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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)
December 8, 1999
First Alliance Mortgage Company
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(Exact name of registrant as specified in its charter)
California 333-86411-01 95-2944875
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(State or Other Jurisdiction (Commission File (I.R.S. Employer
of Incorporation) Number) Identification No.)
17305 Von Karman Avenue
Irvine, California 92614-6203
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(Address of Principal Executive Offices) (Zip Code)
Registrant's telephone number, including area code (949) 224-8500
--------------
No Change
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(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 1999-4, described in a
Prospectus Supplement to be dated as of December 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.
- 2 -
<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: December 8, 1999
- 3 -
Exhibit 99.1
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DERIVED INFORMATION
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$103,075,000 Certificates (approximate)
First Alliance Mortgage Loan Trust 1999-4
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First Alliance Mortgage Company (Seller & 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>
<TABLE>
<CAPTION>
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First Alliance Mortgage Loan Trust 1999-4
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To Maturity
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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)
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<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 * 28,000,000 F FXD - PT Curve 3.17 1 - 185 06/20/15 1/20/31 AAA/Aaa
A-2 * 75,075,000 A FLT - PT 1 m LI 2.60 1 - 160 05/20/13 1/20/31 AAA/Aaa
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<CAPTION>
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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 * 28,000,000 F FXD - PT Curve 2.86 1 - 80 09/20/06 1/20/31 AAA/Aaa
A-2 * 75,075,000 A FLT - PT 1 m LI 2.43 1 - 80 09/20/06 1/20/31 AAA/Aaa
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</TABLE>
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Pricing Speed
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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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* 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.
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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>
<TABLE>
<CAPTION>
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Sensitivity Analysis -- To Maturity
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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 @ 99.99947 7.612 7.594 7.575 7.564 7.499 7.468 7.397
Average Life (yrs.) 7.26 5.22 3.98 3.17 2.19 1.86 1.40
Window (mo.) 1-329 1-284 1-229 1-185 1-129 1-110 1-82
Expected Final Mat. 6/20/27 9/20/23 2/20/19 6/20/15 10/20/10 3/20/09 11/20/06
Duration (yrs.) 4.71 3.71 3.02 2.52 1.84 1.60 1.24
Class A-2
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Average Life (yrs.) 7.69 5.39 4.04 2.60 2.17 1.84 1.36
Window (mo.) 1-334 1-297 1-242 1-160 1-133 1-113 1-83
Expected Final Mat. 11/20/27 10/20/24 3/20/20 5/20/13 2/20/11 6/20/09 12/20/06
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</TABLE>
<TABLE>
<CAPTION>
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Sensitivity Analysis -- To 10% Call
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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
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Yield @ 99.99947 7.605 7.580 7.554 7.521 7.462 7.427 7.348
Average Life (yrs.) 6.99 4.94 3.74 2.86 2.03 1.73 1.30
Window (mo.) 1-220 1-156 1-117 1-80 1-62 1-53 1-39
Expected Final Mat. 5/20/18 1/20/13 10/20/09 9/20/06 3/20/05 6/20/04 4/20/03
Duration (yrs.) 4.65 3.62 2.92 2.36 1.75 1.52 1.16
Class A-2
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Average Life (yrs.) 7.28 4.99 3.72 2.43 1.99 1.69 1.25
Window (mo.) 1-220 1-156 1-117 1-80 1-62 1-53 1-39
Expected Final Mat. 5/20/18 1/20/13 10/20/09 9/20/06 3/20/05 6/20/04 4/20/03
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</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>
<TABLE>
<CAPTION>
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Terms of the Offering
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<S> <C>
Issuer: First Alliance Mortgage Loan Trust 1999-4
Seller and Servicer: First Alliance Mortgage Company
Depositor: First Alliance Mortgage Company
Trustee and Oversight Agent: Chase Manhattan Bank
Certificate Insurer: MBIA
(Rated Aaa/AAA/AAA by Moody's, S&P and Fitch)
Underwriter: Lehman Brothers
Offered Securities: Class A-1 and Class A-2 Certificates (the "Certificates")
Retained Securities: Class R Certificates
Expected Settlement Date: December 17, 1999 through DTC, Euroclear and CEDEL
Payment Date: 20th of each month, or the next succeeding Business Date
(First Payment Date: January 20, 1999)
Cut-Off Date: December 1, 1999 (close of business)
Delay Days: 19 days for Class A-1; 0 days for Class A-2
Day Count: 30/360 for Class A-1; Actual/360 for Class A-2
Servicing Fee: 0.50% of the Pool Principal Balance per annum
Optional Clean-up Call Any Payment Date on or after which the Aggregate Pool
Principal Balance declines to 10% or less of the sum of
the Aggregate Cut-Off Date Pool Principal Balance of the
initial loans and the pre-funded amount
Denomination: $25,000 and multiples of $1,000 in excess thereof
SMMEA Eligibility: The Certificates are not SMMEA eligible
ERISA Eligibility: The Certificates are expected to be ERISA eligible
Tax Status: REMIC election, debt for federal income tax purposes
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</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>
<TABLE>
<CAPTION>
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Terms of the Offering (cont.)
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<S> <C>
Collateral Pool: o Pool Principal Balances are as of the Cut-Off Date
o 826 initial loans with an aggregate Cut-Off Date Pool
Principal Balance of $84,193,752.22. After the funding period
the Aggregate Cut-Off Date Pool Principal Balance is expected
to be approximately $105,000,000
o Consists of two groups:
Group I consists of $25,322,654.33 of initial fixed rate
mortgage loans secured by first and second lien mortgages on
primarily 1 - 4 family properties. After the funding period
the Group I aggregate Cut-Off Date Pool Principal Balance is
expected to be approximately $28,000,000
Group II consists of $58,871,097.89 of initial adjustable
rate mortgage loans secured by first lien mortgages on
primarily 1 - 4 family properties. The interest rates on the
mortgage loans are based on 6 month LIBOR, consisting of
79.24% 2/28s, 12.88% 3/27s and 7.88% regular 6-month LIBOR.
