-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, HJ+SpV+k+HzqOXQAwI60PhGjRpFj0bQidRGAZScmDeaP6tOstGrTOqlxUhAuZCPR Z0KOQm5Qs/UsfiMYfdvOXQ== 0000882377-96-000054.txt : 19960529 0000882377-96-000054.hdr.sgml : 19960529 ACCESSION NUMBER: 0000882377-96-000054 CONFORMED SUBMISSION TYPE: 8-K PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 19960528 ITEM INFORMATION: Other events ITEM INFORMATION: Financial statements and exhibits FILED AS OF DATE: 19960528 SROS: NONE FILER: COMPANY DATA: COMPANY CONFORMED NAME: SOUTHERN PACIFIC SECURED ASSETS CORP CENTRAL INDEX KEY: 0000944743 STANDARD INDUSTRIAL CLASSIFICATION: ASSET-BACKED SECURITIES [6189] IRS NUMBER: 330659688 STATE OF INCORPORATION: CA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 8-K SEC ACT: 1934 Act SEC FILE NUMBER: 033-91756 FILM NUMBER: 96573016 BUSINESS ADDRESS: STREET 1: 1 CENTER POINT DRIVE SUITE 500 CITY: LAKE OSWEGO STATE: OR ZIP: 97035 BUSINESS PHONE: 5036844700 MAIL ADDRESS: STREET 1: ONE CENTERPOINTE DRIVE SUITE 500 CITY: LAKE OSWEGO STATE: OR ZIP: 97035 8-K 1 SOUTHERN PACIFIC SECURED ASSETS CORP. 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 -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 -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 -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 EXHIBIT INDEX Item 601 (a) of Sequentially Exhibit Regulation S-K Numbered Number Exhibit No. Description Page - ------- ----------- ---------------- ------- 1 99 Computational Materials 6 EX-99 2 ADDITIONAL EXHIBITS 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). SECURITIES OFFERED: TO MATURITY:
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 ============================================================================================================ 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
TO 10% CALL:
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 =========================================================================================================== 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
(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). PROJECTED PERFORMANCE UNDER VARYING PREPAYMENT ASSUMPTIONS GROUP I CERTIFICATES
TO MATURITY % 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
TO 10% CLEANUP CALL % 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
- -------------------------------------------------------------------------------- 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). PROJECTED PERFORMANCE UNDER VARYING PREPAYMENT ASSUMPTIONS GROUP II CERTIFICATES
TO MATURITY % 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
- -------------------------------------------------------------------------------- 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). PROJECTED PERFORMANCE UNDER VARYING PREPAYMENT ASSUMPTIONS GROUP II CERTIFICATES
TO 10% CLEAN-UP CALL % 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
- -------------------------------------------------------------------------------- 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). COLLATERAL SUMMARY Collateral statistics for the Group I Initial Mortgage Loans are listed below as of the CUT-OFF DATE.
GROUP I LOANS 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%
- -------------------------------------------------------------------------------- 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). COLLATERAL SUMMARY (CONT.)
GEOGRAPHIC DISTRIBUTION 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%
- -------------------------------------------------------------------------------- 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). COLLATERAL SUMMARY (CONT.) Collateral statistics for the Group II Initial Mortgage Loans are listed below as of the CUT-OFF DATE.
GROUP II LOANS 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%
- -------------------------------------------------------------------------------- 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). COLLATERAL SUMMARY
GEOGRAPHIC DISTRIBUTION 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%
- -------------------------------------------------------------------------------- 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). -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. 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):
GROUP II: FIXED RATE CLASSES CLASS A-2 CLASS A-3 CLASS A-4 CLASS A-5 CLASS A-6 --------- --------- --------- --------- --------- 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)
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. 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. 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. 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. 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% - -------------------------- 43 10.98% - -------------------------- 44 10.98% - -------------------------- 45 10.98% - -------------------------- 46 10.98% - -------------------------- 47 10.98% - -------------------------- 48 10.98% - -------------------------- 49 10.98% - -------------------------- 50 10.98% - -------------------------- 51 10.98% - -------------------------- 52 10.98% - -------------------------- 53 10.98% - -------------------------- 54 10.98% - -------------------------- 55 10.98% - -------------------------- 56 10.98% - -------------------------- 57 10.98% - -------------------------- 58 10.98% - -------------------------- 59 10.98% - -------------------------- 60 10.98% - -------------------------- 61 10.98% - -------------------------- 62 10.98% - -------------------------- 63 10.98% - -------------------------- 64 10.98% - -------------------------- 65 10.98% - -------------------------- 66 10.98% - -------------------------- 67 10.98% - -------------------------- 68 10.98% - -------------------------- 69 10.98% - -------------------------- 70 10.98% - -------------------------- 71 10.98% - -------------------------- 72 10.98% - -------------------------- 73 10.98% - -------------------------- 74 10.98% - -------------------------- 75 10.98% - -------------------------- 76 10.98% - -------------------------- 77 10.98% - -------------------------- 78 10.98% - -------------------------- 79 10.98% - -------------------------- 80 10.98% - -------------------------- 81 10.98% - -------------------------- 82 10.98% - -------------------------- 83 10.98% - -------------------------- 84 10.98% - -------------------------- 85 10.98% - -------------------------- 86 10.98% - -------------------------- 87 10.98% - -------------------------- 88 10.98% - -------------------------- 89 10.98% - -------------------------- 90 10.98% - -------------------------- 91 10.98% - -------------------------- 92 10.98% - -------------------------- 93 10.98% - -------------------------- 94 10.98% - -------------------------- 95 10.98% - -------------------------- 96 10.98% - -------------------------- 97 10.98% - -------------------------- 98 10.98% - -------------------------- 99 10.98% - -------------------------- 100 10.98% - -------------------------- 101 10.98% - -------------------------- 102 10.98% - -------------------------- 103 10.98% - -------------------------- 104 10.98% - -------------------------- 105 10.98% - -------------------------- 106 10.98% - -------------------------- 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. 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. -----END PRIVACY-ENHANCED MESSAGE-----