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SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest Event
Reported) December 5, 1997
BEAR STEARNS ASSET BACKED SECURITIES, INC., as depositor
BEAR STEARNS ASSET BACKED SECURITIES, INC.
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(Exact name of registrant as specified in its charter)
Delaware 333-26051
- ---------------------------- ---------------- -------------------
(State or Other Jurisdiction (Commission (I.R.S. Employer
of Incorporation) File Number) Identification No.)
245 Park Avenue
New York, New York 10167
- ---------------------------- -------------------------------
(Address of Principal (Zip Code)
Executive Offices)
Registrant's telephone number, including area code (212) 272-2000
----- --------
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Item 5. Other Events.
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Filing of Derived Materials.
- ---------------------------
Pursuant to Rule 424(b) under the Securities Act of 1933, concurrently
with, or subsequent to, the filing of this Current Report on Form 8-K ("the
Form 8-K"), Bear Stearns Asset Backed Securities, Inc. (the "Company") is
filing a prospectus and prospectus supplement with the Securities and
Exchange Commission in relation to its PSB Lending Home Loan Owner Trust
1997-4, Asset Backed Notes, Class A-2, Class A-3, Class A-4 and Class A-5
(the "Notes").
In connection with the offering of the Notes, Bear, Stearns & Co. Inc.,
as underwriter of the Notes (the "Underwriter"), has prepared certain
materials (the "Derived Materials") for distribution to its potential
investors. Although the Company provided the Underwriter with certain
information regarding the characteristics of the home loans in the related
portfolio, it did not participate in the preparation of the Derived
Materials.
For purposes of this Form 8-K, Derived Materials shall mean computer
generated tables and/or charts displaying, with respect to the Notes, any of
the following: yield; average life, duration; expected maturity; interest
rate sensitivity; loss sensitivity; cash flow characteristics; background
information regarding the Loans; the proposed structure; decrement tables; or
similar information (tabular or otherwise) of a statistical, mathematical,
tabular or computational nature. The Derived Materials are attached hereto
as Exhibit 1.
Item 7. Financial Statements, Pro Forma Financial
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Information and Exhibits.
------------------------
(a) Not applicable.
(b) Not applicable.
(c) Exhibits:
1. The Derived Materials.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.
BEAR STEARNS ASSET BACKED
SECURITIES, INC.
By: /s/ Matthew Perkins
_________________________
Matthew Perkins
Managing Director
Dated: December 5, 1997
Exhibit Index
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Exhibit Page
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1. The Derived Materials. 6
BEAR, STEARNS Bear, Stearns & Co. Inc.
ATLANTA BOSTON CHICAGO Asset-Backed Securities Group
DALLAS LOS ANGELES NEW YORK SAN FRANCISCO 245 Park Avenue
FRANKFORT GENEVA HONG KONG New York, N.Y. 10167
LONDON PARIS TOKYO (212) 272-2000; (212) 272-7294 fax
FAX TRANSMITTAL
PSB LENDING HOME LOAN OWNER TRUST 1997-4
----------------------------------------
(Computational Material)
Fax to: Date: December 3, 1997
Company: # Pages (incl. cover) 19
Fax No: Phone No:
From: Phone No:
STATEMENT REGARDING ASSUMPTIONS AS TO SECURITIES, PRICING ESTIMATES, AND
OTHER INFORMATION
The information contained in the attached materials (the "Information")
may include various forms of performance analysis, security
characteristics and securities pricing estimates for the securities
addressed. Please read and understand this entire statement before
utilizing the Information. Should you receive Information that refers to
the "Statement Regarding Assumptions and Other Information," please refer
to this statement instead.
The Information is illustrative and is not intended to predict actual
results which may differ substantially from those reflected in the
Information. Performance analysis is based on certain assumptions with
respect to significant factors that may prove not to be as assumed. You
should understand the assumptions and evaluate whether they are
appropriate for your purposes. Performance results are based on
mathematical models that use inputs to calculate results. As with all
models, results may vary significantly depending upon the value of the
inputs given. Inputs to these models include but are not limited to:
prepayment expectations (economic prepayment models, single expected
lifetime prepayments or a vector of periodic prepayments), interest rate
assumptions (parallel and nonparallel changes for different maturity
instruments), collateral assumptions (actual pool level data, aggregated
pool level data, reported factors or imputed factors), volatility
assumptions (historically observed or implied current) and reported
information (paydown factors, rate resets, and trustee statements).
Models used in any analysis may be proprietary making the results
difficult for any third party to reproduce. Contact your registered
representative for detailed explanations of any modeling techniques
employed in the Information.
The Information addresses only certain aspects of the applicable
security's characteristics and thus does not provide a complete
assessment. As such, the Information may not reflect the impact of all
structural characteristics of the security, including call events and
cash flow priorities at all prepayment speeds and/or interest rates. You
should consider whether the behavior of these securities should be tested
as assumptions different from those included in the Information. The
assumptions underlying the Information, including structure and
collateral, may be modified from time to time to reflect changed
circumstances. Any investment decision should be based only on the data
in the prospectus and the prospectus supplement or private placement
memorandum (Offering Documents) and the then current version of the
Information. Offering Documents contain data that is current as of their
publication dates and after publication may no longer be complete or
current.. Contact your registered representative for Offering Documents,
current Information or additional materials, including other models for
performance analysis, which are likely to produce different results, and
any further explanation regarding the Information.
Any pricing estimates Bear Stearns has supplied at your request (a)
represent our view, at the time determined, of the investment value of
the securities between the estimated bid and offer levels, the spread
between which may be significant due to market volatility or illiquidity,
(b) do not constitute a bid by any person for any security, (c) may not
constitute prices at which the securities could have been purchased or
sold in any market, (d) have not been confirmed by actual trades, may
vary from the value Bear Stearns assigns any such security while in its
inventory, and may not take into account the size of a position you have
in the security, and (e) may have been derived from matrix pricing that
uses data relating to other securities whose prices are more readily
ascertainable to produce a hypothetical price based on the estimated
yield spread relationship between the securities.
