ------- ----------- ----------- ------------------ ----------------- ----------------- --------------------
Est. WAL Est. WAL Est. Prin. Window Est. Prin. Window Final Expected Ratings
Approx. (yrs) (yrs) (mos) (mos) Scheduled
Class Size ($MM) Type To Call (1) To Maturity To Call (1) To Maturity Distribution Date S&P/Fitch/Moody's
------------ ---------- ------- ----------- ----------- ------------------ ----------------- ----------------- --------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
A (2) 310.80 Senior 1.77 1.91 1 - 54 (54) 1 - 79 (79) 10/15/2031 AAA/AAA/Aaa
------------ ---------- ------- ----------- ----------- ------------------ ----------------- ----------------- --------------------
M-1 (2) 25.40 Mezz. 4.26 5.31 45 - 54 (10) 45 - 103 (59) 10/15/2031 AA/AA/Aa2
------------ ---------- ------- ----------- ----------- ------------------ ----------------- ----------------- --------------------
M-2 (2) 24.40 Mezz. 4.02 5.05 41 - 54 (14) 41 - 103 (63) 10/15/2031 A/A/A2
------------ ---------- ------- ----------- ----------- ------------------ ----------------- ----------------- --------------------
B-1 (2) 10.20 Sub. 3.93 4.95 39 - 54 (16) 39 - 103 (65) 10/15/2031 BBB+/BBB+/Baa1
------------ ---------- ------- ----------- ----------- ------------------ ----------------- ----------------- --------------------
</TABLE>
(1) The Certificates are priced to a 20% call, as further described herein.
(2) The Pass-Through rate shall equal the lesser of one-month LIBOR plus the
applicable margin or the Available Funds Pass-Through Rate described
herein, but in no case more than 14%.
--------------------------------------------------------------------------------
Pricing Speed
--------------------------------------------------------------------------------
30% CPR
--------------------------------------------------------------------------------
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%.
Underwriter: Lehman Brothers
Rating Agencies: Standard & Poors, Moody's Investors Service and Fitch
IBCA
Statistical
Calculation Date: April 30, 2000
Expected Cut-off Date: The trust will be entitled to receive
all payments due after April 30, 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 May 31, 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 9, 2000
Expected Pricing Date: Week of June 5, 2000
Registration: The Offered Certificates will be available in
book-entry form through DTC, Euroclear and/or
Clearstream.
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 on July 17, 2000.
Day Count: Actual/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 Class A and the Class M-1 Certificates will not
constitute "mortgage related securities" under the
Secondary Mortgage Market Enhancement Act of 1984
("SMMEA") until such time as the amount in the
Pre-Funding Account is reduced to zero. At such time,
the Class A and Class M-1 Certificates will be "legal
investments" for certain types of institutional
investors to the extent provided in SMMEA. The Class
M-2, Class B-1 and Class B-2 Certificates are not
SMMEA eligible.
Initial 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 April 30, 2000. The Initial
Loans consist primarily of conventional, fully
amortizing, first lien, adjustable rate closed end,
one- to four-family residential mortgage loans. The
Initial Loans consist of 1,848 loans, with a
principal balance of approximately $216,042,371.
Additional Collateral: Between the Statistical Calculation Date and the
Expected Closing Date, the Seller expects to deposit
Additional Loans ("Additional Loans"). It is expected
that the Additional Loans will have characteristics
which are substantially similar to the Initial Loans.
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>
Pre-Funding Feature
and Subsequent Loans: On the Closing Date, a portion of the proceeds from
the sale of the 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 Certificateholders, then
to the Class M-1, Class M-2, Class B-1 and B-2
Certificateholders, in that order of priority.
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, 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 Certificateholder.
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, M-1, M-2
B-1 Certificates: On each Payment Date the Amount Available will be
distributed to pay interest as follows:
o first to the Class A Certificates,
o then to the Class M-1 Certificates,
o then to the Class M-2 Certificates, and
o then to the Class B-1 Certificates.
Interest will accrue on the outstanding Class A
principal balance, Class M-1 adjusted principal
balance, Class M-2 adjusted principal balance, and
Class B-1 adjusted principal balance, at the related
pass-through rate calculated on an Actual/360 basis.
Interest on the outstanding Class A principal
balance, Class M-1 adjusted principal balance, Class
M-2 adjusted principal balance and Class B-1 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
M-1, M-2 and B-1 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. 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.
