<PAGE> 1
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
--------------------
FORM 8-K
CURRENT REPORT
--------------------
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest event reported): December 16, 1996
-----------------
EQCC RECEIVABLES CORPORATION
EQCC ASSET BACKED CORPORATION
- --------------------------------------------------------------------------------
(Exact name of registrants as specified in governing instruments)
<TABLE>
<S> <C> <C>
59-3170055
Delaware 333-17893 59-3170052
- --------------- ---------------- ----------
(State or other (Commission File (IRS Employer
jurisdiction of Number) Identification No.)
organization)
</TABLE>
10401 Deerwood Park Blvd., Jacksonville, Florida 33256
- --------------------------------------------------------------------------------
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code: (904) 987-5120
--------------
Not Applicable
- --------------------------------------------------------------------------------
(Former name or former address if changed since last report)
Exhibit Index located at Page 3
<PAGE> 2
Items 1 through 4, Item 6 and Item 8 are not included because they are not
applicable.
ITEM 5. OTHER EVENTS.
On or prior to December 30, 1996, the Registrants will cause the
issuance and sale of EQCC Home Equity Loan Asset Backed Certificates, Series
1996-4, Class A-1, Class A-2, Class A-3, Class A-4, Class A-5, Class A-6, Class
A-7, Class A-8 and Class A-9 (the "Certificates") pursuant to a Pooling and
Servicing Agreement dated as of December 1, 1996, among the Registrants,
EquiCredit Corporation of America, as Servicer, and First Bank National
Association, as Trustee. In connection with the sale of the Certificates, the
Registrants have been advised by Lehman Brothers Inc., Credit Suisse First
Boston Corporation, Salomon Brothers Inc and Prudential Securities Incorporated
(the "Underwriters"), that the Underwriters have furnished to prospective
investors certain computational materials and collateral term sheets (the "Term
Sheets") with respect to the Certificates following the effective date of
Registration Statement No. 333-17893 but prior to the availability of a final
Prospectus relating to the Certificates. A Term Sheet in the form used by
each of the Underwriters is being filed as an exhibit to this report.
The Term Sheet attached hereto has been provided by the Underwriters.
The information in the Term Sheet was preliminary and will be superseded by
the Prospectus Supplement relating to the Certificates and may be superseded by
any other information subsequently filed with the Commission.
The "computational materials" portion of the Term Sheet were prepared
by the Underwriters at the request of certain prospective investors, based on
assumptions provided by, and satisfying the special requirements of, such
prospective investors. Such materials may not include, and do not purport to
include, information based on assumptions representing a complete set of
possible scenarios. Accordingly, such materials may not be relevant to or
appropriate for investors other than those specifically requesting them.
Certain assumptions may have been made in the Term Sheet which have
resulted in any returns to holders of the Certificates that are detailed in the
Term Sheet. No representation is made that any returns indicated in the Term
Sheet will be achieved. Changes to the assumptions may have a material impact
on any returns detailed. Past performance is not necessarily indicative of
future results.
In addition, the actual characteristics and performance of the mortgage
loans underlying the Certificates (the "Mortgage Loans") will differ from the
assumptions used in the Term Sheets, which are hypothetical in nature and which
were provided to certain investors only to give a general sense of how the
yield, average life, duration, expected maturity, interest rate sensitivity and
cash flow characteristics of the Certificates might vary under varying
2
<PAGE> 3
prepayment and other scenarios. Any difference between such assumptions and
the actual characteristics and performance of the Mortgage Loans will affect
the actual yield, average life, duration, expected maturity, interest rate
sensitivity and cash flow characteristics of the Certificates.
The statistical distribution of the characteristics of the final
Mortgage Pool may vary from the statistical distribution of such
characteristics as set forth in the "collateral term sheet" portion of the Term
Sheets.
ITEM 7. FINANCIAL STATEMENTS, PRO FORMA FINANCIAL INFORMATION AND
EXHIBITS.
List below the financial statements, pro forma financial information and
exhibits, if any, filed as part of this report.
(a) Financial Statements of Businesses Acquired.
Not applicable
(b) Pro Forma Financial Information.
Not applicable
(c) Exhibits.
<TABLE>
<CAPTION>
Sequentially
Exhibit Numbered
Number Exhibit Page
------ ------- ----
<S> <C> <C>
005 99.1(A) Computational Materials prepared in connection with the sale of EQCC
Home Equity Loan Asset Backed Certificates, Series 1996-4, by Lehman
Brothers Inc., Credit Suisse First Boston Corporation, Salomon Brothers
Inc and Prudential Securities Incorporated.
</TABLE>
3
<PAGE> 4
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934,
the registrants have duly caused this report to be signed on their behalf by
the undersigned hereunto duly authorized.
EQCC RECEIVABLES CORPORATION
EQCC ASSET BACKED CORPORATION
(Registrants)
EQCC RECEIVABLES CORPORATION
December 18, 1996 By: \s\ Stephen R. Veth
---------------------------
Stephen R. Veth
President
EQCC ASSET BACKED CORPORATION
December 18, 1996 By: \s\ Stephen R. Veth
---------------------------
Stephen R. Veth
President
<PAGE> 1
Exhibit 99.1(C)
Computational Materials
<PAGE> 2
~p
LEHMAN BROTHERS
DERIVED INFORMATION
$590,000,000 Certificates
EQCC Home Equity Loan Trust 1996-4
EQCC Receivables Corporation and EQCC Asset Backed Corporation
(Depositors)
EquiCredit Corporation of America
(Servicer)
See Lehman Brothers' Disclaimer on pages 28 and 29.
Page 1
~p
EQCC Home Equity Loan Trust 1996-4 Securities Offered:
To Maturity:
<TABLE>
<CAPTION>
Class Approx Bnchmrk Approx Est. WAL/ Window Expected Stated Ratings
Size ($mm) Price(%) DUR(yrs) (mths) Final Final (M/S&P)
<S> <C> <C> <C> <C> <C> <C> <C>
A-1 (1) $ 78.80 Curve 99.999 0.45/0.43 1-10 10/97 12/02 Aaa/AAA
A-2 (1) $106.47 1 Yr Tsy 99.990 1.15/1.08 10-19 7/98 10/03 Aaa/AAA
A-3 (1) $103.69 2 Yr Tsy 99.998 2.00/1.82 19-31 7/99 11/06 Aaa/AAA
A-4 (1) $ 92.74 3 Yr Tsy 99.984 3.08/2.70 31-46 10/00 8/10 Aaa/AAA
A-5 (1) $ 32.15 Curve 99.982 4.08/3.46 46-53 5/01 7/11 Aaa/AAA
A-6 (1) $ 60.11 5 Yr Tsy 99.957 5.25/4.26 53-77 5/03 7/14 Aaa/AAA
A-7 (1) $ 36.58 Curve 99.985 7.35/5.51 77-113 5/06 6/23 Aaa/AAA
A-8 (1) $ 20.46 10 Yr Tsy 99.985 11.66/7.49 113-358 10/26 1/28 Aaa/AAA
A-9 (1) $ 59.00 Curve 99.972 6.15/4.79 37-178 10/11 10/11 Aaa/AAA
</TABLE>
To 10% Call:
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
A-7 (1) $ 36.58 Curve 99.985 6.75/5.18 77-82 10/03 6/23 Aaa/AAA
A-8 (1) $ 20.46 10 Yr Tsy 99.985 6.79/5.15 82-82 10/03 1/28 Aaa/AAA
</TABLE>
<PAGE> 3
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
A-9 (1) $ 59.00 Curve 99.972 5.82/4.60 37-82 10/03 10/11 Aaa/AAA
</TABLE>
See Lehman Brothers' Disclaimer on pages 28 and 29.
