<PAGE> 1
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 8-K
CURRENT REPORT
PURSUANT TO SECTION 13 OR 15(d) OF THE
SECURITIES AND EXCHANGE ACT OF 1934
Date of Report (Date of earliest event reported)
JULY 28, 1999
AAMES CAPITAL CORPORATION
ON BEHALF OF
AAMES MORTGAGE TRUST 1999-1
-----------------------------------------------------------------------------
(Exact name of Registrant as specified in its charter)
<TABLE>
<S> <C> <C>
CALIFORNIA 333-46893-01 95-4438859
- ---------------------------- ------------ -------------------
(State or other jurisdiction (Commission (I.R.S. employer
of incorporation) file number) identification no.)
</TABLE>
<TABLE>
<S> <C>
350 SOUTH GRAND AVENUE, 52ND FLOOR
LOS ANGELES, CALIFORNIA 90071
- ---------------------------------------- ----------
(Address of principal executive offices) (ZIP Code)
</TABLE>
(213) 210-5000
--------------------------------------------------
Registrant's telephone number, including area code
N/A
--------------------------------------
(Former name or former address, if changed since last report)
<PAGE> 2
Item 5. Other Events
Attached as Exhibit 99.1 to this Current Report are certain materials
(the "Computational Materials") furnished to the Registrant by Lehman Brothers
Inc., Greenwich Capital Markets, Inc. and Banc of America Securities LLC
(collectively, the "Underwriters"), in respect to Aames Mortgage Trust 1999-1
Mortgage Pass-Through Certificates, Series 1999-1, Class A-F and Class A-V (the
"Certificates"). The Certificates will be offered pursuant to a Prospectus
Supplement, to be dated on or about July 28, 1999, and a Prospectus to be dated
on or about July 28, 1999 (the Prospectus Supplement and the Prospectus are
collectively referred to herein as the "Prospectus") to be filed with the
Commission pursuant to Rule 424(b)(2) under the Securities Act of 1933, as
amended (the "Act"). The Certificates have been registered pursuant to the Act
under a Registration Statement on Form S-3 (Commission File No. 333-46893-01)
(the "Registration Statement"). Capitalized terms used but not otherwise defined
herein shall have the meanings ascribed to such terms in the Prospectus.
The Computational Materials were prepared solely by the Underwriters,
and the Registrant did not prepare or participate (other than providing to the
Underwriters the background information concerning the underlying pool of assets
upon which the Computational Materials are based) in the preparation of the
Computational Materials.
Any statements or information contained in these Computational
Materials shall be deemed to be modified or superseded for the purposes of the
Prospectus and the Registration Statement by statements or information contained
in the Prospectus.
Item 7. Financial Statements: Pro Forma Financial Information and
Exhibits.
(a) Not applicable.
(b) Not applicable.
(c) Exhibits:
99.1 Computational Materials of the Underwriters
99.2 Banc of America Securities LLC Legend on
Computational Materials and Greenwich Capital
Markets, Inc. Legend on Computational Materials
-2-
<PAGE> 3
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.
AAMES CAPITAL CORPORATION
By: /s/ David A. Sklar
------------------------------
David A. Sklar
Executive Vice President and
Chief Financial Officer
Dated: July 30, 1999
-3-
<PAGE> 4
EXHIBIT INDEX
<TABLE>
<CAPTION>
Exhibit No. Description of Exhibit
- ----------- ----------------------
<S> <C>
99.1 Computational Materials of the Underwriters*
99.2 Banc of America Securities LLC Legend on Computational Materials
and Greenwich Capital Markets, Inc. Legend on Computational
Materials
</TABLE>
- ----------
*Filed under cover of Form SE
-4-
<PAGE> 1
LEHMAN BROTHERS ASSET-BACKED SECURITIES
EXHIBIT 99.1
- --------------------------------------------------------------------------------
AAMES
- --------------------------------------------------------------------------------
$393,270,000
AAMES MORTGAGE TRUST 1999-1
MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1999-1
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
AAMES CAPITAL CORPORATION
(SPONSOR AND SERVICER)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE> 2
2
LEHMAN BROTHERS ASSET-BACKED SECURITIES
- --------------------------------------------------------------------------------
Aames Mortgage Trust 1999-1
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
TO MATURITY
- ----------------------------------------------------------------------------------------------------------------------------
Est. Expected Expected
Approx. Tsy. WAL Est.Prin. Final Ratings
Class Size Group Type BMark (yrs) Window Maturity (S&P/Moody's)
- ----- ----------- ----- ---- ----- ---- ----------- -------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
A-F 191,235,000 I FXD Curve 3.68 8/99 - 8/18 8/15/18 AAA/Aaa
A-V 202,035,000 II FLT 1 m LI 2.83 8/99 - 10/15 10/15/15 AAA/Aaa
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
TO 10% CALL
- ----------------------------------------------------------------------------------------------------------------------------
Est. Est. Expected Expected
Approx. Tsy. WAL Prin. Final Ratings
Class Size Group Type Bmark (yrs) Window Maturity (S&P/Moody's)
- ----- ----------- ----- ---- ----- ---- ----------- --------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
A-F 191,235,000 I FXD Curve 3.32 8/99 - 8/07 8/15/07 AAA/Aaa
A-V 202,035,000 II FLT 1 m LI 2.66 8/99 - 8/07 8/15/07 AAA/Aaa
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
Pricing Speed
- --------------------------------------------------------------------------------
<S> <C>
Group I 110% PPC (100% PPC assumes that prepayments start at 4% CPR in
(Fixed Rate HELs) month one, increase by approximately 1.45% each month to 20%
CPR in month twelve, and remain at 20% CPR thereafter.)