A, M-1
M-2, B-1 Pass-
Through Rate: The pass-through rate for the Class A, M-1, M-2, and
B-1 Certificates will be floating and for any monthly
period will equal the lesser of one-month LIBOR plus
the pass-through margin or the Available Funds
Pass-Through Rate, but in no case more than 14.0%.
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 the loans is equal to the then
applicable loan interest rate thereon, minus the
Servicing Fee, which is 0.50% per annum.
Available Funds Cap
Carryover Amount: If on any Payment Date, the pass-through rate for a
class of certificates is based on the Available Funds
Pass-Through Rate, holders of that class of
certificates will be entitled to receive the
Available Funds Cap Carryover Amount to the extent
funds are available.
The "Available Funds Cap Carryover Amount" is the sum
of (1) the excess of (A) the amount of interest that
class of Certificateholders would be entitled to
receive on such Payment Date had interest been
calculated based on one-month LIBOR plus the
applicable pass-through margin (but in no event
exceeding 14.00%) over (B) the amount of interest
that class would receive on that Payment Date at the
Available Funds Pass-Through Rate, and (2) the unpaid
portion of any such excess from prior Payment Dates
(and interest accrued thereon at the then applicable
pass-through rate, without giving effect to the
Available Funds Pass-Through Rate, but in no event
exceeding 14.00%).
The ratings assigned to the Offered Certificates do
not address the likelihood of the payment of the
Available Funds Cap Carryover Amount.
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
M-1, Class M-2, and Class B-1 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 M-1 Certificates, the Class M-1 Formula Principal
Distribution Amount;
iii) then, to the Class M-2 Certificates, the Class M-2 Formula Principal
Distribution Amount; and
iv) then, to the Class B-1 Certificates, the Class B-1 Formula Principal
Distribution Amount.
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.
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
55.40% of the Pool Scheduled Principal Balance.
Trigger Event: A Trigger Event will exist on any Payment Date on
which:
(1) The three month rolling average of the 60 plus
day delinquencies exceeds 40% of the Senior
Enhancement Percentage, or;
(2) The Cumulative Realized Losses 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) the principal balance of the most
senior class of certificates outstanding, 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 4.20%
49 - 60 5.00%
61 - 84 5.25%
85 and thereafter 5.75%
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, as applicable, for such Payment
Date (but in no event greater than the 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 over
(B) the lesser of (a) 55.40% of the Pool Scheduled
Principal Balance or (b) the Pool Scheduled Principal
Balance less 1.5% of the Pool Scheduled Principal
Balance as of the Cut-off Date.
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>
Class M-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 greater than the
Class M-1 Principal Balance). If the Payment Date is
on or after the related Stepdown Date and no Trigger
Event exists, the excess (but in no event more than
the Class M-1 Principal Balance) of (i) the sum of
the Class A Principal Balance and the Class M-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) 68.10% of the Pool Scheduled Principal Balance or
(b) the Pool Scheduled Principal Balance less 1.5% of
the Pool Scheduled Principal Balance as of the
Cut-off Date.
Class M-2 Formula
Principal Distribution
Amount: If the Payment Date is (A) prior to the Stepdown Date
or (B) on or after 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 M-1 Formula
Principal Distribution Amount (but in no event
greater than the Class M-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 Class M-2 Principal Balance) of (i) the
sum of (A) the Class A Principal Balance, (B) the
Class M-1 Adjusted Principal Balance and (C) the
Class M-2 Adjusted Principal Balance minus the amount
of principal actually distributed on such Payment
Date on the Class A and Class M-1 Certificates over
(ii) the lesser of (a) 80.30% of the Pool Scheduled
Principal Balance or (b) the Pool Scheduled Principal
Balance less 1.5% 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) before 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, the Class M-1 Formula Principal
Distribution Amount and the Class M-2 Formula
Principal Distribution Amount (but in no event more
than the 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 Class B-1 Principal Balance) of (i) the sum of
(A) the Class A Principal Balance, (B) the Class M-1
Adjusted Principal Balance, (C) the Class M-2
Adjusted Principal Balance and (D) the Class B-1
Adjusted Principal Balance minus the amount of
principal actually distributed on such Payment Date
on the Class A, Class M-1 and Class M-2 Certificates
over (ii) the lesser of (a) 85.40% of the Pool
Scheduled Principal Balance or (b) the Pool Scheduled
Principal Balance less 1.5% of the Pool Scheduled
Principal Balance as of the Cut-off Date.