General Information: The data underlying the Information has been
obtained from sources that we believe are reliable, but we do not
guarantee the accuracy of the underlying data or computations based
thereon. Bear, Stearns. and/or individuals thereof may have positions in
these securities while the Information is circulating or during such
period may engage in transactions with the issuer or its affiliates. We
act as principal in transactions with you, and accordingly, you must
determine the appropriateness for you of such transactions and address
any legal, tax, or accounting considerations applicable to you. Bear
Stearns shall not be a fiduciary or advisor unless we have agreed in
writing to receive compensation specifically to act in such capacities.
If you are subject to ERISA, the Information is being furnished on the
condition that it will not form a primary basis for any investment
decision. The Information is not a solicitation of any transaction in
securities which may be made only by prospectus when required by law, in
which event you may obtain such prospectus from Bear Stearns.
PSB LENDING HOME LOAN OWNER TRUST 1997-4
Prospective purchasers are referred to the final prospectus and
prospectus supplement relating to the securities discussed in
this communication for final information on any matter discussed
in this communication. The information set forth in this
Preliminary Term Sheet supersedes any previously distributed
information and all information in this Preliminary Term Sheet
will be superseded by the information in the final prospectus and
prospectus supplement.
BEAR STEARNS
This information should be considered only after reading Bear
Stearns' Statement Regarding Assumptions as to Securities, Pricing
Estimates and Other Information (the "Statement"), which should be
attached. Do not use or rely on this information if you have not
received and reviewed this Statement. You may obtain a copy of
the Statement from your sales representative.
PSB LENDING HOME LOAN OWNER TRUST 1997-4
Computational Materials: Preliminary Term Sheet (page 1 of 9)
Issuer: PSB Lending Home Loan Owner Trust 1997-4
Depositor: Bear Stearns Asset Backed Securities, Inc.
Servicer, Transferor, and
FHA Claims Administrator: PSB Lending Corp.
FHA Insurance Holder: PSB Receivables IV Corp.
Sole Underwriter: Bear, Stearns & Co. Inc.
Master Servicer: Norwest Bank Minnesota, N.A., a national
banking association ("Norwest"), as
master servicer under the Sale and
Servicing Agreement.
Indenture Trustee and
Co-Owner Trustee: Norwest
Owner Trustee: Wilmington Trust Company
The Securities: The Trust will issue seven classes of
Asset Backed Notes (namely, the Class A-
1, Class A-2, Class A-3, Class A-4 Notes,
and Class A-5 Notes (the "Senior Notes");
and the Class M-1 and Class M-2 Notes
(the "Mezzanine Notes" and, together with
the Senior Notes, the "Notes")); and two
classes of Asset Backed Certificates
(namely, the Class B-1 Certificates and
the Class B-2 Certificates, the
"Certificates").
Offered Securities: Only the Class A-2, Class A-3, Class A-4,
and Class A-5 Notes have been registered
under the Securities Act of 1933 and are
being offered to the public.
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
Original Average Principal Principal Expected
Offered Principal Life to Call Lockout Window Maturity Ratings
Securities Balance (years) (months) (months) Date (S&P/Moody's/Fitch)
Class A-2 Notes $23,160,000 2.00 18 11 7/20/09 AAA/Aaa/AAA
Class A-3 Notes $28,780,000 3.00 28 15 10/20/11 AAA/Aaa/AAA
Class A-4 Notes $43,360,000 5.00 42 61 6/20/17 AAA/Aaa/AAA
Class A-5 Notes $15,680,000 11.86 102 62 5/20/24 AAA/Aaa/AAA
</TABLE>
Offering: The Class A-2, Class A-3, Class A-4, and
Class A-5 Notes will be issued publicly
under a shelf registration statement.
Form of Registration: Fully-registered book-entry form, same
day funds through DTC.
Prepayment Pricing
Speed Assumption: 2% CPR, increasing to 12% CPR over 12
months
BEAR STEARNS
This information should be considered only after reading Bear
Stearns' Statement Regarding Assumptions as to Securities, Pricing
Estimates and Other Information (the "Statement"), which should be
attached. Do not use or rely on this information if you have not
received and reviewed this Statement. You may obtain a copy of
the Statement from your sales representative.
PSB LENDING HOME LOAN OWNER TRUST 1997-4
Computational Materials: Preliminary Term Sheet (page 2 of 9)
Cut-off Date: As of December 1, 1997
Settlement Date: On or about December ___, 1997
Payment Date: The 20th day of each month (or the next
succeeding business day), commencing
January 20, 1998.
Payment Delay: 19 days
Note Interest Rate: Interest will accrue on the Offered
Securities at a fixed rate during the
month prior to the month of the related
Payment Date on a 30/360-day basis. The
Interest Rate applicable to each class of
Securities outstanding will increase by
(0.50)% for Due Periods beginning after
the Optional Termination Date.
Assets of the Trust: On the Closing Date, the Trust expects to
purchase Home Loans (the "Initial Home
Loans") having an aggregate principal
balance of approximately $(180,000,000)
(the "Initial Pool Principal Balance") as
of the December 1, 1997 Cut-Off Date from
the Depositor pursuant to the Sale and
Servicing Agreement. The Initial Home
Loans are expected to include on the
Closing Date: (1) the preliminary pool of
Home Loans (the "Preliminary Initial Home
Loan Pool") having an aggregate principal
balance of approximately $(126,360,000)
as of a November 1, 1997 statistical
calculation date and for which certain
statistical information has been
presented herein; and (2) the additional
pool of Home Loans (the "Additional
Initial Home Loan Pool") having an
aggregate principal balance of
approximately $(53,640,000). In
addition, the Depositor is expected to
deposit approximately $(60,000,000) into
a pre-funding account (the "Pre-Funding
Account") for the purchase of additional
Home Loans (the "Subsequent Home Loans")
during the Funding Period. The sum of
the aggregate principal balance of the
Initial Home Loans and the amount
expected to be deposited into the Pre-
Funding Account on the Closing Date
equals approximately $(240,000,000).
