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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 2, 1999
First Alliance Mortgage Company
------------------------------------------------------
(Exact name of registrant as specified in its charter)
<TABLE>
<S> <C> <C>
California 333-44585-07 95-2944875
---------------------------------------------- ---------------- -------------------
(State or Other Jurisdiction of Incorporation) (Commission File (I.R.S. Employer
Number) Identification No.)
17305 Von Karman Avenue
Irvine, California 92614-6203
---------------------------------------- ----------
(Address of Principal Executive Offices) (Zip Code)
</TABLE>
Registrant's telephone number, including area code (949) 224-8500
No Change
-------------------------------------------------------------
(Former name or former address, if changed since last report)
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<PAGE>
Item 5. Other Events.
In connection with the offering of First Alliance Mortgage
Company Mortgage Loan Asset Backed Certificates, Series 1999-2, described in a
Prospectus Supplement to be dated as of June 1999, certain "Computational
Materials" within the meaning of the May 20, 1994 Kidder, Peabody No-Action
Letter and the February 17, 1995 Public Securities Association No-Action Letter
were furnished to certain prospective investors (the "Related Computational
Materials").
The Related Computational Materials furnished to certain
prospective investors by the Underwriter, Lehman Brothers Inc., are filed
herewith as Exhibit 99.1.
Item 7. Financial Statements, Pro Forma Financial Information and
Exhibits.
(a) Not applicable
(b) Not applicable
(c) Exhibits:
99.1 Computational Materials provided by Lehman Brothers
Inc. in connection with sales efforts related to the
Registrant's securities.
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of
1934, the registrant has duly caused this report to be signed on its behalf by
the undersigned hereunto duly authorized.
By: FIRST ALLIANCE MORTGAGE COMPANY,
as Company
By: /s/ Francisco Nebot
----------------------------------
Name: Francisco Nebot
Title: Executive Vice President and Chief
Financial Officer
Dated: June 2, 1999
Exhibit 99.1
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DERIVED INFORMATION (Revised 6/2/99)
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$90,000,000 Certificates (Approximate)
First Alliance Mortgage Loan Trust 1999-2
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First Alliance Mortgage Company (Seller & Servicer)
Norwest Bank Minnesota, N.A. (Master Servicer)
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LEHMAN BROTHERS
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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>
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First Alliance Mortgage Loan Trust 1999-2
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<TABLE>
<CAPTION>
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To Maturity
Est. Est. Prin. Expected Stated Expected
Approx. Tsy. WAL Window Final Final Ratings
Class Size Group Type BMark (yrs) (mos) Maturity Maturity (S&P/Moody's)
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 54,790,000 F FXD - PT Curve 3.64 1 - 209 11/25/16 T.B.D. AAA/Aaa
A-2 35,210,000 A FLT - PT 1 m LI 2.65 1 - 172 10/25/13 T.B.D. AAA/Aaa
- ---------------------------------------------------------------------------------------------------------------
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------
To 10% Call
Est. Est. Prin. Expected Stated Expected
Approx. Tsy. WAL Window Final Final Ratings
Class Size Group Type BMark (yrs) (mos) Maturity Maturity (S&P/Moody's)
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
- --------- --------------- ------ ----------- -------- -------- ---------- ---------- ---------- ---------------
A-1 54,790,000 F FXD - PT Curve 3.32 1 - 89 11/25/06 T.B.D. AAA/Aaa
A-2 35,210,000 A FLT - PT 1 m LI 2.52 1 - 89 11/25/06 T.B.D. AAA/Aaa
- --------- --------------- ------ ----------- -------- -------- ---------- ---------- ---------- ---------------
</TABLE>
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Pricing Speed
Group I 125% PPC
100% PPC assumes that prepayments start at 4% CPR in
month one, increase by approximately 1.455% each month
to 20% CPR in month twelve, and remain at 20% CPR
thereafter.