Initial
Overcollateralization: The sum of the aggregate Cut-Off Date principal
balance of the loans included in the trust as of the
Closing Date, plus any amount on deposit in the
Pre-Funding Account, will exceed the aggregate
principal balance of the certificates on the Closing
Date by approximately $6,000,000, which represents
approximately 1.5% of the aggregate Cut-Off Date
principal balance of the loans included in the trust
as of the Closing Date, plus any amount on deposit in
the Pre-Funding Account on the Closing Date.
B-2 INTEREST AND PRINCIPAL DISTRIBUTIONS
----------------------------------------
Class B-2 Interest: After payment of all interest and principal due on
the Class A, Class M-1, Class M-2 and Class B-1
Certificates, interest will be paid to the Class B-2
Certificateholders in an amount equal to the product
of (a) the Class B-2 pass-through rate and (b) the
then outstanding Class B-2 principal balance.
Interest will be computed on an Actual/360 basis.
Interest shortfalls will be carried forward, and will
accrue interest at the B-2 pass-through rate, to the
extent legally permissible.
Class B-2 Principal: 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, the Class M-1 Formula Principal
Distribution Amount, the Class M-2 Formula Principal
Distribution Amount, and the Class B-1 Formula
Principal Distribution Amount (but in no event
greater than the 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 Class B-2 Principal Balance) of (i) the
sum of the Class A Principal Balance, the Class M-1
Adjusted Principal Balance, the Class M-2 Adjusted
Principal Balance, the Class B-1 Adjusted Principal
Balance and the Class B-2 Principal Balance minus the
amount of principal actually distributed on such
Payment Date on the Class A, Class M-1, Class M-2 and
Class B-1 Certificates over (ii) the lesser of (a)
97.00% of the Pool Scheduled Principal Balance or (b)
the Pool Scheduled Principal Balance less 1.5% of the
Pool Scheduled Principal Balance as of the Cut-off
Date.
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>
Credit Support
Percentage: Initial Credit Support
----------------------
Moody's/S&P/Fitch Percent
----------------- -------
Aaa/AAA/AAA 22.30%
Aa2/AA/AA 15.95%
A2/A/A 9.85%
Baa1/BBB+/BBB+ 7.30%
After Stepdown Date
-------------------
Moody's/S&P/Fitch Target Percent
----------------- --------------
Aaa/AAA/AAA 44.60%
Aa2/AA/AA 31.90%
A2/A/A 19.70%
Baa1/BBB+/BBB+ 14.60%
Losses on Liquidated
Home Equity 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 Certificateholder, 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, then by the Class B-2
Certificateholders, then by the Class B-1
Certificateholders, then by the Class M-2
Certificateholders and then by the Class M-1
Certificateholders.
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 are made on any Payment Date will be
used to paydown principal as follows:
(i) first, to the Class A Certificates until the
Class A Principal Balance is reduced to zero,
(ii) next, to the Class M-1, Class M-2, Class B-1
and Class B-2 Certificates, pro-rata, until the
related Principal Balances 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.
8
<PAGE>
DESCRIPTION OF THE INITIAL LOANS
Summary
<TABLE>
<CAPTION>
Total Minimum Maximum
-------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Statistical Calculation Date Aggregate Principal Balance $216,042,370.50
Initial Number of Loans 1,848
Average Original Loan Balance $117,046.94 $16,500.00 $433,500.00
Average Current Loan Balance $116,906.04 $16,493.84 $429,491.01
Weighted Average Combined LTV 89.04% 16.70% 100.00%
Weighted Average Gross Coupon 9.82% 7.80% 14.00%
Weighted Average Maximum Rate 16.11% 12.13% 25.00%
Weighted Average Periodic Cap 1.13% 0.50% 3.00%
Weighted Average Remaining Term to Maturity (months) 358 119 360
Weighted Average Original Term (months) 360 120 360
Weighted Average Gross Margin 6.08% 3.30% 9.95%
Weighted Average FICO Credit Score 609
Weighted Average Debt to Income Ratio 41.70%
-------------------------------------------------------------------------------------------------------------------
</TABLE>
--------------------------------------------------------------------------------
Percent of Cut-Off
Date Principal Balance
----------------------
Fully Amortizing Loans 100.0%
Lien Position