The assets of the Trust will primarily
consist of a pool of home loans (the
"Home Loans") the proceeds of which will
be used primarily for debt consolidation
and/or home improvements. The Home Loans
will be secured by mortgages, deeds of
trust or other similar security
instruments (the "Mortgages").
Substantially all of the Home Loans will
have a combined loan-to-value in excess
of 100%.
BEAR STEARNS
This information should be considered only after reading Bear
Stearns' Statement Regarding Assumptions as to Securities, Pricing
Estimates and Other Information (the "Statement"), which should be
attached. Do not use or rely on this information if you have not
received and reviewed this Statement. You may obtain a copy of
the Statement from your sales representative.
PSB LENDING HOME LOAN OWNER TRUST 1997-4
Computational Materials: Preliminary Term Sheet (page 3 of 9)
The Home Loans: The Initial Home Loans are expected to
consist of approximately (98)% of
conventional loans (i.e., not insured or
guaranteed by any governmental agency or
instrumentality) ("Conventional Loans")
for property improvements, debt
consolidation, a combination of the
foregoing or other consumer purposes, and
approximately (2)% of property
improvement loans (the "Title I Loans")
that will be partially insured by the FHA
under the Title I Program.
Credit Enhancement: Credit enhancement with respect to the
Notes and Certificates will be provided
by (1) excess spread, (2)
overcollateralization, and (3) the
subordination described below.
Excess Spread. The weighted average Home
Loan Rate is generally expected to be
higher than the sum of (a) the servicing
fee and (b) the weighted average note
interest rate on the Notes and pass
through rate on the Certificates, thus
generating excess spread collections
which will be available to fund payments
or distributions on the Notes and
Certificates. This excess spread
generated for each period on the related
Payment Date is the excess spread
available for such Payment Date.
Overcollateralization: Excess spread
will be applied, to the extent available,
to make accelerated payments or
distributions of principal to the class
or classes then entitled to receive
payments or distributions of principal;
such application will cause the aggregate
principal balance of the Notes and
Certificates to amortize more rapidly
than the Home Loans, resulting in
overcollateralization. Prior to the
overcollateralization step down date, the
"Required Overcollateralization Amount"
is expected to equal the greater of (x)
(3.25)% of the the Assumed Pool Principal
Balance and (y) the Net Delinquency
Calculation Amount.
On or after the overcollateralization
step down date, the Required
Overcollateralization Amount is expected
to equal the greater of (x) (6.50)% of
the then outstanding aggregate unpaid
principal balance of the Home Loans (the
"Pool Principal Balance") and (y) the Net
Delinquency Calculation Amount, subject
to a floor of (0.50)% of the Assumed Pool
Principal Balance.
BEAR STEARNS
This information should be considered only after reading Bear
Stearns' Statement Regarding Assumptions as to Securities, Pricing
Estimates and Other Information (the "Statement"), which should be
attached. Do not use or rely on this information if you have not
received and reviewed this Statement. You may obtain a copy of
the Statement from your sales representative.
PSB LENDING HOME LOAN OWNER TRUST 1997-4
Computational Materials: Preliminary Term Sheet (page 4 of 9)
Subordination: The rights of the Class M-
1 Notes to receive payments will be
subordinated to such rights of the Senior
Notes. The rights of the Class M-2 Notes
to receive payments will be subordinated
to such rights of the Senior Notes and
the M-1 Notes. The rights of the Class B-
1 Certificates to receive distributions
will be subordinated to such rights of
the Senior Notes, the Class M-1 Notes,
and the Class M-2 Notes. The Residual
Interest and the Class B-2 Certificates
will be subordinated to all classes of
Notes and the Class B-1 Certificates.
Application of
Allocable Loss Amounts: Realized losses will be absorbed
first by excess spread, then by the
reduction of the Overcollateralization
Amount. Following the reduction of any
Overcollateralization Amount to zero, any
Allocable Loss Amounts will be applied in
reduction of (1) the Class B-2
Certificates until the Class B-2
Certificates have been reduced to zero;
(2) the Class B-1 Certificates until the
Class B-1 Certificates have been reduced
to zero; (3) the Class M-2 Notes until
the Class M-2 Notes have been reduced to
zero; and (4) the Class M-1 Notes until
the Class M-1 Notes have been reduced to
zero. The Senior Notes will not be
reduced for any Allocable Loss Amounts.
Any Allocable Loss Amounts with respect
to the Notes or the Certificates (the
"Deferred Amounts") will entitle such
class to receive reimbursement for such
amount from and to the extent of funds
available therefor in the priority
described below.
BEAR STEARNS
This information should be considered only after reading Bear
Stearns' Statement Regarding Assumptions as to Securities, Pricing
Estimates and Other Information (the "Statement"), which should be
attached. Do not use or rely on this information if you have not
received and reviewed this Statement. You may obtain a copy of
the Statement from your sales representative.