Page 2
~p
EQCC Home Equity Loan Trust 1996-4
Footnotes:
(1) Prepayments are sized at 125% of the prepayment assumption. A 100%
prepayment assumption assumes that prepayments start at 5% CPR in month 1,
increase by 1.364% each month to 20% CPR by month 12, and remain at 20% CPR
thereafter.
See Lehman Brothers' Disclaimer on pages 28 and 29.
Page 3
~p
Projected Performance Under Varying Prepayment Assumptions
Certificates
To Maturity
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
% of Prepay Assumption 0% 50% 100% 125% 150% 175%
Implied Seasoned CPR 0% 10% 20% 25% 30% 35%
Class A1
Average Life (Yrs) 3.24 0.80 0.52 0.45 0.40 0.36
Mod. Duration (Yrs) 2.81 0.76 0.50 0.43 0.38 0.34
Window (Begin-End) 1-72 1-18 1-11 1-10 1-9 1-8
Expected Final Mat 12/02 6/98 11/97 10/97 9/97 8/97
Class A2
Average Life (Yrs) 6.73 2.32 1.36 1.15 1.00 0.90
Mod. Duration (Yrs) 5.37 2.09 1.27 1.08 0.94 0.85
Window (Begin-End) 72-82 18-40 11-23 10-19 9-16 8-15
Expected Final Mat 10/03 4/00 11/98 7/98 4/98 3/98
</TABLE>
See Lehman Brothers' Disclaimer on pages 28 and 29.
<PAGE> 4
Page 4
~p
Projected Performance Under Varying Prepayment Assumptions
Certificates
To Maturity
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
% of Prepay Assumption 0% 50% 100% 125% 150% 175%
Implied Seasoned CPR 0% 10% 20% 25% 30% 35%
Class A3
Average Life (Yrs) 8.20 4.42 2.43 2.00 1.70 1.48
Mod Duration (Yrs) 6.20 3.74 2.19 1.82 1.56 1.37
Window (Begin-End) 82-119 40-69 23-37 19-31 16-26 15-22
Expected Final Mat 11/06 9/02 1/00 7/99 2/99 10/98
Class A4
Average Life (Yrs) 11.91 6.58 3.85 3.08 2.57 2.21
Mod Duration (Yrs) 8.06 5.20 3.30 2.70 2.29 1.99
Window (Begin-End) 119-164 69-82 37-57 31-46 26-38 22-32
Expected Final Mat 8/10 10/03 9/01 10/00 2/00 8/99
</TABLE>
See Lehman Brothers' Disclaimer on pages 28 and 29.
Page 5
~p
Projected Performance Under Varying Prepayment Assumptions
<TABLE>
<CAPTION>
Certificates
To Maturity
<S> <C> <C> <C> <C> <C> <C>
% of Prepay Assumption 0% 50% 100% 125% 150% 175%
Implied Seasoned CPR 0% 10% 20% 25% 30% 35%
Class A5
Average Life (Yrs) 14.12 7.71 5.14 4.08 3.34 2.82
Mod Duration (Yrs) 8.86 5.83 4.21 3.46 2.90 2.49
Window (Begin-End) 164-175 82-105 57-68 46-53 38-44 32-37
Expected Final Mat 7/11 9/05 8/02 5/01 8/00 1/00
Class A6
Average Life (Yrs) 15.08 10.24 6.46 5.25 4.25 3.54
Mod Duration (Yrs) 9.12 7.12 5.05 4.26 3.56 3.04
Window (Begin-End) 175-211 105-145 68-86 53-77 44-61 37-51
</TABLE>
<PAGE> 5
Expected Final Mat 7/14 1/09 2/04 5/03 1/02 3/01
See Lehman Brothers' Disclaimer on pages 28 and 29.
Page 6
~p
Projected Performance Under Varying Prepayment Assumptions
<TABLE>
<CAPTION>
Certificates
To Maturity
<S> <C> <C> <C> <C> <C> <C>
% of Prepay Assumption 0% 50% 100% 125% 150% 175%
Implied Seasoned CPR 0% 10% 20% 25% 30% 35%
Class A7
Average Life (Yrs) 21.81 13.52 9.12 7.35 5.95 4.79
Mod Duration (Yrs) 10.65 8.38 6.46 5.51 4.68 3.92
Window (Begin-End) 211-318 145-178 86-133 77-113 61-82 51-69
Expected Final Mat 6/23 10/11 1/08 5/06 10/03 9/02
Class A8
Average Life (Yrs) 28.30 18.39 13.53 11.66 9.85 7.95
Mod Duration (Yrs) 11.47 9.59 8.20 7.49 6.68 5.71
Window (Begin-End) 318-359 178-359 133-359 113-358 82-351 69-326
Expected Final Mat 11/26 11/26 11/26 10/26 3/26 2/24
</TABLE>
See Lehman Brothers' Disclaimer on pages 28 and 29.
Page 7
~p
Projected Performance Under Varying Prepayment Assumptions
<TABLE>
<CAPTION>
Certificates
To Maturity
<S> <C> <C> <C> <C> <C> <C>
% of Prepay Assumption 0% 50% 100% 125% 150% 175%
Implied Seasoned CPR 0% 10% 20% 25% 30% 35%
Class A9
Average Life (Yrs) 8.79 7.26 6.45 6.15 5.92 5.73
Mod Duration (Yrs) 6.27 5.45 4.97 4.79 4.65 4.52
Window (Begin-End) 37-178 37-178 37-178 37-178 37-178 37-178
Expected Final Mat 10/11 10/11 10/11 10/11 10/11 10/11
</TABLE>
See Lehman Brothers' Disclaimer on pages 28 and 29.
<PAGE> 6
Page 8
~p
<TABLE>
<CAPTION>
Certificates
To Cleanup Call
<S> <C> <C> <C> <C> <C> <C>
% of Prepay Assumption 0% 50% 100% 125% 150% 175%
Implied Seasoned CPR 0% 10% 20% 25% 30% 35%
Class A7
Average Life (Yrs) 17.21 12.04 7.96 6.75 5.85 4.77
Mod Duration (Yrs) 9.59 7.81 5.87 5.18 4.62 3.90
Window (Begin-End) 207-207 145-145 86-97 77-82 61-77 51-65
Expected Final Mat 3/14 1/09 1/05 10/03 5/03 5/02
Class A8
Average Life (Yrs) 17.21 12.04 8.04 6.79 6.38 5.38
Mod Duration (Yrs) 9.41 7.70 5.85 5.15 4.91 4.28
Window (Begin-End) 207-207 145-145 97-97 82-82 77-77 65-65
Expected Final Mat 3/14 1/09 1/05 10/03 5/03 5/02
</TABLE>
See Lehman Brothers' Disclaimer on pages 28 and 29.