First 100.0%
Property Type
Single Family 95.2%
Manufactured 2.1%
Condominium 1.2%
Townhouse 0.8%
Occupancy Status
Primary 99.92%
Investment 0.08%
Geographic Distribution
California 12.5%
Ohio 9.0%
Maryland 7.4%
Colorado 6.3%
Other (None more than 5%) 64.8%
Credit Grade
A-1 55.9%
A-2 20.9%
B 19.7%
C 3.3%
D 0.2%
Delinquency
0 - 29 Days 98.8%
30 - 59 Days 1.2%
--------------------------------------------------------------------------------
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>
GEOGRAPHIC DISTRIBUTION
--------------------------------------------------------------------------------
Initial Aggregate Principal % of Outstanding
State Number of Loans Balance Outstanding Principal Balance
================================================================-===============
Alabama 65 5,962,967.00 2.76
Arizona 86 10,846,186.66 5.02
Arkansas 5 526,291.75 0.24
California 152 26,786,257.45 12.40
Colorado 90 13,686,529.35 6.34
Connecticut 7 1,075,770.91 0.50
Delaware 3 264,945.49 0.12
Florida 66 6,662,938.72 3.08
Georgia 90 10,298,120.56 4.77
Idaho 5 373,733.56 0.17
Illinois 77 9,001,041.74 4.17
Indiana 89 7,869,120.26 3.64
Iowa 4 366,140.19 0.17
Kansas 13 1,465,116.30 0.68
Kentucky 32 2,912,861.50 1.35
Louisiana 19 1,950,895.11 0.90
Maine 3 374,420.91 0.17
Maryland 100 15,883,313.74 7.35
Massachusetts 21 3,078,035.36 1.42
Michigan 58 5,698,658.81 2.64
Minnesota 13 1,487,754.65 0.69
Mississippi 26 2,120,657.39 0.98
Missouri 32 3,066,618.72 1.42
Montana 6 526,995.32 0.24
Nebraska 7 734,680.23 0.34
Nevada 24 2,683,703.16 1.24
New Hampshire 3 457,582.09 0.21
New Jersey 5 749,529.69 0.35
New Mexico 8 766,074.17 0.35
New York 19 2,931,815.43 1.36
North Carolina 107 10,640,189.44 4.93
Ohio 208 19,391,379.64 8.98
Oklahoma 17 1,222,885.06 0.57
Oregon 24 3,213,504.00 1.49
Pennsylvania 45 4,146,996.58 1.92
Rhode Island 6 573,482.63 0.27
South Carolina 50 4,065,742.44 1.88
Tennessee 43 3,927,538.15 1.82
Texas 32 3,677,020.24 1.70
Utah 32 4,593,088.10 2.13
Vermont 1 82,843.73 0.04
Virginia 70 9,680,085.07 4.48
Washington 40 5,626,659.46 2.60
Washington DC 14 1,995,576.08 0.92
West Virginia 13 998,482.19 0.46
Wisconsin 13 1,213,587.46 0.56
Wyoming 5 384,554.01 0.18
--------------------------------------------------------------------------------
Total: 1,848 216,042,370.50 100.00
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.
10
<PAGE>
ORIGINAL LOAN AMOUNT DISTRIBUTION
--------------------------------------------------------------------------------
Range of Initial Aggregate Principal % of Outstanding
Original Loan Amount Number of Loans Balance Outstanding Principal Balance
================================================================================
$ 10,000 to $ 19,999 1 16,493.84 0.01
$ 20,000 to $ 29,999 8 211,018.11 0.10
$ 30,000 to $ 39,999 32 1,156,622.28 0.54
$ 40,000 to $ 49,999 81 3,687,135.92 1.71
$ 50,000 to $ 59,999 139 7,689,969.43 3.56
$ 60,000 to $ 69,999 138 8,989,801.18 4.16
$ 70,000 to $ 79,999 192 14,410,335.84 6.67
$ 80,000 to $ 89,999 169 14,237,453.15 6.59
$ 90,000 to $ 99,999 149 14,095,000.09 6.52
$100,000 to $109,999 119 12,501,839.51 5.79
$110,000 to $119,999 121 13,886,409.33 6.43
$120,000 to $129,999 88 10,962,019.12 5.07
$130,000 to $139,999 97 13,056,718.27 6.04
$140,000 to $149,999 86 12,476,607.68 5.78
$150,000 to $159,999 73 11,296,842.55 5.23
$160,000 to $169,999 47 7,684,124.12 3.56
$170,000 to $179,999 46 8,003,055.58 3.70
$180,000 to $189,999 38 6,985,973.12 3.23
$190,000 to $199,999 38 7,398,424.59 3.42
$200,000 to $209,999 25 5,117,149.24 2.37
$210,000 to $219,999 26 5,593,482.45 2.59
$220,000 to $229,999 20 4,481,603.50 2.07
$230,000 to $239,999 10 2,348,055.71 1.09
$240,000 to $249,999 16 3,916,976.91 1.81
$250,000 to $259,999 18 4,577,654.27 2.12
$260,000 to $269,999 14 3,692,700.37 1.71
$270,000 to $279,999 14 3,832,607.77 1.77
$280,000 to $289,999 8 2,271,941.42 1.05
$290,000 to $299,999 7 2,054,195.99 0.95
$300,000 to $309,999 3 907,992.08 0.42
$310,000 to $319,999 3 936,054.84 0.43
$320,000 to $329,999 7 2,283,943.35 1.06
$330,000 to $339,999 3 1,005,013.45 0.47
$340,000 to $349,999 5 1,719,756.07 0.80
Over $350,000 7 2,557,399.37 1.18
--------------------------------------------------------------------------------
Total: 1,848 216,042,370.50 100.00
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.