PSB LENDING HOME LOAN OWNER TRUST 1997-4
Computational Materials: Preliminary Term Sheet (page 5 of 9)
Priority of Payments: Regular Payment Amount:
The Regular Payment Amount shall be
applied in the following priority:
(1) To pay Accrued and Unpaid Interest on the
Senior Notes, pro-rata (without any priority);
(2) To pay Accrued and Unpaid Interest on the Class
M-1 Notes;
(3) To pay Accrued and Unpaid Interest on the Class
M-2 Notes;
(4) To distribute Accrued and Unpaid Interest on
the Class B-1 Certificates;
(5) To distribute Accrued and Unpaid Interest on
the Class B-2 Certificates;
(6) To pay as principal, sequentially, to the
Senior Notes, an amount necessary to reduce
the balance of the Senior Notes to the
Senior Optimal Principal Balance;
(7) To pay, as principal to the Class M-1 Notes, an
amount necessary to reduce the balance of the
Class M-1 Notes to the Class M-1 Optimal
Principal Balance;
(8) To pay, as principal to the Class M-2 Notes, an
amount necessary to reduce the balance of the
Class M-2 Notes to the Class M-2 Optimal
Principal Balance;
(9) To distribute, as principal to the Class B-1
Certificates, an amount necessary to reduce the
balance of the Class B-1 Certificates to the
Class B-1 Optimal Principal Balance;
(10) To distribute, as principal to the Class B-2
Certificates, an amount necessary to reduce
the balance of the Class B-2 Certificates
to the Class B-2 Optimal Principal Balance;
(11) To pay the Class M-1 Notes any Deferred
Amounts;
(12) To pay the Class M-2 Notes any Deferred
Amounts;
(13) To distribute to the Class B-1 Certificates
any Deferred Amounts;
(14) To distribute to the Class B-2
Certificates any Deferred Amounts; and
(15) Any remaining amounts shall be paid to the
holders of the Residual Interest.
BEAR STEARNS
This information should be considered only after reading Bear
Stearns' Statement Regarding Assumptions as to Securities, Pricing
Estimates and Other Information (the "Statement"), which should be
attached. Do not use or rely on this information if you have not
received and reviewed this Statement. You may obtain a copy of
the Statement from your sales representative.
PSB LENDING HOME LOAN OWNER TRUST 1997-4
Computational Materials: Preliminary Term Sheet (page 6 of 9)
Excess Spread: Excess Spread, if any, will be applied in the
following order of priority (each after giving
effect to all payments and disbursements specified
above):
(1) To pay as principal to the Senior Notes,
sequentially, up to the Overcollateralization
Deficiency Amount (i.e. up to the amount
necessary to cause the overcollateralization
amount to equal the Required
Overcollateralization Amount), an amount
necessary to reduce the balance of the
Senior Notes to the Senior Optimal
Principal Balance;
(2) To pay as principal to the Class M-1 Notes, up
to the Overcollateralization Deficiency
Amount, an amount necessary to reduce the
balance of the Class M-1 Notes to the
Class M-1 Optimal Principal Balance,
(3) To pay as principal to the Class M-2 Notes,
up to the Overcollateralization Deficiency
Amount, an amount necessary to reduce the
balance of the Class M-2 Notes to the
Class M-2 Optimal Principal Balance;
(4) To distribute as principal to the Class B-1
Certificates, up to the Overcollateralization
Deficiency Amount, an amount necessary to
reduce the balance of the Class B-1
Certificates to the Class B-1 Optimal
Principal Balance;
(5) To distribute as principal to the Class
B-2 Certificates, up to the
Overcollateralization Deficiency Amount, an
amount necessary to reduce the balance of
the Class B-2 Certificates to the Class B-2
Optimal Principal Balance;
(6) To pay the Class M-1 Notes any Deferred
Amounts;
(7) To pay the Class M-2 Notes any Deferred
Amounts;
(8) To distribute to the Class B-1 Certificates
any Deferred Amounts;
(9) To distribute to the Class B-2 Certificates
any Deferred Amounts; and
(10) Any remaining amounts shall be paid to the
holders of the Residual Interest.
BEAR STEARNS
This information should be considered only after reading Bear
Stearns' Statement Regarding Assumptions as to Securities, Pricing
Estimates and Other Information (the "Statement"), which should be
attached. Do not use or rely on this information if you have not
received and reviewed this Statement. You may obtain a copy of
the Statement from your sales representative.
PSB LENDING HOME LOAN OWNER TRUST 1997-4
Computational Materials: Preliminary Term Sheet (page 7 of 9)
Summary of Expected Subordination & Overcollateralization:
Prior to step down date
Expected Expected Total
Expected Required Required Credit
Initial Overcollateralization Enhancement
Subordination(a) Amount (b)
- -----------------------------------------------------------------------------
Class A Notes 35.25% 3.25% 38.50%
- -----------------------------------------------------------------------------
(a) Represents the expected amount of subordination for each
class as of the Closing Date.
(b) Excess servicing, if available, will be applied to make
accelerated payments of principal until the overcollateralization
amount equals the Required Overcollateralization Amount, which is
equal to the greater of (i) (3.25)% of the Assumed Pool Principal
Balance and (ii) the Net Delinquency Calculation Amount.
Overcollateralization
Stepdown Date: The Overcollateralization Stepdown Date
is the Payment Date occurring on the
later of:
(1) the first Payment Date after
December 20, 2000 (the 37th Payment Date); and
(2) the first Payment Date on which the
aggregate principal balance of the Senior
Notes has been reduced to an amount equal to
or less than the amount by which the
outstanding principal balance of the
Home Loans exceeds the greater of:
(i) (70.50)% (or 2 times the initial Senior
Subordination Level) of the outstanding
principal balance of the Home
Loans plus the Required
Overcollateralization Amount
for such date; and
(ii) (0.50)% of the Assumed Pool
Principal Balance.
Servicing Fee/Trustee Fee
And Master Servicing Fee: The Trust is subject to certain
fees, including a Servicing Fee of 1.000%
per annum payable monthly, an Indenture
Trustee Fee of 0.055% per annum payable
monthly, and a Master Servicing Fee of
0.080% per annum payable monthly.
Advancing by the Servicer: There is no required advancing of
delinquent principal or interest by the
servicer or trustees.
BEAR STEARNS
This information should be considered only after reading Bear
Stearns' Statement Regarding Assumptions as to Securities, Pricing
Estimates and Other Information (the "Statement"), which should be
attached. Do not use or rely on this information if you have not
received and reviewed this Statement. You may obtain a copy of
the Statement from your sales representative.
PSB LENDING HOME LOAN OWNER TRUST 1997-4
Computational Materials: Preliminary Term Sheet (page 8 of 9)
Net Delinquency
Calculation Amount: With respect to any Payment Date, the
excess, if any, of (x) the product of (
) and the Rolling Six-Month Delinquency
Average over (y) the aggregate of the
amounts of Excess Spread for the three
preceding Payment Dates.