Page 9
~p
<TABLE>
<CAPTION>
Certificates
To Cleanup Call
<S> <C> <C> <C> <C> <C> <C>
% of Prepay Assumption 0% 50% 100% 125% 150% 175%
Implied Seasoned CPR 0% 10% 20% 25% 30% 35%
Class A-9
Average Life (Yrs) 8.79 7.24 6.30 5.82 5.48 4.88
Mod Duration (Yrs) 6.27 5.44 4.90 4.60 4.39 3.99
Window (Begin-End) 37-178 37-145 37-97 37-82 37-77 37-65
Expected Final Mat 10/11 1/09 1/05 10/03 5/03 5/02
</TABLE>
See Lehman Brothers' Disclaimer on pages 28 and 29.
Page 10
~p
EQCC Home Equity Loan Trust 1996-4
Collateral Summary
Mortgage Loans (as of the Cut-off Date)
<TABLE>
<S> <C>
Total Number of Loans 13,526
Total Outstanding Loan Balance $590,000,171.30
Balloon (% of Total) 37.69%
Level Pay (% of Total) 62.31%
</TABLE>
<PAGE> 7
Avg Loan Principal Balance $43,619.71
Range of Loan Principal Balance $4,885 - $350,000
<TABLE>
<S> <C> <C>
<= $25,000 12.56%
$25,001 - $50,000 32.15%
$50,001 - $75,000 25.24%
$75,001 - $100,000 12.70%
$100,001 - $500,000 17.35%
</TABLE>
See Lehman Brothers' Disclaimer on pages 28 and 29.
Page 11
~P
<TABLE>
<CAPTION>
EQCC Home Equity Loan Trust 1996-4
Collateral Summary (continued)
<S> <C> <C>
Wtd Average Coupon 10.85%
Coupon Range 7.75% - 17.64%
7.00% - 9.00% 3.60%
9.01% - 10.00% 23.92%
10.01% - 11.00% 36.40%
11.01% - 12.00% 18.25%
12.01% - 18.00% 17.82%
</TABLE>
Wtd Avg Original Term (mths) 173
Range of Original Terms (mths) 36 - 360
<TABLE>
<CAPTION>
Level Pay Balloon
<S> <C> <C> <C>
36-84 0.95% 65.21%
85-120 4.77% 14.57%
121-180 67.84% 20.22%
181-240 9.15%
241-360 17.29%
</TABLE>
See Lehman Brothers' Disclaimer on pages 28 and 29.
Page 12
~p
EQCC Home Equity Loan Trust 1996-4
Collateral Summary (continued)
Wtd Avg Remaining Term (mths) 172
Range of Remaining Terms (mths) 24 - 360
<TABLE>
<CAPTION>
Level Pay Balloon
<S> <C> <C> <C>
24-84 0.98% 65.32%
85-120 4.89% 14.50%
121-180 67.69% 20.18%
181-240 9.15%
241-360 17.29%
</TABLE>
Wtd Avg CLTV at Origination 76.96%
Range of CLTV at Origination 7.14% - 107.42%
<TABLE>
<S> <C> <C> <C>
7.00% - 65.00% 14.96%
65.01% - 75.00% 22.27%
75.01% - 85.00% 46.68%
85.01% - 110.00% 16.08%
</TABLE>
<PAGE> 8
See Lehman Brothers' Disclaimer on pages 28 and 29
Page 13
~p
EQCC Home Equity Loan Trust 1996-4
Collateral Summary (continued)
<TABLE>
<S> <C>
Wtd Avg SMR (2nd liens only) 33.47%
Range of SMR 4.32% - 99.95%
Lien Position (first/second) 75.76% / 24.24%
Property Type Single Family 93.04%
2 to 4 Family 4.29%
Condos/Townhouse 1.31%
Other 1.36%
Occupancy Status Owner Occ. 95.52%
Investment 4.48%
</TABLE>
See Lehman Brothers' Disclaimer on pages 28 and 29.
Page 14
~p
EQCC Home Equity Loan Trust 1996-4
Collateral Summary (continued)
Geographic Distribution
<TABLE>
<S> <C>
FL 12.51%
CA 6.86%
OH 6.14%
</TABLE>
(other states account individually for less than 5%
of the Group I pool principal balance)
See Lehman Brothers' Disclaimer on pages 28 and 29.
Page 15
~p
<TABLE>
<CAPTION>
Number Current
Current Balance of Loans Balance %
<S> <C> <C> <C> <C>
0.01 - 25,000.00 4,201 74,089,705.05 12.56
25,000.01 - 50,000.00 5,239 189,696,407.85 32.15
50,000.01 - 75,000.00 2,453 148,919,365.39 25.24
75,000.01 - 100,000.00 874 74,907,702.64 12.70
100,000.01 - 125,000.00 404 44,933,365.56 7.62
125,000.01 - 150,000.00 185 25,333,703.50 4.29
150,000.01 - 175,000.00 81 13,028,227.70 2.21
175,000.01 - 200,000.00 44 8,301,027.24 1.41
200,000.01 - 225,000.00 22 4,657,821.49 0.79
225,000.01 - 250,000.00 12 2,843,888.98 0.48
</TABLE>
<PAGE> 9
<TABLE>
<S> <C> <C> <C> <C>
250,000.01 - 275,000.00 3 777,651.61 0.13
275,000.01 - 300,000.00 3 868,304.29 0.15
300,000.01 - 325,000.00 2 628,400.00 0.11
325,000.01 - 350,000.00 3 1,014,600.00 0.17
Total: 13,526 590,000,171.30 100.00
</TABLE>
See Lehman Brothers' Disclaimer on pages 28 and 29.
Page 16
~p
<TABLE>
<CAPTION>
Number Current
Coupon of Loans Balance %
<S> <C> <C> <C>
7.501- 8.000 4 236,734.86 0.04
8.001- 8.500 146 7,722,353.09 1.31
8.501- 9.000 187 13,300,337.05 2.25
9.001- 9.500 548 36,557,905.83 6.20
9.501-10.000 1,768 104,583,826.46 17.73
10.001-10.500 1,942 101,201,095.32 17.15
10.501-11.000 2,532 113,579,363.92 19.25
11.001-11.500 1,621 65,067,198.01 11.03
11.501-12.000 1,098 42,622,461.53 7.22
12.001-12.500 932 32,793,854.21 5.56
12.501-13.000 844 27,745,448.72 4.70
13.001-13.500 1,497 31,623,088.28 5.36
13.501-14.000 149 4,885,170.76 0.83
14.001-14.500 175 5,782,257.24 0.98
14.501-15.000 38 1,565,591.73 0.27
15.001+ 45 733,484.29 0.12
Total: 13,526 590,000,171.30 100.00
</TABLE>
See Lehman Brothers' Disclaimer on pages 28 and 29.
Page 17
~p
<TABLE>
<CAPTION>
Stated Remaining Number Current
Term of Loans Balance %
<S> <C> <C> <C>
13- 24 1 6,640.35 0.00
25- 36 3 40,468.07 0.01
37- 48 6 112,413.32 0.02
49- 60 113 2,567,382.71 0.44
61- 72 15 280,212.17 0.05
73- 84 2,173 145,834,137.54 24.72
85- 96 20 617,669.96 0.10
97-108 8 256,154.64 0.04
</TABLE>
See Lehman Brothers' Disclaimer on pages 28 and 29.
Page 18
<PAGE> 10
~p
<TABLE>
<CAPTION>
Stated Remaining Number Current
Term of Loans Balance %
<S> <C> <C> <C>
109-120 1,210 49,351,411.06 8.36
121-132 2 40,665.97 0.01
133-144 27 842,408.23 0.14
145-156 4 137,812.12 0.02
157-168 6 188,827.44 0.03
169-180 8,365 292,522,644.16 49.59
229-240 622 33,637,634.56 5.70
289-300 2 111,000.00 0.02
349-360 949 63,452,689.00 10.75
Total: 13,526 590,000,171.30 100.00
</TABLE>
See Lehman Brothers' Disclaimer on pages 28 and 29.