After the funding period the Group II aggregate Cut-Off Date
Pool Principal Balance is expected to be approximately
$77,000,000
Both the fixed rate mortgage loans and the adjustable rate
mortgage loans will accrue interest at a rate calculated on
the actuarial method.
o For collateral statistics please see the "Collateral Summary"
Prefunding: o Approximately $20,807,000 will be deposited into the
Prefunding Account. This amount will be used to purchase
approximately $2,678,000 subsequent fixed rate loans and
approximately $18,129,000 subsequent adjustable rate loans.
The prefunding period will end no later than January 28,
2000.
o Two MBIA Insurance Policies
Credit Enhancement:
o Overcollateralization: The required amount of
overcollateralization for Group I and Group II is based on
certain minimum and maximum levels of overcollateralization
and on the performance of the mortgage loans, for each
respective Loan Group
o Cross-collateralization: Excess interest from one loan group
will be available to fund interest shortfalls, to cover
losses and build OC in the other loan groups
Monthly Advances: The Servicer:
(1) is required to advance interest for delinquent loans up to
liquidation, unless it determines that these advances are not
recoverable
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</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>
<TABLE>
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<S> <C>
(2) will be reimbursed for these advances from future collections
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</TABLE>
<TABLE>
<CAPTION>
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Terms of the Offering (cont.)
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<S> <C>
Servicer Advances: The Servicer:
(1) pays all out-of-pocket expenses to service these loans
(2) will be reimbursed for these advances from future collections
Compensating Interest: The Servicer:
(1) will be required to remit (to the extent described below)
interest shortfalls due to full prepayments which result in
the receipt of accrued interest which is less than the
interest that would have accrued for the entire month;
subject to certain limitations
(2) has no right of reimbursement
This obligation is capped at the aggregate Servicing Fee for the
related period
MBIA:
(1) will supplement these compensating interest payments to the
extent necessary to pay timely interest on the Certificates
o Interest on the Class A-1 Certificates accrues during the
calendar month preceding each Payment Date
Certificate Interest Accrual: o Interest on the Class A-2 Certificates accrues from the last
Payment Date (or from the Closing Date in the case of the
first Payment Date) to, but not including, the current
Payment Date
o Accrues on the Class A-1 Certificates on a 30/360 basis and
on the Class A-2 Certificates on an actual/360 basis
o Paid monthly on each Payment Date
o For Class A-1 accrues at a rate equal to [ ]%; for Class A-2
accrues at a rate equal to the lesser of (A) 1 month LIBOR +
the applicable margin, (B) 15% per annum ("Stated Cap") and
(C) the Available Funds Cap. The lesser of (A) and (B), the
"Class A-2 Formula Rate"; and the lesser of (A), (B) and (C),
the "Class A-2 Pass-Through Rate"
o Any interest due but unpaid on a Class A-2 Certificate from a
prior Payment Date will increase the interest payment due on
the next Payment Date, plus accrued interest (see "Class A-2
Available Funds Cap Carry-Forward Amount")
Available Funds Cap: The "Available Funds Cap" for any Payment Date equals the weighted
average of the mortgage rates on the mortgage loans in Group II
less the sum of the following per annum rates: (A) the Servicing
Fee Rate (B) the rate at which the premium due to the Certificate
Insurer with respect to the Class A-2 Certificates accrues, (C) the
rate at which the fee due to the Oversight Agent with respect to
the Class A-2 Certificates accrues and (D) beginning on the
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</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
<PAGE>
<TABLE>
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<S> <C>
thirteenth Payment Date following the Settlement Date, 0.50%.
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</TABLE>
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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>
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Terms of the Offering (cont.)
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<S> <C>
Class A-2 Available Funds Cap Interest accrued on the Class A-2 Certificates at a per annum
Carry-Forward Amount rate equal to the excess of the Class A-2 Formula Rate over
the Class A-2 Pass-Through Rate, plus any interest accrued thereon
Step-up: If the Clean-up Call is not exercised, the annual interest rate on
the Class A-1 Certificates increases by 0.50%, and the margin on
the Class A-2 Certificates increases to twice the initial margin
Certificate Principal: o Class A-1 Certificates are generally paid down with principal
collected on the Group I loans
o Class A-2 Certificates are generally paid down with principal
collected on the Group II loans
o Group I excess interest after making the distributions in
(I-1) - (I-7) below will be applied to pay principal on the
Class A-1 Certificates to the extent needed to reach and
maintain the Group I Target OC ("Net Monthly Excess
Cashflow")
o Group II excess interest after making the distributions in
(II-1) - (II-7) below will be applied to pay principal on the
Class A-2 Certificates to the extent needed to reach and
maintain the Group II Target OC ("Net Monthly Excess
Cashflow")
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</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>
<TABLE>
<CAPTION>
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Terms of the Offering (cont.)
- -------------------------------------------------------------------------------------------------
<S> <C>
Payment Priority: Principal and interest collections (net of the Servicing Fee)
and draws on the Policy for the respective Loan Group (such
draws available only to make payments to Class A
Certificateholders, excluding the Class A-2 Available Funds
Cap Carry-Forward Amount) will be allocated as follows:
Group I:
(I-1) Premium to the Certificate Insurer and fee to Oversight
Agent, in each case in respect of Group I
(I-2) Class A-1 Interest to the Class A-1 Certificateholders
(I-3) Class A-1 Principal to the Class A-1 Certificateholders,
not including Net Monthly Excess Cashflow
(I-4) Class A-2 Interest shortfalls to the Class A-2
Certififcateholders
(I-5) Class A-2 Principal shortfalls to the Class A-2
Certificateholders, not including Net Monthly Excess
Cashflow
(I-6) Reimbursement for prior draws on the related policy to the
Certificate Insurer
(I-7) Reimbursement for prior draws on the other policy to the
Certificate Insurer
(I-8) Net Monthly Excess Cashflow to the Class A-1
Certificateholders
(I-9) Shortfalls in Target OC to the Class A-2 Certificateholders
(I-10) Class A-2 Available Funds Cap Carry-Forward Amount
(I-11) Accrued and unpaid Servicing Fee to the Servicer
(I-12) Nonrecoverable advances not previously reimbursed to the
Servicer
(I-13) Other amounts owed to Certificate Insurer under Insurance
Agreement
(I-14) Other amounts owed to the Oversight Agent
(I-15) Remaining amounts to the holder of the Residual Interest
- -------------------------------------------------------------------------------------------------
</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>
<TABLE>
<CAPTION>
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Terms of the Offering (cont.)