Rolling Six-Month
Delinquency Average: With respect to any Payment Date, the
average of the applicable 60-Day
Delinquency Amounts for each of the six
immediately preceding due periods. The
"60-Day Delinquency Amount" for any due
period is the aggregate of the Principal
Balances of all Home Loans that are 60 or
more days delinquent, in foreclosure or
REO property as of the end of such due
period, excluding any liquidated home
loan.
Optional Termination: The Master Servicer or Affiliated Holder
may, at its option, effect an early
redemption or termination of the Notes
and Certificates on or after any Payment
Date when the Pool Principal Balance
declines to (10)% or less of the Assumed
Pool Principal Balance (the "Optional
Termination Date"), by providing for the
payment of the termination price.
Pre-Funding Account: Approximately $(60,000,000) of the
proceeds from the sale of the Notes and
the Certificates will be placed in a pre-
funding account for the acquisition of
additional mortgage loans during a (90)-
day period following the closing date.
Sale proceeds will also fund the
Capitalized Interest Account.
Assumed Pool Principal
Balance: The sum of (i) the Initial Pool Principal
Balance; (ii) the Cut-Off Principal
Balance of each Subsequent Home Loan and
(iii) the amount, if any, on deposit in
the Pre-Funding Account as of such date.
Tax Status: For federal income tax purposes, the
Notes will be characterized as debt, and
the Trust will not be characterized as an
association (or publicly traded
partnership) taxable as a corporation.
ERISA Eligibility: The Offered Securities may be purchased
by employee benefit plans that are
subject to ERISA.
BEAR STEARNS
This information should be considered only after reading Bear
Stearns' Statement Regarding Assumptions as to Securities, Pricing
Estimates and Other Information (the "Statement"), which should be
attached. Do not use or rely on this information if you have not
received and reviewed this Statement. You may obtain a copy of
the Statement from your sales representative.
PSB LENDING HOME LOAN OWNER TRUST 1997-4
Computational Materials: Preliminary Term Sheet (page 9 of 9)
SMMEA Treatment: The Offered Securities will not
---
constitute "mortgage related securities"
for purposes of SMMEA.
Prospectus: The Offered Securities are being offered
pursuant to a Prospectus which includes a
Prospectus Supplement (together, the
"Prospectus"). Complete information with
respect to the Offered Securities and the
Home Loans is contained in the
Prospectus. The material presented
herein 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 Offered
Securities may not be consummated unless
the purchaser has received the
Prospectus.
BEAR STEARNS
This information should be considered only after reading Bear
Stearns' Statement Regarding Assumptions as to Securities, Pricing
Estimates and Other Information (the "Statement"), which should be
attached. Do not use or rely on this information if you have not
received and reviewed this Statement. You may obtain a copy of
the Statement from your sales representative.
PSB LENDING HOME LOAN OWNER TRUST 1997-4
Computational Materials: Information Relating to the Collateral
(page 1 of 6)
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE
DESCRIPTION OF THE COLLATERAL CONTAINED IN THE PROSPECTUS
SUPPLEMENT.
Fixed Rate Home Loans
Preliminary Characteristics of the Preliminary Initial Home Loans
as of the Statistical Calculation Date of 11/1/97:
LOAN TYPE
<TABLE>
<CAPTION>
100% Extra Equity 50% ExtraEquity FHA Title I Total
<S> <C> <C> <C> <C>
Description Up to 100% Debt Up to 50% Debt
Consolidation Consolidation
Total Number of Loans: 3,486 129 110 3,725
Total Loan Balance: $119,420,508.25 $4,633,893.22 $2,308,450.96 $126,362,852.43
Percent of Total Balance: 94.51% 3.67% 1.83% 100.00%
Average Loan Balance: $34,257.17 $35,921.65 $20,985.92 $33,922.91
WA Home Loan Rate: 13.94% 13.54% 13.34% 13.91%
Range of Home Loan Rates: (10.50% - 19.49%) (10.99% - 17.99%) (8.99%-17.99%) (8.99%-19.49%)
WA Remaining Term (months): 239 252 211 239
Range of Remaining Terms: (36-300) (118-300) (47-240) (36-300)
WA Seasoning (months): 1 1 1 1
Range of Seasoning: (0-20) (0-7) (0-27) (0-27)
WA Original Term (months): 240 252 212 240
Range of Original Terms: (36-300) (120-300) (60-240) (36-300)
WA FICO Score: 670 688 NA 671
(Based on Loans w/FICO Scores)
WA Combined LTV(1) 115.06 115.54 NA 115.08
WA Combined LTV 100%(1) 89.5% 92.9% NA 89.6%
WA Debt-to Income Ratio: 38.9% 38.9% 38.9% 38.9%
Geographic Concentration: CA: 46.33% CA: 68.15% CA: 54.56% CA: 47.28%
(as a Percentage of Loan Type) FL: 8.78% TX: 19.33% FL: 8.69%
(States not listed account for WA: 6.84% FL: 7.93% WA: 6.55%
less than 5.00% of the aggregate AZ: 5.68%
principal balance of the category)
</TABLE>
(1) Total numbers exclusive of Title 1 Loans
BEAR STEARNS
This information should be considered only after reading Bear
Stearns' Statement Regarding Assumptions as to Securities, Pricing
Estimates and Other Information (the "Statement"), which should be
attached. Do not use or rely on this information if you have not
received and reviewed this Statement. You may obtain a copy of
the Statement from your sales representative.
PSB LENDING HOME LOAN OWNER TRUST 1997-4
Computational Materials: Information Relating to the Collateral
(page 2 of 6)
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE
DESCRIPTION OF THE COLLATERAL CONTAINED IN THE PROSPECTUS
SUPPLEMENT.
