================================================================================
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)
September 2, 1997
AMRESCO Residential Securities Corporation
(Exact name of registrant as specified in its charter)
Delaware 333-30759 75-2620414
(State or Other Jurisdiction (Commission (I.R.S. Employer
of Incorporation) File Number) Identification No.)
700 North Pearl Street
Suite 2400, LB #342
Dallas, Texas 75201-7424
(Address of Principal (Zip Code)
Executive Offices)
Registrant's telephone number, including area code (214) 953-7700
No Change
(Former name or former address, if changed since last report)
================================================================================
<PAGE>
Item 5. Other Events.
In connection with the offering of AMRESCO Residential Securities
Corporation Mortgage Loan Pass-Through Certificates, Series 1997-3, described in
a Prospectus Supplement dated as of September 4, 1997, 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.
Item 7. Financial Statements, Pro Forma Financial Information and Exhibits.
(a) Not applicable
(b) Not applicable
(c) Exhibits:
99.4 Computational Materials of Lehman Brothers Inc. relating to the
Offered Certificates.
<PAGE>
SIGNATURES
I 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.
AMRESCO RESIDENTIAL SECURITIES CORPORATION,
as Depositor
By: /s/ Ronald B. Kirkland
-----------------------
Name: Ronald B. Kirkland
Title: Vice President and Chief
Accounting Officer
Dated: September 3, 1997
<PAGE>
EXHIBIT INDEX
Exhibit No. Description Page No.
99.4 Computational Materials of Lehman Brothers Inc.
relating to the Offered Certificates.
-------
Computational Materials
$950,000,000
(Approximate)
AMRESCO Residential Securities Corporation
Mortgage Loan Trust 1997-3
Home Equity Loan ABS
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
$950.0 Million AMRESCO Residential Securities Corporation
Mortgage Loan Trust 1997-3
AMRESCO Residential Capital Markets, Inc.
Seller
Advanta Mortgage Corp. USA
Ameriquest Mortgage Company
Option One Mortgage Corporation
Servicers
Transaction Highlights
- --------------------------------------------------------------------------------
Class Size Expected Ratings Average Life
Class(1) ($millions) Tranche Type (Moody's/S&P/Fitch)(2) (years) (3)
================================================================================
- --------------------------------------------------------------------------------
A-1 31.50 Fixed Sequential Aaa/AAA/AAA 0.51
A-2 36.00 Fixed Sequential Aaa/AAA/AAA 1.20
A-3 41.80 Fixed Sequential Aaa/AAA/AAA 2.05
A-4 29.10 Fixed Sequential Aaa/AAA/AAA 3.00
A-5 14.60 Fixed Sequential Aaa/AAA/AAA 4.00
A-6 14.20 Fixed Sequential Aaa/AAA/AAA 5.05
A-7 15.30 Fixed Sequential Aaa/AAA/AAA 7.05
A-8 19.79 Fixed Sequential Aaa/AAA/AAA 13.00
A-9 22.48 Fixed Lockout Aaa/AAA/AAA 6.86
A-10 554.04 Floater Aaa/AAA/AAA 2.49
M-1F 14.63 Fixed Subordinate Aa2/AA/AA 7.29
M-2F 11.97 Fixed Subordinate A2/A/A 7.22
B-1F 10.64 Fixed Subordinate Baa3/BBB/BBB 6.98
B-2F(4) 3.99 Fixed Subordinate -- --
M-1A 54.72 Floater Subordinate Aa2/AA//AA 5.25
M-2A 41.04 Floater Subordinate A2/A/A 5.20
B-1A 34.20 Floater Subordinate Baa3/BBB-/BBB- 5.15
- --------------------------------------------------------------------------------
Total $950.00 -- -- --
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Modified
Duration Payment Price
Class(1) (years) (3) Window(3) Benchmark Talk
================================================================================
A-1 0.49 10 (10/97 to 7/98) 5.125% of 3/98 +[ ]
A-2 1.12 10 (7/98 to 4/99) 5.625% of 11/98 +[ ]
A-3 1.86 13 (4/99 to 4/00) 2-year UST +[ ]
A-4 2.64 12 (4/00 to 3/01) 3-year UST +[ ]
A-5 3.40 12 (3/01 to 2/02) 6.375% of 9/01 +[ ]
A-6 4.13 16 (2/02 to 5/03) 5-year UST +[ ]
A-7 5.36 43 (5/03 to 11/06) 7.25% of 8/04 +[ ]
A-8 7.97 142 (11/06 to 8/18) 10-year UST +[ ]
A-9 5.22 213 (10/00 to 6/18) 7.25% of 8/04 +[ ]
A-10 2.16 92 (10/97 to 5/05) 1-month LIBOR +[ ]
M-1F 5.29 163 (1/01 to 7/14) 7.875% of 11/04 +[ ]
M-2F 5.22 144 (1/01 to 12/12) 7.875% of 11/04 +[ ]
B-1F 5.06 125 (1/01 to 5/11) 7.25% of 8/04 +[ ]
B-2F(4) -- -- -- --
M-1A 4.38 53 (1/01 to 5/05) 1-month LIBOR +[ ]
M-2A 4.31 55 (11/00 to 5/05) 1-month LIBOR +[ ]
B-1A 4.22 56 (10/00 to 5/05) 1-month LIBOR +[ ]
- --------------------------------------------------------------------------------
Total -- -- -- --
- --------------------------------------------------------------------------------
(1) Classes A-1 through A-9, M-1F, M-2F, B-1F, and B-2F are backed by a fixed
rate pool; Classes A-10, M-1A, M-2A, and B-1A are backed by an ARM pool.
The Certificates also include a fixed and ARM pool Subordinate IO strip, as
described below under "Subordinate IO". Classes A- 1 through A-9, M-1F,
M-2F, and B-2F are shown to maturity while Classes A-10, M-1A, M-2A, and
B-1A are shown to call. See "Prepayment Speed" below.
(2) Duff & Phelps is also expected to rate the transaction.
(3) Classes A-1 through A-9, M-1F, M-2F, and B-2F are shown to maturity while
Classes A-10, M-1A, M-2A, and B-1A are shown to call. See "Prepayment
Speed" below. Classes A-1 through A-9, M-1F, M-2F, and B-2F are shown to
maturity while Classes A-10, M-1A, M-2A, and B- 1A are shown to call. See
"Prepayment Speed" below.
(4) The Class B-2F is being offered privately by Morgan Stanley.
Seller: AMRESCO Residential Capital Markets, Inc.
Servicers: Advanta Mortgage, Ameriquest Mortgage, and Option One Mortgage
Trustee: The Bank of New York
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
Transaction Highlights
(continued)
Collateral: Fixed and floating-rate conventional home equity
loans secured by first and second lien
mortgages. See "Collateral Description" on page
7 for more detail.
Prepayment Speed:
Fixed-Rate Certificates: All classes are priced at a prepayment speed of
100% of the prepayment assumption ("PPC"). 100%
PPC describes prepayments starting at 4.0% CPR
in month 1, increasing by approximately 1.454%
CPR per month to 20% CPR in month 12, and
remaining at 20% CPR thereafter.
Floating-Rate Certificates: Constant 25% CPR.
Expected Pricing Date: September 3 - 4, 1997
Expected Settlement: September 17, 1997 through DTC, Euroclear or
CEDEL.
Distribution Dates: The 25th of each month, beginning October, 1997
Prefunded Amount: $137.3 million
Subordinate IO: The certificates will include a Subordinate IO
strip off of the fixed rate and ARM pools which
are not offered hereby. The fixed rate pool
Subordinate IO pays a 15% coupon for the first
24 months based on its notional principal
balance (defined as the lesser of approximately
$26.6 million and the current outstanding fixed
rate pool balance). The ARM pool Subordinate IO
pays a 7.50% coupon for the first 24 months
based on its notional principal balance (defined
as the lesser of approximately $68.4 million and
the current outstanding ARM pool balance).
The fixed rate pool Subordinate IO initially
reduces the excess spread available to fund o/c
by approximately 150 basis points (resulting in
a fixed pool initial excess servicing of
approximately 1.50%), while the ARM pool
Subordinate IO initially reduces the excess by
approximately 75 basis points (resulting in an
ARM pool initial excess servicing of
approximately 2.70%).
Available Funds Cap: All Certificates are subject to an available
funds cap. The cap, for both the fixed rate or
ARM groups, is the weighted average coupon for
that group less the approximately 0.50%
Servicing Fee. Shortfalls due to the available
funds cap will NOT be carried forward.
Option and Auction Call: 10% mandatory auction call (10% of original
certificate balance) followed by a 5% servicer
clean-up call.
Coupon Step Up: After the Clean-up Date, the spread to LIBOR on
the Class A-10 will double, while the spread to
LIBOR on the M-1A, M-2A, and B-1A will increase
by 50% to incent AMRESCO to call the bonds
Tax Status: REMIC
ERISA Eligibility: The Class A-1 -through A-10 certificates are
ERISA eligible; All other Certificate Classes
are NOT ERISA eligible.
SMMEA Eligibility: Only the Class A-10 and M-1A Certificates are
SMMEA eligible.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
AMRESCO Residential Securities 1997-3 Collateral Description
Note that the following collateral description is only reflective of $227.6
million of fixed rate loans and $585.1 million of ARM loans. The transaction,
however, will be fully funded based on a prefunded amount of $137.3 for a total
transaction size of approximately $950.0 million.
<TABLE>
<CAPTION>
Fixed Rate Home Equity Loans -
Group I ARM Home Equity Loans - Group II
------------------------------- --------------------------------
<S> <C> <C>
Aggregate Pool Balance: $227.6 million $585.1 million
Number of Loans: 2,928 5,672
Prefunded Amount: $37.5 million $99.8 million
Average Outstanding Balance: $77,733.00 (min: $11,885, max: $103,147.33 (min: $11,911, max:
$497,143) $500,000)
Total Original Balance: $228.2 million $586.1 million
Average Original Balance: $77,928.92 $103,330.22
Lien Position: 97.1% firsts; 2.9% non-firsts 100% firsts
Prepayment Penalty: 74.4% have penalties 63.7% have penalties
WA Original Loan to Value 72.1% (15.3% >80%, min: 10.7%/ 74.9% (15.4% >80%, min: 8.86%/
Ratio(1): max: 90.0%) max: 90.0%)
WA Junior Lien Ratio(2): 33.1% N/A
Loan Type: a) 94.79% Fixed Rate a) 78.14% 2/28 6-month LIBOR ARMs
b) 5.21% 5/25 ARMs b) 16.27% 6-month LIBOR ARMs
c) 5.54% 3/27 6-month LIBOR ARMs
a) 0.04% other
Original WA Original Term: 322 months (20.00% 180-month maturity 359 months (0.75% 180-month maturity
78.31% 360-month maturity) 99.22% 360-month maturity)
Remaining WA Maturity: 318.9 months 355.3 months
WA Seasoning: 3.2 months 3.3 months
Latest Scheduled Maturity: Expected September 1, 2027 Expected September 1, 2027
WA Gross Coupon: 10.39% (min: 7.10% / max: 16.50%) 10.05% (current, min: 7.02% / max:
16.76%)
WA Gross Margin: 6.569% for 5/25 ARMs a) 5.871% for 6-month LIBOR ARMs
b) 5.032% for 1-year UST ARMs
WA Periodic Cap: 1.02% for 5/25 ARMs 1.09%
WA Months to Roll: 57 months for 5/25 ARMs 18 months
WA Floor: 9.557% for 5/25 ARMs 10.040%
Property Type: 87.1% single family, 7.1% 2-4 family, 85.5% single family, 5.3% 2-4 family,
3.4% condo, 2.5% other 4.0% PUD, 4.0% condo, 1.1% other
Owner Occupancy: a) 90.3% owner occupied a) 92.4% owner occupied
b) 9.7% investor property b) 7.6% investor property
Geographic Distribution (> 5%): CA (30.8%), HI (11.9%), FL (8.7%) CA (19.7%), IL (6.4%), MA (5.7%),
FL (5.4%)
% Cashout Refinancing: 48.7% 43.8%
WA Debt-to-Income Ratio: 38.46% 39.00%
</TABLE>
Note: (1) Includes Original Combined Loan-to-Value for 2nd lien fixed rate
loans.