Group II 30% CPR
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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>
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Sensitivity Analysis -- To Maturity
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<TABLE>
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<S> <C> <C> <C> <C> <C> <C> <C>
Group A % of CPR 10% 15% 20% 30% 35% 40% 50%
Group F % of PPC 50% 75% 100% 125% 175% 200% 250%
Class A-1
- ---------
Yield @ 99.9774 7.036 7.020 7.003 6.989 6.940 6.916 6.869
Average Life (yrs.) 7.93 5.77 4.48 3.64 2.63 2.30 1.84
Window (mo.) 1-344 1-309 1-256 1-209 1-147 1-126 1-96
Expected Final Mat. 2/25/28 3/25/25 10/25/20 11/25/16 9/25/11 12/25/09 6/25/07
Duration (yrs.) 5.20 4.14 3.42 2.91 2.22 1.99 1.63
Class A-2
- ---------
Average Life (yrs.) 7.72 5.45 4.11 2.65 2.21 1.88 1.40
Window (mo.) 1-339 1-308 1-257 1-172 1-144 1-123 1-91
Expected Final Mat. 9/25/27 2/25/25 11/25/20 10/25/13 6/25/11 9/25/09 1/25/07
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</TABLE>
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Sensitivity Analysis -- To 10% Call
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<TABLE>
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<S> <C> <C> <C> <C> <C> <C> <C>
Group A % of CPR 10% 15% 20% 30% 35% 40% 50%
Group F % of PPC 50% 75% 100% 125% 175% 200% 250%
Class A-1
- ---------
Yield @ 99.9774 7.026 7.002 6.978 6.951 6.902 6.876 6.823
Average Life (yrs.) 7.55 5.40 4.16 3.32 2.44 2.14 1.71
Window (mo.) 1-220 1-158 1-120 1-89 1-66 1-57 1-43
Expected Final Mat. 10/25/17 8/25/12 6/25/09 11/25/06 12/25/04 3/25/04 1/25/03
Duration (yrs.) 5.11 4.02 3.29 2.74 2.11 1.88 1.53
Class A-2
- ---------
Average Life (yrs.) 7.31 5.05 3.79 2.52 2.05 1.75 1.31
Window (mo.) 1-220 1-158 1-120 1-89 1-66 1-57 1-43
Expected Final Mat. 10/25/17 8/25/12 6/25/09 11/25/06 12/25/04 3/25/04 1/25/03
- ---------------------------------------------------------------------------------------------------------------
</TABLE>
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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>
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Loan Group F Collateral Summary
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Collateral statistics for the fixed rate home equity loans in the
Statistic Calculation Pool, as of 6/01/99
Total Number of Loans 444
Total Outstanding Loan Balance $42,461,485.13
Average Loan Current Balance $95,633.98 $15,496.00 to 365,564.00
WA Coupon 9.41% 7.99% to 14.50%
WA Original Term (mo.) 341 120 to 360
WA Remaining Term (mo.) 340 95 to 360
WA CLTV 62.33% 8.24% to 85.00%
Weighted Average FICO 623 444 to 803
Lien Position (first/second) 99.41%/0.59%
Property Type
Single Family 91.88%
Condo 1.56%
Two-to-Four Family 6.57%
Occupancy Status
Owner Occupied 97.29%
Non-Owner Occupied 2.71%
Geographic Distribution
other states account individually for CA: 37.09%
less than 5% of pool balance NY: 16.83%
NJ: 9.29%
IL: 6.18%
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- --------------------------------------------------------------------------------
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>
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Loan Group F Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the fixed rate home equity loans in the
Statistic Calculation Pool, as of 6/01/99
Current Balances
No of % of Group F
($) Loans Current Balance ($) Current Balance
0.01 - 25,000.00 15 300,736.32 0.71
25,000.01 - 50,000.00 62 2,354,645.52 5.55
50,000.01 - 75,000.00 107 6,743,099.09 15.88
75,000.01 - 100,000.00 93 8,167,971.92 19.24
100,000.01 - 125,000.00 68 7,470,989.47 17.59
125,000.01 - 150,000.00 41 5,568,532.88 13.11
150,000.01 - 175,000.00 17 2,753,502.86 6.48
175,000.01 - 200,000.00 14 2,619,547.92 6.17
200,000.01 - 225,000.00 10 2,097,002.37 4.94
225,000.01 - 250,000.00 9 2,086,432.92 4.91
250,000.01 - 275,000.00 4 1,020,044.87 2.40
275,000.01 - 300,000.00 2 563,610.99 1.33
325,000.01 - 350,000.00 1 349,804.00 0.82
350,000.01 - 375,000.00 1 365,564.00 0.86
Total: 444 42,461,485.13 100.00
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- --------------------------------------------------------------------------------