- -------------------------------------------------------------------------------------------------
<S> <C>
Payment Priority (cont.): Group II:
(II-1) Premium to the Certificate Insurer and fee to the
Oversight Agent, in each case in respect of Group II
(II-2) Class A-2 Interest to the Class A-2 Certificateholders
(II-3) Class A-2 Principal to the Class A-2 Certificateholders,
not including Net Monthly Excess Cashflow
(II-4) Class A-1 Interest shortfalls to the Class A-1
Certififcateholders
(II-5) Class A-1 Principal shortfalls to the Class A-1
Certificateholders, not including Net Monthly Excess
Cashflow
(II-6) Reimbursement for prior draws on the related policy to
the Certificate Insurer
(II-7) Reimbursement for prior draws on the other policy to the
Certificate Insurer
(II-8) Net Monthly Excess Cashflow to the Class A-2
Certificateholders
(II-9) Shortfalls in Target OC to the Class A-1
Certificateholders
(II-10) Class A-2 Available Funds Cap Carry-Forward Amount
(II-11) Accrued and unpaid Servicing Fee to the Servicer
(II-12) Nonrecoverable advances not previously reimbursed to the
Servicer
(II-13) Other amounts owed to Certificate Insurer under Insurance
Agreement
(II-14) Other amounts owed to the Oversight Agent
(II-15) Remaining amounts to the holder of the Residual Interest
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</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>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
Loan Group F Collateral Summary
- --------------------------------------------------------------------------------------------------------------------
Collateral statistics for the fixed rate home equity loans in the
Statistic Calculation Pool, as of 11/30/99
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Total Number of Loans 341
Total Outstanding Loan Balance $25,322,654.33
Average Loan Current Balance $74,259.98 $1,611.41 to 342,536.54
WA Coupon 10.21% 7.85% to 16.25%
WA Original Term (mo.) 324 120 to 360
WA Remaining Term (mo.) 314 29 to 360
WA CLTV 58.19% 5.49% to 84.99%
Weighted Average FICO 624 466 to 818
Lien Position (first/second) 94.70%/5.30%
Property Type
Single Family 90.66%
Condo 2.11%
Two-to-Four Family 6.93%
PUD 0.29%
Occupancy Status
Owner Occupied 97.21%
Non-Owner Occupied 2.79%
Geographic Distribution
other states account individually for less than CA: 39.90%
5% of pool balance NY: 17.52%
CO: 6.22%
NJ: 5.31%
IL: 5.23%
- --------------------------------------------------------------------------------------------------------------------
</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>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
Loan Group F Collateral Summary
- ---------------------------------------------------------------------------------------------------------------------
Collateral statistics for the fixed rate home equity loans in the
Statistic Calculation Pool, as of 11/30/99
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
Current Balances
- ---------------------------------------------------------------------------------------------------------------------
($) No of % of Group F
Loans Current Balance ($) Current Balance
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.01 - 25,000.00 28 510,164.25 2.01
25,000.01 - 50,000.00 78 2,987,071.56 11.80
50,000.01 - 75,000.00 76 4,794,529.11 18.93
75,000.01 - 100,000.00 89 7,657,790.82 30.24
100,000.01 - 125,000.00 35 3,869,688.17 15.28
125,000.01 - 150,000.00 19 2,596,690.09 10.25
150,000.01 - 175,000.00 11 1,765,703.17 6.97
175,000.01 - 200,000.00 3 559,290.62 2.21
225,000.01 - 250,000.00 1 239,190.00 0.94
325,000.01 - 350,000.00 1 342,536.54 1.35
- ---------------------------------------------------------------------------------------------------------------------
Total: 341 25,322,654.33 100.00
- ---------------------------------------------------------------------------------------------------------------------
</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>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
Loan Group F Collateral Summary
- ---------------------------------------------------------------------------------------------------------------------
Collateral statistics for the fixed rate home equity loans in the
Statistic Calculation Pool, as of 11/30/99
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
Loan Rates
- ---------------------------------------------------------------------------------------------------------------------
(%) No of % of Group F
Loans Current Balance ($) Current Balance
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
7.501 - 8.000 4 318,828.10 1.26
8.001 - 8.500 3 543,606.22 2.15
8.501 - 9.000 30 2,443,662.58 9.65
9.001 - 9.500 31 3,075,644.91 12.15
9.501 - 10.000 107 8,414,228.02 33.23
10.001 - 10.500 39 2,885,522.17 11.40
10.501 - 11.000 54 4,408,691.05 17.41
11.001 - 11.500 9 672,298.30 2.65
11.501 - 12.000 12 690,870.54 2.73
12.001 - 12.500 4 317,423.26 1.25
12.501 - 13.000 11 392,294.76 1.55
13.001 - 13.500 6 205,907.45 0.81
13.501 - 14.000 11 425,837.65 1.68
14.001 - 14.500 6 109,336.88 0.43
14.501 - 15.000 6 192,059.75 0.76
15.001 >= 8 226,442.69 0.89
- ---------------------------------------------------------------------------------------------------------------------
Total: 341 25,322,654.33 100.00
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
Prepayment Penalties
- ---------------------------------------------------------------------------------------------------------------------
No of % of Group F
Loans Current Balance ($) Current Balance
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
No Prepay Penalty 129 9,568,915.17 37.79
1% of original principal balance for 5 11 775,479.79 3.06
years
2 mos interest on 80% of UPB for 3 5 498,383.77 1.97
years
3% of prepayment for 3 yrs 1 69,965.57 0.28
6 mos interest on 80% of UPB for 1 year 31 2,761,761.30 10.91
6 mos interest on 80% UPB for 2 years 1 36,113.32 0.14
6 mos interest on 80% of UPB for 5 158 11,275,291.35 44.53
years
12 mos interest on 80% of UPB for 5 1 92,904.00 0.37
years
60 days int on 80% UPB for 5 yrs 2 89,211.06 0.35
Unknown 2 154,629.00 0.61
- ---------------------------------------------------------------------------------------------------------------------
</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>
<TABLE>
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Total: 341 25,322,654.33 100.00
- -------------------------------------------------------------------------------------------------------------
</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>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
Loan Group F Collateral Summary
- ---------------------------------------------------------------------------------------------------------------------
Collateral statistics for the fixed rate home equity loans in the
Statistic Calculation Pool, as of 11/30/99
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
Original Term to Stated Maturity
- ---------------------------------------------------------------------------------------------------------------------
No of % of Group F
(months) Loans Current Balance ($) Current Balance
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