(2) Excludes first mortgages. Defined as ratio of current principal
balance of the mortgage loan to the sum of the original principal
balance of loan and principal balance at time of origination of the
loan of any senior liens.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
Fixed Rate Collateral Tables
<TABLE>
<CAPTION>
- --------------------------- ------------------------------------------------------------------------------------------------------
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Principal Average Current Original Cashout Full Owner
Remaining Principal Balance Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
- --------------------------- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
10,000.01 - 15,000.00 16 219,572.82 0.1 11.816 13,723 48.511 75.61 68.61 100
15,000.01 - 20,000.00 64 1,188,954.62 0.52 12.022 18,577 60.822 87.86 57.5 79.97
20,000.01 - 25,000.00 159 3,668,344.19 1.61 11.825 23,071 61.798 69.47 57.8 80.2
25,000.01 - 30,000.00 160 4,445,526.60 1.95 11.984 27,785 64.9 67.8 63.12 77.59
30,000.01 - 35,000.00 199 6,455,322.64 2.84 11.41 32,439 63.243 65.05 61.02 79.17
35,000.01 - 40,000.00 210 7,971,133.20 3.5 11.41 37,958 65.779 65.53 67.91 84.43
40,000.01 - 45,000.00 183 7,832,515.58 3.44 11.246 42,801 65.999 63.82 62.38 82.75
45,000.01 - 50,000.00 192 9,222,967.52 4.05 11.105 48,036 68.525 57.38 61.34 84.99
50,000.01 - 55,000.00 138 7,259,669.16 3.19 10.902 52,606 68.224 52.11 65.99 88.43
55,000.01 - 60,000.00 161 9,289,550.85 4.08 10.928 57,699 69.366 56.72 63.86 85.23
60,000.01 - 65,000.00 137 8,631,667.37 3.79 10.855 63,005 70.755 56.45 62.78 90.56
65,000.01 - 70,000.00 119 8,063,131.82 3.54 10.473 67,757 71.245 53.05 67.15 89.82
70,000.01 - 75,000.00 96 6,990,297.40 3.07 10.611 72,816 69.668 50 62.59 96.87
75,000.01 - 80,000.00 109 8,463,310.48 3.72 10.392 77,645 72.287 45.71 70.63 90.85
80,000.01 - 85,000.00 106 8,772,240.08 3.85 10.381 82,757 72.176 52 71.64 92.48
85,000.01 - 90,000.00 74 6,508,400.05 2.86 10.272 87,951 71.861 50.17 66.17 86.46
90,000.01 - 95,000.00 50 4,628,557.02 2.03 10.157 92,571 72.117 36.01 78.1 85.99
95,000.01 - 100,000.00 69 6,773,985.30 2.98 10.24 98,174 73.614 43.5 71.09 92.77
100,000.01 - 105,000.00 66 6,800,177.42 2.99 10.176 103,033 74.687 51.48 71.1 93.94
105,000.01 - 110,000.00 53 5,697,682.94 2.5 10.087 107,503 74.264 45.19 65.96 94.39
110,000.01 - 115,000.00 54 6,065,917.99 2.67 9.877 112,332 73.989 40.7 72.16 90.79
115,000.01 - 120,000.00 47 5,537,337.74 2.43 10.417 117,816 75.018 51.05 70.1 91.41
120,000.01 - 125,000.00 35 4,298,446.63 1.89 10.223 122,813 75.205 57.12 51.43 82.95
125,000.01 - 130,000.00 41 5,218,352.00 2.29 10.009 127,277 76.12 31.8 70.79 82.95
130,000.01 - 135,000.00 34 4,502,715.36 1.98 10.421 132,433 79.608 32.35 58.77 100
135,000.01 - 140,000.00 42 5,794,923.18 2.55 9.967 137,974 74.257 38.12 64.22 97.59
140,000.01 - 145,000.00 18 2,564,778.03 1.13 10.422 142,488 79.752 33.23 72.16 100
145,000.01 - 150,000.00 19 2,806,558.51 1.23 9.386 147,714 71.094 36.96 41.97 89.62
150,000.01 - 160,000.00 43 6,675,387.19 2.93 9.72 155,242 72.7 42.04 60.62 92.96
160,000.01 - 170,000.00 31 5,110,891.07 2.25 9.858 164,867 72.536 48.26 67.67 86.93
170,000.01 - 180,000.00 30 5,281,933.96 2.32 10.062 176,064 77.503 33.39 66.79 90.1
180,000.01 - 190,000.00 16 2,951,671.12 1.3 10.075 184,479 75.707 49.93 62.54 93.88
190,000.01 - 200,000.00 25 4,913,562.87 2.16 9.897 196,543 74.657 44 63.96 96.09
200,000.01 - 210,000.00 7 1,436,817.60 0.63 9.724 205,260 76.067 28.63 56.73 100
210,000.01 - 220,000.00 13 2,809,363.27 1.23 9.175 216,105 72.43 46.35 53.94 92.44
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
<TABLE>
<CAPTION>
- --------------------------- ------------------------------------------------------------------------------------------------------
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Principal Average Current Original Cashout Full Owner
Remaining Principal Balance Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
- --------------------------- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
220,000.01 - 230,000.00 11 2,481,722.15 1.09 9.776 225,611 72.444 63.63 27.52 100
230,000.01 - 240,000.00 10 2,364,725.57 1.04 9.189 236,473 76.439 60.14 60.33 100
240,000.01 - 250,000.00 13 3,200,217.72 1.41 9.939 246,171 73.431 61.55 53.85 100
250,000.01 - 300,000.00 45 12,407,221.50 5.45 9.53 275,716 76.977 37.92 48.93 92.82
300,000.01 - 350,000.00 16 5,202,811.66 2.29 9.698 325,176 78.147 31.11 68.81 94.17
350,000.01 - 400,000.00 7 2,617,105.11 1.15 9.909 373,872 78.757 27.86 55.28 100
400,000.01 - 450,000.00 6 2,535,670.04 1.11 9.806 422,612 75.904 33.23 35.06 100
450,000.01 - 500,000.00 4 1,941,078.94 0.85 10.239 485,270 76.85 0 24.95 100
- --------------------------- ------------------------------------------------------------------------------------------------------
Total: 2,928 227,602,216.27 100 10.394 77,733 72.137 48.67 63 90.31
- --------------------------- ------------------------------------------------------------------------------------------------------
Min: 11,884.69
Max: 497,142.69
Average: 77,733.00
- --------------------------- ------------------------------------------------------------------------------------------------------
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
<TABLE>
<CAPTION>
- --------------------------- ------------------------------------------------------------------------------------------------------
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Principal Average Current Original Cashout Full Owner
Mortgage Rates Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
- --------------------------- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
7.001 - 7.500 11 1,340,942.67 0.59 7.385 121,904 62.057 61.43 63.36 100
7.501 - 8.000 60 7,094,592.30 3.12 7.819 118,243 65.69 50.42 70.22 97.29
8.001 - 8.250 30 2,838,199.41 1.25 8.203 94,607 64.623 47.9 83.25 98.59
8.251 - 8.500 72 8,018,239.92 3.52 8.467 111,364 66.656 44.91 61.69 95.67
8.501 - 8.750 81 8,762,814.47 3.85 8.698 108,183 68.223 29.8 71.43 94.83
8.751 - 9.000 160 20,312,498.61 8.92 8.943 126,953 68.771 34.09 55.6 91.64
9.001 - 9.250 82 9,257,083.14 4.07 9.196 112,891 72.948 40.07 62.58 92.03
9.251 - 9.500 121 12,611,919.43 5.54 9.46 104,231 75.418 34.05 72.46 94.15
9.501 - 9.750 149 14,008,445.93 6.15 9.686 94,016 72.894 47.19 66.48 93.73
9.751 - 10.000 234 21,944,292.99 9.64 9.944 93,779 75.639 46.07 72.4 90.12
10.001 - 10.250 127 11,358,494.45 4.99 10.203 89,437 76.243 48.83 73.99 91.4
10.251 - 10.500 179 13,393,757.03 5.88 10.444 74,825 73.182 53.8 64.56 84.26
10.501 - 10.750 206 14,423,925.97 6.34 10.678 70,019 72.995 57.89 52.92 90.18
10.751 - 11.000 231 16,518,721.41 7.26 10.925 71,510 73.675 61.97 54.93 86.84
11.001 - 11.250 131 8,525,149.89 3.75 11.183 65,077 74.016 45.5 58.93 91.06
11.251 - 11.500 180 10,843,686.25 4.76 11.434 60,243 73.671 60.84 57.66 85.29
11.501 - 11.750 154 8,933,357.36 3.92 11.668 58,009 75.207 62.76 62.86 87.49
11.751 - 12.000 146 9,122,854.00 4.01 11.931 62,485 71.839 52.88 57.57 87.27
12.001 - 13.000 347 17,852,305.77 7.84 12.521 51,448 71.755 52.15 57.27 87.85
13.001 - 14.000 134 5,759,885.48 2.53 13.485 42,984 67.686 60.63 63.15 85.16
14.001 - 15.000 72 3,737,083.24 1.64 14.539 51,904 64.61 50.77 53.42 90.68
15.001 - 16.000 15 688,515.44 0.3 15.478 45,901 67.98 19.74 82.63 85.04
16.001 - 17.000 6 255,451.11 0.11 16.263 42,575 66.74 32.19 92.47 92.47
- -------------------------- ------------------------------------------------------------------------------------------------------
Total: 2,928 227,602,216.27 100 10.394 77,733 72.137 48.67 63 90.31
- -------------------------- ------------------------------------------------------------------------------------------------------
Min: 7.100
Max: 16.500
Weighted Average Coupon:
10.3943
- --------------------------- ------------------------------------------------------------------------------------------------------
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
<TABLE>
<CAPTION>
- --------------------------- ------------------------------------------------------------------------------------------------------
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Principal Average Current Original Cashout Full Owner
Seasoning Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
- --------------------------- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
0 43 3,199,530.00 1.41 10.359 74,408 74.217 55.63 66.37 86.42
1 - 6 2,831 220,369,453.67 96.82 10.382 77,842 72.052 48.1 63.4 90.47
7 - 12 47 3,662,960.40 1.61 11.168 77,935 75.141 75.47 35.28 83.05
13 - 18 5 290,693.66 0.13 10.003 58,139 74.991 54.75 60.42 100
19 - 24 2 79,578.54 0.03 11.437 39,789 74.876 100 100 100
- --------------------------- ------------------------------------------------------------------------------------------------------
Total: 2,928 227,602,216.27 100 10.394 77,733 72.137 48.67 63 90.31
- --------------------------- ------------------------------------------------------------------------------------------------------
Min: 0
Max: 23
Weighted Average: 3.18
- --------------------------- ------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- --------------------------- ------------------------------------------------------------------------------------------------------
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Months Remaining to Mortgage Principal Principal Average Current Original Cashout Full Owner
Scheduled Maturity Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
- --------------------------- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
61 - 120 4 149,602.77 0.07 11.741 37,401 73.336 37.7 100 100
121 - 180 807 45,531,656.31 20 10.888 56,421 69.811 65.96 59.76 88.74
181 - 240 64 3,330,298.49 1.46 11.354 52,036 71.807 86 62.88 84.01
301 - 360 2,053 178,590,658.70 78.47 10.249 86,990 72.736 43.58 63.8 90.82
- --------------------------- ------------------------------------------------------------------------------------------------------
Total: 2,928 227,602,216.27 100 10.394 77,733 72.137 48.67 63 90.31