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>
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Loan Group F Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the fixed rate home equity loans in the
Statistic Calculation Pool, as of 6/01/99
Loan Rates
No of % of Group F
(%) Loans Current Balance ($) Current Balance
7.501 - 8.000 2 148,065.79 0.35
8.001 - 8.500 59 5,655,044.49 13.32
8.501 - 9.000 119 10,722,695.80 25.25
9.001 - 9.500 120 11,524,860.52 27.14
9.501 - 10.000 69 7,855,129.11 18.50
10.001 - 10.500 32 2,929,283.25 6.90
10.501 - 11.000 30 2,798,695.64 6.59
11.001 - 11.500 3 280,997.53 0.66
12.001 - 12.500 1 50,414.00 0.12
12.501 - 13.000 5 209,251.00 0.49
13.001 - 13.500 1 98,000.00 0.23
13.501 - 14.000 2 94,808.00 0.22
14.001 - 14.500 1 94,240.00 0.22
Total: 444 42,461,485.13 100.00
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Prepayment Penalties
- --------------------------------------------------------------------------------
% of Group F
No of Current Balance Current
Loans ($) Balance
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
No prepay penalty 205 17,695,907.26 41.68
1% of original principal balance for 5yrs 23 1,987,631.54 4.68
6 mos interest on 80% of UPB for 1yr 39 4,637,481.92 10.92
6 mos interest on 80% of UPB for 5yrs 168 17,345,524.43 40.85
2 mos interest on 80% of UPB for 3yrs 4 292,923.75 0.69
2% of prepayment amount for 5yrs 3 330,131.23 0.78
12 mos interest on 80% of UPB for 5yrs 2 171,885.00 0.40
Total: 444 42,461,485.13 100.00
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- --------------------------------------------------------------------------------
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>
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Loan Group F Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the fixed rate home equity loans in the
Statistic Calculation Pool, as of 6/01/99
Original Term to Stated Maturity
No of % of Group F
(months) Loans Current Balance ($) Current Balance
120 3 117,523.01 0.28
180 60 3,940,333.85 9.28
240 6 472,257.79 1.11
300 1 34,012.00 0.08
360 374 37,897,358.48 89.25
Total: 444 42,461,485.13 100.00
Remaining Term to Stated Maturity
No of % of Group F
(months) Loans Current Balance ($) Current Balance
<=120 4 190,139.19 0.45
121 - 180 59 3,867,717.67 9.11
181 - 240 6 472,257.79 1.11
241 - 300 2 248,895.88 0.59
301 - 360 373 37,682,474.60 88.75
Total: 444 42,461,485.13 100.00
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Seasoning
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No of % of Group F
(months) Loans Current Balance ($) Current Balance
- --------------------------------------------------------------------------------
<=0 327 30,157,599.86 71.02
1-3 108 11,430,572.48 26.92
7-12 3 300,096.87 0.71
13 - 18 2 180,815.19 0.43
19 - 24 1 82,817.53 0.20
25 >= 3 309,583.20 0.73
Total: 444 42,461,485.13 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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>
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Loan Group F Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the fixed rate home equity loans in the
Statistic Calculation Pool, as of 6/01/99
Combined Loan-to-Value Ratio
No of % of Group F
(%) Loans Current Balance ($) Current Balance
- --------------------------------------------------------------------------------
5.01 - 10.00 1 15,496.00 0.04
10.01 - 15.00 6 173,378.00 0.41
15.01 - 20.00 8 190,724.68 0.45
20.01 - 25.00 9 455,467.66 1.07
25.01 - 30.00 19 736,251.98 1.73
30.01 - 35.00 14 719,142.74 1.69
35.01 - 40.00 28 2,014,667.01 4.74
40.01 - 45.00 27 2,215,996.71 5.22
45.01 - 50.00 22 1,915,827.09 4.51
50.01 - 55.00 31 2,449,249.52 5.77
55.01 - 60.00 44 3,800,940.64 8.95
60.01 - 65.00 67 7,123,034.09 16.78
65.01 - 70.00 62 7,090,730.97 16.70
70.01 - 75.00 47 6,103,140.28 14.37
75.01 - 80.00 35 5,121,566.82 12.06
80.01 - 85.00 24 2,335,870.94 5.50
Total: 444 42,461,485.13 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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>