11
<PAGE>
COMBINED LOAN-TO-VALUE RATIO
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------
Range of Combined Initial Aggregate Principal % of Outstanding
Loan-to-Value Ratios Number of Loans Balance Outstanding Principal Balance
=======================================================================================================
<S> <C> <C> <C>
15.01 - 20.00 1 24,958.63 0.01
25.01 - 30.00 2 136,429.88 0.06
35.01 - 40.00 2 79,941.76 0.04
40.01 - 45.00 2 57,478.47 0.03
45.01 - 50.00 1 42,982.91 0.02
50.01 - 55.00 6 349,528.35 0.16
55.01 - 60.00 11 1,127,645.61 0.52
60.01 - 65.00 12 856,383.90 0.40
65.01 - 70.00 26 2,139,733.25 0.99
70.01 - 75.00 53 4,143,635.14 1.92
75.01 - 80.00 205 21,650,583.75 10.02
80.01 - 85.00 234 22,749,719.73 10.53
85.01 - 90.00 707 85,848,623.35 39.74
90.01 - 95.00 491 66,533,582.06 30.80
95.01 - 100.00 95 10,301,143.71 4.77
-------------------------------------------------------------------------------------------------------
Total: 1,848 216,042,370.50 100.00
</TABLE>
INTEREST RATE DISTRIBUTION
--------------------------------------------------------------------------------
Range of Loan Initial Aggregate Principal % of Outstanding
Interest Rates Number of Loans Balance Outstanding Principal Balance
================================================================================
7.000 - 7.999 5 516,241.10 0.24
8.000 - 8.999 330 43,023,748.00 19.91
9.000 - 9.999 819 102,054,510.16 47.24
10.000 - 10.999 543 57,434,249.89 26.58
11.000 - 11.999 127 11,176,020.01 5.17
12.000 - 12.999 23 1,790,855.07 0.83
14.000 - 14.999 1 46,746.27 0.02
--------------------------------------------------------------------------------
Total: 1,848 216,042,370.50 100.00
YEAR OF ORIGINATION
--------------------------------------------------------------------------------
Initial Aggregate Principal % of Outstanding
Origination Date Number of Loans Balance Outstanding Principal Balance
================================================================================
1997 1 118,288.56 0.05
1998 7 1,064,642.62 0.49
1999 338 40,851,484.91 18.91
2000 1,502 174,007,954.41 80.54
--------------------------------------------------------------------------------
Total: 1,848 216,042,370.50 100.00
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.
12
<PAGE>
REMAINING MONTHS TO MATURITY
-------------------------------------------------------------------------------
Stated Initial Aggregate Principal % of Outstanding
Remaining Term Number of Loans Balance Outstanding Principal Balance
===============================================================================
91 - 120 1 147,677.54 0.07
151 - 180 2 207,619.07 0.10
331 - 360 1,845 215,687,073.89 99.84
-------------------------------------------------------------------------------
Total: 1,848 216,042,370.50 100.00
MONTH OF NEXT RATE ADJUSTMENT
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------------
Next Rate Adjustment Date Initial Aggregate Principal % of Outstanding
Number of Loans Balance Outstanding Principal Balance
========================================================================================================
<S> <C> <C> <C>
May 2000 1 98,338.30 0.05
July 2000 1 118,288.56 0.05
September 2000 3 232,767.08 0.11
December 2000 2 304,046.23 0.14
February 2001 1 80,919.32 0.04
March 2001 1 139,538.92 0.06
April 2001 1 162,367.19 0.08
July 2001 1 85,703.55 0.04
August 2001 1 133,579.58 0.06
September 2001 8 1,086,886.36 0.50
October 2001 17 2,043,264.83 0.95
November 2001 27 3,673,065.63 1.70
December 2001 111 13,640,003.77 6.31
January 2002 211 23,624,366.93 10.94
February 2002 536 60,955,729.96 28.21
March 2002 617 74,106,731.65 34.30
April 2002 225 26,535,266.37 12.28
May 2002 19 2,011,575.00 0.93
July 2002 1 279,918.60 0.13
October 2002 1 144,699.31 0.07
November 2002 2 150,520.19 0.07
December 2002 5 593,943.91 0.27
January 2003 3 253,850.60 0.12
February 2003 22 2,575,952.70 1.19
March 2003 25 2,355,020.96 1.09
April 2003 5 612,250.00 0.28
May 2003 1 43,775.00 0.02
--------------------------------------------------------------------------------------------------------
Total: 1,848 216,042,370.50 100.00
</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.