- --------------------------- ------------------------------------------------------------------------------------------------------
Min: 115
Max: 360
Weighted Average: 318.94
- --------------------------- ------------------------------------------------------------------------------------------------------
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
<TABLE>
<CAPTION>
- --------------------------- ------------------------------------------------------------------------------------------------------
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Principal Average Current Original Cashout Full Owner
Product Type Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
- --------------------------- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Fixed - 30 Year 1,942 166,986,132.31 73.37 10.296 85,987 72.837 41.76 65.25 91.1
Fixed - 15 Year 528 24,894,752.78 10.94 10.654 47,149 66.29 67.47 63.13 87.41
Balloon - 15/30 275 20,374,661.11 8.95 11.203 74,090 74.062 63.67 55.23 90.33
ARM - 5 Year/6 Month 115 11,866,768.81 5.21 9.557 103,189 71.327 70.42 43.99 86.85
Fixed - 20 Year 64 3,330,298.49 1.46 11.354 52,036 71.807 86 62.88 84.01
Fixed - 10 Year 4 149,602.77 0.07 11.741 37,401 73.336 37.7 100 100
- --------------------------- -----------------------------------------------------------------------------------------------------
Total: 2,928 227,602,216.27 100 10.394 77,733 72.137 48.67 63 90.31
- --------------------------- -----------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------- ------------------------------------------------------------------------------------------------------
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Principal Average Current Original Cashout Full Owner
Distribution of Loan Purpose Loan Balance Balance Coupon Balance CLTV Refi Doc Occupied
- ---------------------------- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Refinance - Cashout 1,616 110,784,723.01 48.67 10.543 68,555 70.489 100 60.28 88.01
Refinance - Rate Term 918 85,200,825.72 37.43 10.1 92,811 72.293 0 66.8 92.91
Purchase 394 31,616,667.54 13.89 10.666 80,245 77.491 0 62.27 91.32
- --------------------------- ------------------------------------------------------------------------------------------------------
Total: 2,928 227,602,216.27 100 10.394 77,733 72.137 48.67 63 90.31
- --------------------------- ------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- --------------------------- ------------------------------------------------------------------------------------------------------
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Distribution of Mortgage Principal Principal Average Current Original Cashout Full Owner
Occupancy Status Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
- --------------------------- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Owner-Occupied 2,554 205,540,425.52 90.31 10.354 80,478 72.482 47.44 63.34 100
Non-Owner Occupied 374 22,061,790.75 9.69 10.766 58,989 68.922 60.19 59.83 0
- --------------------------- -----------------------------------------------------------------------------------------------------
Total: 2,928 227,602,216.27 100 10.394 77,733 72.137 48.67 63 90.31
- --------------------------- -----------------------------------------------------------------------------------------------------
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
<TABLE>
<CAPTION>
- --------------------------- ------------------------------------------------------------------------------------------------------
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Distribution of Mortgage Principal Principal Average Current Original Cashout Full Owner
Property Types Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
- --------------------------- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Single Family Residence 2,560 198,135,849.84 87.05 10.418 77,397 72.284 48.95 64.07 93.02
2-4 Family 194 16,113,132.62 7.08 10.216 83,057 69.711 46.52 56.23 60.37
Condo 108 7,649,815.23 3.36 10.052 70,832 72.343 33.8 49.51 80.52
PUD 36 3,572,227.64 1.57 10.384 99,229 74.264 66.68 70.72 96.67
Manufactured Housing 22 1,454,766.61 0.64 10.904 66,126 73.678 63 43.29 92.57
Townhouse 8 676,424.33 0.3 10.54 84,553 70.18 61.91 65.86 82.09
- --------------------------- ------------------------------------------------------------------------------------------------------
Total: 2,928 227,602,216.27 100 10.394 77,733 72.137 48.67 63 90.31
- --------------------------- ------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- --------------------------- ------------------------------------------------------------------------------------------------------
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Principal Average Current Original Cashout Full Owner
Loan Documentation Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
- --------------------------- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Full Doc-Asset and Income 1,875 143,391,922.20 63 10.337 76,476 74.264 46.58 100 90.79
Stated Income 967 73,701,250.63 32.38 10.56 76,216 68.241 54.57 0 90.36
Limited 86 10,509,043.44 4.62 10.011 122,198 70.444 36 0 83.28
- --------------------------- -----------------------------------------------------------------------------------------------------
Total: 2,928 227,602,216.27 100 10.394 77,733 72.137 48.67 63 90.31
- --------------------------- -----------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- --------------------------- ------------------------------------------------------------------------------------------------------
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Principal Average Current Original Cashout Full Owner
Lien Position Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
- --------------------------- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1st Lien 2,774 220,978,677.34 97.09 10.358 79,661 72.117 47.27 63.85 90.28
2nd Lien 154 6,623,538.93 2.91 11.596 43,010 72.81 95.69 34.57 91.13
- --------------------------- -----------------------------------------------------------------------------------------------------
Total: 2,928 227,602,216.27 100 10.394 77,733 72.137 48.67 63 90.31
- --------------------------- -----------------------------------------------------------------------------------------------------
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
<TABLE>
<CAPTION>
- --------------------------- ------------------------------------------------------------------------------------------------------
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Principal Average Current Original Cashout Full Owner
Amresco Credit Grade (PAG) Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
- --------------------------- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 172 18,268,849.80 8.03 9.235 106,214 68.46 65.25 47.47 80.04
2 1,522 134,859,253.38 59.25 10.008 88,607 74.754 45.48 63.16 90.12
3 615 42,364,736.50 18.61 10.744 68,886 70.898 52.88 64.39 94.37
4 220 10,821,833.36 4.75 11.674 49,190 68.218 57.92 70.51 89.97
5 399 21,287,543.23 9.35 12.492 53,352 63.175 41.61 68.76 92.36
- --------------------------- ------------------------------------------------------------------------------------------------------
Total: 2,928 227,602,216.27 100 10.394 77,733 72.137 48.67 63 90.31
- --------------------------- ------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- --------------------------- ------------------------------------------------------------------------------------------------------
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Principal Average Current Original Cashout Full Owner
Prepayment Penalty Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
- --------------------------- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 Year 67 6,073,869.82 2.67 10.74 90,655 73.164 44.06 47.9 95.97
1.5 Year 2 118,100.74 0.05 10.307 59,050 66.672 100 57.71 100
2 Year 88 9,135,823.76 4.01 10.177 103,816 76.837 23.84 71.95 86.54
3 Year 125 10,125,302.81 4.45 10.499 81,002 70.866 47.92 62.72 91.43
4 Year 733 61,913,709.66 27.2 9.968 84,466 73.442 29.08 64.71 95.14
5 Year 32 3,171,615.15 1.39 10.243 99,113 68.294 10.74 74.26 87.88
Undefined Prepayment Penalty 909 78,909,207.37 34.67 10.176 86,809 72.162 61.22 62.93 87.23
No Prepayment Penalty 972 58,154,586.96 25.55 11.134 59,830 70.311 58.99 60.91 89.26
- --------------------------- -----------------------------------------------------------------------------------------------------
Total: 2,928 227,602,216.27 100 10.394 77,733 72.137 48.67 63 90.31
- --------------------------- -----------------------------------------------------------------------------------------------------
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
<TABLE>
<CAPTION>
- --------------------------- ------------------------------------------------------------------------------------------------------
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Principal Average Current Original Cashout Full Owner
Geographical Distribution Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
- --------------------------- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
California 693 70,016,164.63 30.76 9.801 101,033 72.402 35.52 67.91 91.61
Hawaii 150 27,103,422.56 11.91 9.165 180,689 72.337 40.45 43.34 91.57
Florida 306 19,713,109.35 8.66 11.071 64,422 72.359 64.07 52.21 91.77
Texas 151 8,055,976.57 3.54 11.508 53,351 71.885 16.77 61.78 82.24
Illinois 131 7,437,155.40 3.27 11.399 56,772 68.9 52.59 67.14 92.11
Ohio 131 7,197,724.11 3.16 11.036 54,944 73.679 58.39 73.42 89.02
Oregon 64 6,127,310.67 2.69 9.659 95,739 69.585 59.67 66.11 93.53
Utah 68 5,896,018.24 2.59 9.803 86,706 72.986 45.23 75.98 91.32
Pennsylvania 106 5,882,054.25 2.58 11.268 55,491 73.099 60.22 70.22 89.52
Arizona 90 5,422,161.51 2.38 10.252 60,246 71.289 37.66 68.44 88.98
Washington 76 5,303,567.43 2.33 10.462 69,784 71.442 74.25 52.69 91.58
Indiana 114 5,098,396.58 2.24 11.176 44,723 71.665 76.56 66.9 85.92
New York 70 5,082,013.18 2.23 11.25 72,600 71.116 71.7 66.82 86.86
Colorado 61 4,666,094.43 2.05 9.664 76,493 71.677 55.53 68.45 84.64
New Jersey 50 4,178,918.54 1.84 11.29 83,578 69.053 68.2 67.49 95.02
