- --------------------------------------------------------------------------------
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)
September 2, 1999
First Alliance Mortgage Company
------------------------------------------------------
(Exact name of registrant as specified in its charter)
California 333-44585-08 95-2944875
- -------------------------------- ---------------- ----------------------
(State or Other Jurisdiction of (Commission File (I.R.S. Employer
Incorporation) Number) Identification No.)
92614-6203
17305 Von Karman Avenue ----------------------
Irvine, California (Zip Code)
- ----------------------------------------
(Address of Principal Executive Offices)
Registrant's telephone number, including area code (949) 224-8500
--------------
No Change
-------------------------------------------------------------
(Former name or former address, if changed since last report)
- --------------------------------------------------------------------------------
<PAGE>
Item 5. Other Events.
-------------
In connection with the offering of First Alliance Mortgage Company
Mortgage Loan Asset Backed Certificates, Series 1999-3, described in a
Prospectus Supplement to be dated as of September 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: September 2, 1999
<PAGE>
- --------------------------------------------------------------------------------
DERIVED INFORMATION
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
$117,440,000 Certificates (approximate)
First Alliance Mortgage Loan Trust 1999-3
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
First Alliance Mortgage Company (Seller & Servicer)
- --------------------------------------------------------------------------------
LEHMAN BROTHERS
- --------------------------------------------------------------------------------
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>
- --------------------------------------------------------------------------------
First Alliance Mortgage Loan Trust 1999-3
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------
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 * 39,640,000 F FXD - PT Curve 3.51 1 - 192 09/20/15 T.B.D. AAA/Aaa
A-2 * 77,800,000 A FLT - PT 1 m LI 2.59 1 - 160 01/20/13 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 * 39,640,000 F FXD - PT Curve 3.16 1 - 83 08/20/06 T.B.D. AAA/Aaa
A-2 * 77,800,000 A FLT - PT 1 m LI 2.43 1 - 83 08/20/06 T.B.D. AAA/Aaa
- ---------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
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
- --------------------------------------------------------------------------------
* Priced to call. After the 10% optional termination date, the Class A-1
interest rate will increase by 0.50% and the Class A-2 margin will double.
- --------------------------------------------------------------------------------
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>
- --------------------------------------------------------------------------------
Sensitivity Analysis - To Maturity
- --------------------------------------------------------------------------------
<TABLE>
- ---------------------------------------------------------------------------------------------------------------
<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 @ 99.97719 7.722 7.708 7.693 7.687 7.638 7.618 7.573
Average Life (yrs.) 7.67 5.58 4.33 3.51 2.53 2.21 1.75
Window (mo.) 1-338 1-292 1-236 1-192 1-135 1-116 1-88
Expected Final Mat. 11/20/27 1/20/24 5/20/19 9/20/15 12/20/10 5/20/09 1/20/07
Duration (yrs.) 4.90 3.92 3.25 2.76 2.11 1.88 1.53
Class A-2
