-----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, M+BVhSC0mLbaHlx95sXweXmDt2zSqloAoQPgh324t10J3xDRui48st5sovDOn063 sFdnfZTEkXUaUw+ruU4A9A== 0001024739-99-000097.txt : 19990315 0001024739-99-000097.hdr.sgml : 19990315 ACCESSION NUMBER: 0001024739-99-000097 CONFORMED SUBMISSION TYPE: 8-K PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 19990410 ITEM INFORMATION: ITEM INFORMATION: FILED AS OF DATE: 19990312 FILER: COMPANY DATA: COMPANY CONFORMED NAME: FIRST ALLIANCE MORTGAGE CO /DE/ CENTRAL INDEX KEY: 0000906938 STANDARD INDUSTRIAL CLASSIFICATION: ASSET-BACKED SECURITIES [6189] IRS NUMBER: 952944875 STATE OF INCORPORATION: CA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 8-K SEC ACT: SEC FILE NUMBER: 001-11947 FILM NUMBER: 99563704 BUSINESS ADDRESS: STREET 1: 17305 VON KARMAN AVE STREET 2: SUITE 5000 CITY: IRVINE STATE: CA ZIP: 92614 BUSINESS PHONE: 9492248500 MAIL ADDRESS: STREET 1: 17305 VON KARMAN AVE CITY: IRVINE STATE: CA ZIP: 92614 FORMER COMPANY: FORMER CONFORMED NAME: FIRST ALLIANCE CORP /DE/ DATE OF NAME CHANGE: 19961104 FORMER COMPANY: FORMER CONFORMED NAME: FIRST ALLIANCE MORTGAGE CO /CA/ DATE OF NAME CHANGE: 19940908 8-K 1 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) March 10, 1999 First Alliance Mortgage Company ------------------------------------------------------ (Exact name of registrant as specified in its charter) California 333-44585 95-2944875 - -------------------------------- ---------------------- ------------------- (State or Other Jurisdiction of (Commission File (I.R.S. Employer Incorporation) Number) Identification No.) 17305 Von Karman Avenue Irvine, California 92614-6203 - ---------------------------------------- ------------------------ (Address of Principal Executive Offices) (Zip Code) Registrant's telephone number, including area code (949) 224-8500 -------------- No Change ----------------------------------------------------------- (Former name or former address, if changed since last report) ================================================================================ Item 5. Other Events. In connection with the offering of First Alliance Mortgage Company Mortgage Loan Asset Backed Certificates, Series 1999-1, described in a Prospectus Supplement to be dated as of March 11, 1999, certain "Computational Materials" within the meaning of the May 20, 1994 Kidder, Peabody No-Action Letter and the February 17, 1995 Public Securities Association No-Action Letter were furnished to certain prospective investors (the "Related Computational Materials"). The Related Computational Materials furnished to certain prospective investors by the Underwriter, Lehman Brothers Inc., are filed herewith as Exhibit 99.1. Item 7. Financial Statements, Pro Forma Financial Information and Exhibits. (a) Not applicable (b) Not applicable (c) Exhibits: 99.1 Computational Materials provided by Lehman Brothers Inc. in connection with sales efforts related to the Registrant's securities. 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 hereunto duly authorized. By: FIRST ALLIANCE MORTGAGE COMPANY, as Company By: /s/ Francisco Nebot ------------------------------------ Title: Executive Vice President and Chief Financial Officer Dated: March 10, 1999 EX-99.1 2 CHARTER Exhibit 99.1 LEHMAN BROTHERS DERIVED INFORMATION $115,000,000 (APPROXIMATE) FIRST ALLIANCE MORTGAGE LOAN TRUST, SERIES 1999-1 FIRST ALLIANCE MORTGAGE COMPANY (SELLER AND SERVICER) NORWEST BANK MINNESOTA, N.A. (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 and delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not been reviewed 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, weighted average loan age, 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). LEHMAN BROTHERS SECURITIES OFFERED: TO MATURITY:
- -------------------------------------------------------------------------------------------------------------------------------- | EST. | | ESTIMATED PRINCIPAL EXPECTED LEGAL EXPECTED | | EXPECTED CLASS LOAN WAL/MDUR PMT. WIN. FINAL FINAL RATINGS (S&P/| |SECURITIES SIZE SIZE (%) GROUP BENCHMARK (YRS) (MOS) MATURITY MATURITY MOODY'S) | - -------------------------------------------------------------------------------------------------------------------------------- |CLASS A-1 $85,000,000 100.000% F Curve 3.47/2.81 1-205 4/20/16 6/20/30 AAA/Aaa | - -------------------------------------------------------------------------------------------------------------------------------- |CLASS A-2 $30,000,000 100.000% A 1 mo LIBOR 2.62 1-172 7/20/13 6/20/30 AAA/Aaa | - --------------------------------------------------------------------------------------------------------------------------------
TO 10% CLEAN-UP CALL: - -------------------------------------------------------------------------------------------------------------------------------- | EST. | | ESTIMATED PRINCIPAL EXPECTED LEGAL EXPECTED | | EXPECTED CLASS LOAN WAL/MDUR PMT. WIN FINAL FINAL RATINGS (S&P/| |SECURITIES SIZE SIZE (%) GROUP BENCHMARK (YRS) (MOS) MATURITY MATURITY MOODY'S) | - -------------------------------------------------------------------------------------------------------------------------------- |CLASS A-1 $85,000,000 100.000% F Curve 3.18/2.65 1-90 9/20/06 6/20/30 AAA/Aaa | |CLASS A-2 $30,000,000 100.000% A 1 mo LIBOR 2.49 1-90 9/20/06 6/20/30 AAA/Aaa | - --------------------------------------------------------------------------------------------------------------------------------
(1) Prepayments for the Group F loans are sized at 125% of the Prepayment Assumption. A 100% Prepayment Assumption assumes that prepayments start at 4% CPR in month one, increase by approximately 1.455% each month to 20% CPR by month 12, and remain at 20% CPR thereafter. (2) Prepayments for the Group A loans are sized at 30% CPR. - -------------------------------------------------------------------------------- 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 and delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not been reviewed 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, weighted average loan age, 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). LEHMAN BROTHERS SENSITIVITY ANALYSIS PROJECTED PERFORMANCE UNDER VARYING PREPAYMENT ASSUMPTIONS TO MATURITY:
- ------------------------------------------------------------------------------------------------------------------------- |CPR (Group A Loans) 10.0% 15.0% 20.0% 30.0% 35.0% 40.0% 50.0%| |PPC (Group F Loans) 50.0% 75.0% 100.0% 125.0% 175.0% 200.0% 250.0%| | | |Class A-1 | |--------- | |Avg. Life (yrs.) 7.58 5.53 4.28 3.47 2.48 2.15 1.69| |Mod Duration (yrs) 5.11 4.05 3.33 2.81 2.11 1.87 1.51| |Window (begin-end) (mths) 1-339 1-303 1-250 1-205 1-144 1-124 1-94| |Expected Final Maturity 6/20/27 6/20/24 1/20/20 4/20/16 3/20/11 7/20/09 1/20/07| |Yield @ 100.00000% 6.674 6.662 6.647 6.635 6.594 6.573 6.528| | | |Class A-2 | |--------- | |Avg. Life (yrs.) 7.62 5.39 4.06 2.62 2.19 1.86 1.38| |Window (begin-end) (mths) 1-333 1-305 1-255 1-172 1-144 1-122 1-91| |Expected Final Maturity 12/20/26 8/20/24 6/20/20 7/20/13 3/20/11 5/20/09 10/20/06| - -------------------------------------------------------------------------------------------------------------------------
TO 10% CLEANUP CALL:
- ------------------------------------------------------------------------------------------------------------------------- |CPR (Group A Loans) 10.0% 15.0% 20.0% 30.0% 35.0% 40.0% 50.0%| |PPC (Group F Loans) 50.0% 75.0% 100.0% 125.0% 175.0% 200.0% 250.0%| | | |Class A-1 | |--------- | |Avg. Life (yrs.) 7.20 5.17 3.98 3.18 2.29 2.00 1.57| |Mod Duration (yrs) 5.01 3.92 3.19 2.65 2.00 1.77 1.42| |Window (begin-end) (mths) 1-212 1-154 1-118 1-90 1-65 1-56 1-43| |Expected Final Maturity 11/20/16 1/20/12 1/20/09 9/20/06 8/20/04 11/20/03 10/20/02| |Yield @ 100.00000% 6.663 6.643 6.623 6.601 6.557 6.534 6.486| | | |Class A-2 | |--------- | |Avg. Life (yrs.) 7.17 4.97 3.74 2.49 2.02 1.72 1.29| |Window (begin-end) (mths) 1-212 1-154 1-118 1-90 1-65 1-56 1-43| |Expected Final Maturity 11/20/16 1/20/12 1/20/09 9/20/06 8/20/04 11/20/03 10/20/02| - -------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- 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 and delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not been reviewed 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, weighted average loan age, 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). LEHMAN BROTHERS AVAILABLE FUNDS The following table lists the Available Funds Cap on the Group A loans each month assuming a constant 6-month LIBOR of [5.128]% and a prepayment rate equal to 30% CPR. ----------------------------------------------------------- | AVAILABLE | AVAILABLE | | FUNDS | FUNDS | | MONTH CAP (%) | MONTH CAP (%) | ----------------------------------------------------------- | | | | 1 7.78 | 31 9.53 | | 2 7.78 | 32 9.53 | | 3 7.78 | 33 9.53 | | 4 7.83 | 34 9.53 | | 5 7.92 | 35 9.53 | | 6 8.18 | 36 9.58 | | 7 8.42 | 37 9.58 | | 8 8.68 | 38 9.58 | | 9 8.72 | 39 9.58 | | 10 8.77 | 40 9.58 | | 11 8.86 | 41 9.58 | | 12 9.12 | 42 9.58 | | 13 8.86 | 43 9.58 | | 14 9.12 | 44 9.58 | | 15 9.15 | 45 9.58 | | 16 9.17 | 46 9.58 | | 17 9.20 | 47 9.58 | | 18 9.29 | 48 9.58 | | 19 9.34 | 49 9.58 | | 20 9.40 | 50 9.58 | | 21 9.40 | 51 9.58 | | 22 9.40 | 52 9.58 | | 23 9.40 | 53 9.58 | | 24 9.46 | 54 9.58 | | 25 9.46 | 55 9.58 | | 26 9.46 | 56 9.58 | | 27 9.46 | 57 9.58 | | 28 9.46 | 58 9.58 | | 29 9.46 | 59 9.58 | | 30 9.53 | 60 9.58 | ------------------------------------------------------------ - -------------------------------------------------------------------------------- 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 and delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not been reviewed 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, weighted average loan age, 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). LEHMAN BROTHERS COLLATERAL SUMMARY (CONT'D) Collateral statistics for the Initial Group F Loans are listed below as of the Statistical Pool Cut-Off Date. Initial Fixed Rate Mortgage Loans represent approximately 72.78% of the Home Equity Loans, by principal balance, as of the Statistical Pool Cut-Off Date.
----------------------------------------------------------------------------------------------------- | INITIAL GROUP F LOANS | ----------------------------------------------------------------------------------------------------- | NUMBER OF LOANS | 798 | | | TOTAL OUTSTANDING PRINCIPAL BALANCE | $65,528,894.36 | | | BALLOON (% OF TOTAL) | 0.87% | | | LEVEL PAY (% OF TOTAL) | 99.13% | | | AVERAGE PRINCIPAL BALANCE | $82,116.41 | $3,457.91 - $341,954.00 | | WEIGHTED AVERAGE LOAN RATE | 9.49% | 6.00% - 17.95% | | WEIGHTED AVERAGE ORIGINAL TERM (MOS.) | 333 | 84 - 360 | | WEIGHTED AVERAGE REMAINING TERM (MOS.) | 320 | 39 - 360 | | WEIGHTED AVERAGE CLTV | 60.89% | 9.30% - 85.00% | | WEIGHTED AVERAGE FICO * | 616 | 469 - 812 | | LIEN POSITION (FIRST/SECOND) | 97.69% / 1.98% / 0.32% | | | PROPERTY TYPE | | | | SINGLE FAMILY | 90.08% | | | TWO TO FOUR FAMILY | 7.42% | | | CONDO | 2.03% | | | PUD | 0.48% | | | OCCUPANCY STATUS | | | | OWNER OCCUPIED | 96.96% | | | NOT OWNER OCCUPIED | 3.04% | | | DOCUMENT TYPE | | | | FULL DOCUMENTATION | 67.64% | | | ALTERNATE DOCUMENTATION | 20.54% | | | NO DOCUMENTATION | 11.82% | | | GEOGRAPHIC DISTRIBUTION | | | | other states account individually for | CA 34.53% | NJ 13.03% | | less than 4% of Fixed Rate pool | NY 14.26% | IL 7.00% | | balance | | | | CREDIT GRADE | | | | | A 9.59% | B- 14.61% | | | A- 28.26% | C 21.61% | | | B+ 10.68% | C- 2.93% | | | B 8.83% | D 3.50% | ----------------------------------------------------------------------------------------------------
o BASED ON FICO SCORE AVAILABLE ON 81.05% OF THE INITIAL GROUP F LOANS. - -------------------------------------------------------------------------------- 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 and delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not been reviewed 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, weighted average loan age, 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). LEHMAN BROTHERS COLLATERAL SUMMARY (CONT'D) Collateral statistics for the Initial Group A Loans are listed below as of the Statistical Pool Cut-Off Date. Initial Adjustable Rate Mortgage Loans represent approximately 27.22% of the Home Equity Loans, by principal balance, as of the Statistical Pool Cut-Off Date.
