<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): June 23, 1997
EQCC RECEIVABLES CORPORATION
EQCC ASSET BACKED CORPORATION
(Exact name of registrants as specified in governing instruments)
59-3170055
Delaware 333-20675 59-3170052
(State or other (Commission File (IRS Employer
jurisdiction of Number) Identification No.)
organization)
10401 Deerwood Park Blvd., Jacksonville, Florida 32256
(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 June 30, 1997 the Registrants will cause the issuance
and sale of EQCC Home Equity Loan Asset Backed Certificates, Series 1997-2,
Class A-1, Class A-2, Class A-3, Class A-4, Class A-5, Class A-6, Class A-7,
Class A-8, Class A-9 and Class A-10 (the "Certificates") pursuant to a Pooling
and Servicing Agreement dated as of June 1, 1997, among the Registrant,
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., Bear, Stearns & Co. Inc.,
Prudential Securities Incorporated and Salomon Brothers Inc (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. 333-20675 but prior to the availability of a final Prospectus
relating to the Certificates. The Term Sheets in the form used by each of the
Underwriters are being filed as an exhibit to this report.
The Term Sheets attached hereto have been provided by the Underwriters.
The information in the Term Sheets was preliminary and will be superseded by the
Prospectus Supplement relating to the Certificates and may be superseded by any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 Sheets 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 Sheets which have
resulted in any returns to holders of the Certificates that are detailed in the
Term Sheets. No representation is made that any returns indicated in the Term
Sheets 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 will 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>
99.1(D) Computational Materials prepared in connection 005
with the sale of EQCC Home Equity Loan Asset
Backed Certificates, Series 1997-2, by Lehman
Brothers Inc., Bear, Stearns & Co. Inc.,
Prudential Securities Incorporated and Salomon
Brothers Inc
</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
June 24, 1997 By: /s/ Terence G. Vane, Jr.
------------------------
Terence G. Vane, Jr.
Vice President
EQCC ASSET BACKED CORPORATION
June 24, 1997 By: /s/ Terence G. Vane, Jr.
------------------------
Terence G. Vane, Jr.
Vice President
<PAGE> 1
Exhibit 99.1(D)
Computational Materials
<PAGE> 2
LEHMAN BROTHERS
DERIVED INFORMATION
$688,000,000 Certificates
EQCC HOME EQUITY LOAN TRUST 1997-2
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 be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared 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> 3
2
I. SECURITIES OFFERED(1):
TO MATURITY:
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------
APPROX. ESTIMATED ESTIMATED EXPECTED STATED
APPROX. GROUP EXPECTED WAL/MDUR PRINCIPAL FINAL FINAL MATURITY
SECURITIES SIZE NO. BENCHMARK PRICE (YRS) PMT. WINDOW MATURITY
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A-1 (2) $ 65,666,000 I Curve 100.000% 1.00/0.93 1 - 25 7/15/99 7/15/28
CLASS A-2 (2) $ 31,292,000 I Curve 100.000% 0.45/0.43 1 - 9 3/15/98 5/15/04
CLASS A-3 (2) $ 78,276,000 I Curve 100.000% 1.15/1.07 9 - 20 2/15/99 5/15/04
CLASS A-4 (2) $ 62,228,000 I 2 Yr Tsy 100.000% 2.05/1.86 20 - 30 12/15/99 4/15/07
CLASS A-5 (2) $ 86,789,000 I 3 Yr Tsy 100.000% 3.05/2.67 30 - 46 4/15/01 4/15/11
CLASS A-6 (2) $ 22,646,000 I Curve 100.000% 4.05/3.43 46 - 52 10/15/01 2/15/12
CLASS A-7 (2) $ 72,769,000 I Curve 100.000% 5.56/4.45 52 - 83 5/15/04 2/15/20
CLASS A-8 (2) $ 33,034,000 I 10 Yr Tsy 100.000% 9.95/6.76 83 - 360 6/15/27 7/15/28
CLASS A-9 (2) $ 50,300,000 I Curve 100.000% 6.16/4.81 37 - 178 4/15/12 7/15/28
CLASS A-10(3) $185,000,000 II 1 mo LIBOR 100.000% 3.02 1 - 293 11/15/21 7/15/28
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
TO 10% CLEANUP CALL:
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
APPROX. ESTIMATED ESTIMATED EXPECTED STATED
APPROX. GROUP EXPECTED WAL/MDUR PRINCIPAL FINAL FINAL MATURITY
SECURITIES SIZE NO. BENCHMARK PRICE (YRS) PMT. WINDOW MATURITY
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A-7 (2) $ 72,769,000 I Curve 100.000% 5.56/4.45 52 - 83 5/15/04 2/15/20
CLASS A-8 (2) $ 33,034,000 I 10 Yr Tsy 100.000% 6.88/5.24 83 - 83 5/15/04 7/15/28
CLASS A-9 (2) $ 50,300,000 I Curve 100.000% 5.86/4.64 37 - 83 5/15/04 7/15/28
CLASS A-10(3) $185,000,000 II 1 mo LIBOR 100.000% 2.95 1 - 83 5/15/04 7/15/28
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) All Certificates will be rated Aaa/AAA by Moody's & S&P.
(2) 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.
(3) Prepayments are sized at 25% CPR.
- --------------------------------------------------------------------------------
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> 4
3
II. SENSITIVITY ANALYSIS
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
GROUP I LOANS
<TABLE>
<CAPTION>
TO MATURITY
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
% of Prepayment Assumption 0.0% 50.0% 100.0% 125.0% 150.0% 175.0% 200.0%
Implied Seasoned CPR 0.0% 10.0% 20.0% 25.0% 30.0% 35.0% 40.0%
Class A-1
Avg. Life (yrs) 3.33 1.01 1.00 1.00 1.00 1.00 1.00
Mod Duration (yrs) 2.85 0.94 0.93 0.93 0.93 0.93 0.93
Window (begin-end) (mths) 1 - 74 1 - 25 1 - 25 1 - 25 1 - 25 1 - 25 1 - 25
Expected Final Maturity 8/15/03 7/15/99 7/15/99 7/15/99 7/15/99 7/15/99 7/15/99
Yield @ 100.000% 6.11 6.11 6.11 6.11 6.11 6.11 6.11
Class A-2
Avg. Life (yrs) 6.75 1.33 0.57 0.45 0.37 0.32 0.28
Mod Duration (yrs) 5.41 1.24 0.54 0.43 0.36 0.30 0.26
Window (begin-end) (mths) 74 - 83 8 - 25 1 - 11 1 - 9 1 - 8 1 - 7 1 - 6
Expected Final Maturity 5/15/04 7/15/99 5/15/98 3/15/98 2/15/98 1/15/98 12/15/97
Yield @ 100.000% 5.94 5.94 5.94 5.94 5.94 5.94 5.94
Class A-3
Avg. Life (yrs) 6.88 2.86 1.47 1.15 0.97 0.84 0.75
Mod Duration (yrs) 5.43 2.53 1.35 1.07 0.91 0.80 0.71
Window (begin-end) (mths) 83 - 83 25 - 46 11 - 26 9 - 20 8 - 16 7 - 14 6 - 13
Expected Final Maturity 5/15/04 4/15/01 8/15/99 2/15/99 10/15/98 8/15/98 7/15/98
Yield @ 100.000% 6.29 6.29 6.29 6.29 6.29 6.29 6.29
Class A-4
Avg. Life (yrs) 8.22 4.60 2.53 2.05 1.68 1.41 1.22
Mod Duration (yrs) 6.18 3.86 2.26 1.86 1.54 1.30 1.14
Window (begin-end) (mths) 83 - 118 46 - 67 26 - 36 20 - 30 16 - 25 14 - 21 13 - 18
Expected Final Maturity 4/15/07 1/15/03 6/15/00 12/15/99 7/15/99 3/15/99 12/15/98
Yield @ 100.000% 6.44 6.44 6.44 6.44 6.44 6.44 6.44
Class A-5
Avg. Life (yrs) 11.80 6.57 3.80 3.05 2.55 2.18 1.88
Mod Duration (yrs) 7.96 5.17 3.25 2.67 2.27 1.97 1.72
Window (begin-end) (mths) 118 - 166 67 - 83 36 - 58 30 - 46 25 - 38 21 - 32 18 - 28
Expected Final Maturity 4/15/11 5/15/04 4/15/02 4/15/01 8/15/00 2/15/00 10/15/99
Yield @ 100.000% 6.60 6.60 6.60 6.60 6.60 6.60 6.60
- -------------------------------------------------------------------------------------------------------------------
</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> 5
4
II. SENSITIVITY ANALYSIS (CONTINUED)
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
GROUP I LOANS
<TABLE>
<CAPTION>
TO MATURITY
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
% of Prepayment Assumption 0.0% 50.0% 100.0% 125.0% 150.0% 175.0% 200.0%
Implied Seasoned CPR 0.0% 10.0% 20.0% 25.0% 30.0% 35.0% 40.0%
Class A-6
Avg. Life (yrs) 14.22 7.35 5.09 4.05 3.32 2.81 2.45
Mod Duration (yrs) 8.87 5.61 4.17 3.43 2.88 2.48 2.19
Window (begin-end) (mths) 166 - 176 83 - 99 58 - 66 46 - 52 38 - 43 32 - 36 28 - 31
Expected Final Maturity 2/15/12 9/15/05 12/15/02 10/15/01 1/15/01 6/15/00 1/15/00
Yield @ 100.000% 6.80 6.80 6.80 6.80 6.80 6.80 6.80
Class A-7
Avg. Life (yrs) 16.30 10.69 6.81 5.56 4.50 3.73 3.17
Mod Duration (yrs) 9.43 7.28 5.24 4.45 3.73 3.18 2.75
Window (begin-end) (mths) 176 - 272 99 - 164 66 - 111 52 - 83 43 - 72 36 - 58 31 - 49
Expected Final Maturity 2/15/20 2/15/11 9/15/06 5/15/04 6/15/03 4/15/02 7/15/01
Yield @ 100.000% 6.98 6.98 6.98 6.98 6.98 6.98 6.98
Class A-8
Avg. Life (yrs) 26.80 16.66 11.94 9.95 8.32 6.71 5.21
Mod Duration (yrs) 11.47 9.26 7.65 6.76 5.95 5.04 4.14
Window (begin-end) (mths) 272 - 360 164 - 360 111 - 360 83 - 360 72 - 360 58 - 360 49 - 355
Expected Final Maturity 6/15/27 6/15/27 6/15/27 6/15/27 6/15/27 6/15/27 1/15/27
Yield @ 100.000% 7.30 7.30 7.30 7.30 7.30 7.30 7.30
Class A-9
Avg. Life (yrs) 8.88 7.29 6.46 6.16 5.93 5.73 5.57
Mod Duration (yrs) 6.34 5.48 5.00 4.81 4.66 4.54 4.43
Window (begin-end) (mths) 37 - 178 37 - 178 37 - 178 37 - 178 37 - 178 37 - 178 37 - 178
Expected Final Maturity 4/15/12 4/15/12 4/15/12 4/15/12 4/15/12 4/15/12 4/15/12
Yield @ 100.000% 6.91 6.91 6.91 6.91 6.91 6.91 6.91
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared 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> 6
5
II. SENSITIVITY ANALYSIS (CONTINUED)
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
GROUP I LOANS
<TABLE>
<CAPTION>
TO 10% CLEANUP CALL
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
% of Prepayment Assumption 0.0% 50.0% 100.0% 125.0% 150.0% 175.0% 200.0%
Implied Seasoned CPR 0.0% 10.0% 20.0% 25.0% 30.0% 35.0% 40.0%
Class A-7
Avg. Life (yrs) 15.38 10.18 6.62 5.56 4.50 3.73 3.17
Mod Duration (yrs) 9.17 7.07 5.13 4.45 3.73 3.18 2.75
Window (begin-end) (mths) 176 - 197 99 - 133 66 - 88 52 - 83 43 - 72 36 - 58 31 - 49
Expected Final Maturity 11/15/13 7/15/08 10/15/04 5/15/04 6/15/03 4/15/02 7/15/01
Yield @ 100.000% 6.98 6.98 6.98 6.98 6.98 6.98 6.98
Class A-8
Avg. Life (yrs) 16.38 11.04 7.29 6.88 6.34 5.27 4.48
Mod Duration (yrs) 9.30 7.36 5.48 5.24 4.92 4.23 3.70
Window (begin-end) (mths) 197 - 197 133 - 133 88 - 88 83 - 83 72 - 77 58 - 65 49 - 56
Expected Final Maturity 11/15/13 7/15/08 10/15/04 5/15/04 11/15/03 11/15/02 2/15/02
Yield @ 100.000% 7.30 7.30 7.30 7.30 7.30 7.30 7.30
Class A-9
Avg. Life (yrs) 8.88 7.24 6.16 5.86 5.49 4.88 4.35
Mod Duration (yrs) 6.34 5.46 4.83 4.64 4.40 4.00 3.63
Window (begin-end) (mths) 37 - 178 37 - 133 37 - 88 37 - 83 37 - 77 37 - 65 37 - 56
Expected Final Maturity 4/15/12 7/15/08 10/15/04 5/15/04 11/15/03 11/15/02 2/15/02
Yield @ 100.000% 6.91 6.91 6.91 6.91 6.91 6.91 6.91
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared 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> 7
6
II. SENSITIVITY ANALYSIS (CONTINUED)
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
GROUP II LOANS
<TABLE>
<CAPTION>
TO MATURITY
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
% CPR 0.0% 10.0% 20.0% 25.0% 30.0% 35.0% 40.0%
Class A-10
Avg. Life (yrs) 8.03 5.20 3.59 3.02 2.57 2.20 1.89
Mod Duration (yrs) 6.01 4.15 2.98 2.55 2.20 1.91 1.66
Window (begin-end) (mths) 1 - 293 1 - 293 1 - 293 1 - 293 1 - 293 1 - 293 1 - 291
Expected Final Maturity 11/15/21 11/15/21 11/15/21 11/15/21 11/15/21 11/15/21 9/15/21
Yield @ 100.000% 6.07 6.07 6.07 6.08 6.08 6.08 6.09
Yield @ 99.984% 0.00 0.00 0.00 0.00 0.00 0.00 0.00
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
TO 10% CLEANUP CALL
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
% CPR 0.0% 10.0% 20.0% 25.0% 30.0% 35.0% 40.0%
Class A-10
Avg. Life (yrs) 7.75 5.07 3.52 2.95 2.48 2.07 1.76
Mod Duration (yrs) 5.92 4.09 2.94 2.51 2.14 1.82 1.57
Window (begin-end) (mths) 1 - 197 1 - 133 1 - 88 1 - 83 1 - 77 1 - 65 1 - 56
Expected Final Maturity 11/15/13 7/15/08 10/15/04 5/15/04 11/15/03 11/15/02 2/15/02
Yield @ 100.000% 6.07 6.07 6.07 6.07 6.07 6.07 6.07
Yield @ 99.984% 0.00 0.00 0.00 0.00 0.00 0.00 0.00
- --------------------------------------------------------------------------------------------------------------------
</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 be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared 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> 8
7
III. COLLATERAL SUMMARY(1)
FIXED RATE HOME EQUITY LOANS (AS OF THE CUT-OFF DATE)(2)
<TABLE>
<S> <C>
TOTAL NUMBER OF LOANS 10,497
TOTAL OUTSTANDING LOAN BALANCE $469,025,282.75
BALLOON (% OF TOTAL) 40.35%
LEVEL PAY (% OF TOTAL) 59.65% % BY BALANCE
AVERAGE LOAN PRINCIPAL BALANCE $44,681.84 ------------
RANGE OF LOAN BALANCE $4,314.23 - less than or equal to $25,000.00 12.48%
$300,000.00 $25,000.01 - $50,000.00 30.64%
$50,000.01 - $75,000.00 23.71%
$75,000.01 - $100,000.00 13.21%
$100,000.01 - $300,000.00 19.96%
% by Balance
WEIGHTED AVERAGE COUPON 10.86% ------------
COUPON RANGE 7.40% - 16.85% 7.001% - 9.000% 3.72%
9.001% - 11.000% 59.59%
11.001% - 13.000% 28.83%
13.001% - 15.000% 7.78%
15.001% - 17.000% 0.07%
WTD AVG ORIGINAL TERM (MOS) 173
Level Pay Balloon
--------- -------
RANGE OF ORIGINAL TERM (MOS) 36 - 360 36-84 0.89% 67.14%
85-120 4.06% 11.32%
121-180 66.00% 21.54%
181-240 9.78% 0.00%
241-360 19.27% 0.00%
WTD AVG REMAINING TERM (MOS) 172
Level Pay Balloon
--------- -------
RANGE OF REMAINING TERM (MOS) 26 - 360 25-84 1.03% 67.17%
85-120 4.32% 11.29%
121-180 65.60% 21.54%
181-240 9.78% 0.00%
241-360 19.27% 0.00%
LIEN POSITION (FIRST/SECOND) 72.54% / 27.46% % by Balance
WEIGHTED AVERAGE CLTV 78.14% ------------
RANGE OF CLTV 0.79% - 100.00% 0.00% - 7.00% 0.00%
7.01% - 65.00% 12.55%
65.01% - 75.00% 21.96%
75.01% - 85.00% 45.12%
85.01% - 100.00% 20.37%
WTD AVG SECOND MORTGAGE RATIO 32.14% (for second liens only as of origination)
RANGE OF SECOND MORTGAGE RATIO 3.36% - 99.81%
</TABLE>
(1) The percentages herein might not equal 100% due to rounding.