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Loan Group F Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the fixed rate home equity loans in the
Statistic Calculation Pool, as of 6/01/99
Occupancy Type
No of % of Group F
Loans Current Balance ($) Current Balance
Primary 432 41,310,826.58 97.29
Investor 11 1,123,333.03 2.65
Second Home 1 27,325.52 0.06
Total: 444 42,461,485.13 100.00
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- --------------------------------------------------------------------------------
Property Type
- --------------------------------------------------------------------------------
No of % of Group F
Loans Current Balance ($) Current Balance
- --------------------------------------------------------------------------------
Single Family 411 39,012,877.28 91.88
2-4 Family 26 2,787,776.13 6.57
Condo 7 660,831.72 1.56
Total: 444 42,461,485.13 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
States
- --------------------------------------------------------------------------------
No of % of Group F
Loans Current Balance ($) Current Balance
- --------------------------------------------------------------------------------
CA 135 15,750,597.05 37.09
NY 61 7,144,416.09 16.83
NJ 50 3,945,291.47 9.29
IL 31 2,624,014.10 6.18
WA 22 2,016,387.34 4.75
OR 23 1,966,818.27 4.63
MD 23 1,804,308.14 4.25
OH 22 1,626,272.81 3.83
AZ 12 951,357.77 2.24
MN 14 921,498.91 2.17
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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>
- --------------------------------------------------------------------------------
Loan Group F Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the fixed rate home equity loans in the
Statistic Calculation Pool, as of 6/01/99
States (continued)
No of % of Group F
Loans Current Balance ($) Current Balance
- --------------------------------------------------------------------------------
CO 14 872,031.13 2.05
UT 10 776,331.42 1.83
FL 11 744,378.51 1.75
PA 9 694,727.14 1.64
VA 3 330,131.23 0.78
DC 4 292,923.75 0.69
Total: 444 42,461,485.13 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Loan Modification
- --------------------------------------------------------------------------------
Modified Loans No of % of Group F
Loans Current Balance Current Balance
- --------------------------------------------------------------------------------
N 436 41,660,788.52 98.11
Y 8 800,696.61 1.89
Total: 444 42,461,485.13 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Months Delinquent
- --------------------------------------------------------------------------------
Months Currently Delinquent No of % of Group F
Loans Current Balance Current Balance
- -------------------------------------------------------------------------------
0 444 42,461,485.13 100.0
Total: 444 42,461,485.13 100.0
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Documentation Type
- --------------------------------------------------------------------------------
No of % of Group F
Loans Current Balance ($) Current Balance
- --------------------------------------------------------------------------------
Full 338 31,940,576.86 75.22
Stated 67 6,562,440.56 15.46
Alternate 39 3,958,467.71 9.32
Total: 444 42,461,485.13 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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>
- --------------------------------------------------------------------------------
Loan Group F Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the fixed rate home equity loans in the
Statistic Calculation Pool, as of 6/01/99
Lien Position
No of % of Group F
Loans Current Balance ($) Current Balance
- --------------------------------------------------------------------------------
First Lien 437 42,209,319.13 99.41
Second Lien 7 252,166.00 0.59
Total: 444 42,461,485.13 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FICO
- --------------------------------------------------------------------------------
No of % of Group F
FICO Loans Current Balance ($) Current Balance
- --------------------------------------------------------------------------------
0 - 440 8 836,280.52 1.97
441 - 460 1 82,817.53 0.20
461 - 480 1 50,414.00 0.12
481 - 500 6 596,460.37 1.40
501 - 520 13 1,204,802.53 2.84