------------------------------------------------------------------------------------------------------- | INITIAL GROUP A LOAN | ------------------------------------------------------------------------------------------------------- |NUMBER OF LOANS | 214 | | |TOTAL OUTSTANDING PRINCIPAL BALANCE | $24,505,006.73 | | |AVERAGE PRINCIPAL BALANCE | $114,509.38 | $24,253.00 - $361,839.97| |WEIGHTED AVERAGE START RATE | 8.43% | 6.99% - 11.99% | |WEIGHTED AVERAGE MARGIN | 5.60% | 4.49% - 8.79% | |WEIGHTED AVERAGE ORIGINAL TERM (MOS.) | 345 | 120 - 360 | |WEIGHTED AVERAGE REMAINING TERM (MOS.) | 344 | 120 - 360 | |WEIGHTED AVERAGE LIFE CAP | 15.43% | 13.99% - 18.99% | |WEIGHTED AVERAGE FIRST PERIOD RATE CAP | 1.13% | 1.00% - 3.00% | |WEIGHTED AVERAGE PERIODIC RATE CAP | 1.00% | 1.00% - 1.50% | | | 6 month LIBOR | | | | 2/28 (6 month | 93.55% | |PRODUCT TYPE | LIBOR) | 6.45% | |WEIGHTED AVERAGE LTV | 66.54% | 14.03% - 85.91% | |WEIGHTED AVERAGE FICO * | 600 | 465 - 806 | |LIEN POSITION (FIRST/SECOND) | 100.00% / 0.00% | | |PROPERTY TYPE | | | | SINGLE FAMILY | 92.43% | | | TWO TO FOUR FAMILY | 2.39% | | | CONDO | 5.19% | | |OCCUPANCY STATUS | | | | OWNER OCCUPIED | 98.27% | | | NOT OWNER OCCUPIED | 1.73% | | |DOCUMENT TYPE | | | | FULL DOCUMENTATION | 65.52% | | | ALTERNATE DOCUMENTATION | 12.71% | | | NO DOCUMENTATION | 21.77% | | |GEOGRAPHIC DISTRIBUTION | | | |other states account individually for | | | |less than | CA 37.21% | NY 8.02% | |6% of Adjustable Rate Pool balance | NJ 9.99% | WA 6.15% | |CREDIT GRADE | | | | | A 0.80% | B- 23.26% | | | A- 19.55% | C 27.22% | | | B+ 21.85% | C- 1.18% | | | B 3.46% | D 2.68% | -----------------------------------------------------------------------------------------------------
* BASED ON FICO SCORE AVAILABLE ON 100% OF THE INITIAL GROUP A LOANS. - -------------------------------------------------------------------------------- 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 and delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not been reviewed 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, weighted average loan age, 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). LEHMAN BROTHERS COLLATERAL SUMMARY (CONT'D) - -------------------------------------------------------------------------------- | INITIAL ADJUSTABLE RATE LOANS | - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 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 and delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not been reviewed 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, weighted average loan age, 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).
- ------------------------------------------------------------------------------------------------------------------------------ | FIRST RATE ADJUSTMENT % BY PRINCIPAL WTD. AVG. WTD. AVG. PERIODIC CAP PERIODIC CAP WTD. AVG. | | BALANCE LOAN RATE MARGIN (1ST RESET) (SUBS. RESET) LIFE CAP | - ------------------------------------------------------------------------------------------------------------------------------ | 1999-02 0.22 10.990 8.790 1.000 1.000 16.990 | - ------------------------------------------------------------------------------------------------------------------------------ | 1999-03 0.36 10.890 6.990 1.000 1.000 16.890 | - ------------------------------------------------------------------------------------------------------------------------------ | 1999-04 0.78 8.419 5.622 1.245 1.245 15.419 | - ------------------------------------------------------------------------------------------------------------------------------ | 1999-05 0.55 9.366 6.114 1.294 1.294 16.366 | - ------------------------------------------------------------------------------------------------------------------------------ | 1999-06 3.45 8.641 6.044 1.000 1.000 15.641 | - ------------------------------------------------------------------------------------------------------------------------------ | 1999-07 9.06 8.926 6.186 1.000 1.000 15.926 | - ------------------------------------------------------------------------------------------------------------------------------ | 1999-08 25.29 8.298 5.511 1.000 1.000 15.298 | - ------------------------------------------------------------------------------------------------------------------------------ | 1999-09 23.99 8.364 5.454 1.000 1.000 15.364 | - ------------------------------------------------------------------------------------------------------------------------------ | 1999-10 26.21 8.316 5.400 1.000 1.000 15.316 | - ------------------------------------------------------------------------------------------------------------------------------ | 1999-11 3.65 9.113 5.821 1.000 1.000 16.113 | - ------------------------------------------------------------------------------------------------------------------------------ | 2001-01 2.09 8.447 5.878 3.000 1.000 15.447 | - ------------------------------------------------------------------------------------------------------------------------------ | 2001-02 3.39 8.104 5.793 3.000 1.000 15.104 | - ------------------------------------------------------------------------------------------------------------------------------ | 2001-03 0.98 7.938 6.094 3.000 1.000 14.938 | - ------------------------------------------------------------------------------------------------------------------------------ | WEIGHTED AVERAGE 8.432% 5.599% 1.133% 1.004% 15.426% | - ------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- | INITIAL ADJUSTABLE RATE LOANS | - -------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 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 and delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not been reviewed 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, weighted average loan age, 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). LEHMAN BROTHERS COLLATERAL SUMMARY (CONT'D)