(2) The cut-off date is June 1, 1997.
- --------------------------------------------------------------------------------
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> 9
8
III. COLLATERAL SUMMARY(1) (CONTINUED)
FIXED RATE HOME EQUITY LOANS (AS OF THE CUT-OFF DATE)(2)
<TABLE>
<S> <C> <C>
PROPERTY TYPE
SINGLE FAMILY 92.64% CONDOS/TOWNHOUSE 0.94%
2 TO 4 FAMILY 5.18% OTHER 1.25%
OCCUPANCY STATUS OWNER OCC. 95.15% INVESTMENT 4.85%
GEOGRAPHIC DISTRIBUTION
other states account individually for less than 6% FL 12.51% NY 7.07%
of the pool principal balance CA 7.11% PA 6.12%
CREDIT CLASS A 62.59%
B 22.93%
C 12.02%
C-2 0.07%
D 2.39%
</TABLE>
(1) The percentages herein might not equal 100% due to rounding.
(2) The cut-off date is June 1, 1997.
- --------------------------------------------------------------------------------
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> 10
9
III. COLLATERAL SUMMARY(1) (CONTINUED)
GROUP I
CURRENT BALANCE
<TABLE>
<CAPTION>
Current Balance Number of Loans Current Balance Percentage of
--------------- --------------- --------------- -------------
Current Balance
---------------
<S> <C> <C> <C>
0.00 - 25,000.00 3,312 58,544,819.61 12.48
25,000.01 - 50,000.00 3,958 143,715,999.22 30.64
50,000.01 - 75,000.00 1,828 111,193,300.27 23.71
75,000.01 - 100,000.00 13.21
721 61,971,615.11
100,000.01 - 125,000.00 8.09
340 37,927,211.56
125,000.01 - 150,000.00 4.41
151 20,685,972.90
150,000.01 - 175,000.00 3.21
93 15,054,082.79
175,000.01 - 200,000.00 1.81
45 8,466,178.71
200,000.01 - 225,000.00 1.12
25 5,258,358.45
225,000.01 - 250,000.00 0.51
10 2,398,901.96
250,000.01 - 275,000.00 0.38
7 1,792,696.70
275,000.01 - 300,000.00 0.43
7 2,016,145.47
TOTAL: 10,497 469,025,282.75 100.00
</TABLE>
<TABLE>
<CAPTION>
COUPON
Coupon Number of Loans Current Balance Percentage of
------ --------------- --------------- -------------
Current Balance
---------------
<S> <C> <C> <C>
7.001 - 9.000 242 17,468,158.26 3.72
9.001 - 11.000 5,178 279,503,602.14 59.59
11.001 - 13.000 3,497 135,209,858.71 28.83
13.001 - 15.000 1,547 36,513,246.32 7.78
15.001 - 17.000 33 330,417.32 0.07
TOTAL: 10,497 469,025,282.75 100.00
</TABLE>
<TABLE>
<CAPTION>
REMAINING TERM
Stated Remaining Number of Loans Current Balance Percentage of
---------------- --------------- --------------- -------------
Term to Maturity Current Balance
---------------- ---------------
<S> <C> <C> <C>
25 - 48 13 164,178.13 0.04
49 - 72 95 1,561,517.92 0.33
73 - 96 1,886 128,779,286.97 27.46
97 - 120 855 32,926,260.63 7.02
121 - 144 14 440,159.11 0.09
145 - 168 5 94,252.36 0.02
169 - 192 6,325 223,789,133.80 47.71
193 - 240 5.83
535 27,358,666.49
241 - 360 11.49
769 53,911,827.34
TOTAL: 10,497 469,025,282.75 100.00
</TABLE>
(1) The percentages herein might not equal 100% due to rounding.
- --------------------------------------------------------------------------------
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> 11
10
III. COLLATERAL SUMMARY(1) (CONTINUED)
GROUP I
COMBINED LTV
<TABLE>
<CAPTION>
Combined LTV Number of Loans Current Balance Percentage of
------------ --------------- --------------- -------------
Current Balance
---------------
<S> <C> <C> <C>
0.001 - 10.000 7 91,819.59 0.02
10.001 - 20.000 51 995,664.65 0.21
20.001 - 30.000 115 2,955,972.97 0.63
30.001 - 40.000 206 6,232,012.47 1.33
40.001 - 50.000 327 12,026,984.71 2.56
50.001 - 60.000 482 19,455,253.34 4.15
60.001 - 70.000 1,149 52,428,990.43 11.18
70.001 - 80.000 3,019 158,243,857.58 33.74
80.001 - 90.000 3,445 171,251,692.95 36.51
90.001 - 100.000 1,696 9.67
45,343,034.06
TOTAL: 10,497 469,025,282.75 100.00
</TABLE>
HOME EQUITY LOAN RATIO
<TABLE>
<CAPTION>
Home Equity Loan Ratio Number of Loans Current Balance Percentage of
---------------------- --------------- --------------- -------------
Current Balance
---------------
<S> <C> <C> <C>
0.01 - 10.00 322 4,719,192.97 1.01
10.01 - 20.00 2,233 46,724,890.19 9.96
20.01 - 30.00 1,561 44,188,616.78 9.42
30.01 - 40.00 726 25,412,208.50 5.42
40.01 - 50.00 470 18,915,658.67 4.03
50.01 - 60.00 432 19,571,572.84 4.17
60.01 - 70.00 826 43,466,081.61 9.27
70.01 - 80.00 1,979 126,880,108.35 27.05
80.01 - 90.00 1,730 123,099,102.73 26.25
90.01 - 100.00 218 16,047,850.11 3.42
TOTAL: 10,497 469,025,282.75 100.00
</TABLE>
(1) The percentages herein might not equal 100% due to rounding.
- --------------------------------------------------------------------------------
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> 12
11
III. COLLATERAL SUMMARY(1) (CONTINUED)
GROUP I
GEOGRAPHIC DISTRIBUTION
<TABLE>
<CAPTION>
Percentage of
States Number of Loans Current Balance Current Balance
------ --------------- --------------- ---------------
<S> <C> <C> <C>
FL 1,548 58,656,235.49 12.51
CA 660 33,352,079.83 7.11
NY 470 33,155,761.96 7.07
PA 592 28,713,431.24 6.12
OH 470 22,058,414.36 4.70
IN 521 20,132,168.19 4.29
TN 418 19,492,247.89 4.16
NC 470 18,711,066.03 3.99
IL 366 17,847,917.54 3.81
MI 329 15,952,691.39 3.40
MD 338 15,297,804.02 3.26
GA 299 12,909,283.84 2.75
WA 286 11,979,348.13 2.55
VA 303 11,937,267.52 2.55
MN 274 11,297,994.55 2.41
MA 169 9,766,163.91 2.08
LA 249 9,678,712.77 2.06
SC 233 9,576,745.83 2.04
CT 149 8,988,671.97 1.92
AZ 243 8,788,207.37 1.87
KY 198 8,199,317.00 1.75
MO 157 7,634,433.54 1.63
UT 214 7,300,386.49 1.56
IA 175 6,905,427.69 1.47
NJ 98 5,868,918.87 1.25
TX 66 5,430,701.13 1.16
CO 158 5,353,489.59 1.14
DE 83 4,951,016.46 1.06
WI 119 4,824,265.60 1.03
OR 118 4,535,613.40 0.97
NV 80 4,236,692.36 0.90
KS 98 3,991,985.49 0.85
OK 119 3,988,212.73 0.85
MS 81 3,025,601.38 0.65
ID 88 2,841,374.20 0.61
NE 68 2,784,131.69 0.59
RI 57 2,719,987.59 0.58
WV 35 1,951,520.89 0.42
AR 39 1,715,036.29 0.37
NH 17 1,082,647.56 0.23
NM 30 954,944.63 0.20
DC 8 319,476.82 0.07
AL 4 117,887.52 0.03
TOTAL: 10,497 469,025,282.75 100.00
</TABLE>
(1) The percentages herein might not equal 100% due to rounding.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared 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> 13
12
III. COLLATERAL SUMMARY(1) (CONTINUED)
ADJUSTABLE RATE HOME EQUITY LOANS (AS OF THE CUT-OFF DATE)(2)
<TABLE>
<S> <C> <C>
TOTAL NUMBER OF LOANS 1,941
TOTAL OUTSTANDING LOAN BALANCE $177,149,936.23
BALLOON (% OF TOTAL) 90.24%
LEVEL PAY (% OF TOTAL) 9.76%
AVERAGE LOAN PRINCIPAL BALANCE $91,267.36 % by Balance
------------
greater than or
RANGE OF LOAN PRINCIPAL BALANCE $15,000.00 - $350,000.00 equal than = $25,000.00 0.05%
$25,000.01 - $50,000.00 6.06%
$50,000.01 - $75,000.00 20.99%
$75,000.01 - $100,000.00 24.28%
$100,000.01 - $350,000.00 48.62%
WEIGHTED AVERAGE CURRENT COUPON 8.42% % by Balance
------------
CURRENT COUPON RANGE 7.60% - 12.80% 7.01% - 8.00% 43.00%
8.01% - 9.00% 40.38%
9.01% - 10.00% 12.24%
10.01% - 11.00% 3.26%
11.01% - 12.00% 1.00%
12.01% - 13.00% 0.11%
WEIGHTED AVERAGE MARGIN 5.58% % by Balance
------------
MARGIN RANGE 4.25% - 8.20% 4.01% - 4.50% 1.64%
4.51% - 5.00% 15.67%
5.01% - 5.50% 40.07%
5.51% - 6.00% 20.83%
6.01% - 6.50% 16.05%
6.51% - 7.00% 4.48%
7.01% - 7.50% 1.04%
7.51% - 8.00% 0.20%
8.01% - 8.50% 0.03%
WEIGHTED AVERAGE LIFE CAPS 17.34% % by Balance
------------
RANGE OF LIFE CAPS 15.88% - 19.88% 15.51% - 16.00% 0.41%
16.01% - 16.50% 5.01%
16.51% - 17.00% 34.60%
17.01% - 17.50% 27.52%
17.51% - 18.00% 20.80%
18.01% - 18.50% 8.73%
18.51% - 19.00% 2.29%
19.01% - 19.50% 0.41%
19.51% - 20.00% 0.23%
NEXT RATE ADJUSTMENT DATE 7/97 10.06% 10/97 14.08%
8/97 7.23% 11/97 28.81%
9/97 11.28% 12/97 26.93%
1/98 1.60%
</TABLE>
(1) The percentages herein might not equal 100% due to rounding.
(2) The cut-off date is June 1, 1997.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared 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> 14
13
III. COLLATERAL SUMMARY(1) (CONTINUED)
ADJUSTABLE RATE HOME EQUITY LOANS (AS OF THE CUT-OFF DATE)(2)
<TABLE>
<S> <C>
WEIGHTED AVERAGE LIFE FLOORS 8.27% % by Balance
------------
RANGE OF LIFE FLOORS 6.70% - 11.80% 6.51% - 7.00% 1.16%
7.01% - 7.50% 3.13%
7.51% - 8.00% 46.92%
8.01% - 8.50% 25.21%
8.51% - 9.00% 10.38%
9.01% - 9.50% 7.43%
9.51% - 10.00% 2.87%
10.01% - 10.50% 0.80%
10.51% - 11.00% 1.63%
11.01% - 11.50% 0.33%
11.51% - 12.00% 0.12%
WEIGHTED AVERAGE PERIODIC CAP 1.00% % by Balance
------------
RANGE OF PERIODIC CAP 1.00% 99.96%
2.00% 0.04%
WTD AVG ORIGINAL TERM TO MATURITY (MOS) 109 Level Pay Balloon
--------- -------
RANGE OF ORIGINAL TERM TO MATURITY (MOS) 73 - 360 36-84 0.58% 89.46%
85-120 1.56% 6.69%
121-180 27.42% 3.86%
181-240 8.34% 0.00%
241-360 62.10% 0.00%
WTD AVG REMAINING TERM TO MATURITY (MOS) 107 Level Pay Balloon
--------- -------
RANGE OF REMAINING TERM TO MATURITY (MOS) 67 - 360 25-84 0.58% 89.46%
85-120 1.56% 6.69%
121-180 27.42% 3.86%
181-240 8.34% 0.00%
241-360 62.10% 0.00%
LIEN POSITION (FIRST/SECOND) 100.00% / 0.00%
WEIGHTED AVERAGE CLTV 80.73% % by Balance
------------
RANGE OF CLTV 14.52% - 100.00% 7.00% - 65.00% 5.09%
65.01% - 75.00% 20.14%
75.01% - 85.00% 55.32%
85.01% - 100.00% 19.45%
PROPERTY TYPE
Single Family 95.95% Townhouse 0.97%
2 to 4 Family 2.65% Condos 0.43%
OCCUPANCY STATUS Owner Occ. 99.96% Investment 0.04%
GEOGRAPHIC DISTRIBUTION
other states account individually for less than 5% OH 14.03% IL 10.63%
of the pool principal balance MN 11.20% MI 9.08%
CREDIT CLASS A: 42.85% C-2 0.09%
B: 45.76% D 0.02%
C: 11.27%
</TABLE>
(1) The percentages herein might not equal 100% due to rounding.