120 9 286,383.58 1.13
180 75 4,079,793.46 16.11
240 9 834,487.70 3.30
300 1 55,006.00 0.22
360 247 20,066,983.59 79.25
- ---------------------------------------------------------------------------------------------------------------------
Total: 341 25,322,654.33 100.00
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
Remaining Term to Stated Maturity
- ---------------------------------------------------------------------------------------------------------------------
No of % of Group F
(months) Loans Current Balance ($) Current Balance
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
=<120 11 314,323.83 1.24
121 - 180 73 4,051,853.21 16.00
181 - 240 9 834,487.70 3.30
241 - 300 1 55,006.00 0.22
301 - 360 247 20,066,983.59 79.25
- ---------------------------------------------------------------------------------------------------------------------
Total: 341 25,322,654.33 100.00
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
Seasoning
- ---------------------------------------------------------------------------------------------------------------------
No of % of Group F
(months) Loans Current Balance ($) Current Balance
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
=<0 221 17,644,946.37 69.68
1-7 25 2,393,646.33 9.45
7-12 8 522,262.09 2.06
=>25 87 4,761,799.54 18.80
- ---------------------------------------------------------------------------------------------------------------------
Total: 341 25,322,654.33 100.00
- ---------------------------------------------------------------------------------------------------------------------
</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>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
Loan Group F Collateral Summary
- ---------------------------------------------------------------------------------------------------------------------
Collateral statistics for the fixed rate home equity loans in the
Statistic Calculation Pool, as of 11/30/99
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
Combined Loan-to-Value Ratio
- ---------------------------------------------------------------------------------------------------------------------
No of % of Group F
(%) Loans Current Balance ($) Current Balance
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
5.01 - 10.00 1 25,384.00 0.10
10.01 - 15.00 3 81,664.35 0.32
15.01 - 20.00 14 496,404.12 1.96
20.01 - 25.00 13 517,347.13 2.04
25.01 - 30.00 11 482,260.45 1.90
30.01 - 35.00 14 675,854.62 2.67
35.01 - 40.00 30 1,749,117.53 6.91
40.01 - 45.00 26 1,391,373.36 5.49
45.01 - 50.00 22 1,641,594.65 6.48
50.01 - 55.00 30 2,220,318.53 8.77
55.01 - 60.00 38 3,067,788.10 12.11
60.01 - 65.00 41 3,099,116.85 12.24
65.01 - 70.00 38 3,686,576.97 14.56
70.01 - 75.00 33 3,230,839.15 12.76
75.01 - 80.00 22 2,460,143.81 9.72
80.01 - 85.00 5 496,870.71 1.96
- --------------------------------------------------------------------------------------------------------------------
Total: 341 25,322,654.33 100.00
- --------------------------------------------------------------------------------------------------------------------
</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>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
Loan Group F Collateral Summary
- ---------------------------------------------------------------------------------------------------------------------
Collateral statistics for the fixed rate home equity loans in the
Statistic Calculation Pool, as of 11/30/99
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
Occupancy Type
- ---------------------------------------------------------------------------------------------------------------------
No of % of Group F
Loans Current Balance ($) Current Balance
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Primary 326 24,615,205.32 97.21
Investor 14 678,944.66 2.68
Second Home 1 28,504.35 0.11
- ---------------------------------------------------------------------------------------------------------------------
Total: 341 25,322,654.33 100.00
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
Property Type
- ---------------------------------------------------------------------------------------------------------------------
No of % of Group F
Loans Current Balance ($) Current Balance
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Single Family 310 22,958,766.68 90.66
2-4 Family 23 1,756,108.58 6.93
Condo 7 534,479.07 2.11
PUD 1 73,300.00 0.29
- ---------------------------------------------------------------------------------------------------------------------
Total: 341 25,322,654.33 100.00
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
States
- ---------------------------------------------------------------------------------------------------------------------
No of % of Group F
Loans Current Balance ($) Current Balance
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CA 149 10,104,151.01 39.90
NY 52 4,436,036.16 17.52
CO 21 1,575,120.84 6.22
NJ 19 1,343,655.38 5.31
IL 18 1,323,781.23 5.23
WA 12 989,363.75 3.91
OH 11 775,479.79 3.06
MD 8 705,535.49 2.79
PA 11 695,441.51 2.75
FL 7 628,634.24 2.48
- ---------------------------------------------------------------------------------------------------------------------
</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>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
Loan Group F Collateral Summary
- ---------------------------------------------------------------------------------------------------------------------
Collateral statistics for the fixed rate home equity loans in the
Statistic Calculation Pool, as of 11/30/99
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
States (continued)
- ---------------------------------------------------------------------------------------------------------------------
No of % of Group F
Loans Current Balance ($) Current Balance
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
OR 9 597,357.67 2.36
DC 5 498,383.77 1.97
MN 5 476,216.82 1.88
AZ 6 467,020.51 1.84
UT 5 458,222.07 1.81
CT 2 207,384.65 0.82
WI 1 40,869.44 0.16
- ---------------------------------------------------------------------------------------------------------------------
Total: 341 25,322,654.33 100.00
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
Months Delinquent
- ---------------------------------------------------------------------------------------------------------------------
No of % of Group F
Months Currently Delinquent Loans Current Balance Current Balance
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0 341 25,322,654.33 100.00
- ---------------------------------------------------------------------------------------------------------------------
Total: 341 25,322,654.33 100.00
- ---------------------------------------------------------------------------------------------------------------------
</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>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
Loan Group F Collateral Summary
- ---------------------------------------------------------------------------------------------------------------------
Collateral statistics for the fixed rate home equity loans in the
Statistic Calculation Pool, as of 11/30/99