Page 19
~p
<TABLE>
<CAPTION>
Number Current
Combined LTV of Loans Balance %
<S> <C> <C> <C>
5.01- 10.00 7 107,569.49 0.02
10.01- 15.00 16 273,762.78 0.05
15.01- 20.00 62 1,125,943.62 0.19
20.01- 25.00 68 1,349,851.42 0.23
25.01- 30.00 114 2,767,133.32 0.47
30.01- 35.00 138 3,640,312.80 0.62
35.01- 40.00 167 4,732,459.23 0.80
40.01- 45.00 191 6,456,641.31 1.09
45.01- 50.00 296 10,780,093.90 1.83
50.01- 55.00 306 11,719,270.32 1.99
</TABLE>
See Lehman Brothers' Disclaimer on pages 28 and 29.
Page 20
~p
<TABLE>
<CAPTION>
Number Current
Combined LTV of Loans Balance %
<S> <C> <C> <C>
55.01- 60.00 495 20,149,208.25 3.42
60.01- 65.00 583 25,191,140.35 4.27
65.01- 70.00 1,178 56,606,547.94 9.59
70.01- 75.00 1,495 74,806,564.36 12.68
75.01- 80.00 2,308 118,645,191.29 20.11
80.01- 85.00 3,058 156,764,527.57 26.57
85.01- 90.00 1,124 50,185,036.69 8.51
</TABLE>
<PAGE> 11
<TABLE>
<S> <C> <C> <C>
90.01- 95.00 365 12,633,371.04 2.14
95.01-100.00 1,492 30,793,597.50 5.22
100.01-105.00 61 1,208,198.12 0.20
105.01-110.00 2 63,750.00 0.01
Total: 13,526 590,000,171.30 100.00
</TABLE>
See Lehman Brothers' Disclaimer on pages 28 and 29.
Page 21
~p
<TABLE>
<CAPTION>
Number Current
Home Equity Ratio of Loans Balance %
<S> <C> <C> <C> <C>
0.00 7,850 446,955,036.81 75.76
0.01 - 5.00 2 26,739.35 0.00
5.01 - 10.00 137 1,683,031.89 0.29
10.01 - 15.00 709 11,717,116.15 1.99
15.01 - 20.00 1,160 22,288,130.41 3.78
20.01 - 25.00 1,024 22,913,291.70 3.88
25.01 - 30.00 796 20,640,180.47 3.50
30.01 - 35.00 532 15,668,536.63 2.66
35.01 - 40.00 361 11,482,278.69 1.95
40.01 - 45.00 225 7,842,722.28 1.33
</TABLE>
Table Continued on the Next Page
See Lehman Brothers' Disclaimer on pages 28 and 29.
Page 22
~p
(Cont.)
<TABLE>
<CAPTION>
Number Current
Home Equity Ratio of Loans Balance %
<S> <C> <C> <C>
45.01 - 50.00 149 5,185,969.09 0.88
50.01 - 55.00 123 4,594,533.49 0.78
55.01 - 60.00 88 3,564,060.14 0.60
60.01 - 65.00 65 2,336,642.27 0.40
65.01 - 70.00 79 2,967,616.34 0.50
70.01 - 75.00 63 2,607,498.40 0.44
75.01 - 80.00 53 2,579,180.91 0.44
80.01 - 85.00 40 1,758,996.14 0.30
85.01 - 90.00 39 1,696,338.90 0.29
90.01 - 95.00 22 1,111,312.72 0.19
95.01 - 100.00 9 380,958.52 0.06
Total: 13,526 590,000,171.30 100.00
</TABLE>
See Lehman Brothers' Disclaimer on pages 28 and 29.
Page 23
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<TABLE>
<CAPTION>
States Number Current %
of Loans Balance
<S> <C> <C> <C>
FL 1,953 73,815,192.68 12.51
CA 772 40,500,638.52 6.86
</TABLE>
<PAGE> 12
<TABLE>
<S> <C> <C> <C>
OH 739 36,204,452.10 6.14
PA 621 28,260,823.41 4.79
MI 567 26,819,513.31 4.55
TN 595 26,633,244.33 4.51
NC 630 24,713,789.61 4.19
NY 385 24,058,806.16 4.08
IN 566 23,807,701.08 4.04
MD 482 22,569,402.10 3.83
IL 487 22,469,362.64 3.81
MN 385 16,566,361.81 2.81
SC 426 15,364,411.20 2.60
</TABLE>
Table Continued on the Next Page
See Lehman Brothers' Disclaimer on pages 28 and 29.
Page 24
~p
<TABLE>
<CAPTION>
States Number Current %
of Loans Balance
<S> <C> <C> <C>
GA 381 15,283,494.10 2.59
WA 339 14,595,429.91 2.47
KY 350 13,807,157.13 2.34
LA 314 12,464,447.11 2.11
MA 184 12,200,767.23 2.07
VA 312 12,091,298.71 2.05
AZ 296 11,489,183.61 1.95
CO 325 11,016,148.80 1.87
IA 232 9,918,821.25 1.68
MO 223 9,527,359.62 1.61
WI 184 8,855,990.48 1.50
UT 262 8,719,683.10 1.48
OR 161 7,160,485.55 1.21
CT 104 5,735,752.11 0.97
</TABLE>
Table Continued on the Next Page
See Lehman Brothers' Disclaimer on pages 28 and 29.
Page 25
~p
<TABLE>
<CAPTION>
States Number Current %
of Loans Balance
<S> <C> <C> <C>
OK 174 5,456,987.15 0.92
KS 147 5,321,226.55 0.90
DE 95 5,138,057.41 0.87
TX 60 5,085,876.22 0.86
MS 133 4,788,123.45 0.81
NJ 64 4,557,696.32 0.77
RI 74 3,959,115.61 0.67
ID 108 3,929,090.00 0.67
AL 93 3,679,673.07 0.62
</TABLE>
<PAGE> 13
Table Continued on the Next Page
See Lehman Brothers' Disclaimer on pages 28 and 29.
Page 26
~p
<TABLE>
<CAPTION>
States Number Current %
of Loans Balance
<S> <C> <C> <C>
AR 70 3,312,074.33 0.56
NM 76 3,007,237.47 0.51
NE 62 2,649,255.39 0.45
NV 50 2,081,725.71 0.35
WV 30 1,565,306.79 0.27
DC 8 447,581.83 0.08
NH 6 341,478.84 0.06
HI 1 29,947.50 0.01
Total: 13,526 590,000,171.30 100.00
</TABLE>
See Lehman Brothers' Disclaimer on pages 28 and 29.
Page 27
~p
DISCLAIMER
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 complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared 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
<PAGE> 14
Page 28
~p
DISCLAIMER (continued)
assumptions described in the Offering Document. Lehman Brothers Inc., and any
of its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield on
the securities. This information supersedes any prior versions hereof and will
be deemed to be superseded by any subsequent versions (including, with respect
to any description of the securities or underlying assets, the information
contained in the Offering Document).