(2) The cut-off date is June 1, 1997.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared 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> 15
14
III. COLLATERAL SUMMARY(1) (CONTINUED)
GROUP II
CURRENT BALANCE
<TABLE>
<CAPTION>
Percentage of
Current Balance Number Loans Current Balance Current Balance
--------------- ------------ --------------- ---------------
<S> <C> <C> <C>
0.00 - 25,000.00 4 84,678.00 0.05
25,000.01 - 50,000.00 260 10,743,787.49 6.06
50,000.01 - 75,000.00 591 37,186,244.39 20.99
75,000.01 - 100,000.00 493 43,003,655.41 24.28
100,000.01 - 125,000.00 265 29,531,077.77 16.67
125,000.01 - 150,000.00 135 18,254,013.83 10.30
150,000.01 - 175,000.00 73 11,867,564.07 6.70
175,000.01 - 200,000.00 48 9,026,051.12 5.10
200,000.01 - 225,000.00 35 7,443,186.74 4.20
225,000.01 - 250,000.00 15 3,592,383.45 2.03
250,000.01 - 275,000.00 10 2,590,209.21 1.46
275,000.01 - 300,000.00 4 1,137,685.46 0.64
300,000.01 - 325,000.00 3 946,111.86 0.53
325,000.01 - 350,000.00 5 1,743,287.43 0.98
TOTAL: 1,941 177,149,936.23 100.00
</TABLE>
CURRENT COUPON
<TABLE>
<CAPTION>
Percentage of
Coupon Number Loans Current Balance Current Balance
------ ------------ --------------- ---------------
<S> <C> <C> <C>
7.501 - 7.750 246 23,206,782.59 13.10
7.751 - 8.000 543 52,967,491.51 29.90
8.001 - 8.250 236 23,838,448.98 13.46
8.251 - 8.500 260 22,877,734.30 12.91
8.501 - 8.750 124 10,738,205.17 6.06
8.751 - 9.000 156 14,084,440.95 7.95
9.001 - 9.250 26 2,856,118.48 1.61
9.251 - 9.500 142 11,594,769.77 6.55
9.501 - 9.750 65 5,040,121.42 2.85
9.751 - 10.000 28 2,197,791.43 1.24
10.001 - 10.250 9 466,123.93 0.26
10.251 - 10.500 36 2,579,222.77 1.46
10.501 - 10.750 6 367,472.13 0.21
10.751 - 11.000 37 2,371,112.34 1.34
11.001 - 11.250 10 717,605.98 0.41
11.251 - 11.500 4 405,758.67 0.23
11.501 - 11.750 1 52,434.88 0.03
11.751 - 12.000 8 587,499.62 0.33
12.001 - 12.500 1 33,532.60 0.02
12.501 - 12.750 2 84,488.26 0.05
12.751 - 13.000 1 82,780.45 0.05
TOTAL: 1,941 177,149,936.23 100.00
</TABLE>
(1) The percentages herein might not equal 100% due to rounding.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared 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
15
III. COLLATERAL SUMMARY(1) (CONTINUED)
GROUP II
MARGIN
<TABLE>
<CAPTION>
Percentage of
Margin Number of Loans Current Balance Current Balance
------ --------------- --------------- ---------------
<S> <C> <C> <C>
4.001 - 5.000 308 30,671,496.83 17.31
5.001 - 6.000 1,136 107,878,245.10 60.90
6.001 - 7.000 470 36,355,426.07 20.52
7.001 - 8.000 26 2,191,722.42 1.24
8.001 - 9.000 1 53,045.81 0.03
TOTAL: 1,941 177,149,936.23 100.00
</TABLE>
REMAINING TERM
<TABLE>
<CAPTION>
Stated Remaining Percentage of
Term to Maturity Number of Loans Current Balance Current Balance
---------------- --------------- --------------- ---------------
<S> <C> <C> <C>
49 - 72 5 506,411.95 0.29
73 - 96 1,516 142,786,974.03 80.60
97 - 120 128 10,771,029.18 6.08
121 - 192 146 10,908,860.55 6.16
193 - 240 21 1,441,479.66 0.81
241 - 360 125 10,735,180.86 6.06
TOTAL: 1,941 177,149,936.23 100.00
</TABLE>
PERIODIC CAP
<TABLE>
<CAPTION>
Percentage of
Periodic Cap Number of Loans Current Balance Current Balance
------------ --------------- --------------- ---------------
<S> <C> <C> <C>
1.000 1,940 177,071,045.87 99.96
2.000 1 78,890.36 0.04
TOTAL: 1,941 177,149,936.23 100.00
</TABLE>
LIFETIME CAP
<TABLE>
<CAPTION>
Percentage of
Lifetime Cap Number of Loans Current Balance Current Balance
------------ --------------- --------------- ---------------
<S> <C> <C> <C>
15.501 - 16.000 7 725,947.32 0.41
16.001 - 16.500 86 8,880,968.74 5.01
16.501 - 17.000 647 61,290,410.27 34.60
17.001 - 17.500 495 48,757,321.38 27.52
17.501 - 18.000 441 36,853,466.80 20.80
18.001 - 18.500 201 15,461,401.55 8.73
18.501 - 19.000 50 4,057,990.75 2.29
19.001 - 19.500 10 718,713.09 0.41
19.501 - 20.000 4 403,716.33 0.23
TOTAL: 1,941 177,149,936.23 100.00
</TABLE>
(1) The percentages herein might not equal 100% due to rounding.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared 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
16
III. COLLATERAL SUMMARY(1) (CONTINUED)
GROUP II
LIFETIME FLOOR
<TABLE>
<CAPTION>
Percentage of
Lifetime Floor Number of Loans Current Balance Current Balance
-------------- --------------- --------------- ---------------
<S> <C> <C> <C>
6.501 - 7.000 21 2,061,566.26 1.16
7.001 - 7.500 61 5,538,788.18 3.13
7.501 - 8.000 863 83,121,234.42 46.92
8.001 - 8.500 473 44,665,765.84 25.21
8.501 - 9.000 209 18,393,065.82 10.38
9.001 - 9.500 162 13,169,938.64 7.43
9.501 - 10.000 76 5,090,917.64 2.87
10.001 - 10.500 18 1,414,881.22 0.80
10.501 - 11.000 44 2,894,133.02 1.63
11.001 - 11.500 10 579,941.60 0.33
11.501 - 12.000 4 219,703.59 0.12
TOTAL: 1,941 177,149,936.23 100.00
</TABLE>
COMBINED LTV
<TABLE>
<CAPTION>
Percentage of
Combined LTV Number of Loans Current Balance Current Balance
------------ --------------- --------------- ---------------
<S> <C> <C> <C>
10.001 - 20.000 1 89,743.44 0.05
20.001 - 30.000 6 272,789.23 0.15
30.001 - 40.000 8 565,894.74 0.32
40.001 - 50.000 20 1,643,021.18 0.93
50.001 - 60.000 44 3,614,215.07 2.04
60.001 - 70.000 136 12,568,088.26 7.09
70.001 - 80.000 706 61,081,114.12 34.48
80.001 - 90.000 887 82,764,278.85 46.72
90.001 - 100.000 133 14,550,791.34 8.21
TOTAL: 1,941 177,149,936.23 100.00
</TABLE>
(1) The percentages herein might not equal 100% due to rounding.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared 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
17
III. COLLATERAL SUMMARY(1) (CONTINUED)
GROUP II
GEOGRAPHIC DISTRIBUTION
<TABLE>
<CAPTION>
Percentage of
States Number of Loans Current Balance Current Balance
------ --------------- --------------- ---------------
<S> <C> <C> <C> <C>
OH 331 24,851,395.41 14.03
MN 187 19,849,497.70 11.20
IL 213 18,824,045.99 10.63
MI 187 16,087,782.53 9.08
MD 65 8,039,449.66 4.54
WI 90 6,835,819.74 3.86
AZ 61 6,136,983.56 3.46
FL 60 6,001,095.36 3.39
IN 89 5,760,398.05 3.25
MO 57 5,100,913.62 2.88
CT 38 4,784,160.51 2.70
TN 52 4,763,778.38 2.69
UT 47 4,475,643.31 2.53
NC 47 4,129,144.46 2.33
CA 26 3,741,162.21 2.11
KY 43 3,700,168.77 2.09
CO 33 3,638,564.61 2.05
WA 31 3,290,487.04 1.86
PA 34 2,686,460.16 1.52
TX 23 2,681,101.65 1.51
VA 24 2,663,588.52 1.50
MA 19 2,608,734.10 1.47
GA 19 1,888,103.85 1.07
NY 13 1,609,391.78 0.91
NJ 14 1,234,657.64 0.70
ID 16 1,213,401.78 0.68
NM 11 1,201,878.53 0.68
IA 16 1,190,417.29 0.67
NE 14 1,143,420.96 0.65
MS 14 1,083,789.14 0.61
SC 12 1,083,308.24 0.61
LA 11 1,041,988.16 0.59
KS 12 972,739.20 0.55
RI 11 939,217.43 0.53
NV 5 527,143.30 0.30
DC 3 264,299.85 0.15
DE 3 256,111.94 0.14
OR 3 251,270.01 0.14
WV 3 210,740.98 0.12
OK 2 169,825.75 0.10
AL 1 145,855.06 0.08
AR 1 72,000.00 0.04
TOTAL: 1,941 177,149,936.23 100.00
</TABLE>
(1) The percentages herein might not equal 100% due to rounding.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared 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
BEAR STEARNS BEAR, STEARNS & CO. INC.
ATLANTA - BOSTON - CHICAGO ASSET-BACKED SECURITIES GROUP
DALLAS - DC - LOS ANGELES 245 Park Avenue
NEW YORK - SAN FRANCISCO New York, New York 10167
FRANKFORT - GENEVA - HONG KONG (212) 272-2000; (212) 272-7294 fax
LONDON - PARIS - TOKYO
EQCC HOME EQUITY LOAN TRUST, SERIES 1997-2: COMPUTATIONAL MATERIALS
** REPLACEMENT PAGE 6 FOR GROUP II CLASS A-10 BOND **
NEVER SENT - BEAR STEARNS HAD NO CLASS A-10 PROSPECTIVE INVESTORS
FAX TO: DATE:
COMPANY: # PAGES (incl. cover): 2 (TWO)
FAX NO: PHONE NO:
FROM: PHONE NO:
STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER
INFORMATION
The information contained in the attached materials (the "Information") may
include various forms of performance analysis, security characteristics and
securities pricing estimates for the securities addressed. Please read and
understand this entire statement before utilizing the Information. The
Information is provided solely by Bear Stearns, not as agent for any issuer, and
although it may be based on data supplied to it by an issuer, the issuer has not
participated in its preparation and makes no representations regarding its
accuracy or completeness. Should you receive Information that refers to the
"Statement Regarding Assumptions and Other Information," please refer to this
statement instead.
The Information is illustrative and is not intended to predict actual results
which may differ substantially from those reflected in the Information.
Performance analysis is based on certain assumptions with respect to significant
factors that may prove not to be as assumed. You should understand the
assumptions and evaluate whether they are appropriate for your purposes.
Performance results are based on mathematical models that use inputs to
calculate results. As with all models, results may vary significantly depending
upon the value of the inputs given. Inputs to these models include but are not
limited to: prepayment expectations (economic prepayment models, single expected
lifetime prepayments or a vector of periodic prepayments), interest rate
assumptions (parallel and nonparallel changes for different maturity
instruments), collateral assumptions (actual pool level data, aggregated pool
level data, reported factors or imputed factors), volatility assumptions
(historically observed or implied current) and reported information (paydown
factors, rate resets, and trustee statements). Models used in any analysis may
be proprietary making the results difficult for any third party to reproduce.
Contact your registered representative for detailed explanations of any modeling
techniques employed in the Information.
The Information addresses only certain aspects of the applicable security's
characteristics and thus does not provide a complete assessment. As such, the
Information may not reflect the impact of all structural characteristics of the
security, including call events and cash flow priorities at all prepayment
speeds and/or interest rates. You should consider whether the behavior of these
securities should be tested as assumptions different from those included in the
Information. The assumptions underlying the Information, including structure and
collateral, may be modified from time to time to reflect changed circumstances.
Any investment decision should be based only on the data in the prospectus and
the prospectus supplement or private placement memorandum (Offering Documents)
and the then current version of the Information. Offering Documents contain data
that is current as of their publication dates and after publication may no
longer be complete or current.. Contact your registered representative for
Offering Documents, current Information or additional materials, including other
models for performance analysis, which are likely to produce different results,
and any further explanation regarding the Information.
Any pricing estimates Bear Stearns has supplied at your request (a) represent
our view, at the time determined, of the investment value of the securities
between the estimated bid and offer levels, the spread between which may be
significant due to market volatility or illiquidity, (b) do not constitute a bid
by any person for any security, (c) may not constitute prices at which the
securities could have been purchased or sold in any market, (d) have not been
confirmed by actual trades, may vary from the value Bear Stearns assigns any
such security while in its inventory, and may not take into account the size of
a position you have in the security, and (e) may have been derived from matrix
pricing that uses data relating to other securities whose prices are more
readily ascertainable to produce a hypothetical price based on the estimated
yield spread relationship between the securities.
General Information: The data underlying the Information has been obtained from
sources that we believe are reliable, but we do not guarantee the accuracy of
the underlying data or computations based thereon. Bear, Stearns. and/or
individuals thereof may have positions in these securities while the Information
is circulating or during such period may engage in transactions with the issuer
or its affiliates. We act as principal in transactions with you, and
accordingly, you must determine the appropriateness for you of such transactions
and address any legal, tax, or accounting considerations applicable to you. Bear
Stearns shall not be a fiduciary or advisor unless we have agreed in writing to
receive compensation specifically to act in such capacities. If you are subject
to ERISA, the Information is being furnished on the condition that it will not
form a primary basis for any investment decision. The Information is not a
solicitation of any transaction in securities which may be made only by
prospectus when required by law, in which event you may obtain such prospectus
from Bear Stearns.
<PAGE> 20
EQCC HOME EQUITY LOAN TRUST 1997-2
II. SENSITIVITY ANALYSIS (CONTINUED)
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
** NOTE: PLEASE REPLACE ORIGINAL PAGE 6 WITH THIS PAGE **
NEVER SENT - BEAR STEARNS HAD NO CLASS A-10 PROSPECTIVE INVESTORS
GROUP II LOANS
<TABLE>
<CAPTION>
TO MATURITY
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
% CPR 0.0% 10.0% 20.0% 25.0% 30.0% 35.0% 40.0%
Class A-10
Avg. Life (yrs) 8.03 5.20 3.59 3.02 2.57 2.20 1.89
Window (begin-end) (mths) 1 - 293 1 - 293 1 - 293 1 - 293 1 - 293 1 - 293 1 - 291
Expected Final Maturity 11/15/21 11/15/21 11/15/21 11/15/21 11/15/21 11/15/21 9/15/21
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
TO 10% CLEANUP CALL
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
% CPR 0.0% 10.0% 20.0% 25.0% 30.0% 35.0% 40.0%
Class A-10
Avg. Life (yrs) 7.75 5.07 3.52 2.95 2.48 2.07 1.76
Window (begin-end) (mths) 1 - 197 1 - 133 1 - 88 1 - 83 1 - 77 1 - 65 1 - 56
Expected Final Maturity 11/15/13 7/15/08 10/15/04 5/15/04 11/15/03 11/15/02 2/15/02
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction
with the related Prospectus and Prospectus Supplement. If you have not
received the statement described above or the related Prospectus and
Prospectus Supplement, please contact your account executive at Bear, Stearns
& Co. Inc.
Replacement for Page 6
BEAR
STEARNS
<PAGE> 21
<TABLE>
<S> <C>
BEAR, STEARNS & CO. INC.
ATLANTA - BOSTON - CHICAGO ASSET-BACKED SECURITIES GROUP
DALLAS - DC - LOS ANGELES - NEW YORK - SAN FRANCISCO 245 Park Avenue
FRANKFORT - GENEVA - HONG KONG New York, New York 10167
LONDON - PARIS - TOKYO (212) 272-2000; (212) 272-7294 fax
</TABLE>
EQCC HOME EQUITY LOAN TRUST, SERIES 1997-2: COMPUTATIONAL MATERIALS
- --------------------------------------------------------------------------------
FAX TO: DATE:
COMPANY: # PAGES (incl. cover):
FAX NO: PHONE NO:
- --------------------------------------------------------------------------------
FROM: PHONE NO:
- --------------------------------------------------------------------------------
STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND OTHER
INFORMATION
The information contained in the attached materials (the "Information") may
include various forms of performance analysis, security characteristics and
securities pricing estimates for the securities addressed. Please read and
understand this entire statement before utilizing the Information. The
Information is provided solely by Bear Stearns, not as agent for any issuer, and
although it may be based on data supplied to it by an issuer, the issuer has not
participated in its preparation and makes no representations regarding its
accuracy or completeness. Should you receive Information that refers to the
"Statement Regarding Assumptions and Other Information," please refer to this
statement instead.
The Information is illustrative and is not intended to predict actual results
which may differ substantially from those reflected in the Information.
Performance analysis is based on certain assumptions with respect to significant
factors that may prove not to be as assumed. You should understand the
assumptions and evaluate whether they are appropriate for your purposes.
