- -------------------------------------------------------------------------
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
---------------------
FORM 8-K
CURRENT REPORT
Pursuant to Section 12 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest event reported) November 10, 1999
MERIT Securities Corporation
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(Exact name of registrant as specified in charter)
Virginia 03992 54-1736551
- -------------------------- ---------------------- ---------------------
(State or other (Commission (IRS Employer
jurisdiction File Number) Identification No.)
of incorporation)
10900 Nuckols Road, 3rd Floor, Glen Allen, Virginia 23060
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(Address of principal executive offices) (Zip Code)
Registrant's telephone number, including area code (804) 217-5800
-------------
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<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.
In connection with the offering of the Registrant's Collateralized Bonds,
Series 14-1 Bonds, described in a Prospectus Supplement dated November 10, 1999,
filed with the Securities and Exchange Commission pursuant to the Securities Act
of 1933, as amended, and Rule 424 thereunder, "Computational Materials" within
the meaning of the May 20, 1994, Kidder, Peabody No-Action Letter and the
February 17, 1995, Public Securities Association No-Action Letter were furnished
to prospective investors (the "Related Computational Materials").
99.1 Copy of Related Computational Materials as provided by Lehman Brothers Inc.
<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.
November 10, 1999
MERIT Securities Corporation
By:
----------------------------------
Lisa R. Cooke, Vice President
<PAGE>
INDEX TO EXHIBITS
Exhibit
- -------
99.1 Copy of Related Computational Materials as provided by Lehman Brothers Inc.
LEHMAN BROTHERS MORTGAGE BACKED SECURITIES
ARMS DESK: 212-526-8315
MERIT SECURITIES CORPORATION
[GRAPHIC OMITTED]
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DERIVED INFORMATION
-------------------
$373,549,000
Senior/Subordinate Collateralized Bonds
MERIT, Series 14-1
1m Libor Available Funds Floaters
No Hard Cap - 30/360 - No Delay
- -------------------------------------------------------------------------------
------------------------------------------------------------------------------
To 35% Call (1)
------------------------------------------------------------------------------
Est. Stated Expected
Approx. Tsy. WAL/ Win Initial Margin Final Ratings
Class Size (2) Bmark (yrs) C/E (3) Maturity (S&P/Fitch)
(4)
------------------------------------------------------------------------------
1-A $363,069,000 1m Libor 2.11/3.42 3.00% 0.65% 02/28/27 AAA/AAA
1-M $ 10,480,000 1m Libor 3.46/3.42 0.20% 0.85% 11/28/31 AA
------------------------------------------------------------------------------
(1) Prepayments are set at a constant speed of 25% CPR, and assumes the
payment date is the 28th of every month.
(2) Includes Pre-Funded securities from SMSC 1993-6 and SMSC
1993-7.
(3) Approximately 80% of the loans are covered by mortgage pool insurance.
(4) Stated final maturity for Class A is the zero stated maturity plus 4
years, and for Class M it is the date of the latest maturing loan in the
pool plus 4 years.
------------------------------------------------------------------------------
To Maturity (1)
------------------------------------------------------------------------------
Est. Stated Expected
Approx. Tsy. WAL/Win Initial Margin Final Ratings
Class Size (2) Bmark (yrs) C/E (3) Maturity (S&P/Fitch)
(4)
------------------------------------------------------------------------------
1-A $363,069,000 1m Libor 2.93/11.17 3.00% 0.65% 02/28/27 AAA/AAA
1-M $ 10,480,000 1m Libor 13.51/18.33 0.20% 0.85% 11/28/31 AA
------------------------------------------------------------------------------
(1) Prepayments are set at a constant speed of 25% CPR, and assumes the payment
date is the 28th of every month.
(2) Includes Pre-Funded securities from SMSC 1993-6 and SMSC 1993-7.
(3) Approximately 80% of the loans are covered by mortgage pool insurance.