13
<PAGE>
RATE FLOOR
-------------------------------------------------------------------------------
Initial Aggregate Principal % of Outstanding
Floor Number of Loans Balance Outstanding Principal Balance
===============================================================================
4.250 - 4.499 5 452,132.61 0.21
4.500 - 4.749 4 434,309.09 0.20
4.750 - 4.999 5 937,781.04 0.43
5.000 - 5.249 16 2,515,164.44 1.16
5.250 - 5.499 81 9,889,920.97 4.58
5.500 - 5.749 52 6,941,980.38 3.21
5.750 - 5.999 74 9,954,164.32 4.61
6.000 - 6.249 69 7,828,926.08 3.62
6.250 - 6.499 69 8,051,879.77 3.73
6.500 - 6.749 56 5,565,174.40 2.58
6.750 - 6.999 55 6,773,034.83 3.14
7.000 - 7.249 29 2,922,090.93 1.35
7.250 - 7.499 20 1,990,062.05 0.92
7.500 - 7.749 10 834,731.45 0.39
7.750 - 7.999 15 1,557,721.46 0.72
8.000 - 8.249 4 337,044.18 0.16
8.250 - 8.499 17 2,416,118.34 1.12
8.500 - 8.749 27 3,944,061.83 1.83
8.750 - 8.999 207 25,841,470.23 11.96
9.000 - 9.249 34 4,430,082.33 2.05
9.250 - 9.499 136 17,324,669.86 8.02
9.500 - 9.749 144 17,696,716.02 8.19
9.750 - 9.999 251 30,111,797.70 13.94
10.000 - 10.249 59 6,371,927.13 2.95
10.250 - 10.499 126 12,953,985.53 6.00
10.500 - 10.749 80 8,782,328.25 4.07
10.750 - 10.999 100 10,654,113.35 4.93
11.000 - 11.249 26 2,507,562.06 1.16
11.250 - 11.499 38 3,036,235.07 1.41
11.500 - 11.749 12 929,232.01 0.43
11.750 - 11.999 11 823,586.22 0.38
12.000 - 12.249 2 202,662.12 0.09
12.250 - 12.499 6 456,306.61 0.21
12.500 - 12.749 3 86,151.89 0.04
12.750 - 12.999 5 487,245.95 0.23
-------------------------------------------------------------------------------
Total: 1,848 216,042,370.50 100.00
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.
14
<PAGE>
GROSS MARGIN
--------------------------------------------------------------------------------
Range of Initial Aggregate Principal % of Outstanding
Gross Margin Number of Loans Balance Outstanding Principal Balance
================================================================================
3.250 - 3.499 1 119,945.77 0.06
3.500 - 3.749 1 80,719.59 0.04
3.750 - 3.999 1 67,357.59 0.03
4.000 - 4.249 1 184,500.00 0.09
4.250 - 4.499 8 764,409.73 0.35
4.500 - 4.749 10 1,433,330.96 0.66
4.750 - 4.999 28 4,472,117.63 2.07
5.000 - 5.249 84 10,956,127.63 5.07
5.250 - 5.499 186 23,555,172.11 10.90
5.500 - 5.749 213 26,113,714.59 12.09
5.750 - 5.999 249 31,371,501.20 14.52
6.000 - 6.249 272 31,985,635.66 14.81
6.250 - 6.499 225 26,228,907.03 12.14
6.500 - 6.749 194 20,853,803.03 9.65
6.750 - 6.999 125 13,783,649.27 6.38
7.000 - 7.249 94 9,292,324.59 4.30
7.250 - 7.499 48 4,913,610.77 2.27
7.500 - 7.749 45 4,296,099.55 1.99
7.750 - 7.999 31 2,661,300.61 1.23
8.000 - 8.249 9 947,523.81 0.44
8.250 - 8.499 7 826,166.77 0.38
8.500 - 8.749 6 306,701.46 0.14
8.750 - 8.999 7 504,384.13 0.23
9.000 - 9.249 2 223,437.14 0.10
9.750 - 9.999 1 99,929.88 0.05
--------------------------------------------------------------------------------
Total 1,848 $216,042,370.50 100.00
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.