Nevada 39 3,830,365.32 1.68 10.476 98,214 75.872 38.51 66.33 74.29
Massachusetts 40 3,226,284.99 1.42 10.574 80,657 66.497 57.79 60.99 84.53
North Carolina 62 2,905,358.26 1.28 12.311 46,861 71.489 79.2 70.87 87.32
Michigan 59 2,868,666.09 1.26 11.532 48,621 72.264 57.28 66.7 78.92
Georgia 40 2,617,188.72 1.15 11.397 65,430 72.003 58.4 74.68 94.41
Missouri 53 2,285,349.87 1 12.067 43,120 74.367 44.77 83.23 91.68
Virginia 36 2,091,397.98 0.92 11.399 58,094 71.178 64.78 45.71 88.32
New Mexico 24 1,802,412.30 0.79 10.959 75,101 70.477 37.35 61.13 97.39
Tennessee 28 1,746,225.13 0.77 10.815 62,365 79.316 62.53 89.28 85.34
Louisiana 29 1,713,286.77 0.75 11.681 59,079 75.349 69.8 72.77 86.16
Connecticut 21 1,707,023.71 0.75 10.891 81,287 72.315 57.01 62.73 98.24
Maryland 29 1,577,267.19 0.69 11.641 54,389 74.246 78.49 57.39 84.2
Minnesota 18 1,435,380.93 0.63 10.643 79,743 72.85 66.04 46.6 96.27
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
<TABLE>
<CAPTION>
- --------------------------- ------------------------------------------------------------------------------------------------------
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Principal Average Current Original Cashout Full Owner
Geographical Distribution Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
- --------------------------- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Rhode Island 15 1,205,069.44 0.53 10.515 80,338 71.776 76.13 29.63 94.23
South Carolina 20 1,203,189.63 0.53 12.318 60,159 68.064 66.02 33.43 100
Arkansas 19 921,592.57 0.4 11.807 48,505 71.446 75.22 76.46 87.78
Kentucky 19 891,249.04 0.39 11.682 46,908 71.959 58.31 77.68 100
Idaho 16 881,632.34 0.39 11.365 55,102 77.491 49.46 74.49 100
Maine 11 858,416.66 0.38 10.37 78,038 74.275 41.27 50.48 100
Wisconsin 17 740,464.41 0.33 11.407 43,557 69.917 87.86 82.84 78.33
New Hampshire 11 725,210.52 0.32 10.802 65,928 77.538 32.35 40.17 72.55
Mississippi 14 507,548.96 0.22 11.309 36,253 69.546 72.65 77.82 88.97
Kansas 8 390,893.96 0.17 11.853 48,862 75.522 40.1 79.55 100
Oklahoma 9 375,289.80 0.16 12.026 41,699 69.594 67.23 53.98 93.86
Nebraska 5 329,493.18 0.14 11.012 65,899 77.633 100 100 100
District of Columbia 4 317,105.66 0.14 12.649 79,276 74.329 76.44 79.95 81.1
Delaware 5 271,454.56 0.12 11.256 54,291 75.084 37.98 72.73 100
Iowa 4 249,372.35 0.11 11.33 62,343 60.444 57.97 100 100
Montana 3 236,914.64 0.1 10.098 78,972 69.7 77.26 59.04 100
West Virginia 5 235,580.78 0.1 10.383 47,116 86.26 43.86 91.95 100
Wyoming 3 155,553.13 0.07 10.302 51,851 70.243 69.65 100 100
North Dakota 1 119,889.93 0.05 9.85 119,890 80 100 100 100
- --------------------------- ------------------------------------------------------------------------------------------------------
Total: 2,928 2 27,602,216.27 100 10.394 77,733 72.137 48.67 63 90.31
- --------------------------- ------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- --------------------------- ------------------------------------------------------------------------------------------------------
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Principal Average Current Original Cashout Full Owner
Calendar Year of Origination Loan Balance Balance Coupon Balance CLTV Refi Doc Occupied
- --------------------------- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1995 2 79,578.54 0.03 11.437 39,789 74.876 100 100 100
1996 25 1,954,407.90 0.86 10.725 78,176 74.287 62.97 37.97 80.72
1997 2,901 225,568,229.83 99.11 10.391 77,755 72.118 48.53 63.2 90.39
- --------------------------- ------------------------------------------------------------------------------------------------------
Total: 2,928 227,602,216.27 100 10.394 77,733 72.137 48.67 63 90.31
- --------------------------- ------------------------------------------------------------------------------------------------------
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<TABLE>
<CAPTION>
- --------------------------- ------------------------------------------------------------------------------------------------------
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Combined Original Mortgage Principal Principal Average Current Original Cashout Full Owner
Loan-to-Value Ratios Loan Balance Balance Coupon Balance CLTV Refi Doc Occupied
- --------------------------- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
10.001 - 20.000 12 364,459.67 0.16 9.813 30,372 15.966 48.48 45.45 100
20.001 - 30.000 57 2,244,940.06 0.99 9.743 39,385 26.127 59.29 50.86 92.76
30.001 - 40.000 101 5,765,784.04 2.53 9.764 57,087 36.239 56.99 39.27 96.17
40.001 - 50.000 150 8,151,481.56 3.58 10.023 54,343 45.911 56.76 56.95 88.76
50.001 - 60.000 272 17,258,923.60 7.58 10.355 63,452 56.478 60.34 49.7 90.18
60.001 - 70.000 766 50,267,290.76 22.09 10.751 65,623 67.008 57.33 55.96 81.12
70.001 - 75.000 591 47,877,532.43 21.04 10.403 81,011 74.396 47.63 55.42 84.92
75.001 - 80.000 647 60,785,737.13 26.71 10.28 93,950 79.499 40.21 62.36 96.43
80.001 - 85.000 167 17,404,423.38 7.65 10.244 104,218 84.282 44.34 96.09 99.46
85.001 - 90.000 165 17,481,643.64 7.68 10.407 105,949 89.621 40.99 99.02 99.48
- --------------------------- ------------------------------------------------------------------------------------------------------
Total: 2,928 227,602,216.27 100 10.394 77,733 72.137 48.67 63 90.31
- --------------------------- ------------------------------------------------------------------------------------------------------
Min: 10.71
Max: 90.00
Weighted Average: 72.14
- --------------------------- ------------------------------------------------------------------------------------------------------
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
<TABLE>
<CAPTION>
- --------------------------- ------------------------------------------------------------------------------------------------------
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Principal Average Current Original Cashout Full Owner
Junior Loan Ratios Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
- --------------------------- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
5.001 - 10.000 1 21,711.02 0.33 11.3 21,711 75.57 100 0 100
10.001 - 15.000 5 126,482.63 1.91 12.191 25,297 70.222 100 31.55 100
15.001 - 20.000 27 836,069.22 12.62 11.88 30,966 76.965 100 40.28 96.34
20.001 - 25.000 39 1,444,738.97 21.81 11.466 37,045 70.583 94.09 29.66 90.64
25.001 - 30.000 24 1,001,256.41 15.12 11.737 41,719 74.829 100 19.68 94.07
30.001 - 35.000 16 844,291.98 12.75 11.373 52,768 75.724 81.44 28.59 90.94
35.001 - 40.000 11 689,741.39 10.41 11.517 62,704 74.243 93.71 63.05 93.12
40.001 - 45.000 6 256,426.28 3.87 11.564 42,738 72.881 100 49.2 100
45.001 - 50.000 7 292,016.31 4.41 11.928 41,717 76.495 100 37.6 100
50.001 - 55.000 8 577,149.44 8.71 11.384 72,144 63.686 100 9.36 92.36
55.001 - 60.000 3 195,393.09 2.95 11.253 65,131 74.729 100 80.39 80.39
60.001 - 65.000 1 29,943.62 0.45 11.7 29,944 65.47 100 0 100
65.001 - 70.000 2 98,746.48 1.49 12.783 49,373 79.497 100 54.45 0
70.001 - 75.000 2 111,021.07 1.68 11.348 55,511 70.52 100 62.71 100
80.001 - 85.000 2 98,551.02 1.49 11.488 49,276 54.049 100 41.63 41.63
- --------------------------- ------------------------------------------------------------------------------------------------------
Total: 154 6,623,538.93 100 11.596 43,010 72.81 95.69 34.57 91.13
- --------------------------- ------------------------------------------------------------------------------------------------------
Min: 8.562
Max: 82.818
Weighted Average: 33.070
- --------------------------- ------------------------------------------------------------------------------------------------------
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
ARM Collateral Tables
<TABLE>
<CAPTION>
- ------------------------------ -----------------------------------------------------------------------------------------------------
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Principal Average Current Original Cashout Full Owner
Remaining Principal Balance Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
- ------------------------------ -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
10,000.01 - 15,000.00 6 86,187.89 0.01 10.779 14,365 59.457 52.13 100 65.29
15,000.01 - 20,000.00 37 693,681.53 0.12 11.82 18,748 65.973 52.51 64.98 81.13
20,000.01 - 25,000.00 96 2,190,643.49 0.37 11.76 22,819 66.781 61.36 59.5 67.58
25,000.01 - 30,000.00 108 2,993,142.94 0.51 11.754 27,714 68.785 52.06 62.3 64.86
30,000.01 - 35,000.00 167 5,466,963.02 0.93 11.056 32,736 68.322 42.5 68.33 79.6
35,000.01 - 40,000.00 223 8,464,519.75 1.45 11.06 37,957 67.35 55.83 66.57 81.97
40,000.01 - 45,000.00 216 9,305,151.93 1.59 10.906 43,079 69.894 41.88 66.28 81.17
45,000.01 - 50,000.00 260 12,490,889.26 2.14 10.77 48,042 68.946 48.93 65.98 80.26
50,000.01 - 55,000.00 239 12,562,995.24 2.15 10.578 52,565 70.826 52.34 70.28 85.8
55,000.01 - 60,000.00 306 17,642,162.33 3.02 10.557 57,654 71.641 52.64 68.48 87.61
60,000.01 - 65,000.00 241 15,143,079.05 2.59 10.539 62,834 72.149 50.67 63.93 92.05
65,000.01 - 70,000.00 251 17,045,949.84 2.91 10.387 67,912 71.285 53.23 64.86 91.28
70,000.01 - 75,000.00 247 17,997,482.08 3.08 10.359 72,864 73.077 51.48 61.44 89.47
75,000.01 - 80,000.00 235 18,302,050.28 3.13 10.206 77,881 73.625 42.66 62.46 91.88
80,000.01 - 85,000.00 233 19,290,561.63 3.3 10.365 82,792 72.87 54.13 66.86 90.04
85,000.01 - 90,000.00 204 17,938,342.05 3.07 10.113 87,933 75.044 48.6 66.66 93.69
90,000.01 - 95,000.00 198 18,376,488.42 3.14 10.279 92,811 74.621 51.98 61.15 88.9
95,000.01 - 100,000.00 232 22,700,261.87 3.88 10.092 97,846 75.646 44.42 65.8 91.4
100,000.01 - 105,000.00 189 19,442,501.28 3.32 10.049 102,870 75.612 44.49 63.96 93.68
105,000.01 - 110,000.00 132 14,206,309.94 2.43 9.82 107,624 76.055 42.39 62.95 95.41
110,000.01 - 115,000.00 136 15,293,781.63 2.61 9.948 112,454 76.979 50.05 73.55 91.21
115,000.01 - 120,000.00 151 17,834,241.36 3.05 10.27 118,108 74.183 48.38 61.5 92.73
120,000.01 - 125,000.00 107 13,181,042.20 2.25 10.017 123,187 76.474 49.64 55.95 89.66
125,000.01 - 130,000.00 102 13,010,790.52 2.22 10.004 127,557 76.514 36.35 53.9 95.1