Group II 27% CPR
(ARMs)
</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> 3
3
LEHMAN BROTHERS ASSET-BACKED SECURITIES
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
Sensitivity Analysis - To Maturity
- -------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Group I PPC 0.0% 75.0% 110.0% 150.0% 200.0% 250.0%
Group II CRP 0.0% 18.0% 27.0% 37.0% 49.0% 61.0%
CLASS A-F
Yield @ 99.98939 7.371 7.328 7.306 7.278 7.241 7.199
Average Life (yrs.) 17.65 5.22 3.68 2.70 1.98 1.52
Window 8/99 - 4/29 8/99 - 11/24 8/99 - 8/18 8/99 - 7/13 8/99 - 10/09 8/99 - 4/07
Expected Final Mat. 4/15/29 11/15/24 8/15/18 7/15/13 10/15/09 4/15/07
Duration (yrs.) 8.76 3.71 2.84 2.21 1.69 1.34
CLASS A-V
Average Life (yrs.) 20.56 4.38 2.83 1.94 1.33 0.93
Window 8/99 - 6/29 8/99 - 1/23 8/99 - 10/15 8/99 - 11/10 8/99 - 5/07 8/99 - 3/05
Expected Final Mat. 6/15/29 1/15/23 10/15/15 11/15/10 5/15/07 3/15/05
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------
Sensitivity Analysis - To 10% Call
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Group I PPC 0.0% 75.0% 110.0% 150.0% 200.0% 250.0%
Group II CRP 0.0% 18.0% 27.0% 37.0% 49.0% 61.0%
CLASS A-F
Yield @ 99.98939 7.371 7.325 7.300 7.269 7.226 7.179
Average Life (yrs.) 17.61 4.78 3.32 2.42 1.77 1.36
Window 8/99 - 3/28 8/99 - 5/11 8/99 - 8/07 8/99 - 4/05 8/99 - 8/03 8/99 - 8/02
Expected Final Mat. 3/15/28 5/15/11 8/15/07 4/15/05 8/15/03 8/15/02
Duration (yrs.) 8.75 3.57 2.68 2.05 1.55 1.22
CLASS A-V
Average Life (yrs.) 20.50 4.09 2.66 1.83 1.26 0.89
Window 8/99 - 3/28 8/99 - 5/11 8/99 - 8/07 8/99 - 4/05 8/99 - 8/03 8/99 - 8/02
Expected Final Mat. 3/15/28 5/15/11 8/15/07 4/15/05 8/15/03 8/15/02
</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> 4
4
LEHMAN BROTHERS ASSET-BACKED SECURITIES
- --------------------------------------------------------------------------------
Available Funds Cap
- --------------------------------------------------------------------------------
The following table lists the monthly available funds cap for the Class A-V
Certificates assuming 6 month LIBOR remains constant at 5.64%.
<TABLE>
<CAPTION>
AVAILABLE AVAILABLE
MONTH FUNDS CAP (%) MONTH FUNDS CAP (%)
<S> <C> <C> <C>
1 9.543* 31 11.548
2 9.299 32 12.797
3 9.645 33 11.530
4 9.460 34 11.861
5 9.815 35 11.428
6 9.591 36 11.775
7 9.670 37 11.381
8 10.384 38 11.381
9 9.764 39 11.760
10 10.218 40 11.381
11 9.942 41 11.760
12 10.383 42 11.381
13 9.656 43 11.381
14 9.716 44 12.600
15 10.105 45 11.381
16 9.846 46 11.760
17 10.245 47 11.381
18 10.169 48 11.760
19 10.198 49 11.381
20 11.323 50 11.381
21 10.486 51 11.760
22 10.869 52 11.381
23 10.709 53 11.760
24 11.301 54 11.381
25 11.294 55 11.381
26 11.333 56 12.166
27 11.752 57 11.381
28 11.414 58 11.760
29 11.839 59 11.381
30 11.502 60 11.760
</TABLE>
* For month one the interest has been calculated based on a 30 day
interest period in order to normalize the Available Funds Cap.
- --------------------------------------------------------------------------------
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> 5
5
LEHMAN BROTHERS ASSET-BACKED SECURITIES
- --------------------------------------------------------------------------------
Summary of Terms
- --------------------------------------------------------------------------------
Issuer: Aames Mortgage Trust 1999-1
Sponsor and Servicer: Aames Capital Corporation
Trustee: Bankers Trust Company of California, N.A.
Certificates Offered: $191,235,000 Class A-F Certificates
$202,035,000 Class A-V Certificates
Rating Agencies: Moody's and S&P
Credit Enhancer: Financial Security Assurance Inc. ("FSA")
The Back-Up Servicer: Fairbanks Capital Corp.
Underwriters: Lehman Brothers (lead), B of A Securities
(Co), Greenwich Capital (Co)
Expected Pricing Date: Week of July 26, 1999
Expected Settlement Date: August 5, 1999
Distribution Dates: 15th of each month, or the next succeeding
Business Day (First Distribution Date:
August 16, 1999)
Cut-off Date: July 1, 1999
Delay Days: 14 days on the Class A-F Certificates, 0
days on the Class A-V Certificates
Final Scheduled Distribution Date: The Distribution Date in July, 2029.
Day Count: 30/360 on the Class A-F Certificates and
actual/360 on the Class A-V Certificates.
Optional Termination: The holder of the Class R Certificates will
have the option to repurchase the remaining
mortgage loans from the Trust when the
combined principal balance of the Group I
and Group II Mortgage Loans reaches 10% of
the initial principal balance of such loans
plus the Prefunding Account deposit.
Step-up Margin: If the Optional Termination is not
exercised, the margin on the Class A-V
Certificates will increase to twice the
applicable initial margin.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE> 6
6
LEHMAN BROTHERS ASSET-BACKED SECURITIES
- --------------------------------------------------------------------------------
Summary of Terms (continued)
- --------------------------------------------------------------------------------
Monthly Servicing Fee: One-twelfth of the product of 0.50% per
annum for each Collection Period and the
outstanding principal balance of the
Mortgage Loans at the beginning of such
Collection Period; paid from available funds
prior to principal and interest
distributions to Certificateholders.
Back-up Servicer Fee: The Back-up Servicer will be entitled to a
Back-up Serving Fee equal to 0.025% per
annum of the Mortgage Loan balance.
Clearing: DTC, Euroclear or Cedel Bank
Denomination: Minimum $1,000; increments of $1
SMMEA Eligibility: The Certificates are NOT expected to be
SMMEA eligible.
ERISA Eligibility: The Certificates are expected to be ERISA
eligible.
Tax Status: REMIC for Federal income tax purposes.
Class A-F Certificate Interest: - Interest accrues during the month prior
to the related Distribution Date on a
30/360 basis at the respective fixed
pass-through rate.
- The Class A-F Pass-Through Rate will be
equal to the lesser of (a) the Class
A-F Certificate Rate established at
pricing and (b) the Group I Available
Funds Cap.
- Interest will be paid monthly on each
Distribution Date.
- Any interest due but unpaid from a
prior Distribution Date will increase
the interest payment due on the next
Distribution Date, plus accrued
interest at the applicable Pass-Through
Rate.
- The Fixed Rate Group Available Funds
Cap will be equal to a per annum rate
obtained by (I) dividing (x) accrued
interest on the Mortgage Loans in the
Fixed Rate Group for the related
Interest Period, reduced by (i) the
Monthly Servicing Fee and Back-Up
Servicing Fee for the related Mortgage
Loans, and (ii) the Certificate Insurer
Premium attributable to the Fixed Rate
Group, by (y) the product of (i) the
Fixed Rate Group Balance as of the
first day of such Interest Period and
(ii) 1/12 and (II) multiplying the
result by 100.
- Interest entitlement will be reduced by
the pro rata share of interest
shortfalls due to the application of
the Soldiers' and Sailors' Civil Relief
Act of 1940 and, prepayment interest
shortfalls to the extent they are not
covered by the Servicing Fee or the
FSA's Policy.
