SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
----------------
FORM 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest event reported) May 30, 1996.
MERIT Securities Corporation
(Exact name of registrant as specified in charter)
Virginia 03992 541736551
(State or other jurisdiction (Commission (IRS Employer
of incorporation) File Number) Identification No.)
4880 Cox Road, Glen Allen, Virginia 23060
(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code (804) 967-7400
2800 East Parham Road, Richmond, Virginia 23228
(Former name or former address, if changed since last report.)
<PAGE>
Item 1. Changes in Control of Registrant.
Not Applicable.
Item 2. Acquisition or Disposition of Assets.
Not Applicable.
Item 3. Bankruptcy or Receivership.
Not Applicable.
Item 4. Changes in Registrant's Certifying Accountant.
Not Applicable.
Item 5. Other Events.
On May 30, 1996, the Registrant entered into an underwriting agreement
with Lehman Brothers Inc. (the "Underwriter"), pursuant to which the Underwriter
agreed to purchase and offer for sale to the public, approximately $440,000,000
aggregate initial principal amount of the Registrant's Collateralized Mortgage
Bonds, Series 7, Class A-1 (the "Class A-1 Bonds") and Class A-5 (the "Class A-5
Bonds," and together with the Class A-1 Bonds, the "Offered Bonds"). The Offered
Bonds are registered for sale under the Registrant's effective shelf
Registration Statement on Form S-3 (33-99316), and will be offered pursuant to a
Prospectus, dated November 14, 1995, and a related Prospectus Supplement, dated
May 30, 1996, to be filed with the Securities and Exchange Commission pursuant
to the Securities Act of 1933, as amended and Rule 424 thereunder.
In connection with the offering of the Offered Bonds, the Underwriter
has prepared and disseminated to potential purchasers certain "Computational
Materials" and/or "Structural Terms Sheet(s)," as such terms are defined in the
No-Action response letters to Kidder, Peabody and Co. Incorporated and certain
affiliates thereof (publicly available, May 20, 1994) and the No-Action response
letter to Cleary, Gottlieb, Stern & Hamilton on behalf of the Public Securities
Association (publicly available, February 17, 1995), respectively. In accordance
with such No-Action Letter, the Registrant is filing herewith such Computational
Materials and/or Structural Terms Sheet(s) as Exhibit 99.1.
Further, the Registrant has obtained credit enhancement from MBIA
Insurance Corporation ("MBIA") and has included certain financial information
regarding MBIA. In connection therewith, the Registrant is designating Coopers &
Lybrand L.L.P. as experts relating to such included financial information and is
filing herewith the consent of Coopers & Lybrand L.L.P. as Exhibit 99.2.
2
<PAGE>
Item 6. Resignations of Registrant's Directors.
Not Applicable.
Item 7. Financial Statements, Pro Forma Financial Information and Exhibits.
Not Applicable.
Item 8. Change in Fiscal Year.
Not Applicable.
Exhibits
99.1 Copy of "Computational Materials" and/or "Structural Terms Sheet(s)"
as provided by Lehman Brothers Inc.
99.2 Copy of Consent of Coopers & Lybrand L.L.P.
3
<PAGE>
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934,
the Registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
May 30, 1996 MERIT SECURITIES CORPORATION
By: /s/ Lisa R. Cooke
Name: Lisa R. Cooke
Title: Vice President
4
<PAGE>
INDEX TO EXHIBITS
Page
99.1 Copy of "Computational Materials"
and/or "Structural Terms Sheet(s)"
as provided by Lehman Brothers Inc................................