- ---------
Average Life (yrs.) 7.63 5.36 4.03 2.59 2.16 1.82 1.35
Window (mo.) 1-335 1-296 1-241 1-160 1-134 1-113 1-84
Expected Final Mat. 8/20/27 5/20/24 10/20/19 1/20/13 11/20/10 2/20/09 9/20/06
- ---------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
Sensitivity Analysis - To 10% Call
- --------------------------------------------------------------------------------
<TABLE>
- ---------------------------------------------------------------------------------------------------------------
<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 @ 99.97719 7.715 7.694 7.672 7.646 7.603 7.579 7.529
Average Life (yrs.) 7.34 5.26 4.04 3.16 2.35 2.04 1.62
Window (mo.) 1-221 1-158 1-119 1-83 1-65 1-55 1-42
Expected Final Mat. 2/20/18 11/20/12 8/20/09 8/20/06 2/20/05 4/20/04 3/20/03
Duration (yrs.) 4.83 3.82 3.13 2.59 2.00 1.78 1.45
Class A-2
- ---------
Average Life (yrs.) 7.24 4.98 3.72 2.43 2.00 1.69 1.25
Window (mo.) 1-221 1-158 1-119 1-83 1-65 1-55 1-42
Expected Final Mat. 2/20/18 11/20/12 8/20/09 8/20/06 2/20/05 4/20/04 3/20/03
- ---------------------------------------------------------------------------------------------------------------
</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>
- --------------------------------------------------------------------------------
Loan Group F Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the fixed rate home equity loans in the
Statistic Calculation Pool, as of 7/31/99
<TABLE>
<S> <C> <C>
Total Number of Loans 389
Total Outstanding Loan Balance $35,239,006.40
Average Loan Current Balance $90,588.71 $15,185.00 to 353,999.00
WA Coupon 9.18% 7.49% to 14.15%
WA Original Term (mo.) 333 120 to 360
WA Remaining Term (mo.) 332 119 to 360
WA CLTV 60.74% 9.80% to 85.00%
Weighted Average FICO 625 314 to 819
Lien Position (first/second) 98.54%/1.46%
Property Type
Single Family 90.49%
Condo 1.67%
Two-to-Four Family 6.95%
Other 0.88%
Occupancy Status
Owner Occupied 98.18%
Non-Owner Occupied 1.82%
Geographic Distribution
other states account individually CA: 34.95%
for less than 5% of pool balance NY: 26.15%
NJ: 6.42%
IL: 6.07%
- --------------------------------------------------------------------------------------------
</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>
- --------------------------------------------------------------------------------
Loan Group F Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the fixed rate home equity loans in the
Statistic Calculation Pool, as of 7/31/99
Current Balances
($) No of % of Group F
Loans Current Balance ($) Current Balance
0.01 - 25,000.00 14 289,453.83 0.82
25,000.01 - 50,000.00 59 2,268,505.60 6.44
50,000.01 - 75,000.00 87 5,528,535.40 15.69
75,000.01 - 100,000.00 99 8,690,868.91 24.66
100,000.01 - 125,000.00 61 6,731,052.84 19.10
125,000.01 - 150,000.00 33 4,481,815.43 12.72
150,000.01 - 175,000.00 11 1,775,368.23 5.04
175,000.01 - 200,000.00 12 2,199,066.73 6.24
200,000.01 - 225,000.00 6 1,290,354.43 3.66
225,000.01 - 250,000.00 2 480,730.00 1.36
250,000.01 - 275,000.00 2 534,637.00 1.52
275,000.01 - 300,000.00 1 290,459.00 0.82
300,000.01 - 325,000.00 1 324,160.00 0.92
350,000.01 - 375,000.00 1 353,999.00 1.00
Total: 389 35,239,006.40 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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 7/31/99
Loan Rates
(%) No of % of Group F
Loans Current Balance ($) Current Balance
7.001 - 7.500 3 215,382.32 0.61
7.501 - 8.000 20 2,278,579.88 6.47
8.001 - 8.500 54 5,588,765.28 15.86
8.501 - 9.000 108 9,776,538.57 27.74
9.001 - 9.500 84 8,048,799.48 22.84
9.501 - 10.000 75 6,020,768.31 17.09