- The Class A-F Certificateholders will
not be entitled to Supplemental
Interest payments to the extent the
Class A-F Pass-Through Rate is subject
to the Fixed Rate Group Available Funds
Cap.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE> 7
7
LEHMAN BROTHERS ASSET-BACKED SECURITIES
- --------------------------------------------------------------------------------
Summary of Terms (continued)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
Class A-V Certificate Interest: - Interest will accrue from the prior
Distribution Date to the day preceding
the current Distribution Date on an
Actual/360 basis at the Class A-V
Pass-Through Rate.
- The Class A-V Pass-Through Rate will be
equal to the lesser of (a) 1 month
LIBOR + the applicable margin, (b) 14%
and (c) the Adjustable Rate Group
Available Funds Cap (the lesser of (a)
and (b), the "Formula Rate").
- The Adjustable Rate Group Available
Funds Cap will be equal to a per annum
rate obtained by (I) dividing (x)
accrued interest on the Mortgage Loans
in the Adjustable Rate Group for the
related Interest Period, reduced by (i)
the Monthly Servicing Fee and Back-Up
Servicing Fee for the related Mortgage
Loans, (ii) the Certificate Insurer
Premium attributable to the Adjustable
Rate Group, and (iii) on and after the
Distribution Date occurring in August
2000, one-twelfth of 0.50% of the
Adjustable Rate Group Balance as of the
first day of the related Collection
Period by (y) the product of (i) the
Adjustable Rate Group Balance as of the
first day of such Interest Period, (ii)
the actual number of days elapsed
during such Interest Period divided by
360 and (II) multiplying the result by
100.
- Interest will be paid monthly on each
Distribution Date.
- Any interest due but unpaid from a
prior Distribution Date will increase
the interest payment due on the next
Distribution Date, plus accrued
interest at the applicable Pass-Through
Rate.
- Interest entitlement will be reduced by
a pro rata share of interest shortfalls
due to application of the Soldiers' and
Sailors' Civil Relief Act of 1940 and,
prepayment interest shortfalls to the
extent they are not covered by the
Servicing Fee or the FSA's Policy.
Class A-V Supplemental Interest: If the Class A-V Pass-Through Rate is
subject to the Adjustable Rate Group
Available Funds Cap, any interest which
would have accrued at the Formula Rate (but
in no case greater than 14%), but is unpaid
due to the Adjustable Rate Group Available
Funds Cap, will be payable on the next
Distribution Date, together with accrued
interest at the then current Class A-V
Pass-Through Rate to the extent of Available
Funds therefor. (Such amount is referred to
as "Supplemental Interest".)
Certificate Principal: Class A-F Certificates will be paid down
with principal collected on the Fixed Rate
loans.
Class A-V Certificates will be paid down
with principal collected on the Adjustable
Rate loans.
Prefunding Account: On the closing date, the sponsor will
deposit $40,030,850.90 into a segregated
prefunding account maintained with the
trustee. The Trust will use this amount to
buy additional Adjustable Rate Mortgage
Loans from the Sponsor after the closing
date and prior to September 1999. The Seller
must satisfy conditions specified in the
pooling and servicing agreement before it
can sell Subsequent Mortgage Loans to the
Trust.
</TABLE>
- -------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE> 8
8
LEHMAN BROTHERS ASSET-BACKED SECURITIES
- --------------------------------------------------------------------------------
Summary of Terms (continued)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
Capitalized Interest Account: On the Closing Date, the Sponsor will
deposit cash in a segregated account, which
will be part of the Trust and will be
maintained with the Trustee.
The amount on deposit in the Capitalized
Interest Account will be specifically
allocated to cover shortfalls in interest on
Group A-V Certificates that may arise as a
result of the utilization of the Prefunding
Account for the purchase by the Trust of
Subsequent Mortgage Loans after the Cut-off
Date.
Any amounts remaining in the Capitalized
Interest Account and not needed to cover
interest shortfalls will be paid to the
Sponsor and will not be available for
distribution to the Certificateholders.
Monthly Advances and Each month the Servicer will determine the
Compensating Interest: amount of any unpaid interest due on the
Mortgage Loans. If the Servicer believes
that unpaid interest can be recovered from
the related Mortgage Loan, then the Servicer
will either:
- advance the unpaid interest to the
Trust out of its own funds; or
- advance the unpaid interest to the
Trust out of collections on the
Mortgage loans that are not required to
be distributed on the related
Distribution Date.
The Servicer is required to reimburse the
Trust for amounts advanced from trust
collections prior to the Determination Date
related to the Collection Period in which
such funds were due.
The servicer will provide to the Trust the
amount of any shortfall in the anticipated
collection of interest on a Mortgage Loan
that is caused by a full or partial
prepayment of any Mortgage Loan generally up
to the amount of the Servicer's Monthly
Servicing Fee without any right of
reimbursement.
Servicer Advances: Unless the servicer determines that any
proposed advance is not recoverable from the
related Mortgage Loan, the Servicer will be
required to pay all reasonable and customary
"out-of-pocket" costs and expenses incurred
in the performance of its servicing
obligations, including, but not limited to:
- expenditures in connection with a
foreclosed mortgage loan prior to the
liquidation of the loan;
- the cost of any enforcement of judicial
proceedings, including foreclosures;
and
- the cost of the management and
liquidation of property acquired in
satisfaction of the related Mortgage
Loan.
The Servicer shall be entitled to be
reimbursed by the Trust for Servicing
Advances only from the related mortgage loan
in respect of which the Servicing Advance
was made.
</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> 9
9
LEHMAN BROTHERS ASSET-BACKED SECURITIES
- --------------------------------------------------------------------------------
Summary of Terms (continued)
- --------------------------------------------------------------------------------
Credit Enhancement: - 100% FSA Insurance Policy
- Excess Interest at the Cut-off date
equal to 1.86% in the case of Fixed
Rate Mortgage Loans and 3.85% in the
case of Adjustable Rate Mortgage Loans.
- Overcollateralization: The required
amount of overcollateralization for
Fixed Rate and Adjustable Rate is based
on certain minimum and maximum levels
of overcollateralization and on the
performance of the Mortgage Loans, for
each respective Loan Group.
<TABLE>
<CAPTION>
Fixed Rate: Adjustable Rate*:
<S> <C> <C>
Initial: 2.75% Initial: 0.65%
Target: 5.50% Target: 5.65%
Floor: 0.50% Floor: 0.50%
</TABLE>
- Cross-collateralization: Excess
interest from one loan group will be
available to fund interest shortfalls,
cover losses and build
overcollateralization in the other Loan
Group.
Mortgage Loan Pool: - Pool Principal Balances are as of the
Cut-off Date.
- 4,813 loans with an Aggregate Cut-off
Date Pool Principal Balance of
$359,969,149.10.