(4) Stated final maturity for Class A is the zero stated maturity plus 4
years, and for Class M it is the date of the latest maturing loan in the
pool plus 4 years.
o After the call date, the margin on the Class A certificates is doubled, and
the margin on the subordinate Class M Certificates increases by 75 bps.
o The collateral pool for the MERIT Securities Corporation, Series 14-1 and
Series 14-2 will be comprised of seven securities and five whole loan pools
which were pledged as collateral in MERIT 10. In addition, two securities
will be pre-funded from Saxon Mortgage Securities, Corp., Series 1993-6 and
1993-7.
o Approximately 80.85% of the collateral pool have Mortgage Pool Insurance
available from GEMICO or PMI for loss coverage on all loans currently in
Ryland Mortgage Securities Corp. ("RMSC") and SMSC securities.
- --------------------------------------------------------------------------------
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).
1
<PAGE>
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CONTACTS
- --------------------------------------------------------------------------------
MBS Trading Dan Wallace (212) 526-8315
Matt Miller + (212) 526-8315
Jake Freifeld (212) 526-8315
+ Primary Contact
- --------------------------------------------------------------------------------
CERTIFICATE PRINCIPAL AND INTEREST PAYMENTS
- --------------------------------------------------------------------------------
- ------------------------------------ ---------------------------------------
Principal Interest
- ------------------------------------ ---------------------------------------
o Sequentially to 1-A, 1-M, o Servicing Fee.
OC, until the OC has doubled as o Master Servicing /Trustee Fee.
a percent of the current o Class Coupons in order of rating
collateral balance. o Excess Spread is used to pay
o After the OC percentage has doubled interest shortfalls (including
it gets paid with the remaining interest on interest), pay M past
securities that continue to be paid principal losses, and create OC.
sequentially.
- ------------------------------------ ---------------------------------------
o Losses will be allocated in the following order: pool insurance, excess
spread, overcollateralization, Class 1-M, Class 1-A.
o Credit Enhancement for the Certificates will consist of: (i) Pool Insurance
on all loans currently in RMSC/SMSC securities, (ii) Excess Interest
Collections, (iii) Overcollateralization, and (iv) Senior/Subordinate
Structure.
Senior/Subordinate Structure
----------------------------
1 Month LIBOR Available Funds Floater - 30/360 - No Delay
------------------------------------------------------------------------------
Preliminary Summary of Terms MERIT 14-1
------------------------------------------------------------------------------
[Graphic]
Payment Priority MERIT 14-1
Class 1-A
(Senior Certificates)
Class 1-M
Class 1-M is a subordinate class
- --------------------------------------------------------------------------------
Credit Enhancement
- --------------------------------------------------------------------------------
1) Mortgage Pool Insurance
(* for all loans currently in RMSC/SMSC securities)
2) Excess Interest
3) Overcollaterization
- -------------------------------------------------------------------------------
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).
2
<PAGE>
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Preliminary Summary of Terms Merit 14-1
- --------------------------------------------------------------------------------
Issuer: MERIT Securities Corporation
Master Servicer(s): Norwest Bank Minnesota, N.A. 83%; DYNEX Capital,
Inc. ("Dynex"), an affiliate of MERIT, 12%;
Residential Funding Corp. ("RFC") 5%.
(Note: The initial term of the Master servicing agreement
with Dynex expires 12/31/99. This agreement may be
renewed for subsequent quarterly terms by the Trustee,
but only if the Trustee receives a letter from FITCH IBCA
confirming that such a renewal will not result in a
downgrading of its rating on any of the bonds.)
Standby Master Norwest Bank Minnesota, N.A.
Servicer:
Trustee and Chase National Bank of Texas, National Association
Custodian:
Pre-Funding: As of the Closing Date, a Pre-funding account
will be established and approximately $39,941,531
will be deposited into this account. Funds in
this account will be used to purchase the
performing loans in the securities, Saxon
Mortgage Securities, Corp., Series 1993-6 and
1993-7, during the Pre-funding Period for
addition to the Trust. The Pre-funding Period
will last three months from Settlement Date.
