-----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, Qw9us9J2nsjqyhbF93DbeRO3n5Uc4GfD8qv/+6I7qD1cBmlUDVR+rfxEF7wCUaHI oYnz8rQg9Pkq15oQubmcgw== 0000950136-04-001641.txt : 20040518 0000950136-04-001641.hdr.sgml : 20040518 20040518125342 ACCESSION NUMBER: 0000950136-04-001641 CONFORMED SUBMISSION TYPE: 8-K PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20040514 ITEM INFORMATION: Other events ITEM INFORMATION: Financial statements and exhibits FILED AS OF DATE: 20040518 FILER: COMPANY DATA: COMPANY CONFORMED NAME: STRUCTURED ASSET SEC CORP LB-UBS COMM MORT TRUST 2004-C2 CENTRAL INDEX KEY: 0001285902 STANDARD INDUSTRIAL CLASSIFICATION: ASSET-BACKED SECURITIES [6189] FILING VALUES: FORM TYPE: 8-K SEC ACT: 1934 Act SEC FILE NUMBER: 333-111598-02 FILM NUMBER: 04815397 BUSINESS ADDRESS: STREET 1: 745 AVENUE OF THE AMERICAS CITY: NEW YORK STATE: NY ZIP: 10019 8-K 1 file001.txt FORM 8-K SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 ------------ FORM 8-K CURRENT REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 Date of report (Date of earliest event reported) May 14, 2004 ------------------------------ Structured Asset Securities Corporation II ------------------------------------------ (Exact Name of Registrant as Specified in Its Charter) Delaware 333-111598 82-0569805 - -------------------------------------------------------------------------------- (State or Other Jurisdiction (Commission (IRS Employer of Incorporation) File Number) Identification No.) 745 Seventh Avenue New York, New York 10019 - -------------------------------------------------------------------------------- (Address of Principal Executive Offices) (Zip Code) Registrant's telephone number, including area code (212) 526-7000 ---------------------------- - -------------------------------------------------------------------------------- (Former Name or Former Address, if Changed Since Last Report) Item 5. Other Events. It is expected that on June 7, 2004, a single series of certificates, expected to be titled LB-UBS Commercial Mortgage Trust 2004-C4, Commercial Mortgage Pass-Through Certificates, Series 2004-C4 (the "Certificates"), will be issued pursuant to a pooling and servicing agreement (the "Pooling and Servicing Agreement"), to be entered into by and among Structured Asset Securities Corporation II (the "Registrant") and a master servicer, a special servicer and a trustee. It is expected that certain classes of the Certificates (the "Underwritten Certificates") will be registered under the Registrant's registration statement on Form S-3 (no. 333-111598) and sold to Lehman Brothers Inc. and UBS Securities LLC (the "Underwriters"), pursuant to an underwriting agreement between the Registrant and the Underwriters. In connection with the expected sale of the Underwritten Certificates, the Registrant has been advised that one or more prospective investors have been furnished with certain materials listed as Exhibit 99.1, that constitute "Computational Materials" (as defined in the no-action letter made available May 20, 1994 issued by the Division of Corporation Finance of the Securities and Exchange Commission (the "Commission") to Kidder, Peabody Acceptance Corporation I, Kidder, Peabody & Co. Incorporated, and Kidder Structured Asset Corporation and the no-action letter made available May 27, 1994 issued by the Division of Corporation Finance of the Commission to the Public Securities Association) and/or "ABS Term Sheets" (as defined in the no-action letter made available February 17, 1995 issued by the Division of Corporation Finance of the Commission to the Public Securities Association). The materials attached hereto have been prepared and provided to the Registrant with respect to the Underwritten Certificates. The information in such materials is preliminary and will be superseded by the final Prospectus Supplement relating to the Underwritten Certificates and by any other similar information subsequently filed with the Commission. To the extent any materials previously filed by the Registrant with respect to the Underwritten Certificates are inconsistent with the materials attached hereto, such previously filed materials are superseded by the materials attached hereto. Item 7. Financial Statements and Exhibits. (a) Financial statements of businesses acquired: Not applicable. (b) Pro forma financial information: Not applicable. 2 (c) Exhibits: Exhibit No. Description 99.1 Certain materials constituting Computational Materials and/or ABS Term Sheets prepared and disseminated in connection with the expected sale of the Underwritten Certificates. 3 SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. Date: May 14, 2004 STRUCTURED ASSET SECURITIES CORPORATION II By: /s/ David Nass --------------------------------------- Name: David Nass Title: Senior Vice President 4 EXHIBIT INDEX The following exhibits are filed herewith: Exhibit No. Page No. - ----------- -------- 99.1 Certain materials constituting Computational Materials and/or ABS Term Sheets prepared and disseminated in connection with the expected sale of the Underwritten Certificates. 5 EX-99.1 2 file002.txt COMPUTATIONAL MATERIALS CONFIDENTIAL LB-UBS COMMERCIAL MORTGAGE TRUST 2004-C4 COMMERCIAL MORTGAGE PASS-THROUGH CERTIFICATES, SERIES 2004-C4 INITIAL MORTGAGE POOL BALANCE APPROXIMATELY $1.42 BILLION MAY 14, 2004 [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS - -------------------------------------------------------------------------------- THE INFORMATION CONTAINED HEREIN (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 SECURITIES ARE MADE ONLY BY, AND THIS INFORMATION MUST BE READ IN CONJUNCTION WITH, AND IS SUBJECT TO AND SUPERCEDED IN ITS ENTIRETY BY THE FINAL PROSPECTUS SUPPLEMENT AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES ACT OF 1933, THE FINAL OFFERING MEMORANDUM (COLLECTIVELY, THE "OFFERING DOCUMENT"). THIS INFORMATION DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION HEREIN REGARDING THE UNDERLYING ASSETS HAS BEEN PROVIDED BY THE SELLERS OF THOSE UNDERLYING ASSETS, THE ISSUER OF THE SECURITIES OR THEIR RESPECTIVE AFFILIATES AND HAS NOT BEEN INDEPENDENTLY VERIFIED BY THE UNDERWRITERS OR THEIR RESPECTIVE AFFILIATES. THE ANALYSES CONTAINED HEREIN HAVE BEEN PREPARED AND DISSEMINATED BY THE UNDERWRITERS AND NOT BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES AND WEIGHTED AVERAGE LOAN AGE, LOSS AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. NEITHER THE UNDERWRITERS NOR ANY OF THEIR RESPECTIVE AFFILIATES MAKES ANY REPRESENTATION OR WARRANTY EXPRESS OR IMPLIED AS TO THE ACCURACY OR COMPLETENESS OF THE INFORMATION, INCLUDING BUT NOT LIMITED TO, ACTUAL AMOUNT, RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR YIELD ON THE SECURITIES AND ANY LIABILITY THEREFORE IS EXPRESSLY DISCLAIMED. THIS INFORMATION MAY NOT BE DELIVERED BY YOU TO ANY OTHER PERSON WITHOUT THE UNDERWRITERS' PRIOR WRITTEN CONSENT. THE UNDERWRITERS MAY FROM ANY TIME TO TIME PERFORM INVESTMENT BANKING SERVICES FOR OR SOLICIT INVESTMENT BANKING BUSINESS FROM ANY COMPANY NAMED IN THE INFORMATION HEREIN. THE UNDERWRITERS AND/OR THEIR EMPLOYEES MAY FROM TIME TO TIME HAVE A LONG OR SHORT POSITION IN ANY CONTRACT OR SECURITY DISCUSSED HEREIN. THIS INFORMATION SUPERCEDES THE INFORMATION IN ANY PRIOR VERSIONS HEREOF OR OTHER RELATED TERM SHEETS AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS HEREOF AND BY THE OFFERING DOCUMENT. THIS MATERIAL IS CONFIDENTIAL AND MUST NOT BE COPIED OR DISSEMINATED TO ANY OTHER PARTIES WITHOUT THE UNDERWRITERS' PRIOR WRITTEN CONSENT. IN FURNISHING THIS INFORMATION, THE UNDERWRITERS UNDERTAKE NO OBLIGATION TO PROVIDE THE RECIPIENT WITH ACCESS TO ANY ADDITIONAL INFORMATION OR TO UPDATE THE INFORMATION OR TO CORRECT ANY INACCURACIES THEREIN WHICH MAY BECOME APPARENT. - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS TABLE OF CONTENTS - -------------------------------------------------------------------------------- I. Transaction Highlights II. Structural Highlights III. Collateral Pool Highlights IV. Significant Mortgage Loans V. Summary Points VI. Investor Reporting VII. Timeline - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS - -------------------------------------------------------------------------------- TRANSACTION HIGHLIGHTS TRANSACTION HIGHLIGHTS - -------------------------------------------------------------------------------- TRANSACTION HIGHLIGHTS Initial Mortgage Pool Balance: Approximately $1.42 billion Public Certificates: Approximately $1.11 billion Private Certificates(1): Approximately $311.4 million Co-Lead Manager/Sole Book Runner: Lehman Brothers Inc. Co-Lead Manager: UBS Securities LLC Rating Agencies: Standard & Poor's, a division of The McGraw-Hill Companies, Inc. ("S&P") and Moody's Investors Service, Inc. ("Moody's") Trustee: Wells Fargo Bank, National Association Master Servicer: Wachovia Bank, National Association Special Servicer: Lennar Partners, Inc. - --------------------------- 1. Not offered hereby. - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 1 TRANSACTION HIGHLIGHTS - -------------------------------------------------------------------------------- TRANSACTION HIGHLIGHTS Cut-Off Date: 5/11/2004 Determination Date: 11th day of each month or if such day is not a business day, then the following business day Distribution Date: 4th business day after the Determination Date of each month, commencing in 6/2004 Eligible for Underwriters' Prohibited Transaction Exemption for ERISA Purposes (Public Certificates): Classes A-1, A-2, A-3, A-4, B, C, D, E and F SMMEA Eligible: Classes A-1, A-2, A-3, A-4, B, C and D DTC (Public Certificates): Classes A-1, A-2, A-3, A-4, B, C, D, E and F Bloomberg: Cash flows will be modeled on Bloomberg
Denominations: Class Minimum Denomination(1) -------------------------------------------- ----------------------- Classes A-1, A-2, A-3, A-4, B, C, D, E and F $10,000