10.001 - 10.500 20 1,669,094.27 4.74
10.501 - 11.000 8 617,092.94 1.75
11.001 - 11.500 3 119,297.86 0.34
11.501 - 12.000 2 86,981.24 0.25
12.001 - 12.500 4 246,224.46 0.70
12.501 - 13.000 5 209,155.79 0.59
13.001 - 13.500 2 323,553.00 0.92
14.001 - 14.500 1 38,773.00 0.11
Total: 389 35,239,006.40 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Prepayment Penalties
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
No of % of Group F
Loans Current Balance ($) Current Balance
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
No Prepay Penalty 189 16,627,429.63 47.18
1% of original principal balance for 5 13 756,865.96 2.15
years
6 mos interest on 80% of UPB for 1 year 56 5,742,172.25 16.29
3 mos interest on 100% of UPB for 3 2 144,970.54 0.41
years
6 mos interest on 80% of UPB for 5 127 11,840,784.02 33.60
years
2 mos interest on 80% of UPB for 3 1 40,433.00 0.11
years
5% of prepayment amount for 1 year 1 86,351.00 0.25
Total: 389 35,239,006.40 100.00
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to 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 7/31/99
Original Term to Stated Maturity
(months) No of % of Group F
Loans Current Balance ($) Current Balance
120 11 358,091.11 1.02
180 59 4,010,254.69 11.38
240 18 1,316,702.53 3.74
360 301 29,553,958.07 83.87
Total: 389 35,239,006.40 100.00
Remaining Term to Stated Maturity
(months) No of % of Group F
Loans Current Balance ($) Current Balance
<=120 11 358,091.11 1.02
121 - 180 59 4,010,254.69 11.38
181 - 240 18 1,316,702.53 3.74
301 - 360 301 29,553,958.07 83.87
Total: 389 35,239,006.40 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Seasoning
- --------------------------------------------------------------------------------
(months) No of % of Group F
Loans Current Balance ($) Current Balance
- --------------------------------------------------------------------------------
0 272 24,706,600.70 70.11
1-3 114 10,329,867.88 29.31
4-6 2 118,267.52 0.34
7-12 1 84,270.30 0.24
Total: 389 35,239,006.40 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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 7/31/99
Combined Loan-to-Value Ratio
(%) No of % of Group F
Loans Current Balance ($) Current Balance
5.01 - 10.00 1 24,903.00 0.07
10.01 - 15.00 9 253,884.92 0.72
15.01 - 20.00 9 278,760.33 0.79
20.01 - 25.00 13 627,218.34 1.78
25.01 - 30.00 11 624,313.49 1.77
30.01 - 35.00 20 1,046,733.01 2.97
35.01 - 40.00 19 1,325,864.54 3.76
40.01 - 45.00 22 1,544,601.78 4.38
45.01 - 50.00 33 3,086,120.18 8.76
50.01 - 55.00 28 2,665,636.06 7.56
55.01 - 60.00 26 2,464,344.78 6.99
60.01 - 65.00 54 5,102,778.37 14.48
65.01 - 70.00 62 7,496,223.72 21.27
70.01 - 75.00 40 4,304,261.24 12.21
75.01 - 80.00 25 2,332,195.15 6.62
80.01 - 85.00 17 2,061,167.49 5.85
Total: 389 35,239,006.40 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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 7/31/99
Occupancy Type
No of % of Group F
Loans Current Balance ($) Current Balance
Primary 380 34,598,244.00 98.18
Investor 9 640,762.40 1.82
Total: 389 35,239,006.40 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Property Type
- --------------------------------------------------------------------------------
No of % of Group F
Loans Current Balance ($) Current Balance
- --------------------------------------------------------------------------------
S 351 31,889,313.80 90.49
F 29 2,449,247.81 6.95
Condo 6 589,468.55 1.67
M 1 222,710.00 0.63
P 2 88,266.24 0.25
Total: 389 35,239,006.40 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
States
- --------------------------------------------------------------------------------