Bonds Offered: $373,549,000
Rating Agencies: Standard & Poor's Rating Services ("S&P") Class
1-A and 1-M; Fitch IBCA, Inc. ("Fitch") Class 1-A Only
Underwriter: Lehman Brothers, Inc.
Expected Pricing
Date: November 8, 1999
Expected Settlement
Date: November 12, 1999
Distribution Date: 28th of each month, or the next succeeding
Business Date (First Payment Date: November 29, 1999)
Cut-Off Date:: October 1, 1999
Delay Days: 0 day delay on the Bonds
Day Count: 30/360
- --------------------------------------------------------------------------------
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).
3
<PAGE>
-----------------------------------------------------------------------------
Preliminary Summary of Terms MERIT 14-1 (continued)
-----------------------------------------------------------------------------
Servicing Fee: Varies due to specified servicer. Calculated
based of the scheduled pool principal balance,
annually.
Master Servicing
/Trustee Fee: 0.02% of the scheduled pool principal balance,
annually
Credit Enhancement: -- Mortgage pool insurance on approximately
80.85% of the collateral;
-- Subordination of monthly excess spread;
-- Overcollateralization of 0.20% funded
up-front.
Optional Redemption: Option of the Issuer, the earlier of (a) October
2006 or (b) 35% of the original aggregate bond
principal balance. The call will be executed at
par.
Clearing Agent: The Depository Trust Company (DTC), Euroclear and
CEDEL.
Denomination: Minimum $100,000; increments of $1,000.
SMMEA Eligibility: The Class 1-A and Class 1-M will be SMMEA
eligible.
ERISA Eligibility All the classes are expected to be ERISA eligible.
Prepayment
Assumption: 25% CPR.
Tax Status: Debt for tax.
-----------------------------------------------------------------------------
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).
4
<PAGE>
- --------------------------------------------------------------------------------
Collateral Characteristics MERIT 14-1 as of October 1, 1999
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
<S> <C>
Total Number of Loans 2,358
Total Outstanding Loan Principal $377,269,609.20 100%
Balance
Total Number of Fixed-Rate Loans 63
Total Fixed-Rate Loan Principal $7,478,687.55 1.98%
Balance
Total Number of Adjustable-Rate Loans 2,295
Total Adjustable-Rate Loan Principal $369,790,921.65 98.02%
Balance
Level Paying 100.00%
Average Loan Principal Balance $159,995.59 $ 3,986 - 1,100,810
Weighted Average Coupon 8.183% 6.500% - 15.000%
Weighted Average Margin 2.979% 2.500% - 7.750%
Weighted Average Original Term (months) 360 180 - 360
Range of Original Terms (months) 180: 0.18%
240: 0.04%
360: 99.79%
Weighted Average Remaining Term (months) 279 57 - 337
Weighted Life Cap 12.560% 10.125% - 19.750%
Weighted Average Periodic Cap 0.00% 0.54%
1.00% 88.30%
2.00% 11.16%
Weighted Average Floor 4.423% 0.000% - 13.750%
Weighted Average Original LTV 77.36% 7.69% - 95.40%
Index Type
One Year Treasury 11.16%
Six month LIBOR 88.84%
Lien Position (first/second) 100.00% / 0.0%
Property Type:
Single Family 90.83%
Two to Four Family 0.05%
PUD 1.31%
Condominium 7.82%
Geographic Distribution: Other states
account individually for less than 2% of
principal balance
CA: 78.43%
VA: 2.69%
MD: 2.37%
WA: 1.78%
- --------------------------------------------------------------------------------
</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).