Lehman Brothers CMBS Index: All classes will be included in the Lehman Brothers CMBS Index - --------------------------- 1. Increments of $1 thereafter. - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 2 - -------------------------------------------------------------------------------- STRUCTURAL HIGHLIGHTS STRUCTURAL HIGHLIGHTS - -------------------------------------------------------------------------------- STRUCTURAL HIGHLIGHTS CERTIFICATES ------------------------ -------------------------- LOAN GROUP 1 LOAN GROUP 2 $1.22 billion Commercial $199.5 million Multifamily Loans Loans ------------------------ -------------------------- 100% 100% ------------------------------------ Class A-1(1) ------------------ Class A-2(1) ------------------ Class A-1b(2) Class A-3(1) ------------------ Class A-4(1) ------------------------------------ Class B ------------------------------------ Class C ------------------------------------ Class D ------------------------------------ Class E ------------------------------------ Class F ------------------------------------ - --------------------------- 1. 100% of all scheduled and unscheduled payments received with respect to the Mortgage Loans constituting Loan Group 1 will be applied to make distributions to the Class A-1, A-2, A-3 and A-4 certificates prior to being applied to making any distributions of principal to the A-1b certificates, unless and until Classes B through T have all been reduced to zero, in which case the A Classes will be pro rata. 2. 100% of all scheduled and unscheduled payments received with respect to the Mortgage Loans constituting Loan Group 2 will be applied to make distributions to the A-1b certificates prior to being applied to making any distributions of principal to the A-1, A-2, A-3 and A-4 certificates, unless and until Classes B through T have all been reduced to zero, in which case the A Classes will be pro rata. - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 3 STRUCTURAL HIGHLIGHTS - -------------------------------------------------------------------------------- STRUCTURAL HIGHLIGHTS CERTIFICATES ------------------------------------------------------------------------- Class A-1(1) ------------------ Class A-2(1) ------------------ Class A-1b(2) Class A-3(1) ------------------ Class A-4(1) ------------------------------------ Class B Offered ------------------------------------ Certificates Class C ------------------------------------ Class D ------------------------------------ Class E ------------------------------------ Class F ------------------------------------------------------- Class X(3) Class G ------------------------------------ Class H ------------------------------------ Class J ------------------------------------ Class K ------------------------------------ Private, 144A Class L ------------------------------------ Class M ------------------------------------ Class N ------------------------------------ Class P ------------------------------------ Class Q ------------------------------------ Class S ------------------------------------ Class T ------------------------------------------------------------------------- - --------------------------- 1. 100% of all scheduled and unscheduled payments received with respect to the mortgage loans constituting Loan Group 1 will be applied to make distributions to the Class A-1, A-2, A-3 and A-4 certificates prior to being applied to making any distributions of principal to the A-1b certificates, unless and until Classes B through T have all been reduced to zero, in which case the A Classes will be pro rata. 2. 100% of all scheduled and unscheduled payments received with respect to the mortgage loans constituting Loan Group 2 will be applied to make distributions to the Class A-1b certificates prior to being applied to making any distributions of principal to the A-1, A-2, A-3 and A-4 certificates, unless and until Classes B through T have all been reduced to zero, in which case the A Classes will be pro rata. The Class A-1b certificates will be privately placed and are not offered as part of the public offering. 3. The Class X certificates have the rights to certain excess interest from the underlying mortgage loans. The Class X certificates will be privately placed and are not offered as part of the public offering. - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 4 STRUCTURAL HIGHLIGHTS - -------------------------------------------------------------------------------- STRUCTURAL HIGHLIGHTS BOND STRUCTURE o Sequential pay structure(1) o Interest and principal are paid to senior classes before subordinate classes receive interest and principal(1) o Credit enhancement for each class will be provided by the subordinate classes o Losses are allocated in reverse sequential order starting with the non-rated principal balance class (Class T)
- ---------------------------------------------------------------------------------------------------------------- CLASS ORIGINAL FACE RATINGS APPROXIMATE WTD. AVG. LIFE AMOUNT ($) (S&P/MOODY'S) CREDIT SUPPORT DESCRIPTION (YEARS)(2) PRINCIPAL WINDOW(2) - ---------------------------------------------------------------------------------------------------------------- A-1(3) $125,000,000 AAA/Aaa 13.250% Fixed Rate 3.81 6/2004 - 1/2009 - ---------------------------------------------------------------------------------------------------------------- A-2(3) $318,000,000 AAA/Aaa 13.250% Fixed Rate(4) 4.74 1/2009 - 4/2009 - ---------------------------------------------------------------------------------------------------------------- A-3(3) $218,000,000 AAA/Aaa 13.250% WAC(5) 7.01 4/2009 - 12/2013 - ---------------------------------------------------------------------------------------------------------------- A-4(3) $372,043,000 AAA/Aaa 13.250% WAC(6) 9.90 12/2013 - 6/2014 - ---------------------------------------------------------------------------------------------------------------- B(3) $14,209,000 AA+/Aa1 12.250% WAC(6) 10.02 6/2014 - 6/2014 - ---------------------------------------------------------------------------------------------------------------- C(3) $15,984,000 AA/Aa2 11.125% WAC(6) 10.02 6/2014 - 6/2014 - ---------------------------------------------------------------------------------------------------------------- D(3) $14,209,000 AA-/Aa3 10.125% WAC(6) 10.02 6/2014 - 6/2014 - ---------------------------------------------------------------------------------------------------------------- E(3) $19,536,000 A+/A1 8.750% WAC(6) 10.02 6/2014 - 6/2014 - ---------------------------------------------------------------------------------------------------------------- F(3) $12,433,000 A/A2 7.875% WAC(6) 10.02 6/2014 - 6/2014 - ---------------------------------------------------------------------------------------------------------------- A-1b $199,546,000 AAA/Aaa 13.250% WAC(5) 7.40 6/2004 - 6/2014 - ---------------------------------------------------------------------------------------------------------------- X $1,420,852,586(7) AAA/Aaa N/A Variable IO(8) 7.53(9) 6/2004 - 8/2021(10) - ---------------------------------------------------------------------------------------------------------------- G $28,417,000 A-/A3 5.875% WAC(6) 10.02 6/2014 - 6/2014 - ---------------------------------------------------------------------------------------------------------------- H $14,209,000 BBB+/Baa1 4.875% WAC(6) 10.02 6/2014 - 6/2014 - ---------------------------------------------------------------------------------------------------------------- J $15,984,000 BBB/Baa2 3.750% WAC(6) 10.02 6/2014 - 6/2014 - ---------------------------------------------------------------------------------------------------------------- K $15,985,000 BBB-/Baa3 2.625% WAC(6) 10.36 6/2014 - 12/2015 - ---------------------------------------------------------------------------------------------------------------- L $5,328,000 BB+/Ba1 2.250% Fixed Rate(4) 11.52 12/2015 - 12/2015 - ---------------------------------------------------------------------------------------------------------------- M $3,552,000 BB/Ba2 2.000% Fixed Rate(4) 11.52 12/2015 - 12/2015 - ---------------------------------------------------------------------------------------------------------------- N $5,328,000 BB-/Ba3 1.625% Fixed Rate(4) 12.68 12/2015 - 5/2018 - ---------------------------------------------------------------------------------------------------------------- P $5,328,000 B+/NR 1.250% Fixed Rate(4) 14.54 5/2018 - 3/2019 - ---------------------------------------------------------------------------------------------------------------- Q $1,776,000 B/NR 1.125% Fixed Rate(4) 14.77 3/2019 - 3/2019 - ---------------------------------------------------------------------------------------------------------------- S $1,777,000 B-/NR 1.000% Fixed Rate(4) 14.77 3/2019 - 3/2019 - ---------------------------------------------------------------------------------------------------------------- T $14,208,586 NR/NR N/A Fixed Rate(4) 15.09 3/2019 - 8/2021 - ----------------------------------------------------------------------------------------------------------------
- --------------------------- 1. Except that Class A-1, Class A-1b, Class A-2, Class A-3, Class A-4 and Class X receive interest on a pro-rata basis. 2. Calculated, assuming among other things, 0% CPR, no defaults or losses and that ARD loans mature and are paid in full on their respective anticipated repayment dates. 3. Certificates offered as part of the public offering. 4. For any distribution date, if the weighted average of certain net interest rates on the underlying mortgage loans is less than a specified fixed rate for such class, then the pass-through rate for that class of certificates on that distribution date will equal such weighted average net interest rate. 5. Pass-through rate is a specified number of basis points (which will vary on a class-by-class basis among the A-3 and A-1b classes) below the weighted average of certain net interest rates on the underlying mortgage loans. 6. The pass-through rates will equal the weighted average of certain net interest rates on the underlying mortgage loans. 7. Represents the notional amount. 8. The Class X certificates have rights to certain excess interest on all underlying mortgage loans. 9. Represents the weighted average life of each dollar reduction in notional amount. 