Performance results are based on mathematical models that use inputs to
calculate results. As with all models, results may vary significantly depending
upon the value of the inputs given. Inputs to these models include but are not
limited to: prepayment expectations (economic prepayment models, single expected
lifetime prepayments or a vector of periodic prepayments), interest rate
assumptions (parallel and nonparallel changes for different maturity
instruments), collateral assumptions (actual pool level data, aggregated pool
level data, reported factors or imputed factors), volatility assumptions
(historically observed or implied current) and reported information (paydown
factors, rate resets, and trustee statements). Models used in any analysis may
be proprietary making the results difficult for any third party to reproduce.
Contact your registered representative for detailed explanations of any modeling
techniques employed in the Information.
The Information addresses only certain aspects of the applicable security's
characteristics and thus does not provide a complete assessment. As such, the
Information may not reflect the impact of all structural characteristics of the
security, including call events and cash flow priorities at all prepayment
speeds and/or interest rates. You should consider whether the behavior of these
securities should be tested as assumptions different from those included in the
Information. The assumptions underlying the Information, including structure and
collateral, may be modified from time to time to reflect changed circumstances.
Any investment decision should be based only on the data in the prospectus and
the prospectus supplement or private placement memorandum (Offering Documents)
and the then current version of the Information. Offering Documents contain data
that is current as of their publication dates and after publication may no
longer be complete or current.. Contact your registered representative for
Offering Documents, current Information or additional materials, including other
models for performance analysis, which are likely to produce different results,
and any further explanation regarding the Information.
Any pricing estimates Bear Stearns has supplied at your request (a) represent
our view, at the time determined, of the investment value of the securities
between the estimated bid and offer levels, the spread between which may be
significant due to market volatility or illiquidity, (b) do not constitute a bid
by any person for any security, (c) may not constitute prices at which the
securities could have been purchased or sold in any market, (d) have not been
confirmed by actual trades, may vary from the value Bear Stearns assigns any
such security while in its inventory, and may not take into account the size of
a position you have in the security, and (e) may have been derived from matrix
pricing that uses data relating to other securities whose prices are more
readily ascertainable to produce a hypothetical price based on the estimated
yield spread relationship between the securities.
General Information: The data underlying the Information has been obtained from
sources that we believe are reliable, but we do not guarantee the accuracy of
the underlying data or computations based thereon. Bear, Stearns. and/or
individuals thereof may have positions in these securities while the Information
is circulating or during such period may engage in transactions with the issuer
or its affiliates. We act as principal in transactions with you, and
accordingly, you must determine the appropriateness for you of such transactions
and address any legal, tax, or accounting considerations applicable to you. Bear
Stearns shall not be a fiduciary or advisor unless we have agreed in writing to
receive compensation specifically to act in such capacities. If you are subject
to ERISA, the Information is being furnished on the condition that it will not
form a primary basis for any investment decision. The Information is not a
solicitation of any transaction in securities which may be made only by
prospectus when required by law, in which event you may obtain such prospectus
from Bear Stearns.
<PAGE> 22
- --------------------------------------------------------------------------------
EQCC HOME EQUITY LOAN TRUST 1997-2
- --------------------------------------------------------------------------------
I. SECURITIES OFFERED(1):
TO MATURITY:
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
APPROX. ESTIMATED ESTIMATED EXPECTED STATED
APPROX. GROUP EXPECTED WAL/MDUR PRINCIPAL FINAL FINAL MATURITY
SECURITIES SIZE NO. BENCHMARK PRICE (YRS) PMT. WINDOW MATURITY
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A-1 (2) $65,666,000 I Curve 100.000% 1.00/0.93 1 - 25 7/15/99 7/15/28
CLASS A-2 (2) $31,292,000 I Curve 100.000% 0.45/0.43 1 - 9 3/15/98 5/15/04
CLASS A-3 (2) $78,276,000 I Curve 100.000% 1.15/1.07 9 - 20 2/15/99 5/15/04
CLASS A-4 (2) $62,228,000 I 2 Yr Tsy 100.000% 2.05/1.86 20 - 30 12/15/99 4/15/07
CLASS A-5 (2) $86,789,000 I 3 Yr Tsy 100.000% 3.05/2.67 30 - 46 4/15/01 4/15/11
CLASS A-6 (2) $22,646,000 I Curve 100.000% 4.05/3.43 46 - 52 10/15/01 2/15/12
CLASS A-7 (2) $72,769,000 I Curve 100.000% 5.56/4.45 52 - 83 5/15/04 2/15/20
CLASS A-8 (2) $33,034,000 I 10 Yr Tsy 100.000% 9.95/6.76 83 - 360 6/15/27 7/15/28
CLASS A-9 (2) $50,300,000 I Curve 100.000% 6.16/4.81 37 - 178 4/15/12 7/15/28
CLASS A-10 (3) $185,000,000 II 1 mo LIBOR 100.000% 3.02 1 - 293 11/15/21 7/15/28
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
TO 10% CLEANUP CALL:
- ----------------------------------------------------------------------------------------------------------------------------
APPROX. ESTIMATED ESTIMATED EXPECTED STATED
APPROX. GROUP EXPECTED WAL/MDUR PRINCIPAL FINAL FINAL MATURITY
SECURITIES SIZE NO. BENCHMARK PRICE (YRS) PMT. WINDOW MATURITY
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A-7 (2) $72,769,000 I Curve 100.000% 5.56/4.45 52 - 83 5/15/04 2/15/20
CLASS A-8 (2) $33,034,000 I 10 Yr Tsy 100.000% 6.88/5.24 83 - 83 5/15/04 7/15/28
CLASS A-9 (2) $50,300,000 I Curve 100.000% 5.86/4.64 37 - 83 5/15/04 7/15/28
CLASS A-10 (3) $185,000,000 II 1 mo LIBOR 100.000% 2.95 1 - 83 5/15/04 7/15/28
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) All Certificates will be rated Aaa/AAA by Moody's & S&P.
(2) 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.
(3) Prepayments are sized at 25% CPR.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 2
<PAGE> 23
- --------------------------------------------------------------------------------
EQCC HOME EQUITY LOAN TRUST 1997-2
- --------------------------------------------------------------------------------
II. SENSITIVITY ANALYSIS
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
GROUP I LOANS
<TABLE>
<CAPTION>
TO MATURITY
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
% of Prepayment Assumption 0.0% 50.0% 100.0% 125.0% 150.0% 175.0% 200.0%
Implied Seasoned CPR 0.0% 10.0% 20.0% 25.0% 30.0% 35.0% 40.0%
Class A-1
Avg. Life (yrs) 3.33 1.01 1.00 1.00 1.00 1.00 1.00
Mod Duration (yrs) 2.85 0.94 0.93 0.93 0.93 0.93 0.93
Window (begin-end) (mths) 1 - 74 1 - 25 1 - 25 1 - 25 1 - 25 1 - 25 1 - 25
Expected Final Maturity 8/15/03 7/15/99 7/15/99 7/15/99 7/15/99 7/15/99 7/15/99
Yield @ 100.000% 6.11 6.11 6.11 6.11 6.11 6.11 6.11
Class A-2
Avg. Life (yrs) 6.75 1.33 0.57 0.45 0.37 0.32 0.28
Mod Duration (yrs) 5.41 1.24 0.54 0.43 0.36 0.30 0.26
Window (begin-end) (mths) 74 - 83 8 - 25 1 - 11 1 - 9 1 - 8 1 - 7 1 - 6
Expected Final Maturity 5/15/04 7/15/99 5/15/98 3/15/98 2/15/98 1/15/98 12/15/97
Yield @ 100.000% 5.94 5.94 5.94 5.94 5.94 5.94 5.94
Class A-3
Avg. Life (yrs) 6.88 2.86 1.47 1.15 0.97 0.84 0.75
Mod Duration (yrs) 5.43 2.53 1.35 1.07 0.91 0.80 0.71
Window (begin-end) (mths) 83 - 83 25 - 46 11 - 26 9 - 20 8 - 16 7 - 14 6 - 13
Expected Final Maturity 5/15/04 4/15/01 8/15/99 2/15/99 10/15/98 8/15/98 7/15/98
Yield @ 100.000% 6.29 6.29 6.29 6.29 6.29 6.29 6.29
Class A-4
Avg. Life (yrs) 8.22 4.60 2.53 2.05 1.68 1.41 1.22
Mod Duration (yrs) 6.18 3.86 2.26 1.86 1.54 1.30 1.14
Window (begin-end) (mths) 83 - 118 46 - 67 26 - 36 20 - 30 16 - 25 14 - 21 13 - 18
Expected Final Maturity 4/15/07 1/15/03 6/15/00 12/15/99 7/15/99 3/15/99 12/15/98
Yield @ 100.000% 6.44 6.44 6.44 6.44 6.44 6.44 6.44
Class A-5
Avg. Life (yrs) 11.80 6.57 3.80 3.05 2.55 2.18 1.88
Mod Duration (yrs) 7.96 5.17 3.25 2.67 2.27 1.97 1.72
Window (begin-end) (mths) 118 - 166 67 - 83 36 - 58 30 - 46 25 - 38 21 - 32 18 - 28
Expected Final Maturity 4/15/11 5/15/04 4/15/02 4/15/01 8/15/00 2/15/00 10/15/99
Yield @ 100.000% 6.60 6.60 6.60 6.60 6.60 6.60 6.60
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 3
<PAGE> 24
- --------------------------------------------------------------------------------
EQCC HOME EQUITY LOAN TRUST 1997-2
- --------------------------------------------------------------------------------
II. SENSITIVITY ANALYSIS (CONTINUED)
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
GROUP I LOANS
<TABLE>
<CAPTION>
TO MATURITY
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
% of Prepayment Assumption 0.0% 50.0% 100.0% 125.0% 150.0% 175.0% 200.0%
Implied Seasoned CPR 0.0% 10.0% 20.0% 25.0% 30.0% 35.0% 40.0%
Class A-6
Avg. Life (yrs) 14.22 7.35 5.09 4.05 3.32 2.81 2.45
Mod Duration (yrs) 8.87 5.61 4.17 3.43 2.88 2.48 2.19
Window (begin-end) (mths) 166 - 176 83 - 99 58 - 66 46 - 52 38 - 43 32 - 36 28 - 31
Expected Final Maturity 2/15/12 9/15/05 12/15/02 10/15/01 1/15/01 6/15/00 1/15/00
Yield @ 100.000% 6.80 6.80 6.80 6.80 6.80 6.80 6.80
Class A-7
Avg. Life (yrs) 16.30 10.69 6.81 5.56 4.50 3.73 3.17
Mod Duration (yrs) 9.43 7.28 5.24 4.45 3.73 3.18 2.75
Window (begin-end) (mths) 176 - 272 99 - 164 66 - 111 52 - 83 43 - 72 36 - 58 31 - 49
Expected Final Maturity 2/15/20 2/15/11 9/15/06 5/15/04 6/15/03 4/15/02 7/15/01
Yield @ 100.000% 6.98 6.98 6.98 6.98 6.98 6.98 6.98
Class A-8
Avg. Life (yrs) 26.80 16.66 11.94 9.95 8.32 6.71 5.21
Mod Duration (yrs) 11.47 9.26 7.65 6.76 5.95 5.04 4.14
Window (begin-end) (mths) 272 - 360 164 - 360 111 - 360 83 - 360 72 - 360 58 - 360 49 - 355
Expected Final Maturity 6/15/27 6/15/27 6/15/27 6/15/27 6/15/27 6/15/27 1/15/27
Yield @ 100.000% 7.30 7.30 7.30 7.30 7.30 7.30 7.30
Class A-9
Avg. Life (yrs) 8.88 7.29 6.46 6.16 5.93 5.73 5.57
Mod Duration (yrs) 6.34 5.48 5.00 4.81 4.66 4.54 4.43
Window (begin-end) (mths) 37 - 178 37 - 178 37 - 178 37 - 178 37 - 178 37 - 178 37 - 178
Expected Final Maturity 4/15/12 4/15/12 4/15/12 4/15/12 4/15/12 4/15/12 4/15/12
Yield @ 100.000% 6.91 6.91 6.91 6.91 6.91 6.91 6.91
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 4
<PAGE> 25
- --------------------------------------------------------------------------------
EQCC HOME EQUITY LOAN TRUST 1997-2
- --------------------------------------------------------------------------------
II. SENSITIVITY ANALYSIS (CONTINUED)
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
GROUP I LOANS
<TABLE>
<CAPTION>
TO 10% CLEANUP CALL
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
% of Prepayment Assumption 0.0% 50.0% 100.0% 125.0% 150.0% 175.0% 200.0%
Implied Seasoned CPR 0.0% 10.0% 20.0% 25.0% 30.0% 35.0% 40.0%
Class A-7
Avg. Life (yrs) 15.38 10.18 6.62 5.56 4.50 3.73 3.17
Mod Duration (yrs) 9.17 7.07 5.13 4.45 3.73 3.18 2.75
Window (begin-end) (mths) 176 - 197 99 - 133 66 - 88 52 - 83 43 - 72 36 - 58 31 - 49
Expected Final Maturity 11/15/13 7/15/08 10/15/04 5/15/04 6/15/03 4/15/02 7/15/01
Yield @ 100.000% 6.98 6.98 6.98 6.98 6.98 6.98 6.98
Class A-8
Avg. Life (yrs) 16.38 11.04 7.29 6.88 6.34 5.27 4.48
Mod Duration (yrs) 9.30 7.36 5.48 5.24 4.92 4.23 3.70
Window (begin-end) (mths) 197 - 197 133 - 133 88 - 88 83 - 83 72 - 77 58 - 65 49 - 56
Expected Final Maturity 11/15/13 7/15/08 10/15/04 5/15/04 11/15/03 11/15/02 2/15/02
Yield @ 100.000% 7.30 7.30 7.30 7.30 7.30 7.30 7.30
Class A-9
Avg. Life (yrs) 8.88 7.24 6.16 5.86 5.49 4.88 4.35
Mod Duration (yrs) 6.34 5.46 4.83 4.64 4.40 4.00 3.63
Window (begin-end) (mths) 37 - 178 37 - 133 37 - 88 37 - 83 37 - 77 37 - 65 37 - 56
Expected Final Maturity 4/15/12 7/15/08 10/15/04 5/15/04 11/15/03 11/15/02 2/15/02
Yield @ 100.000% 6.91 6.91 6.91 6.91 6.91 6.91 6.91
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 5
<PAGE> 26
- --------------------------------------------------------------------------------
EQCC HOME EQUITY LOAN TRUST 1997-2
- --------------------------------------------------------------------------------
II. SENSITIVITY ANALYSIS (CONTINUED)
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
GROUP II LOANS
<TABLE>
<CAPTION>
TO MATURITY
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
% CPR 0.0% 10.0% 20.0% 25.0% 30.0% 35.0% 40.0%
Class A-10
Avg. Life (yrs) 8.03 5.20 3.59 3.02 2.57 2.20 1.89
Mod Duration (yrs) 6.01 4.15 2.98 2.55 2.20 1.91 1.66
Window (begin-end) (mths) 1 - 293 1 - 293 1 - 293 1 - 293 1 - 293 1 - 293 1 - 291
Expected Final Maturity 11/15/21 11/15/21 11/15/21 11/15/21 11/15/21 11/15/21 9/15/21
Yield @ 100.000% 6.07 6.07 6.07 6.08 6.08 6.08 6.09
Yield @ 99.984% 0.00 0.00 0.00 0.00 0.00 0.00 0.00
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
TO 10% CLEANUP CALL
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
% CPR 0.0% 10.0% 20.0% 25.0% 30.0% 35.0% 40.0%
Class A-10
Avg. Life (yrs) 7.75 5.07 3.52 2.95 2.48 2.07 1.76
Mod Duration (yrs) 5.92 4.09 2.94 2.51 2.14 1.82 1.57
Window (begin-end) (mths) 1 - 197 1 - 133 1 - 88 1 - 83 1 - 77 1 - 65 1 - 56
Expected Final Maturity 11/15/13 7/15/08 10/15/04 5/15/04 11/15/03 11/15/02 2/15/02
Yield @ 100.000% 6.07 6.07 6.07 6.07 6.07 6.07 6.07
Yield @ 99.984% 0.00 0.00 0.00 0.00 0.00 0.00 0.00
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 6
<PAGE> 27
- --------------------------------------------------------------------------------
EQCC HOME EQUITY LOAN TRUST 1997-2
- --------------------------------------------------------------------------------
III. COLLATERAL SUMMARY(1)
FIXED RATE HOME EQUITY LOANS (AS OF THE CUT-OFF DATE)(2)
<TABLE>
<S> <C> <C> <C>
TOTAL NUMBER OF LOANS 10,497
TOTAL OUTSTANDING LOAN BALANCE $469,025,282.75
BALLOON (% OF TOTAL) 40.35%
LEVEL PAY (% OF TOTAL) 59.65%
AVERAGE LOAN PRINCIPAL BALANCE $44,681.84 % by Balance
------------
RANGE OF LOAN BALANCE $4,314.23 - less than or equal to $25,000.00 12.48%
$300,000.00 $25,000.01 - $50,000.00 30.64%
$50,000.01 - $75,000.00 23.71%
$75,000.01 - $100,000.00 13.21%
$100,000.01 - $300,000.00 19.96%
WEIGHTED AVERAGE COUPON 10.86% % by Balance
------------
COUPON RANGE 7.40% - 16.85% 7.001% - 9.000% 3.72%
9.001% - 11.000% 59.59%
11.001% - 13.000% 28.83%
13.001% - 15.000% 7.78%
15.001% - 17.000% 0.07%
WTD AVG ORIGINAL TERM (MOS) 173
Level Pay Balloon
--------- -------
RANGE OF ORIGINAL TERM (MOS) 36 - 360 36-84 0.89% 67.14%
85-120 4.06% 11.32%
121-180 66.00% 21.54%
181-240 9.78% 0.00%
241-360 19.27% 0.00%
WTD AVG REMAINING TERM (MOS) 172
Level Pay Balloon
--------- -------
RANGE OF REMAINING TERM (MOS) 26 - 360 25-84 1.03% 67.17%
85-120 4.32% 11.29%
121-180 65.60% 21.54%
181-240 9.78% 0.00%
241-360 19.27% 0.00%
LIEN POSITION (FIRST/SECOND) 72.54% / 27.46%
WEIGHTED AVERAGE CLTV 78.14% % by Balance
------------
RANGE OF CLTV 0.79% - 100.00% 0.00% - 7.00% 0.00%
7.01% - 65.00% 12.55%
65.01% - 75.00% 21.96%
75.01% - 85.00% 45.12%
85.01% - 100.00% 20.37%
WTD AVG SECOND MORTGAGE RATIO 32.14% (for second liens only as of origination)
RANGE OF SECOND MORTGAGE RATIO 3.36% - 99.81%
</TABLE>
(1) The percentages herein might not equal 100% due to rounding.
