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: May 28, 1996
(Date of earliest event reported)
Southern Pacific Secured Assets Corp.
(Exact name of registrant as specified in its charter)
California 333-3197 33-0659688
(State or Other Juris- (Commission (I.R.S. Employer
diction of Incorporation) File Number) Identification No.)
One Centerpointe Drive, Suite 500, Lake Oswego, Oregon 97035
(Address of Principal Executive Office) (Zip Code)
Registrant's telephone number, including area code:(503) 684-4700
<PAGE>
-2-
Item 5. Other Events.
On May 31, 1996, the Registrant will cause the issuance and
sale of approximately $170,000,000 initial principal amount of Mortgage
Pass-Through Certificates, Series 1996-2, Class A-1, Class A-2, Class
A-3, Class A-4, Class A-5, Class A-6, Class I S, Class II S and Class R
(collectively, the "Certificates") pursuant to a Pooling and Servicing
Agreement to be dated as of May 8, 1996, among the Registrant, Advanta
Mortgage Corp. USA, as master servicer, and Bankers Trust Company of
California, N.A., as trustee.
In connection with the sale of the Series 1996-2, Class A-1,
Class A-2, Class A- 3, Class A-4, Class A-5 and Class A-6 Certificates
(collectively, the "Underwritten Certificates"), the Registrant have
been advised by Lehman Brothers Inc. and Prudential Securities
Incorporated (together, the "Underwriters"), that the Underwriters have
furnished to prospective investors certain yield tables and other
computational materials (the "Computational Materials") with respect to
the Underwritten Certificates following the effective date of
Registration Statement No. 333-3197, which Computational Materials are
being filed as exhibits to this report.
The Computational Materials have been provided by the
Underwriters. The information in the Computational Materials is
preliminary and may be superseded by the Prospectus Supplement relating
to the Certificates and by any other information subsequently filed
with the Securities and Exchange Commission.
The Computational Materials were prepared by the Underwriters
at the request of certain prospective investors, based on assumptions
provided by, and satisfying the special requirements of, such
prospective investors. The Computational Materials may be based on
assumptions that differ from the assumptions set forth in the
Prospectus Supplement. The Computational Materials may not include, and
do not purport to include, information based on assumptions
representing a complete set of possible scenarios. Accordingly, the
Computational Materials may not be relevant to or appropriate for
investors other than those specifically requesting them.
In addition, the actual characteristics and performance of the
mortgage loans underlying the Underwritten Certificates (the "Mortgage
Loans") may differ from the assumptions used in the Computational
Materials, which are hypothetical in nature and which were provided to
certain investors only to give a general sense of how the yield,
average life, duration, expected maturity, interest rate sensitivity
and cash flow characteristics of a particular class of Underwritten
Certificates might vary under varying prepayment and other scenarios.
Any difference between such assumptions and the actual characteristics
and performance of the Mortgage Loans will affect the actual yield,
average life, duration, expected maturity, interest rate sensitivity
and cash flow
<PAGE>
-3-
characteristics of the Underwritten Certificates.
Item 7. FINANCIAL STATEMENTS, PRO FORMA FINANCIAL INFORMATION AND EXHIBITS
(a) FINANCIAL STATEMENTS.
Not applicable.
(b) PRO FORMA FINANCIAL INFORMATION.
Not applicable.
(c) EXHIBITS
ITEM 601(A) OF
REGULATION S-K
EXHIBIT NO. EXHIBIT NO. DESCRIPTION
1 99 Computational Materials
<PAGE>
-4-
Pursuant to the requirements of the Securities Exchange Act of 1934,
the Registrant has duly caused this report to be signed on behalf of the
Registrant by the undersigned thereunto duly authorized.
SOUTHERN PACIFIC SECURED ASSETS
CORP.
By: /s/ Gary Palmer
Name: Gary Palmer
Title: Director
Dated: May 28, 1996
<PAGE>
EXHIBIT INDEX
Item 601 (a) of Sequentially
Exhibit Regulation S-K Numbered
Number Exhibit No. Description Page
- ------- ----------- ---------------- -------
1 99 Computational Materials 6
EXHIBIT 99
LEHMAN BROTHERS
DERIVED INFORMATION
$170,000,000 Certificates
SOUTHERN PACIFIC SECURED ASSETS CORP.
MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 1996-2
Southern Pacific Funding Corp. (Seller)
ADVANTA Mortgage Corp. USA (Master 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 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>
SECURITIES OFFERED:
TO MATURITY:
<TABLE>
<CAPTION>
Estimated
Approx. Estimated Principal Expected Stated
Securities Approx. Group Expected WAL/Mod. Pmt. Final Final
(1) (2) Size No. Benchmark Price DUR (yrs) Window Maturity Maturity
============================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Class A- 1 75,000,000 I 1 mo LIBOR 100.00% 3.88/3.18 233 months 10/25/15 8/25/27
Class A- 2 36,890,000 II 1 Yr Tsy 99.992% 1.08/1.01 25 months 6/25/98 10/25/16
Class A- 3 27,110,000 II 3 Yr Tsy 99.975% 3.08/2.67 28 months 9/25/00 6/25/22
Class A- 4 12,280,000 II 5 Yr Tsy 99.964% 5.20/4.17 24 months 8/25/02 3/25/24
Class A- 5 9,280,000 II 7 Yr Tsy 99.977% 7.30/5.39 30 months 1/25/05 4/25/25
Class A- 6 9,440,000 II 10 Yr Tsy 99.936% 11.62/7.27 126 months 6/25/15 8/25/27
</TABLE>
TO 10% CALL:
<TABLE>
<CAPTION>
Estimated
Approx. Estimated Principal Expected Stated
Securities Approx. Group Expected WAL/Mod. Pmt. Final Final
(1) (2) Size No. Benchmark Price DUR (yrs) Window Maturity Maturity
===========================================================================================================
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Class A- 1 75,000,000 I 1 mo LIBOR 100.00% 3.59/3.03 108 months 5/25/05 8/25/27
Class A- 2 36,890,000 II 1 Yr Tsy 99.992% 1.08/1.01 25 months 6/25/98 10/25/16
Class A- 3 27,110,000 II 3 Yr Tsy 99.975% 3.08/2.67 28 months 9/25/00 6/25/22
Class A- 4 12,280,000 II 5 Yr Tsy 99.964% 5.20/4.17 24 months 8/25/02 3/25/24
Class A- 5 9,280,000 II 5 Yr Tsy 99.977% 7.30/5.39 30 months 1/25/05 4/25/25
Class A- 6 9,440,000 II 10 Yr Tsy 99.936% 8.97/6.21 5 months 5/25/05 8/25/27
</TABLE>
(1) ALL SECURITIES ARE RATED AAA/AAA BY MOODY'S / S&P.
(2)PREPAYMENTS ARE SIZED AT 115% OF THE PREPAYMENT ASSUMPTION. A 100%
PREPAYMENT ASSUMPTION ASSUMES THAT PREPAYMENTS RISE FROM 4% CPR IN MONTH
1 BY 1.45% CPR EACH MONTH TO 20% CPR IN MONTH 12, AND REMAIN AT 20% CPR
THEREAFTER.
- --------------------------------------------------------------------------------
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 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>
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
GROUP I CERTIFICATES
<TABLE>
<CAPTION>
TO MATURITY
<S> <C> <C> <C> <C> <C> <C>
% of Prepayment Assumption 50.0% 75.0% 100.0% 115.0% 150.0% 200.0%
Implied Seasoned CPR 10.0% 15.0% 20.0% 23.0% 30.0% 40.0%
CLASS A-1
Avg. Life (yrs) 8.06 5.78 4.43 3.88 2.90 2.23
Mod Duration (yrs) 5.59 4.35 3.54 3.18 2.56 1.99
Window (begin-end) (mths) 1 - 347 1 - 316 1 - 264 1 - 233 1 - 178 1 - 128
Expected Final Maturity 4/25/25 9/25/22 5/25/18 10/25/15 3/25/11 1/25/07
Yield @ 100.000% 5.85 5.86 5.86 5.86 5.86 5.87
</TABLE>
<TABLE>
<CAPTION>
TO 10% CLEANUP CALL
<S> <C> <C> <C> <C> <C> <C>
% OF PREPAYMENT ASSUMPTION 50.0% 75.0% 100.0% 115.0% 150.0% 200.0%
Implied Seasoned CPR 10.0% 15.0% 20.0% 23.0% 30.0% 40.0%
CLASS A-1
Avg. Life (yrs) 7.65 5.37 4.10 3.59 2.77 2.08
Mod Duration (yrs) 5.48 4.20 3.39 3.03 2.43 1.89
Window (begin-end) (mths) 1 - 227 1 - 163 1 - 124 1 - 108 1 - 82 1 - 60
Expected Final Maturity 4/25/15 12/25/09 9/25/06 5/25/05 3/25/03 5/25/01
Yield @ 100.000% 5.85 5.85 5.85 5.85 5.85 5.85
</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 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>
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
GROUP II CERTIFICATES
<TABLE>
<CAPTION>
TO MATURITY
<S> <C> <C> <C> <C> <C> <C>
% of Prepayment Assumption 50.0% 75.0% 100.0% 115.0% 150.0% 200.0%