- Consists of two groups:
Group I consists of $196,642,698.33 of
fixed mortgage loans secured by first
and second lien, level pay and balloon
mortgages on primarily 1 - 4 family
properties.
Group II consists of $163,326,450.77 of
initial adjustable rate mortgage loans
secured by first liens, level pay, on
primarily 1 - 4 family properties. An
additional $40,030,850.90 in subsequent
mortgage loans will be added to the
trust through prefunding.
*THE OVERCOLLATERALIZATION INITIAL DEPOSITS AND TARGETS ARE SUBJECT TO FINAL
PRICING LEVELS AND RATING AGENCY APPROVAL.
- --------------------------------------------------------------------------------
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> 10
10
LEHMAN BROTHERS ASSET-BACKED SECURITIES
- --------------------------------------------------------------------------------
Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the Fixed Rate Mortgage Loans are listed below as of
the Cut-Off Date.
<TABLE>
<S> <C> <C> <C>
TOTAL NUMBER OF LOANS 3,012
TOTAL OUTSTANDING LOAN BALANCE $196,642,698.33
BALLOON (% OF TOTAL) 0.36%
AVERAGE LOAN PRINCIPAL BALANCE $65,286.42 $9,198.76 - $1,118,047.01
WA COUPON 9.91% 6.50% - 16.62%
WA ORIGINAL TERM (MO.) 320 60 - 360
WA REMAINING TERM (MO.) 317 52 - 360
WA CLTV 73.37% 9.00% - 98.90%
LIEN POSITION (FIRST/SECOND) 95.90% / 4.10%
PROPERTY TYPE
SINGLE FAMILY RESIDENCE 89.98%
TWO-TO-FOUR FAMILY 5.32%
CONDOMINIUMS 4.16%
MANUFACTURED HOUSING 0.54%
OCCUPANCY STATUS
PRIMARY 94.04%
INVESTMENT 5.96%
GEOGRAPHIC DISTRIBUTION
other states account individually for less than California 20.78%
5% of pool balance Florida 10.04%
Texas 8.07%
New York 5.64%
Hawaii 5.14%
</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> 11
11
LEHMAN BROTHERS ASSET-BACKED SECURITIES
- --------------------------------------------------------------------------------
Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the Fixed Rate Mortgage Loans are listed below as of
the Cut-Off Date.
<TABLE>
<CAPTION>
CUT-OFF DATE PRINCIPAL BALANCES
- -----------------------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE CURRENT % OF CUT-OFF DATE POOL
($) LOANS BALANCE ($) PRINCIPAL BALANCE
- ---------------------- -------- -------------------- ----------------------
<S> <C> <C> <C>
0.01 - 25,000.00 470 8,977,278.40 4.57
25,000.01 - 50,000.00 1,032 38,976,464.67 19.82
50,000.01 - 75,000.00 687 42,168,830.33 21.44
75,000.01 - 100,000.00 356 30,918,347.44 15.72
100,000.01 - 150,000.00 287 34,823,335.02 17.71
150,000.01 - 200,000.00 96 16,218,222.74 8.25
200,000.01 - 250,000.00 40 8,900,366.64 4.53
250,000.01 - 300,000.00 19 5,048,515.00 2.57
300,000.01 - 350,000.00 12 4,018,389.70 2.04
350,000.01 - 400,000.00 6 2,211,875.94 1.12
400,000.01 - 500,000.00 4 1,777,435.81 0.90
700,000.01 - 800,000.00 2 1,485,589.63 0.76
1,000,000.01 >= 1 1,118,047.01 0.57
----- -------------- ------
TOTAL: 3,012 196,642,698.33 100.00
===== ============== ======
</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> 12
12
LEHMAN BROTHERS ASSET-BACKED SECURITIES
- --------------------------------------------------------------------------------
Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the Fixed Rate Mortgage Loans are listed below as of
the Cut-Off Date.
<TABLE>
<CAPTION>
LOAN RATES
- ---------------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE POOL
(%) LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- --------------- -------- --------------------- -----------------------
<S> <C> <C> <C>
6.001 - 6.500 1 238,727.39 0.12
6.501 - 7.000 13 5,252,798.90 2.67
7.001 - 7.500 59 5,920,800.19 3.01
7.501 - 8.000 174 15,988,716.47 8.13
8.001 - 8.500 196 16,477,621.97 8.38
8.501 - 9.000 334 26,241,194.55 13.34
9.001 - 9.500 256 19,498,876.88 9.92
9.501 - 10.000 356 25,045,141.58 12.74
10.001 - 10.500 316 19,008,779.77 9.67
10.501 - 11.000 308 18,312,064.94 9.31
11.001 - 11.500 258 14,060,720.43 7.15
11.501 - 12.000 234 11,023,590.54 5.61
12.001 - 12.500 132 5,360,465.73 2.73
12.501 - 13.000 99 3,579,823.29 1.82
13.001 - 13.500 67 2,336,934.33 1.19
13.501 - 14.000 83 3,263,969.11 1.66
14.001 - 14.500 52 2,084,775.59 1.06
14.501 - 15.000 44 1,838,377.38 0.93
15.001 - 15.500 23 804,234.83 0.41
15.501 - 16.000 3 125,484.38 0.06
16.001 - 16.500 3 147,773.08 0.08
16.501 - 17.000 1 31,827.00 0.02
----- -------------- ------
TOTAL: 3,012 196,642,698.33 100.00
===== ============== ======
</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> 13
13
LEHMAN BROTHERS ASSET-BACKED SECURITIES
- --------------------------------------------------------------------------------
Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the Fixed Rate Mortgage Loans are listed below as of
the Cut-Off Date.
<TABLE>
<CAPTION>
ORIGINAL TERM TO STATED MATURITY
- ----------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE POOL
(MONTHS) LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- --------- -------- --------------------- ----------------------
<S> <C> <C> <C>
49 - 60 15 308,845.68 0.16
61 - 72 2 35,590.55 0.02
73 - 84 5 91,901.26 0.05
85 - 96 4 74,379.87 0.04
109 - 120 71 2,670,041.24 1.36
133 - 144 5 278,877.74 0.14
145 - 156 1 28,259.62 0.01
169 - 180 873 37,071,449.61 18.85
181 - 192 1 23,962.49 0.01
205 - 216 2 139,206.76 0.07
229 - 240 69 3,047,297.48 1.55
265 - 276 1 44,851.38 0.02
289 - 300 5 345,124.11 0.18
349 - 360 1,958 152,482,910.54 77.54
----- -------------- ------
TOTAL: 3,012 196,642,698.33 100.00
===== ============== ======
</TABLE>
<TABLE>
<CAPTION>
REMAINING TERM TO STATED MATURITY
- ----------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE POOL
(MONTHS) LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- --------- -------- --------------------- ----------------------
<S> <C> <C> <C>
49 - 60 16 318,044.44 0.16
61 - 72 2 35,590.55 0.02
73 - 84 5 91,901.26 0.05
85 - 96 4 74,379.87 0.04
109 - 120 71 2,670,041.24 1.36
133 - 144 5 278,877.74 0.14
145 - 156 1 28,259.62 0.01
157 - 168 2 99,436.31 0.05
169 - 180 871 36,986,777.03 18.81
205 - 216 2 139,206.76 0.07
229 - 240 69 3,047,297.48 1.55
265 - 276 1 44,851.38 0.02
277 - 288 1 15,924.07 0.01
289 - 300 4 329,200.04 0.17
325 - 336 1 73,273.47 0.04
337 - 348 5 468,175.44 0.24
349 - 360 1,952 151,941,461.63 77.27
----- -------------- ------
TOTAL: 3,012 196,642,698.33 100.00
===== ============== ======
</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> 14
14
LEHMAN BROTHERS ASSET-BACKED SECURITIES
- --------------------------------------------------------------------------------
Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the Fixed Rate Mortgage Loans are listed below as of
the Cut-Off Date.