5
<PAGE>
Yield Tables, reflecting a 11/12/99 Settlement
----------------------------------------------
Assumptions: 1m Libor 5.40%; 6m Libor 6.00125%; 1yr CMT 5.746%
All Yields & Duration's are based on monthly payments of interest, zero day
delay
<TABLE>
<CAPTION>
RUN TO 35% CALL CLASS A
- -----------------------------------------------------------------------------------------------
20% CPR 25% CPR 30% CPR 35% CPR
--------------------------------------------------------------------------
PRICE Disc Marg Dur Disc Marg Dur Disc Marg Dur Disc Marg Dur
- -----------------------------------------------------------------------------------------------
<S> <C>
99-15 0.873 2.33 0.926 1.88 0.985 1.55 1.043 1.32
99-16 0.859 0.91 0.965 1.02
99-17 0.846 0.893 0.945 0.997
99-18 0.833 0.877 0.926 0.973
99-19 0.82 0.861 0.906 0.95
99-20 0.807 2.33 0.845 1.88 0.886 1.55 0.927 1.32
99-21 0.794 0.828 0.866 0.904
99-22 0.781 0.812 0.847 0.881
99-23 0.768 0.796 0.827 0.858
99-24 0.755 0.78 0.807 0.835
99-25 0.741 2.33 0.763 1.88 0.788 1.55 0.811 1.32
99-26 0.728 0.747 0.768 0.788
99-27 0.715 0.731 0.748 0.765
99-28 0.702 0.715 0.729 0.742
99-29 0.689 0.699 0.709 0.719
99-30 0.676 2.34 0.682 1.88 0.689 1.55 0.696 1.32
99-31 0.663 0.666 0.67 0.673
100-00 0.65 0.65 0.65 0.65
100-01 0.637 0.634 0.63 0.627
100-02 0.624 0.618 0.611 0.604
100-03 0.611 2.34 0.602 1.89 0.591 1.55 0.581 1.32
100-04 0.598 0.585 0.572 0.558
100-05 0.585 0.569 0.552 0.535
100-06 0.572 0.553 0.532 0.512
100-07 0.559 0.537 0.513 0.489
100-08 0.546 2.34 0.521 1.89 0.493 1.56 0.466 1.33
100-09 0.533 0.505 0.474 0.443
100-10 0.52 0.489 0.454 0.42
100-11 0.507 0.473 0.435 0.397
100-12 0.494 0.457 0.415 0.374
100-13 0.481 2.34 0.44 1.89 0.396 1.56 0.351 1.33
100-14 0.468 0.424 0.376 0.329
100-15 0.455 0.408 0.357 0.306
100-16 0.442 0.392 0.337 0.283
100-17 0.429 0.376 0.318 0.26
- -----------------------------------------------------------------------------------------------
Average Life : 2.67 2.11 1.71 1.44
First Pay : 11/28/99 11/28/99 11/28/99 11/28/99
Last Pay : 3/28/04 4/28/03 8/28/02 3/28/02
Collateral Loss: - - - -
Agg. Bond Loss : - - - -
- -----------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RUN TO 35% CALL CLASS A
- -------------------------------------------------------------------------------------
40% CPR 45% CPR 50% CPR
----------------------------------------------------------------
PRICE Dur Disc Marg Dur Disc Marg Dur Disc Marg Dur
- -------------------------------------------------------------------------------------
<S> <C>
99-15 1.32 1.116 1.11 1.185 0.97 1.268 0.84
99-16 1.088 1.153 1.232
99-17 1.061 1.121 1.195
99-18 1.033 1.09 1.159
99-19 1.006 1.058 1.122
99-20 1.32 0.979 1.11 1.027 0.97 1.086 0.84
99-21 0.951 0.995 1.05
99-22 0.924 0.964 1.013
99-23 0.896 0.933 0.977
99-24 0.869 0.901 0.94
99-25 1.32 0.841 1.11 0.87 0.97 0.904 0.84
99-26 0.814 0.838 0.868
99-27 0.787 0.807 0.831
99-28 0.759 0.775 0.795
99-29 0.732 0.744 0.759
99-30 1.32 0.705 1.12 0.713 0.97 0.722 0.84
99-31 0.677 0.681 0.686
100-00 0.65 0.65 0.65
100-01 0.623 0.619 0.614
100-02 0.595 0.587 0.578
100-03 1.32 0.568 1.12 0.556 0.97 0.541 0.84
100-04 0.541 0.525 0.505
100-05 0.514 0.494 0.469
100-06 0.486 0.462 0.433
100-07 0.459 0.431 0.397
100-08 1.33 0.432 1.12 0.4 0.97 0.361 0.84
100-09 0.405 0.369 0.325
100-10 0.378 0.337 0.288
100-11 0.35 0.306 0.252
100-12 0.323 0.275 0.216
100-13 1.33 0.296 1.12 0.244 0.98 0.18 0.84
100-14 0.269 0.213 0.144
100-15 0.242 0.182 0.108
100-16 0.215 0.151 0.072
100-17 0.188 0.12 0.036
- -------------------------------------------------------------------------------------
Average Life : 1.2 1.04 0.9
First Pay : 11/28/99 11/28/99 11/28/99
Last Pay : 10/28/01 7/28/01 4/28/01
Collateral Loss: - - -
Agg. Bond Loss : - - -
- -------------------------------------------------------------------------------------
</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).