130,000.01 - 135,000.00 122 16,166,458.84 2.76 9.853 132,512 78.181 38.64 55.73 92.59
135,000.01 - 140,000.00 88 12,150,629.99 2.08 9.696 138,075 77.355 40.94 60.19 95.46
140,000.01 - 145,000.00 82 11,706,693.41 2 9.776 142,765 78.901 40.22 71.96 95.16
145,000.01 - 150,000.00 80 11,841,338.70 2.02 9.759 148,017 73.5 46.18 52.47 94.98
150,000.01 - 160,000.00 118 18,358,155.12 3.14 9.852 155,578 76.815 35.61 63.65 95.74
160,000.01 - 170,000.00 106 17,528,273.66 3 9.711 165,361 77.024 37.7 64.88 94.33
170,000.01 - 180,000.00 116 20,403,993.34 3.49 9.727 175,896 76.908 41.42 66.4 97.37
180,000.01 - 190,000.00 96 17,801,884.31 3.04 9.88 185,436 78.187 34.38 63.46 91.65
190,000.01 - 200,000.00 75 14,650,730.13 2.5 9.888 195,343 75.139 42.66 47.87 93.32
200,000.01 - 210,000.00 46 9,471,098.78 1.62 9.73 205,893 79.391 30.31 69.41 95.64
210,000.01 - 220,000.00 47 10,111,707.50 1.73 9.764 215,143 78.684 32.1 57.5 97.83
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
<TABLE>
<CAPTION>
- ---------------------------- ------------------------------------------------------------------------------------------------------
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Principal Average Current Original Cashout Full Owner
Remaining Principal Balance Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
- ---------------------------- ------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
220,000.01 - 230,000.00 48 10,820,964.53 1.85 9.685 225,437 77.151 24.96 50.01 97.94
230,000.01 - 240,000.00 41 9,669,880.54 1.65 10.041 235,851 75.436 46.34 38.95 95.11
240,000.01 - 250,000.00 29 7,108,369.74 1.21 9.469 245,116 77.128 41.6 61.98 93.12
250,000.01 - 300,000.00 115 31,715,185.25 5.42 9.648 275,784 77.224 41.8 54.67 95.51
300,000.01 - 350,000.00 74 23,983,759.90 4.1 9.621 324,105 76.012 40.66 47.26 95.95
350,000.01 - 400,000.00 34 12,556,975.48 2.15 9.468 369,323 75.724 41.35 40.97 100
400,000.01 - 450,000.00 23 9,766,186.85 1.67 9.75 424,617 71.118 38.94 42.97 95.66
450,000.01 - 500,000.00 16 7,580,137.77 1.3 9.549 473,759 73.996 18.74 56.47 100
- ---------------------------- ------------------------------------------------------------------------------------------------------
Total: 5,672 585,051,643.37 100 10.053 103,147 74.926 43.78 60.64 92.36
- ---------------------------- ------------------------------------------------------------------------------------------------------
Min: 11,911.23
Max: 500,000.00
Average: 103,147.33
- ---------------------------- ------------------------------------------------------------------------------------------------------
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
<TABLE>
<CAPTION>
- ------------------------------ -----------------------------------------------------------------------------------------------------
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Principal Average Current Original Cashout Full Owner
Mortgage Rates Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
- ------------------------------ -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
7.001 - 7.500 37 5,003,207.42 0.86 7.342 135,222 67.258 62.5 66.11 90.57
7.501 - 8.000 77 10,902,751.48 1.86 7.818 141,594 70.146 56.48 53.72 98.73
8.001 - 8.250 92 11,623,011.71 1.99 8.219 126,337 68.165 49.45 66.31 94.65
8.251 - 8.500 184 24,776,027.85 4.23 8.457 134,652 74.978 41.94 67.02 98.09
8.501 - 8.750 199 26,710,057.67 4.57 8.702 134,221 76.07 40.55 73.24 96.79
8.751 - 9.000 347 45,803,686.75 7.83 8.942 131,999 74.562 43.88 63.75 94.78
9.001 - 9.250 271 33,292,233.74 5.69 9.194 122,850 76.287 37.58 69.56 91.73
9.251 - 9.500 393 45,248,998.93 7.73 9.433 115,137 74.91 46.3 63.55 93.55
9.501 - 9.750 451 51,618,616.32 8.82 9.677 114,454 76.503 41.36 66.79 93.93
9.751 - 10.000 605 70,140,277.63 11.99 9.908 115,934 75.879 44.15 60.75 94.88
10.001 - 10.250 381 39,628,166.85 6.77 10.171 104,011 75.696 40.92 56.23 91.92
10.251 - 10.500 447 45,269,535.38 7.74 10.413 101,274 76.675 39.45 58.44 90.64
10.501 - 10.750 437 41,104,347.02 7.03 10.65 94,060 76.067 44.27 49.07 91.19
10.751 - 11.000 405 35,265,605.42 6.03 10.901 87,076 76.295 43.91 54.53 88.76
11.001 - 11.250 256 22,262,214.82 3.81 11.145 86,962 75.859 47.27 54.35 83.97
11.251 - 11.500 216 17,963,919.84 3.07 11.41 83,166 75.567 46.85 49.88 86.22
11.501 - 11.750 190 13,899,734.21 2.38 11.643 73,156 74.529 44.62 46.67 88.2
11.751 - 12.000 145 9,585,027.09 1.64 11.9 66,104 72.476 46.09 55.39 89.94
12.001 - 13.000 303 19,963,707.15 3.41 12.457 65,887 68.482 49.04 59.46 88.32
13.001 - 14.000 119 7,245,972.70 1.24 13.418 60,891 65.423 57.19 55.41 85.84
14.001 - 15.000 88 6,086,535.53 1.04 14.48 69,165 68.389 37.97 83.63 94.41
15.001 - 16.000 27 1,458,549.05 0.25 15.268 54,020 68.941 29.29 93.53 100
16.001 - 17.000 2 199,458.81 0.03 16.463 99,729 69.996 0 100 100
- ------------------------------ -----------------------------------------------------------------------------------------------------
Total: 5,672 585,051,643.37 100 10.053 103,147 74.926 43.78 60.64 92.36
- ------------------------------ -----------------------------------------------------------------------------------------------------
Min: 7.020
Max: 16.755
Weighted Average Coupon:
10.053
- ------------------------------ -----------------------------------------------------------------------------------------------------
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
<TABLE>
<CAPTION>
- ------------------------------ -----------------------------------------------------------------------------------------------------
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Principal Average Current Original Cashout Full Owner
Seasoning Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
- ------------------------------ -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
0 61 6,225,308.00 1.06 10.588 102,054 74.327 40.62 65.04 94.28
1 - 6 5,531 570,348,315.84 97.49 10.041 103,118 74.945 43.75 60.63 92.34
7 - 12 69 7,340,176.77 1.25 10.367 106,379 75.06 48.3 57.05 92.96
13 - 18 11 1,137,842.76 0.19 11.369 103,440 67.883 47.81 65.08 87.91
- ------------------------------ -----------------------------------------------------------------------------------------------------
Total: 5,672 585,051,643.37 100 10.053 103,147 74.926 43.78 60.64 92.36
- ------------------------------ -----------------------------------------------------------------------------------------------------
Min: 0
Max: 18
Weighted Average: 3.32
- ------------------------------ -----------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------ -----------------------------------------------------------------------------------------------------
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Months Remaining to Mortgage Principal Principal Average Current Original Cashout Full Owner
Scheduled Maturity Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
- ------------------------------ -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
121 - 180 79 4,375,133.10 0.75 9.84 55,381 67.625 71.83 61.01 88.06
181 - 240 1 168,605.19 0.03 8.5 168,605 89.32 0 100 100
301 - 360 5,592 580,507,905.08 99.22 10.055 103,810 74.977 43.58 60.63 92.39
- ------------------------------ -----------------------------------------------------------------------------------------------------
Total: 5,672 585,051,643.37 100 10.053 103,147 74.926 43.78 60.64 92.36
- ------------------------------ -----------------------------------------------------------------------------------------------------
Min: 167
Max: 360
Weighted Average: 355.34
- ------------------------------ -----------------------------------------------------------------------------------------------------
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
<TABLE>
<CAPTION>
- ------------------------------ -----------------------------------------------------------------------------------------------------
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Principal Average Current Original Cashout Full Owner
Product Type Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
- ------------------------------ -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
ARM - 2 Year/6 Month 4,509 457,163,280.44 78.14 10.134 101,389 74.841 44.19 61.67 92.82
ARM - 6 Month 833 95,216,117.34 16.27 9.693 114,305 75.783 41.47 55.82 90.63
ARM - 3 Year/6 Month 328 32,432,621.32 5.54 9.969 98,880 73.599 44.59 60.29 90.9
ARM - 3 Year/1 Year 1 149,574.74 0.03 9.7 149,575 75 100 100 100
ARM - 1 Year 1 90,049.53 0.02 9.75 90,050 80 0 0 100
- ------------------------------ -----------------------------------------------------------------------------------------------------
Total: 5,672 585,051,643.37 100 10.053 103,147 74.926 43.78 60.64 92.36
- ------------------------------ -----------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------ -----------------------------------------------------------------------------------------------------
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Principal Average Current Original Cashout Full Owner
Distribution of Loan Purpose Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
- ------------------------------ -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Refinance - Cashout 2,643 256,121,457.79 43.78 10.052 96,906 71.905 100 55.94 90.86
Purchase 1,823 191,367,621.25 32.71 10.064 104,974 78.926 0 61.56 92.31
Refinance - Rate Term 1,206 137,562,564.33 23.51 10.041 114,065 74.987 0 68.11 95.21
- ------------------------------ ----------------------------------------------------------------------------------------------------
Total: 5,672 585,051,643.37 100 10.053 103,147 74.926 43.78 60.64 92.36
- ------------------------------ ----------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------ -----------------------------------------------------------------------------------------------------
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Distribution of Mortgage Principal Principal Average Current Original Cashout Full Owner
Occupancy Status Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