521 - 540 31 2,929,392.18 6.90
541 - 560 30 3,013,121.53 7.10
561 - 580 45 4,053,688.74 9.55
581 - 600 53 5,467,598.85 12.88
601 - 620 43 3,799,948.02 8.95
621 - 640 47 4,179,259.74 9.84
641 - 660 40 4,397,655.95 10.36
661 - 680 25 2,768,824.93 6.52
681 - 700 31 2,840,659.80 6.69
701 - 720 23 2,399,536.53 5.65
721 - 740 15 1,449,469.88 3.41
741 - 760 23 1,789,614.27 4.21
761 - 780 4 341,975.92 0.81
781 - 800 4 231,399.84 0.54
801 - 820 1 28,564.00 0.07
Total: 444 42,461,485.13 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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>
- --------------------------------------------------------------------------------
Loan Group F Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the fixed rate home equity loans in the
Statistic Calculation Pool, as of 6/01/99
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Credit Grade
- --------------------------------------------------------------------------------
No of % of Group F
Credit Grade Loans Current Balance ($) Current Balance
- -------------------------------------------------------------------------------
A loans 178 17,623,877.01 41.51
A- loans 70 7,806,536.48 18.38
B+ loans 14 1,301,041.00 3.06
B loans 25 1,591,580.80 3.75
B- loans 7 467,103.37 1.10
C loans 18 1,238,758.15 2.92
D loans 2 133,231.53 0.31
AA 97 9,391,677.51 22.12
BB 33 2,907,679.28 6.85
Total: 444 42,461,485.13 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Debt-To-Income
- --------------------------------------------------------------------------------
No of % of Group F
Debt-To-Income Loans Current Balance ($) Current Balance
- --------------------------------------------------------------------------------
5.01 - 10.00 2 41,226.00 0.10
10.01 - 15.00 4 229,064.34 0.54
15.01 - 20.00 26 2,014,572.67 4.74
20.01 - 25.00 47 3,786,647.09 8.92
25.01 - 30.00 50 3,960,200.30 9.33
30.01 - 35.00 52 4,139,602.30 9.75
35.01 - 40.00 58 5,590,686.03 13.17
40.01 - 45.00 62 7,112,082.98 16.75
45.01 - 50.00 65 6,973,510.74 16.42
50.01 - 55.00 35 3,733,186.19 8.79
55.01 - 60.00 35 3,965,757.04 9.34
60.01 - 65.00 7 841,341.17 1.98
65.01 - 70.00 1 73,608.28 0.17
Total: 444 42,461,485.13 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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>
- --------------------------------------------------------------------------------
Loan Group A Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the adjustable rate home equity loans in the
Statistic Calculation Pool, as of 6/01/99
Total Number of Loans 222
Total Outstanding Loan Balance $27,286,863.23
Average Loan Current Balance $122,913.80 $23,587.56 to $393,390.00
WA Coupon 8.44% 6.34% to 12.50%
ARM Characteristics
Margin 5.54% 3.95% to 8.40%
First Periodic Cap 1.29% 1.00% to 3.00%
Subsequent Periodic Cap 1.00%
Lifetime Cap 15.44% 13.34% to 19.50%
Lifetime Floor 8.44% 6.34% to 12.50%
WA Original Term (mo.) 350 120 to 360
WA Remaining Term (mo.) 350 120 to 360
Lien Position (first/second) 100.00%/0.00%
WA LTV 67.79% 16.75% to 85.00%
Loan Type
2 yr Fixed, 6 mo LI ARM 15.23%
6 mo LI ARM 84.77%
Property Type
Single Family 89.56%
Two- to Four-Family 6.69%
Condo 2.59%
PUD 1.16%
Occupancy Status
Owner Occupied 95.72%
Non-Owner Occupied 4.28%
Geographic Distribution
other states account individually for CA: 46.23%
less than 5% of pool balance NJ: 10.41%
NY: 8.59%
IL: 5.99%
UT: 5.66%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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>
- --------------------------------------------------------------------------------
Loan Group A Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the adjustable rate home equity loans in the
Statistic Calculation Pool, as of 6/01/99
Current Balances
No of % of Group A
($) Loans Current Balance ($) Current Balance
0.01 - 25,000.00 1 23,587.56 0.09
25,000.01 - 50,000.00 10 390,774.95 1.43
50,000.01 - 75,000.00 33 2,136,329.01 7.83
75,000.01 - 100,000.00 60 5,196,294.74 19.04
100,000.01 - 125,000.00 31 3,405,479.75 12.48
125,000.01 - 150,000.00 30 4,083,630.39 14.97
150,000.01 - 175,000.00 18 2,916,787.56 10.69
175,000.01 - 200,000.00 13 2,499,038.99 9.16
200,000.01 - 225,000.00 12 2,565,880.66 9.40