15
<PAGE>
MAXIMUM RATE
--------------------------------------------------------------------------------
Range of Initial Aggregate Principal % of Outstanding
Maximum Rates Number of Loans Balance Outstanding Principal Balance
================================================================================
12.000 - 12.249 1 118,768.63 0.05
13.250 - 13.499 1 147,988.97 0.07
13.750 - 13.999 1 119,702.47 0.06
14.000 - 14.249 1 103,489.61 0.05
14.250 - 14.499 10 1,432,393.94 0.66
14.500 - 14.749 23 3,030,358.22 1.40
14.750 - 14.999 225 28,633,423.49 13.25
15.000 - 15.249 45 5,445,258.54 2.52
15.250 - 15.499 136 18,106,843.20 8.38
15.500 - 15.749 143 19,003,019.04 8.80
15.750 - 15.999 338 42,633,346.22 19.73
16.000 - 16.249 87 10,839,934.95 5.02
16.250 - 16.499 187 20,441,504.86 9.46
16.500 - 16.749 127 13,713,309.28 6.35
16.750 - 16.999 209 21,648,105.32 10.02
17.000 - 17.249 36 3,431,013.06 1.59
17.250 - 17.499 81 7,608,963.08 3.52
17.500 - 17.749 47 4,964,637.15 2.30
17.750 - 17.999 66 7,147,008.88 3.31
18.000 - 18.249 19 1,798,270.15 0.83
18.250 - 18.499 22 1,896,719.02 0.88
18.500 - 18.749 10 767,211.94 0.36
18.750 - 18.999 15 1,226,077.56 0.57
19.000 - 19.249 4 490,250.94 0.23
19.250 - 19.499 9 675,961.23 0.31
19.500 - 19.749 2 167,519.57 0.08
19.750 - 19.999 1 33,652.28 0.02
20.000 - 20.249 1 92,966.77 0.04
25.000 - 25.249 1 324,672.13 0.15
--------------------------------------------------------------------------------
Total 1,848 $216,042,370.50 100.00
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
<TABLE>
<CAPTION>
------------------
PRICING
Scenario I Scenario II Scenario III Scenario IV Scenario V
---------- ----------- ------------ ----------- ----------
18% CPR 24% CPR 30% CPR 36% CPR 42% CPR
WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity WAL/Maturity
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
To Call
A 3.29 05/08 2.40 04/06 1.77 12/04 1.34 01/04 1.09 03/03
M-1 6.40 05/08 4.80 04/06 4.26 12/04 3.60 01/04 2.97 06/03
M-2 6.40 05/08 4.77 04/06 4.02 12/04 3.60 01/04 3.02 06/03
B-1 6.40 05/08 4.75 04/06 3.93 12/04 3.56 01/04 3.02 06/03
B-2 6.00 05/08 4.46 04/06 3.69 12/04 3.35 01/04 3.02 06/03
To Maturity
A 3.48 03/11 2.56 09/08 1.91 01/07 1.36 10/04 1.09 03/03
M-1 7.95 11/13 6.06 01/11 5.31 01/09 5.53 08/07 3.74 08/06
M-2 7.95 11/13 6.01 01/11 5.05 01/09 4.97 08/07 4.50 08/06
B-1 7.94 11/13 6.00 01/11 4.95 01/09 4.19 08/07 4.50 08/06
B-2 6.86 11/13 5.09 01/11 4.18 01/09 3.63 08/07 3.66 08/06
------------------
</TABLE>
(1) The following are the assumed characteristics of the additional and
subsequent contracts:
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------------------------------
Assumed Additional Loan Characteristics
---------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
Wtd. Wtd. Avg. Wtd. Wtd. Avg. Wtd. Avg. Wtd. Avg.