- ------------------------------ -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Owner-Occupied 5,070 540,332,095.49 92.36 10.024 106,574 75.304 43.07 61.16 100
Non-Owner Occupied 602 44,719,547.88 7.64 10.408 74,285 70.357 52.37 54.39 0
- ------------------------------ -----------------------------------------------------------------------------------------------------
Total: 5,672 585,051,643.37 100 10.053 103,147 74.926 43.78 60.64 92.36
- ------------------------------ -----------------------------------------------------------------------------------------------------
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
<TABLE>
<CAPTION>
- ------------------------------ -----------------------------------------------------------------------------------------------------
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Distribution of Mortgage Principal Principal Average Current Original Cashout Full Owner
Property Types Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
- ------------------------------ -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Single Family Residence 4,766 500,406,555.83 85.53 10.049 104,995 74.985 45.11 60.58 94.89
2-4 Family 354 31,067,594.05 5.31 10.343 87,762 72.189 50.46 63.83 60.32
PUD 186 23,629,579.23 4.04 9.928 127,041 77.821 17.55 56.89 93.72
Condo 286 23,518,148.08 4.02 9.908 82,231 74.458 31.28 61.63 77.95
Manufactured Housing 74 5,873,813.91 1 10.001 79,376 75.069 51.5 59.88 97.44
Townhouse 6 555,952.27 0.1 9.354 92,659 70.536 31.26 62.68 100
- ----------------------------- ------------------------------------------------------------------------------------------------------
Total: 5,672 585,051,643.37 100 10.053 103,147 74.926 43.78 60.64 92.36
- ----------------------------- ------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------ -----------------------------------------------------------------------------------------------------
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Principal Average Current Original Cashout Full Owner
Loan Documentation Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
- ------------------------------ -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Full Doc-Asset and Income 3,592 354,777,651.13 60.64 10.002 98,769 76.958 40.39 100 93.14
Stated Income 1,971 215,302,362.19 36.8 10.143 109,235 71.567 50.28 0 91.58
Limited 109 14,971,630.05 2.56 9.971 137,354 75.099 30.59 0 84.89
- ------------------------------ -----------------------------------------------------------------------------------------------------
Total: 5,672 585,051,643.37 100 10.053 103,147 74.926 43.78 60.64 92.36
- ------------------------------ -----------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------ -----------------------------------------------------------------------------------------------------
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Principal Average Current Original Cashout Full Owner
Lien Position Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
- ------------------------------ -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1st Lien 5,672 585,051,643.37 100 10.053 103,147 74.926 43.78 60.64 92.36
- ------------------------------ -----------------------------------------------------------------------------------------------------
Total: 5,672 585,051,643.37 100 10.053 103,147 74.926 43.78 60.64 92.36
- ------------------------------ -----------------------------------------------------------------------------------------------------
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
<TABLE>
<CAPTION>
- ------------------------------ -----------------------------------------------------------------------------------------------------
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Principal Average Current Original Cashout Full Owner
Amresco Credit Grade (PAG) Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
- ------------------------------ -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 66 10,933,556.63 1.87 9.381 165,660 80.3 12.55 66.38 93.88
2 2,963 338,085,406.87 57.79 9.694 114,102 76.912 42.91 54.8 90.2
3 1,347 131,382,130.38 22.46 10.06 97,537 74.415 47.8 67.74 95.66
4 256 19,526,463.75 3.34 10.886 76,275 71.616 42.12 78.48 92.17
5 1,040 85,124,085.74 14.55 11.365 81,850 67.897 45.42 68.05 95.66
- ------------------------------ -----------------------------------------------------------------------------------------------------
Total: 5,672 585,051,643.37 100 10.053 103,147 74.926 43.78 60.64 92.36
- ------------------------------ -----------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------ -----------------------------------------------------------------------------------------------------
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Principal Average Current Original Cashout Full Owner
Prepayment Penalty Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
- ------------------------------ -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 Year 230 28,494,173.97 4.87 9.509 123,888 75.007 41.07 56.49 92.17
1.5 Year 209 17,962,903.06 3.07 9.997 85,947 71.668 49.85 63.37 78.24
2 Year 1,903 198,394,982.46 33.91 9.94 104,254 75.317 43.34 57.96 94.69
3 Year 168 19,842,935.00 3.39 9.676 118,113 77.2 49.93 64.27 92.76
4 Year 238 23,610,342.03 4.04 9.611 99,203 76.804 35.97 64.2 92.91
5 Year 5 421,418.09 0.07 9.104 84,284 78.463 22.02 66.98 100
Undefined Prepayment Penalty 796 84,092,849.12 14.37 10.3 105,644 76.017 34.19 73.32 91.84
No Prepayment Penalty 2,123 212,232,039.64 36.28 10.225 99,968 73.965 48.17 57.7 91.48
- ------------------------------ -----------------------------------------------------------------------------------------------------
Total: 5,672 585,051,643.37 100 10.053 103,147 74.926 43.78 60.64 92.36
- ------------------------------ -----------------------------------------------------------------------------------------------------
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
<TABLE>
<CAPTION>
- ------------------------------ -----------------------------------------------------------------------------------------------------
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Principal Average Current Original Cashout Full Owner
Geographical Distribution Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
- ------------------------------ -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
California 769 115,497,648.90 19.74 9.485 150,192 76.833 32.33 66.84 93
Illinois 391 37,465,793.30 6.4 10.66 95,820 75.199 53.39 62.59 94.33
Massachusetts 293 33,327,264.63 5.7 9.834 113,745 70.852 52.75 55.11 87.56
Florida 386 31,758,624.07 5.43 10.488 82,276 74.534 37.99 47.92 86.73
Washington 209 23,577,380.59 4.03 9.787 112,810 74.177 50.39 54.1 94.38
Colorado 223 23,050,704.49 3.94 9.646 103,366 77.376 44.34 73.71 93.02
Oregon 194 22,257,838.01 3.8 9.903 114,731 76.361 45.44 66.44 96.45
Utah 179 21,415,132.70 3.66 9.748 119,638 76.158 48.25 75.03 95.77
Arizona 208 21,284,519.17 3.64 9.725 102,329 75.765 36.82 62.24 93.77
Connecticut 152 17,274,456.16 2.95 9.91 113,648 73.023 48.88 47.44 94.83
Michigan 183 17,262,921.82 2.95 10.623 94,333 77.635 57.53 62.01 94.65
Ohio 251 16,949,735.96 2.9 10.521 67,529 75.08 55.93 70.64 91.65
Nevada 141 16,872,551.38 2.88 9.945 119,663 76.589 24.08 54.81 88.79
Hawaii 76 14,968,158.54 2.56 9.635 196,949 76.056 32.8 52.33 94.78
Texas 149 13,131,389.98 2.24 10.441 88,130 73.545 9.75 50.74 91.68
Pennsylvania 170 12,745,900.42 2.18 10.289 74,976 74.652 43.41 68.71 94.65
Maryland 109 12,726,617.95 2.18 10.7 116,758 71.743 65.11 54.57 94.97
Rhode Island 126 11,922,279.08 2.04 9.793 94,621 69.703 59.04 41.44 91.55
Virginia 104 11,824,813.15 2.02 10.424 113,700 74.891 62.72 42.87 90.31
New York 97 11,673,721.01 2 9.548 120,348 71.502 48.3 47.03 93.9
Georgia 109 10,156,047.17 1.74 10.423 93,175 77.926 24.75 54.93 93.52
Missouri 168 9,407,520.66 1.61 11.158 55,997 75.43 34.2 69.67 90.45
North Carolina 133 8,770,527.09 1.5 11.269 65,944 74.376 47.64 61.97 95.3
Wisconsin 128 8,648,041.97 1.48 10.98 67,563 71.309 57.54 71.07 89.49
New Jersey 59 7,554,562.92 1.29 10.729 128,043 72.416 48.95 61.03 92.11
Minnesota 98 7,419,066.15 1.27 10.779 75,705 73.795 41.19 84.23 80.99
New Hampshire 73 7,418,502.51 1.27 9.792 101,623 72.891 43.88 37.1 92.25
Indiana 105 6,733,222.09 1.15 10.442 64,126 75.198 63.4 68.45 95.81
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
<TABLE>
<CAPTION>
- ------------------------------ -----------------------------------------------------------------------------------------------------
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Principal Average Current Original Cashout Full Owner
Geographical Distribution Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
- ------------------------------ -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
New Mexico 65 6,272,017.32 1.07 10.336 96,493 74.382 58.59 75.47 93.52
Maine 53 4,631,558.53 0.79 9.627 87,388 66.523 56.96 41.44 72.6
Kentucky 63 4,167,774.68 0.71 10.538 66,155 76.81 53.37 68.91 97.45
Delaware 16 2,120,124.72 0.36 9.85 132,508 69.226 60.26 60.87 79.17
Idaho 24 1,980,207.29 0.34 9.924 82,509 76.741 45.81 43.7 87.35
South Carolina 34 1,919,197.68 0.33 10.836 56,447 72.721 59.9 61.51 91.99
Kansas 28 1,842,576.77 0.31 10.458 65,806 73.086 42.84 63.94 100
West Virginia 22 1,730,539.38 0.3 10.376 78,661 75.505 78.82 54.98 98.02
District of Columbia 15 1,626,999.06 0.28 9.995 108,467 71 49.64 26.2 80.44
Louisiana 9 932,997.26 0.16 10.473 103,666 73.239 28.41 33.49 100
Montana 7 878,251.10 0.15 9.669 125,464 72.552 71.78 36.54 100
Tennessee 11 809,825.11 0.14 10.236 73,620 82.504 51.38 67.04 95.85
Arkansas 5 621,965.27 0.11 10.03 124,393 75.152 36 64 93.02
Iowa 13 619,039.02 0.11 12.435 47,618 78.201 60.74 94.35 100
Mississippi 5 566,967.93 0.1 9.984 113,394 77.55 37.93 100 82.74
Vermont 2 330,071.22 0.06 8.716 165,036 62.118 21.18 0 100
Oklahoma 6 294,688.36 0.05 12.36 49,115 77.908 32.8 92.2 92.88
Nebraska 7 266,585.00 0.05 10.458 38,084 76.714 100 100 66.07
South Dakota 2 140,020.11 0.02 10.421 70,010 70.394 64.04 35.96 100
Wyoming 1 133,348.97 0.02 9.775 133,349 80 0 100 100
North Dakota 1 71,946.72 0.01 10.85 71,947 80 100 100 100