<TABLE>
<CAPTION>
COMBINED LOAN-TO-VALUE RATIO
- ---------------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE POOL
(%) LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- -------------- -------- --------------------- -----------------------
<S> <C> <C> <C>
5.01 - 10.00 2 54,479.34 0.03
10.01 - 15.00 6 98,318.19 0.05
15.01 - 20.00 16 349,442.91 0.18
20.01 - 25.00 20 1,701,709.99 0.87
25.01 - 30.00 34 1,492,164.05 0.76
30.01 - 35.00 40 1,760,671.27 0.90
35.01 - 40.00 43 1,837,187.44 0.93
40.01 - 45.00 65 2,944,488.88 1.50
45.01 - 50.00 102 4,949,971.60 2.52
50.01 - 55.00 91 3,878,320.17 1.97
55.01 - 60.00 175 9,065,957.78 4.61
60.01 - 65.00 398 18,656,294.86 9.49
65.01 - 70.00 348 22,217,468.77 11.30
70.01 - 75.00 515 32,924,086.35 16.74
75.01 - 80.00 579 45,983,971.90 23.38
80.01 - 85.00 225 19,502,060.19 9.92
85.01 - 90.00 311 25,543,614.00 12.99
90.01 - 95.00 32 2,689,504.95 1.37
95.01 - 100.00 10 992,985.69 0.50
TOTAL: 3,012 196,642,698.33 100
===== ============== ===
</TABLE>
<TABLE>
<CAPTION>
OCCUPANCY TYPE
- ---------------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE POOL
(%) LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- -------------- -------- --------------------- -----------------------
<S> <C> <C> <C>
Primary 2758 184,919,671.50 94.04
Investment 254 11,723,026.83 5.96
TOTAL: 3,012 196,642,698.33 100.00
</TABLE>
<TABLE>
<CAPTION>
ORIGINAL TERM (BALLOON)
- -------------------------------------------------------------------------------------------------------------
CUT-OFF DATE % OF CUT-OFF DATE POOL
NO. OF LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
------------ --------------------- ----------------------
<S> <C> <C> <C>
73 - 84 1 22,853.82 3.24
169 - 180 8 658,551.36 93.36
181 - 192 1 23,962.49 3.40
-- ---------- ------
TOTAL: 10 705,367.67 100.00
== ========== ======
</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> 15
15
LEHMAN BROTHERS ASSET-BACKED SECURITIES
- --------------------------------------------------------------------------------
Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the Fixed Rate Mortgage Loans are listed below as of
the Cut-Off Date.
<TABLE>
<CAPTION>
PROPERTY TYPE
- ---------------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
-------- --------------------- -----------------------
<S> <C> <C> <C>
Single Family Residence 2,751 176,935,597.86 89.98
2-4 Family 129 10,458,635.05 5.32
Condominium 111 8,180,266.98 4.16
Manufactured Housing 21 1,068,198.44 0.54
TOTAL: 3,012 196,642,698.33 100.00
===== ============== ======
</TABLE>
<TABLE>
<CAPTION>
STATES
- ---------------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
-------- --------------------- -----------------------
<S> <C> <C> <C>
AK 1 126,917.65 0.06
AR 1 35,961.16 0.02
AZ 68 4,482,386.33 2.28
CA 362 40,861,884.05 20.78
CO 37 2,313,256.96 1.18
CT 20 1,318,440.56 0.67
DC 6 665,825.55 0.34
DE 4 173,584.79 0.09
FL 321 19,751,282.07 10.04
GA 63 4,481,370.66 2.28
HI 61 10,117,215.26 5.14
IA 77 4,373,437.26 2.22
ID 12 689,537.84 0.35
IL 113 5,536,658.75 2.82
IN 88 4,373,736.85 2.22
KS 15 798,338.68 0.41
KY 24 1,158,180.56 0.59
LA 74 3,223,593.70 1.64
MA 40 2,966,113.78 1.51
MD 20 938,609.12 0.48
MI 224 9,522,183.21 4.84
MN 44 2,866,233.01 1.46
MO 111 4,911,897.87 2.50
MS 13 749,676.33 0.38
MT 23 2,121,314.16 1.08
NC 56 3,105,591.57 1.58
NE 20 913,828.25 0.46
NJ 56 3,991,237.00 2.03
NM 12 921,497.07 0.47
</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> 16
16
LEHMAN BROTHERS ASSET-BACKED SECURITIES
- --------------------------------------------------------------------------------
Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the Fixed Rate Mortgage Loans are listed below as of
the Cut-Off Date.
<TABLE>
<CAPTION>
STATES (CONTINUED)
- ----------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
-------- --------------------- -----------------------
<S> <C> <C> <C>
NV 50 3,505,766.44 1.78
NY 162 11,096,681.51 5.64
OH 117 5,408,793.36 2.75
OK 56 2,327,473.06 1.18
OR 20 1,525,084.44 0.78
PA 126 5,169,096.85 2.63
RI 11 643,271.38 0.33
SC 37 1,751,172.43 0.89
TN 72 4,313,855.83 2.19
TX 278 15,865,505.80 8.07
UT 25 1,924,452.44 0.98
VA 35 2,402,515.00 1.22
WA 34 2,082,181.77 1.06
WI 22 1,098,807.97 0.56
WV 1 38,250.00 0.02
----- -------------- ------
TOTAL: 3,012 196,642,698.33 100.00
===== ============== ======
</TABLE>
<TABLE>
<CAPTION>
ORIGINATORS
- --------------------------------------------------------------------------------------------------------------------------
NO. OF CUT-OFF DATE % OF CUT-OFF DATE POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
-------- --------------------- -----------------------
<S> <C> <C> <C>
Affiliated: Broker Network 1,138 83,184,821.58 42.30
Affiliated: Retail 1,838 110,486,701.74 56.19
Unaffiliated 36 2,971,175.01 1.51
----- -------------- ------
TOTAL: 3,012 196,642,698.33 100.00
===== ============== ======
</TABLE>
<TABLE>
<CAPTION>
PRIORITY OF LIEN
- --------------------------------------------------------------------------------------------------------------------------
NO. OF CUT-OFF DATE % OF CUT-OFF DATE POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
-------- --------------------- -----------------------
<S> <C> <C> <C>
First Lien 2,732 188,587,384.11 95.90
Second Lien 280 8,055,314.22 4.10
----- -------------- ------
TOTAL: 3,012 196,642,698.33 100.00
===== ============== ======
</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> 17
17
LEHMAN BROTHERS ASSET-BACKED SECURITIES
- --------------------------------------------------------------------------------
Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the Fixed Rate Mortgage Loans are listed below as of
the Cut-Off Date.