Implied Seasoned CPR 10.0% 15.0% 20.0% 23.0% 30.0% 40.0%
CLASS A-2
Avg. Life (yrs) 2.09 1.51 1.21 1.08 0.89 0.72
Mod Duration (yrs) 1.86 1.38 1.11 1.01 0.83 0.68
Window (begin-end) (mths) 1 - 52 1 - 37 1 - 28 1 - 25 1 - 20 1 - 15
Expected Final Maturity 9/25/00 6/25/99 9/25/98 6/25/98 1/25/98 8/25/97
Yield @ 99.992% 6.58 6.49 6.41 6.37 6.37 6.15
CLASS A-3
Avg. Life (yrs) 6.68 4.62 3.52 3.08 2.39 1.80
Mod Duration (yrs) 5.12 3.80 3.01 2.67 2.12 1.63
Window (begin-end) (mths) 52 - 114 37 - 79 28 - 60 25 - 52 20 - 40 15 - 29
Expected Final Maturity 11/25/05 12/25/02 5/25/01 9/25/00 9/25/99 10/25/98
Yield @ 99.975% 7.06 7.03 7.00 6.98 6.94 6.87
CLASS A-4
Avg. Life (yrs) 11.29 7.90 5.98 5.20 3.96 2.91
Mod Duration (yrs) 7.40 5.78 4.67 4.17 3.32 2.53
Window (begin-end) (mths) 114 - 160 79 - 113 60 - 86 52 - 75 40 - 57 29 - 41
Expected Final Maturity 9/25/09 10/25/05 7/25/03 8/25/02 2/25/01 10/25/99
Yield @ 99.964% 7.44 7.42 7.40 7.39 7.36 7.32
CLASS A-5
Avg. Life (yrs) 15.50 11.05 8.40 7.30 5.53 4.02
Mod Duration (yrs) 8.75 7.19 5.97 5.39 4.35 3.34
Window (begin-end) (mths) 160 - 219 113 - 157 86 - 120 75 - 104 57 - 79 41 - 57
Expected Final Maturity 8/25/14 6/25/09 5/25/06 1/25/05 12/25/02 2/25/01
Yield @ 99.977% 7.75 7.73 7.72 7.71 7.69 7.65
CLASS A-6
Avg. Life (yrs) 22.59 17.18 13.31 11.62 8.81 6.36
Mod Duration (yrs) 10.15 9.00 7.87 7.27 6.07 4.79
Window (begin-end) (mths) 219 - 347 157 - 313 120 - 259 104 - 229 79 - 174 57 - 126
Expected Final Maturity 4/25/25 6/25/22 12/25/17 6/25/15 11/25/10 11/25/06
Yield @ 99.936% 7.97 7.97 7.96 7.95 7.94 7.92
</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 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>
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
GROUP II CERTIFICATES
<TABLE>
<CAPTION>
TO 10% CLEAN-UP CALL
<S> <C> <C> <C> <C> <C> <C>
% of Prepayment Assumption 50.0% 75.0% 100.0% 115.0% 150.0% 200.0%
Implied Seasoned CPR 10.0% 15.0% 20.0% 23.0% 30.0% 40.0%
CLASS A-2
Avg. Life (yrs) 2.09 1.51 1.21 1.08 0.89 0.72
Mod Duration (yrs) 1.86 1.38 1.11 1.01 0.83 0.68
Window (begin-end) (mths) 1 - 52 1 - 37 1 - 28 1 - 25 1 - 20 1 - 15
Expected Final Maturity 9/25/00 6/25/99 9/25/98 6/25/98 1/25/98 8/25/97
Yield @ 99.992% 6.58 6.49 6.41 6.37 6.27 6.15
CLASS A-3
Avg. Life (yrs) 6.68 4.62 3.52 3.08 2.39 1.80
Mod Duration (yrs) 5.12 3.80 3.01 2.67 2.12 1.63
Window (begin-end) (mths) 52 - 114 37 - 79 28 - 60 25 - 52 20 - 40 15 - 29
Expected Final Maturity 11/25/05 12/25/02 5/25/01 9/25/00 9/25/99 10/25/98
Yield @ 99.975% 7.06 7.03 7.00 6.98 6.94 6.87
CLASS A-4
Avg. Life (yrs) 11.29 7.90 5.98 5.20 3.96 2.91
Mod Duration (yrs) 7.40 5.78 4.67 4.17 3.32 2.53
Window (begin-end) (mths) 114 - 160 79 - 113 60 - 86 52 - 75 40 - 57 29 - 41
Expected Final Maturity 9/25/09 10/25/05 7/25/03 8/25/02 2/25/01 10/25/99
Yield @ 99.964% 7.44 7.42 7.40 7.39 7.36 7.32
CLASS A-5
Avg. Life (yrs) 15.50 11.05 8.40 7.30 5.53 4.02
Mod Duration (yrs) 8.75 7.19 5.97 5.39 4.35 3.34
Window (begin-end) (mths) 160 - 219 113 - 157 86 - 120 75 - 104 57 - 79 41 - 57
Expected Final Maturity 8/25/14 6/25/09 5/25/06 1/25/05 12/25/02 2/25/01
Yield @ 99.977% 7.75 7.73 7.72 7.71 7.69 7.65
CLASS A-6
Avg. Life (yrs) 18.87 13.54 10.30 8.97 6.81 4.97
Mod Duration (yrs) 9.50 8.04 6.81 6.21 5.08 3.97
Window (begin-end) (mths) 219 - 227 157 - 163 120 - 124 104 - 108 79 - 82 57-60
Expected Final Maturity 4/25/15 12/25/09 9/25/05 5/25/05 3/25/03 5/25/01
Yield @ 99.936% 7.97 7.96 7.95 7.94 7.93 7.90
</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 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>
COLLATERAL SUMMARY
Collateral statistics for the Group I Initial Mortgage Loans are listed below as
of the CUT-OFF DATE.