225,000.01 - 250,000.00 4 939,578.52 3.44
250,000.01 - 275,000.00 3 774,183.00 2.84
275,000.01 - 300,000.00 2 555,957.09 2.04
300,000.01 - 325,000.00 1 303,710.00 1.11
325,000.01 - 350,000.00 1 343,190.00 1.26
375,000.01 - 400,000.00 3 1,152,441.01 4.22
Total: 222 27,286,863.23 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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>
- --------------------------------------------------------------------------------
Loan Group A Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the adjustable rate home equity loans in the
Statistic Calculation Pool, as of 6/01/99
Loan Rates
No of % of Group A
(%) Loans Current Balance ($) Current Balance
6.001 - 6.500 2 220,152.00 0.81
6.501 - 7.000 12 1,360,166.53 4.98
7.001 - 7.500 28 3,334,834.71 12.22
7.501 - 8.000 54 6,132,702.04 22.47
8.001 - 8.500 39 5,587,098.54 20.48
8.501 - 9.000 39 5,131,263.47 18.80
9.001 - 9.500 20 2,373,236.10 8.70
9.501 - 10.000 6 719,210.00 2.64
10.001 - 10.500 10 1,158,003.89 4.24
10.501 - 11.000 4 630,796.00 2.31
11.001 - 11.500 4 339,378.02 1.24
11.501 - 12.000 2 150,016.00 0.55
12.001 - 12.500 2 150,005.93 0.55
Total: 222 27,286,863.23 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Prepayment Penalties
- --------------------------------------------------------------------------------
% of Group A
No of Current Balance Current
Loans ($) Balance
- --------------------------------------------------------------------------------
No prepay penalty 115 13,491,006.72 49.44
1% of original balance for 5yrs 14 1,479,715.47 5.42
6 mos interest on 80% of UBP for 5yrs 85 11,007,261.03 40.34
2% of prepayment amount for 5yrs 1 69,139.02 0.25
12 mos interest on 80% of UBP for 5yrs 1 71,490.00 0.26
Other 6 1,168,250.99 4.28
Total: 222 27,286,863.23 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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>
- --------------------------------------------------------------------------------
Loan Group A Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the adjustable rate home equity loans in the
Statistic Calculation Pool, as of 6/01/99
Original Term to Stated Maturity
No of % of Group A
(months) Loans Current Balance ($) Current Balance
120 1 185,990.00 0.68
180 13 953,933.22 3.50
240 3 440,059.00 1.61
360 205 25,706,881.01 94.21
Total: 222 27,286,863.23 100.00
Remaining Term to Stated Maturity
No of % of Group A
(months) Loans Current Balance ($) Current Balance
<=120 2 209,577.56 0.77
121 - 180 12 930,345.66 3.41
181 - 240 3 440,059.00 1.61
301 - 360 205 25,706,881.01 94.21
Total: 222 27,286,863.23 100.00
Seasoning
No of % of Group A
(months) Loans Current Balance ($) Current Balance
<=0 160 19,689,838.89 72.16
1-3 60 7,516,995.52 27.55
4-6 1 56,441.26 0.21
25 >= 1 23,587.56 0.09
Total: 222 27,286,863.23 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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>
- --------------------------------------------------------------------------------
Loan Group A Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the adjustable rate home equity loans in the
Statistic Calculation Pool, as of 6/01/99
Loan-to-Value Ratio
No of % of Group A
(%) Loans Current Balance ($) Current Balance
15.01 - 20.00 1 31,804.60 0.12
20.01 - 25.00 3 175,948.48 0.64
25.01 - 30.00 3 172,553.00 0.63
30.01 - 35.00 7 395,858.92 1.45
40.01 - 45.00 8 886,085.00 3.25
45.01 - 50.00 7 734,433.35 2.69
50.01 - 55.00 15 1,913,290.32 7.01
55.01 - 60.00 17 1,577,108.38 5.78
60.01 - 65.00 34 4,201,559.53 15.40
65.01 - 70.00 39 4,866,245.39 17.83
70.01 - 75.00 37 5,510,393.11 20.19
75.01 - 80.00 32 4,438,820.80 16.27
80.01 - 85.00 19 2,382,762.35 8.73
Total: 222 27,286,863.23 100.00
Occupancy Type
No of % of Group A
Loans Current Balance ($) Current Balance
Primary 212 26,119,222.18 95.72
Investor 10 1,167,641.05 4.28
Total: 222 27,286,863.23 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Property Type
- --------------------------------------------------------------------------------
No of % of Group A
Loans Current Balance ($) Current Balance
- --------------------------------------------------------------------------------