No of % of Group F
Loans Current Balance ($) Current Balance
- --------------------------------------------------------------------------------
CA 119 12,317,531.39 34.95
NY 88 9,214,900.46 26.15
NJ 30 2,262,653.84 6.42
IL 30 2,139,598.81 6.07
MN 13 1,237,179.15 3.51
PA 18 1,089,407.96 3.09
UT 14 1,063,294.64 3.02
WA 11 1,037,553.14 2.94
OR 11 995,107.25 2.82
FL 11 864,903.31 2.45
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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 7/31/99
States (continued)
No of % of Group F
Loans Current Balance ($) Current Balance
CO 11 822,904.58 2.34
MD 10 780,012.21 2.21
OH 13 758,040.15 2.15
AZ 6 480,039.63 1.36
CT 2 95,181.04 0.27
DC 2 80,698.84 0.23
Total: 389 35,239,006.40 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Loan Modification
- --------------------------------------------------------------------------------
Modified Loans No of % of Group F
Loans Current Balance Current Balance
- --------------------------------------------------------------------------------
N 388 35,102,890.40 99.61
Y 1 136,116.00 0.39
Total: 389 35,239,006.40 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Months Delinquent
- --------------------------------------------------------------------------------
Months Currently No of % of Group F
Delinquent Loans Current Balance Current Balance
- --------------------------------------------------------------------------------
0 387 35,120,858.41 99.66
1 2 118,147.99 0.34
Total: 389 35,239,006.40 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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 7/31/99
Lien Position
No of % of Group F
Loans Current Balance ($) Current Balance
1 378 34,723,735.72 98.54
2 11 515,270.68 1.46
Total: 389 35,239,006.40 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
FICO
- --------------------------------------------------------------------------------
FICO No of % of Group F
Loans Current Balance ($) Current Balance
- --------------------------------------------------------------------------------
0 - 440 4 349,503.68 0.99
461 - 480 3 313,788.82 0.89
481 - 500 7 715,780.54 2.03
501 - 520 16 1,426,169.02 4.05
521 - 540 12 959,426.34 2.72
541 - 560 18 1,417,357.66 4.02
561 - 580 55 4,422,718.40 12.55
581 - 600 39 3,379,881.39 9.59
601 - 620 40 3,487,834.29 9.90
621 - 640 46 4,597,457.96 13.05
641 - 660 46 4,558,856.25 12.94
661 - 680 28 2,666,508.99 7.57
681 - 700 24 2,271,156.05 6.45
701 - 720 16 1,538,712.80 4.37
721 - 740 10 801,418.39 2.27
741 - 760 13 1,244,067.12 3.53
761 - 780 6 573,269.98 1.63
781 - 800 4 364,593.72 1.03
801 - 820 2 150,505.00 0.43
Total: 389 35,239,006.40 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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 7/31/99
Documentation Type
No of Loans % of Group F
Current Balance ($) Current Balance
Full 308 27,775,640.01 78.82
No Doc 49 4,332,995.65 12.30
Alternate 32 3,130,370.74 8.88
Total: 389 35,239,006.40 100.00
Credit Grade
Credit Grade No of Loans % of Group F
Current Balance ($) Current Balance
A loans 213 19,603,062.18 55.63
A- loans 1 51,100.00 0.15
B loans 30 2,109,851.04 5.99
B- loans 1 61,800.59 0.18
C loans 12 827,520.16 2.35
D loans 5 303,766.09 0.86
AA 98 9,692,485.28 27.50
BB 29 2,589,421.06 7.35
Total: 389 35,239,006.40 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Debt-To-Income
- --------------------------------------------------------------------------------
Debt-To-Income No of Loans % of Group F
Current Balance ($) Current Balance
- --------------------------------------------------------------------------------