10. Represents period over which the notional amount will be reduced to zero. - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 5 STRUCTURAL HIGHLIGHTS - -------------------------------------------------------------------------------- STRUCTURAL HIGHLIGHTS CALL PROTECTION - -------------------------------------------------------------------------------- STATISTICAL DATA(1) - -------------------------------------------------------------------------------- Loans with Initial Lock-Out & Defeasance Thereafter 97.1%(2) - -------------------------------------------------------------------------------- Loans with Initial Lock-Out & Yield Maintenance Thereafter 2.7%(2) - -------------------------------------------------------------------------------- Loans with Yield Maintenance 0.2%(2) - -------------------------------------------------------------------------------- Weighted Average Remaining Lock-Out 89.6 months(3) - -------------------------------------------------------------------------------- Weighted Average Open Period 3.5 months - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- OPEN PREPAYMENT PERIOD PERCENT OF INITIAL AT END OF LOAN NUMBER OF LOANS MORTGAGE POOL BALANCE(1) - -------------------------------------------------------------------------------- None 28 7.9% - -------------------------------------------------------------------------------- 1 Month 18 8.6% - -------------------------------------------------------------------------------- 2 Months 9 6.2% - -------------------------------------------------------------------------------- 3 Months 37 40.4% - -------------------------------------------------------------------------------- 4 Months 2 8.6% - -------------------------------------------------------------------------------- 6 Months 2 26.9% - -------------------------------------------------------------------------------- 12 Months 3 1.3% - -------------------------------------------------------------------------------- TOTAL: 99 100.0% - -------------------------------------------------------------------------------- - --------------------------- 1. As of the Cut-Off Date. 2. Percent of initial mortgage pool balance. 3. Weighted Average Remaining Lock-Out represents loans within their Remaining Lock-Out or Lock-Out/Defeasance Periods. - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 6 STRUCTURAL HIGHLIGHTS - -------------------------------------------------------------------------------- STRUCTURAL HIGHLIGHTS PREPAYMENT PREMIUMS(1)
- ------------------------------------------------------------------------------------------------------------------------------------ PREPAYMENT PREMIUM 5/2004 5/2005 5/2006 5/2007 5/2008 5/2009 5/2010 5/2011 5/2012 5/2013 5/2014 - ------------------------------------------------------------------------------------------------------------------------------------ LOCK-OUT/DEF. 99.8% 99.1% 98.1% 97.2% 97.2% 95.6% 96.5% 95.8% 95.6% 96.0% 9.2% - ------------------------------------------------------------------------------------------------------------------------------------ YIELD MAINT. 0.2% 0.2% 1.2% 2.8% 2.8% 3.5% 3.5% 4.2% 4.4% 4.0% 4.0% - ------------------------------------------------------------------------------------------------------------------------------------ OTHER(2) - 0.7% 0.6% - - - - - - - - - ------------------------------------------------------------------------------------------------------------------------------------ SUB-TOTAL 100.0% 100.0% 100.0% 100.0% 100.0% 99.1% 100.0% 100.0% 100.0% 100.0% 13.2% - ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------ >=5.0% - - - - - - - - - - - - ------------------------------------------------------------------------------------------------------------------------------------ 4.0% - - - - - - - - - - - - ------------------------------------------------------------------------------------------------------------------------------------ 3.0% - - - - - - - - - - - - ------------------------------------------------------------------------------------------------------------------------------------ 2.0% - - - - - - - - - - - - ------------------------------------------------------------------------------------------------------------------------------------ 1.0% - - - - - - - - - - - - ------------------------------------------------------------------------------------------------------------------------------------ OPEN - - - - - 0.9% - - - - 86.8% - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% 100.0% - ------------------------------------------------------------------------------------------------------------------------------------
- --------------------------- 1. Represents percentage of then outstanding balance of mortgage loan pool as of the date shown assuming, among other things, no prepayments, defaults or losses and that ARD loans mature and are paid in full on their respective anticipated repayment dates. 2. Three loans, representing 0.7% of the deal, have less than a two year lockout remaining prior to their defeasance periods. If any of these loans defease prior to two years after the securitization, such loans will be repurchased out of the Trust. The repurchase price shall include the amount, if any, by which the proceeds from the defeasance deposits exceed the principal balance of the loan together with accrued interest and costs. - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 7 - -------------------------------------------------------------------------------- COLLATERAL POOL HIGHLIGHTS COLLATERAL POOL HIGHLIGHTS - -------------------------------------------------------------------------------- COLLATERAL POOL HIGHLIGHTS POOL COMPOSITION o The pool includes five mortgage loans (representing 51.4% of the initial mortgage pool balance) which S&P and Moody's have confirmed that, in the context of their inclusion in the securitization trust, have credit characteristics that are consistent with obligations rated investment grade (the "Investment Grade Loans"). o Three of the Investment Grade Loans (the Westfield Shoppingtown Garden State Plaza loan, the 666 Fifth Avenue loan and the Two Penn Plaza loan) will be split into pro rata and pari passu components. The structures of these loans are outlined on the following pages. o Summary of the pool composition is as follows:
- ----------------------------------------------------------------------------------------------- TOTAL PRINCIPAL BALANCE AS OF PERCENT OF TOTAL NUMBER OF LOANS CUT-OFF DATE MORTGAGE POOL - ----------------------------------------------------------------------------------------------- Investment Grade Loans 5 $729,667,654 51.4% - ----------------------------------------------------------------------------------------------- Conduit Loans 94 691,184,933 48.6 - ----------------------------------------------------------------------------------------------- TOTAL: 99 $1,420,852,587 100.0% - -----------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 8 COLLATERAL POOL HIGHLIGHTS - -------------------------------------------------------------------------------- COLLATERAL POOL HIGHLIGHTS THE WESTFIELD SHOPPINGTOWN GARDEN STATE PLAZA LOAN STRUCTURE o The Westfield Shoppingtown Garden State Plaza loan will be split into four pro rata, pari passu components (the A-1 Note, A-2 Note, A-3 Note and A-4 Note components) of $130.0 million each.
- ------------------ ------- ------- ------- ------- ------- ------- -------------- -------------- WESTFIELD A-1 A-2 A-3 A-4 A-1 A-2 AAA/Aaa TO LB-UBS 2004-C4 SHOPPINGTOWN NOTE NOTE NOTE NOTE NOTE NOTE AA/A2 TRUST GARDEN STATE PLAZA ($130m) ($130m) ($130m) ($130m) ($130m) ($130m) CASHFLOWS(1) - ------------------ ------- ------- ------- ------- ------- ------- -------------- --------------
o The A-1 Note, A-2 Note, A-3 Note and A-4 Note component holders receive interest payments pro rata and pari passu. o The A-3 Note and A-4 Note components will not be included in the LB-UBS 2004-C4 Trust. - --------------------------- 1. S&P and Moody's have indicated to the Depositor that the A-1 Note component and A-2 Note component proceeds are expected to contribute AAA/Aaa through AA/A2 cash flows to the LB-UBS 2004-C4 Trust. - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 9 COLLATERAL POOL HIGHLIGHTS - -------------------------------------------------------------------------------- COLLATERAL POOL HIGHLIGHTS THE 666 FIFTH AVENUE LOAN STRUCTURE o The 666 Fifth Avenue loan was split into two pro rata, pari passu components (the A-1 Note component and the A-2 Note component) of $187.5 million each. - ---------------- --------- --------- --------- ------------ -------------- A-1 NOTE A-2 NOTE A-2 NOTE AAA/Aaa TO LB-UBS 2004-C4 666 FIFTH AVENUE ($187.5m) ($187.5m) ($187.5m) AAA/A2 TRUST CASHFLOWS(1) - ---------------- --------- --------- --------- ------------ -------------- o The A-1 Note component and A-2 Note component holders receive interest payments pro rata and pari passu. o The A-1 Note component will not be included in the LB-UBS 2004-C4 Trust. - --------------------------- 1. S&P and Moody's have indicated to the Depositor that the A-2 Note component proceeds are expected to contribute AAA/Aaa through AAA/A2 cash flows to the LB-UBS 2004-C4 Trust. - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 10 COLLATERAL POOL HIGHLIGHTS - -------------------------------------------------------------------------------- COLLATERAL POOL HIGHLIGHTS THE TWO PENN PLAZA LOAN A/B NOTE STRUCTURE o The Two Penn Plaza loan will be split into two pro rata, pari passu A Note components (the A-1 Note component and the A-2 Note component). The A Note components (described below) were created by de-leveraging a larger loan balance utilizing the A/B Note structure which was developed in LBCMT 1999-C2. - -------------- --------- --------- ----------------- ------------ -------------- A-1 NOTE A-2 NOTE A-1 NOTE AAA/Aaa TO LB-UBS 2004-C4 ($122.5m) ($122.5m) ($122.5m) A/Baa2 TRUST --------- --------- ----------------- CASHFLOWS(1) -------------- TWO PENN PLAZA ------------------- ----------------- ------------ B NOTE B NOTE ------------ ($55m) ($55m) WHOLE LOAN - -------------- ------------------- ----------------- ------------ o The A Note holders receive monthly payments prior to the B Note holder receiving monthly payments.(2) o The B Note holder receives no principal payments until the principal amount of the A Notes have been paid in full. o The A-2 Note component and the B Note will not be included in the LB-UBS 2004-C4 Trust. The B Note will be held by an insurance company on a whole loan basis. - --------------------------- 1. S&P and Moody's have indicated to the Depositor that the A-1 Note component proceeds are expected to contribute AAA/Aaa through A/Baa2 cash flows to the LB-UBS 2004-C4 Trust. 