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
Lien Position
- ---------------------------------------------------------------------------------------------------------------------
No of % of Group F
Loans Current Balance ($) Current Balance
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
1 304 23,981,053.49 94.70
2 37 1,341,600.84 5.30
- ---------------------------------------------------------------------------------------------------------------------
Total: 341 25,322,654.33 100.00
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
FICO
- ---------------------------------------------------------------------------------------------------------------------
No of % of Group F
FICO Loans Current Balance ($) Current Balance
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Unknown 88 4,935,372.97 19.49
461 - 480 1 77,250.00 0.31
481 - 500 7 538,147.07 2.13
501 - 520 6 555,072.87 2.19
521 - 540 12 971,204.85 3.84
541 - 560 25 2,090,017.52 8.25
561 - 580 26 1,909,820.17 7.54
581 - 600 31 2,226,614.00 8.79
601 - 620 25 1,690,639.93 6.68
621 - 640 20 1,718,192.50 6.79
641 - 660 25 2,625,441.51 10.37
661 - 680 24 2,128,677.88 8.41
681 - 700 17 1,197,714.99 4.73
701 - 720 6 422,497.89 1.67
721 - 740 12 940,789.59 3.72
741 - 760 7 724,888.73 2.86
761 - 780 2 172,121.14 0.68
781 - 800 4 183,068.31 0.72
801 - 820 3 215,122.41 0.85
- --------------------------------------------------------------------------------------------------------------------
Total: 341 25,322,654.33 100.00
- --------------------------------------------------------------------------------------------------------------------
</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>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
Loan Group F Collateral Summary
- ---------------------------------------------------------------------------------------------------------------------
Collateral statistics for the fixed rate home equity loans in the
Statistic Calculation Pool, as of 11/30/99
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
Documentation Type
- ---------------------------------------------------------------------------------------------------------------------
No of % of Group F
Loans Current Balance ($) Current Balance
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Full 213 17,393,790.50 68.69
Alternate 101 5,889,149.89 23.26
No Doc 27 2,039,713.94 8.05
- ---------------------------------------------------------------------------------------------------------------------
Total: 341 25,322,654.33 100.00
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
Credit Grade
- ---------------------------------------------------------------------------------------------------------------------
No of % of Group F
Credit Grade Loans Current Balance ($) Current Balance
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
A loans 217 17,056,835.20 67.36
A- loans 21 1,446,759.02 5.71
B loans 72 5,231,357.29 20.66
B- loans 1 93,002.00 0.37
C loans 19 911,350.72 3.60
D loans 11 583,350.10 2.30
- ---------------------------------------------------------------------------------------------------------------------
Total: 341 25,322,654.33 100.00
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
Debt-To-Income
- ---------------------------------------------------------------------------------------------------------------------
No of % of Group F
Debt-To-Income Loans Current Balance ($) Current Balance
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
5.01 - 10.00 1 16,623.47 0.07
10.01 - 15.00 11 494,001.18 1.95
15.01 - 20.00 27 1,741,388.39 6.88
20.01 - 25.00 25 1,815,479.55 7.17
25.01 - 30.00 47 3,262,336.75 12.88
30.01 - 35.00 42 3,398,784.64 13.42
35.01 - 40.00 47 3,301,310.94 13.04
40.01 - 45.00 50 3,857,747.54 15.23
45.01 - 50.00 42 3,406,136.24 13.45
50.01 - 55.00 29 2,343,411.52 9.25
55.01 - 60.00 15 1,232,387.10 4.87
60.01 - 65.00 4 429,302.17 1.70
65.01 - 70.00 1 23,744.84 0.09
- ------------------------------------------------------------------------------------------------------------
Total: 341 25,322,654.33 100.00
- ------------------------------------------------------------------------------------------------------------
</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>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
Loan Group F Collateral Summary
- ---------------------------------------------------------------------------------------------------------------------
Collateral statistics for the fixed rate home equity loans in the
Statistic Calculation Pool, as of 11/30/99
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
Loan Purpose
- ---------------------------------------------------------------------------------------------------------------------
No of % of Group F
Loans Current Balance ($) Current Balance
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Cash Out Refinance 249 20,417,321.04 80.63
Debt Consolidation 50 2,892,596.22 11.42
Home Improvement 32 1,363,978.97 5.39
Investment 3 97,487.76 0.38
Purchase 1 52,443.34 0.21
Business Capital 2 114,126.27 0.45
Rate/Term Refinance 4 384,700.73 1.52
- ---------------------------------------------------------------------------------------------------------------------
Total: 341 25,322,654.33 100.00
- ---------------------------------------------------------------------------------------------------------------------
</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>
<TABLE>
- ---------------------------------------------------------------------------------------------------------------------
Loan Group F Collateral Summary
- ---------------------------------------------------------------------------------------------------------------------
Collateral statistics for the adjustable rate home equity loans in the
Statistic Calculation Pool, as of 11/30/99
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Total Number of Loans 485
Total Outstanding Loan Balance $58,871,097.89
Average Loan Current Balance $121,383.71 $18,291.07 to $380,770.00
WA Coupon 8.95% 6.69% to 15.75%
ARM Characteristics
Margin 5.49% 4.49% to 10.10%
First Periodic Cap 1.70% 1.00% to 3.00%
Subsequent Periodic Cap 1.00%
Lifetime Cap 15.91% 13.69% to 19.95%
Lifetime Floor 8.91% 6.69% to 12.95%
WA Original Term (mo.) 350 120 to 360
WA Remaining Term (mo.) 349 67 to 360
Lien Position (first/second) 100.00% / 0.00%
WA LTV 66.07% 11.98% to 85.00%
Loan Type
2 yr Fixed, 6 mo LI ARM 79.24%
3 yr Fixed, 6 mo LI ARM 12.88%
6 mo LI ARM 7.88%
WA Mos to Next Rate Adjustment 25
Property Type
Single Family 89.93%
Two- to Four-Family 7.22%
Condo 2.19%
PUD 0.66%
Occupancy Status
Owner Occupied 97.03%
Non-Owner Occupied 2.97%
Geographic Distribution
other states account individually for less than CA: 45.86%
5% of pool balance NJ: 11.76%
NY: 9.71%
IL: 8.21%
WA: 5.45%
- ---------------------------------------------------------------------------------------------------------------------
</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>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
Loan Group A Collateral Summary
- ---------------------------------------------------------------------------------------------------------------------