<TABLE>
<CAPTION>
AMORTIZATION METHOD
- --------------------------------------------------------------------------------------------------------------------------
NO. OF CUT-OFF DATE % OF CUT-OFF DATE POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
-------- --------------------- -----------------------
<S> <C> <C> <C>
Fully Amortizing 3,002 195,937,330.66 99.64
Partially Amortizing/Balloon 10 705,367.67 0.36
----- -------------- ------
TOTAL: 3,012 196,642,698.33 100.00
===== ============== ======
</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> 18
18
LEHMAN BROTHERS ASSET-BACKED SECURITIES
- --------------------------------------------------------------------------------
Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the Adjustable Rate Mortgage Loans are listed below as
of the Cut-Off Date.
<TABLE>
<S> <C> <C> <C>
TOTAL NUMBER OF LOANS 1,801
TOTAL OUTSTANDING LOAN BALANCE $163,326,450.77
BALLOON (% OF TOTAL) 0.00%
AVERAGE LOAN PRINCIPAL BALANCE $ 90,686.54 $13,433.06 - $499,122.93
WA COUPON 10.23% 5.75% - 15.52%
WA ORIGINAL TERM (MO.) 358 180 - 360
WA REMAINING TERM (MO.) 355 168 - 360
WA CLTV 76.04% 18.00% - 95.00%
LIEN POSITION (FIRST/SECOND) 100.00% / 0.00%
ARM CHARACTERISTICS
MARGIN
PERIODIC RATE CAP 1.37% 1.00% - 1.50%
MAXIMUM RATE 17.01% 11.75% - 22.52%
MINIMUM RATE 10.20% 5.05% - 15.52%
INDEX 6 Month LIBOR
PRODUCT TYPE
2/28 ARM 84.31%
6 MONTH LIBOR ARM 15.64%
5/25 ARM 0.06%
PROPERTY TYPE
SINGLE FAMILY RESIDENCE 88.11%
TWO-TO-FOUR FAMILY 5.90%
CONDOMINIUM 4.79%
MANUFACTURED HOUSING 1.21%
OCCUPANCY STATUS
PRIMARY 94.04%
INVESTMENT 5.96%
GEOGRAPHIC DISTRIBUTION
other states account individually for less than California 17.20%
5% of pool balance Florida 9.67%
Ohio 6.04%
Texas 5.11%
</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> 19
19
LEHMAN BROTHERS ASSET-BACKED SECURITIES
- --------------------------------------------------------------------------------
Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the Adjustable Rate Mortgage Loans are listed below as
of the Cut-Off Date.
<TABLE>
<CAPTION>
CUT-OFF DATE PRINCIPAL BALANCES
- --------------------------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE POOL
($) LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ----------------------- -------- --------------------- -----------------------
<S> <C> <C> <C>
0.01 - 25,000.00 96 2,077,703.80 1.27
25,000.01 - 50,000.00 411 15,950,147.15 9.77
50,000.01 - 75,000.00 430 26,525,199.91 16.24
75,000.01 - 100,000.00 302 26,377,914.56 16.15
100,000.01 - 150,000.00 312 37,974,202.43 23.25
150,000.01 - 200,000.00 124 21,510,714.07 13.17
200,000.01 - 250,000.00 62 13,637,673.20 8.35
250,000.01 - 300,000.00 37 10,036,857.26 6.15
300,000.01 - 350,000.00 23 7,499,246.19 4.59
350,000.01 - 400,000.00 2 749,240.96 0.46
400,000.01 - 500,000.00 2 987,551.24 0.60
TOTAL: 1,801 163,326,450.77 100.00
===== ============== ======
</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> 20
20
LEHMAN BROTHERS ASSET-BACKED SECURITIES
- --------------------------------------------------------------------------------
Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the Adjustable Rate Mortgage Loans are listed below as
of the Cut-Off Date.
<TABLE>
<CAPTION>
LOAN RATES
- --------------------------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE POOL
(%) LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ----------------------- -------- --------------------- -----------------------
<S> <C> <C> <C>
5.501 - 6.000 1 45,000.00 0.03
6.001 - 6.500 5 621,342.30 0.38
6.501 - 7.000 14 1,817,763.16 1.11
7.001 - 7.500 16 2,379,723.87 1.46
7.501 - 8.000 47 6,304,724.20 3.86
8.001 - 8.500 70 9,026,169.26 5.53
8.501 - 9.000 156 19,113,577.90 11.70
9.001 - 9.500 188 20,027,096.02 12.26
9.501 - 10.000 280 26,898,243.87 16.47
10.001 - 10.500 210 18,624,829.66 11.40
10.501 - 11.000 201 17,335,499.91 10.61
11.001 - 11.500 139 9,928,786.92 6.08
11.501 - 12.000 84 6,275,958.65 3.84
12.001 - 12.500 64 4,632,349.66 2.84
12.501 - 13.000 94 5,545,731.96 3.40
13.001 - 13.500 86 5,807,057.43 3.56
13.501 - 14.000 76 4,992,676.24 3.06
14.001 - 14.500 40 2,053,558.51 1.26
14.501 - 15.000 20 1,496,371.93 0.92
15.001 - 15.500 9 302,527.21 0.19
15.501 - 16.000 1 97,462.11 0.06
TOTAL: 1,801 163,326,450.77 100.00
===== ============== ======
</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> 21
21
LEHMAN BROTHERS ASSET-BACKED SECURITIES
- --------------------------------------------------------------------------------
Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the Adjustable Rate Mortgage Loans are listed below as
of the Cut-Off Date.