<TABLE>
<CAPTION>
GROUP I LOANS
<S> <C> <C>
TOTAL NUMBER OF LOANS 322
TOTAL OUTSTANDING LOAN BALANCE $54,789,721.74
LEVEL PAY (% OF TOTAL) 100.0%
BALLOON (% OF TOTAL) 0.0%
AVERAGE LOAN PRINCIPAL BALANCE $170,154.42
WEIGHTED AVERAGE COUPON 9.47%
WEIGHTED AVERAGE MARGIN 5.70%
WEIGHTED AVERAGE ORIGINAL TERM (MOTHS) 358
RANGE OF ORIGINAL TERMS 0-180 1.02%
181-360 98.98%
WEIGHTED AVERAGE REMAINING TERM 357 179-360
(MONTHS)
WEIGHTED AVERAGE LIFE CAP 16.44% 14.75% - 19.50%
WEIGHTED AVERAGE PERIODIC CAP 1.028% 1.00% - 1.50%
WEIGHTED AVERAGE FLOOR 9.47% 7.75% - 12.50%
WEIGHTED AVERAGE LTV 73.97% 27.28% - 90.00%
LIEN POSITION (FIRST/SECOND) 100%/0.0%
PROPERTY TYPE
SINGLE FAMILY DETACHED 86.76%
TWO TO FOUR FAMILY 4.19%
PLANNED URBAN DEVELOPMENT (PUD) 3.99%
CONDO/TOWNHOUSES 5.06%
OCCUPANCY STATUS
OWNER OCCUPIED 89.68%
NON OWNER OCCUPIED 10.32%
</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 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>
COLLATERAL SUMMARY (CONT.)
<TABLE>
<CAPTION>
GEOGRAPHIC DISTRIBUTION
<S> <C> <C>
OTHER STATES ACCOUNT INDIVIDUALLY FOR LESS CALIFORNIA 34.87%
THAN 5% OF GROUP I PRINCIPAL BALANCE COLORADO 11.49%
UTAH 8.24%
HAWAII 5.43%
MARYLAND 5.43%
OREGON
5.32%
NEXT RATE ADJUSTMENT DATE 6/1/1996 0.14%
7/1/1996 0.39%
8/1/1996 1.40%
9/1/1996 24.52%
10/1/1996 34.61%
11/1/1996 30.86%
12/1/1996 6.42%
3/1/1999 0.41%
4/1/1999 0.62%
5/1/1999 0.62%
ORIGINATION YEARS 1995 0.81%
1996 99.19%
CREDIT CLASS
A 10.48%
A- 66.97%
B 15.67%
C 5.69%
D 1.19%
</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 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>
COLLATERAL SUMMARY (CONT.)
Collateral statistics for the Group II Initial Mortgage Loans are listed below
as of the CUT-OFF DATE.
<TABLE>
<CAPTION>
GROUP II LOANS
<S> <C> <C> <C>
TOTAL NUMBER OF LOANS 738
TOTAL OUTSTANDING LOAN BALANCE $70,629,127.31
LEVEL PAY (% OF TOTAL) 99.58%
BALLOON (% OF TOTAL) 0.42%
AVERAGE LOAN PRINCIPAL BALANCE $95,703.42
WEIGHTED AVERAGE COUPON 11.13%
WEIGHTED AVERAGE ORIGINAL TERM (MOTHS) 343
RANGE OF ORIGINAL TERMS 0-120 0.12%
121-180 8.87%
181-240 0.16%
241-360 90.85%
WEIGHTED AVERAGE REMAINING TERM (MONTHS) 341 30-360
WEIGHTED AVERAGE CLTV 73.14% 14.71% - 95.0%
FIRST LIEN PERCENTAGE 98.06%
PROPERTY TYPE
SINGLE FAMILY DETACHED 89.87%
TWO TO FOUR FAMILY 4.09%
PLANNED URBAN DEVELOPMENT (PUD) 2.78%
CONDO/TOWNHOUSES 3.26%
OCCUPANCY STATUS
OWNER OCCUPIED 91.47%
NON OWNER OCCUPIED 8.53%
</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 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>
COLLATERAL SUMMARY
<TABLE>
<CAPTION>
GEOGRAPHIC DISTRIBUTION
<S> <C> <C> <C>
OTHER STATES ACCOUNT INDIVIDUALLY FOR LESS CALIFORNIA 22.26%
THAN 5% OF GROUP II PRINCIPAL BALANCE OREGON 12.40%
WASHINGTON 9.48%
FLORIDA 8.71%
MARYLAND 5.12%
ORIGINATION YEARS 1989 0.53%
1990 LESS THAN 0.01%
1991 0.26%
1992 0.50%
1993 0.21%
1994 0.62%
1995 3.62%
1996 94.26%
CREDIT CLASS
A 18.02%
A- 50.41%
B 19.52%
C 9.02%
D and CX 3.04%
</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 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-
SOUTHERN PACIFIC SECURED ASSETS CORP.