Collateral statistics for the adjustable rate home equity loans in the
Statistic Calculation Pool, as of 11/30/99
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
Current Balances
- ---------------------------------------------------------------------------------------------------------------------
No of % of Group A
($) Loans Current Balance ($) Current Balance
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.01 - 25,000.00 2 36,763.07 0.06
25,000.01 - 50,000.00 45 1,854,310.27 3.15
50,000.01 - 75,000.00 64 4,027,930.93 6.84
75,000.01 - 100,000.00 102 8,986,014.41 15.26
100,000.01 - 125,000.00 100 11,122,654.54 18.89
125,000.01 - 150,000.00 53 7,190,422.68 12.21
150,000.01 - 175,000.00 39 6,313,049.84 10.72
175,000.01 - 200,000.00 14 2,632,637.51 4.47
200,000.01 - 225,000.00 26 5,464,945.75 9.28
225,000.01 - 250,000.00 9 2,143,130.57 3.64
250,000.01 - 275,000.00 12 3,182,080.32 5.41
275,000.01 - 300,000.00 8 2,281,173.00 3.87
300,000.01 - 325,000.00 5 1,566,008.00 2.66
325,000.01 - 350,000.00 5 1,689,207.00 2.87
375,000.01 - 400,000.00 1 380,770.00 0.65
- --------------------------------------------------------------------------------------------------------------
Total: 485 58,871,097.89 100.00
- --------------------------------------------------------------------------------------------------------------
</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>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
Loan Group A Collateral Summary
- ---------------------------------------------------------------------------------------------------------------------
Collateral statistics for the adjustable rate home equity loans in the
Statistic Calculation Pool, as of 11/30/99
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
Loan Rates
- ---------------------------------------------------------------------------------------------------------------------
No of % of Group A
(%) Loans Current Balance ($) Current Balance
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
6.501 - 7.000 7 1,022,929.23 1.74
7.001 - 7.500 13 1,437,080.73 2.44
7.501 - 8.000 64 7,951,323.33 13.51
8.001 - 8.500 84 10,183,299.51 17.30
8.501 - 9.000 123 15,526,391.73 26.37
9.001 - 9.500 77 8,555,562.39 14.53
9.501 - 10.000 64 8,905,281.05 15.13
10.001 - 10.500 16 1,914,408.36 3.25
10.501 - 11.000 15 1,465,014.91 2.49
11.001 - 11.500 6 457,764.18 0.78
11.501 - 12.000 6 721,269.75 1.23
12.001 - 12.500 1 137,976.00 0.23
12.501 - 13.000 3 271,048.32 0.46
13.501 - 14.000 1 18,291.07 0.03
14.001 - 14.500 1 31,730.61 0.05
14.501 - 15.000 2 198,963.16 0.34
15.001 >= 2 72,763.56 0.12
- ---------------------------------------------------------------------------------------------------------------------
Total: 485 58,871,097.89 100.00
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
Prepayment Penalties
- ---------------------------------------------------------------------------------------------------------------------
No of % of Group A
Loans Current Balance ($) Current Balance
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
No Prepay Penalty 250 28,526,901.01 48.46
1% of original principal balance for 5 7 512,917.67 0.87
years
2 mos interest on 80% of UPB for 3 1 104,000.00 0.18
years
3% of prepay amount for 2 years 1 107,877.83 0.18
3 mos interest on 100% of UPB for 3 1 55,969.33 0.10
years
6 mos interest on 80% UPB for 2 years 4 665,537.27 1.13
6 mos interest on 80% of UPB for 3 1 230,250.00 0.39
years
6 mos interest on 80% of UPB for 5 198 25,917,395.25 44.02
years
12 mos interest on 80% of UPB for 5 8 1,068,356.03 1.81
- ---------------------------------------------------------------------------------------------------------------------
</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>
<TABLE>
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
years
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
Loan Group A Collateral Summary
- ---------------------------------------------------------------------------------------------------------------------
Collateral statistics for the adjustable rate home equity loans in the
Statistic Calculation Pool, as of 11/30/99
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
Prepayment Penalties (Con't)
- ---------------------------------------------------------------------------------------------------------------------
No of % of Group A
Loans Current Balance ($) Current Balance
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
60 days int on 80% UPB for 5 yrs 1 82,490.00 0.14
2 mths int on UPB - 33.33% of OLA + 1 209,970.00 0.36
curt 3 years
3% of prepayment for 3 yrs 12 1,389,433.50 2.36
- ---------------------------------------------------------------------------------------------------------------------
Total: 485 58,871,097.89 100.00
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
Original Term to Stated Maturity
- ---------------------------------------------------------------------------------------------------------------------
No of % of Group A
(months) Loans Current Balance ($) Current Balance
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
120 2 56,581.41 0.10
180 30 2,695,554.21 4.58
240 7 862,067.58 1.46
360 446 55,256,894.69 93.86
- ---------------------------------------------------------------------------------------------------------------------
Total: 485 58,871,097.89 100.00
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
Remaining Term to Stated Maturity
- ---------------------------------------------------------------------------------------------------------------------
No of % of Group A
(months) Loans Current Balance ($) Current Balance
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
=<120 2 56,581.41 0.10
121 - 180 30 2,695,554.21 4.58
181 - 240 7 862,067.58 1.46
301 - 360 446 55,256,894.69 93.86
- ---------------------------------------------------------------------------------------------------------------------
Total: 485 58,871,097.89 100.00
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
Seasoning
- ---------------------------------------------------------------------------------------------------------------------
No of % of Group A
(months) Loans Current Balance ($) Current Balance
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
=<0 447 55,332,606.31 93.99
1-3 27 2,868,935.78 4.87
=>25 11 669,555.80 1.14
Total: 485 58,871,097.89 100.00
- ---------------------------------------------------------------------------------------------------------------------
</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>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
Loan Group A Collateral Summary
- ---------------------------------------------------------------------------------------------------------------------
Collateral statistics for the adjustable rate home equity loans in the
Statistic Calculation Pool, as of 11/30/99
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
Loan-to-Value Ratio
- ---------------------------------------------------------------------------------------------------------------------
No of % of Group A
(%) Loans Current Balance ($) Current Balance
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
10.01 - 15.00 2 87,553.50 0.15
15.01 - 20.00 4 147,754.00 0.25