- ------------------------------------------------------------------------------------------------------------------------------ | PRODUCT TYPE | % BY PRINCIPAL | WTD. AVG. | WTD. AVG. | PERIODIC CAP | PERIODIC CAP | WTD. AVG. | | | BALANCE | LOAN RATE | MARGIN | (1ST RESET) | (SUBS. RESET) | LIFE CAP | |------------------------|------------------|----------------|-------------|---------------|----------------|----------------| | 2/28 6 Month Libor | 6.45 | 8.190 | 5.866 | 3.000 | 1.000 | 15.190 | |------------------------|------------------|----------------|-------------|---------------|----------------|----------------| | 6 Month Libor | 93.55 | 8.449 | 5.580 | 1.004 | 1.004 | 15.442 | |------------------------|------------------|----------------|-------------|---------------|----------------|----------------| | WEIGHTED AVERAGE | | 8.432% | 5.599% | 1.133% | 1.004% | 15.426% | - ------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- 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 and delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not been reviewed 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, weighted average loan age, 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). LEHMAN BROTHERS COLLATERAL SUMMARY (CONT'D) DETAILED COLLATERAL SUMMARY (ADJUSTABLE RATE LOANS)
---------------------------------------------------------------------------------------------- Current Balance ($) No. of Loans Total Current Balance ($) % Current Bal. ------------------- ------------ ------------------------- -------------- 24,253.00 - 25,000.00 1 24,253.00 0.10 25,000.01 - 50,000.00 11 457,448.31 1.87 50,000.01 - 75,000.00 36 2,281,542.36 9.31 75,000.01 - 100,000.00 57 4,954,511.10 20.22 100,000.01 - 125,000.00 43 4,790,185.69 19.55 125,000.01 - 150,000.00 21 2,885,061.52 11.77 150,000.01 - 175,000.00 17 2,718,285.34 11.09 175,000.01 - 200,000.00 12 2,264,995.48 9.24 200,000.01 - 225,000.00 4 843,570.03 3.44 225,000.01 - 250,000.00 4 956,853.84 3.90 250,000.01 - 275,000.00 5 1,323,316.76 5.40 300,000.01 - 325,000.00 1 311,579.06 1.27 325,000.01 - 350,000.00 1 331,564.27 1.35 350,000.01 - 375,000.00 1 361,839.97 1.48 TOTAL: 214 $24,505,006.73 100.00% ----------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------- Original Balance ($) No. of Loans Total Current Balance ($) % Current Bal. -------------------- ------------ ------------------------- -------------- 24,253.00 - 25,000.00 1 24,253.00 0.10 25,000.01 - 50,000.00 11 457,448.31 1.87 50,000.01 - 75,000.00 36 2,281,542.36 9.31 75,000.01 - 100,000.00 57 4,954,511.10 20.22 100,000.01 - 125,000.00 43 4,790,185.69 19.55 125,000.01 - 150,000.00 20 2,735,076.88 11.16 150,000.01 - 175,000.00 18 2,868,269.98 11.70 175,000.01 - 200,000.00 12 2,264,995.48 9.24 200,000.01 - 225,000.00 4 843,570.03 3.44 225,000.01 - 250,000.00 4 956,853.84 3.90 250,000.01 - 275,000.00 5 1,323,316.76 5.40 300,000.01 - 325,000.00 1 311,579.06 1.27 325,000.01 - 350,000.00 1 331,564.27 1.35 350,000.01 - 375,000.00 1 361,839.97 1.48 TOTAL: 214 $24,505,006.73 100.00% ---------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- 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 and delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not been reviewed 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, weighted average loan age, 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). LEHMAN BROTHERS COLLATERAL SUMMARY (CONT'D) DETAILED COLLATERAL SUMMARY (ADJUSTABLE RATE LOANS)
-------------------------------------------------------------------------------------------------- Gross Coupon (%) No. of Loans Total Current Balance ($) % Current Bal. ---------------- ------------ ------------------------- -------------- 6.990 - 7.000 25 2,048,046.56 8.36 7.001 - 7.500 14 1,554,848.47 6.35 7.501 - 8.000 61 7,358,892.94 30.03 8.001 - 8.500 45 5,604,636.24 22.87 8.501 - 9.000 36 4,029,695.45 16.44 9.001 - 9.500 4 486,647.11 1.99 9.501 - 10.000 10 1,186,027.74 4.84 10.001 - 10.500 9 1,122,827.41 4.58 10.501 - 11.000 6 738,602.89 3.01 11.001 - 11.500 2 177,921.50 0.73 11.501 - 11.990 2 196,860.42 0.80 TOTAL: 214 $24,505,006.73 100.00% --------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------- Margin (%) No. of Loans Total Current Balance ($) % Current Bal. ---------- ------------ ------------------------- -------------- 4.490 - 4.500 1 102,659.03 0.42 4.501 - 5.000 73 7,229,053.75 29.50 5.001 - 5.500 58 7,022,535.55 28.66 5.501 - 6.000 39 5,091,149.29 20.78 6.001 - 6.500 15 2,082,460.54 8.50 6.501 - 7.000 17 1,763,166.90 7.20 7.001 - 7.500 9 1,006,923.21 4.11 7.501 - 8.000 1 153,335.19 0.63 8.501 - 8.790 1 53,723.27 0.22 TOTAL: 214 $24,505,006.73 100.00% --------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------- First Period Rate Cap (%) No. of Loans Total Current Balance ($) % Current Bal. ------------------------- ------------ ------------------------- -------------- 1 202 22,750,509.91 92.84 1.5 2 173,087.63 0.71 3 10 1,581,409.19 6.45 TOTAL: 214 $24,505,006.73 100.00% ----------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------- Periodic Rate Cap (%) No. of Loans Total Current Balance ($) % Current Bal. --------------------- ------------ ------------------------- -------------- 1 212 24,331,919.10 99.29 1.5 2 173,087.63 0.71 TOTAL: 214 $24,505,006.73 100.00% ----------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- 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 and delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not been reviewed 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, weighted average loan age, 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). LEHMAN BROTHERS COLLATERAL SUMMARY (CONT'D) DETAILED COLLATERAL SUMMARY (ADJUSTABLE RATE LOANS)