2. The A-1 Note component holder receives monthly payments pro rata with the A-2 Note component holder. - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 11 COLLATERAL POOL HIGHLIGHTS - -------------------------------------------------------------------------------- COLLATERAL POOL HIGHLIGHTS o The A Note(1) DSCR and LTV are set forth below: - -------------------------------------------------------------------------------- WESTFIELD SHOPPINGTOWN 666 FIFTH AVENUE TWO PENN PLAZA GARDEN STATE PLAZA - -------------------------------------------------------------------------------- DSCR(2) 2.36x 3.03x 1.99x - -------------------------------------------------------------------------------- UW Net Cash Flow $62,006,522 $52,158,823 $32,800,025 - -------------------------------------------------------------------------------- LTV 53.2% 51.4% 56.3% - -------------------------------------------------------------------------------- Appraised Value $977,200,000 $730,000,000 $435,000,000 - -------------------------------------------------------------------------------- Shadow Rating(3) AA/A2 AAA/A2 A/Baa2 - -------------------------------------------------------------------------------- o The combined A Note(1) and B Note(4) DSCR and LTV are set forth below: - ----------------------------------------------------------- TWO PENN PLAZA - ----------------------------------------------------------- DSCR(5) 1.70x - ----------------------------------------------------------- UW Net Cash Flow $32,800,025 - ----------------------------------------------------------- LTV 69.0% - ----------------------------------------------------------- Appraised Value $435,000,000 - ----------------------------------------------------------- - --------------------------- 1. In the case of the Westfield Shoppingtown Garden State Plaza loan, a loan amount that includes the A-1 Note, A-2 Note, A-3 Note and A-4 Note components (combined balance of $520,000,000). In the case of the 666 Fifth Avenue loan, a loan amount that includes the A-1 Note and A-2 Note components (combined balance of $375,000,000). In the case of the Two Penn Plaza loan, a loan amount that includes the A-1 Note and A-2 Note components (combined balance of $245,000,000). The A-3 Note and A-4 Note components of the Westfield Shoppingtown Garden State Plaza loan, the A-1 Note component of the 666 Fifth Avenue Loan, and the A-2 Note component of the Two Penn Plaza loan will not be included in the LB-UBS 2004-C4 Trust. 2. Based on underwritten net cash flow, the entire respective A Note and the interest rate. In the case of the Two Penn Plaza loan, based on an average annual debt constant starting in year three. 3. S&P and Moody's have each confirmed to the Depositor that the respective ratings in this row reflect an assessment by such rating agency that, in the context of the subject mortgage loan's inclusion in the securitization trust, its credit characteristics are consistent with obligations that are so rated. 4. The Two Penn Plaza loan B Note (balance of $55,000,000) will not be included in the LB-UBS 2004-C4 Trust. 5. Based on underwritten net cash flow and actual debt constant starting in year three. - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 12 COLLATERAL POOL HIGHLIGHTS - -------------------------------------------------------------------------------- COLLATERAL POOL HIGHLIGHTS MORTGAGE LOAN SELLERS o Sponsors of properties securing loans in the LB-UBS 2004-C4 transaction include the following: o Westfield America, Inc. / Prudential Assurance Company Limited o Tishman Speyer Properties / TMW Real Estate Group, LLC o Vornado Realty Trust o General Growth Properties Inc. o JMB Realty Corporation o General Electric Pension Trust ("GEPT") o The Lembi Group o Conduit Origination Program o Underwritten NCF on conduit loans either verified subject to a variance of 2.5% or, in select cases, re-underwritten by third party service providers (i.e., by a "Big Four" accounting firm). o Sponsor/principal due diligence performed for all loans using a combination of either Lexis/Nexis, bank references, Equifax, TRW reports, litigation searches or other types of credit history and background checks. o Appraisals are prepared in accordance with USPAP standards by approved vendors and substantially all are prepared in accordance with FIRREA. o Substantially all borrowers are single asset entities. o Non-consolidation opinions o Delivered for substantially all loans with principal balances greater than $15 million o Cash management systems affecting approximately 97.9% of the initial mortgage pool balance o Hard lockbox -- 50.1% of the initial mortgage pool balance(1) o Springing lockbox -- 47.8% of the initial mortgage pool balance - --------------------------- 1. Includes hard lockboxes under lender control that are subject to daily or weekly sweeps to accounts controlled by the borrower unless there is the occurrence of certain trigger events and certain multifamily properties where the property manager or other party is required to deposit rents, or a majority of the rents, into a hard lockbox under lender control. - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 13 COLLATERAL POOL HIGHLIGHTS - -------------------------------------------------------------------------------- COLLATERAL POOL HIGHLIGHTS FUNDED ESCROWS - -------------------------------------------------------------------------------- ESCROW TYPE(1) PERCENT OF POOL WITH FUNDED ESCROWS(2) - -------------------------------------------------------------------------------- Replacement Reserves 97.3% - -------------------------------------------------------------------------------- Tax Reserves(3) 100.0% - -------------------------------------------------------------------------------- Insurance Reserves(4) 100.0% - -------------------------------------------------------------------------------- TI & LC (Industrial) 71.2% - -------------------------------------------------------------------------------- TI & LC (Office) 100.0% - -------------------------------------------------------------------------------- TI & LC (Retail) 91.4% - -------------------------------------------------------------------------------- - --------------------------- 1. Escrows are generally in the form of either up-front reserves, periodic cash deposits or letters of credit. 2. As of the Cut-Off Date; excludes the Investment Grade Loans. 3. In some instances where there are no tax escrows, certain creditworthy tenants are permitted to pay taxes directly and are deemed to have escrows. 4. In some instances where there are no insurance escrows, certain creditworthy tenants are permitted to maintain insurance or self-insure and are deemed to have escrows. - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 14 COLLATERAL POOL HIGHLIGHTS - -------------------------------------------------------------------------------- COLLATERAL POOL HIGHLIGHTS - -------------------------------------------------------------------------------- GENERAL POOL CHARACTERISTICS AS OF THE CUT-OFF DATE - -------------------------------------------------------------------------------- Size of Pool $1,420,852,587 - -------------------------------------------------------------------------------- Contributors of Collateral Lehman: 60.8% UBS: 39.2% - -------------------------------------------------------------------------------- Number of Loans 99 - -------------------------------------------------------------------------------- Gross Weighted Average Coupon 5.207% - -------------------------------------------------------------------------------- Weighted Average Original Term to Maturity(1) 98 months - -------------------------------------------------------------------------------- Weighted Average Remaining Term to Maturity(1) 96 months - -------------------------------------------------------------------------------- Average Balance $14,352,046 - -------------------------------------------------------------------------------- Average Conduit Balance (excluding the Investment Grade Loans) $7,353,031 - -------------------------------------------------------------------------------- Largest Loan $260,000,000 - -------------------------------------------------------------------------------- Largest Conduit Loan $91,000,000 - -------------------------------------------------------------------------------- WA U/W DSCR(2) 1.95x - -------------------------------------------------------------------------------- WA LTV(2) 62.8% - -------------------------------------------------------------------------------- WA LTV at Maturity/ARD(1)(2)(4) 56.3% - -------------------------------------------------------------------------------- Geographic Diversity 27 states - -------------------------------------------------------------------------------- Balloon and/or ARD Loans(3) 99.1% - -------------------------------------------------------------------------------- Fully Amortizing Loans 0.9% - -------------------------------------------------------------------------------- - --------------------------- 1. Assumes ARD loans mature and are paid in full on their respective anticipated repayment dates. 2. Credit characteristics excluding the Investment Grade Loans are as follows: WA U/W DSCR: 1.44x; WA LTV: 72.0%; WA LTV at Maturity/ARD: 61.0%. 3. Includes interest only loans. 4. Includes fully amortizing loans. - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 15 COLLATERAL POOL HIGHLIGHTS - -------------------------------------------------------------------------------- COLLATERAL POOL HIGHLIGHTS PROPERTY TYPE o Heavily concentrated in Investment Grade Loans and the following asset classes: o Office, Regional Mall, Anchored Retail, Industrial/Warehouse, Multifamily(1) and Investment Grade properties comprise 89.6% of the initial mortgage pool balance. o Investment Grade Loans comprise 51.4% of the initial mortgage pool balance. PROPERTY TYPE(2) - -------------------------------------------------------------------------------- PROPERTY TYPE % OF POOL - ------------- --------- OFFICE 34.7% (62.8% INVESTMENT GRADE) REGIONAL MALL 26.5% (100.0% INVESTMENT GRADE) MULTIFAMILY (1) 14.0% ANCHORED RETAIL 9.1% UNANCHORED RETAIL 6.5% HOTEL 5.5% (54.8% INVESTMENT GRADE) INDUSTRIAL/WAREHOUSE 2.2% SELF STORAGE 0.7% OTHER RETAIL 0.7% - --------------------------- 1. Multifamily component includes manufactured housing representing 0.2% of the aggregate pool. 2. Percentages based on allocated loan amount per property. - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 16 COLLATERAL POOL HIGHLIGHTS - -------------------------------------------------------------------------------- COLLATERAL POOL HIGHLIGHTS GEOGRAPHIC DIVERSITY o The loans are secured by properties located in 27 states. o Only two states represent more than 15.0% (by principal balance) of the Mortgaged Properties (New York 24.6% and New Jersey 18.3%). o 88.8% (by principal balance) of the properties in New York secure mortgage loans that have credit characteristics consistent with obligations rated investment grade by S&P and Moody's. o 100.0% (by principal