6
<PAGE>
<TABLE>
<CAPTION>
RUN TO 35% CALL CLASS M
- -----------------------------------------------------------------------------------------------
20% CPR 25% CPR 30% CPR 35% CPR
---------------------------------------------------------------------------
PRICE Disc Marg Dur Disc Marg Dur Disc Marg Dur Disc Marg Dur
- -----------------------------------------------------------------------------------------------
<S> <C>
99-15 0.989 3.72 1.022 3.02 1.058 2.49 1.092 2.14
99-16 0.981 1.011 1.046 1.077
99-17 0.973 1.001 1.034 1.063
99-18 0.965 0.991 1.021 1.049
99-19 0.957 0.981 1.009 1.035
99-20 0.948 3.72 0.971 3.02 0.997 2.49 1.02 2.15
99-21 0.94 0.961 0.985 1.006
99-22 0.932 0.951 0.972 0.992
99-23 0.924 0.941 0.96 0.978
99-24 0.916 0.931 0.948 0.964
99-25 0.907 3.72 0.921 3.02 0.936 2.49 0.949 2.15
99-26 0.899 0.91 0.923 0.935
99-27 0.891 0.9 0.911 0.921
99-28 0.883 0.89 0.899 0.907
99-29 0.875 0.88 0.887 0.893
99-30 0.866 3.72 0.87 3.03 0.874 2.49 0.878 2.15
99-31 0.858 0.86 0.862 0.864
100-00 0.85 0.85 0.85 0.85
100-01 0.842 0.84 0.838 0.836
100-02 0.834 0.83 0.826 0.822
100-03 0.825 3.72 0.82 3.03 0.813 2.49 0.807 2.15
100-04 0.817 0.81 0.801 0.793
100-05 0.809 0.8 0.789 0.779
100-06 0.801 0.79 0.777 0.765
100-07 0.793 0.78 0.765 0.751
100-08 0.785 3.73 0.77 3.03 0.752 2.49 0.737 2.15
100-09 0.777 0.76 0.74 0.723
100-10 0.768 0.75 0.728 0.708
100-11 0.76 0.74 0.716 0.694
100-12 0.752 0.73 0.704 0.68
100-13 0.744 3.73 0.719 3.03 0.692 2.49 0.666 2.15
100-14 0.736 0.709 0.679 0.652
100-15 0.728 0.699 0.667 0.638
100-16 0.72 0.689 0.655 0.624
100-17 0.711 0.679 0.643 0.61
- -----------------------------------------------------------------------------------------------
Average Life : 4.38 3.46 2.79 2.38
First Pay : 3/28/04 4/28/03 8/28/02 3/28/02
Last Pay : 3/28/04 4/28/03 8/28/02 3/28/02
Collateral Loss: - - - -
Agg. Bond Loss : - - - -
- -----------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RUN TO 35% CALL CLASS M
- ----------------------------------------------------------------------------
40% CPR 45% CPR 50% CPR
---------------------------------------------------------
PRICE Disc Marg Dur Disc Marg Dur Disc Marg Dur
- ----------------------------------------------------------------------------
<S> <C>
99-15 1.139 1.79 1.179 1.57 1.232 1.35
99-16 1.122 1.16 1.21
99-17 1.105 1.14 1.187
99-18 1.088 1.121 1.165