(2) The cut-off date is June 1, 1997.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 7
<PAGE> 28
- --------------------------------------------------------------------------------
EQCC HOME EQUITY LOAN TRUST 1997-2
- --------------------------------------------------------------------------------
III. COLLATERAL SUMMARY(1) (CONTINUED)
FIXED RATE HOME EQUITY LOANS (AS OF THE CUT-OFF DATE)(2)
<TABLE>
<S> <C> <C>
PROPERTY TYPE
Single Family 92.64% Condos/Townhouse 0.94%
2 to 4 Family 5.18% Other 1.25%
OCCUPANCY STATUS Owner Occ. 95.15% Investment 4.85%
GEOGRAPHIC DISTRIBUTION
other states account individually for less than 6% FL 12.51% NY 7.07%
of the pool principal balance CA 7.11% PA 6.12%
CREDIT CLASS A 62.59%
B 22.93%
C 12.02%
C-2 0.07%
D 2.39%
</TABLE>
(1) The percentages herein might not equal 100% due to rounding.
(2) The cut-off date is June 1, 1997.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 8
<PAGE> 29
- --------------------------------------------------------------------------------
EQCC HOME EQUITY LOAN TRUST 1997-2
- --------------------------------------------------------------------------------
III. COLLATERAL SUMMARY(1) (CONTINUED)
GROUP I
CURRENT BALANCE
<TABLE>
<CAPTION>
Current Balance Number of Loans Current Balance Percentage of
--------------- --------------- --------------- -------------
Current Balance
---------------
<S> <C> <C> <C>
0.00 - 25,000.00 3,312 58,544,819.61 12.48
25,000.01 - 50,000.00 3,958 143,715,999.22 30.64
50,000.01 - 75,000.00 1,828 111,193,300.27 23.71
75,000.01 - 100,000.00 721 61,971,615.11 13.21
100,000.01 - 125,000.00 340 37,927,211.56 8.09
125,000.01 - 150,000.00 151 20,685,972.90 4.41
150,000.01 - 175,000.00 93 15,054,082.79 3.21
175,000.01 - 200,000.00 45 8,466,178.71 1.81
200,000.01 - 225,000.00 25 5,258,358.45 1.12
225,000.01 - 250,000.00 10 2,398,901.96 0.51
250,000.01 - 275,000.00 7 1,792,696.70 0.38
275,000.01 - 300,000.00 7 2,016,145.47 0.43
TOTAL: 10,497 469,025,282.75 100.00
COUPON
Coupon Number of Loans Current Balance Percentage of
------ --------------- --------------- -------------
Current Balance
---------------
7.001 - 9.000 242 17,468,158.26 3.72
9.001 - 11.000 5,178 279,503,602.14 59.59
11.001 - 13.000 3,497 135,209,858.71 28.83
13.001 - 15.000 1,547 36,513,246.32 7.78
15.001 - 17.000 33 330,417.32 0.07
TOTAL: 10,497 469,025,282.75 100.00
REMAINING TERM
Stated Remaining Number of Loans Current Balance Percentage of
---------------- --------------- --------------- -------------
Term to Maturity Current Balance
---------------- ---------------
25 - 48 13 164,178.13 0.04
49 - 72 95 1,561,517.92 0.33
73 - 96 1,886 128,779,286.97 27.46
97 - 120 855 32,926,260.63 7.02
121 - 144 14 440,159.11 0.09
145 - 168 5 94,252.36 0.02
169 - 192 6,325 223,789,133.80 47.71
193 - 240 535 27,358,666.49 5.83
241 - 360 769 53,911,827.34 11.49
TOTAL: 10,497 469,025,282.75 100.00
</TABLE>
(1) The percentages herein might not equal 100% due to rounding.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 9
<PAGE> 30
- --------------------------------------------------------------------------------
EQCC HOME EQUITY LOAN TRUST 1997-2
- --------------------------------------------------------------------------------
III. COLLATERAL SUMMARY(1) (CONTINUED)
GROUP I
<TABLE>
<CAPTION>
COMBINED LTV
Combined LTV Number of Loans Current Balance Percentage of
------------ --------------- --------------- -------------
Current Balance
---------------
<S> <C> <C> <C>
0.001 - 10.000 7 91,819.59 0.02
10.001 - 20.000 51 995,664.65 0.21
20.001 - 30.000 115 2,955,972.97 0.63
30.001 - 40.000 206 6,232,012.47 1.33
40.001 - 50.000 327 12,026,984.71 2.56
50.001 - 60.000 482 19,455,253.34 4.15
60.001 - 70.000 1,149 52,428,990.43 11.18
70.001 - 80.000 3,019 158,243,857.58 33.74
80.001 - 90.000 3,445 171,251,692.95 36.51
90.001 - 100.000 1,696 45,343,034.06 9.67
TOTAL: 10,497 469,025,282.75 100.00
HOME EQUITY LOAN RATIO
Home Equity Loan Ratio Number of Loans Current Balance Percentage of
---------------------- --------------- --------------- -------------
Current Balance
---------------
0.01 - 10.00 322 4,719,192.97 1.01
10.01 - 20.00 2,233 46,724,890.19 9.96
20.01 - 30.00 1,561 44,188,616.78 9.42
30.01 - 40.00 726 25,412,208.50 5.42
40.01 - 50.00 470 18,915,658.67 4.03
50.01 - 60.00 432 19,571,572.84 4.17
60.01 - 70.00 826 43,466,081.61 9.27
70.01 - 80.00 1,979 126,880,108.35 27.05
80.01 - 90.00 1,730 123,099,102.73 26.25
90.01 - 100.00 218 16,047,850.11 3.42
TOTAL: 10,497 469,025,282.75 100.00
</TABLE>
(1) The percentages herein might not equal 100% due to rounding.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 10
<PAGE> 31
- --------------------------------------------------------------------------------
EQCC HOME EQUITY LOAN TRUST 1997-2
- --------------------------------------------------------------------------------
III. COLLATERAL SUMMARY(1) (CONTINUED)
GROUP I
<TABLE>
<CAPTION>
GEOGRAPHIC DISTRIBUTION
States Number of Loans Current Balance Percentage of
------ --------------- --------------- -------------
Current Balance
---------------
<S> <C> <C> <C> <C>
FL 1,548 58,656,235.49 12.51
CA 660 33,352,079.83 7.11
NY 470 33,155,761.96 7.07
PA 592 28,713,431.24 6.12
OH 470 22,058,414.36 4.70
IN 521 20,132,168.19 4.29
TN 418 19,492,247.89 4.16
NC 470 18,711,066.03 3.99
IL 366 17,847,917.54 3.81
MI 329 15,952,691.39 3.40
MD 338 15,297,804.02 3.26
GA 299 12,909,283.84 2.75
WA 286 11,979,348.13 2.55
VA 303 11,937,267.52 2.55
MN 274 11,297,994.55 2.41
MA 169 9,766,163.91 2.08
LA 249 9,678,712.77 2.06
SC 233 9,576,745.83 2.04
CT 149 8,988,671.97 1.92
AZ 243 8,788,207.37 1.87
KY 198 8,199,317.00 1.75
MO 157 7,634,433.54 1.63
UT 214 7,300,386.49 1.56
IA 175 6,905,427.69 1.47
NJ 98 5,868,918.87 1.25
TX 66 5,430,701.13 1.16
CO 158 5,353,489.59 1.14
DE 83 4,951,016.46 1.06
WI 119 4,824,265.60 1.03
OR 118 4,535,613.40 0.97
NV 80 4,236,692.36 0.90
KS 98 3,991,985.49 0.85
OK 119 3,988,212.73 0.85
MS 81 3,025,601.38 0.65
ID 88 2,841,374.20 0.61
NE 68 2,784,131.69 0.59
RI 57 2,719,987.59 0.58
WV 35 1,951,520.89 0.42
AR 39 1,715,036.29 0.37
NH 17 1,082,647.56 0.23
NM 30 954,944.63 0.20
DC 8 319,476.82 0.07
AL 4 117,887.52 0.03
TOTAL: 10,497 469,025,282.75 100.00
</TABLE>
(1) The percentages herein might not equal 100% due to rounding.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 11
<PAGE> 32
- --------------------------------------------------------------------------------
EQCC HOME EQUITY LOAN TRUST 1997-2
- --------------------------------------------------------------------------------
III. COLLATERAL SUMMARY(1) (CONTINUED)
ADJUSTABLE RATE HOME EQUITY LOANS (AS OF THE CUT-OFF DATE)(2)
<TABLE>
<S> <C> <C> <C>
TOTAL NUMBER OF LOANS 1,941
TOTAL OUTSTANDING LOAN BALANCE $177,149,936.23
BALLOON (% OF TOTAL) 90.24%
LEVEL PAY (% OF TOTAL) 9.76%
AVERAGE LOAN PRINCIPAL BALANCE $91,267.36 % by Balance
------------
RANGE OF LOAN PRINCIPAL BALANCE $15,000.00 - $350,000.00 less than or equal to $25,000.00 0.05%
$25,000.01 - $50,000.00 6.06%
$50,000.01 - $75,000.00 20.99%
$75,000.01 - $100,000.00 24.28%
$100,000.01 - $350,000.00 48.62%
WEIGHTED AVERAGE CURRENT COUPON 8.42% % by Balance
------------
CURRENT COUPON RANGE 7.60% - 12.80% 7.01% - 8.00% 43.00%
8.01% - 9.00% 40.38%
9.01% - 10.00% 12.24%
10.01% - 11.00% 3.26%
11.01% - 12.00% 1.00%
12.01% - 13.00% 0.11%
WEIGHTED AVERAGE MARGIN 5.58% % by Balance
------------
MARGIN RANGE 4.25% - 8.20% 4.01% - 4.50% 1.64%
4.51% - 5.00% 15.67%
5.01% - 5.50% 40.07%
5.51% - 6.00% 20.83%
6.01% - 6.50% 16.05%
6.51% - 7.00% 4.48%
7.01% - 7.50% 1.04%
7.51% - 8.00% 0.20%
8.01% - 8.50% 0.03%
WEIGHTED AVERAGE LIFE CAPS 17.34% % by Balance
------------
RANGE OF LIFE CAPS 15.88% - 19.88% 15.51% - 16.00% 0.41%
16.01% - 16.50% 5.01%
16.51% - 17.00% 34.60%
17.01% - 17.50% 27.52%
17.51% - 18.00% 20.80%
18.01% - 18.50% 8.73%
18.51% - 19.00% 2.29%
19.01% - 19.50% 0.41%
19.51% - 20.00% 0.23%
NEXT RATE ADJUSTMENT DATE 7/97 10.06% 10/97 14.08%
8/97 7.23% 11/97 28.81%
9/97 11.28% 12/97 26.93%
1/98 1.60%
</TABLE>
(1) The percentages herein might not equal 100% due to rounding.