5.01 - 10.00 2 209,798.30 0.60
10.01 - 15.00 4 257,089.00 0.73
15.01 - 20.00 12 721,954.91 2.05
20.01 - 25.00 29 2,565,607.22 7.28
25.01 - 30.00 40 3,297,147.12 9.36
30.01 - 35.00 49 3,715,330.29 10.54
35.01 - 40.00 54 4,139,671.35 11.75
40.01 - 45.00 62 5,695,244.73 16.16
45.01 - 50.00 59 6,803,454.25 19.31
50.01 - 55.00 36 3,475,792.31 9.86
55.01 - 60.00 32 3,365,385.71 9.55
60.01 - 65.00 10 992,531.21 2.82
Total: 389 35,239,006.40 100.00
- --------------------------------------------------------------------------------
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 7/31/99
Loan Purpose
No of Loans % of Group F
Current Balance ($) Current Balance
Cash Out Refinance 328 31,851,090.95 90.39
Debt Consolidation 26 1,587,189.01 4.50
Home Improvement 32 1,526,266.15 4.33
Investment 1 125,528.00 0.36
Rate/Term Refinance 2 148,932.29 0.42
Total: 389 35,239,006.40 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------
Loan Group A Collateral Summary
- -----------------------------------------------------------------------------------------
Collateral statistics for the adjustable rate home equity loans in the
Statistic Calculation Pool, as of 7/31/99
<S> <C> <C>
Total Number of Loans 451
Total Outstanding Loan Balance $56,632,065.22
Average Loan Current Balance $125,569.99 $20,441.00 to $411,326.47
WA Coupon 8.41% 6.29% to 11.85%
ARM Characteristics
Margin 5.37% 4.49% to 7.50%
First Periodic Cap 1.48% 1.00% to 3.00%
Subsequent Periodic Cap 1.00%
Lifetime Cap 15.40% 13.29% to 18.85%
Lifetime Floor 8.41% 6.29% to 11.85%
WA Original Term (mo.) 351 120 to 360
WA Remaining Term (mo.) 350 119 to 360
Lien Position (first/second) 100.00%/0.00%
WA LTV 68.06% 15.19% to 85.27%
Loan Type
2 yr Fixed, 6 mo LI ARM 74.01%
3 yr Fixed, 6 mo LI ARM 1.91%
6 mo LI ARM 24.08%
WA Mos to Next Rate Adjustment 20
Property Type
Single Family 88.12%
Two- to Four-Family 6.67%
Condo 3.11%
PUD 2.10%
Occupancy Status
Owner Occupied 96.00%
Non-Owner Occupied 4.00%
Geographic Distribution
other states account individually CA: 51.67%
for less than 5% of pool balance NJ: 13.13%
NY: 6.22%
IL: 5.76%
- -----------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to 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 7/31/99
Current Balances
($) No of Loans % of Group A
Current Balance ($) Current Balance
0.01 - 25,000.00 2 45,264.00 0.08
25,000.01 - 50,000.00 20 791,942.93 1.40
50,000.01 - 75,000.00 73 4,613,022.62 8.15
75,000.01 - 100,000.00 97 8,480,858.67 14.98
100,000.01 - 125,000.00 93 10,491,761.36 18.53
125,000.01 - 150,000.00 50 6,841,776.81 12.08
150,000.01 - 175,000.00 31 5,027,958.51 8.88
175,000.01 - 200,000.00 23 4,271,048.69 7.54
200,000.01 - 225,000.00 19 4,028,920.58 7.11
225,000.01 - 250,000.00 16 3,772,570.06 6.66
250,000.01 - 275,000.00 9 2,360,005.00 4.17
275,000.01 - 300,000.00 6 1,720,543.12 3.04
300,000.01 - 325,000.00 4 1,260,722.00 2.23
325,000.01 - 350,000.00 3 1,021,365.57 1.80
350,000.01 - 375,000.00 3 1,091,223.00 1.93
400,000.01 - 425,000.00 2 813,082.30 1.44
Total: 451 56,632,065.22 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------
Loan Group A Collateral Summary
- --------------------------------------------------------------------------------------------------
Collateral statistics for the adjustable rate home equity loans in the
Statistic Calculation Pool, as of 7/31/99
Loan Rates
(%) No of % of Group A
Loans Current Balance ($) Current Balance
<S> <C> <C> <C>
6.001 - 6.500 7 746,973.58 1.32
6.501 - 7.000 14 1,560,298.59 2.76
7.001 - 7.500 45 5,594,971.79 9.88
7.501 - 8.000 94 11,810,256.25 20.85