Home Loan Rate
<TABLE>
<CAPTION>
Range of Percent of Total
Home Loan Number of Aggregate by Aggregate
Rates (%) Home Loans Principal Balance Principal Balance
<C> <C> <C> <C>
8.001 to9.000 4 $89,574.99 0.07%
9.001 to 10.000 4 77,768.95 0.06
10.001 to 11.000 25 777,011.16 0.61
11.001 to 12.000 497 18,202,648.91 14.41
12.001 to 13.000 716 26,771,320.46 21.19
13.001 to 14.000 915 32,186,472.63 25.47
14.001 to 15.000 725 24,397,175.04 19.31
15.001 to 16.000 560 16,379,536.07 12.96
16.001 to 17.000 179 4,938,098.53 3.91
17.001 to 18.000 67 1,707,131.79 1.35
18.001 to 19.000 32 814,113.90 0.64
19.001 to 20.000 1 22,000.00 0.02
-------------- -------------- --------
Total 3,725 $126,362,852.43 100.00%
</TABLE>
Current Principal Balance
<TABLE>
<CAPTION>
Range of Percent of Total
Cut-Off Date Number of Aggregate by Aggregate
Principal Balance($) Home Loans Principal Balance Principal Balance
<S> <C> <C> <C>
Up to 10,000.00 22 $205,200.24 0.16%
10,000.01 to 20,000.00 450 7,700,684.54 6.09
20,000.01 to 30,000.00 1,297 33,429,423.54 26.46
30,000.01 to 4O,000.00 1,058 37,459,883.86 29.64
40,000.01 to 50 000.00 559 25,768,923.41 20.39
50,000.01 to 60,000.00 166 9,237,048.63 7.31
60,000.01 to 7O,000.00 92 6,037,385.20 4.78
70,000.01 to 80,000.00 53 3,998,609.04 3.16
80,000.01 to 90,000.00 19 1,625,904.44 1.29
90,000.01 to 100.000.00 9 899,789.53 0.71
--------------- ------------ -----------
Total 3,725 $126,362,852.43 100.00%
</TABLE>
BEAR STEARNS
This information should be considered only after reading Bear
Stearns' Statement Regarding Assumptions as to Securities, Pricing
Estimates and Other Information (the "Statement"), which should be
attached. Do not use or rely on this information if you have not
received and reviewed this Statement. You may obtain a copy of
the Statement from your sales representative.
PSB LENDING HOME LOAN OWNER TRUST 1997-4
Computational Materials: Information Relating to the Collateral
(page 3 of 6)
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE
DESCRIPTION OF THE COLLATERAL CONTAINED IN THE PROSPECTUS
SUPPLEMENT.
<TABLE>
<CAPTION>
Original Loan Principal Balance
Range of Percent of Total
Original Number of Aggregate by Aggregate
Principal Balance($) Home Loans Principal Balance Principal Balance
<S> <C> <C> <C>
Up to 10,000.00 22 $205,200.24 0.16%
10,000.01 to 20,000.00 450 7,700,684.54 6.09
20,000.01 to 30,000.00 1,297 33,429,423.54 26.46
30,000.01 to 40,000.00 1,056 37,379,972.15 29.58
40,000.01 to 50,000.00 561 25,848,835.12 20.46
50,000.01 to 60,000.00 166 9,237,048.63 7.31
60,000.01 to 70,000.00 92 6,037,385.20 4.78
70,000.01 to 80,000.00 53 3,998,609.04 3.16
80,000.01 to 90,000.00 19 1,625,904.44 1.29
90,000.01 to 100,000.00 9 899,789.53 0.71
--------- -------------- ----
Total 3,725 $126,362,852.43 100.00%
</TABLE>
Months Since Origination
<TABLE>
<CAPTION>
Percent of Total
Number of Months Number of Aggregate by Aggregate
Since Origination Home Loans Principal Balance Principal Balance
<S> <C> <C> <C>
O to 1 3,179 $108,416,084.71 85.80%
2 to 12 538 17,736,627.74 14.04
13 to 24 7 185,686.73 0.15
25 to 36 1 24,453.25 0.02
---------- ---------------- -------
Total 3,725 $126,362,852.43 100.00%
</TABLE>
BEAR STEARNS
This information should be considered only after reading Bear
Stearns' Statement Regarding Assumptions as to Securities, Pricing
Estimates and Other Information (the "Statement"), which should be
attached. Do not use or rely on this information if you have not
received and reviewed this Statement. You may obtain a copy of
the Statement from your sales representative.
PSB LENDING HOME LOAN OWNER TRUST 1997-4
Computational Materials: Information Relating to the Collateral
(page 4 of 6)
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE
DESCRIPTION OF THE COLLATERAL CONTAINED IN THE PROSPECTUS
SUPPLEMENT.