<TABLE>
<CAPTION>
REMAINING TERM TO STATED MATURITY
- ------------------------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE POOL
(MONTHS) LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- --------- -------- --------------------- -----------------------
<S> <C> <C> <C>
157 - 168 1 24,726.43 0.02
169 - 180 29 2,026,046.45 1.24
337 - 348 4 327,215.56 0.20
349 - 360 1,767 160,948,462.33 98.54
TOTAL: 1,801 163,326,450.77 100.00
===== ============== ======
</TABLE>
<TABLE>
<CAPTION>
COMBINED LOAN-TO-VALUE RATIO
- --------------------------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE POOL
(%) LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ------------- -------- --------------------- -----------------------
<S> <C> <C> <C>
15.01 - 20.00 1 36,982.03 0.02
20.01 - 25.00 2 82,483.53 0.05
25.01 - 30.00 3 160,612.98 0.10
30.01 - 35.00 11 744,807.09 0.46
35.01 - 40.00 6 196,219.39 0.12
40.01 - 45.00 13 827,757.94 0.51
45.01 - 50.00 26 1,485,199.47 0.91
50.01 - 55.00 25 1,780,328.10 1.09
55.01 - 60.00 89 6,303,948.63 3.86
60.01 - 65.00 323 23,048,104.60 14.11
65.01 - 70.00 188 14,358,077.89 8.79
70.01 - 75.00 344 31,009,710.80 18.99
75.01 - 80.00 371 37,591,981.21 23.02
80.01 - 85.00 147 15,423,625.75 9.44
85.01 - 90.00 245 29,386,792.36 17.99
90.01 - 95.00 7 889,819.00 0.54
----- -------------- ------
TOTAL: 1,801 163,326,450.77 100.00
===== ============== ======
</TABLE>
<TABLE>
<CAPTION>
OCCUPANCY TYPE
- -------------------------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
-------- --------------------- ----------------------
<S> <C> <C> <C>
Primary 2758 184,919,671.50 94.04
Investment 254 11,723,026.83 5.96
----- -------------- ------
TOTAL: 1,801 163,326,450.77 100.00
===== ============== ======
</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> 22
22
LEHMAN BROTHERS ASSET-BACKED SECURITIES
- --------------------------------------------------------------------------------
Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the Adjustable Rate Mortgage Loans are listed below as
of the Cut-Off Date.
<TABLE>
<CAPTION>
PROPERTY TYPE
- ------------------------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
-------- --------------------- -----------------------
<S> <C> <C> <C>
Single Family Residence 1,575 143,901,131.28 88.11
2-4 Family 104 9,637,445.29 5.90
Condominium 90 7,819,101.85 4.79
Manufactured Housing 32 1,968,772.35 1.21
TOTAL: 1,801 163,326,450.77 100.00
===== ============== ======
</TABLE>
<TABLE>
<CAPTION>
STATES
- ------------------------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
-------- --------------------- -----------------------
<S> <C> <C> <C>
AR 1 50,277.46 0.03
AZ 40 3,924,032.92 2.40
CA 180 28,093,196.41 17.20
CO 65 7,783,188.05 4.77
CT 45 4,542,436.18 2.78
DC 4 529,091.30 0.32
DE 1 38,500.00 0.02
FL 192 15,800,467.34 9.67
GA 44 3,667,844.96 2.25
HI 36 6,446,063.23 3.95
IA 13 624,402.11 0.38
IL 56 4,085,718.92 2.50
IN 107 6,182,737.91 3.79
KS 12 1,074,948.20 0.66
KY 56 3,025,377.23 1.85
LA 32 2,606,968.28 1.60
MA 16 1,272,534.78 0.78
MD 19 1,806,050.17 1.11
ME 2 109,856.21 0.07
MI 75 4,245,500.62 2.60
MN 54 5,647,184.63 3.46
MO 41 3,090,493.06 1.89
MS 17 1,016,288.75 0.62
NC 55 4,020,998.67 2.46
NE 28 1,410,703.90 0.86
NJ 49 5,478,923.80 3.35
NM 18 2,210,077.74 1.35
NV 19 2,299,007.76 1.41
NY 38 4,504,889.96 2.76
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE> 23
23
LEHMAN BROTHERS ASSET-BACKED SECURITIES
- --------------------------------------------------------------------------------
Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the Adjustable Rate Mortgage Loans are listed below as
of the Cut-Off Date.
<TABLE>
<CAPTION>
STATES (CONTINUED)
- ------------------------------------------------------------------------------------------------------------------------
MORTGAGE CUT-OFF DATE % OF CUT-OFF DATE POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
-------- --------------------- -----------------------
<S> <C> <C> <C>
OH 152 9,870,430.33 6.04
OK 2 108,722.68 0.07
OR 15 1,619,940.92 0.99
PA 48 3,959,230.48 2.42
RI 3 243,303.14 0.15
SC 56 3,468,329.89 2.12
TN 16 1,288,684.15 0.79
TX 101 8,352,727.19 5.11
UT 17 1,587,452.47 0.97
VA 14 1,728,318.22 1.06
WA 34 3,608,781.44 2.21
WI 24 1,338,174.60 0.82
WV 3 489,633.84 0.30
WY 1 74,960.87 0.05
----- -------------- ------
TOTAL: 1,801 163,326,450.77 100.00
===== ============== ======
</TABLE>
<TABLE>
<CAPTION>
LIEN POSITION
- ------------------------------------------------------------------------------------------------------------------------
NO. OF CUT-OFF DATE % OF CUT-OFF DATE POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
-------- --------------------- -----------------------
<S> <C> <C> <C>
First Lien 1,801 163,326,450.77 100.00
----- -------------- ------
TOTAL: 1,801 163,326,450.77 100.00
===== ============== ======
</TABLE>
<TABLE>
<CAPTION>
BALLOON
- ------------------------------------------------------------------------------------------------------------------------
NO. OF CUT-OFF DATE % OF CUT-OFF DATE POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
-------- --------------------- -----------------------
<S> <C> <C> <C>
Fully Amortizing 1,801 163,326,450.77 100.00
----- -------------- ------
TOTAL: 1,801 163,326,450.77 100.00
===== ============== ======
</TABLE>
<TABLE>
<CAPTION>
ORIGINAL TERM
- ------------------------------------------------------------------------------------------------------------------------
NO. OF CUT-OFF DATE % OF CUT-OFF DATE POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
-------- --------------------- -----------------------
<S> <C> <C> <C>
169 - 180 30 2,050,772.88 1.26
349 - 360 1,771 161,275,677.89 98.74
----- -------------- ------
TOTAL: 1,801 163,326,450.77 100.00
===== ============== ======
</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> 24
24
LEHMAN BROTHERS ASSET-BACKED SECURITIES
- --------------------------------------------------------------------------------
Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the Adjustable Rate Mortgage Loans are listed below as
of the Cut-Off Date.