8.001 - 8.500 102 13,910,443.88 24.56
8.501 - 9.000 93 12,084,653.95 21.34
9.001 - 9.500 41 5,560,882.58 9.82
9.501 - 10.000 31 3,062,398.31 5.41
10.001 - 10.500 5 483,795.01 0.85
10.501 - 11.000 11 1,131,525.21 2.00
11.001 - 11.500 5 487,788.59 0.86
11.501 - 12.000 3 198,077.48 0.35
Total: 451 56,632,065.22 100.00
- --------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------
Prepayment Penalties
- --------------------------------------------------------------------------------------------------
No of % of Group A
Loans Current Balance ($) Current Balance
- --------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
No Prepay Penalty 259 31,054,902.03 54.84
1% of original principal balance for 5 24 2,379,128.85 4.20
years
6 mos interest on 80% of UPB for 1 year 1 411,326.47 0.73
3 mos interest on 100% of UPB for 3 2 356,061.68 0.63
years
6 mos interest on 80% of UPB for 5 162 22,137,584.54 39.09
years
2 mos interest on 80% of UPB for 3 1 72,698.65 0.13
years
2% of prepayment amount for 5 years 1 104,113.00 0.18
3% of prepay amount for 2 years 1 116,250.00 0.21
Total: 451 56,632,065.22 100.00
- --------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to 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 7/31/99
Original Term to Stated Maturity
(months) No of % of Group A
Loans Current Balance ($) Current Balance
120 2 175,822.58 0.31
180 23 2,285,400.78 4.04
240 7 526,937.00 0.93
300 1 108,715.02 0.19
360 418 53,535,189.84 94.53
Total: 451 56,632,065.22 100.00
Remaining Term to Stated Maturity
(months) No of % of Group A
Loans Current Balance ($) Current Balance
<=120 2 175,822.58 0.31
121 - 180 23 2,285,400.78 4.04
181 - 240 7 526,937.00 0.93
241 - 300 1 108,715.02 0.19
301 - 360 418 53,535,189.84 94.53
Total: 451 56,632,065.22 100.00
Seasoning
(months) No of % of Group A
Loans Current Balance ($) Current Balance
0 350 43,253,428.96 76.38
1-3 98 12,611,248.11 22.27
4-6 3 767,388.15 1.36
Total: 451 56,632,065.22 100.00
- --------------------------------------------------------------------------------
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 7/31/99
Loan-to-Value Ratio
(%) No of % of Group A
Loans Current Balance ($) Current Balance
15.01 - 20.00 5 293,610.00 0.52
20.01 - 25.00 5 272,662.00 0.48
25.01 - 30.00 7 433,916.29 0.77
30.01 - 35.00 9 762,604.33 1.35
35.01 - 40.00 15 1,023,358.74 1.81
40.01 - 45.00 17 1,522,220.51 2.69
45.01 - 50.00 21 1,531,866.23 2.70
50.01 - 55.00 21 2,075,733.91 3.67
55.01 - 60.00 41 4,739,755.93 8.37
60.01 - 65.00 59 7,415,825.58 13.09
65.01 - 70.00 59 7,832,048.13 13.83
70.01 - 75.00 85 13,346,313.36 23.57
75.01 - 80.00 63 8,704,947.23 15.37
80.01 - 85.00 43 6,527,985.98 11.53
85.01 - 90.00 1 149,217.00 0.26
Total: 451 56,632,065.22 100.00
Occupancy Type
No of % of Group A
Loans Current Balance ($) Current Balance
Primary 430 54,368,870.92 96.00
Investor 21 2,263,194.30 4.00
Total: 451 56,632,065.22 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Property Type
- --------------------------------------------------------------------------------
No of % of Group A
Loans Current Balance ($) Current Balance
- --------------------------------------------------------------------------------
S 397 49,902,308.40 88.12
F 30 3,776,808.96 6.67
Condo 15 1,762,001.59 3.11
P 9 1,190,946.27 2.10
Total: 451 56,632,065.22 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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 7/31/99
States
No of % of Group A
Loans Current Balance ($) Current Balance
CA 194 29,259,330.69 51.67
NJ 64 7,435,126.29 13.13
NY 28 3,523,509.00 6.22