balance) of the properties in New Jersey secure mortgage loans that have credit characteristics consistent with obligations rated investment grade by S&P and Moody's. STATE DISTRIBUTION - -------------------------------------------------------------------------------- STATE % OF POOL - ----- --------- NY 24.6% (88.8% INVESTMENT GRADE) NJ 18.3% (100.0% INVESTMENT GRADE) FL 13.9% CA 13.7% TX 13.7% (60.1% INVESTMENT GRADE) IL 3.4% (89.2% INVESTMENT GRADE) MD 1.7% GA 1.6% OTHER (1) 9.2% - --------------------------- 1. No other state represents more than 1.2% of the initial mortgage pool balance. - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 17 COLLATERAL POOL HIGHLIGHTS - -------------------------------------------------------------------------------- COLLATERAL POOL HIGHLIGHTS CUT-OFF DATE LOAN SIZE DIVERSITY o 99 mortgage loans o Average loan size: $14,352,046 ($7,353,031 excluding the Investment Grade Loans) o The largest loan comprises 18.3% of the initial mortgage pool balance (6.4% excluding the Investment Grade Loans) CUT-OFF DATE LOAN SIZE DISTRIBUTION - -------------------------------------------------------------------------------- $ MILLIONS % OF POOL # OF LOANS - ---------- --------- ---------- (less than) $6 12.3% 57 $6 - $14 17.6% 28 $14 - $40 12.4% 8 $40 - $60 3.0% 1 $60 - $100 6.4% 1 $100 - $150 16.8% 2 (greater than) $150 31.5% 2 - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 18 COLLATERAL POOL HIGHLIGHTS - -------------------------------------------------------------------------------- COLLATERAL POOL HIGHLIGHTS UNDERWRITTEN DEBT SERVICE COVERAGE RATIO o Weighted average underwritten debt service coverage ratio of 1.95x. - -------------------------------------------------------------------------------- UNDERWRITTEN DEBT SERVICE COVERAGE RATIO - -------------------------------------------------------------------------------- PROPERTY TYPE % OF POOL WA DSCR MIN-MAX DSCR - -------------------------------------------------------------------------------- RETAIL 42.8% 1.94x 1.00x(1) - 2.36X Regional Mall 26.5% 2.30x 2.16x - 2.36x Anchored Retail 9.1% 1.39x 1.20x - 1.85x Unanchored Retail 6.5% 1.37x 1.20x - 1.60x Other Retail 0.7% 1.00x 1.00x(1) - 1.00x OFFICE 34.7% 2.25x 1.21x - 3.03x MULTIFAMILY(2) 14.0% 1.37x 1.25x - 1.72x HOTEL 5.5% 1.95x 1.43x - 2.27x INDUSTRIAL/WAREHOUSE 2.2% 1.31x 1.20x - 1.54x SELF STORAGE 0.7% 1.61x 1.47x - 1.69x - -------------------------------------------------------------------------------- TOTAL: 100.0% 1.95x 1.00x(1) -3.03x - -------------------------------------------------------------------------------- DSCR % OF POOL # OF LOANS - --------------------------------- --------- ---------- (less than or equal to) 1.20x (1) 0.7% 3 1.20x - 1.29x 14.3% 26 1.30x - 1.39x 10.2% 22 1.40x - 1.49x 9.4% 22 1.50x - 1.59x 3.1% 8 1.60x - 1.79x 4.3% 10 (greater than or equal to) 1.80x 58.0% 8 - --------------------------- 1. Includes three fully amortizing Rite Aid loans. 2. Multifamily component includes manufactured housing representing 0.2% of the aggregate pool. - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 19 COLLATERAL POOL HIGHLIGHTS - -------------------------------------------------------------------------------- COLLATERAL POOL HIGHLIGHTS CUT-OFF DATE LOAN TO VALUE RATIO o Weighted average loan to value of 62.8%. o Weighted average loan to value at maturity or ARD of 56.3%.(1)(2) CUT-OFF DATE LOAN TO VALUE RATIO LTV % OF POOL # OF LOANS - -------------------- --------- ---------- (less than) 50.0% 3.0% 1 50.1% - 55.0% 34.3% 8 55.1% - 60.0% 9.3% 4 60.1% - 65.0% 12.6% 7 65.1% - 70.0% 9.8% 12 70.1% - 75.0% 9.9% 22 75.1% - 80.0% 20.6% 43 (greater than) 80.0% (3) 0.4% 2 - --------------------------- 1. Assumes ARD loans are paid in full on their anticipated repayment dates. 2. Includes fully amortizing loans. 3. Includes two fully amortizing Rite Aid Loans. - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 20 SIGNIFICANT MORTGAGE LOANS - -------------------------------------------------------------------------------- SIGNIFICANT MORTGAGE LOANS SIGNIFICANT MORTGAGE LOANS - -------------------------------------------------------------------------------- SIGNIFICANT MORTGAGE LOANS INVESTMENT GRADE LOANS
- ------------------------------------------------------------------------------------------------------------------------------------ INVESTMENT GRADE LOANS - ------------------------------------------------------------------------------------------------------------------------------------ CUT-OFF DATE PERCENT OF INITIAL U/W NAME PROPERTY TYPE BALANCE MORTGAGE POOL BALANCE DSCR(1)(2) LTV(2) S&P/MOODY'S(3) - ------------------------------------------------------------------------------------------------------------------------------------ Westfield Shoppingtown Garden State Plaza (A-1 Note and A-2 Note Components)(4) Regional Mall $260,000,000 18.3% 2.36x 53.2% AA/A2 - ------------------------------------------------------------------------------------------------------------------------------------ 666 Fifth Avenue 13.2 (A-2 Note Component)(5) Office 187,500,000 3.03 51.4 AAA/A2 - ------------------------------------------------------------------------------------------------------------------------------------ Two Penn Plaza 8.6 (A-1 Note Component)(6) Office 122,500,000 1.99 56.3 A/Baa2 - ------------------------------------------------------------------------------------------------------------------------------------ Town East Mall Regional Mall 116,814,658 8.2 2.16 64.2 BBB/Baa3 - ------------------------------------------------------------------------------------------------------------------------------------ The Ritz-Carlton Chicago, A Four Seasons Hotel Full Service Hotel 42,852,996 3.0 2.27 36.9 BBB+/Baa2 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL/WEIGHTED AVERAGE: ---- $729,667,654 51.4% 2.43X 54.1% --- - ------------------------------------------------------------------------------------------------------------------------------------
- --------------------------- 1. Calculated based on underwritten net cash flow and actual debt service constant or interest rate, as applicable. In the case of the Two Penn Plaza loan, based on average annual debt constant starting in year three. 2. Calculated based on Cut-Off Date Balance and the related appraised value. In the case of the Westfield Shoppingtown Garden State Plaza loan, calculated assuming a loan amount that includes the A-1 Note and A-2 Note components and the non-trust A-3 Note and A-4 Note components (combined balance of $520,000,000). In the case of the 666 Fifth Avenue loan, calculated assuming a loan amount that includes the A-2 Note component and the non-trust A-1 Note component (combined balance of $375,000,000). In the case of the Two Penn Plaza loan, calculated assuming a loan amount that includes the A-1 Note component and the non-trust A-2 Note component (combined balance of $245,000,000). 3. S&P and Moody's have confirmed to us that the ratings in this column reflect an assessment by each rating agency that, in the context of the subject mortgage loan's inclusion in the securitization trust, its credit characteristics are consistent with the obligations that are so rated. In the case of the Westfield Shoppingtown Garden State Plaza loan, S&P and Moody's have indicated to the Depositor that the A-1 Note and A-2 Note component proceeds are expected to contribute AAA/Aaa to AA/A2 cash flows to the LB-UBS 2004-C4 Trust. In the case of the 666 Fifth Avenue loan, S&P and Moody's have indicated to the Depositor that the A-2 Note component proceeds are expected to contribute AAA/Aaa through AAA/A2 cash flows to the LB-UBS 2004-C4 Trust. In the case of the Two Penn Plaza loan, S&P and Moody's have indicated to the Depositor that the A-1 Note component proceeds are expected to contribute AAA/Aaa to A/Baa2 cash flows to the LB-UBS 2004-C4 Trust. 4. Represents the $130,000,000 A-1 Note component and the $130,000,000 A-2 Note component of a $520,000,000 whole loan secured by Westfield Shoppingtown Garden State Plaza. 5. Represents the $187,500,000 A-2 Note component of a $375,000,000 whole loan secured by 666 Fifth Avenue. 6. Represents the $122,500,000 A-1 Note component of a $300,000,000 whole loan secured by Two Penn Plaza. - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 21 SIGNIFICANT MORTGAGE LOANS - -------------------------------------------------------------------------------- SIGNIFICANT MORTGAGE LOANS WESTFIELD SHOPPINGTOWN GARDEN STATE PLAZA Shadow Rating(1): AA/A2 Cut-Off Date Balance (A-1 Note and A-2 Note Components): $260,000,000 Interest Rate: 4.9796% Maturity Date: 6/6/2014 Term to Maturity: 10 years Amortization: Interest only Sponsor: Westfield America, Inc. and certain subsidiaries of Prudential Assurance Company Limited ("PACL") Property: Super-regional mall with 1,986,941 square feet(2) of gross leasable area Location: Paramus, NJ Year Built: 1957; renovated 1997 In-Line Sales/SF(3): $534 2003 In-Line Cost of Occupancy(4): 16.3% Anchors(5): Macy's (439,632 square feet; credit rating of BBB+/Baa1), Nordstrom (245,348 square feet; credit rating of A-/Baa1), JCPenney (176,713 square feet; credit rating of BB+/Ba3), Neiman Marcus (141,139 square feet, credit rating of BBB/Baa2), Lord & Taylor (130,000 square feet; credit rating of BBB+/Baa1) Anchor Sales(6): Macy's ($105.5 million), Nordstrom ($93.0 million), JCPenney ($25.9 million), Neiman Marcus ($50.6 million), Lord & Taylor ($28.7 million) - --------------------------- 1. S&P and Moody's have confirmed to the Depositor that the A-1 Note component and A-2 Note component proceeds are expected to contribute AAA/Aaa through AA/A2 cash flows to the LB-UBS 2004-C4 Trust. 2. Collateral consists of 1,470,454 square feet. 3. In-line sales are provided by the Borrower and are based on the trailing twelve months through 1/31/2004. 4. Based on the year ending 12/31/2003. 5. Credit ratings for anchors are by S&P and Moody's, respectively, and may reflect the rating of the tenant or a guarantor under the lease or ground lease. Nordstrom, Lord & Taylor and Neiman Marcus ground lease their pads, and therefore, their improvements are not part of the collateral. 6. Anchor sales are estimates as reported by the Borrower for the year ending 1/31/2004. - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 22 SIGNIFICANT MORTGAGE LOANS - -------------------------------------------------------------------------------- SIGNIFICANT MORTGAGE LOANS WESTFIELD SHOPPINGTOWN GARDEN STATE PLAZA (CONT.)