------------------------------------------------------------------------------------- Floor (%) No. of Loans Total Current Balance ($) % Current Bal. --------- ------------ ------------------------- -------------- 6.990 - 7.000 25 2,048,046.56 8.36 7.001 - 7.500 14 1,554,848.47 6.35 7.501 - 8.000 61 7,358,892.94 30.03 8.001 - 8.500 45 5,604,636.24 22.87 8.501 - 9.000 36 4,029,695.45 16.44 9.001 - 9.500 4 486,647.11 1.99 9.501 - 10.000 12 1,327,247.63 5.42 10.001 - 10.500 9 1,122,827.41 4.58 10.501 - 11.000 4 597,383.00 2.44 11.001 - 11.500 2 177,921.50 0.73 11.501 - 11.990 2 196,860.42 0.80 TOTAL: 214 $24,505,006.73 100.00% -------------------------------------------------------------------------------------
------------------------------------------------------------------------------------- Maximum Rate (%) No. of Loans Total Current Balance ($) % Current Bal. ---------------- ------------ ------------------------- -------------- 13.990 - 14.000 25 2,048,046.56 8.36 14.001 - 14.500 14 1,554,848.47 6.35 14.501 - 15.000 61 7,358,892.94 30.03 15.001 - 15.500 45 5,604,636.24 22.87 15.501 - 16.000 36 4,029,695.45 16.44 16.001 - 16.500 4 486,647.11 1.99 16.501 - 17.000 12 1,327,247.63 5.42 17.001 - 17.500 9 1,122,827.41 4.58 17.501 - 18.000 4 597,383.00 2.44 18.001 - 18.500 2 177,921.50 0.73 18.501 - 18.990 2 196,860.42 0.80 TOTAL: 214 $24,505,006.73 100.00% -------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- 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 and delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not been reviewed 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, weighted average loan age, 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). LEHMAN BROTHERS COLLATERAL SUMMARY (CONT'D) DETAILED COLLATERAL SUMMARY (ADJUSTABLE RATE LOANS)
-------------------------------------------------------------------------------------------------- Original Term (months) No. of Loans Total Current Balance ($) % Current Bal. ---------------------- ------------ ------------------------- -------------- 120 3 159,633.00 0.65 180 21 1,839,819.75 7.51 240 1 68,829.00 0.28 360 189 22,436,724.98 91.56 TOTAL: 214 $24,505,006.73 100.00% --------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------- Remaining Term (mths) No. of Loans Total Current Balance ($) % Current Bal. --------------------- ------------ ------------------------- -------------- 120 3 159,633.00 0.65 121 - 180 21 1,839,819.75 7.51 181 - 240 1 68,829.00 0.28 301 - 360 189 22,436,724.98 91.56 TOTAL: 214 $24,505,006.73 100.00% --------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------- Loan Age (months) No. of Loans Total Current Balance ($) % Current Bal. ----------------- ------------ ------------------------- -------------- 0 125 13,435,567.79 54.83 1 - 3 83 10,602,135.69 43.27 4 - 6 5 413,579.98 1.69 7 - 12 1 53,723.27 0.22 TOTAL: 214 $24,505,006.73 100.00% --------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------- Loan Modification No. of Loans Total Current Balance ($) % Current Bal. ----------------- ------------ ------------------------- -------------- No 214 24,505,006.73 100.00 TOTAL: 214 $24,505,006.73 100.00% --------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- 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 and delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not been reviewed 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, weighted average loan age, 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). LEHMAN BROTHERS COLLATERAL SUMMARY (CONT'D) DETAILED COLLATERAL SUMMARY (ADJUSTABLE RATE LOANS)
-------------------------------------------------------------------------------------------------- Lien Position No. of Loans Total Current Balance ($) % Current Bal. ------------- ------------ ------------------------- -------------- 1 214 24,505,006.73 100.00 TOTAL: 214 $24,505,006.73 100.00% --------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------- Original Loan-to-Value No. of Loans Total Current Balance ($) % Current Bal. ---------------------- ------------ ------------------------- -------------- 14.03 - 15.00 1 51,085.00 0.21 15.01 - 20.00 3 170,250.18 0.69 25.01 - 30.00 5 247,951.46 1.01 30.01 - 35.00 4 293,702.25 1.20 35.01 - 40.00 6 473,062.80 1.93 40.01 - 45.00 5 442,905.83 1.81 45.01 - 50.00 10 1,137,784.04 4.64 50.01 - 55.00 26 2,586,771.33 10.56 55.01 - 60.00 14 1,747,402.18 7.13 60.01 - 65.00 24 2,696,102.22 11.00 65.01 - 70.00 34 4,113,307.90 16.79 70.01 - 75.00 31 4,139,626.44 16.89 75.01 - 80.00 30 3,946,856.97 16.11 80.01 - 85.00 20 2,364,007.30 9.65 85.01 - 85.91 1 94,190.83 0.38 TOTAL: 214 $24,505,006.73 100.00% --------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------- Months Delinquent No. of Loans Total Current Balance ($) % Current Bal. ----------------- ------------ ------------------------- -------------- CURRENT 213 24,393,417.49 99.54 30 DAYS 1 111,589.24 0.46 TOTAL: 214 $24,505,006.73 100.00% --------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------- Occupancy Status No. of Loans Total Current Balance ($) % Current Bal. ---------------- ------------ ------------------------- -------------- primary, owner occupied 209 24,080,611.08 98.27 investor 5 424,395.65 1.73 TOTAL: 214 $24,505,006.73 100.00% --------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- 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 and delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not been reviewed 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, weighted average loan age, 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). LEHMAN BROTHERS COLLATERAL SUMMARY (CONT'D) DETAILED COLLATERAL SUMMARY (ADJUSTABLE RATE LOANS)