20.01 - 25.00 5 390,560.23 0.66
25.01 - 30.00 12 712,830.00 1.21
30.01 - 35.00 12 667,521.13 1.13
35.01 - 40.00 16 1,354,198.55 2.30
40.01 - 45.00 22 1,697,076.85 2.88
45.01 - 50.00 29 3,119,045.08 5.30
50.01 - 55.00 32 3,319,465.15 5.64
55.01 - 60.00 48 5,785,722.96 9.83
60.01 - 65.00 74 8,573,894.76 14.56
65.01 - 70.00 58 8,697,108.45 14.77
70.01 - 75.00 71 10,284,118.79 17.47
75.01 - 80.00 66 8,892,968.61 15.11
80.01 - 85.00 34 5,141,279.83 8.73
- ---------------------------------------------------------------------------------------------------------------------
Total: 485 58,871,097.89 100.00
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
Occupancy Type
- ---------------------------------------------------------------------------------------------------------------------
No of % of Group A
Loans Current Balance ($) Current Balance
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Primary 468 57,122,879.25 97.03
Investor 17 1,748,218.64 2.97
- ---------------------------------------------------------------------------------------------------------------------
Total: 485 58,871,097.89 100.00
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
Property Type
- ---------------------------------------------------------------------------------------------------------------------
No of % of Group A
Loans Current Balance ($) Current Balance
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Single Family 435 52,943,318.65 89.93
2-4 Family 32 4,250,891.83 7.22
Condo 14 1,290,521.89 2.19
PUD 4 386,365.52 0.66
- ---------------------------------------------------------------------------------------------------------------------
Total: 485 58,871,097.89 100.00
- ---------------------------------------------------------------------------------------------------------------------
</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>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
Loan Group A Collateral Summary
- ---------------------------------------------------------------------------------------------------------------------
Collateral statistics for the adjustable rate home equity loans in the
Statistic Calculation Pool, as of 11/30/99
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
States
- ---------------------------------------------------------------------------------------------------------------------
No of % of Group A
Loans Current Balance ($) Current Balance
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CA 191 26,996,644.93 45.86
NJ 55 6,921,862.03 11.76
NY 45 5,715,550.79 9.71
IL 47 4,836,210.98 8.21
WA 29 3,207,200.28 5.45
CO 19 1,949,344.38 3.31
MD 19 1,593,150.48 2.71
OR 15 1,453,443.28 2.47
AZ 13 1,328,464.48 2.26
PA 18 1,318,769.24 2.24
UT 12 1,104,773.82 1.88
CT 6 838,034.52 1.42
OH 9 717,711.71 1.22
FL 4 463,350.15 0.79
DC 3 426,586.82 0.72
- ---------------------------------------------------------------------------------------------------------------------
Total: 485 58,871,097.89 100.00
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
Debt-To-Income
- ---------------------------------------------------------------------------------------------------------------------
No of % of Group A
Debt-To-Income Loans Current Balance ($) Current Balance
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
10.01 - 15.00 7 393,999.74 0.67
15.01 - 20.00 18 1,383,266.81 2.35
20.01 - 25.00 29 2,903,665.61 4.93
25.01 - 30.00 49 5,088,295.48 8.64
30.01 - 35.00 56 6,515,844.50 11.07
35.01 - 40.00 67 8,171,997.53 13.88
40.01 - 45.00 91 11,224,969.12 19.07
45.01 - 50.00 80 10,753,522.49 18.27
50.01 - 55.00 53 7,692,558.16 13.07
55.01 - 60.00 31 4,386,514.63 7.45
60.01 - 65.00 3 321,463.82 0.55
65.01 - 70.00 1 35,000.00 0.06
- ---------------------------------------------------------------------------------------------------------------------
Total: 485 58,871,097.89 100.00
- ---------------------------------------------------------------------------------------------------------------------
</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>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
Loan Group A Collateral Summary
- ---------------------------------------------------------------------------------------------------------------------
Collateral statistics for the adjustable rate home equity loans in the
Statistic Calculation Pool, as of 11/30/99
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
FICO
- ---------------------------------------------------------------------------------------------------------------------
FICO
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Unknown 11 669,555.80 1.14
461 - 480 3 353,517.15 0.60
481 - 500 4 504,186.35 0.86
501 - 520 25 2,970,560.83 5.05
521 - 540 44 5,425,915.63 9.22
541 - 560 51 5,890,144.11 10.01
561 - 580 59 7,307,714.38 12.41
581 - 600 66 8,079,887.47 13.72
601 - 620 40 4,991,513.76 8.48
621 - 640 52 7,343,232.52 12.47
641 - 660 39 4,806,053.09 8.16
661 - 680 33 4,153,369.98 7.06
681 - 700 18 2,175,085.88 3.69
701 - 720 18 2,120,664.44 3.60
721 - 740 7 656,768.50 1.12
741 - 760 9 843,295.00 1.43
761 - 780 1 193,011.00 0.33
781 - 800 3 255,608.00 0.43
801 - 820 2 131,014.00 0.22
- ---------------------------------------------------------------------------------------------------------------------
Total: 485 58,871,097.89 100.00
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
Loan Purpose
- ---------------------------------------------------------------------------------------------------------------------
No of % of Group F
Loans Current Balance ($) Current Balance
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Cash Out Refinance 438 55,916,871.35 94.98
Debt Consolidation 17 1,112,755.72 1.89
Home Improvement 28 1,645,740.03 2.80
Business Capital 2 195,730.79 0.33
- ---------------------------------------------------------------------------------------------------------------------
Total: 485 58,871,097.89 100.00
- ---------------------------------------------------------------------------------------------------------------------
</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>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
Loan Group A Collateral Summary
- ---------------------------------------------------------------------------------------------------------------------
Collateral statistics for the adjustable rate home equity loans in the
Statistic Calculation Pool, as of 11/30/99
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
Documentation Type
- ---------------------------------------------------------------------------------------------------------------------
No of % of Group A
Loans Current Balance ($) Current Balance
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Full 328 39,381,913.66 66.90
No Doc 108 14,255,057.90 24.21
Alternate 49 5,234,126.33 8.89
Total: 485 58,871,097.89 100.00
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
Credit Grade
- ---------------------------------------------------------------------------------------------------------------------
No of % of Group A
Loans Current Balance ($) Current Balance
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
A loans 276 34,515,282.45 58.62