Single Family 197 24,437,969.20 89.56
2-4 Family 14 1,825,210.46 6.69
Condo 7 707,086.99 2.59
PUD 4 316,596.58 1.16
Total: 222 27,286,863.23 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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>
- --------------------------------------------------------------------------------
Loan Group A Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the adjustable rate home equity loans in the
Statistic Calculation Pool, as of 6/01/99
States
No of % of Group A
Loans Current Balance ($) Current Balance
CA 80 12,615,457.07 46.23
NJ 27 2,839,300.78 10.41
NY 18 2,343,826.56 8.59
IL 16 1,633,213.99 5.99
UT 17 1,545,368.06 5.66
CO 12 1,266,781.44 4.64
OH 14 1,256,270.73 4.60
WA 8 879,953.70 3.22
OR 6 716,326.40 2.63
FL 6 649,912.67 2.38
PA 6 444,132.23 1.63
MD 4 313,465.00 1.15
CT 2 288,630.86 1.06
AZ 2 173,710.45 0.64
VA 2 123,027.02 0.45
GA 1 101,528.33 0.37
DC 1 95,957.94 0.35
Total: 222 27,286,863.23 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Debt-To-Income
- --------------------------------------------------------------------------------
Debt-To-Income No of % of Group A
Loans Current Balance ($) Current Balance
- --------------------------------------------------------------------------------
15.01 - 20.00 8 642,999.27 2.36
20.01 - 25.00 14 1,225,651.08 4.49
25.01 - 30.00 22 2,194,083.29 8.04
30.01 - 35.00 23 2,586,159.80 9.48
35.01 - 40.00 30 3,409,094.66 12.49
40.01 - 45.00 24 3,227,133.82 11.83
45.01 - 50.00 46 6,019,125.03 22.06
50.01 - 55.00 27 3,555,745.10 13.03
55.01 - 60.00 21 3,241,504.45 11.88
60.01 - 65.00 7 1,185,366.73 4.34
Total: 222 27,286,863.23 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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>
- --------------------------------------------------------------------------------
Loan Group A Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the adjustable rate home equity loans in the
Statistic Calculation Pool, as of 6/01/99
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FICO
- --------------------------------------------------------------------------------
FICO
- --------------------------------------------------------------------------------
N/A 1 23,587.56 0.09
461 - 480 2 194,480.00 0.71
481 - 500 5 516,114.00 1.89
501 - 520 12 1,851,624.65 6.79
521 - 540 19 2,260,837.25 8.29
541 - 560 30 3,759,706.52 13.78
561 - 580 31 3,724,213.54 13.65
581 - 600 25 3,282,453.98 12.03
601 - 620 20 2,542,545.62 9.32
621 - 640 27 3,407,819.43 12.49
641 - 660 16 1,795,486.21 6.58
661 - 680 8 1,319,245.26 4.83
681 - 700 9 929,517.98 3.41
701 - 720 3 288,656.60 1.06
721 - 740 2 147,642.30 0.54
741 - 760 5 527,288.35 1.93
761 - 780 4 444,300.99 1.63
781 - 800 3 271,342.99 0.99
Total: 222 27,286,863.23 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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>
- --------------------------------------------------------------------------------
Loan Group A Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the adjustable rate home equity loans in the
Statistic Calculation Pool, as of 6/01/99
- --------------------------------------------------------------------------------
Documentation Type
- --------------------------------------------------------------------------------
No of % of Group A
Loans Current Balance ($) Current Balance
- --------------------------------------------------------------------------------
Full 137 16,186,887.88 59.32
Stated 60 7,828,327.33 28.69
Alternate 25 3,271,648.02 11.99
Total: 222 27,286,863.23 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Credit Grade
- --------------------------------------------------------------------------------
No of % of Group A
Loans Current Balance ($) Current Balance
- --------------------------------------------------------------------------------
A loans 70 9,127,590.30 33.45
A- loans 29 3,557,537.99 13.04
B+ loans 6 793,841.18 2.91
B loans 24 2,483,040.24 9.10
B- loans 11 1,542,568.33 5.65
C loans 18 2,082,596.62 7.63
C- loans 2 139,755.63 0.51
D loans 12 1,156,189.49 4.24
AA 35 4,123,902.54 15.11
BB 15 2,279,840.91 8.36
Total: 222 27,286,863.23 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Product Type