99-19 1.071 1.102 1.142
99-20 1.054 1.79 1.082 1.58 1.12 1.36
99-21 1.037 1.063 1.097
99-22 1.02 1.043 1.075
99-23 1.003 1.024 1.052
99-24 0.986 1.005 1.03
99-25 0.969 1.79 0.985 1.58 1.007 1.36
99-26 0.952 0.966 0.985
99-27 0.935 0.947 0.962
99-28 0.918 0.927 0.94
99-29 0.901 0.908 0.917
99-30 0.884 1.79 0.889 1.58 0.895 1.36
99-31 0.867 0.869 0.872
100-00 0.85 0.85 0.85
100-01 0.833 0.831 0.828
100-02 0.816 0.811 0.805
100-03 0.799 1.79 0.792 1.58 0.783 1.36
100-04 0.782 0.773 0.76
100-05 0.765 0.754 0.738
100-06 0.748 0.734 0.716
100-07 0.731 0.715 0.693
100-08 0.714 1.8 0.696 1.58 0.671 1.36
100-09 0.697 0.677 0.648
100-10 0.681 0.657 0.626
100-11 0.664 0.638 0.604
100-12 0.647 0.619 0.581
100-13 0.63 1.8 0.6 1.58 0.559 1.36
100-14 0.613 0.58 0.537
100-15 0.596 0.561 0.514
100-16 0.579 0.542 0.492
100-17 0.562 0.523 0.47
- ----------------------------------------------------------------------------
Average Life : 1.96 1.71 1.46
First Pay : 10/28/01 7/28/01 4/28/01
Last Pay : 10/28/01 7/28/01 4/28/01
Collateral Loss: - - -
Agg. Bond Loss : - - -
- ----------------------------------------------------------------------------
</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).
7
<PAGE>
<TABLE>
<CAPTION>
RUN TO MATURITY CLASS A
- -----------------------------------------------------------------------------------------------
20% CPR 25% CPR 30% CPR 35% CPR
---------------------------------------------------------------------------
PRICE Disc Marg Dur Disc Marg Dur Disc Marg Dur Disc Marg Dur
- -----------------------------------------------------------------------------------------------
<S> <C>
99-15 0.965 2.98 1.012 2.45 1.062 2.05 1.106 1.75
99-16 0.955 1 1.047 1.089
99-17 0.945 0.987 1.032 1.071
99-18 0.935 0.975 1.017 1.054
99-19 0.924 0.963 1.003 1.036
99-20 0.914 2.98 0.95 2.45 0.988 2.05 1.019 1.75
99-21 0.904 0.938 0.973 1.001
99-22 0.894 0.925 0.958 0.984
99-23 0.884 0.913 0.943 0.966
99-24 0.873 0.9 0.928 0.949
99-25 0.863 2.99 0.888 2.45 0.913 2.06 0.931 1.75
99-26 0.853 0.875 0.899 0.914
99-27 0.843 0.863 0.884 0.897
99-28 0.832 0.851 0.869 0.879
99-29 0.822 0.838 0.854 0.862
99-30 0.812 2.99 0.826 2.46 0.839 2.06 0.845 1.76
99-31 0.802 0.813 0.825 0.827
100-00 0.792 0.801 0.81 0.81
100-01 0.782 0.789 0.795 0.793
100-02 0.771 0.776 0.78 0.775
100-03 0.761 3 0.764 2.46 0.766 2.06 0.758 1.76
100-04 0.751 0.751 0.751 0.741