99.2 Copy of Consent of Coopers & Lybrand L.L.P........................
5
<TABLE>
<CAPTION>
MERIT 7
------ Discount Margin Table ------
Lehman Brothers
Bond Class A1 5.957 Initial Coupon
Current Balance $425,000,000.00
1.00 * 1MLIB + 0.52, 10.00 Cap, 0.52 Floor
Index Type: 1MLIB Initial Value: 5.438
10% CPR 15% CPR 18% CPR 21% CPR 25% CPR
----------------- ----------------- ----------------- ----------------- -----------------
1MLIB: 5.43750 1MLIB: 5.43750 1MLIB: 5.43750 1MLIB: 5.43750 1MLIB: 5.43750
------------------ ------------------ ------------------ ------------------ ------------------
PRICE Disc Marg Dur Disc Marg Dur Disc Marg Dur Disc Marg Dur Disc Marg Dur
- ----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- -----
<S> <C>
99.73446 0.677 4.70 0.673 3.46 0.690 2.96 0.706 2.57 0.729 2.17
99.75008 0.674 0.668 0.684 0.700 0.722
99.76570 0.671 0.664 0.679 0.694 0.715
99.78132 0.668 0.659 0.674 0.689 0.708
99.79694 0.664 0.655 0.669 0.683 0.701
99.81256 0.661 4.70 0.651 3.46 0.664 2.96 0.677 2.57 0.694 2.18
99.82818 0.658 0.646 0.659 0.671 0.687
99.84380 0.655 0.642 0.653 0.665 0.680
99.85942 0.651 0.637 0.648 0.659 0.673
99.87504 0.648 0.633 0.643 0.653 0.666
99.89066 0.645 4.70 0.629 3.46 0.638 2.96 0.647 2.58 0.659 2.18
99.90628 0.642 0.624 0.633 0.641 0.652
99.92190 0.638 0.620 0.628 0.635 0.645
99.93752 0.635 0.615 0.623 0.629 0.638
99.95314 0.632 0.611 0.617 0.623 0.631
99.96876 0.629 4.71 0.607 3.47 0.612 2.97 0.618 2.58 0.624 2.18
99.98438 0.626 0.602 0.607 0.612 0.617
100.00000 0.622 0.598 0.602 0.606 0.610
100.01562 0.619 0.593 0.597 0.600 0.603
100.03124 0.616 0.589 0.592 0.594 0.596
100.04686 0.613 4.71 0.585 3.47 0.587 2.97 0.588 2.58 0.589 2.18
100.06248 0.609 0.580 0.582 0.582 0.582
100.07810 0.606 0.576 0.576 0.576 0.575
100.09372 0.603 0.571 0.571 0.570 0.568
100.10934 0.600 0.567 0.566 0.564 0.561
100.12496 0.596 4.71 0.563 3.47 0.561 2.97 0.558 2.58 0.554 2.18
100.14058 0.593 0.558 0.556 0.553 0.547
100.15620 0.590 0.554 0.551 0.547 0.540
100.17182 0.587 0.550 0.546 0.541 0.533
100.18744 0.584 0.545 0.541 0.535 0.526
100.20306 0.580 4.72 0.541 3.47 0.535 2.97 0.529 2.58 0.520 2.18
100.21868 0.577 0.536 0.530 0.523 0.513
100.23430 0.574 0.532 0.525 0.517 0.506
100.24992 0.571 0.528 0.520 0.511 0.499
100.26554 0.567 0.523 0.515 0.505 0.492
Average Life : 6.38 4.34 3.60 3.05 2.52
First Pay : 0.06 0.06 0.06 0.06 0.06
Last Pay : 19.14 13.73 11.56 9.81 8.14
</TABLE>
(Continued)
30% CPR 35% CPR
----------------- -----------------
1MLIB: 5.43750 1MLIB: 5.43750
------------------ ------------------
PRICE Disc Marg Dur Disc Marg Dur
- ----------- --------- ----- --------- -----
99.73446 0.759 1.81 0.783 1.52
99.75008 0.750 0.773
99.76570 0.742 0.763
99.78132 0.733 0.753
99.79694 0.725 0.743
99.81256 0.716 1.81 0.733 1.53
99.82818 0.708 0.723
99.84380 0.699 0.713
99.85942 0.691 0.703
99.87504 0.683 0.693
99.89066 0.674 1.81 0.683 1.53
99.90628 0.666 0.673
99.92190 0.657 0.663
99.93752 0.649 0.653
99.95314 0.640 0.643
99.96876 0.632 1.81 0.633 1.53
99.98438 0.624 0.623
100.00000 0.615 0.613
100.01562 0.607 0.603
100.03124 0.598 0.594
100.04686 0.590 1.81 0.584 1.53
100.06248 0.582 0.574
100.07810 0.573 0.564
100.09372 0.565 0.554
100.10934 0.556 0.544
100.12496 0.548 1.81 0.534 1.53
100.14058 0.540 0.524
100.15620 0.531 0.514
100.17182 0.523 0.504
100.18744 0.514 0.494
100.20306 0.506 1.81 0.484 1.53
100.21868 0.498 0.474
100.23430 0.489 0.464
100.24992 0.481 0.454
100.26554 0.472 0.444
Average Life : 2.05 1.70
First Pay : 0.06 0.06
Last Pay : 6.64 5.48
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 0 days. Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 6/ 6/96 settlement date.