<TABLE>
<CAPTION>
MARGIN
- -----------------------------------------------------------------------------------------------------------------------
NO. OF CUT-OFF DATE % OF CUT-OFF DATE POOL
(%) LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- --------------- -------- --------------------- -----------------------
<S> <C> <C> <C>
1.501 - 2.000 1 45,000.00 0.03
2.001 - 2.500 1 45,000.00 0.03
2.501 - 3.000 6 991,713.00 0.61
3.001 - 3.500 8 999,656.54 0.61
3.501 - 4.000 12 1,006,736.15 0.62
4.001 - 4.500 17 2,039,151.84 1.25
4.501 - 5.000 259 28,963,582.71 17.73
5.001 - 5.500 293 32,697,706.52 20.02
5.501 - 6.000 415 36,852,475.93 22.56
6.001 - 6.500 115 12,080,386.91 7.40
6.501 - 7.000 452 32,115,418.06 19.66
7.001 - 7.500 106 7,253,287.83 4.44
7.501 - 8.000 87 6,051,653.85 3.71
8.001 - 8.500 11 832,525.86 0.51
8.501 - 9.000 6 446,844.34 0.27
9.001 - 9.500 3 172,816.85 0.11
9.501 - 10.000 6 503,881.77 0.31
10.501 - 11.000 1 116,744.78 0.07
11.001 - 11.500 1 84,388.21 0.05
11.501 - 12.000 1 27,479.62 0.02
----- -------------- ------
TOTAL: 1,801 163,326,450.77 100.00
===== ============== ======
</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> 25
25
LEHMAN BROTHERS ASSET-BACKED SECURITIES
- --------------------------------------------------------------------------------
Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the Adjustable Rate Mortgage Loans are listed below as
of the Cut-Off Date.
<TABLE>
<CAPTION>
LIFE CAP
- -----------------------------------------------------------------------------------------------------------------------
NO. OF CUT-OFF DATE % OF CUT-OFF DATE POOL
(%) LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- --------------- -------- --------------------- -----------------------
<S> <C> <C> <C>
11.501 - 12.000 1 45,000.00 0.03
12.001 - 12.500 4 500,353.06 0.31
12.501 - 13.000 12 1,691,614.02 1.04
13.001 - 13.500 8 1,015,188.94 0.62
13.501 - 14.000 22 2,341,437.06 1.43
14.001 - 14.500 29 4,252,670.38 2.60
14.501 - 15.000 67 8,400,312.73 5.14
15.001 - 15.500 97 12,186,156.79 7.46
15.501 - 16.000 169 20,431,366.73 12.51
16.001 - 16.500 175 17,418,208.45 10.66
16.501 - 17.000 259 24,289,913.31 14.87
17.001 - 17.500 193 16,660,025.92 10.20
17.501 - 18.000 181 15,342,490.74 9.39
18.001 - 18.500 136 9,609,465.70 5.88
18.501 - 19.000 86 6,222,698.65 3.81
19.001 - 19.500 64 4,615,141.11 2.83
19.501 - 20.000 89 5,223,776.10 3.20
20.001 - 20.500 80 5,104,629.59 3.13
20.501 - 21.000 68 4,409,495.17 2.70
21.001 - 21.500 33 1,737,100.11 1.06
21.501 - 22.000 18 1,429,416.89 0.88
22.001 - 22.500 9 302,527.21 0.19
22.501 - 23.000 1 97,462.11 0.06
----- -------------- ------
TOTAL: 1,801 163,326,450.77 100.00
===== ============== ======
</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> 26
26
LEHMAN BROTHERS ASSET-BACKED SECURITIES
- --------------------------------------------------------------------------------
Collateral Summary
- --------------------------------------------------------------------------------
Collateral statistics for the Adjustable Rate Mortgage Loans are listed below as
of the Cut-Off Date.
<TABLE>
<CAPTION>
MINIMUM RATE
- -----------------------------------------------------------------------------------------------------------------------
NO. OF CUT-OFF DATE % OF CUT-OFF DATE POOL
(%) LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- --------------- -------- --------------------- -----------------------
<S> <C> <C> <C>
5.001 - 5.500 1 80,547.54 0.05
5.501 - 6.000 1 45,000.00 0.03
6.001 - 6.500 6 932,532.61 0.57
6.501 - 7.000 14 1,817,763.16 1.11
7.001 - 7.500 20 2,788,027.73 1.71
7.501 - 8.000 50 6,347,604.57 3.89
8.001 - 8.500 78 9,791,541.68 6.00
8.501 - 9.000 160 19,759,553.29 12.10
9.001 - 9.500 180 19,156,231.02 11.73
9.501 - 10.000 276 26,644,869.15 16.31
10.001 - 10.500 207 18,278,239.87 11.19
10.501 - 11.000 196 16,589,530.51 10.16
11.001 - 11.500 141 10,087,503.59 6.18
11.501 - 12.000 82 6,131,697.80 3.75
12.001 - 12.500 65 4,704,404.91 2.88
12.501 - 13.000 95 5,689,078.92 3.48
13.001 - 13.500 84 5,633,259.93 3.45
13.501 - 14.000 75 4,899,144.73 3.00
14.001 - 14.500 40 2,053,558.51 1.26
14.501 - 15.000 20 1,496,371.93 0.92
15.001 - 15.500 9 302,527.21 0.19
15.501 - 16.000 1 97,462.11 0.06
----- -------------- ------
TOTAL: 1,801 163,326,450.77 100.00
===== ============== ======
</TABLE>
<TABLE>
<CAPTION>
ORIGINATORS
- -----------------------------------------------------------------------------------------------------------------------
NO. OF CUT-OFF DATE % OF CUT-OFF DATE POOL
(%) LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- --------------- -------- --------------------- -----------------------
<S> <C> <C> <C>
Affiliated: Broker Network 1,576 138,138,608.29 84.58
Affiliated: Retail 89 9,305,945.62 5.70
Unaffiliated 136 15,881,896.86 9.72
----- -------------- ------
TOTAL: 1,801 163,326,450.77 100.00
===== ============== ======
</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> 1
EXHIBIT 99.2
GREENWICH CAPITAL MARKETS, INC. LEGEND ON COMPUTATIONAL MATERIALS
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no circumstances
shall the information presented constitute an offer to sell or the solicitation
of an offer to buy nor shall there be any sale of the securities in any
jurisdiction in which such offer, solicitation or sale would be unlawful prior
to registration or qualification under the securities laws of such jurisdiction.
The securities may not be sold nor may an offer to buy be accepted prior to the
delivery of a final prospectus relating to the securities. The above preliminary
description of the underlying assets has been provided by the issuer and has not
been independently verified by Greenwich Capital Markets. All information
described above is preliminary, limited in nature and subject to completion or
amendment and will be superseded by the terms of the final prospectus
supplement. Greenwich Capital Markets makes no representations that the above
referenced security will actually perform as described in any scenario
presented.
BANC OF AMERICA SECURITIES LLC LEGEND ON COMPUTATIONAL MATERIALS
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