100-05 0.741 0.739 0.736 0.723
100-06 0.731 0.727 0.721 0.706
100-07 0.721 0.714 0.707 0.689
100-08 0.711 3 0.702 2.47 0.692 2.07 0.671 1.76
100-09 0.701 0.69 0.677 0.654
100-10 0.69 0.678 0.663 0.637
100-11 0.68 0.665 0.648 0.62
100-12 0.67 0.653 0.633 0.602
100-13 0.66 3.01 0.641 2.47 0.619 2.07 0.585 1.76
100-14 0.65 0.628 0.604 0.568
100-15 0.64 0.616 0.589 0.551
100-16 0.63 0.604 0.575 0.534
100-17 0.62 0.592 0.56 0.517
- -----------------------------------------------------------------------------------------------
Average Life : 3.68 2.92 2.39 2
First Pay : 11/28/99 11/28/99 11/28/99 11/28/99
Last Pay : 8/28/13 1/28/11 2/28/09 8/28/07
Collateral Loss: - - - -
Agg. Bond Loss : - - - -
- -----------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RUN TO MATURITY CLASS A
- ----------------------------------------------------------------------------
40% CPR 45% CPR 50% CPR
--------------------------------------------------------
PRICE Disc Marg Dur Disc Marg Dur Disc Marg Dur
- ----------------------------------------------------------------------------
<S> <C>
99-15 1.164 1.5 1.214 1.31 1.277 1.14
99-16 1.144 1.191 1.25
99-17 1.123 1.168 1.223
99-18 1.103 1.144 1.197
99-19 1.083 1.121 1.17
99-20 1.062 1.51 1.098 1.31 1.143 1.14
99-21 1.042 1.074 1.117
99-22 1.022 1.051 1.09
99-23 1.002 1.028 1.063
99-24 0.982 1.005 1.037
99-25 0.961 1.51 0.981 1.31 1.01 1.15
99-26 0.941 0.958 0.984
99-27 0.921 0.935 0.957
99-28 0.901 0.912 0.93
99-29 0.881 0.888 0.904
99-30 0.86 1.51 0.865 1.31 0.877 1.15
99-31 0.84 0.842 0.851
100-00 0.82 0.819 0.824
100-01 0.8 0.796 0.798
100-02 0.78 0.773 0.772
100-03 0.76 1.51 0.749 1.32 0.745 1.15
100-04 0.74 0.726 0.719
100-05 0.72 0.703 0.692
100-06 0.7 0.68 0.666
100-07 0.68 0.657 0.639
100-08 0.66 1.52 0.634 1.32 0.613 1.15
100-09 0.639 0.611 0.587
100-10 0.619 0.588 0.56
100-11 0.599 0.565 0.534
100-12 0.579 0.542 0.508
100-13 0.559 1.52 0.519 1.32 0.481 1.16
100-14 0.54 0.496 0.455
100-15 0.52 0.473 0.429
100-16 0.5 0.45 0.403
100-17 0.48 0.427 0.376
- ----------------------------------------------------------------------------
Average Life : 1.7 1.46 1.26
First Pay : 11/28/99 11/28/99 11/28/99
Last Pay : 6/28/06 7/28/05 10/28/04
Collateral Loss: - - -
Agg. Bond Loss : - - -
- ----------------------------------------------------------------------------
</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).