(2) The cut-off date is June 1, 1997.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 12
<PAGE> 33
- --------------------------------------------------------------------------------
EQCC HOME EQUITY LOAN TRUST 1997-2
- --------------------------------------------------------------------------------
III. COLLATERAL SUMMARY(1) (CONTINUED)
ADJUSTABLE RATE HOME EQUITY LOANS (AS OF THE CUT-OFF DATE)(2)
<TABLE>
<CAPTION>
WEIGHTED AVERAGE LIFE FLOORS 8.27% % by Balance
------------
<S> <C> <C> <C> <C>
RANGE OF LIFE FLOORS 6.70% - 11.80% 6.51% - 7.00% 1.16%
7.01% - 7.50% 3.13%
7.51% - 8.00% 46.92%
8.01% - 8.50% 25.21%
8.51% - 9.00% 10.38%
9.01% - 9.50% 7.43%
9.51% - 10.00% 2.87%
10.01% - 10.50% 0.80%
10.51% - 11.00% 1.63%
11.01% - 11.50% 0.33%
11.51% - 12.00% 0.12%
WEIGHTED AVERAGE PERIODIC CAP 1.00% % by Balance
------------
RANGE OF PERIODIC CAP 1.00% 99.96%
2.00% 0.04%
WTD AVG ORIGINAL TERM TO MATURITY (MOS) 109 Level Pay Balloon
--------- -------
RANGE OF ORIGINAL TERM TO MATURITY (MOS) 73 - 360 36-84 0.58% 89.46%
85-120 1.56% 6.69%
121-180 27.42% 3.86%
181-240 8.34% 0.00%
241-360 62.10% 0.00%
WTD AVG REMAINING TERM TO MATURITY (MOS) 107 Level Pay Balloon
--------- -------
RANGE OF REMAINING TERM TO MATURITY (MOS) 67 - 360 25-84 0.58% 89.46%
85-120 1.56% 6.69%
121-180 27.42% 3.86%
181-240 8.34% 0.00%
241-360 62.10% 0.00%
LIEN POSITION (FIRST/SECOND) 100.00% / 0.00%
WEIGHTED AVERAGE CLTV 80.73% % by Balance
------------
RANGE OF CLTV 14.52% - 100.00% 7.00% - 65.00% 5.09%
65.01% - 75.00% 20.14%
75.01% - 85.00% 55.32%
85.01% - 100.00% 19.45%
PROPERTY TYPE
Single Family 95.95% Townhouse 0.97%
2 to 4 Family 2.65% Condos 0.43%
OCCUPANCY STATUS Owner Occ. 99.96% Investment 0.04%
GEOGRAPHIC DISTRIBUTION
other states account individually for less than 5% OH 14.03% IL 10.63%
of the pool principal balance MN 11.20% MI 9.08%
CREDIT CLASS A: 42.85% C-2 0.09%
B: 45.76% D 0.02%
C: 11.27%
</TABLE>
(1) The percentages herein might not equal 100% due to rounding.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 13
<PAGE> 34
- --------------------------------------------------------------------------------
EQCC HOME EQUITY LOAN TRUST 1997-2
- --------------------------------------------------------------------------------
(2) The cut-off date is June 1, 1997.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 14
<PAGE> 35
- --------------------------------------------------------------------------------
EQCC HOME EQUITY LOAN TRUST 1997-2
- --------------------------------------------------------------------------------
III. COLLATERAL SUMMARY(1) (CONTINUED)
GROUP II
CURRENT BALANCE
<TABLE>
<CAPTION>
Current Balance Number Loans Current Balance Percentage of
--------------- ------------ --------------- -------------
Current Balance
---------------
<S> <C> <C> <C>
0.00 - 25,000.00 4 84,678.00 0.05
25,000.01 - 50,000.00 260 10,743,787.49 6.06
50,000.01 - 75,000.00 591 37,186,244.39 20.99
75,000.01 - 100,000.00 493 43,003,655.41 24.28
100,000.01 - 125,000.00 265 29,531,077.77 16.67
125,000.01 - 150,000.00 135 18,254,013.83 10.30
150,000.01 - 175,000.00 73 11,867,564.07 6.70
175,000.01 - 200,000.00 48 9,026,051.12 5.10
200,000.01 - 225,000.00 35 7,443,186.74 4.20
225,000.01 - 250,000.00 15 3,592,383.45 2.03
250,000.01 - 275,000.00 10 2,590,209.21 1.46
275,000.01 - 300,000.00 4 1,137,685.46 0.64
300,000.01 - 325,000.00 3 946,111.86 0.53
325,000.01 - 350,000.00 5 1,743,287.43 0.98
TOTAL: 1,941 177,149,936.23 100.00
CURRENT COUPON
Coupon Number Loans Current Balance Percentage of
------ ------------ --------------- -------------
Current Balance
---------------
7.501 - 7.750 246 23,206,782.59 13.10
7.751 - 8.000 543 52,967,491.51 29.90
8.001 - 8.250 236 23,838,448.98 13.46
8.251 - 8.500 260 22,877,734.30 12.91
8.501 - 8.750 124 10,738,205.17 6.06
8.751 - 9.000 156 14,084,440.95 7.95
9.001 - 9.250 26 2,856,118.48 1.61
9.251 - 9.500 142 11,594,769.77 6.55
9.501 - 9.750 65 5,040,121.42 2.85
9.751 - 10.000 28 2,197,791.43 1.24
10.001 - 10.250 9 466,123.93 0.26
10.251 - 10.500 36 2,579,222.77 1.46
10.501 - 10.750 6 367,472.13 0.21
10.751 - 11.000 37 2,371,112.34 1.34
11.001 - 11.250 10 717,605.98 0.41
11.251 - 11.500 4 405,758.67 0.23
11.501 - 11.750 1 52,434.88 0.03
11.751 - 12.000 8 587,499.62 0.33
12.001 - 12.500 1 33,532.60 0.02
12.501 - 12.750 2 84,488.26 0.05
12.751 - 13.000 1 82,780.45 0.05
TOTAL: 1,941 177,149,936.23 100.00
</TABLE>
(1) The percentages herein might not equal 100% due to rounding.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 15
<PAGE> 36
- --------------------------------------------------------------------------------
EQCC HOME EQUITY LOAN TRUST 1997-2
- --------------------------------------------------------------------------------
III. COLLATERAL SUMMARY(1) (CONTINUED)
GROUP II
MARGIN
<TABLE>
<CAPTION>
Margin Number of Loans Current Balance Percentage of
------ --------------- --------------- -------------
Current Balance
---------------
<S> <C> <C> <C>
4.001 - 5.000 308 30,671,496.83 17.31
5.001 - 6.000 1,136 107,878,245.10 60.90
6.001 - 7.000 470 36,355,426.07 20.52
7.001 - 8.000 26 2,191,722.42 1.24
8.001 - 9.000 1 53,045.81 0.03
TOTAL: 1,941 177,149,936.23 100.00
REMAINING TERM
Stated Remaining Number of Loans Current Balance Percentage of
---------------- --------------- --------------- -------------
Term to Maturity Current Balance
---------------- ---------------
49 - 72 5 506,411.95 0.29
73 - 96 1,516 142,786,974.03 80.60
97 - 120 128 10,771,029.18 6.08
121 - 192 46 10,908,860.55 6.16
193 - 240 21 1,441,479.66 0.81
241 - 360 125 10,735,180.86 6.06
TOTAL: 1,941 177,149,936.23 100.00
PERIODIC CAP
Periodic Cap Number of Loans Current Balance Percentage of
------------ --------------- --------------- -------------
Current Balance
---------------
1.000 1,940 177,071,045.87 99.96
2.000 1 78,890.36 0.04
TOTAL: 1,941 177,149,936.23 100.00
LIFETIME CAP
Lifetime Cap Number of Loans Current Balance Percentage of
------------ --------------- --------------- -------------
Current Balance
---------------
15.501 - 16.000 7 725,947.32 0.41
16.001 - 16.500 86 8,880,968.74 5.01
16.501 - 17.000 647 61,290,410.27 34.60
17.001 - 17.500 495 48,757,321.38 27.52
17.501 - 18.000 441 36,853,466.80 20.80
18.001 - 18.500 201 15,461,401.55 8.73
18.501 - 19.000 50 4,057,990.75 2.29
19.001 - 19.500 10 718,713.09 0.41
19.501 - 20.000 4 403,716.33 0.23
TOTAL: 1,941 177,149,936.23 100.00
</TABLE>
(1) The percentages herein might not equal 100% due to rounding.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 16
<PAGE> 37
- --------------------------------------------------------------------------------
EQCC HOME EQUITY LOAN TRUST 1997-2
- --------------------------------------------------------------------------------
III. COLLATERAL SUMMARY(1) (CONTINUED)
GROUP II
LIFETIME FLOOR
<TABLE>
<CAPTION>
Lifetime Floor Number of Loans Current Balance Percentage of
-------------- --------------- --------------- -------------
Current Balance
---------------
<S> <C> <C> <C>
6.501 - 7.000 21 2,061,566.26 1.16
7.001 - 7.500 61 5,538,788.18 3.13
7.501 - 8.000 863 83,121,234.42 46.92
8.001 - 8.500 473 44,665,765.84 25.21
8.501 - 9.000 209 18,393,065.82 10.38
9.001 - 9.500 162 13,169,938.64 7.43
9.501 - 10.000 76 5,090,917.64 2.87
10.001 - 10.500 18 1,414,881.22 0.80
10.501 - 11.000 44 2,894,133.02 1.63
11.001 - 11.500 10 579,941.60 0.33
11.501 - 12.000 4 219,703.59 0.12
TOTAL: 1,941 177,149,936.23 100.00
COMBINED LTV
Combined LTV Number of Loans Current Balance Percentage of
-------------- --------------- --------------- -------------
Current Balance
---------------
10.001 - 20.000 1 89,743.44 0.05
20.001 - 30.000 6 272,789.23 0.15
30.001 - 40.000 8 565,894.74 0.32
40.001 - 50.000 20 1,643,021.18 0.93
50.001 - 60.000 44 3,614,215.07 2.04
60.001 - 70.000 136 12,568,088.26 7.09
70.001 - 80.000 706 61,081,114.12 34.48
80.001 - 90.000 887 82,764,278.85 46.72
90.001 - 100.000 133 14,550,791.34 8.21
TOTAL: 1,941 177,149,936.23 100.00
</TABLE>
(1) The percentages herein might not equal 100% due to rounding.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 17
<PAGE> 38
- --------------------------------------------------------------------------------
EQCC HOME EQUITY LOAN TRUST 1997-2
- --------------------------------------------------------------------------------
III. COLLATERAL SUMMARY(1) (CONTINUED)
GROUP II
GEOGRAPHIC DISTRIBUTION
<TABLE>
<CAPTION>
States Number of Loans Current Balance Percentage of
------ --------------- --------------- -------------
Current Balance
---------------
<S> <C> <C> <C>
OH 331 24,851,395.41 14.03
MN 187 19,849,497.70 11.20
IL 213 18,824,045.99 10.63
MI 187 16,087,782.53 9.08
MD 65 8,039,449.66 4.54
WI 90 6,835,819.74 3.86
AZ 61 6,136,983.56 3.46
FL 60 6,001,095.36 3.39
IN 89 5,760,398.05 3.25
MO 57 5,100,913.62 2.88
CT 38 4,784,160.51 2.70
TN 52 4,763,778.38 2.69
UT 47 4,475,643.31 2.53
NC 47 4,129,144.46 2.33
CA 26 3,741,162.21 2.11
KY 43 3,700,168.77 2.09
CO 33 3,638,564.61 2.05
WA 31 3,290,487.04 1.86
PA 34 2,686,460.16 1.52
TX 23 2,681,101.65 1.51
VA 24 2,663,588.52 1.50
MA 19 2,608,734.10 1.47
GA 19 1,888,103.85 1.07
NY 13 1,609,391.78 0.91
NJ 14 1,234,657.64 0.70
ID 16 1,213,401.78 0.68
NM 11 1,201,878.53 0.68
IA 16 1,190,417.29 0.67
NE 14 1,143,420.96 0.65
MS 14 1,083,789.14 0.61
SC 12 1,083,308.24 0.61
LA 11 1,041,988.16 0.59
KS 12 972,739.20 0.55
RI 11 939,217.43 0.53
NV 5 527,143.30 0.30
DC 3 264,299.85 0.15
DE 3 256,111.94 0.14
OR 3 251,270.01 0.14
WV 3 210,740.98 0.12
OK 2 169,825.75 0.10
AL 1 145,855.06 0.08
AR 1 72,000.00 0.04
TOTAL: 1,941 177,149,936.23 100.00
</TABLE>
(1) The percentages herein might not equal 100% due to rounding.
Recipients of these Computational Materials must read and acknowledge the
attached document "STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING
ESTIMATES, AND OTHER INFORMATION" before using or relying on the information
contained herein. In addition, recipients of these Computational Materials may
only use or rely on the information contained herein if read in conjunction with
the related Prospectus and Prospectus Supplement. If you have not received the
statement described above or the related Prospectus and Prospectus Supplement,
please contact your account executive at Bear, Stearns & Co. Inc.
Page 18
<PAGE> 39
LEHMAN BROTHERS
DERIVED INFORMATION
$688,000,000 Certificates
EQCC HOME EQUITY LOAN TRUST 1997-2
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> 40
2
I. SECURITIES OFFERED(1):
TO MATURITY:
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
APPROX. ESTIMATED ESTIMATED EXPECTED STATED
APPROX. GROUP EXPECTED WAL/MDUR PRINCIPAL FINAL FINAL MATURITY
SECURITIES SIZE NO. BENCHMARK PRICE (YRS) PMT. WINDOW MATURITY
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A-1 (2) $ 65,666,000 I Curve 100.000% 1.00/0.93 1 - 25 7/15/99 7/15/28
CLASS A-2 (2) $ 31,292,000 I Curve 100.000% 0.45/0.43 1 - 9 3/15/98 5/15/04
CLASS A-3 (2) $ 78,276,000 I Curve 100.000% 1.15/1.07 9 - 20 2/15/99 5/15/04
CLASS A-4 (2) $ 62,228,000 I 2 Yr Tsy 100.000% 2.05/1.86 20 - 30 12/15/99 4/15/07
CLASS A-5 (2) $ 86,789,000 I 3 Yr Tsy 100.000% 3.05/2.67 30 - 46 4/15/01 4/15/11
CLASS A-6 (2) $ 22,646,000 I Curve 100.000% 4.05/3.43 46 - 52 10/15/01 2/15/12
CLASS A-7 (2) $ 72,769,000 I Curve 100.000% 5.56/4.45 52 - 83 5/15/04 2/15/20
CLASS A-8 (2) $ 33,034,000 I 10 Yr Tsy 100.000% 9.95/6.76 83 - 360 6/15/27 7/15/28
CLASS A-9 (2) $ 50,300,000 I Curve 100.000% 6.16/4.81 37 - 178 4/15/12 7/15/28
CLASS A-10 (3) $185,000,000 II 1 mo LIBOR 100.000% 3.02 1 - 293 11/15/21 7/15/28
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
TO 10% CLEANUP CALL:
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
APPROX. ESTIMATED ESTIMATED EXPECTED STATED
APPROX. GROUP EXPECTED WAL/MDUR PRINCIPAL FINAL FINAL MATURITY
SECURITIES SIZE NO. BENCHMARK PRICE (YRS) PMT. WINDOW MATURITY
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A-7 (2) $ 72,769,000 I Curve 100.000% 5.56/4.45 52 - 83 5/15/04 2/15/20
CLASS A-8 (2) $ 33,034,000 I 10 Yr Tsy 100.000% 6.88/5.24 83 - 83 5/15/04 7/15/28
CLASS A-9 (2) $ 50,300,000 I Curve 100.000% 5.86/4.64 37 - 83 5/15/04 7/15/28
CLASS A-10 (3) $185,000,000 II 1 mo LIBOR 100.000% 2.95 1 - 83 5/15/04 7/15/28
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) All Certificates will be rated Aaa/AAA by Moody's & S&P.
(2) 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.
(3) Prepayments are sized at 25% CPR.