Top Five In-Line/Major Tenants: Tenant Square Feet Lease End Date ---------------------- ----------- -------------- Old Navy 52,420 1/31/2007 Best Buy(1) 50,000 11/30/2015 Borders Books & Music 33,308 1/31/2008 Banana Republic 22,447 1/31/2011 Victoria's Secret(2) 20,032 1/31/2015
Overall Occupancy(3): 98.1% Appraised Value(4): $977,200,000 LTV(4)(5): 53.2% U/W DSCR(5)(6): 2.36x Reserves: Westfield America Inc. and certain subsidiaries of PACL guarantee (on a pro rata basis) real estate taxes and insurance premiums and payments of $1.20 per square foot per annum on in-line space (854,109 square feet) for TI/LC's and CapEx. In the event the debt service coverage ratio falls below 1.10x based on an assumed constant of 9.00%, the Borrower must make on-going deposits for real estate taxes and insurance premiums and monthly deposits for TI/LC's and CapEx based on an annual amount of $1.20 per square foot. In the event Westfield America Inc. fails to maintain liquidity of at least $25,000,000 or the PACL guarantors violate certain restrictions on dissolution or liquidation, the Borrower must make on-going deposits as described above, corresponding to the respective percentage ownership interest of the guarantor who failed such tests. - --------------------------- 1. Best Buy is an outparcel tenant. 2. Victoria's Secret has recently leased the former Eddie Bauer space and is expected to be in-place by 8/1/2004. 3. The occupancy percentage is based on the projected 2004/2005 underwritten occupancy. Current overall occupancy based on executed leases is 97.9% and in-line occupancy is 94.7%. 4. Based on appraisal dated as of 3/31/2004. 5. As of the Cut-Off Date and based on a loan amount of $520,000,000 that includes the A-1 Note and A-2 Note components and the non-trust A-3 Note and A-4 Note components. 6. Calculated based on the projected 2004/2005 underwritten net cash flow of $62,006,522 and actual debt constant of 5.049%. - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 23 SIGNIFICANT MORTGAGE LOANS - -------------------------------------------------------------------------------- SIGNIFICANT MORTGAGE LOANS WESTFIELD SHOPPINGTOWN GARDEN STATE PLAZA (CONT.) Lockbox: Hard Prepayment: Defeasance beginning on the earlier of three years after loan origination or two years after securitization of the last component note. Prepayment without penalty permitted six months prior to Maturity Date. Theater Completion Guaranty: If the construction of the theatre commences during the loan term, Westfield America Inc. and certain subsidiaries of PACL must guaranty that the project will be completed during the first nine years of the loan. The guarantors must maintain a combined net worth of $2 billion during the guaranty period. - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 24 SIGNIFICANT MORTGAGE LOANS - -------------------------------------------------------------------------------- SIGNIFICANT MORTGAGE LOANS 666 FIFTH AVENUE Shadow Rating(1): AAA/A2 Cut-Off Date Balance (A-2 Note Component): $187,500,000 Interest Rate: 4.5325% Maturity Date: 1/11/2009 Original Term to Maturity: 5 years Amortization: Interest only Sponsors: Tishman Speyer Properties / TMW Real Estate Group, LLC Property: 39-story Class A office building with 1,408,539 square feet of net rentable area, including 84,626 square feet of retail space, 46,700 square feet of storage space and a 17,478 square foot valet parking garage for 90 cars. Location: New York, NY Year Built: 1957; renovated 1999-2002 Occupancy(2): 96.4%
Square Approx. % of Ratings S&P/ Major Office Tenants(3): Tenant Feet Base Rent Lease End Date Moody's(4) ------------------------------ ------- ------------ ------------------- ----------- Citibank N.A.(5) 272,729 18.8% 8/31/2007-8/31/2014 AA/Aa1 Orrick, Herrington & Sutcliffe 220,284 13.7% 3/31/2010 NR/NR Vinson & Elkins 68,681 6.8% 12/31/2010 NR/NR Fulbright & Jaworski 100,604 6.4% 12/31/2006 NR/NR Phillips Nizer 55,872 3.2% 12/31/2010 NR/NR
- --------------------------- 1. S&P and Moody's have confirmed to the Depositor that the A-2 Note component proceeds are expected to contribute AAA/Aaa through AAA/A2 cash flows to the LB-UBS 2004-C4 Trust. 2. Based on rent roll dated 11/1/2003, as updated to incorporate subsequent new leasing. 3. Five largest tenants (by square feet) ranked by percentage of total underwritten base rent. 4. Credit rating reflects the rating of the tenant company. 5. In addition to the 142,077 square feet leased prior to 2004, Citibank N.A. recently signed a lease for an additional 91,874 square feet, and has negotiated a lease (which is out for signature) for an additional 38,778 square feet. Expiration for Citibank N.A. includes 70,694 square feet expiring on 8/31/2007, 71,383 square feet expiring on 8/31/2009, 91,874 square feet expiring on 8/31/2014 and, assuming execution of the lease out for signature, 38,778 square feet expiring on 8/31/2014. - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 25 SIGNIFICANT MORTGAGE LOANS - -------------------------------------------------------------------------------- SIGNIFICANT MORTGAGE LOANS 666 FIFTH AVENUE (CONT.) Appraised Value(1): $730,000,000 LTV(1)(2): 51.4% U/W DSCR(2)(3): 3.03x Reserves: On-going for taxes. Insurance escrow required if the property is not covered under blanket policy of Sponsors. Springing for capital expenditures. Upfront TI/LC reserve of $5,700,000, and on-going $90,000 monthly reserve to increase after the occurrence of a Trigger Event. Lockbox: Hard Prepayment/Defeasance: Defeasance beginning two years after securitization. Prepayment without penalty permitted three months prior to Maturity Date. Mezzanine Debt(4): $45,000,000 mezzanine loan is co-terminus with the first mortgage and is subject to an intercreditor agreement which complies with rating agency guidelines. - --------------------------- 1. Based on appraisal dated as of 11/10/2003. 2. As of the Cut-Off Date and based on a loan amount of $375,000,000 that includes the A-2 Note component and the non-trust A-1 Note component. 3. Calculated based on underwritten net cash flow of $52,158,823 and interest rate of 4.5325%. 4. The Mezzanine Debt will not be included in the LB-UBS 2004-C4 Trust. - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 26 SIGNIFICANT MORTGAGE LOANS - -------------------------------------------------------------------------------- SIGNIFICANT MORTGAGE LOANS TWO PENN PLAZA Shadow Rating(1): A/Baa2 Cut-Off Date Balance (A-1 Note Component) $122,500,000 Interest Rate(2): 4.9658% Anticipated Repayment Date ("ARD"): 2/11/2011 Maturity Date: 2/11/2034 Original Term to ARD: 7 years Amortization(3): 30 years Sponsors: Vornado Realty Trust Property: 31-story Class A office building with 1,529,325 square feet of net rentable area Location: New York, NY Year Built: 1968; renovated 1991 Occupancy(4): 95.6%
Square Approx. % Ratings S&P/ Major Tenants(5): Tenant Feet of Base Rent Lease End Date Moody's(6) --------------------------------- ------- ------------ -------------- ------------ The McGraw-Hill Companies, Inc.(7) 518,217 36.8% 3/31/2020 NR/A1 Information Builders, Inc.(8) 268,190 17.8% 5/31/2013 NR/NR Madison Square Garden, L.P.(9) 162,945 12.1% 4/30/2007 NR/NR Compaq Computer Corporation 51,200 5.0% 1/31/2008 A-/A3 United Healthcare Services, Inc. 69,137 3.8% 1/31/2006 A/A3
- --------------------------- 1. S&P and Moody's have confirmed to the Depositor that the A-1 Note component proceeds are expected to contribute AAA/Aaa through A/Baa2 cash flows to the LB-UBS 2004-C4 Trust. 2. Weighted average interest rate for the Two Penn Plaza loan A-1 Note component, A-2 Note component and B Note. 3. Interest only through and including 2/2006 payment date. 4. As of 1/1/2004. 5. Ranked by percentage of total underwritten base rent. 6. Credit ratings may reflect the rating of the parent company if tenant company not rated. 7. The McGraw-Hill Companies, Inc. is the parent company of Standard and Poor's. 8. Information Builders, Inc. has the option to terminate its lease as of 3/31/2008, upon not less than 15 months prior notice; excess cash flow sweep to TI/LC reserve up to $12 million also required of Borrower if lease is terminated. 9. Madison Square Garden, L.P. is owned by Regional Programming Partners, a joint venture of Cablevision Systems (60% ownership interest) and Fox Sports Networks (40% ownership interest). - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 27 SIGNIFICANT MORTGAGE LOANS - -------------------------------------------------------------------------------- SIGNIFICANT MORTGAGE LOANS TWO PENN PLAZA (CONT.) Appraised Value(1): $435,000,000 LTV(1)(2): 56.3% U/W DSCR(2)(3): 1.99x Reserves(4): Springing for taxes, insurance, replacement costs and TI/LCs upon event of default or DSCR less than 1.25x. Guaranty from Vornado Realty, L.P. delivered at closing in-lieu of upfront $750,000 required repair reserve and upfront $1,440,400 unfunded TI Allowance reserve. Lockbox: Springing Prepayment/Defeasance: Defeasance beginning two years after securitization of both A Note components. Prepayment without penalty permitted six months prior to ARD. Partial Release(5): Borrower has right to redevelop portion of property including portions of entrance, retail areas, plazas and lower levels under a Condominium Declaration accompanied by right to request release of four tenant leases with an aggregate of 3,465 square feet subject to specified release payments, along with satisfaction of other release conditions. B Note(6): The $55,000,000 subordinated B Note does not receive principal payments until the A Notes have been repaid in full. - --------------------------- 1. Based on appraisal as of 2/1/2004. Appraised Value excludes any value related to the four tenant leases and related square footage subject to release. 2. As of the Cut-Off Date and based on a loan amount of $260,000,000 that includes the A-1 Note component and the non-trust A-2 Note component. 3. Calculated based on underwritten net cash flow of $32,800,025 and an average annual debt constant of 6.726% starting in year three. 4. Guaranty or any additional Reserve Guaranty that may be provided by Vornado Realty, L.P. in-lieu of monthly reserves, if applicable, is subject to Sponsor maintaining investment grade ratings. 5. On or after the July 2004 payment date and in connection with certain redevelopment activities, the loan may be prepaid without penalty in an amount up to the Release Threshold ($1,575,000). Once the loan has been prepaid in an amount equal to the Release Threshold, the loan may not be further prepaid prior to permitted defeasance date, at which time Borrower may defease the loan. 6. The B Note will not be included in the LB-UBS 2004-C4 Trust. - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 28 SIGNIFICANT MORTGAGE LOANS - -------------------------------------------------------------------------------- SIGNIFICANT MORTGAGE LOANS TOWN EAST MALL Shadow Rating(1): BBB/Baa3 Cut-Off Date Balance: $116,814,658 Interest Rate: 3.4625% Maturity Date: 4/11/2009 Term to Maturity: 5 years Amortization: 30 years Sponsor: General Growth Properties, Inc. Property: Regional mall with 1,247,161 square feet(2) of gross leasable area Location: Mesquite, TX Year Built: 1971; last renovated 2000 In-Line Sales/SF(3): $362 2003 In-Line Cost of Occupancy(3): 13.6% Anchors(4): Sears (213,045 square feet; credit rating of BBB/Baa1), Dillard's (207,000 square feet, credit rating BB/B2) JCPenney (195,475 square feet; credit rating of BB+/Ba3), Foley's (193,866 square feet; credit rating of BBB+/Baa1) Anchor Sales(5): Sears ($47.0 million), Dillard's ($37.0 million), JCPenney ($34.0 million), Foley's ($49.0 million) - --------------------------- 1. S&P and Moody's have confirmed to the Depositor that the whole loan proceeds are expected to contribute AAA/Aaa through BBB/Baa3 cash flows to the LB-UBS 2004-C4 Trust. 2. Collateral consists of 437,775 square feet, which includes 415,755 square feet of in-line space and a vacant 22,020 square foot movie theater. 3. In-line sales are provided by the Borrower and are based on the year ending 12/2003. 4. Credit ratings for anchors are by S&P and Moody's, respectively, and reflect the rating of the tenant or a guarantor under the lease or REA. None of the anchors are part of the collateral. 5. Anchor sales are estimates as reported by the Borrower for the year ending 12/2003. All of the anchors own their pad and improvements, and therefore, such pads and improvements are not part of the collateral. - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 29 SIGNIFICANT MORTGAGE LOANS - -------------------------------------------------------------------------------- SIGNIFICANT MORTGAGE LOANS TOWN EAST MALL (CONT.)