MORTGAGE LOAN TRUST
SERIES 1996-2 CLASS A CERTIFICATES
SPSAC 1996-2
----------------------------------------------------------
$75,000,000 Class A-1 Floating Rate Certificates - 1M LIBOR +
$36,890,000 Class A-2 Fixed Rate Certificates - %
$27,110,000 Class A-3 Fixed Rate Certificates - %
$12,280,000 Class A-4 Fixed Rate Certificates - %
$ 9,280,000 Class A-5 Fixed Rate Certificates - %
$ 9,440,000 Class A-6 Fixed Rate Certificates - %
THE INFORMATION HEREIN HAS BEEN PROVIDED SOLELY BY PSI BASED ON INFORMATION WITH
RESPECT TO THE MORTGAGE LOANS PROVIDED BY THE SPONSOR. NEITHER THE SPONSOR NOR
ANY OF ITS AFFILIATES MAKES ANY REPRESENTATION AS TO THE ACCURACY OR
COMPLETENESS OF THE INFORMATION HEREIN. THE INFORMATION HEREIN IS PRELIMINARY
AND WILL BE SUPERSEDED BY THE PROSPECTUS SUPPLEMENT AND BY ANY OTHER INFORMATION
SUBSEQUENTLY FILED WITH THE SECURITIES AND EXCHANGE COMMISSIONS (SEC). ALL
ASSUMPTIONS AND INFORMATION IN THIS REPORT REFLECT PSI'S JUDGMENT AS OF THIS
DATE AND ARE SUBJECT TO CHANGE. ALL ANALYSES ARE BASED ON CERTAIN ASSUMPTIONS
NOTED HEREIN AND DIFFERENT ASSUMPTIONS COULD YIELD SUBSTANTIALLY DIFFERENT
RESULTS. YOU ARE CAUTIONED THAT THERE IS NO UNIVERSALLY ACCEPTED METHOD FOR
ANALYZING FINANCIAL INSTRUMENTS. YOU SHOULD REVIEW THE ASSUMPTIONS; THERE MAY BE
DIFFERENCES BETWEEN THESE ASSUMPTIONS AND YOUR ACTUAL BUSINESS PRACTICES.
FURTHER, PSI DOES NOT GUARANTEE ANY RESULTS AND THERE IS NO GUARANTEE AS TO THE
LIQUIDITY OF THE INSTRUMENTS INVOLVED IN THIS ANALYSIS. THE DECISION TO ADOPT
ANY STRATEGY REMAINS YOUR RESPONSIBILITY. PSI (OR ANY OF ITS AFFILIATES) OR
THEIR OFFICERS, DIRECTORS, ANALYSTS OR EMPLOYEES MAY HAVE POSITIONS IN
SECURITIES, COMMODITIES OR DERIVATIVE INSTRUMENTS THEREON REFERRED TO HERE, AND
MAY, AS PRINCIPAL OR AGENT, BUY OR SELL SUCH SECURITIES, COMMODITIES OR
DERIVATIVE INSTRUMENTS. IN ADDITION, PSI MAY MAKE A MARKET IN THE SECURITIES
REFERRED TO HEREIN. NEITHER THE INFORMATION NOR THE ASSUMPTIONS REFLECTED HEREIN
SHALL BE CONSTRUED TO BE, OR CONSTITUTE, AN OFFER TO SELL OR BUY OR A
SOLICITATION OF AN OFFER TO SELL OR BUY ANY SECURITIES, COMMODITIES OR
DERIVATIVE INSTRUMENTS MENTIONED HEREIN. NO SALE OF ANY SECURITIES, COMMODITIES
OR DERIVATIVE INSTRUMENTS SHOULD BE CONSUMMATED WITHOUT THE PURCHASER FIRST
HAVING RECEIVED A PROSPECTUS AND, IF REQUIRED, PROSPECTUS SUPPLEMENT. FINALLY,
PSI HAS NOT ADDRESSED THE LEGAL, ACCOUNTING AND TAX IMPLICATIONS OF THE ANALYSIS
WITH RESPECT TO YOU, AND PSI STRONGLY URGES YOU TO SEEK ADVICE FROM YOUR
COUNSEL, ACCOUNTANT AND TAX ADVISOR.
<PAGE>
Southern Pacific Secured Assets Corp.