- ------------------------------ -----------------------------------------------------------------------------------------------------
Total: 5,672 5 85,051,643.37 100 10.053 103,147 74.926 43.78 60.64 92.36
- ------------------------------ -----------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------ -----------------------------------------------------------------------------------------------------
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Principal Average Current Original Cashout Full Owner
Calendar Year of Origination Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
- ------------------------------ -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1996 58 6,409,708.96 1.1 10.54 110,512 73.421 46.06 57.09 91.19
1997 5,614 578,641,934.41 98.9 10.048 103,071 74.943 43.75 60.68 92.37
- ------------------------------ -----------------------------------------------------------------------------------------------------
Total: 5,672 585,051,643.37 100 10.053 103,147 74.926 43.78 60.64 92.36
- ------------------------------ -----------------------------------------------------------------------------------------------------
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
<TABLE>
<CAPTION>
- ------------------------------ -----------------------------------------------------------------------------------------------------
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Original Mortgage Principal Principal Average Current Original Cashout Full Owner
Loan-to-Value Ratios Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
- ------------------------------ -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
0.001 - 10.000 2 50,882.76 0.01 9.486 25,441 8.95 100 0 100
10.001 - 20.000 2 86,376.92 0.01 10.102 43,188 15.688 100 0 100
20.001 - 30.000 33 2,281,931.65 0.39 9.335 69,149 25.679 76.82 30.06 98.43
30.001 - 40.000 64 4,710,240.95 0.81 9.756 73,598 36.131 76.9 35.94 91.96
40.001 - 50.000 147 11,529,205.70 1.97 9.729 78,430 46.321 67.09 48.29 85.63
50.001 - 60.000 376 31,800,031.25 5.44 10.074 84,575 56.718 69.04 42.5 87.87
60.001 - 70.000 1,383 120,576,779.30 20.61 10.47 87,185 67.493 56.31 51.37 86.19
70.001 - 80.000 2,975 323,883,464.47 55.36 9.994 108,868 77.909 40.34 56.86 93.27
80.001 - 90.000 690 90,132,730.37 15.41 9.777 130,627 87.603 24.8 96.75 99.6
- ------------------------------ -----------------------------------------------------------------------------------------------------
Total: 5,672 585,051,643.37 100 10.053 103,147 74.926 43.78 60.64 92.36
- ------------------------------ -----------------------------------------------------------------------------------------------------
Min: 8.86
Max: 90.00
Weighted Average: 74.93
- ------------------------------ -----------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------ -----------------------------------------------------------------------------------------------------
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Principal Average Current Original Cashout Full Owner
Index Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
- ------------------------------ -------------------------------------- --------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Treasury - 1 Year 2 239,624.27 0.04 9.719 119,812 76.879 62.42 62.42 100
Libor - 6 Month 5,670 584,812,019.10 99.96 - 10.053 103,141 74.925 43.77 60.64 92.35
- ------------------------------ -------------------------------------- --------------------------------------------------------------
Total: 5,672 585,051,643.37 100 - 10.053 103,147 74.926 43.78 60.64 92.36
- ------------------------------ -----------------------------------------------------------------------------------------------------
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
<TABLE>
<CAPTION>
- ------------------------------ -----------------------------------------------------------------------------------------------------
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Mortgage Principal Principal Average Current Original Cashout Full Owner
Distribution of Margins Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
- ------------------------------ -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
3.501 - 4.000 1 139,231.29 0.02 8.25 139,231 90 0 100 100
4.001 - 4.500 142 13,784,697.66 2.36 8.773 97,075 62.455 65.34 87.87 94.51
4.501 - 5.000 883 97,375,317.10 16.64 9.563 110,278 73.817 50.22 76.33 96.27
5.001 - 5.500 1,695 190,558,756.71 32.57 9.86 112,424 77.468 42.6 55.14 95.51
5.501 - 6.000 911 93,247,576.98 15.94 10.131 102,357 76 41.72 47.67 85.06
6.001 - 6.500 698 65,963,082.01 11.27 10.353 94,503 73.52 43.25 62.47 88.35
6.501 - 7.000 504 46,172,179.10 7.89 10.693 91,611 73.531 44.01 56.54 91.74
7.001 - 7.500 345 30,165,681.71 5.16 10.403 87,437 72.575 44.06 66.74 88.86
7.501 - 8.000 431 42,249,782.38 7.22 10.532 98,027 74.077 30.96 68.35 93.31
8.001 - 8.500 40 3,258,279.60 0.56 12.981 81,457 66.585 55.63 47.63 97.11
8.501 - 9.000 17 1,342,727.43 0.23 12.713 78,984 69.277 34.52 44.19 96.23
9.001 - 9.500 1 157,016.10 0.03 9.5 157,016 85 0 100 100
9.501 - 10.000 1 54,878.21 0.01 8.99 54,878 28.25 100 100 100
10.001 - 10.500 1 259,653.50 0.04 13.25 259,654 65 100 0 100
10.501 - 11.000 1 126,885.86 0.02 13.35 126,886 62 100 0 100
11.001 - 11.500 1 195,897.73 0.03 14.25 195,898 61.25 100 0 100
- ------------------------------ -----------------------------------------------------------------------------------------------------
Total: 5,672 585,051,643.37 100 10.053 103,147 74.926 43.78 60.64 92.36
- ------------------------------ -----------------------------------------------------------------------------------------------------
Min: 4.000
Max: 11.250
Weighted Average: 5.870
- ------------------------------ -----------------------------------------------------------------------------------------------------
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
<TABLE>
<CAPTION>
- ------------------------------ -----------------------------------------------------------------------------------------------------
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Distribution of Mortgage Principal Principal Average Current Original Cashout Full Owner
Maximum Mortgage Rates Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
- ------------------------------ -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
10.001 - 10.500 3 387,598.82 0.07 11.088 129,200 81.292 25.84 76.77 100
10.501 - 11.000 2 252,574.58 0.04 11.063 126,287 80 0 100 100
11.001 - 11.500 1 123,422.90 0.02 8.125 123,423 75 0 100 100
11.501 - 12.000 1 77,506.67 0.01 10.5 77,507 80 0 100 100
13.001 - 13.500 25 3,612,725.23 0.62 7.424 144,509 64.961 70.08 67.58 94.38
13.501 - 14.000 54 7,348,050.83 1.26 7.819 136,075 67.653 61.03 54.93 98.11
14.001 - 14.500 191 24,403,519.76 4.17 8.32 127,767 70.304 53.18 62.73 95.73
14.501 - 15.000 360 47,021,207.02 8.04 8.777 130,614 73.699 50.25 65.12 96.01
15.001 - 15.500 524 61,560,213.22 10.52 9.132 117,481 75.218 44.52 65.29 95.23
15.501 - 16.000 939 112,497,812.82 19.23 9.562 119,806 76.22 45.9 62.75 93.99
16.001 - 16.500 802 87,303,784.21 14.92 9.963 108,858 76.414 40.22 59.08 90.88
16.501 - 17.000 873 88,839,547.86 15.18 10.352 101,764 76.391 37.03 57.17 93.17
17.001 - 17.500 584 54,562,646.67 9.33 10.783 93,429 76.447 39.49 57.15 87.07
17.501 - 18.000 496 40,178,355.14 6.87 11.1 81,005 75.866 43.12 53.15 89.23
18.001 - 18.500 245 19,378,396.51 3.31 11.606 79,095 73.192 45.37 58.7 86.45
18.501 - 19.000 176 12,126,692.14 2.07 12.025 68,902 70.313 44.86 56.48 88.76
19.001 - 19.500 123 7,442,216.06 1.27 12.459 60,506 67.223 48.73 61.14 84.29
19.501 - 20.000 81 5,244,635.06 0.9 12.899 64,749 64.955 64.68 62 93.58
20.001 - 20.500 62 4,206,327.55 0.72 13.435 67,844 65.334 52.35 47.9 84.28
20.501 - 21.000 29 1,599,784.91 0.27 13.838 55,165 67.933 33.8 91.29 93.34
21.001 - 21.500 34 2,700,070.82 0.46 14.336 79,414 69.313 32.6 90.92 100
21.501 - 22.000 41 2,620,895.08 0.45 14.707 63,924 69.255 46.43 92.02 96.69
22.001 - 22.500 20 1,181,058.62 0.2 15.167 59,053 69.769 26.93 100 100
22.501 - 23.000 4 183,142.08 0.03 15.811 45,786 70.542 35.05 100 100
23.001 - 23.500 1 115,474.96 0.02 16.25 115,475 70 0 100 100
23.501 - 24.000 1 83,983.85 0.01 16.755 83,984 69.99 0 100 100
- ------------------------------ -----------------------------------------------------------------------------------------------------
Total: 5,672 585,051,643.37 100 10.053 103,147 74.926 43.78 60.64 92.36
- ------------------------------ -----------------------------------------------------------------------------------------------------
Min: 10.250
Max: 23.755
Weighted Average: 16.410
- ------------------------------ -----------------------------------------------------------------------------------------------------
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
<TABLE>
<CAPTION>
- ------------------------------ -----------------------------------------------------------------------------------------------------
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Distribution of Mortgage Principal Principal Average Current Original Cashout Full Owner
Periodic Rate Caps Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
- ------------------------------ -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 4,924 497,560,694.64 85.05 10.144 101,048 74.77 46.27 59.37 91.85
1.5 690 79,888,649.67 13.65 9.529 115,781 75.444 31.58 67.15 94.77
2 2 239,624.27 0.04 9.719 119,812 76.879 62.42 62.42 100
3 56 7,362,674.79 1.26 9.594 131,476 79.783 7.17 75.88 100
- ------------------------------ -----------------------------------------------------------------------------------------------------
Total: 5,672 585,051,643.37 100 10.053 103,147 74.926 43.78 60.64 92.36
- ------------------------------ -----------------------------------------------------------------------------------------------------
Min: 1.000
Max: 3.000
Weighted Average: 1.094
- ------------------------------ -----------------------------------------------------------------------------------------------------
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
<TABLE>
<CAPTION>