<PAGE> 15
LEHMAN BROTHERS
DERIVED INFORMATION
$590,000,000 Certificates
EQCC HOME EQUITY LOAN TRUST 1996-4
EQCC Receivables Corporation and EQCC Asset Backed Corporation (Depositors)
EquiCredit Corporation of America (Servicer)
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to
herein. Offers to sell and solicitations of offers to buy the securities are
made only by , and this information must be read in
conjunction with, the final Prospectus Supplement and the related Prospectus
or, if not registered under the securities laws, the final
Offering Memorandum (the "Offering Document"). Information contained herein
does not purport to complete and is subject to the same
qualifications and assumptions, and should be considered by investors only in
the light of the same warnings, lack of assurances and
representations and other precautionary matters, as disclosed in the Offering
Document. Information regarding the underlying assets
has been provided by the issuer of the securities or an affiliate thereof and
has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared 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. Lehman
Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any
of the underlying assets or the payments or yield on the
securities. This information supersedes any prior versions hereof and will be
deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or underlying
assets, the information contained in the Offering
Document).
<PAGE> 16
SECURITIES OFFERED:
FIXED RATE HELS - TO MATURITY:
<TABLE>
<CAPTION>
APPROX. ESTIMATED ESTIMATED EXPECTED STATED EXPECTED
APPROX. GROUP EXPECTED WAL/MDUR PRINCIPAL FINAL FINAL RATINGS
SECURITIES SIZE NO. BENCHMARK PRICE (YRS) PMT. WINDOW MATURITY MATURITY MOODY'S/S&P
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A-1 (1) $78,800,000 I Curve 99.999% 0.45/0.43 10 months 10/15/97 12/15/02 Aaa/AAA
CLASS A-2 (1) $106,470,000 I 1 Yr Tsy 99.990% 1.15/1.08 10 months 7/15/98 10/15/03 Aaa/AAA
CLASS A-3 (1) $103,690,000 I 2 Yr Tsy 99.998% 2.00/1.82 13 months 7/15/99 11/15/06 Aaa/AAA
CLASS A-4 (1) $92,740,000 I 3 Yr Tsy 99.984% 3.08/2.70 16 months 10/15/00 8/15/10 Aaa/AAA
CLASS A-5 (1) $32,150,000 I Curve 99.982% 4.08/3.46 8 months 5/15/01 7/15/11 Aaa/AAA
CLASS A-6 (1) $60,110,000 I 5 Yr Tsy 99.957% 5.25/4.26 25 months 5/15/03 7/15/14 Aaa/AAA
CLASS A-7 (1) $36,580,000 I Curve 99.985% 7.35/5.51 37 months 5/15/06 6/15/23 Aaa/AAA
CLASS A-8 (1) $20,460,000 I 10 Yr Tsy 99.985% 11.66/7.49 246 months 10/15/26 1/15/28 Aaa/AAA
CLASS A-9 (1) $59,000,000 I Curve 99.972% 6.15/4.79 142 months 10/15/11 10/15/11 Aaa/AAA
FIXED RATE HELS - TO 10% CALL:
APPROX. ESTIMATED ESTIMATED EXPECTED STATED EXPECTED
APPROX. GROUP EXPECTED WAL/MDUR PRINCIPAL FINAL FINAL RATINGS
SECURITIES SIZE NO. BENCHMARK PRICE (YRS) PMT. WINDOW MATURITY MATURITY MOODY'S/S&P
CLASS A-7 (1) $36,580,000 I Curve 99.985% 6.75/5.18 6 months 10/15/03 6/15/23 Aaa/AAA
CLASS A-8 (1) $20,460,000 I 10 Yr Tsy 99.985% 6.79/5.15 1 month 10/15/03 1/15/28 Aaa/AAA
CLASS A-9 (1) $59,000,000 I Curve 99.972% 5.82/4.60 46 months 10/15/03 10/15/11 Aaa/AAA
</TABLE>
(1) Prepayments are sized at 125% of the Prepayment Assumption. A 100%
Prepayment Assumption assumes that prepayments start at 5% CPR in month
one, increase by 1.364% each month to 20% CPR by month 12, and remain at 20%
CPR thereafter.
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 complete and is subject to the same
qualifications and assumptions, and should be considered by investors only in
the light of the same warnings, lack of assurances and
representations and other precautionary matters, as disclosed in the Offering
Document. Information regarding the underlying assets
has been provided by the issuer of the securities or an affiliate thereof and
has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared 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. Lehman
Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any
of the underlying assets or the payments or yield on the
securities. This information supersedes any prior versions hereof and will be
deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or underlying
assets, the information contained in the Offering
Document).
<PAGE> 17
SENSITIVITY ANALYSIS
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
TO MATURITY
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
% of Prepayment Assumption 0.0% 50.0% 100.0% 125.0% 150.0% 175.0%
Implied Seasoned CPR 0.0% 10.0% 20.0% 25.0% 30.0% 35.0%
Class A-1
Avg. Life (yrs) 3.24 0.80 0.52 0.45 0.40 0.36
Mod Duration (yrs) 2.81 0.76 0.50 0.43 0.38 0.34
Window (begin-end) (mths) 1 - 72 1 - 18 1 - 11 1 - 10 1 - 9 1 - 8
Expected Final Maturity 12/15/02 6/15/98 11/15/97 10/15/97 9/15/97 8/15/97
Yield @ 99.999% 5.78 5.78 5.78 5.78 5.78 5.78
Class A-2
Avg. Life (yrs) 6.73 2.32 1.36 1.15 1.00 0.90
Mod Duration (yrs) 5.37 2.09 1.27 1.08 0.94 0.85
Window (begin-end) (mths) 72 - 82 18 - 40 11 - 23 10 - 19 9 - 16 8 - 15
Expected Final Maturity 10/15/03 4/15/00 11/15/98 7/15/98 4/15/98 3/15/98
Yield @ 99.990% 6.11 6.11 6.11 6.12 6.12 6.12
Class A-3
Avg. Life (yrs) 8.20 4.42 2.43 2.00 1.70 1.48
Mod Duration (yrs) 6.20 3.74 2.19 1.82 1.56 1.37
Window (begin-end) (mths) 82 - 119 40 - 69 23 - 37 19 - 31 16 - 26 15 - 22
Expected Final Maturity 11/15/06 9/15/02 1/15/00 7/15/99 2/15/99 0/15/98
Yield @ 99.998% 6.30 6.30 6.30 6.30 6.30 6.30
Class A-4
Avg. Life (yrs) 11.91 6.58 3.85 3.08 2.57 2.21
Mod Duration (yrs) 8.06 5.20 3.30 2.70 2.29 1.99
Window (begin-end) (mths) 119 - 164 69 - 82 37 - 57 31 - 46 26 - 38 22 - 32
Expected Final Maturity 8/15/10 10/15/03 9/15/01 10/15/00 2/15/00 8/15/99
Yield @ 99.984% 6.51 6.51 6.51 6.51 6.51 6.51
Class A-5
Avg. Life (yrs) 14.12 7.71 5.14 4.08 3.34 2.82
Mod Duration (yrs) 8.86 5.83 4.21 3.46 2.90 2.49
Window (begin-end) (mths) 164 - 175 82 - 105 57 - 68 46 - 53 38 - 44 32 - 37
Expected Final Maturity 7/15/11 9/15/05 8/15/02 5/15/01 8/15/00 1/15/00
Yield @ 99.982% 6.76 6.76 6.76 6.76 6.76 6.76
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to
herein. Offers to sell and solicitations of offers to buy the securities are
made only by , and this information must be read in
conjunction with, the final Prospectus Supplement and the related Prospectus
or, if not registered under the securities laws, the final
Offering Memorandum (the "Offering Document"). Information contained herein
does not purport to complete and is subject to the same
qualifications and assumptions, and should be considered by investors only in
the light of the same warnings, lack of assurances and
representations and other precautionary matters, as disclosed in the Offering
Document. Information regarding the underlying assets
has been provided by the issuer of the securities or an affiliate thereof and
has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared 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. Lehman
Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any
of the underlying assets or the payments or yield on the
securities. This information supersedes any prior versions hereof and will be
deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or underlying
assets, the information contained in the Offering
Document).