-------------------------------------------------------------------------------------------------- Credit Grade No. of Loans Total Current Balance ($) % Current Bal. ------------ ------------ ------------------------- ------------- A 2 196,849.86 0.80 A- 45 4,790,693.13 19.55 B+ 46 5,354,577.38 21.85 B 9 846,997.84 3.46 B- 47 5,698,986.38 23.26 C 57 6,669,379.27 27.22 C- 3 289,699.68 1.18 D 5 657,823.19 2.68 TOTAL: 214 $24,505,006.73 100.00% --------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------- FICO Score No. of Loans Total Current Balance ($) % Current Bal. ---------- ------------ ------------------------- -------------- 465 - 560 56 6,461,301.41 26.37 561 - 580 27 3,237,236.92 13.21 581 - 600 21 2,882,095.80 11.76 601 - 620 36 3,633,235.39 14.83 621 - 640 23 2,664,521.08 10.87 641 - 660 16 2,102,343.40 8.58 661 - 680 13 1,464,068.67 5.97 681 - 700 6 562,216.27 2.29 701 - 720 7 678,361.07 2.77 721 - 740 5 403,200.45 1.65 741 - 760 2 148,929.00 0.61 761 - 780 1 107,240.00 0.44 801 - 806 1 160,257.27 0.65 TOTAL: 214 $24,505,006.73 100.00% --------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- 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 and delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not been reviewed 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, weighted average loan age, 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). LEHMAN BROTHERS COLLATERAL SUMMARY (CONT'D) DETAILED COLLATERAL SUMMARY (ADJUSTABLE RATE LOANS)
-------------------------------------------------------------------------------------------------- Debt-to-Income No. of Loans Total Current Balance ($) % Current Bal. -------------- ------------ ------------------------- -------------- 8.00 - 10.00 1 99,740.00 0.41 10.01 - 15.00 2 131,998.46 0.54 15.01 - 20.00 9 660,767.80 2.70 20.01 - 25.00 14 1,023,805.98 4.18 25.01 - 30.00 16 1,536,146.77 6.27 30.01 - 35.00 27 2,650,282.35 10.82 35.01 - 40.00 35 4,175,752.65 17.04 40.01 - 45.00 32 3,945,243.18 16.10 45.01 - 50.00 34 4,413,273.71 18.01 50.01 - 55.00 22 3,065,661.16 12.51 55.01 - 60.00 16 1,963,509.57 8.01 60.01 - 65.00 5 627,457.03 2.56 65.01 - 67.00 1 211,368.07 0.86 TOTAL: 214 $24,505,006.73 100.00% --------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------- Property Type No. of Loans Total Current Balance ($) % Current Bal. ------------- ------------ ------------------------- -------------- single family 195 22,649,021.27 92.43 condominium 11 1,270,900.31 5.19 two - four family 8 585,085.15 2.39 TOTAL: 214 $24,505,006.73 100.00% --------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------- Loan Documentation No. of Loans Total Current Balance ($) % Current Bal. ------------------ ------------ ------------------------- -------------- Full 145 16,056,512.47 65.52 No Doc 45 5,333,573.18 21.77 Alternate 24 3,114,921.08 12.71 TOTAL: 214 $24,505,006.73 100.00% --------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- 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 and delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not been reviewed 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, weighted average loan age, 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). LEHMAN BROHTERS COLLATERAL SUMMARY (CONT'D) DETAILED COLLATERAL SUMMARY (ADJUSTABLE RATE LOANS)
--------------------------------------------------------------------------------------------------- State No. of Loans Total Current Balance ($) % Current Bal. ----- ------------ ------------------------- -------------- CA 59 9,119,246.50 37.21 NJ 24 2,448,226.99 9.99 NY 17 1,965,610.91 8.02 WA 14 1,507,865.30 6.15 CO 14 1,428,211.89 5.83 OR 10 1,304,828.40 5.32 PA 14 1,271,041.70 5.19 IL 13 1,185,942.44 4.84 UT 16 1,123,564.27 4.59 OH 11 897,130.51 3.66 VA 4 576,422.86 2.35 FL 5 506,720.62 2.07 MD 4 337,816.56 1.38 CT 2 278,728.00 1.14 AZ 3 246,340.00 1.01 GA 2 198,270.29 0.81 MA 1 55,316.22 0.23 MN 1 53,723.27 0.22 TOTAL: 214 $24,505,006.73 100.00% ---------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- 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 and delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not been reviewed 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, weighted average loan age, 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). LEHMAN BROTHERS COLLATERAL SUMMARY (CONT'D) DETAILED COLLATERAL SUMMARY (FIXED RATE LOANS)
-------------------------------------------------------------------------------------------------- Current Balance ($) No. of Loans Total Current Balance ($) % Current Bal. ------------------- ------------ ------------------------- -------------- 3,457.91 - 25,000.00 44 764,998.08 1.17 25,000.01 - 50,000.00 136 5,321,119.03 8.12 50,000.01 - 75,000.00 214 13,594,048.48 20.75 75,000.01 - 100,000.00 207 17,941,200.81 27.38 100,000.01 - 125,000.00 99 11,001,621.98 16.79 125,000.01 - 150,000.00 42 5,716,828.64 8.72 150,000.01 - 175,000.00 20 3,210,240.29 4.90 175,000.01 - 200,000.00 12 2,220,226.67 3.39 200,000.01 - 225,000.00 12 2,554,102.44 3.90 225,000.01 - 250,000.00 4 930,624.30 1.42 250,000.01 - 275,000.00 5 1,332,401.51 2.03 275,000.01 - 300,000.00 1 278,067.66 0.42 300,000.01 - 325,000.00 1 321,460.47 0.49 325,000.01 - 350,000.00 1 341,954.00 0.52 TOTAL: 798 $65,528,894.36 100.00% --------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------- Original Balance ($) No. of Loans Total Current Balance ($) % Current Bal. -------------------- ------------ ------------------------- -------------- 11,000.00 - 25,000.00 39 648,536.11 0.99 25,000.01 - 50,000.00 136 5,211,955.02 7.95 50,000.01 - 75,000.00 209 13,107,910.52 20.00 75,000.01 - 100,000.00 207 17,715,552.95 27.03 100,000.01 - 125,000.00 107 11,697,108.56 17.85 125,000.01 - 150,000.00 44 5,958,753.86 9.09 150,000.01 - 175,000.00 20 3,210,240.29 4.90 175,000.01 - 200,000.00 12 2,220,226.67 3.39 200,000.01 - 225,000.00 12 2,554,102.44 3.90 225,000.01 - 250,000.00 4 930,624.30 1.42 250,000.01 - 275,000.00 4 1,059,962.30 1.62 275,000.01 - 300,000.00 2 550,506.87 0.84 300,000.01 - 325,000.00 1 321,460.47 0.49 325,000.01 - 350,000.00 1 341,954.00 0.52 TOTAL: 798 $65,528,894.36 100.00% --------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- 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 and delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not been reviewed 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, weighted average loan age, 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). LEHMAN BROTHERS COLLATERAL SUMMARY (CONT'D) DETAILED COLLATERAL SUMMARY (FIXED RATE LOANS)