- --------------------------------------------------------------------------------
No of % of Group A
Loans Current Balance ($) Current Balance
- --------------------------------------------------------------------------------
2/28 6 Month Libor 31 4,154,697.66 15.23
6 Month Libor 191 23,132,165.57 84.77
Total: 222 27,286,863.23 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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>
- --------------------------------------------------------------------------------
Loan Group A Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the adjustable rate home equity loans in the
Statistic Calculation Pool, as of 6/01/99
Margin
No of % of Group A
(%) Loans Current Balance ($) Current Balance
3.501 - 4.000 1 68,337.00 0.25
4.001 - 4.500 9 994,368.00 3.64
4.501 - 5.000 64 7,587,929.10 27.81
5.001 - 5.500 58 7,694,742.28 28.20
5.501 - 6.000 47 6,231,700.21 22.84
6.001 - 6.500 23 2,490,795.36 9.13
6.501 - 7.000 12 1,430,699.61 5.24
7.001 - 7.500 5 543,454.67 1.99
7.501 - 8.000 1 76,040.00 0.28
8.001 - 8.500 2 168,797.00 0.62
Total: 222 27,286,863.23 100.00
Next Rate Adjustment Date
No of % of Group A
Loans Current Balance ($) Current Balance
1999-10 4 691,775.36 2.54
1999-11 28 3,038,054.76 11.13
1999-12 89 10,709,152.46 39.25
2000-01 56 6,965,058.99 25.53
2000-02 14 1,728,124.00 6.33
2001-02 1 56,441.26 0.21
2001-04 5 623,174.41 2.28
2001-05 23 3,163,990.99 11.60
2001-07 1 246,390.00 0.90
2001-08 1 64,701.00 0.24
Total: 222 27,286,863.23 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Loan Modification
- --------------------------------------------------------------------------------
No of % of Group A
Loans Current Balance ($) Current Balance
- --------------------------------------------------------------------------------
N 221 27,263,275.67 99.91
Y 1 23,587.56 0.09
Total: 222 27,286,863.23 100.00
- --------------------------------------------------------------------------------
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>
- --------------------------------------------------------------------------------
Loan Group A Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the adjustable rate home equity loans in the
Statistic Calculation Pool, as of 6/01/99
Lifetime Cap
No of % of Group A
(%) Loans Current Balance ($) Current Balance
13.001 - 13.500 2 220,152.00 0.81
13.501 - 14.000 13 1,383,754.09 5.07
14.001 - 14.500 28 3,334,834.71 12.22
14.501 - 15.000 54 6,132,702.04 22.47
15.001 - 15.500 39 5,587,098.54 20.48
15.501 - 16.000 39 5,131,263.47 18.80
16.001 - 16.500 20 2,373,236.10 8.70
16.501 - 17.000 6 719,210.00 2.64
17.001 - 17.500 10 1,158,003.89 4.24
17.501 - 18.000 4 630,796.00 2.31
18.001 - 18.500 3 315,790.46 1.16
18.501 - 19.000 2 150,016.00 0.55
19.001 - 19.500 2 150,005.93 0.55
Total: 222 27,286,863.23 100.00
First Period Cap
No of % of Group A
(%) Loans Current Balance ($) Current Balance
1 191 23,132,165.57 84.77
1.5 2 311,091.00 1.14
3 29 3,843,606.66 14.09
Total: 222 27,286,863.23 100.00
Subsequent Period Cap
No of % of Group A
(%) Loans Current Balance ($) Current Balance
1 222 27,286,863.23 100.00
Total: 222 27,286,863.23 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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>
- --------------------------------------------------------------------------------
Loan Group A Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the adjustable rate home equity loans in the
Statistic Calculation Pool, as of 6/01/99
Lifetime Floor
No of % of Group A
(%) Loans Current Balance ($) Current Balance
6.001 - 6.500 2 220,152.00 0.81
6.501 - 7.000 13 1,383,754.09 5.07
7.001 - 7.500 28 3,334,834.71 12.22
7.501 - 8.000 54 6,132,702.04 22.47
8.001 - 8.500 39 5,587,098.54 20.48
8.501 - 9.000 39 5,131,263.47 18.80
9.001 - 9.500 20 2,373,236.10 8.70
9.501 - 10.000 6 719,210.00 2.64
10.001 - 10.500 10 1,158,003.89 4.24
10.501 - 11.000 4 630,796.00 2.31
11.001 - 11.500 3 315,790.46 1.16
11.501 - 12.000 2 150,016.00 0.55
12.001 - 12.500 2 150,005.93 0.55
Total: 222 27,286,863.23 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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).