<TABLE>
<CAPTION>
Geographic Concentration
Percent of Total
Number of Aggregate by Aggregate
State Home Loans Principal Balance Principal Balance
- ---------------- ----------- ------------------- ----------------
<S> <C> <C> <C>
Alabama 24 $661,489.84 0.52%
Alaska 32 1,297,315.57 1.03
Arizona 177 5,513,245.14 4.36
Arkansas 6 222,390.28 0.18
California 1,671 59,747,208.84 47.28
Colorado 141 4,657,982.73 3.69
Connecticut 17 518,101.31 0.41
District of Columbia 2 61,716.34 0.05
Delaware 1 28,650.00 0.02
Florida 358 10,980,758.44 8.69
Georgia 121 3,754,660.91 2.97
Idaho 55 1,936,260.91 1.53
Illinois 36 1,127,125.15 0.89
Indiana 30 1,083,523.57 0.86
Iowa 20 630,503.82 0.50
Kansas 14 416,602.08 0.33
Kentucky 3 77,839.95 0.06
Louisiana 1 25,000.00 0.02
Maryland 54 2,061,237.21 1.63
Massachusetts 3 74,941.13 0.06
Michigan 13 361,975.55 0.29
Minnesota 60 1,866,577.66 1.48
Mississippi 3 81,784.29 0.06
Missouri 29 861,340.75 0.68
Montana 25 699,928.74 0.55
Nebraska 6 181,834.17 0.14
Nevada 124 3,908,131.61 3.09
New Hampshire 2 71,364.81 0.06
New Mexico 25 851,673.93 0.67
New York 2 57,649.38 0.05
North Carolina 20 702,668.17 0.56
North Dakota 3 117,026.41 0.09
Ohio 25 848,253.89 0.67
Oklahoma 37 1,159,487.51 0.92
Oregon 124 4,362,957.06 3.45
Pennsylvania 6 196,093.68 0.16
Rhode Island 1 13,577.54 0.01
South Carolina 26 848,082.75 0.67
South Dakota 2 69,993.00 0.06
Tennessee 9 321,940.16 0.25
Texas 21 446,220.38 0.35
Utah 63 2,070,050.02 1.64
Virginia 74 2,393,672.62 1.89
Washington 238 8,273,934.39 6.55
Wisconsin 16 505,613.06 0.40
Wyoming 5 214,467.68 0.17
---------- --------------- ------
Total 3,725 $126,362,852.43 100.00%
</TABLE>
BEAR STEARNS
This information should be considered only after reading Bear
Stearns' Statement Regarding Assumptions as to Securities, Pricing
Estimates and Other Information (the "Statement"), which should be
attached. Do not use or rely on this information if you have not
received and reviewed this Statement. You may obtain a copy of
the Statement from your sales representative.
PSB LENDING HOME LOAN OWNER TRUST 1997-4
Computational Materials: Information Relating to the Collateral
(page 5 of 6)
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE
DESCRIPTION OF THE COLLATERAL CONTAINED IN THE PROSPECTUS
SUPPLEMENT.
<TABLE>
<CAPTION>
Remaining Term to Maturity
Percent of Total
Range of Remaining Term Number of Aggregate by Aggregate
to Maturity (months) Home Loans Principal Balance Principal Balance
------------------------ ---------------- -------------------- -----------------
<S> <C> <C> <C>
31 to 60 26 $558,653.17 0.44%
61 to 90 5 120,813.65 0.10
91 to 120 152 4,124,448.33 3.26
121 to 150 4 120,780.17 0.10
151 to 180 1,150 35,812,940.59 28.34
211 to 240 1,227 40,082,511.63 31.72
271 to 300 1,161 45,542,704.89 36.04
--------------- -------------- ---------
Total 3,725 $126,362,852.43 100.00%
</TABLE>
<TABLE>
<CAPTION>
Debt-to Income Ratio
Percent of Total
Range of Number of Aggregate by Aggregate
Debt-to Income Ratios(%) Home Loans Principal Balance Principal Balance
------------------------ ---------------- -------------------- -----------------
<S> <C> <C> <C>
Up to 20.00 44 $1,460,785.66 1.16%
20.01 to 25.00 97 2,869,004.24 2.27
25.01 to 30.00 321 10,697,396.88 8.47
30.01 to 35.00 573 19,236,460.25 15.22
35.01 to 40.00 876 29,144,529.42 23.06
40.01 to 45.00 1,286 43,146,263.69 34.14
45.01 to 50.00 509 19,079,944.68 15.10
50.00 or more 19 728,467.61 0.58
-------- -------------- ----
Total 3,725 $126,362,852.43 100.00%
</TABLE>
BEAR STEARNS
This information should be considered only after reading Bear
Stearns' Statement Regarding Assumptions as to Securities, Pricing
Estimates and Other Information (the "Statement"), which should be
attached. Do not use or rely on this information if you have not
received and reviewed this Statement. You may obtain a copy of
the Statement from your sales representative.
PSB LENDING HOME LOAN OWNER TRUST 1997-4
Computational Materials: Information Relating to the Collateral
(page 6 of 6)
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE
DESCRIPTION OF THE COLLATERAL CONTAINED IN THE PROSPECTUS
SUPPLEMENT.
<TABLE>
<CAPTION>
Home Loan Type
Percent of Total
Number of Aggregate by Aggregate
Loan Type House Loans Principal Balance Principal Balance
- ---------------- ------------- ------------------ -------------------
<S> <C> <C> <C>
ExtraEquity 100 3,486 $119,420,508.25 94.51%
ExtraEquity 50 129 4,633,893.22 3.67
Title I 110 2,308,450.96 1.83
----------- --------------- ----------
Total 3,725 $126,362,852.43 100.00%
</TABLE>
The Preliminary Initial Home Loan Pool consists of $124,054,401.47 of
conventional loans (i.e., ExtraEquity 100 and ExtraEquity 50). The
conventional loans will have the characteristics with regard to Credit
Scores set forth in the table below.
<TABLE>
<CAPTION>
Credit Scores
Percent of Total
Number of Aggregate by Aggregate
Range of FICO Scores Home Loans Principal Balance Principal Balance
- -------------------- ---------- ----------------- -----------------
<S> <C> <C> <C>
541 to 560 1 $29,979.24 0.02%
561 to 580 10 259,448.57 0.21
581 to 600 181 4,654,367.64 3.75
601 to 620 251 6,644,033.00 5.36
621 to 640 550 16,992,368.57 13.64
641 to 660 692 23,445,335.07 18.90
661 to 680 600 22,482,054.20 18.12
681 to 700 549 21,093,005.05 17.00
701 to 720 387 14,814,806.88 11.94
721 to 740 222 8,022,373.10 6.47
741 to 760 120 4,058,329.68 3.27
761 to 780 40 1,265,278.53 1.02
781 to 800 9 284,187.45 0.23
801 or more 3 78,834.49 0.06
---------- ---------------- ----------
Total 3,615 $124,054,401.47 100.00%
</TABLE>
BEAR STEARNS
This information should be considered only after reading Bear
Stearns' Statement Regarding Assumptions as to Securities, Pricing
Estimates and Other Information (the "Statement"), which should be
attached. Do not use or rely on this information if you have not
received and reviewed this Statement. You may obtain a copy of
the Statement from your sales representative.