Mortgage Loan Trust
Series 1996-2 Class A Certificates
ALL CERTIFICATES
Title Of Securities: Southern Pacific Secured Assets Corp. Mortgage Loan
Trust 1996-2,
Group I: Class A-1 (the "Adjustable Rate
Certificates")
Group II: Class A-2 though Class A-6 (the "Fixed Rate
Certificates")
Prepayment
Assumption: Pricing prepayment speed: 115% of the "Southern
Pacific prepay ramp". the Southern Pacific prepay
ramp is assumed to be equal to a 12 month ramp
beginning at 4.00% CPR in month 1 and increasing in
equal monthly increments to 20.00% CPR. Actual
prepayments may vary.
GROUP I: FLOATING RATE CLASS
CLASS A-1
Approximate Face Amount: 75,000,000
Avg Life to 10% Call Date: 3.58 yrs
(approx.)
Avg. Life to Maturity (app.): 3.87 yrs
Pass-Through Rate: [ %]
Price: [100%]
Spread: __ bps
Yield (CBE): [ %]
Day Count: act/360
Expected Maturity to Call: 8.90 yrs
(ast pricing speed)
Expected Maturity: 19.40 yrs
(ap pricing speed)
Stated Maturity: 3/25/26
(at 0 CPR):
<TABLE>
<CAPTION>
GROUP II: FIXED RATE CLASSES
CLASS A-2 CLASS A-3 CLASS A-4 CLASS A-5 CLASS A-6
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
Approximate Face Amount: 36,890,000 27,110,000 12,280,000 9,280,000 9,440,000
Avg Life to 10% Call Date: 1.08 yrs. 3.08 yrs 5.20 yrs 7.30 yrs 8.90 yrs
(appox.)
Avg. Life to Maturity 1.08 yrs. 3.08 yrs 5.20 yrs 7.30 yrs 11.62 yrs
(app.):
Pass-Through Rate: 1ML+__ bps [ %] [ %] [ %] [ %]
Price: [ ] [ ] [ ] [ ] [ ]
Spread: ____ bps ___ bps ___ bps ___ bps ___ bps
Yield (CBE): [ %] [ %] [ %] [ %] [ %]
Day Count: 30/360 30/360 30/360 30/360 30/360
Expected Maturity to Call: 2.07 yrs 4.32 yrs 6.24 yrs 8.65 yrs 8.90 yrs
(at pricing speed)
Expected Maturity: 2.07 yrs 4.32 yrs 6.24 yrs 8.65 yrs 19.07 yrs
(at pricing speed)
Stated Maturity: 2/25/16 3/25/22 1/25/24 3/25/25 4/25/26
(at 0 CPR)
</TABLE>
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES
INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL
TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE
PROSPECTUS SUPPLEMENT.
<PAGE>
Southern Pacific Secured Assets Corp.
Mortgage Loan Trust
Series 1996-2 Class A Certificates
FOR A COMPLETE DESCRIPTION OF THE FLOW OF FUNDS, PLEASE REFER TO THE
PROSPECTUS SUPPLEMENT SECTION TITLED "DESCRIPTION OF THE CLASS A
CERTIFICATES -- DISTRIBUTIONS"
Depositor: Southern Pacific Secured Assets Corp.
Seller: Southern Pacific Funding Corp.
Servicer: Advanta Mortgage Corp.
Servicer Fee: 50 bps per annum
Trustee: Bankers Trust Company of California, N.A.
Pricing Date: May [23], 1996
Settlement Date: May [31], 1996
Principal Paydown: - All Group I principal pays the Group I Floating
Rate Certificates (Class A-1 Certificates)
- All Group II principal is passed through to the
Group II Fixed Rate Certificates (Classes A-2
through A-6) sequentially.
Flow of Funds: GROUP I AND GROUP II MONTHLY CASH FLOWS
1) to each Servicer, any unreimbursed advance on a
mortgage loan which is determined by the
respective Servicer, in its good faith judgment,
to not be ultimately recoverable from either any
future collections on such mortgage loan or upon
liquidation;
2) to each Servicer, the Servicer Fee;
3) to the Certificate Insurer, the Premium;
4) to the Trustee, the Trustee Fee;
GROUP I MONTHLY CASH FLOWS
5) accrued monthly interest to the Class A-1
Certificates;
6) monthly principal to the Class A-1 Certificates;
7) to the Surety Provider, any unreimbursed draws;
8) to O/C up to its target amount as described
below;
9) to Subordinated Class S Certificate holder; and
10) to the Class R Certificate holder.
GROUP II MONTHLY CASH FLOWS
5) accrued monthly interest pro-rata to the Class
A-2, A-3, A-4, A-5 and A-6 Certificates;
6) monthly principal sequentially to the Class A-2,
A-3, A-4, A-5 and A-6 Certificates;
7) to the Surety Provider, any unreimbursed draws;
8) to O/C up to its target amount as described
below;
9) to Subordinated Class S Certificate holder; and
10) to the Class R Certificate holders.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT
RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL
SECURITIES INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL
TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL
INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE>
Southern Pacific Secured Assets Corp.