8
<PAGE>
<TABLE>
<CAPTION>
RUN TO MATURITY CLASS M
- ----------------------------------------------------------------------------------------------
20% CPR 25% CPR 30% CPR 35% CPR
---------------------------------------------------------------------------
PRICE Disc Marg Dur Disc Marg Dur Disc Marg Dur Disc Marg Dur
- ----------------------------------------------------------------------------------------------
<S> <C>
99-15 1.365 9.68 1.398 8.64 1.424 7.67 1.44 6.81
99-16 1.362 1.394 1.42 1.436
99-17 1.359 1.391 1.416 1.431
99-18 1.356 1.387 1.412 1.427
99-19 1.353 1.384 1.408 1.422
99-20 1.349 9.69 1.38 8.64 1.404 7.67 1.418 6.81
99-21 1.346 1.376 1.4 1.413
99-22 1.343 1.373 1.396 1.409
99-23 1.34 1.369 1.392 1.404
99-24 1.337 1.366 1.388 1.4
99-25 1.334 9.69 1.362 8.65 1.384 7.68 1.395 6.82
99-26 1.331 1.359 1.38 1.391
99-27 1.327 1.355 1.377 1.386
99-28 1.324 1.352 1.373 1.382
99-29 1.321 1.348 1.369 1.377
99-30 1.318 9.7 1.345 8.65 1.365 7.68 1.373 6.82
99-31 1.315 1.341 1.361 1.369
100-00 1.312 1.338 1.357 1.364
100-01 1.309 1.334 1.353 1.36
100-02 1.305 1.331 1.349 1.355
100-03 1.302 9.7 1.327 8.66 1.345 7.68 1.351 6.82
100-04 1.299 1.324 1.341 1.346
100-05 1.296 1.32 1.337 1.342
100-06 1.293 1.317 1.333 1.337
100-07 1.29 1.313 1.329 1.333
100-08 1.287 9.71 1.31 8.66 1.325 7.69 1.328 6.83
100-09 1.284 1.306 1.321 1.324
100-10 1.28 1.303 1.317 1.32
100-11 1.277 1.299 1.313 1.315
100-12 1.274 1.296 1.309 1.311
100-13 1.271 9.72 1.292 8.67 1.305 7.69 1.306 6.83
100-14 1.268 1.289 1.301 1.302
100-15 1.265 1.285 1.298 1.297
100-16 1.262 1.282 1.294 1.293
100-17 1.259 1.278 1.29 1.289
- ----------------------------------------------------------------------------------------------
Average Life : 16.27 13.5 11.26 9.51
First Pay : 8/28/13 1/28/11 2/28/09 8/28/07
Last Pay : 9/28/20 3/28/18 8/28/15 4/28/13
Collateral Loss: - - - -
Agg. Bond Loss : - - - -
- ----------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
RUN TO MATURITY CLASS M
- ----------------------------------------------------------------------------
40% CPR 45% CPR 50% CPR
---------------------------------------------------------
PRICE Disc Marg Dur Disc Marg Dur Disc Marg Dur
- ----------------------------------------------------------------------------
<S> <C>
99-15 1.464 6.06 1.477 5.4 1.497 4.82
99-16 1.459 1.472 1.49
99-17 1.454 1.466 1.484
99-18 1.449 1.46 1.478
99-19 1.444 1.455 1.471
99-20 1.439 6.06 1.449 5.4 1.465 4.82
99-21 1.434 1.443 1.459
99-22 1.429 1.438 1.453
99-23 1.424 1.432 1.446
99-24 1.419 1.427 1.44
99-25 1.414 6.06 1.421 5.4 1.434 4.82
99-26 1.408 1.415 1.427
99-27 1.403 1.41 1.421
99-28 1.398 1.404 1.415
99-29 1.393 1.398 1.408
99-30 1.388 6.06 1.393 5.41 1.402 4.82
99-31 1.383 1.387 1.396
100-00 1.378 1.382 1.389
100-01 1.373 1.376 1.383
100-02 1.368 1.37 1.377
100-03 1.363 6.07 1.365 5.41 1.371 4.83
100-04 1.358 1.359 1.364
100-05 1.353 1.353 1.358
100-06 1.348 1.348 1.352
100-07 1.343 1.342 1.345
100-08 1.338 6.07 1.337 5.41 1.339 4.83
100-09 1.333 1.331 1.333
100-10 1.328 1.325 1.327
100-11 1.323 1.32 1.32
100-12 1.318 1.314 1.314
100-13 1.313 6.07 1.309 5.41 1.308 4.83
100-14 1.308 1.303 1.302
100-15 1.303 1.297 1.295
100-16 1.298 1.292 1.289
100-17 1.293 1.286 1.283
- ----------------------------------------------------------------------------
Average Life : 8.11 6.99 6.07
First Pay : 6/28/06 7/28/05 10/28/04
Last Pay : 5/28/11 11/28/09 7/28/08
Collateral Loss: - - -
Agg. Bond Loss : - - -
- ----------------------------------------------------------------------------
</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).
9