IL 35 3,264,821.25 5.76
CO 23 2,396,553.82 4.23
WA 21 2,238,726.15 3.95
OR 13 1,557,457.86 2.75
OH 16 1,494,893.85 2.64
CT 8 1,017,093.94 1.80
FL 13 991,705.49 1.75
AZ 8 963,936.98 1.70
MD 10 936,175.96 1.65
UT 6 587,165.66 1.04
PA 8 520,413.44 0.92
DC 2 225,672.00 0.40
AK 1 115,369.84 0.20
VA 1 104,113.00 0.18
Total: 451 56,632,065.22 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Debt-To-Income
- --------------------------------------------------------------------------------
Debt-To-Income No of % of Group A
Loans Current Balance ($) Current Balance
- --------------------------------------------------------------------------------
10.01 - 15.00 1 63,690.00 0.11
15.01 - 20.00 15 1,446,750.79 2.55
20.01 - 25.00 35 3,334,711.17 5.89
25.01 - 30.00 43 4,529,904.42 8.00
30.01 - 35.00 41 5,427,297.23 9.58
35.01 - 40.00 68 8,781,614.69 15.51
40.01 - 45.00 66 7,569,215.25 13.37
45.01 - 50.00 79 11,034,102.76 19.48
50.01 - 55.00 64 9,084,653.74 16.04
55.01 - 60.00 28 3,464,919.06 6.12
60.01 - 65.00 10 1,669,883.11 2.95
65.01 - 70.00 1 225,323.00 0.40
Total: 451 56,632,065.22 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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 7/31/99
- --------------------------------------------------------------------------------
FICO
- --------------------------------------------------------------------------------
FICO
- --------------------------------------------------------------------------------
441 - 460 3 233,008.29 0.41
461 - 480 4 438,488.18 0.77
481 - 500 7 916,452.01 1.62
501 - 520 15 1,845,365.56 3.26
521 - 540 30 3,020,208.24 5.33
541 - 560 64 7,655,288.85 13.52
561 - 580 57 6,601,022.90 11.66
581 - 600 59 7,507,606.74 13.26
601 - 620 54 7,394,297.88 13.06
621 - 640 44 6,543,250.71 11.55
641 - 660 21 2,646,258.84 4.67
661 - 680 27 3,888,694.90 6.87
681 - 700 26 3,422,443.42 6.04
701 - 720 17 2,309,560.42 4.08
721 - 740 15 1,427,907.82 2.52
741 - 760 2 219,210.00 0.39
761 - 780 2 270,473.29 0.48
781 - 800 4 292,527.17 0.52
Total: 451 56,632,065.22 100
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Loan Purpose
- --------------------------------------------------------------------------------
No of Loans % of Group F
Current Balance ($) Current Balance
- --------------------------------------------------------------------------------
Cash Out Refinance 423 54,459,608.10 96.16
Debt Consolidation 13 844,886.42 1.49
Home Improvement 13 797,643.23 1.41
Investment 1 118,601.00 0.21
Purchase 1 411,326.47 0.73
Total: 451 56,632,065.22 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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 7/31/99
- --------------------------------------------------------------------------------
Documentation Type
- --------------------------------------------------------------------------------
No of Loans % of Group A
Current Balance ($) Current Balance
- --------------------------------------------------------------------------------
Full 306 37,515,304.90 66.24
No Doc 102 13,280,233.18 23.45
Alternate 43 5,836,527.14 10.31
Total: 451 56,632,065.22 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Credit Grade
- --------------------------------------------------------------------------------
No of Loans % of Group A
Current Balance ($) Current Balance
- --------------------------------------------------------------------------------
A loans 208 28,916,411.66 51.06
A- loans 1 213,500.00 0.38
B+ loans 1 239,868.63 0.42
B loans 51 5,930,925.99 10.47
B- loans 3 314,090.00 0.55
C loans 27 2,729,660.14 4.82
D loans 17 1,584,407.18 2.80
AA 83 9,969,366.45 17.60