Top Five In-Line Tenants: Tenant Square Feet Lease End Date ------------------------------ ----------- -------------- Footaction USA(1) 18,034 11/30/2010 The Limited / Limited Too 14,060 1/31/2006 Limited Express / Structure 13,753 1/31/2006 Abercrombie & Fitch 9,576 1/31/2011 Foot Locker / Kids Foot Locker 9,176 7/31/2005
Overall Occupancy(2): 95.1% Appraised Value(3): $182,000,000 LTV(3)(4): 64.2% U/W DSCR(4)(5): 2.16x Reserves: Reserves for real estate taxes, insurance (except if a blanket policy is in place), TI/LC's, and CapEx will be collected on a monthly basis only following an event of default or if the debt service coverage ratio based on the previous consecutive 12-month period is less than 1.15x based on an assumed 9.0% loan constant. Once triggered, the reserves are capped at $415,757 for TI/LC's and $103,939 for CapEx. Lockbox: Hard Prepayment: Defeasance beginning two years after securitization. Prepayment without penalty permitted four months prior to Maturity Date. Additional Collateral: GGP Limited Partnership has guaranteed loan proceeds in the amount of $2,576,884, which is allocable to the base rent generated by certain leases or proposed leases specified in the loan documentation. The guarantee will be released pro rata based on the satisfaction of certain conditions, including the execution of new leases or lease extensions and the payments of past-due rent. If the base rent allocable to such loan proceeds is not in place by 4/11/2006, the guarantee of the allocable loan proceeds must be replaced by either a cash reserve or letter of credit. - --------------------------- 1. Footstar, Inc., the parent company of Footaction USA, filed for bankruptcy on 3/2/2004. 2. The occupancy percentage is based on the projected 2004/2005 underwritten occupancy. Currently, the property is 94.3% occupied overall, with in-line space currently 88.2% occupied. 3. Based on appraisal dated as of 3/23/2004. 4. As of the Cut-Off Date. 5. Calculated based on the projected 2004/2005 underwritten net cash flow of $13,565,781 and actual debt constant of 5.363%. - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 30 SIGNIFICANT MORTGAGE LOANS - -------------------------------------------------------------------------------- SIGNIFICANT MORTGAGE LOANS THE RITZ-CARLTON CHICAGO, A FOUR SEASONS HOTEL Shadow Rating(1): BBB+/Baa2 Cut-Off Date Balance: $42,852,996 Interest Rate: 5.310% Maturity Date: 2/11/2014 Original Term to Maturity: 10 years Amortization: 30 years Sponsor: JMB Realty Corporation Property Manager/Operator: Four Seasons Hotels and Resorts (rated BBB-/Baa3) Property: 435 room full-service luxury hotel located on floors 10-31 of Water Tower Place. Location: Chicago, IL Year Built: 1975; renovated 1999-2004(2) Occupancy(3): 65.7% ADR(3): $287.11 RevPar(3): $188.77 - --------------------------- 1. S&P and Moody's have confirmed to the Depositor that the whole loan proceeds are expected to contribute AAA/Aaa through BBB+/Baa2 cash flows to the LB-UBS 2004-C4 Trust. 2. $4.9 million ($11,199 per room) spent on capital expenditures between 1999 and 2003. Approximately $12.0 million ($27,549 per room) of additional renovations completed in 2004, including renovation of guestroom bathrooms, guestroom corridors and all guestroom thermostats/HVAC fan coils. 3. For the twelve months ending 12/31/2003. - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 31 SIGNIFICANT MORTGAGE LOANS - -------------------------------------------------------------------------------- SIGNIFICANT MORTGAGE LOANS THE RITZ-CARLTON CHICAGO, A FOUR SEASONS HOTEL (CONT.) Appraised Value(1): $116,100,000 LTV(1)(2): 36.9% U/W DSCR(2)(3): 2.27x Reserves: Springing reserve for FF&E. No monthly tax or insurance reserves required as long as taxes are paid by Manager and insurance is provided by Sponsor's blanket insurance policy. Lockbox: Springing Prepayment: Defeasance beginning two years after securitization. Prepayment without penalty permitted three months prior to Maturity Date. - --------------------------- 1. Based on appraisal dated as of 6/1/2004; valuation assumes completion of current renovations. 2. As of the Cut-Off Date. 3. Calculated based on total underwritten net cash flow of $6,500,912 and actual debt constant of 6.671%. - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 32 SIGNIFICANT MORTGAGE LOANS - -------------------------------------------------------------------------------- SIGNIFICANT MORTGAGE LOANS OTHER SIGNIFICANT MORTGAGE LOAN CHARACTERISTICS
- ------------------------------------------------------------------------------------------------------------------------------------ OTHER SIGNIFICANT MORTGAGE LOANS - ------------------------------------------------------------------------------------------------------------------------------------ CUT-OFF DATE PERCENT OF INITIAL U/W NAME PROPERTY TYPE BALANCE MORTGAGE POOL BALANCE DSCR(1) LTV(2) - ------------------------------------------------------------------------------------------------------------------------------------ Airport Corporate Center Office $91,000,000 6.4% 1.91x 68.9% - ------------------------------------------------------------------------------------------------------------------------------------ Lembi Portfolio(3) Multifamily 42,500,000 3.0 1.41 75.4 - ------------------------------------------------------------------------------------------------------------------------------------ Enterprise Technology Center Office 36,500,000 2.6 1.40 60.8 - ------------------------------------------------------------------------------------------------------------------------------------ Sirata Beach Resort & Conference Center Full Service Hotel 24,500,000 1.7 1.60 52.2 - ------------------------------------------------------------------------------------------------------------------------------------ Park Parthenia Apartments Multifamily 24,500,000 1.7 1.38 74.2 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL/WEIGHTED AVERAGE: ---- $219,000,000 15.4% 1.63X 67.5% - ------------------------------------------------------------------------------------------------------------------------------------
- --------------------------- 1. Calculated based on underwritten net cash flow and actual debt service constant or interest rate, as applicable. Portfolio underwritten debt service coverage is calculated as a weighted average based on allocated loan balances. 2. Calculated based on Cut-Off Date balance and related appraised value. Portfolio loan to value is calculated as a weighted average based on allocated loan balances. 3. The Lembi Portfolio loan consists of five cross-collateralized and cross-defaulted mortgage loans secured by nine multifamily properties with a combined loan amount of $42,500,000. - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 33 SIGNIFICANT MORTGAGE LOANS - -------------------------------------------------------------------------------- SIGNIFICANT MORTGAGE LOANS AIRPORT CORPORATE CENTER Cut-Off Date Balance: $91,000,000 Interest Rate: 4.775% Maturity Date: 3/11/2009 Original Term to Maturity: 5 years Amortization: Interest only Sponsor: General Electric Pension Trust Property: Ten office buildings and one office/warehouse comprising 1,018,477 square feet of net rentable area on 44.84 acres in a corporate complex adjacent to Miami International Airport. The property includes four six to seven story Class A office buildings (632,680 square feet), two five to six story Class B office buildings (173,810 square feet), five one story office/service buildings (211,987 square feet), and four two to three story parking garages. Location: Miami, FL Year Built: 1982-1996 Occupancy(1): 86.6%
Square Approx. % of Ratings S&P/ Major Tenants(2): Tenant Feet Base Rent Lease End Date Moody's(3) ------------------------------- ------- ------------ -------------- ------------- Norweigan Cruise Line, LTD. 135,085 12.0% 1/31/2009 NR/NR Neighborhood Health Partnership 87,140 11.3% 11/30/2007 NR/NR Fortis, Inc. 37,050 4.4% 4/30/2007 BBB+/Baa2 SF Employment & Training 37,050 3.8% 5/31/2008 NR/NR General Electric Company 36,724 3.8% 12/15/2009 AAA/Aaa
- --------------------------- 1. As of 4/30/2004. 2. Ranked by percentage of underwritten base rent. 3. Credit ratings may reflect the rating of the parent company if tenant company is not rated. - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 34 SIGNIFICANT MORTGAGE LOANS - -------------------------------------------------------------------------------- SIGNIFICANT MORTGAGE LOANS AIRPORT CORPORATE CENTER (CONT.) Appraised Value(1): $132,000,000 LTV(1)(2): 68.9% U/W DSCR(2)(3): 1.91x Reserves: On-going for taxes, insurance, TI/LCs and replacement reserves. Lockbox: Springing Prepayment/Defeasance: Defeasance beginning the earlier of four years after loan origination or two years and one day after all A Note components have been securitized. Prepayment without penalty permitted three months prior to Maturity Date. - --------------------------- 1. Based on appraisal dated as of 1/30/2004. 2. As of the Cut-Off Date. 3. Calculated based on underwritten net cash flow of $8,411,092 and interest rate of 4.775%. - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 35 SIGNIFICANT MORTGAGE LOANS - -------------------------------------------------------------------------------- SIGNIFICANT MORTGAGE LOANS LEMBI PORTFOLIO(1) Cut-Off Date Balance: $42,500,000 Number of Properties: Nine Interest Rate: 5.550% Maturity Date: 5/11/2009 Term to Maturity: 5 years Amortization: Interest only Sponsor: Frank E. Lembi, Walt R. Lembi, Olga Lembi Trust, Billie Z. Salevouris, David M. Raynal and Ralph Dayan Property: The portfolio is comprised of five loans consisting of nine multifamily properties. There are a total of 361 units including four retail units. The multifamily unit mix is comprised of 211 studio units, 113 one-bedroom units, 31 two-bedroom units and two three-bedroom units. Location: San Francisco, CA Years Built: Varies from 1905-1934 with renovations ongoing Overall Occupancy(2): 98.3% Recourse: The portfolio is 100% full recourse - --------------------------- 1. The Lembi Portfolio consists of five cross-collateralized and cross-defaulted loans: Civic Properties DE ($18,777,000, three properties), Bay Citi Properties II DE ($9,938,000, two properties), LRL Citigroup Properties II DE ($8,275.000, two properties), 621 Stockton DE ($3,900,000, one property), and 2395 29th Avenue ($1,610,000, one property). 