<PAGE> 18
SENSITIVITY ANALYSIS (CONTINUED)
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
TO MATURITY
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
% of Prepayment Assumption 0.0% 50.0% 100.0% 125.0% 150.0% 175.0%
Implied Seasoned CPR 0.0% 10.0% 20.0% 25.0% 30.0% 35.0%
Class A-6
Avg.Life (yrs) 15.08 10.24 6.46 5.25 4.25 3.54
Mod Duration (yrs) 9.12 7.12 5.05 4.26 3.56 3.04
Window (begin-end)(mths) 175 - 211 105 -145 68 - 86 53 - 77 44 - 61 37 - 51
Expected Final Maturity 7/15/14 1/15/09 2/15/04 5/15/03 1/15/02 3/15/01
Yield @ 99.957% 6.90 6.90 6.91 6.91 6.91 6.91
Class A-7
Avg. Life (yrs) 21.81 13.52 9.12 7.35 5.95 4.79
Mod Duration (yrs) 10.65 8.38 6.46 5.51 4.68 3.92
Window(begin-end) (mths) 211 - 318 145 - 178 86 -133 77 - 113 61 - 82 51 - 69
Expected Final Maturity 6/15/23 10/15/11 1/15/08 5/15/06 10/15/03 9/15/02
Yield @ 99.985% 7.23 7.23 7.23 7.23 7.23 7.23
Class A-8
Avg. Life (yrs) 28.30 18.39 13.53 11.66 9.85 7.95
Mod Duration (yrs) 11.47 9.59 8.20 7.49 6.68 5.71
Window (begin-end)(mths) 318 - 359 178 - 359 133- 359 113 - 358 82 - 351 69 - 326
Expected Final Maturity 11/15/26 11/15/26 11/15/26 10/15/26 3/15/26 2/15/24
Yield @ 99.985% 7.49 7.49 7.49 7.49 7.49 7.49
Class A-9
Avg. Life (yrs) 8.79 7.26 6.45 6.15 5.92 5.73
Mod Duration (yrs) 6.27 5.45 4.97 4.79 4.65 4.52
Window (begin-end) (mths) 37 - 178 37 - 178 37 - 178 37 - 178 37- 178 37 -178
Expected Final Maturity 10/15/11 10/15/11 10/15/11 10/15/11 10/15/11 10/15/11
Yield @ 99.972% 6.98 6.98 6.99 6.99 6.99 6.99
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to
herein. Offers to sell and solicitations of offers to buy the securities are
made only by , and this information must be read in
conjunction with, the final Prospectus Supplement and the related Prospectus
or, if not registered under the securities laws, the final
Offering Memorandum (the "Offering Document"). Information contained herein
does not purport to complete and is subject to the same
qualifications and assumptions, and should be considered by investors only in
the light of the same warnings, lack of assurances and
representations and other precautionary matters, as disclosed in the Offering
Document. Information regarding the underlying assets
has been provided by the issuer of the securities or an affiliate thereof and
has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared 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. Lehman
Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any
of the underlying assets or the payments or yield on the
securities. This information supersedes any prior versions hereof and will be
deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or underlying
assets, the information contained in the Offering
Document).
<PAGE> 19
SENSITIVITY ANALYSIS (CONTINUED)
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
TO 10 % CLEANUP CALL
<TABLE>
<S> <C> <C> <C> <C> <C> <C>
% of Prepayment Assumption 0.0% 50.0% 100.0% 125.0% 150.0% 175.0%
Implied Seasoned CPR 0.0% 10.0% 20.0% 25.0% 30.0% 35.0%
Class A-7
Avg. Life (yrs) 17.21 12.04 7.96 6.75 5.85 4.77
Mod Duration (yrs) 9.59 7.81 5.87 5.18 4.62 3.90
Window (begin-end) (mths) 207 -207 145- 145 86 - 97 77- 82 61 - 77 51 -65
Expected Final Maturity 3/15/14 1/15/09 1/15/05 10/15/03 5/15/03 5/15/02
Yield @ 99.985% 7.23 7.23 7.23 7.23 7.23 7.23
Class A-8
Avg. Life (yrs) 17.21 12.04 8.04 6.79 6.38 5.38
Mod Duration (yrs) 9.41 7.70 5.85 5.15 4.91 4.28
Window (begin-end) (mths) 207 -207 145- 145 97 - 97 82- 82 77 - 77 65- 65
Expected Final Maturity 3/15/14 1/15/09 1/15/05 10/15/03 5/15/03 5/15/02
Yield @99.985% 7.49 7.49 7.49 7.49 7.49 7.49
Class A-9
Avg. Life (yrs) 8.79 7.24 6.30 5.82 5.48 4.88
Mod Duration (yrs) 6.27 5.44 4.90 4.60 4.39 3.99
Window(begin-end) (mths) 37 - 178 37- 145 37 - 97 37 - 82 37- 77 37 - 65
Expected Final Maturity 10/15/11 1/15/09 1/15/05 10/15/03 5/15/03 5/15/02
Yield @ 99.972% 6.98 6.98 6.99 6.99 6.99 6.99
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to
herein. Offers to sell and solicitations of offers to buy the securities are
made only by , and this information must be read in
conjunction with, the final Prospectus Supplement and the related Prospectus
or, if not registered under the securities laws, the final
Offering Memorandum (the "Offering Document"). Information contained herein
does not purport to complete and is subject to the same
qualifications and assumptions, and should be considered by investors only in
the light of the same warnings, lack of assurances and
representations and other precautionary matters, as disclosed in the Offering
Document. Information regarding the underlying assets
has been provided by the issuer of the securities or an affiliate thereof and
has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared 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. Lehman
Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any
of the underlying assets or the payments or yield on the
securities. This information supersedes any prior versions hereof and will be
deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or underlying
assets, the information contained in the Offering
Document).