Mortgage Loan Trust
Series 1996-2 Class A Certificates
Credit Enhancement: A combination of:
- Excess monthly cash flow
- Overcollateralization
- Cross-collateralization for losses due to credit
risk only not basis risk from interest rate index
mismatch
- 100% wrap from MBIA guaranteeing timely interest
and ultimate principal.
Overcollateralization: The credit enhancement provisions of the Trust are
intended to provide for the limited acceleration of
the Certificates relative to the amortization of the
related collateral, generally in the early months of
the transaction. Accelerated amortization is achieved
by applying certain excess interest collected on the
collateral to the payment of principal on the
Certificates, resulting in the build up of
overcollateralization ("O/C"). By paying down the
principal balance of the certificates faster than the
principal amortization of the respective collateral
pool, an overcollateralization amount equal to the
excess of the aggregate principal balance of the
Collateral Pool over the principal balance of the
related Certificates is created. Excess cashflow will
be directed to build the O/C amount until the pool
reaches its required O/C target. Upon this event the
acceleration feature will cease, unless it is once
again necessary to maintain the required O/C level.
Overcollateralization: GROUP I
Levels (Approx.)
Initial O/C: .00% O/C Target: 3.60%
O/C Floor: .50%
GROUP II
Initial O/C: .00% O/C Target: 2.25%
O/C Floor: .50%
All O/C percentages are subject to step downs
beginning in month 30 if certain tests are met.
Certificate Insurer: MBIA Insurance Corporation ("MBIA")
MBIA's claims-paying ability is rated AAA/Aaa by
Standard & Poor's and Moody's.
Certificate Insurance: Timely payments of interest and ultimate payment of
principal on the Class A Certificates will be 100%
guaranteed by MBIA.
Certificate Ratings: The Class A Certificates will be rated AAA by
Standard & Poor's and Aaa by Moody's Investors
Service.
Clean-up Calls: The Residual Holder has the option to exercise a call
when the aggregate principal balance of the Mortgage
Loans equals 10% or less of the original principal
balance of the Mortgage Loans and the pre-funded
Mortgage Loans as of their respective Cut-Off Dates.
ERISA Consideration: The Class A Certificates will be ERISA eligible after
the pre-funding period. However, investors should
consult with their counsel with respect to the
consequences under ERISA and the Internal Revenue
Code of the Plan's acquisition and ownership of such
Certificates.
SMMEA Considerations: The Class A-1 Certificates will not
be SMMEA eligible. The Class A-2, A-3, A-4, A-5 and
A-6, Certificates will not be SMMEA eligible.
Taxation: REMIC.
Prospectus: The Certificates are being offered pursuant to a
Prospectus which includes a Prospectus Supplement
(together, the "Prospectus"). Complete information
with respect to the Certificates and the Collateral
is contained in the Prospectus. The foregoing is
qualified in its entirety by the information
appearing in the Prospectus. To the extent that the
foregoing is inconsistent with the Prospectus, the
Prospectus shall govern in all respects. Sales of the
Certificates may not be consummated unless the
purchaser has received the Prospectus.
Further Information: Call the desk at (212) 778-2741, Jacqui Galdieri at
(212) 778-2612, Sean Low at (212) 778-2581 or Valerie
Kay at (212) 778-4127 with any questions.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU
DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT
YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE
STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE>
SOUTHERN Pacific Secured Assets Corp.
Mortgage Loan Trust
Series 1996-2, Class A Certificates
- --------------------------------------------------------------------------------
GROUP I
CLASS A-1 ADJUSTABLE RATE CERTIFICATES
Collateral: Group One: Adjustable Rate, First Lien Mortgage
Loans. Approximately 1% of Group I bear interest at a
fixed rate for approximately 3 years after
origination; thereafter adjust semi-annually based
upon 6 month LIBOR and subject to certain periodic
interest rate caps and floors.
Approximate Face Amount: $75,000,000
Average Life to Call: 3.58 years
Interest Payment: actual/360
Pass-Through Rate: The lesser of:
1) One Month LIBOR + [ ] bps
2) The Available Funds Cap
After the Clean-up Call, the lesser of:
1) One Month LIBOR + [ ] bps (which is
equal to 2x's the margin to the call)
2) The Available Funds Cap
Available Funds Cap: A rate equal to a fraction, the numerator
of which is the total amount of interest due on the
Mortgage Loans in Group I during the related
Remittance Period (net of Servicing Fee, the Premium
Amount and the Trustee Fee related to Group I) and
the denominator of which is equal to the Certificate
Principal Amount of the Class A-1 Certificates on
such Payment Date.
Yield: Variable
Expected Maturity
to Call: 4/25/05 at pricing speed
Expected Maturity: 10/25/15 at pricing speed
Stated Maturity: 3/25/26 at 0 CPR
Coupon Step-Up: If the Cleanup Call is not exercised, the coupon on
the Class A-1 Certificates shall be raised to 1M
LIBOR + [ ] bps subject to the Monthly Available
Funds Cap.