-------------------------------------------------------------------------------------------------- Gross Coupon (%) No. of Loans Total Current Balance ($) % Current Bal. ---------------- ------------ ------------------------- -------------- 6.000 1 44,944.87 0.07 7.001 - 7.500 1 192,604.58 0.29 7.501 - 8.000 4 463,295.18 0.71 8.001 - 8.500 158 12,644,490.18 19.30 8.501 - 9.000 151 12,312,586.36 18.79 9.001 - 9.500 179 16,260,221.14 24.81 9.501 - 10.000 159 13,921,453.22 21.24 10.001 - 10.500 43 3,864,661.90 5.90 10.501 - 11.000 31 2,271,007.62 3.47 11.001 - 11.500 14 1,261,295.32 1.92 11.501 - 12.000 6 578,436.32 0.88 12.001 - 12.500 8 357,737.53 0.55 12.501 - 13.000 8 403,171.51 0.62 13.001 - 13.500 5 203,164.06 0.31 13.501 - 14.000 6 240,544.45 0.37 14.001 - 14.500 1 11,512.83 0.02 14.501 - 15.000 5 117,134.31 0.18 15.001 - 15.500 7 173,751.80 0.27 15.501 - 16.000 8 157,935.36 0.24 16.501 - 17.000 2 39,664.96 0.06 17.501 - 18.000 1 9,280.86 0.01 TOTAL: 798 $65,528,894.36 100.00% --------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- 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 and delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not been reviewed 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, weighted average loan age, 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). LEHMAN BROTHERS COLLATERAL SUMMARY (CONT'D) DETAILED COLLATERAL SUMMARY (FIXED RATE LOANS)
-------------------------------------------------------------------------------------------------- Original Term (months) No. of Loans Total Current Balance ($) % Current Bal. ---------------------- ------------ ------------------------- -------------- 84 1 30,768.33 0.05 120 9 282,591.66 0.43 180 173 9,298,271.67 14.19 240 9 847,428.47 1.29 360 606 55,069,834.23 84.04 TOTAL: 798 $65,528,894.36 100.00% --------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------- Remaining Term (mths) No. of Loans Total Current Balance ($) % Current Bal. --------------------- ------------ ------------------------- -------------- 39 - 60 3 25,220.30 0.04 61 - 120 51 1,648,679.68 2.52 121 - 180 129 7,937,731.68 12.11 181 - 240 9 847,428.47 1.29 241 - 300 24 2,545,490.73 3.88 301 - 360 582 52,524,343.50 80.15 TOTAL: 798 $65,528,894.36 100.00% --------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------- Loan Age (months) No. of Loans Total Current Balance ($) % Current Bal. ----------------- ------------ ------------------------- -------------- 0 382 31,390,953.62 47.90 1 - 6 82 6,999,151.85 10.68 7 - 12 74 6,745,327.01 10.29 13 - 18 73 6,841,930.05 10.44 19 - 24 49 3,770,361.15 5.75 25 - 30 26 2,285,269.07 3.49 31 - 36 18 1,184,570.76 1.81 >= 37 94 6,311,330.85 9.63 TOTAL: 798 $65,528,894.36 100.00% --------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------- Product Type No. of Loans Total Current Balance ($) % Current Bal. ------------ ------------ ------------------------- -------------- Balloon 13 572,510.70 0.87 Level Pay 785 64,956,383.66 99.13 TOTAL: 798 $65,528,894.36 100.00% --------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- 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 and delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not been reviewed 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, weighted average loan age, 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). LEHMAN BROTHERS COLLATERAL SUMMARY (CONT'D) DETAILED COLLATERAL SUMMARY (FIXED RATE LOANS)
-------------------------------------------------------------------------------------------------- Loan Modification No. of Loans Total Current Balance ($) % Current Bal. ----------------- ------------ ------------------------- -------------- No 509 39,654,769.33 60.51 Yes 289 25,874,125.03 39.49 TOTAL: 798 65,528,894.36 100.00 --------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------- Lien Position No. of Loans Total Current Balance ($) % Current Bal. ------------- ------------ ------------------------- -------------- 1 750 64,017,252.97 97.69 2 36 1,299,684.53 1.98 3 12 211,956.86 0.32 **TOTAL** 798 $65,528,894.36 100.00% --------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------- Original Combined Loan-to-Value No. of Loans Total Current Balance ($) % Current Bal. ------------- ------------ ------------------------- -------------- 9.30 - 10.00 2 35,156.00 0.05 10.01 - 15.00 4 78,421.23 0.12 15.01 - 20.00 15 454,620.89 0.69 20.01 - 25.00 17 543,242.28 0.83 25.01 - 30.00 30 1,486,711.37 2.27 30.01 - 35.00 42 2,248,713.01 3.43 35.01 - 40.00 31 1,773,115.18 2.71 40.01 - 45.00 53 3,167,007.68 4.83 45.01 - 50.00 66 4,183,305.20 6.38 50.01 - 55.00 66 4,827,008.78 7.37 55.01 - 60.00 80 6,634,515.57 10.12 60.01 - 65.00 124 12,272,438.69 18.73 65.01 - 70.00 115 11,367,302.83 17.35 70.01 - 75.00 99 10,355,073.77 15.80 75.01 - 80.00 44 4,920,832.30 7.51 80.01 - 85.00 10 1,181,429.58 1.80 TOTAL: 798 $65,528,894.36 100.00% --------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- 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 and delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not been reviewed 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, weighted average loan age, 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). LEHMAN BROTHERS COLLATERAL SUMMARY (CONT'D) DETAILED COLLATERAL SUMMARY (FIXED RATE LOANS)