<PAGE> 20
V. COLLATERAL SUMMARY
FIXED RATE HOME EQUITY LOANS (AS OF THE CUT-OFF DATE)
<TABLE>
<S> <C> <C> <C>
TOTAL NUMBER OF LOANS 13,526
TOTAL OUTSTANDING LOAN BALANCE $590,000,171.30
BALLOON (% OF TOTAL) 37.69%
LEVEL PAY (% OF TOTAL) 62.31%
AVERAGE LOAN PRINCIPAL BALANCE $43,619.71 % BY BALANCE
------------
RANGE OF LOAN PRINCIPAL BALANCE $4,885 - $350,000 <= $25,000 12.56%
$25,001 - $50,000 32.15%
$50,001 - $75,000 25.24%
$75,001 - $100,000 12.70%
$100,001 - $500,000 17.35%
WEIGHTED AVERAGE COUPON 10.85% % BY BALANCE
------------
COUPON RANGE 7.75% - 17.64% 7.00% - 9.00% 3.60%
9.01% - 10.00% 23.92%
10.01% - 11.00% 36.40%
11.01% - 12.00% 18.25%
12.01% - 18.00% 17.82%
WEIGHTED AVERAGE ORIGINAL TERM (MONTHS) 173 LEVEL PAY BALLOON
--------- -------
RANGE OF ORIGINAL TERMS (MONTHS) 36 - 360 36-84 0.95% 65.21%
85-120 4.77% 14.57%
121-180 67.84% 20.22%
181-240 9.15%
241-360 17.29%
WEIGHTED AVERAGE REMAINING TERM (MONTHS) 172 LEVEL PAY BALLOON
--------- -------
RANGE OF REMAINING TERMS (MONTHS) 24 - 360 24-84 0.98% 65.32%
85-120 4.89% 14.50%
121-180 67.69% 20.18%
181-240 9.15%
241-360 17.29%
LIEN POSITION (FIRST/SECOND) 75.76% / 24.24%
WEIGHTED AVERAGE CLTV AT ORIGINATION 76.96% % BY BALANCE
------------
RANGE OF CLTV AT ORIGINATION 7.14% - 107.42% 7.00% - 65.00% 14.96%
65.01% - 75.00% 22.27%
75.01% - 85.00% 46.68%
85.01% - 110.00% 16.08%
WEIGHTED AVERAGE SECOND MORTGAGE RATIO 33.47% (FOR SECOND LIENS ONLY AS OF ORIGINATION)
RANGE OF SECOND MORTGAGE RATIOS 4.32% - 99.95%
PROPERTY TYPE
SINGLE FAMILY 93.04% CONDOS/TOWNHOUSE 1.31%
2 TO 4 FAMILY 4.29% OTHER 1.36%
OCCUPANCY STATUS OWNER OCC. 95.52% INVESTMENT 4.48%
GEOGRAPHIC DISTRIBUTION
OTHER STATES ACCOUNT INDIVIDUALLY FOR LESS FL 12.51% OH 6.14%
THAN 5% OF THE POOL PRINCIPAL BALANCE CA 6.86%
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to
herein. Offers to sell and solicitations of offers to buy the securities are
made only by , and this information must be read in
conjunction with, the final Prospectus Supplement and the related Prospectus
or, if not registered under the securities laws, the final
Offering Memorandum (the "Offering Document"). Information contained herein
does not purport to complete and is subject to the same
qualifications and assumptions, and should be considered by investors only in
the light of the same warnings, lack of assurances and
representations and other precautionary matters, as disclosed in the Offering
Document. Information regarding the underlying assets
has been provided by the issuer of the securities or an affiliate thereof and
has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared 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. Lehman
Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any
of the underlying assets or the payments or yield on the
securities. This information supersedes any prior versions hereof and will be
deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or underlying
assets, the information contained in the Offering
Document).
<PAGE> 21
V. COLLATERAL SUMMARY (CONTINUED)
CURRENT BALANCE
<TABLE>
<CAPTION>
NUMBER CURRENT
CURRENT BALANCE OF LOANS BALANCE %
--------------- -------- ------- --
<S> <C> <C> <C>
0.01 - 25,000.00 4,201 74,089,705.05 12.56
25,000.01 - 50,000.00 5,239 189,696,407.85 32.15
50,000.01 - 75,000.00 2,453 148,919,365.39 25.24
75,000.01 - 100,000.00 874 74,907,702.64 12.70
100,000.01 - 125,000.00 404 44,933,365.56 7.62
125,000.01 - 150,000.00 185 25,333,703.50 4.29
150,000.01 - 175,000.00 81 13,028,227.70 2.21
175,000.01 - 200,000.00 44 8,301,027.24 1.41
200,000.01 - 225,000.00 22 4,657,821.49 0.79
225,000.01 - 250,000.00 12 2,843,888.98 0.48
250,000.01 - 275,000.00 3 777,651.61 0.13
275,000.01 - 300,000.00 3 868,304.29 0.15
300,000.01 - 325,000.00 2 628,400.00 0.11
325,000.01 - 350,000.00 3 1,014,600.00 0.17
TOTAL: 13,526 590,000,171.30 100.00
</TABLE>
<TABLE>
<CAPTION>
COUPON
- ------
NUMBER CURRENT
COUPON OF LOANS BALANCE %
------ -------- ------- --
<S> <C> <C> <C>
7.501- 8.000 4 236,734.86 0.04
8.001- 8.500 146 7,722,353.09 1.31
8.501- 9.000 187 13,300,337.05 2.25
9.001- 9.500 548 36,557,905.83 6.20
9.501-10.000 1,768 104,583,826.46 17.73
10.001-10.500 1,942 101,201,095.32 17.15
10.501-11.000 2,532 113,579,363.92 19.25
11.001-11.500 1,621 65,067,198.01 11.03
11.501-12.000 1,098 42,622,461.53 7.22
12.001-12.500 932 32,793,854.21 5.56
12.501-13.000 844 27,745,448.72 4.70
13.001-13.500 1,497 31,623,088.28 5.36
13.501-14.000 149 4,885,170.76 0.83
14.001-14.500 175 5,782,257.24 0.98
14.501-15.000 38 1,565,591.73 0.27
15.001+ 45 733,484.29 0.12
TOTAL: 13,526 590,000,171.30 100.00
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to
herein. Offers to sell and solicitations of offers to buy the securities are
made only by , and this information must be read in
conjunction with, the final Prospectus Supplement and the related Prospectus
or, if not registered under the securities laws, the final
Offering Memorandum (the "Offering Document"). Information contained herein
does not purport to complete and is subject to the same
qualifications and assumptions, and should be considered by investors only in
the light of the same warnings, lack of assurances and
representations and other precautionary matters, as disclosed in the Offering
Document. Information regarding the underlying assets
has been provided by the issuer of the securities or an affiliate thereof and
has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared 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. Lehman
Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any
of the underlying assets or the payments or yield on the
securities. This information supersedes any prior versions hereof and will be
deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or underlying
assets, the information contained in the Offering
Document).