A- loans 28 3,878,307.00 6.59
B+ loans 1 184,000.00 0.31
B loans 123 14,123,231.44 23.99
B- loans 11 1,416,365.28 2.41
C loans 36 3,533,961.67 6.00
C- loans 1 121,165.03 0.21
D loans 9 1,098,785.02 1.87
- ---------------------------------------------------------------------------------------------------------------------
Total: 485 58,871,097.89 100.00
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
Product Type
- ---------------------------------------------------------------------------------------------------------------------
No of % of Group A
Loans Current Balance ($) Current Balance
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
2/28 6 Month Libor 382 46,649,022.21 79.24
3/27 6 Month Libor 65 7,584,631.61 12.88
6 Month Libor 38 4,637,444.07 7.88
- ---------------------------------------------------------------------------------------------------------------------
Total: 485 58,871,097.89 100.00
- ---------------------------------------------------------------------------------------------------------------------
</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>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
Loan Group A Collateral Summary
- ---------------------------------------------------------------------------------------------------------------------
Collateral statistics for the adjustable rate home equity loans in the
Statistic Calculation Pool, as of 11/30/99
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
Margin
- ---------------------------------------------------------------------------------------------------------------------
No of % of Group A
(%) Loans Current Balance ($) Current Balance
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
4.001 - 4.500 5 628,327.71 1.07
4.501 - 5.000 98 11,295,630.50 19.19
5.001 - 5.500 253 30,236,812.70 51.36
5.501 - 6.000 70 10,675,171.50 18.13
6.001 - 6.500 18 1,978,970.93 3.36
6.501 - 7.000 24 2,449,270.57 4.16
7.001 - 7.500 5 414,202.58 0.70
7.501 - 8.000 6 870,963.00 1.48
8.001 - 8.500 1 18,291.07 0.03
8.501 - 9.000 1 78,740.79 0.13
9.001 - 9.500 2 151,952.98 0.26
9.501 - 10.000 1 29,398.50 0.05
10.001 - 10.500 1 43,365.06 0.07
- ---------------------------------------------------------------------------------------------------------------------
Total: 485 58,871,097.89 100.00
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
Next Rate Adjustment Date
- ---------------------------------------------------------------------------------------------------------------------
No of % of Group A
Loans Current Balance ($) Current Balance
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
2000-01 1 31,730.61 0.05
2000-02 4 211,277.00 0.36
2000-04 2 135,280.55 0.23
2000-05 5 496,921.83 0.84
2000-06 19 2,613,033.08 4.44
2000-07 5 966,603.00 1.64
2000-08 2 182,598.00 0.31
2001-09 2 368,718.48 0.63
2001-10 23 2,337,184.02 3.97
2001-11 60 7,027,298.60 11.94
2001-12 189 22,530,272.13 38.27
2002-01 90 11,536,385.99 19.60
2002-02 18 2,849,162.99 4.84
2002-10 1 78,646.02 0.13
2002-11 4 488,037.41 0.83
2002-12 25 3,293,552.00 5.59
2003-01 32 3,431,393.18 5.83
2003-02 3 293,003.00 0.50
- ---------------------------------------------------------------------------------------------------------------------
Total: 485 58,871,097.89 100.00
- ---------------------------------------------------------------------------------------------------------------------
</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>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
Loan Group A Collateral Summary
- ---------------------------------------------------------------------------------------------------------------------
Collateral statistics for the adjustable rate home equity loans in the
Statistic Calculation Pool, as of 11/30/99
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
Lifetime Cap
- ---------------------------------------------------------------------------------------------------------------------
No of % of Group A
(%) Loans Current Balance ($) Current Balance
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
13.501 - 14.000 7 1,022,929.23 1.74
14.001 - 14.500 13 1,437,080.73 2.44
14.501 - 15.000 65 7,969,614.40 13.54
15.001 - 15.500 87 10,403,258.16 17.67
15.501 - 16.000 123 15,526,391.73 26.37
16.001 - 16.500 80 8,706,670.86 14.79
16.501 - 17.000 65 8,934,679.55 15.18
17.001 - 17.500 17 1,965,301.65 3.34
17.501 - 18.000 14 1,488,413.86 2.53
18.001 - 18.500 7 536,504.97 0.91
18.501 - 19.000 5 643,286.75 1.09
19.001 - 19.500 1 137,976.00 0.23
19.501 - 20.000 1 98,990.00 0.17
- ---------------------------------------------------------------------------------------------------------------------
Total: 485 58,871,097.89 100.00
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
First Period Cap
- ---------------------------------------------------------------------------------------------------------------------
No of % of Group A
(%) Loans Current Balance ($) Current Balance
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
1 38 4,637,444.07 7.88
1.5 367 44,723,054.89 75.97
3 80 9,510,598.93 16.15
- ---------------------------------------------------------------------------------------------------------------------
Total: 485 58,871,097.89 100.00
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
Subsequent Period Cap
- ---------------------------------------------------------------------------------------------------------------------
No of % of Group A
(%) Loans Current Balance ($) Current Balance
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
1 485 58,871,097.89 100.00
Total: 485 58,871,097.89 100.00
- ---------------------------------------------------------------------------------------------------------------------
</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>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
Loan Group A Collateral Summary
- ---------------------------------------------------------------------------------------------------------------------
Collateral statistics for the adjustable rate home equity loans in the
Statistic Calculation Pool, as of 11/30/99
- ---------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------
Lifetime Floor
- ---------------------------------------------------------------------------------------------------------------------
No of % of Group A
(%) Loans Current Balance ($) Current Balance
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
6.501 - 7.000 7 1,022,929.23 1.74
7.001 - 7.500 13 1,437,080.73 2.44
7.501 - 8.000 65 7,969,614.40 13.54
8.001 - 8.500 86 10,335,252.49 17.56
8.501 - 9.000 123 15,526,391.73 26.37
9.001 - 9.500 81 8,774,676.53 14.90
9.501 - 10.000 65 8,934,679.55 15.18
10.001 - 10.500 17 1,965,301.65 3.34
10.501 - 11.000 14 1,488,413.86 2.53
11.001 - 11.500 7 536,504.97 0.91
11.501 - 12.000 5 643,286.75 1.09
12.001 - 12.500 1 137,976.00 0.23
12.501 - 13.000 1 98,990.00 0.17
- ---------------------------------------------------------------------------------------------------------------------
Total: 485 58,871,097.89 100.00
- ---------------------------------------------------------------------------------------------------------------------
</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).