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, weighted average
lives and weighted average loan age, 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 the underlying
assets, the information contained in the Offering Document).
<PAGE>
<TABLE>
<CAPTION>
MERIT 7 - TO CALL
------ Discount Margin Table ------
Lehman Brothers
Bond Class A1 5.957 Initial Coupon
Current Balance $425,000,000.00
1.00 * 1MLIB + 0.52, 10.00 Cap, 0.52 Floor
Index Type: 1MLIB Initial Value: 5.438
10% CPR 15% CPR 18% CPR 21% CPR 25% CPR
----------------- ----------------- ----------------- ----------------- -----------------
1MLIB: 5.43750 1MLIB: 5.43750 1MLIB: 5.43750 1MLIB: 5.43750 1MLIB: 5.43750
------------------ ------------------ ------------------ ------------------ ------------------
PRICE Disc Marg Dur Disc Marg Dur Disc Marg Dur Disc Marg Dur Disc Marg Dur
- ----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- -----
<S> <C>
99.73446 0.589 3.73 0.609 2.92 0.625 2.47 0.642 2.13 0.665 1.78
99.75008 0.585 0.604 0.619 0.634 0.657
99.76570 0.581 0.598 0.612 0.627 0.648
99.78132 0.577 0.593 0.606 0.620 0.640
99.79694 0.573 0.588 0.600 0.613 0.631
99.81256 0.569 3.73 0.583 2.92 0.594 2.47 0.606 2.13 0.623 1.78
99.82818 0.565 0.577 0.588 0.599 0.614
99.84380 0.561 0.572 0.582 0.592 0.606
99.85942 0.557 0.567 0.575 0.584 0.597
99.87504 0.553 0.562 0.569 0.577 0.588
99.89066 0.549 3.73 0.557 2.92 0.563 2.47 0.570 2.13 0.580 1.78
99.90628 0.544 0.551 0.557 0.563 0.571
99.92190 0.540 0.546 0.551 0.556 0.563
99.93752 0.536 0.541 0.545 0.549 0.554
99.95314 0.532 0.536 0.538 0.541 0.546
99.96876 0.528 3.73 0.530 2.92 0.532 2.48 0.534 2.13 0.537 1.78
99.98438 0.524 0.525 0.526 0.527 0.529
100.00000 0.520 0.520 0.520 0.520 0.520
100.01562 0.516 0.515 0.514 0.513 0.511
100.03124 0.512 0.510 0.508 0.506 0.503
100.04686 0.508 3.74 0.504 2.92 0.502 2.48 0.499 2.13 0.494 1.78
100.06248 0.504 0.499 0.495 0.491 0.486
100.07810 0.500 0.494 0.489 0.484 0.477
100.09372 0.496 0.489 0.483 0.477 0.469
100.10934 0.491 0.484 0.477 0.470 0.460
100.12496 0.487 3.74 0.478 2.93 0.471 2.48 0.463 2.14 0.452 1.79
100.14058 0.483 0.473 0.465 0.456 0.443
100.15620 0.479 0.468 0.459 0.449 0.435
100.17182 0.475 0.463 0.452 0.442 0.426
100.18744 0.471 0.458 0.446 0.434 0.418
100.20306 0.467 3.74 0.452 2.93 0.440 2.48 0.427 2.14 0.409 1.79
100.21868 0.463 0.447 0.434 0.420 0.401
100.23430 0.459 0.442 0.428 0.413 0.392
100.24992 0.455 0.437 0.422 0.406 0.384
100.26554 0.451 0.432 0.416 0.399 0.375
Average Life : 4.54 3.44 2.85 2.41 1.98
First Pay : 0.06 0.06 0.06 0.06 0.06
Last Pay : 6.98 5.89 4.89 4.14 3.39
</TABLE>
(Continued)
30% CPR 35% CPR
----------------- -----------------
1MLIB: 5.43750 1MLIB: 5.43750
------------------ ------------------
PRICE Disc Marg Dur Disc Marg Dur
- ----------- --------- ----- --------- -----
99.73446 0.697 1.46 0.729 1.24
99.75008 0.687 0.717
99.76570 0.676 0.704
99.78132 0.666 0.692
99.79694 0.655 0.680
99.81256 0.645 1.46 0.667 1.24
99.82818 0.635 0.655
99.84380 0.624 0.643
99.85942 0.614 0.631
99.87504 0.603 0.618
99.89066 0.593 1.46 0.606 1.24