PSB LENDING HOME LOAN OWNER TRUST 1997-4
Computational Materials: Information Relating to the Securities
(page 1 of 2)
Transaction Summary (a), (b)
<TABLE>
<CAPTION>
Estimated Estimated Estimated Estimated
WAL Modified Principal Principal Expected
Approximate Interest to Call Duration Lockout Window Ratings
Security Size Rate (years) (years) (months) (months) (S&P/Moody's/Fitch)
<S> <C> <C> <C> <C> <C> <C> <C>
Class A-2 $23,160,000 Fixed 2.00 1.82 18 11 AAA/Aaa/AAA
Class A-3 $28,780,000 Fixed 3.00 2.64 28 15 AAA/Aaa/AAA
Class A-4 $43,360,000 Fixed 5.00 4.07 42 61 AAA/Aaa/AAA
Class A-5 $15,680,000 Fixed 11.86 7.72 102 62 AAA/Aaa/AAA
</TABLE>
Notes: (a) 100% Prepayment Assumption: 2.0% CPR in month 1,
and an additional 0.9091% per annum in each month
thereafter until month 12. On and after month 12,
12% CPR.
(b) The transaction is expected to price to a 10% clean-
up call. The Interest Rate for each class
remaining outstanding will increase by 0.50% for
Due Periods beginning after the Optional
Termination Date.
Class A-2 (to maturity and 10% clean-up call)
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0% 6% 9% 12% 15% 18%
Average Life (years) 8.65 3.25 2.46 2.00 1.70 1.50
Modified Duration (years) 6.37 2.84 2.20 1.82 1.57 1.39
First Principal Payment 4/20/05 6/20/00 11/20/99 7/20/99 4/20/99 2/20/99
Last Principal Payment 10/20/07 12/20/01 12/20/00 5/20/00 12/20/99 9/20/99
Principal Lockout (months) 87 29 22 18 15 13
Principal Window (months) 31 19 14 11 9 8
Illustrative Yield @ Par (30/360) 6.739% 6.670% 6.634% 6.600% 6.569% 6.540%
Class A-3 (to maturity and 10%
clean-up call)
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0% 6% 9% 12% 15% 18%
Average Life (years) 11.14 4.96 3.74 3.00 2.52 2.18
Modified Duration (years) 7.60 4.09 3.20 2.64 2.25 1.97
First Principal Payment 10/20/07 12/20/01 12/20/00 5/20/00 12/20/99 9/20/999
Last Principal Payment 4/20/10 11/20/03 6/20/02 7/20/01 12/20/00 7/20/00
Principal Lockout (months) 117 47 35 28 23 20
Principal Window (months) 31 24 19 15 13 11
Illustrative Yield @ Par (30/360) 6.819% 6.779% 6.755% 6.731% 6.707% 6.685%
</TABLE>
BEAR STEARNS
This information should be considered only after reading Bear
Stearns' Statement Regarding Assumptions as to Securities, Pricing
Estimates and Other Information (the "Statement"), which should be
attached. Do not use or rely on this information if you have not
received and reviewed this Statement. You may obtain a copy of
the Statement from your sales representative.
PSB LENDING HOME LOAN OWNER TRUST 1997-4
Computational Materials: Information Relating to the Securities
(page 2 of 2)
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
Class A-4 (to maturity and 10%
clean-up call)
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0% 6% 9% 12% 15% 18%
Average Life (years) 14.22 8.04 6.21 5.00 4.17 3.57
Modified Duration (years) 8.78 5.94 4.86 4.07 3.49 3.06
First Principal Payment 4/20/10 11/20/03 6/20/02 7/20/01 12/20/00 7/20/00
Last Principal Payment 6/20/16 9/20/10 5/20/08 7/20/06 2/20/05 2/20/04
Principal Lockout (months) 147 70 53 42 35 30
Principal Window (months) 75 83 72 61 51 44
Illustrative Yield @ Par (30/360) 6.969% 6.949% 6.935% 6.921% 6.906% 6.891%
Class A-5 (to maturity)
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0% 6% 9% 12% 15% 18%
Average Life (years) 21.58 17.17 15.01 13.05 11.37 9.97
Modified Duration (years) 10.68 9.52 8.82 8.10 7.41 6.77
First Principal Payment 6/20/16 9/20/10 5/20/08 7/20/06 2/20/05 2/20/04
Last Principal Payment 11/20/22 7/20/22 12/20/21 12/20/20 4/20/19 6/20/17
Principal Lockout (months) 221 152 124 102 85 73
Principal Window (months) 78 143 164 174 171 161
Illustrative Yield @ Par (30/360) 7.215% 7.219% 7.223% 7.224% 7.223% 7.224%
Class A-5 (to 10% clean-up call)
% of Prepayment Assumption 0% 50% 75% 100% 125% 150%
Ramp to 0% 6% 9% 12% 15% 18%
Average Life (years) 21.17 16.22 13.81 11.86 10.23 8.85
Modified Duration (years) 10.60 9.30 8.49 7.72 7.00 6.33
First Principal Payment 6/20/16 9/20/10 5/20/08 7/20/06 2/20/05 2/20/04
Last Principal Payment 9/20/20 3/20/16 8/20/13 8/20/11 12/20/09 5/20/08
Principal Lockout (months) 221 152 124 102 85 73
Principal Window (months) 52 67 64 62 59 52
Illustrative Yield @ Par (30/360) 7.212% 7.207% 7.203% 7.198% 7.193% 7.188%
</TABLE>
BEAR STEARNS
This information should be considered only after reading Bear
Stearns' Statement Regarding Assumptions as to Securities, Pricing
Estimates and Other Information (the "Statement"), which should be
attached. Do not use or rely on this information if you have not
received and reviewed this Statement. You may obtain a copy of
the Statement from your sales representative.