2. As of 4/20/2004 and calculated as a weighted average based on allocated loan balance. - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 36 SIGNIFICANT MORTGAGE LOANS - -------------------------------------------------------------------------------- SIGNIFICANT MORTGAGE LOANS LEMBI PORTFOLIO (CONT.) Appraised Value(1): $56,470,000 LTV(1)(2): 75.4% U/W DSCR(2)(3): 1.41x Reserves: On-going for taxes, insurance, and CapEx. Lockbox: Springing Prepayment: Defeasance beginning four years after origination. Prepayment without penalty allowed 90 days prior to Maturity Date. Mezzanine Debt: $8,500,000 full-recourse mezzanine financing which is co-terminus with the first mortgage and is subject to an intercreditor agreement that complies with rating agency guidelines. - --------------------------- 1. Based on appraisals dated as of 3/17/2004. 2. As of the Cut-Off Date and calculated as a weighted average based on allocated loan balances. 3. Calculated as a weighted average based on total underwritten net cash flow of $3,361,218 and actual debt constant of 5.6271%. - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 37 SIGNIFICANT MORTGAGE LOANS - -------------------------------------------------------------------------------- SIGNIFICANT MORTGAGE LOANS ENTERPRISE TECHNOLOGY CENTER Cut-Off Date Balance: $36,500,000 Interest Rate: 6.440% Maturity Date: 5/11/2011 Term to Maturity: 7 years Amortization: 25 years Borrower: Borrowers consist of up to 35 Tenants-in-Common Sponsor: Triple Net Properties, LLC; Anthony W. Thompson Property: 343,630 square-foot Class A office building Location: Scotts Valley, CA Year Built: 1993 Occupancy(1): 85.6%
Square Approx. % of Ratings Major Tenants: Tenant Feet Base Rent Lease End Date S&P/Moody's(2) ---------------------- -------- ------------- -------------- -------------- Borland Software Corp. 140,898 46.4% 3/16/2010 NR/NR Nokia, Inc. 59,782 20.2% 9/15/2007 A/A1 SurfControl Inc. 44,953 15.1% 8/31/2004(3) NR/NR Intersan, Inc. 18,246 7.7% 10/31/2005 NR/NR ManyOne Networks, Inc. 12,166 4.0% 6/30/2009 NR/NR
- --------------------------- 1. As of 4/14/2004, the property was 92.5% leased. Occupancy reflects underwritten occupancy. 2. Credit ratings are by S&P and Moody's, respectively, and may reflect the rating of the parent if tenant company is not rated. 3. SurfControl Inc. occupies multiple spaces at the property with lease expiration details as follows: 23,838 square feet on 8/31/2004 and 21,115 square feet on 10/1/2006. - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 38 SIGNIFICANT MORTGAGE LOANS - -------------------------------------------------------------------------------- SIGNIFICANT MORTGAGE LOANS ENTERPRISE TECHNOLOGY CENTER (CONT.) Appraised Value(1): $60,000,000 LTV(1)(2): 60.8% U/W DSCR(2)(3): 1.40x Reserves: On-going for taxes, insurance, TI/LC's and CapEx. TI/LC reserves are capped at $2.5 million. Upfront TI/LC reserve totaling $1 million. Security interest in security deposits totaling approximately $4.4 million, which security deposits are subject to the conditions of the applicable leases. Lockbox: Hard Prepayment: Defeasance beginning two years after securitization. Prepayment without penalty permitted three months prior to Maturity Date. - --------------------------- 1. Based on appraisal dated as of 4/12/2004. 2. As of the Cut-Off Date. 3. Calculated based on underwritten net cash flow of $4,110,488 and actual debt constant of 8.058%. - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 39 SIGNIFICANT MORTGAGE LOANS - -------------------------------------------------------------------------------- SIGNIFICANT MORTGAGE LOANS SIRATA BEACH RESORT & CONFERENCE CENTER Cut-Off Date Balance: $24,500,000 Interest Rate: 7.020% Maturity Date: 5/11/2012 Term to Maturity: 8 years Amortization: 25 years Sponsor: The Nicklaus Family Property: 380-room, full-service hotel that occupies 12.56 acres with direct beach access on the Gulf of Mexico. Includes such amenities as three oceanfront pools, two full-service restaurants, and 15,000 square feet of meeting and formal banquet space. Location: St. Pete Beach, FL Year Built: 1968; renovated in 2001 - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 40 SIGNIFICANT MORTGAGE LOANS - -------------------------------------------------------------------------------- SIGNIFICANT MORTGAGE LOANS SIRATA BEACH RESORT & CONFERENCE CENTER (CONT.) Appraised Value(1): $46,900,000 LTV(1)(2): 52.2% U/W DSCR(2)(3): 1.60x Reserves: On-going for taxes, insurance, FF&E and seasonality. Lockbox: Hard Prepayment: Defeasance beginning two years after securitization. Prepayment without penalty permitted three months prior to Maturity Date. - --------------------------- 1. Based on appraisal dated as of 3/16/2004. 2. As of the Cut-Off Date. 3. Calculated based on the underwritten net cash flow of $3,327,789 and actual debt constant of 8.497%. - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 41 SIGNIFICANT MORTGAGE LOANS - -------------------------------------------------------------------------------- SIGNIFICANT MORTGAGE LOANS PARK PARTHENIA APARTMENTS Cut-Off Date Balance: $24,500,000 Interest Rate: 5.290% Maturity Date: 5/11/2014 Original Term to Maturity: 10 years Amortization: 30 years Sponsors: Samuel and Laisin Leung Property(1): 399 multifamily units contained in 35 garden-style buildings and one management office building. Location: Northridge, CA Year Built: 1962-1970; renovated 1988 Occupancy(2): 100.0% - --------------------------- 1. The 36 collateral buildings are located on a 12 acre site which includes a total of 64 multifamily buildings (28 of which are not part of the collateral). The portion of the site occupied by the 36 collateral buildings is approximately 9.8 acres. 2. As of 4/1/2004, the 399 collateral residential units were 100.0% occupied. - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 42 SIGNIFICANT MORTGAGE LOANS - -------------------------------------------------------------------------------- SIGNIFICANT MORTGAGE LOANS PARK PARTHENIA APARTMENTS (CONT.) Appraised Value(1): $33,000,000 LTV(1)(2): 74.2% U/W DSCR(2)(3): 1.38x Reserves: On-going tax, insurance and replacement reserves Lockbox: Springing Prepayment/Defeasance: Defeasance beginning four years after loan origination. Prepayment without penalty permitted two months prior to Maturity Date. - --------------------------- (1) Based on appraisal dated as of 1/19/2004. (2) As of the Cut-Off Date. (3) Calculated based on underwritten net cash flow of $2,245,674 and actual debt constant of 6.656%. - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 43 - -------------------------------------------------------------------------------- SUMMARY POINTS SUMMARY POINTS - -------------------------------------------------------------------------------- o Weighted average DSCR of 1.95x; weighted average Cut-Off Date LTV of 62.8% o The significant mortgage loans discussed in this presentation have a weighted average DSCR of 2.25x and a weighted average Cut-Off Date LTV of 57.2% and collectively represent 66.8% of the initial mortgage pool balance o Institutional sponsorship and repeat borrowers o Office, Regional Mall, Anchored Retail, Industrial/Warehouse, Multifamily(1) and Investment Grade Loans comprise 89.6% of the initial mortgage pool balance o Geographically diversified with properties located in 27 states o Excluding the Investment Grade Loans, 97.3% of the loans have ongoing or springing reserves for replacements; 100.0% of the loans have ongoing reserves for taxes or a creditworthy tenant that is permitted to pay taxes directly; and 100.0% of the loans have ongoing reserves for insurance or a creditworthy tenant that is permitted to maintain insurance or self-insure o 97.9% of the initial mortgage pool balance have cash management systems o Established relationship between Lehman Brothers and UBS Investment Bank--this transaction marks the 24th overall transaction between Lehman Brothers and UBS Investment Bank since early 2000 - --------------------------- 1. Multifamily component includes manufactured housing representing 0.2% of the aggregate pool. - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 44 - -------------------------------------------------------------------------------- INVESTOR REPORTING INVESTOR REPORTING - -------------------------------------------------------------------------------- INVESTOR REPORTING Updated collateral summary information will be a part of the monthly remittance report in addition to detailed P&I payment and delinquency information. Quarterly NOI and occupancy data, to the extent delivered by the borrowers, will be available to Certificateholders through the Trustee. The following is a list of all the reports that will be available to Certificateholders:
NAME OF REPORT DESCRIPTION (INFORMATION PROVIDED) ----------------------------------------------------------------------------------------------------------- 1 Distribution Date Statements Principal and interest distributions, principal balances 2 Mortgage Loan Status Report Portfolio stratifications 3 Comparative Financial Status Report Revenue, NOI, DSCR to the extent available 4 Delinquent Loan Status Report Listing of delinquent Mortgage Loans 5 Historical Loan Modification Report Information on modified Mortgage Loans 6 Historical Liquidation Report Net liquidation proceeds and realized losses 7 REO Status Report NOI and value of REO 8 Servicer Watch List Listing of loans in jeopardy of becoming specially serviced 9 Loan Payoff Notification Report Listing of loans that have given notice of intent to payoff
- -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 45 - -------------------------------------------------------------------------------- TIMELINE TIMELINE - -------------------------------------------------------------------------------- TIMELINE DATE EVENT - -------------------------------------------------------------------------------- Week of May 10, 2004 Structural & Collateral Term Sheets Available/ Presale Reports Available on Rating Agency Websites/ Road Shows/Investor Calls/ Preliminary Prospectus Supplement Available - -------------------------------------------------------------------------------- Week of May 24, 2004 Pricing - -------------------------------------------------------------------------------- Week of June 7, 2004 Closing - -------------------------------------------------------------------------------- [UBS INVESTMENT BANK LOGO] LEHMAN BROTHERS 46 -----END PRIVACY-ENHANCED MESSAGE-----