99.90628 0.582 0.594
99.92190 0.572 0.581
99.93752 0.562 0.569
99.95314 0.551 0.557
99.96876 0.541 1.46 0.545 1.24
99.98438 0.530 0.532
100.00000 0.520 0.520
100.01562 0.510 0.508
100.03124 0.499 0.495
100.04686 0.489 1.46 0.483 1.24
100.06248 0.478 0.471
100.07810 0.468 0.459
100.09372 0.458 0.446
100.10934 0.447 0.434
100.12496 0.437 1.47 0.422 1.24
100.14058 0.426 0.410
100.15620 0.416 0.397
100.17182 0.406 0.385
100.18744 0.395 0.373
100.20306 0.385 1.47 0.361 1.24
100.21868 0.375 0.348
100.23430 0.364 0.336
100.24992 0.354 0.324
100.26554 0.343 0.312
Average Life : 1.60 1.35
First Pay : 0.06 0.06
Last Pay : 2.73 2.31
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 0 days. Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 6/ 6/96 settlement date.
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, weighted
average lives and weighted average loan age, 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 of 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 the underlying assets, the information
contained in the Offering Document).
<PAGE>
<TABLE>
<CAPTION>
MERIT 7
------ Discount Margin Table ------
Lehman Brothers
Bond Class A5 5.957 Initial Coupon
Current Balance $15,000,000.00
1.00 * 1MLIB + 0.52, 10.00 Cap, 0.52 Floor
Index Type: 1MLIB Initial Value: 5.438
10% CPR 15% CPR 18% CPR 21% CPR 25% CPR
----------------- ----------------- ----------------- ----------------- -----------------
1MLIB: 5.43750 1MLIB: 5.43750 1MLIB: 5.43750 1MLIB: 5.43750 1MLIB: 5.43750
------------------ ------------------ ------------------ ------------------ ------------------
PRICE Disc Marg Dur Disc Marg Dur Disc Marg Dur Disc Marg Dur Disc Marg Dur
- ----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- -----
<S> <C>
99.73446 0.678 4.55 0.692 3.58 0.715 3.15 0.735 2.79 0.760 2.40
99.75008 0.675 0.688 0.710 0.730 0.754
99.76570 0.672 0.683 0.705 0.724 0.748
99.78132 0.668 0.679 0.700 0.719 0.741
99.79694 0.665 0.675 0.695 0.713 0.735
99.81256 0.662 4.56 0.671 3.58 0.691 3.15 0.708 2.79 0.729 2.41
99.82818 0.658 0.666 0.686 0.702 0.722
99.84380 0.655 0.662 0.681 0.697 0.716
99.85942 0.652 0.658 0.676 0.691 0.710
99.87504 0.648 0.654 0.671 0.686 0.703
99.89066 0.645 4.56 0.649 3.59 0.666 3.15 0.681 2.80 0.697 2.41
99.90628 0.642 0.645 0.662 0.675 0.691
99.92190 0.638 0.641 0.657 0.670 0.684
99.93752 0.635 0.637 0.652 0.664 0.678
99.95314 0.632 0.632 0.647 0.659 0.672
99.96876 0.628 4.56 0.628 3.59 0.642 3.16 0.653 2.80 0.665 2.41
99.98438 0.625 0.624 0.637 0.648 0.659
100.00000 0.622 0.620 0.633 0.642 0.653
100.01562 0.618 0.615 0.628 0.637 0.647
100.03124 0.615 0.611 0.623 0.632 0.640
100.04686 0.611 4.57 0.607 3.59 0.618 3.16 0.626 2.80 0.634 2.41
100.06248 0.608 0.603 0.613 0.621 0.628
100.07810 0.605 0.598 0.608 0.615 0.621
100.09372 0.601 0.594 0.604 0.610 0.615
100.10934 0.598 0.590 0.599 0.604 0.609
100.12496 0.595 4.57 0.586 3.59 0.594 3.16 0.599 2.80 0.602 2.42
100.14058 0.592 0.581 0.589 0.593 0.596
100.15620 0.588 0.577 0.584 0.588 0.590
100.17182 0.585 0.573 0.580 0.583 0.584
100.18744 0.582 0.569 0.575 0.577 0.577