Cut-off Date Pool Wtd. Avg. Orig Term Avg. Wtd. Avg. Wtd. Avg. Periodic Initial Months to
Pool Principal Balance Avg. WAM (Mo) Gross Life Cap Life Floor Cap Periodic Cap Rate Change
Loan Rate (Mo) Margin
===============================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 5,814,156.74 9.562% 360 360 6.306% 15.907% 8.683% 1.130% 2.712% 24
2 9,720,235.15 9.756% 360 360 6.085% 16.025% 9.249% 1.121% 2.858% 24
3 16,835,362.08 9.737% 360 360 6.120% 15.987% 8.934% 1.219% 2.819% 24
4 43,438,699.86 9.856% 359 359 6.177% 16.137% 8.742% 1.122% 2.913% 24
5 52,810,458.93 9.837% 360 360 6.004% 16.105% 8.436% 1.095% 2.919% 24
6 18,909,747.65 9.756% 360 360 5.881% 16.052% 8.139% 1.124% 2.926% 24
7 6,428,969.09 10.239% 360 360 6.228% 16.837% 9.562% 1.202% 2.909% 36
-------------------------------------------------------------------------------------------------------------------------------
153,957,629.50
<CAPTION>
Assumed Subsequent Loan Characteristics
---------------------------------------
-------------------------------------------------------------------------------------------------------------------------------
Wtd. Wtd. Avg. Wtd. Wtd. Avg. Wtd. Avg. Wtd. Avg.
Cut-off Date Pool Wtd. Avg. Orig Term Avg. Wtd. Avg. Wtd. Avg. Periodic Initial Months to
Pool Principal Balance Avg. WAM (Mo) Gross Life Cap Life Floor Cap Periodic Cap Rate Change
Loan Rate (Mo) Margin
===============================================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 1,132,939.64 9.562% 360 360 6.306% 15.907% 8.683% 1.130% 2.712% 24
2 1,894,073.43 9.756% 360 360 6.085% 16.025% 9.249% 1.121% 2.858% 24
3 3,280,518.57 9.737% 360 360 6.120% 15.987% 8.934% 1.219% 2.819% 24
4 8,464,413.23 9.856% 359 359 6.177% 16.137% 8.742% 1.122% 2.913% 24
5 10,290,583.02 9.837% 360 360 6.004% 16.105% 8.436% 1.095% 2.919% 24
6 3,684,730.87 9.756% 360 360 5.881% 16.052% 8.139% 1.124% 2.926% 24
7 1,252,741.24 10.239% 360 360 6.228% 16.837% 9.562% 1.202% 2.909% 36
-------------------------------------------------------------------------------------------------------------------------------
30,000,000.00
-------------------------------------------------------------------------------------------------------------------------------
</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>
ADJUSTABLE RATE NET FUNDS CAP RATE
----------------------------------
Period Scenario I Scenario II Period Scenario I Scenario II
------ ---------- ----------- ------ ---------- -----------
1 9.95% 9.95% 38 12.61% 14.42%
2 8.56% 8.56% 39 12.62% 14.68%
3 9.32% 9.32% 40 12.62% 14.88%
4 9.32% 9.32% 41 12.62% 14.95%
5 9.32% 9.32% 42 12.62% 14.95%
6 9.32% 9.32% 43 12.62% 14.98%
7 9.32% 9.32% 44 12.63% 15.42%
8 9.32% 9.32% 45 12.63% 15.51%
9 9.32% 9.32% 46 12.63% 15.52%
10 9.32% 9.32% 47 12.63% 15.52%
11 9.32% 9.32% 48 12.63% 15.52%
12 9.32% 9.32% 49 12.63% 15.54%
13 9.32% 9.32% 50 12.63% 15.58%
14 9.32% 9.32% 51 12.63% 15.59%
15 9.32% 9.32% 52 12.63% 15.59%
16 9.38% 9.38% 53 12.63% 15.59%
17 9.38% 9.38% 54 12.63% 15.59%
18 9.38% 9.38% 55 12.63% 15.59%
19 9.47% 9.47% 56 12.63% 15.61%
20 9.63% 9.63% 57 12.63% 15.61%
21 10.06% 10.06% 58 12.63% 15.61%
22 10.61% 10.61% 59 12.63% 15.61%
23 10.80% 10.80% 60 12.63% 15.61%
24 10.80% 10.80%
25 10.81% 10.84%
26 11.95% 12.00%
27 12.24% 12.39%
28 12.29% 12.61%
29 12.31% 12.68%
30 12.31% 12.68%
31 12.37% 12.78%
32 12.53% 13.28%
33 12.56% 13.53%
34 12.56% 13.75%
35 12.56% 13.82%
36 12.56% 13.82%
37 12.57% 13.89%
* Scenario I is achieved assuming 6 month LIBOR stays constant at 7.05%; run at
the pricing speed to call.
** Scenario II is achieved assuming 6 month LIBOR instantaneously increases to a
level beyond the highest maximum obtainable rate on the underlying adjustable
rate loans; run at the pricing speed to call.
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