- --------------------------------------------------------------------------------
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> 41
3
II. SENSITIVITY ANALYSIS
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
GROUP I LOANS
TO MATURITY
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
% of Prepayment Assumption 0.0% 50.0% 100.0% 125.0% 150.0% 175.0% 200.0%
Implied Seasoned CPR 0.0% 10.0% 20.0% 25.0% 30.0% 35.0% 40.0%
Class A-1
Avg. Life (yrs) 3.33 1.01 1.00 1.00 1.00 1.00 1.00
Mod Duration (yrs) 2.85 0.94 0.93 0.93 0.93 0.93 0.93
Window (begin-end) (mths) 1 - 74 1 - 25 1 - 25 1 - 25 1 - 25 1 - 25 1 - 25
Expected Final Maturity 8/15/03 7/15/99 7/15/99 7/15/99 7/15/99 7/15/99 7/15/99
Yield @ 100.000% 6.11 6.11 6.11 6.11 6.11 6.11 6.11
Class A-2
Avg. Life (yrs) 6.75 1.33 0.57 0.45 0.37 0.32 0.28
Mod Duration (yrs) 5.41 1.24 0.54 0.43 0.36 0.30 0.26
Window (begin-end) (mths) 74 - 83 8 - 25 1 - 11 1 - 9 1 - 8 1 - 7 1 - 6
Expected Final Maturity 5/15/04 7/15/99 5/15/98 3/15/98 2/15/98 1/15/98 12/15/97
Yield @ 100.000% 5.94 5.94 5.94 5.94 5.94 5.94 5.94
Class A-3
Avg. Life (yrs) 6.88 2.86 1.47 1.15 0.97 0.84 0.75
Mod Duration (yrs) 5.43 2.53 1.35 1.07 0.91 0.80 0.71
Window (begin-end) (mths) 83 - 83 25 - 46 11 - 26 9 - 20 8 - 16 7 - 14 6 - 13
Expected Final Maturity 5/15/04 4/15/01 8/15/99 2/15/99 10/15/98 8/15/98 7/15/98
Yield @ 100.000% 6.29 6.29 6.29 6.29 6.29 6.29 6.29
Class A-4
Avg. Life (yrs) 8.22 4.60 2.53 2.05 1.68 1.41 1.22
Mod Duration (yrs) 6.18 3.86 2.26 1.86 1.54 1.30 1.14
Window (begin-end) (mths) 83 - 118 46 - 67 26 - 36 20 - 30 16 - 25 14 - 21 13 - 18
Expected Final Maturity 4/15/07 1/15/03 6/15/00 12/15/99 7/15/99 3/15/99 12/15/98
Yield @ 100.000% 6.44 6.44 6.44 6.44 6.44 6.44 6.44
Class A-5
Avg. Life (yrs) 11.80 6.57 3.80 3.05 2.55 2.18 1.88
Mod Duration (yrs) 7.96 5.17 3.25 2.67 2.27 1.97 1.72
Window (begin-end) (mths) 118 - 166 67 - 83 36 - 58 30 - 46 25 - 38 21 - 32 18 - 28
Expected Final Maturity 4/15/11 5/15/04 4/15/02 4/15/01 8/15/00 2/15/00 10/15/99
Yield @ 100.000% 6.60 6.60 6.60 6.60 6.60 6.60 6.60
</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> 42
4
II. SENSITIVITY ANALYSIS (CONTINUED)
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
GROUP I LOANS
TO MATURITY
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
% of Prepayment Assumption 0.0% 50.0% 100.0% 125.0% 150.0% 175.0% 200.0%
Implied Seasoned CPR 0.0% 10.0% 20.0% 25.0% 30.0% 35.0% 40.0%
Class A-6
Avg. Life (yrs) 14.22 7.35 5.09 4.05 3.32 2.81 2.45
Mod Duration (yrs) 8.87 5.61 4.17 3.43 2.88 2.48 2.19
Window (begin-end) (mths) 166 - 176 83 - 99 58 - 66 46 - 52 38 - 43 32 - 36 28 - 31
Expected Final Maturity 2/15/12 9/15/05 12/15/02 10/15/01 1/15/01 6/15/00 1/15/00
Yield @ 100.000% 6.80 6.80 6.80 6.80 6.80 6.80 6.80
Class A-7
Avg. Life (yrs) 16.30 10.69 6.81 5.56 4.50 3.73 3.17
Mod Duration (yrs) 9.43 7.28 5.24 4.45 3.73 3.18 2.75
Window (begin-end) (mths) 176 - 272 99 - 164 66 - 111 52 - 83 43 - 72 36 - 58 31 - 49
Expected Final Maturity 2/15/20 2/15/11 9/15/06 5/15/04 6/15/03 4/15/02 7/15/01
Yield @ 100.000% 6.98 6.98 6.98 6.98 6.98 6.98 6.98
Class A-8
Avg. Life (yrs) 26.80 16.66 11.94 9.95 8.32 6.71 5.21
Mod Duration (yrs) 11.47 9.26 7.65 6.76 5.95 5.04 4.14
Window (begin-end) (mths) 272 - 360 164 - 360 111 - 360 83 - 360 72 - 360 58 - 360 49 - 355
Expected Final Maturity 6/15/27 6/15/27 6/15/27 6/15/27 6/15/27 6/15/27 1/15/27
Yield @ 100.000% 7.30 7.30 7.30 7.30 7.30 7.30 7.30
Class A-9
Avg. Life (yrs) 8.88 7.29 6.46 6.16 5.93 5.73 5.57
Mod Duration (yrs) 6.34 5.48 5.00 4.81 4.66 4.54 4.43
Window (begin-end) (mths) 37 - 178 37 - 178 37 - 178 37 - 178 37 - 178 37 - 178 37 - 178
Expected Final Maturity 4/15/12 4/15/12 4/15/12 4/15/12 4/15/12 4/15/12 4/15/12
Yield @ 100.000% 6.91 6.91 6.91 6.91 6.91 6.91 6.91
</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> 43
5
II. SENSITIVITY ANALYSIS (CONTINUED)
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
GROUP I LOANS
TO 10% CLEANUP CALL
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
% of Prepayment Assumption 0.0% 50.0% 100.0% 125.0% 150.0% 175.0% 200.0%
Implied Seasoned CPR 0.0% 10.0% 20.0% 25.0% 30.0% 35.0% 40.0%
Class A-7
Avg. Life (yrs) 15.38 10.18 6.62 5.56 4.50 3.73 3.17
Mod Duration (yrs) 9.17 7.07 5.13 4.45 3.73 3.18 2.75
Window (begin-end) (mths) 176 - 197 99 - 133 66 - 88 52 - 83 43 - 72 36 - 58 31 - 49
Expected Final Maturity 11/15/13 7/15/08 10/15/04 5/15/04 6/15/03 4/15/02 7/15/01
Yield @ 100.000% 6.98 6.98 6.98 6.98 6.98 6.98 6.98
Class A-8
Avg. Life (yrs) 16.38 11.04 7.29 6.88 6.34 5.27 4.48
Mod Duration (yrs) 9.30 7.36 5.48 5.24 4.92 4.23 3.70
Window (begin-end) (mths) 197 - 197 133 - 133 88 - 88 83 - 83 72 - 77 58 - 65 49 - 56
Expected Final Maturity 11/15/13 7/15/08 10/15/04 5/15/04 11/15/03 11/15/02 2/15/02
Yield @ 100.000% 7.30 7.30 7.30 7.30 7.30 7.30 7.30
Class A-9
Avg. Life (yrs) 8.88 7.24 6.16 5.86 5.49 4.88 4.35
Mod Duration (yrs) 6.34 5.46 4.83 4.64 4.40 4.00 3.63
Window (begin-end) (mths) 37 - 178 37 - 133 37 - 88 37 - 83 37 - 77 37 - 65 37 - 56
Expected Final Maturity 4/15/12 7/15/08 10/15/04 5/15/04 11/15/03 11/15/02 2/15/02
Yield @ 100.000% 6.91 6.91 6.91 6.91 6.91 6.91 6.91
</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> 44
II. SENSITIVITY ANALYSIS (CONTINUED)
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
GROUP II LOANS
TO MATURITY
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
% CPR 0.0% 10.0% 20.0% 25.0% 30.0% 35.0% 40.0%
Class A-10
Avg. Life (yrs) 8.03 5.20 3.59 3.02 2.57 2.20 1.89
Mod Duration (yrs) 6.01 4.15 2.98 2.55 2.20 1.91 1.66
Window (begin-end) (mths) 1 - 293 1 - 293 1 - 293 1 - 293 1 - 293 1 - 293 1 - 291
Expected Final Maturity 11/15/21 11/15/21 11/15/21 11/15/21 11/15/21 11/15/21 9/15/21
Yield @ 100.000% 6.07 6.07 6.07 6.08 6.08 6.08 6.09
Yield @ 99.984% 0.00 0.00 0.00 0.00 0.00 0.00 0.00
</TABLE>
TO 10% CLEANUP CALL
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
% CPR 0.0% 10.0% 20.0% 25.0% 30.0% 35.0% 40.0%
Class A-10
Avg. Life (yrs) 7.75 5.07 3.52 2.95 2.48 2.07 1.76
Mod Duration (yrs) 5.92 4.09 2.94 2.51 2.14 1.82 1.57
Window (begin-end) (mths) 1 - 197 1 - 133 1 - 88 1 - 83 1 - 77 1 - 65 1 - 56
Expected Final Maturity 11/15/13 7/15/08 10/15/04 5/15/04 11/15/03 11/15/02 2/15/02
Yield @ 100.000% 6.07 6.07 6.07 6.07 6.07 6.07 6.07
Yield @ 99.984% 0.00 0.00 0.00 0.00 0.00 0.00 0.00
</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> 45
7
III. COLLATERAL SUMMARY(1)
FIXED RATE HOME EQUITY LOANS (AS OF THE CUT-OFF DATE)(2)
<TABLE>
<S> <C> <C> <C>
TOTAL NUMBER OF LOANS 10,497
TOTAL OUTSTANDING LOAN BALANCE $469,025,282.75
BALLOON (% OF TOTAL) 40.35%
LEVEL PAY (% OF TOTAL) 59.65%
AVERAGE LOAN PRINCIPAL BALANCE $44,681.84 % by Balance
------------
RANGE OF LOAN BALANCE $4,314.23 - <= $25,000.00 12.48%
$300,000.00 $25,000.01 - $50,000.00 30.64%
$50,000.01 - $75,000.00 23.71%
$75,000.01 - $100,000.00 13.21%
$100,000.01 - $300,000.00 19.96%
WEIGHTED AVERAGE COUPON 10.86% % by Balance
------------
COUPON RANGE 7.40% - 16.85% 7.001% - 9.000% 3.72%
9.001% - 11.000% 59.59%
11.001% - 13.000% 28.83%
13.001% - 15.000% 7.78%
15.001% - 17.000% 0.07%
WTD AVG ORIGINAL TERM (MOS) 173
Level Pay Balloon
RANGE OF ORIGINAL TERM (MOS) 36 - 360 36-84 0.89% 67.14%
85-120 4.06% 11.32%
121-180 66.00% 21.54%
181-240 9.78% 0.00%
241-360 19.27% 0.00%
WTD AVG REMAINING TERM (MOS) 172
Level Pay Balloon
RANGE OF REMAINING TERM (MOS) 26 - 360 25-84 1.03% 67.17%
85-120 4.32% 11.29%
121-180 65.60% 21.54%
181-240 9.78% 0.00%
241-360 19.27% 0.00%
LIEN POSITION (FIRST/SECOND) 72.54% / 27.46%
WEIGHTED AVERAGE CLTV 78.14% % by Balance
------------
RANGE OF CLTV 0.79% - 100.00% 0.00% - 7.00% 0.00%
7.01% - 65.00% 12.55%
65.01% - 75.00% 21.96%
75.01% - 85.00% 45.12%
85.01% - 100.00% 20.37%
WTD AVG SECOND MORTGAGE RATIO 32.14% (for second liens only
RANGE OF SECOND MORTGAGE RATIO 3.36% - 99.81% as of origination)
</TABLE>
(1) The percentages herein might not equal 100% due to rounding.
(2) The cut-off date is June 1, 1997.
- --------------------------------------------------------------------------------
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> 46
8
III. COLLATERAL SUMMARY(1) (CONTINUED)
FIXED RATE HOME EQUITY LOANS (AS OF THE CUT-OFF DATE)(2)
<TABLE>
<S> <C> <C> <C>
PROPERTY TYPE
Single Family 92.64% Condos/Townhouse 0.94%
2 to 4 Family 5.18% Other 1.25%
OCCUPANCY STATUS Owner Occ. 95.15% Investment 4.85%
GEOGRAPHIC DISTRIBUTION
other states account individually for less than 6% FL 12.51% NY 7.07%
of the pool principal balance CA 7.11% PA 6.12%
CREDIT CLASS A 62.59%
B 22.93%
C 12.02%
C-2 0.07%
D 2.39%
</TABLE>
(1) The percentages herein might not equal 100% due to rounding.
(2) The cut-off date is June 1, 1997.
- --------------------------------------------------------------------------------
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> 47
9
III. COLLATERAL SUMMARY(1) (CONTINUED)
GROUP I
CURRENT BALANCE
<TABLE>
<CAPTION>
Current Balance Number of Loans Current Balance Percentage of
--------------- --------------- --------------- -------------
Current Balance
---------------
<S> <C> <C> <C>
0.00 - 25,000.00 3,312 58,544,819.61 12.48
25,000.01 - 50,000.00 3,958 143,715,999.22 30.64
50,000.01 - 75,000.00 1,828 111,193,300.27 23.71
75,000.01 - 100,000.00 721 61,971,615.11 13.21
100,000.01 - 125,000.00 340 37,927,211.56 8.09
125,000.01 - 150,000.00 151 20,685,972.90 4.41
150,000.01 - 175,000.00 93 15,054,082.79 3.21
175,000.01 - 200,000.00 45 8,466,178.71 1.81
200,000.01 - 225,000.00 25 5,258,358.45 1.12
225,000.01 - 250,000.00 10 2,398,901.96 0.51
250,000.01 - 275,000.00 7 1,792,696.70 0.38
275,000.01 - 300,000.00 7 2,016,145.47 0.43
TOTAL: 10,497 469,025,282.75 100.00
</TABLE>
COUPON
<TABLE>
<CAPTION>
Coupon Number of Loans Current Balance Percentage of
------ --------------- --------------- -------------
Current Balance
---------------
<S> <C> <C> <C>
7.001 - 9.000 242 17,468,158.26 3.72
9.001 - 11.000 5,178 279,503,602.14 59.59
11.001 - 13.000 3,497 135,209,858.71 28.83
13.001 - 15.000 1,547 36,513,246.32 7.78
15.001 - 17.000 33 330,417.32 0.07
TOTAL: 10,497 469,025,282.75 100.00
</TABLE>
REMAINING TERM
<TABLE>
<CAPTION>
Stated Remaining Number of Loans Current Balance Percentage of
---------------- --------------- --------------- -------------
Term to Maturity Current Balance
---------------- ---------------
<S> <C> <C> <C>
25 - 48 13 164,178.13 0.04
49 - 72 95 1,561,517.92 0.33
73 - 96 1,886 128,779,286.97 27.46
97 - 120 855 32,926,260.63 7.02
121 - 144 14 440,159.11 0.09
145 - 168 5 94,252.36 0.02
169 - 192 6,325 223,789,133.80 47.71
193 - 240 535 27,358,666.49 5.83
241 - 360 769 53,911,827.34 11.49
TOTAL: 10,497 469,025,282.75 100.00
</TABLE>
(1) The percentages herein might not equal 100% due to rounding.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared 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> 48
10
III. COLLATERAL SUMMARY(1) (CONTINUED)
GROUP I
COMBINED LTV
<TABLE>
<CAPTION>
Combined LTV Number of Loans Current Balance Percentage of
------------ --------------- --------------- -------------
Current Balance
---------------
<S> <C> <C> <C>
0.001 - 10.000 7 91,819.59 0.02
10.001 - 20.000 51 995,664.65 0.21
20.001 - 30.000 115 2,955,972.97 0.63
30.001 - 40.000 206 6,232,012.47 1.33
40.001 - 50.000 327 12,026,984.71 2.56
50.001 - 60.000 482 19,455,253.34 4.15
60.001 - 70.000 1,149 52,428,990.43 11.18
70.001 - 80.000 3,019 158,243,857.58 33.74
80.001 - 90.000 3,445 171,251,692.95 36.51
90.001 - 100.000 1,696 45,343,034.06 9.67
TOTAL: 10,497 469,025,282.75 100.00
</TABLE>
HOME EQUITY LOAN RATIO
<TABLE>
<CAPTION>
Home Equity Loan Ratio Number of Loans Current Balance Percentage of
---------------------- --------------- --------------- -------------
Current Balance
---------------
<S> <C> <C> <C>
0.01 - 10.00 322 4,719,192.97 1.01
10.01 - 20.00 2,233 46,724,890.19 9.96
20.01 - 30.00 1,561 44,188,616.78 9.42
30.01 - 40.00 726 25,412,208.50 5.42
40.01 - 50.00 470 18,915,658.67 4.03
50.01 - 60.00 432 19,571,572.84 4.17
60.01 - 70.00 826 43,466,081.61 9.27
70.01 - 80.00 1,979 126,880,108.35 27.05
80.01 - 90.00 1,730 123,099,102.73 26.25
90.01 - 100.00 218 16,047,850.11 3.42
TOTAL: 10,497 469,025,282.75 100.00
</TABLE>
(1) The percentages herein might not equal 100% due to rounding.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared 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> 49
11
III. COLLATERAL SUMMARY(1) (CONTINUED)
GROUP I
GEOGRAPHIC DISTRIBUTION
<TABLE>
<CAPTION>
States Number of Loans Current Balance Percentage of
------ --------------- --------------- -------------
Current Balance
---------------
<S> <C> <C> <C>
FL 1,548 58,656,235.49 12.51
CA 660 33,352,079.83 7.11
NY 470 33,155,761.96 7.07
PA 592 28,713,431.24 6.12
OH 470 22,058,414.36 4.70
IN 521 20,132,168.19 4.29
TN 418 19,492,247.89 4.16
NC 470 18,711,066.03 3.99
IL 366 17,847,917.54 3.81
MI 329 15,952,691.39 3.40
MD 338 15,297,804.02 3.26
GA 299 12,909,283.84 2.75
WA 286 11,979,348.13 2.55
VA 303 11,937,267.52 2.55
MN 274 11,297,994.55 2.41
MA 169 9,766,163.91 2.08
LA 249 9,678,712.77 2.06
SC 233 9,576,745.83 2.04
CT 149 8,988,671.97 1.92
AZ 243 8,788,207.37 1.87
KY 198 8,199,317.00 1.75
MO 157 7,634,433.54 1.63
UT 214 7,300,386.49 1.56
IA 175 6,905,427.69 1.47
NJ 98 5,868,918.87 1.25
TX 66 5,430,701.13 1.16
CO 158 5,353,489.59 1.14
DE 83 4,951,016.46 1.06
WI 119 4,824,265.60 1.03
OR 118 4,535,613.40 0.97
NV 80 4,236,692.36 0.90
KS 98 3,991,985.49 0.85
OK 119 3,988,212.73 0.85
MS 81 3,025,601.38 0.65
ID 88 2,841,374.20 0.61
NE 68 2,784,131.69 0.59
RI 57 2,719,987.59 0.58
WV 35 1,951,520.89 0.42
AR 39 1,715,036.29 0.37
NH 17 1,082,647.56 0.23
NM 30 954,944.63 0.20
DC 8 319,476.82 0.07
AL 4 117,887.52 0.03
TOTAL: 10,497 469,025,282.75 100.00
</TABLE>
(1) The percentages herein might not equal 100% due to rounding.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared 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> 50
12
III. COLLATERAL SUMMARY(1) (CONTINUED)
ADJUSTABLE RATE HOME EQUITY LOANS (AS OF THE CUT-OFF DATE)(2)
<TABLE>
<S> <C>
TOTAL NUMBER OF LOANS 1,941
TOTAL OUTSTANDING LOAN BALANCE $177,149,936.23
BALLOON (% OF TOTAL) 90.24%
LEVEL PAY (% OF TOTAL) 9.76%
AVERAGE LOAN PRINCIPAL BALANCE $91,267.36 % by Balance
------------
RANGE OF LOAN PRINCIPAL BALANCE $15,000.00 - $350,000.00 less than or equal to $25,000.00 0.05%
$25,000.01 - $50,000.00 6.06%
$50,000.01 - $75,000.00 20.99%
$75,000.01 - $100,000.00 24.28%
$100,000.01 - $350,000.00 48.62%
WEIGHTED AVERAGE CURRENT COUPON 8.42% % by Balance
------------
CURRENT COUPON RANGE 7.60% - 12.80% 7.01% - 8.00% 43.00%
8.01% - 9.00% 40.38%
9.01% - 10.00% 12.24%
10.01% - 11.00% 3.26%
11.01% - 12.00% 1.00%
12.01% - 13.00% 0.11%
WEIGHTED AVERAGE MARGIN 5.58% % by Balance
------------
MARGIN RANGE 4.25% - 8.20% 4.01% - 4.50% 1.64%
4.51% - 5.00% 15.67%
5.01% - 5.50% 40.07%
5.51% - 6.00% 20.83%
6.01% - 6.50% 16.05%
6.51% - 7.00% 4.48%
7.01% - 7.50% 1.04%
7.51% - 8.00% 0.20%
8.01% - 8.50% 0.03%
WEIGHTED AVERAGE LIFE CAPS 17.34% % by Balance
------------
RANGE OF LIFE CAPS 15.88% - 19.88% 15.51% - 16.00% 0.41%
16.01% - 16.50% 5.01%
16.51% - 17.00% 34.60%
17.01% - 17.50% 27.52%
17.51% - 18.00% 20.80%
18.01% - 18.50% 8.73%
18.51% - 19.00% 2.29%
19.01% - 19.50% 0.41%
19.51% - 20.00% 0.23%
NEXT RATE ADJUSTMENT DATE 7/97 10.06% 10/97 14.08%
8/97 7.23% 11/97 28.81%
9/97 11.28% 12/97 26.93%
1/98 1.60%
</TABLE>
(1) The percentages herein might not equal 100% due to rounding.