<PAGE> 22
V. COLLATERAL SUMMARY (CONTINUED)
<TABLE>
<CAPTION>
REMAINING TERM
- --------------
STATED REMAINING NUMBER CURRENT
TERM OF LOANS BALANCE %
- ---- -------- ------- -------
<S> <C> <C> <C>
13- 24 1 6,640.35 0.00
25- 36 3 40,468.07 0.01
37- 48 6 112,413.32 0.02
49- 60 113 2,567,382.71 0.44
61- 72 15 280,212.17 0.05
73- 84 2,173 145,834,137.54 24.72
85- 96 20 617,669.96 0.10
97-108 8 256,154.64 0.04
109-120 1,210 49,351,411.06 8.36
121-132 2 40,665.97 0.01
133-144 27 842,408.23 0.14
145-156 4 137,812.12 0.02
157-168 6 188,827.44 0.03
169-180 8,365 292,522,644.16 49.59
229-240 622 33,637,634.56 5.70
289-300 2 111,000.00 0.02
349-360 949 63,452,689.00 10.75
TOTAL: 13,526 590,000,171.30 100.00
</TABLE>
COMBINED LTV
<TABLE>
<CAPTION>
NUMBER CURRENT
COMBINED LTV OF LOANS BALANCE %
------------ -------- ------- --
<S> <C> <C> <C>
5.01- 10.00 7 107,569.49 0.02
10.01- 15.00 16 273,762.78 0.05
15.01- 20.00 62 1,125,943.62 0.19
20.01- 25.00 68 1,349,851.42 0.23
25.01- 30.00 114 2,767,133.32 0.47
30.01- 35.00 138 3,640,312.80 0.62
35.01- 40.00 167 4,732,459.23 0.80
40.01- 45.00 191 6,456,641.31 1.09
45.01- 50.00 296 10,780,093.90 1.83
50.01- 55.00 306 11,719,270.32 1.99
55.01- 60.00 495 20,149,208.25 3.42
60.01- 65.00 583 25,191,140.35 4.27
65.01- 70.00 1,178 56,606,547.94 9.59
70.01- 75.00 1,495 74,806,564.36 12.68
75.01- 80.00 2,308 118,645,191.29 20.11
80.01- 85.00 3,058 156,764,527.57 26.57
85.01- 90.00 1,124 50,185,036.69 8.51
90.01- 95.00 365 12,633,371.04 2.14
95.01-100.00 1,492 30,793,597.50 5.22
100.01-105.00 61 1,208,198.12 0.20
105.01-110.00 2 63,750.00 0.01
TOTAL: 13,526 590,000,171.30 100.00
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to
herein. Offers to sell and solicitations of offers to buy the securities are
made only by , and this information must be read in
conjunction with, the final Prospectus Supplement and the related Prospectus
or, if not registered under the securities laws, the final
Offering Memorandum (the "Offering Document"). Information contained herein
does not purport to complete and is subject to the same
qualifications and assumptions, and should be considered by investors only in
the light of the same warnings, lack of assurances and
representations and other precautionary matters, as disclosed in the Offering
Document. Information regarding the underlying assets
has been provided by the issuer of the securities or an affiliate thereof and
has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared 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. Lehman
Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any
of the underlying assets or the payments or yield on the
securities. This information supersedes any prior versions hereof and will be
deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or underlying
assets, the information contained in the Offering
Document).
<PAGE> 23
V. COLLATERAL SUMMARY (CONTINUED)
HOME EQUITY LOAN RATIO
<TABLE>
<CAPTION>
NUMBER CURRENT
HOME EQUITY RATIO OF LOANS BALANCE %
- ----------------- -------- ------- -
<S> <C> <C> <C>
0.00 7,850 446,955,036.81 75.76
0.01 - 5.00 2 26,739.35 0.00
5.01 - 10.00 137 1,683,031.89 0.29
10.01 - 15.00 709 11,717,116.15 1.99
15.01 - 20.00 1,160 22,288,130.41 3.78
20.01 - 25.00 1,024 22,913,291.70 3.88
25.01 - 30.00 796 20,640,180.47 3.50
30.01 - 35.00 532 15,668,536.63 2.66
35.01 - 40.00 361 11,482,278.69 1.95
40.01 - 45.00 225 7,842,722.28 1.33
45.01 - 50.00 149 5,185,969.09 0.88
50.01 - 55.00 123 4,594,533.49 0.78
55.01 - 60.00 88 3,564,060.14 0.60
60.01 - 65.00 65 2,336,642.27 0.40
65.01 - 70.00 79 2,967,616.34 0.50
70.01 - 75.00 63 2,607,498.40 0.44
75.01 - 80.00 53 2,579,180.91 0.44
80.01 - 85.00 40 1,758,996.14 0.30
85.01 - 90.00 39 1,696,338.90 0.29
90.01 - 95.00 22 1,111,312.72 0.19
95.01 - 100.00 9 380,958.52 0.06
TOTAL: 13,526 590,000,171.30 100.00
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to
herein. Offers to sell and solicitations of offers to buy the securities are
made only by , and this information must be read in
conjunction with, the final Prospectus Supplement and the related Prospectus
or, if not registered under the securities laws, the final
Offering Memorandum (the "Offering Document"). Information contained herein
does not purport to complete and is subject to the same
qualifications and assumptions, and should be considered by investors only in
the light of the same warnings, lack of assurances and
representations and other precautionary matters, as disclosed in the Offering
Document. Information regarding the underlying assets
has been provided by the issuer of the securities or an affiliate thereof and
has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared 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. Lehman
Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any
of the underlying assets or the payments or yield on the
securities. This information supersedes any prior versions hereof and will be
deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or underlying
assets, the information contained in the Offering
Document).
<PAGE> 24
V. COLLATERAL SUMMARY (CONTINUED)
GEOGRAPHIC DISTRIBUTION
<TABLE>
<CAPTION>
NUMBER CURRENT
STATES LOANS BALANCE %
- ------ ----- ------- -
<S> <C> <C> <C>
FL 1,953 73,815,192.68 12.51
CA 772 40,500,638.52 6.86
OH 739 36,204,452.10 6.14
PA 621 28,260,823.41 4.79
MI 567 26,819,513.31 4.55
TN 595 26,633,244.33 4.51
NC 630 24,713,789.61 4.19
NY 385 24,058,806.16 4.08
IN 566 23,807,701.08 4.04
MD 482 22,569,402.10 3.83
IL 487 22,469,362.64 3.81
MN 385 16,566,361.81 2.81
SC 426 15,364,411.20 2.60
GA 381 15,283,494.10 2.59
WA 339 14,595,429.91 2.47
KY 350 13,807,157.13 2.34
LA 314 12,464,447.11 2.11
MA 184 12,200,767.23 2.07
VA 312 12,091,298.71 2.05
AZ 296 11,489,183.61 1.95
CO 325 11,016,148.80 1.87
IA 232 9,918,821.25 1.68
MO 223 9,527,359.62 1.61
WI 184 8,855,990.48 1.50
UT 262 8,719,683.10 1.48
OR 161 7,160,485.55 1.21
CT 104 5,735,752.11 0.97
OK 174 5,456,987.15 0.92
KS 147 5,321,226.55 0.90
DE 95 5,138,057.41 0.87
TX 60 5,085,876.22 0.86
MS 133 4,788,123.45 0.81
NJ 64 4,557,696.32 0.77
RI 74 3,959,115.61 0.67
ID 108 3,929,090.00 0.67
AL 93 3,679,673.07 0.62
AR 70 3,312,074.33 0.56
NM 76 3,007,237.47 0.51
NE 62 2,649,255.39 0.45
NV 50 2,081,725.71 0.35
WV 30 1,565,306.79 0.27
DC 8 447,581.83 0.08
NH 6 341,478.84 0.06
HI 1 29,947.50 0.01
TOTAL 13,526 590,000,171.30 100.00
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to
herein. Offers to sell and solicitations of offers to buy the securities are
made only by , and this information must be read in
conjunction with, the final Prospectus Supplement and the related Prospectus
or, if not registered under the securities laws, the final
Offering Memorandum (the "Offering Document"). Information contained herein
does not purport to complete and is subject to the same
qualifications and assumptions, and should be considered by investors only in
the light of the same warnings, lack of assurances and
representations and other precautionary matters, as disclosed in the Offering
Document. Information regarding the underlying assets
has been provided by the issuer of the securities or an affiliate thereof and
has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared 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. Lehman
Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any
of the underlying assets or the payments or yield on the
securities. This information supersedes any prior versions hereof and will be
deemed to be superseded by any subsequent versions
(including, with respect to any description of the securities or underlying
assets, the information contained in the Offering
Document).