100.20306 0.578 4.57 0.565 3.60 0.570 3.17 0.572 2.81 0.571 2.42
100.21868 0.575 0.560 0.565 0.566 0.565
100.23430 0.572 0.556 0.560 0.561 0.558
100.24992 0.568 0.552 0.556 0.556 0.552
100.26554 0.565 0.548 0.551 0.550 0.546
Average Life : 6.19 4.64 3.99 3.46 2.92
First Pay : 0.06 0.06 0.06 0.06 0.06
Last Pay : 29.39 29.39 29.39 29.39 29.39
</TABLE>
(Continued)
30% CPR 35% CPR
----------------- -----------------
1MLIB: 5.43750 1MLIB: 5.43750
------------------ ------------------
PRICE Disc Marg Dur Disc Marg Dur
- ----------- --------- ----- --------- -----
[S] [C]
99.73446 0.790 2.04 0.814 1.73
99.75008 0.783 0.805
99.76570 0.775 0.796
99.78132 0.768 0.787
99.79694 0.760 0.779
99.81256 0.753 2.04 0.770 1.74
99.82818 0.745 0.761
99.84380 0.738 0.752
99.85942 0.730 0.743
99.87504 0.723 0.735
99.89066 0.715 2.04 0.726 1.74
99.90628 0.708 0.717
99.92190 0.700 0.708
99.93752 0.693 0.700
99.95314 0.685 0.691
99.96876 0.678 2.04 0.682 1.74
99.98438 0.671 0.673
100.00000 0.663 0.665
100.01562 0.656 0.656
100.03124 0.648 0.647
100.04686 0.641 2.04 0.638 1.74
100.06248 0.633 0.630
100.07810 0.626 0.621
100.09372 0.618 0.612
100.10934 0.611 0.603
100.12496 0.604 2.05 0.595 1.74
100.14058 0.596 0.586
100.15620 0.589 0.577
100.17182 0.581 0.569
100.18744 0.574 0.560
100.20306 0.566 2.05 0.551 1.75
100.21868 0.559 0.542
100.23430 0.552 0.534
100.24992 0.544 0.525
100.26554 0.537 0.516
Average Life : 2.41 2.01
First Pay : 0.06 0.06
Last Pay : 29.31 28.31
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 0 days. Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 6/ 6/96 settlement date.
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, weighted average
lives and weighted average loan age, 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 the underlying assets, the information contained in the Offering
Document).
<PAGE>
<TABLE>
<CAPTION>
MERIT 7 - TO CALL
------ Discount Margin Table ------
Lehman Brothers
Bond Class A5 5.957 Initial Coupon
Current Balance $15,000,000.00
1.00 * 1MLIB + 0.52, 10.00 Cap, 0.52 Floor
Index Type: 1MLIB Initial Value: 5.438
10% CPR 15% CPR 18% CPR 21% CPR 25% CPR
----------------- ----------------- ----------------- ----------------- -----------------
1MLIB: 5.43750 1MLIB: 5.43750 1MLIB: 5.43750 1MLIB: 5.43750 1MLIB: 5.43750
------------------ ------------------ ------------------ ------------------ ------------------
PRICE Disc Marg Dur Disc Marg Dur Disc Marg Dur Disc Marg Dur Disc Marg Dur
- ----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- -----
<S> <C>
99.73446 0.592 3.62 0.611 2.86 0.626 2.44 0.643 2.10 0.667 1.76
99.75008 0.587 0.605 0.620 0.636 0.658
99.76570 0.583 0.600 0.614 0.629 0.650
99.78132 0.579 0.595 0.608 0.621 0.641
99.79694 0.575 0.589 0.601 0.614 0.632
99.81256 0.570 3.62 0.584 2.86 0.595 2.44 0.607 2.11 0.624 1.77
99.82818 0.566 0.579 0.589 0.600 0.615
99.84380 0.562 0.573 0.583 0.592 0.606
99.85942 0.558 0.568 0.576 0.585 0.598
99.87504 0.554 0.563 0.570 0.578 0.589
99.89066 0.549 3.62 0.557 2.87 0.564 2.44 0.571 2.11 0.580 1.77
99.90628 0.545 0.552 0.557 0.563 0.572
99.92190 0.541 0.547 0.551 0.556 0.563