(2) The cut-off date is June 1, 1997.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared 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> 51
13
III. COLLATERAL SUMMARY(1) (CONTINUED)
ADJUSTABLE RATE HOME EQUITY LOANS (AS OF THE CUT-OFF DATE)(2)
<TABLE>
<S> <C>
WEIGHTED AVERAGE LIFE FLOORS 8.27% % by Balance
------------
RANGE OF LIFE FLOORS 6.70% - 11.80% 6.51% - 7.00% 1.16%
7.01% - 7.50% 3.13%
7.51% - 8.00% 46.92%
8.01% - 8.50% 25.21%
8.51% - 9.00% 10.38%
9.01% - 9.50% 7.43%
9.51% - 10.00% 2.87%
10.01% - 10.50% 0.80%
10.51% - 11.00% 1.63%
11.01% - 11.50% 0.33%
11.51% - 12.00% 0.12%
WEIGHTED AVERAGE PERIODIC CAP 1.00% % by Balance
------------
RANGE OF PERIODIC CAP 1.00% 99.96%
2.00% 0.04%
WTD AVG ORIGINAL TERM TO MATURITY (MOS) 109 Level Pay Balloon
--------- -------
RANGE OF ORIGINAL TERM TO MATURITY (MOS) 73 - 360 36-84 0.58% 89.46%
85-120 1.56% 6.69%
121-180 27.42% 3.86%
181-240 8.34% 0.00%
241-360 62.10% 0.00%
WTD AVG REMAINING TERM TO MATURITY (MOS) 107 Level Pay Balloon
--------- -------
RANGE OF REMAINING TERM TO MATURITY (MOS) 67 - 360 25-84 0.58% 89.46%
85-120 1.56% 6.69%
121-180 27.42% 3.86%
181-240 8.34% 0.00%
241-360 62.10% 0.00%
LIEN POSITION (FIRST/SECOND) 100.00% / 0.00%
WEIGHTED AVERAGE CLTV 80.73% % by Balance
------------
RANGE OF CLTV 14.52% - 100.00% 7.00% - 65.00% 5.09%
65.01% - 75.00% 20.14%
75.01% - 85.00% 55.32%
85.01% - 100.00% 19.45%
PROPERTY TYPE
Single Family 95.95% Townhouse 0.97%
2 to 4 Family 2.65% Condos 0.43%
OCCUPANCY STATUS Owner Occ. 99.96% Investment 0.04%
GEOGRAPHIC DISTRIBUTION
other states account individually for less than 5% OH 14.03% IL 10.63%
of the pool principal balance MN 11.20% MI 9.08%
CREDIT CLASS A: 42.85% C-2 0.09%
B: 45.76% D 0.02%
C: 11.27%
</TABLE>
(1) The percentages herein might not equal 100% due to rounding.
(2) The cut-off date is June 1, 1997.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared 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> 52
14
III. COLLATERAL SUMMARY(1) (CONTINUED)
GROUP II
CURRENT BALANCE
<TABLE>
<CAPTION>
Current Balance Number Loans Current Balance Percentage of
--------------- ------------ --------------- -------------
Current Balance
---------------
<S> <C> <C> <C>
0.00 - 25,000.00 4 84,678.00 0.05
25,000.01 - 50,000.00 260 10,743,787.49 6.06
50,000.01 - 75,000.00 591 37,186,244.39 20.99
75,000.01 - 100,000.00 493 43,003,655.41 24.28
100,000.01 - 125,000.00 265 29,531,077.77 16.67
125,000.01 - 150,000.00 135 18,254,013.83 10.30
150,000.01 - 175,000.00 73 11,867,564.07 6.70
175,000.01 - 200,000.00 48 9,026,051.12 5.10
200,000.01 - 225,000.00 35 7,443,186.74 4.20
225,000.01 - 250,000.00 15 3,592,383.45 2.03
250,000.01 - 275,000.00 10 2,590,209.21 1.46
275,000.01 - 300,000.00 4 1,137,685.46 0.64
300,000.01 - 325,000.00 3 946,111.86 0.53
325,000.01 - 350,000.00 5 1,743,287.43 0.98
TOTAL: 1,941 177,149,936.23 100.00
</TABLE>
CURRENT COUPON
<TABLE>
<CAPTION>
Coupon Number Loans Current Balance Percentage of
------ ------------ --------------- -------------
Current Balance
---------------
<S> <C> <C> <C>
7.501 - 7.750 246 23,206,782.59 13.10
7.751 - 8.000 543 52,967,491.51 29.90
8.001 - 8.250 236 23,838,448.98 13.46
8.251 - 8.500 260 22,877,734.30 12.91
8.501 - 8.750 124 10,738,205.17 6.06
8.751 - 9.000 156 14,084,440.95 7.95
9.001 - 9.250 26 2,856,118.48 1.61
9.251 - 9.500 142 11,594,769.77 6.55
9.501 - 9.750 65 5,040,121.42 2.85
9.751 - 10.000 28 2,197,791.43 1.24
10.001 - 10.250 9 466,123.93 0.26
10.251 - 10.500 36 2,579,222.77 1.46
10.501 - 10.750 6 367,472.13 0.21
10.751 - 11.000 37 2,371,112.34 1.34
11.001 - 11.250 10 717,605.98 0.41
11.251 - 11.500 4 405,758.67 0.23
11.501 - 11.750 1 52,434.88 0.03
11.751 - 12.000 8 587,499.62 0.33
12.001 - 12.500 1 33,532.60 0.02
12.501 - 12.750 2 84,488.26 0.05
12.751 - 13.000 1 82,780.45 0.05
TOTAL: 1,941 177,149,936.23 100.00
</TABLE>
(1) The percentages herein might not equal 100% due to rounding.
- --------------------------------------------------------------------------------
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> 53
15
III. COLLATERAL SUMMARY(1) (CONTINUED)
GROUP II
MARGIN
<TABLE>
<CAPTION>
Margin Number of Loans Current Balance Percentage of
------ --------------- --------------- -------------
Current Balance
---------------
<S> <C> <C> <C>
4.001 - 5.000 308 30,671,496.83 17.31
5.001 - 6.000 1,136 107,878,245.10 60.90
6.001 - 7.000 470 36,355,426.07 20.52
7.001 - 8.000 26 2,191,722.42 1.24
8.001 - 9.000 1 53,045.81 0.03
TOTAL: 1,941 177,149,936.23 100.00
</TABLE>
REMAINING TERM
<TABLE>
<CAPTION>
Stated Remaining Number of Loans Current Balance Percentage of
---------------- --------------- --------------- -------------
Term to Maturity Current Balance
---------------- ---------------
<S> <C> <C> <C>
49 - 72 5 506,411.95 0.29
73 - 96 1,516 142,786,974.03 80.60
97 - 120 128 10,771,029.18 6.08
121 - 192 146 10,908,860.55 6.16
193 - 240 21 1,441,479.66 0.81
241 - 360 125 10,735,180.86 6.06
TOTAL: 1,941 177,149,936.23 100.00
</TABLE>
PERIODIC CAP
<TABLE>
<CAPTION>
Periodic Cap Number of Loans Current Balance Percentage of
------------ --------------- --------------- -------------
Current Balance
---------------
<S> <C> <C> <C>
1.000 1,940 177,071,045.87 99.96
2.000 1 78,890.36 0.04
TOTAL: 1,941 177,149,936.23 100.00
</TABLE>
LIFETIME CAP
<TABLE>
<CAPTION>
Lifetime Cap Number of Loans Current Balance Percentage of
------------ --------------- --------------- -------------
Current Balance
---------------
<S> <C> <C> <C>
15.501 - 16.000 7 725,947.32 0.41
16.001 - 16.500 86 8,880,968.74 5.01
16.501 - 17.000 647 61,290,410.27 34.60
17.001 - 17.500 495 48,757,321.38 27.52
17.501 - 18.000 441 36,853,466.80 20.80
18.001 - 18.500 201 15,461,401.55 8.73
18.501 - 19.000 50 4,057,990.75 2.29
19.001 - 19.500 10 718,713.09 0.41
19.501 - 20.000 4 403,716.33 0.23
TOTAL: 1,941 177,149,936.23 100.00
</TABLE>
(1) The percentages herein might not equal 100% due to rounding.
- --------------------------------------------------------------------------------
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> 54
16
III. COLLATERAL SUMMARY(1) (CONTINUED)
GROUP II
LIFETIME FLOOR
<TABLE>
<CAPTION>
Lifetime Floor Number of Loans Current Balance Percentage of
-------------- --------------- --------------- -------------
Current Balance
---------------
<S> <C> <C> <C>
6.501 - 7.000 21 2,061,566.26 1.16
7.001 - 7.500 61 5,538,788.18 3.13
7.501 - 8.000 863 83,121,234.42 46.92
8.001 - 8.500 473 44,665,765.84 25.21
8.501 - 9.000 209 18,393,065.82 10.38
9.001 - 9.500 162 13,169,938.64 7.43
9.501 - 10.000 76 5,090,917.64 2.87
10.001 - 10.500 18 1,414,881.22 0.80
10.501 - 11.000 44 2,894,133.02 1.63
11.001 - 11.500 10 579,941.60 0.33
11.501 - 12.000 4 219,703.59 0.12
TOTAL: 1,941 177,149,936.23 100.00
</TABLE>
COMBINED LTV
<TABLE>
<CAPTION>
Combined LTV Number of Loans Current Balance Percentage of
------------ --------------- --------------- -------------
Current Balance
---------------
<S> <C> <C> <C>
10.001 - 20.000 1 89,743.44 0.05
20.001 - 30.000 6 272,789.23 0.15
30.001 - 40.000 8 565,894.74 0.32
40.001 - 50.000 20 1,643,021.18 0.93
50.001 - 60.000 44 3,614,215.07 2.04
60.001 - 70.000 136 12,568,088.26 7.09
70.001 - 80.000 706 61,081,114.12 34.48
80.001 - 90.000 887 82,764,278.85 46.72
90.001 - 100.000 133 14,550,791.34 8.21
TOTAL: 1,941 177,149,936.23 100.00
</TABLE>
(1) The percentages herein might not equal 100% due to rounding.
- --------------------------------------------------------------------------------
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> 55
17
III. COLLATERAL SUMMARY(1) (CONTINUED)
GROUP II
GEOGRAPHIC DISTRIBUTION
<TABLE>
<CAPTION>
States Number of Loans Current Balance Percentage of
------ --------------- --------------- -------------
Current Balance
---------------
<S> <C> <C> <C>
OH 331 24,851,395.41 14.03
MN 187 19,849,497.70 11.20
IL 213 18,824,045.99 10.63
MI 187 16,087,782.53 9.08
MD 65 8,039,449.66 4.54
WI 90 6,835,819.74 3.86
AZ 61 6,136,983.56 3.46
FL 60 6,001,095.36 3.39
IN 89 5,760,398.05 3.25
MO 57 5,100,913.62 2.88
CT 38 4,784,160.51 2.70
TN 52 4,763,778.38 2.69
UT 47 4,475,643.31 2.53
NC 47 4,129,144.46 2.33
CA 26 3,741,162.21 2.11
KY 43 3,700,168.77 2.09
CO 33 3,638,564.61 2.05
WA 31 3,290,487.04 1.86
PA 34 2,686,460.16 1.52
TX 23 2,681,101.65 1.51
VA 24 2,663,588.52 1.50
MA 19 2,608,734.10 1.47
GA 19 1,888,103.85 1.07
NY 13 1,609,391.78 0.91
NJ 14 1,234,657.64 0.70
ID 16 1,213,401.78 0.68
NM 11 1,201,878.53 0.68
IA 16 1,190,417.29 0.67
NE 14 1,143,420.96 0.65
MS 14 1,083,789.14 0.61
SC 12 1,083,308.24 0.61
LA 11 1,041,988.16 0.59
KS 12 972,739.20 0.55
RI 11 939,217.43 0.53
NV 5 527,143.30 0.30
DC 3 264,299.85 0.15
DE 3 256,111.94 0.14
OR 3 251,270.01 0.14
WV 3 210,740.98 0.12
OK 2 169,825.75 0.10
AL 1 145,855.06 0.08
AR 1 72,000.00 0.04
TOTAL: 1,941 177,149,936.23 100.00
</TABLE>
(1) The percentages herein might not equal 100% due to rounding.
- --------------------------------------------------------------------------------
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).