-------------------------------------------------------------------------------------------------- Jr. Mortgage Ratio No. of Loans Total Current Balance ($) % Current Bal. ------------------ ------------ ------------------------- -------------- 14.15 - 15.00 1 15,172.68 1.00 15.01 - 20.00 4 49,135.00 3.25 20.01 - 25.00 6 139,368.23 9.22 25.01 - 30.00 7 160,212.98 10.60 30.01 - 35.00 6 148,209.17 9.80 35.01 - 40.00 2 47,357.50 3.13 40.01 - 45.00 2 88,389.20 5.85 45.01 - 50.00 3 110,106.06 7.28 50.01 - 55.00 1 9,752.44 0.65 55.01 - 60.00 2 66,976.29 4.43 60.01 - 65.00 4 107,817.28 7.13 65.01 - 70.00 1 51,491.91 3.41 70.01 - 75.00 3 170,712.07 11.29 80.01 - 85.00 3 158,305.03 10.47 85.01 - 88.66 3 188,635.55 12.48 TOTAL: 48 $1,511,641.39 100.00% --------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------- Months Delinquent No. of Loans Total Current Balance ($) % Current Bal. ----------------- ------------ ------------------------- -------------- CURRENT 787 64,573,371.00 98.54 30 DAYS 11 955,523.36 1.46 TOTAL: 798 $65,528,894.36 100.00% --------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------- Occupancy Status No. of Loans Total Current Balance ($) % Current Bal. ---------------- ------------ ------------------------- -------------- primary, owner occupied 772 63,533,845.94 96.96 investor 26 1,995,048.42 3.04 TOTAL: 798 $65,528,894.36 100.00% --------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- 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 and delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not been reviewed 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, weighted average loan age, 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). LEHMAN BROHTERS COLLATERAL SUMMARY (CONT'D) DETAILED COLLATERAL SUMMARY (FIXED RATE LOANS)
-------------------------------------------------------------------------------------------------- Credit Grade No. of Loans Total Current Balance ($) % Current Bal. ------------ ------------ ------------------------- -------------- A 83 6,282,575.01 9.59 A- 207 18,516,467.58 28.26 B+ 83 6,997,155.81 10.68 B 64 5,787,149.98 8.83 B- 117 9,575,751.24 14.61 C 191 14,160,300.80 21.61 C- 22 1,918,898.35 2.93 D 31 2,290,595.59 3.50 TOTAL: 798 $65,528,894.36 100.00% --------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------- FICO Score No. of Loans Total Current Balance ($) % Current Bal. ---------- ------------ ------------------------- -------------- N/A 172 12,420,952.76 18.95 469 - 560 160 13,046,690.64 19.91 561 - 580 62 5,077,379.22 7.75 581 - 600 58 4,605,290.55 7.03 601 - 620 68 5,959,139.69 9.09 621 - 640 59 5,216,979.65 7.96 641 - 660 55 4,930,456.42 7.52 661 - 680 51 5,228,665.73 7.98 681 - 700 26 2,537,908.09 3.87 701 - 720 28 2,505,497.19 3.82 721 - 740 19 1,382,985.97 2.11 741 - 760 18 1,260,624.72 1.92 761 - 780 13 753,713.72 1.15 781 - 800 6 441,472.00 0.67 801 - 812 3 161,138.01 0.25 TOTAL: 798 $65,528,894.36 100.00% --------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- 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 and delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not been reviewed 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, weighted average loan age, 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). LEHMAN BROTHERS COLLATERAL SUMMARY (CONT'D) DETAILED COLLATERAL SUMMARY (FIXED RATE LOANS)
-------------------------------------------------------------------------------------------------- Debt to Income No. of Loans Total Current Balance ($) % Current Bal. -------------- ------------ ------------------------- -------------- 2.000 - 5.000 1 51,081.00 0.08 5.001 - 10.000 1 51,491.91 0.08 10.001 - 15.000 9 585,081.32 0.89 15.001 - 20.000 48 3,034,695.99 4.63 20.001 - 25.000 74 5,203,424.65 7.94 25.001 - 30.000 91 6,659,023.99 10.16 30.001 - 35.000 105 8,524,037.57 13.01 35.001 - 40.000 112 8,741,663.56 13.34 40.001 - 45.000 96 8,273,538.74 12.63 45.001 - 50.000 101 9,348,027.71 14.27 50.001 - 55.000 78 6,599,114.16 10.07 55.001 - 60.000 57 5,694,232.72 8.69 60.001 - 65.000 23 2,743,049.28 4.19 65.001 - 69.000 2 20,431.76 0.03 TOTAL: 798 $65,528,894.36 100.00% --------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------- Property Type No. of Loans Total Current Balance ($) % Current Bal. ------------- ------------ ------------------------- -------------- single family 720 59,028,959.48 90.08 two - four family 58 4,859,644.37 7.42 condominium 14 1,327,482.68 2.03 PUD 6 312,807.83 0.48 TOTAL: 798 $65,528,894.36 100.00% --------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------- Loan Documentation No. of Loans Total Current Balance ($) % Current Bal. ------------------ ------------ ------------------------- -------------- Full 533 44,321,959.23 67.64 Alternate 178 13,458,823.75 20.54 No Doc 87 7,748,111.38 11.82 TOTAL: 798 $65,528,894.36 100.00% --------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- 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 and delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not been reviewed 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, weighted average loan age, 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). LEHMAN BROTHERS COLLATERAL SUMMARY (CONT'D) DETAILED COLLATERAL SUMMARY (FIXED RATE LOANS) --------------------------------------------------------------------------- State No. of Loans Total Current Balance ($) % Current Bal. ----- ------------ ------------------------- -------------- CA 253 22,629,578.44 34.53 NY 107 9,341,720.91 14.26 NJ 104 8,538,102.84 13.03 IL 67 4,583,955.21 7.00 FL 31 2,393,967.32 3.65 OR 25 2,305,511.28 3.52 WA 27 2,157,028.22 3.29 MD 26 1,800,989.83 2.75 UT 22 1,713,429.39 2.61 PA 26 1,679,745.92 2.56 OH 21 1,578,785.04 2.41 CO 20 1,509,681.78 2.30 AZ 23 1,478,554.08 2.26 MN 13 934,872.64 1.43 GA 13 911,765.55 1.39 VA 7 830,834.24 1.27 MA 5 446,559.40 0.68 CT 4 366,731.00 0.56 DC 3 272,228.49 0.42 ID 1 54,852.78 0.08 TOTAL: 798 $65,528,894.36 100.00% --------------------------------------------------------------------------- - -------------------------------------------------------------------------------- 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 and delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not been reviewed 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, weighted average loan age, 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). -----END PRIVACY-ENHANCED MESSAGE-----