Pre-Funding Account: On the closing date, approximately [$20,225,000] will
be deposited in a pre-funding account for the
purchase of additional floating rate mortgage loans.
From the closing date until [June 25, 1996], the
Trust intends to purchase mortgage loans up to the
entire pre-funding amount. The additional mortgage
loans, purchased with funds deposited in the
pre-funding account, will be subject to certain
individual and aggregate group characteristics that
will be more fully described in the Prospectus
Supplement.
Funds remaining in the pre-funding account will be
distributed to the Class A-1 Certificateholders as
prepayments on the [June, 1996] distribution date.
Payment Date: The 25th day of each month or, if such day is not a
business day, the next succeeding business day,
beginning on June 25, 1996.
Interest Accrual Period: Interest will accrue from the 25th day of the
preceding month until the 24th day of the current
month (from Payment Date to Payment Date).
Bond-Interest Adjustment: The coupon rate on the Class A-1 Certificates will
reset every month.
Collateral - Interest and
Payment Adjustments: The interest rates and payments on the underlying
mortgage loans will generally adjust semi-annually.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU
DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT
YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY THE
STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE>
Residential 6mo LIBORs
==========================
AVAILABLE
PERIOD FUNDS
==========================
1 8.80%
- --------------------------
2 8.83%
- --------------------------
3 8.85%
- --------------------------
4 8.89%
- --------------------------
5 9.10%
- --------------------------
6 9.13%
- --------------------------
7 9.19%
- --------------------------
8 9.52%
- --------------------------
9 9.56%
- --------------------------
10 9.65%
- --------------------------
11 9.91%
- --------------------------
12 9.94%
- --------------------------
13 10.36%
- --------------------------
14 10.59%
- --------------------------
15 10.60%
- --------------------------
16 10.62%
- --------------------------
17 10.63%
- --------------------------
18 10.64%
- --------------------------
19 10.65%
- --------------------------
20 10.67%
- --------------------------
21 10.68%
- --------------------------
22 10.69%
- --------------------------
23 10.71%
- --------------------------
24 10.72%
- --------------------------
25 10.73%
- --------------------------
26 10.75%
- --------------------------
27 10.76%
- --------------------------
28 10.78%
- --------------------------
29 10.80%
- --------------------------
30 10.81%
- --------------------------
31 10.83%
- --------------------------
32 10.85%
- --------------------------
33 10.87%
- --------------------------
34 10.88%
- --------------------------
35 10.90%
- --------------------------
36 10.94%
- --------------------------
37 10.96%
- --------------------------
38 10.98%
- --------------------------
39 10.98%
- --------------------------
40 10.98%
- --------------------------
41 10.98%
- --------------------------
42 10.98%
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43 10.98%
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44 10.98%
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47 10.98%
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48 10.98%
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49 10.98%
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50 10.98%
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51 10.98%
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60 10.98%
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<PAGE>
63 10.98%
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107 10.98%
==========================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE
SUCH A DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES
INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL
TERMSHEETS, AND WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE
PROSPECTUS SUPPLEMENT.
<PAGE>
Southern Pacific Secured Assets Corp.
Mortgage Loan Trust
Series 1996-2 Class A Certificates
- --------------------------------------------------------------------------------
GROUP II
CLASSES A-2 THROUGH A-6 FIXED RATE CERTIFICATES
Collateral: Group Two: Fixed Rate, First and Second Lien
Mortgage Loans.
Approximate Group Size: $95,000,000
Approximate Class Sizes: Class A-2 $36,890,000
Class A-3 $27,110,000
Class A-4 $12,280,000
Class A-5 $ 9,280,000
Class A-6 $ 9,440,000
Pre-Funding Account: On the closing date, approximately [$24,375,000]
will be deposited in a pre-funding account for
the purchase of additional fixed rate mortgage
loans. From the closing date until [June 25,
1996], the Trust intends to purchase mortgage
loans up to the entire pre-funding amount. The
additional mortgage loans, purchased with funds
deposited in the pre-funding account, will be
subject to certain individual and aggregate group
characteristics that will be more fully described
in the Prospectus Supplement.
Funds remaining in the pre-funding account will
be distributed to the Class A-2, A-3, A-4, A-5,
and A-6 Certificateholders as prepayments based
on the cash flow priority on the June, 1996
distribution date.
Payment Date: The 25th day of each month or, if such day is not
a business day, the next succeeding business day,
beginning on June 25, 1996.
Payment Delay: 24 days for Certificate Classes A-2 through A-6.
Interest Accrual
Period: Interest will accrue from the 1st day of the
preceding month until the 30th day of the
preceding month for Certificate Classes A-2
through A-6.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF
YOU DID NOT RECEIVE SUCH A DISCLAIMER, PLEASE
CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED
FINANCIAL ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS
STRUCTURAL TERMSHEETS, AND WILL BE SUPERSEDED BY
THE STRUCTURAL INFORMATION IN THE PROSPECTUS
SUPPLEMENT.