BB 60 6,733,835.17 11.89
Total: 451 56,632,065.22 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Product Type
- --------------------------------------------------------------------------------
No of Loans % of Group A
Current Balance ($) Current Balance
- --------------------------------------------------------------------------------
2/28 6 Month Libor 329 41,915,058.36 74.01
3/27 6 Month Libor 5 1,081,051.15 1.91
6 Month Libor 117 13,635,955.71 24.08
Total: 451 56,632,065.22 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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 7/31/99
Margin
(%) No of Loans % of Group A
Current Balance ($) Current Balance
4.001 - 4.500 39 3,913,170.05 6.91
4.501 - 5.000 165 19,719,713.15 34.82
5.001 - 5.500 137 20,272,463.37 35.80
5.501 - 6.000 54 6,674,342.77 11.79
6.001 - 6.500 25 2,356,650.86 4.16
6.501 - 7.000 12 1,830,208.47 3.23
7.001 - 7.500 19 1,865,516.55 3.29
Total: 451 56,632,065.22 100.00
Next Rate Adjustment Date
No of Loans % of Group A
Current Balance ($) Current Balance
1999-12 1 125,857.64 0.22
2000-01 5 579,939.08 1.02
2000-02 34 3,866,207.29 6.83
2000-03 50 5,553,288.70 9.81
2000-04 25 3,175,959.00 5.61
2000-05 2 334,704.00 0.59
2001-08 58 8,039,244.10 14.20
2001-09 135 15,988,541.26 28.23
2001-10 114 14,994,708.00 26.48
2001-11 22 2,892,565.00 5.11
2002-03 1 240,691.84 0.43
2002-04 1 411,326.47 0.73
2002-05 1 115,369.84 0.20
2002-10 1 198,873.00 0.35
2002-11 1 114,790.00 0.20
Total: 451 56,632,065.22 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Loan Modification
- --------------------------------------------------------------------------------
No of Loans % of Group A
Current Balance ($) Current Balance
- --------------------------------------------------------------------------------
N 451 56,632,065.22 100.00
Total: 451 56,632,065.22 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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 7/31/99
Lifetime Cap
(%) No of Loans % of Group A
Current Balance ($) Current Balance
13.001 - 13.500 7 746,973.58 1.32
13.501 - 14.000 14 1,560,298.59 2.76
14.001 - 14.500 45 5,594,971.79 9.88
14.501 - 15.000 94 11,810,256.25 20.85
15.001 - 15.500 104 14,562,462.19 25.71
15.501 - 16.000 92 11,548,005.48 20.39
16.001 - 16.500 40 5,445,512.74 9.62
16.501 - 17.000 31 3,062,398.31 5.41
17.001 - 17.500 5 483,795.01 0.85
17.501 - 18.000 11 1,131,525.21 2.00
18.001 - 18.500 5 487,788.59 0.86
18.501 - 19.000 3 198,077.48 0.35
Total: 451 56,632,065.22 100.00
First Period Cap
(%) No of Loans % of Group A
Current Balance ($) Current Balance
1 117 13,635,955.71 24.08
1.5 308 39,061,418.93 68.97
3 26 3,934,690.58 6.95
Total: 451 56,632,065.22 100.00
Subsequent Period Cap
(%) No of Loans % of Group A
Current Balance ($) Current Balance
1 451 56,632,065.22 100.00
Total: 451 56,632,065.22 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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 7/31/99
Lifetime Floor
(%) No of Loans % of Group A
Current Balance ($) Current Balance
6.001 - 6.500 7 746,973.58 1.32
6.501 - 7.000 14 1,560,298.59 2.76
7.001 - 7.500 45 5,594,971.79 9.88
7.501 - 8.000 94 11,810,256.25 20.85
8.001 - 8.500 102 13,910,443.88 24.56
8.501 - 9.000 93 12,084,653.95 21.34
9.001 - 9.500 41 5,560,882.58 9.82
9.501 - 10.000 31 3,062,398.31 5.41
10.001 - 10.500 5 483,795.01 0.85
10.501 - 11.000 11 1,131,525.21 2.00
11.001 - 11.500 5 487,788.59 0.86
11.501 - 12.000 3 198,077.48 0.35
Total: 451 56,632,065.22 100.00
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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).