99.93752 0.537 0.541 0.545 0.549 0.554
99.95314 0.533 0.536 0.539 0.542 0.546
99.96876 0.528 3.63 0.531 2.87 0.532 2.44 0.534 2.11 0.537 1.77
99.98438 0.524 0.525 0.526 0.527 0.529
100.00000 0.520 0.520 0.520 0.520 0.520
100.01562 0.516 0.515 0.514 0.513 0.511
100.03124 0.512 0.509 0.508 0.506 0.503
100.04686 0.507 3.63 0.504 2.87 0.501 2.44 0.498 2.11 0.494 1.77
100.06248 0.503 0.499 0.495 0.491 0.486
100.07810 0.499 0.493 0.489 0.484 0.477
100.09372 0.495 0.488 0.483 0.477 0.468
100.10934 0.491 0.483 0.476 0.469 0.460
100.12496 0.486 3.63 0.478 2.87 0.470 2.44 0.462 2.11 0.451 1.77
100.14058 0.482 0.472 0.464 0.455 0.443
100.15620 0.478 0.467 0.458 0.448 0.434
100.17182 0.474 0.462 0.451 0.441 0.425
100.18744 0.470 0.456 0.445 0.433 0.417
100.20306 0.465 3.63 0.451 2.87 0.439 2.44 0.426 2.11 0.408 1.77
100.21868 0.461 0.446 0.433 0.419 0.400
100.23430 0.457 0.440 0.427 0.412 0.391
100.24992 0.453 0.435 0.420 0.405 0.382
100.26554 0.449 0.430 0.414 0.397 0.374
Average Life : 4.39 3.37 2.81 2.38 1.97
First Pay : 0.06 0.06 0.06 0.06 0.06
Last Pay : 6.98 5.89 4.89 4.14 3.39
</TABLE>
(Continued)
30% CPR 35% CPR
----------------- -----------------
1MLIB: 5.43750 1MLIB: 5.43750
------------------ ------------------
PRICE Disc Marg Dur Disc Marg Dur
- ----------- --------- ----- --------- -----
[S] [C]
99.73446 0.698 1.45 0.730 1.23
99.75008 0.688 0.718
99.76570 0.677 0.705
99.78132 0.667 0.693
99.79694 0.656 0.681
99.81256 0.646 1.45 0.668 1.23
99.82818 0.635 0.656
99.84380 0.625 0.643
99.85942 0.614 0.631
99.87504 0.604 0.619
99.89066 0.593 1.45 0.606 1.23
99.90628 0.583 0.594
99.92190 0.572 0.582
99.93752 0.562 0.569
99.95314 0.551 0.557
99.96876 0.541 1.46 0.545 1.23
99.98438 0.530 0.532
100.00000 0.520 0.520
100.01562 0.510 0.508
100.03124 0.499 0.495
100.04686 0.489 1.46 0.483 1.24
100.06248 0.478 0.471
100.07810 0.468 0.458
100.09372 0.457 0.446
100.10934 0.447 0.434
100.12496 0.436 1.46 0.421 1.24
100.14058 0.426 0.409
100.15620 0.415 0.397
100.17182 0.405 0.384
100.18744 0.395 0.372
100.20306 0.384 1.46 0.360 1.24
100.21868 0.374 0.348
100.23430 0.363 0.335
100.24992 0.353 0.323
100.26554 0.342 0.311
Average Life : 1.59 1.34
First Pay : 0.06 0.06
Last Pay : 2.73 2.31
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 0 days. Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 6/ 6/96 settlement date.
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, weighted average
lives and weighted average loan age, 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 the underlying assets, the information contained in the Offering
Document).
EXHIBIT 99.2
CONSENT OF INDEPENDENT ACCOUNTANTS
We consent to the inclusion in the Prospectus Supplement to the Prospectus
dated November 14, 1995 to Registration Statement No. 33-99316 of our report
dated January 22, 1996 on our audits of the consolidated financial statements of
MBIA Insurance Corporation and Subsidiaries. We also consent to the reference to
our firm under the caption "Experts."
/s/ COOPERS & LYBRAND L.L.P.
Coopers & Lybrand L.L.P.
May 23, 1996
New York, New York