- ------------------------------ -----------------------------------------------------------------------------------------------------
Number of Aggregate Aggregate Weighted Average Average Percent Percent Percent
Distribution of Mortgage Mortgage Principal Principal Average Current Original Cashout Full Owner
Next Rate Change Date Loans Balance Balance Coupon Balance CLTV Refi Doc Occupied
- ------------------------------ -----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1997-09 2 128,603.40 0.02 10.524 64,302 83.907 40.62 100 100
1997-10 165 19,633,095.24 3.36 9.363 118,988 75.174 49.12 50.33 90.81
1997-11 192 22,879,192.20 3.91 9.666 119,162 76.702 38.09 48.74 91.54
1997-12 172 21,267,717.30 3.64 9.428 123,650 78.967 42.26 62.02 92.29
1998-01 130 13,055,711.11 2.23 10.1 100,429 73.21 36.1 66.67 86.05
1998-02 127 13,400,869.92 2.29 10.17 105,519 74.395 39.24 60.33 91.65
1998-03 42 4,600,952.87 0.79 9.865 109,546 70.058 38.5 36.04 86.85
1998-06 1 90,049.53 0.02 9.75 90,050 80 0 0 100
1998-11 1 203,931.68 0.03 10.75 203,932 80 100 100 100
1998-12 6 811,268.83 0.14 9.912 135,211 79.945 10.86 66.83 100
1999-01 10 1,152,538.86 0.2 10.499 115,254 75.393 70.38 52.28 100
1999-02 21 2,098,423.05 0.36 10.658 99,925 75.728 62.23 75.44 91.09
1999-03 73 8,118,396.21 1.39 10.377 111,211 75.345 59 52.27 97.77
1999-04 742 77,781,296.00 13.29 9.885 104,827 74.355 46.26 56.52 92.5
1999-05 1,120 112,096,926.15 19.16 10.001 100,087 75.023 45.64 61.52 94.12
1999-06 1,022 108,426,360.51 18.53 10.12 106,092 75.292 41 62.52 91.69
1999-07 1,028 103,249,819.41 17.65 10.116 100,438 74.76 43.12 64.4 92.29
1999-08 446 38,997,471.15 6.67 10.948 87,438 73.946 44.4 63.44 92.64
1999-09 42 4,499,833.00 0.77 10.672 107,139 74.712 36.63 71.08 95.16
1999-10 2 238,011.75 0.04 11.467 119,006 79.38 100 31.02 100
1999-11 5 643,338.65 0.11 11.157 128,668 76.247 39.08 36.39 100
1999-12 6 390,370.22 0.07 10.437 65,062 73.202 20.17 74.62 87.39
2000-01 3 269,759.28 0.05 10.222 89,920 73.209 40.94 14.78 100
2000-02 3 182,011.76 0.03 11.1 60,671 68.823 72.62 27.38 100
2000-03 10 728,424.33 0.12 10.755 72,842 72.205 67.49 75.13 84.31
2000-04 52 3,742,151.14 0.64 10.607 71,964 71.052 57.27 63.05 90.94
2000-05 54 5,421,844.03 0.93 10.039 100,405 73.568 41.76 53.93 87.22
2000-06 40 3,363,782.53 0.57 10.293 84,095 70.186 44.11 61.73 88.34
2000-07 125 15,245,584.82 2.61 9.417 121,965 75.067 40.59 66.08 93.95
2000-08 24 1,969,768.45 0.34 10.996 82,074 72.773 53.57 40.37 77.56
2000-09 5 336,965.00 0.06 11.311 67,393 76.828 73.79 56.08 100
2011-05 1 27,174.99 0 13.05 27,175 73.08 0 0 100
- ------------------------------ -----------------------------------------------------------------------------------------------------
Total: 5,672 585,051,643.37 100 10.053 103,147 74.926 43.78 60.64 92.36
- ------------------------------ -----------------------------------------------------------------------------------------------------
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
Fixed Rate Average Life Sensitivities
-------------------------------------
(To Maturity)
<TABLE>
<CAPTION>
0 PPC 25 PPC 50 PPC 75 PPC 100 PPC 125 PPC 150 PPC 200 PPC
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-1 @ Price 100/00
Yield 6.7265 6.4325 6.2226 6.0614 5.9258 5.8019 5.6887 5.4776
Average Life 5.01 1.19 0.77 0.61 0.51 0.45 0.41 0.34
First Prin 10/25/97 10/25/97 10/25/97 10/25/97 10/25/97 10/25/97 10/25/97 10/25/97
Last Prin 6/25/07 12/25/99 1/25/99 9/25/98 7/25/98 6/25/98 5/25/98 3/25/98
Payment Window 117 27 16 12 10 9 8 6
Mod Duration 3.94 1.1 0.73 0.58 0.49 0.43 0.39 0.33
Class A-2 @ Price 100/00
Yield 6.6039 6.514 6.4215 6.3394 6.266 6.2008 6.1418 6.0378
Average Life 13.01 3.58 2.06 1.49 1.2 1.02 0.9 0.74
First Prin 6/25/07 12/25/99 1/25/99 9/25/98 7/25/98 6/25/98 5/25/98 3/25/98
Last Prin 6/25/12 9/25/02 6/25/00 9/25/99 4/25/99 12/25/98 10/25/98 8/25/98
Payment Window 61 34 18 13 10 7 6 6
Mod Duration 8.49 3.09 1.87 1.38 1.12 0.96 0.85 0.71
Class A-3 @ Price 100/00
Yield 6.6167 6.5808 6.5269 6.4749 6.4259 6.379 6.3339 6.2498
Average Life 17.07 7.09 3.81 2.64 2.05 1.69 1.44 1.14
First Prin 6/25/12 9/25/02 6/25/00 9/25/99 4/25/99 12/25/98 10/25/98 8/25/98
Last Prin 10/25/17 4/25/07 8/25/02 1/25/01 4/25/00 10/25/99 6/25/99 1/25/99
Payment Window 65 56 27 17 13 11 9 6
Mod Duration 9.97 5.48 3.27 2.36 1.86 1.55 1.34 1.07
Class A-4 @ Price 100/00
Yield 6.7444 6.7274 6.6909 6.6534 6.6155 6.5792 6.5438 6.4742
Average Life 22.2 11.73 5.98 4 3 2.42 2.04 1.56
First Prin 10/25/17 4/25/07 8/25/02 1/25/01 4/25/00 10/25/99 6/25/99 1/25/99
Last Prin 11/25/21 11/25/11 4/25/05 7/25/02 3/25/01 6/25/00 1/25/00 6/25/99
Payment Window 50 56 33 19 12 9 8 6
Mod Duration 11.26 7.89 4.79 3.41 2.64 2.18 1.85 1.44
Class A-5 @ Price 100/00
Yield 6.9043 6.8933 6.8736 6.8404 6.8093 6.7721 6.7382 6.6761
Average Life 25 14.97 9.02 5.46 4 3.03 2.49 1.87
First Prin 11/25/21 11/25/11 4/25/05 7/25/02 3/25/01 6/25/00 1/25/00 6/25/99
Last Prin 6/25/23 10/25/13 1/25/08 11/25/03 2/25/02 2/25/01 5/25/00 9/25/99
Payment Window 20 24 34 17 12 9 5 4
Mod Duration 11.67 9.11 6.53 4.42 3.4 2.66 2.22 1.71
Class A-6 @ Price 100/00
Yield 7.0223 7.0151 7.0023 6.9783 6.9496 6.9216 6.876 6.8189
Average Life 26.45 17.88 11.75 7.31 5.05 3.89 2.83 2.11
First Prin 6/25/23 10/25/13 1/25/08 11/25/03 2/25/02 2/25/01 5/25/00 9/25/99
Last Prin 10/25/24 5/25/17 11/25/10 7/25/06 5/25/03 1/25/02 9/25/00 12/25/99
Payment Window 17 44 35 33 16 12 5 4
Mod Duration 11.78 9.95 7.79 5.56 4.13 3.31 2.49 1.91
Class A-7 @ Price 100/00
Yield 7.176 7.1722 7.1628 7.1504 7.1279 7.1007 7.0723 6.9947
Average Life 27.71 21.81 14.73 10.55 7.05 5.02 3.88 2.39
First Prin 10/25/24 5/25/17 11/25/10 7/25/06 5/25/03 1/25/02 9/25/00 12/25/99
Last Prin 1/25/26 8/25/21 4/25/14 2/25/10 11/25/06 8/25/03 3/25/02 3/25/00
Payment Window 16 52 42 44 43 20 19 4
Mod Duration 11.79 10.78 8.87 7.2 5.36 4.1 3.29 2.14
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
<TABLE>
<CAPTION>
0 PPC 25 PPC 50 PPC 75 PPC 100 PPC 125 PPC 150 PPC 200 PPC
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-8 @ Price 100/00
Yield 7.442 7.4409 7.437 7.4308 7.4228 7.4106 7.3913 7.2839
Average Life 29.02 26.79 21.61 16.64 13 9.92 7.25 2.8
First Prin 1/25/26 8/25/21 4/25/14 2/25/10 11/25/06 8/25/03 3/25/02 3/25/00
Last Prin 5/25/27 2/25/27 3/25/26 2/25/23 8/25/18 9/25/14 2/25/12 9/25/00
Payment Window 17 67 144 157 142 134 120 7
Mod Duration 11.65 11.36 10.43 9.2 8.01 6.68 5.29 2.45
Class A-9 @ Price 100/00
Yield 6.9903 6.9751 6.9677 6.9619 6.9577 6.9552 6.9543 6.95
Average Life 13.5 9.36 8.12 7.34 6.86 6.6 6.51 6.13
First Prin 10/25/00 10/25/00 10/25/00 10/25/00 10/25/00 12/25/00 3/25/01 9/25/00
Last Prin 3/25/27 12/25/26 1/25/26 12/25/22 6/25/18 7/25/14 11/25/11 2/25/08
Payment Window 318 315 304 267 213 164 129 90
Mod Duration 8.26 6.5 5.89 5.48 5.22 5.08 5.03 4.8
Class M-1F @ Price 100/00
Yield 7.2566 7.2492 7.2375 7.2234 7.208 7.1924 7.1798 7.1696
Average Life 25.9 18.57 12.98 9.48 7.29 5.91 5.08 4.51
First Prin 6/25/18 5/25/08 12/25/03 1/25/02 1/25/01 11/25/00 1/25/01 5/25/01
Last Prin 3/25/27 7/25/26 2/25/24 2/25/19 7/25/14 8/25/11 3/25/09 1/25/06
Payment Window 106 219 243 206 163 130 99 57
Mod Duration 11.41 9.71 7.84 6.37 5.29 4.51 4.03 3.71
Class M-2F @ Price 100/00
Yield 7.476 7.4685 7.4564 7.4417 7.4257 7.4092 7.3949 7.3768
Average Life 25.89 18.54 12.9 9.37 7.22 5.83 4.97 4.15
First Prin 6/25/18 5/25/08 12/25/03 1/25/02 1/25/01 10/25/00 11/25/00 1/25/01
Last Prin 2/25/27 3/25/26 10/25/22 5/25/17 12/25/12 5/25/10 3/25/08 4/25/05
Payment Window 105 215 227 185 144 116 89 52
Mod Duration 11.18 9.54 7.73 6.28 5.22 4.44 3.94 3.44
Class B-1F @ Price 100/00
Yield 7.8336 7.8257 7.8125 7.7966 7.7793 7.7611 7.7449 7.721
Average Life 25.85 18.37 12.54 9.07 6.98 5.61 4.76 3.87
First Prin 6/25/18 5/25/08 12/25/03 1/25/02 1/25/01 10/25/00 10/25/00 11/25/00
Last Prin 11/25/26 4/25/25 6/25/20 10/25/14 5/25/11 9/25/08 10/25/06 3/25/04
Payment Window 102 204 199 154 125 96 73 41
Mod Duration 10.82 9.27 7.5 6.09 5.06 4.29 3.78 3.22
Class B-2F @ Price 100/00
Yield 9.3546 9.3441 9.3262 9.3042 9.2798 9.2548 9.2324 9.1996
Average Life 25.42 16.93 11.14 7.96 6.06 4.87 4.14 3.39
First Prin 6/25/18 5/25/08 12/25/03 1/25/02 1/25/01 10/25/00 10/25/00 10/25/00
Last Prin 1/25/26 9/25/21 6/25/14 4/25/10 5/25/07 6/25/05 1/25/04 4/25/02
Payment Window 92 161 127 100 77 57 40 19
Mod Duration 9.45 8.14 6.58 5.32 4.4 3.73 3.28 2.79
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
Fixed Rate Average Life Sensitivities
-------------------------------------
(To Call)
<TABLE>
<CAPTION>
0 PPC 25 PPC 50 PPC 75 PPC 100 PPC 125 PPC 150 PPC 200 PPC
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-1 @ Price 100/00
Yield 6.7265 6.4325 6.2226 6.0614 5.9258 5.8019 5.6887 5.4776
Average Life 5.01 1.19 0.77 0.61 0.51 0.45 0.41 0.34
First Prin 10/25/97 10/25/97 10/25/97 10/25/97 10/25/97 10/25/97 10/25/97 10/25/97
Last Prin 6/25/07 12/25/99 1/25/99 9/25/98 7/25/98 6/25/98 5/25/98 3/25/98
Payment Window 117 27 16 12 10 9 8 6
Mod Duration 3.94 1.1 0.73 0.58 0.49 0.43 0.39 0.33
Class A-2 @ Price 100/00
Yield 6.6039 6.514 6.4215 6.3394 6.266 6.2008 6.1418 6.0378
Average Life 13.01 3.58 2.06 1.49 1.2 1.02 0.9 0.74
First Prin 6/25/07 12/25/99 1/25/99 9/25/98 7/25/98 6/25/98 5/25/98 3/25/98
Last Prin 6/25/12 9/25/02 6/25/00 9/25/99 4/25/99 12/25/98 10/25/98 8/25/98
Payment Window 61 34 18 13 10 7 6 6
Mod Duration 8.49 3.09 1.87 1.38 1.12 0.96 0.85 0.71
Class A-3 @ Price 100/00
Yield 6.6167 6.5808 6.5269 6.4749 6.4259 6.379 6.3339 6.2498
Average Life 17.07 7.09 3.81 2.64 2.05 1.69 1.44 1.14
First Prin 6/25/12 9/25/02 6/25/00 9/25/99 4/25/99 12/25/98 10/25/98 8/25/98
Last Prin 10/25/17 4/25/07 8/25/02 1/25/01 4/25/00 10/25/99 6/25/99 1/25/99
Payment Window 65 56 27 17 13 11 9 6
Mod Duration 9.97 5.48 3.27 2.36 1.86 1.55 1.34 1.07
Class A-4 @ Price 100/00
Yield 6.7444 6.7274 6.6909 6.6534 6.6155 6.5792 6.5438 6.4742
Average Life 22.2 11.73 5.98 4 3 2.42 2.04 1.56
First Prin 10/25/17 4/25/07 8/25/02 1/25/01 4/25/00 10/25/99 6/25/99 1/25/99
Last Prin 11/25/21 11/25/11 4/25/05 7/25/02 3/25/01 6/25/00 1/25/00 6/25/99
Payment Window 50 56 33 19 12 9 8 6
Mod Duration 11.26 7.89 4.79 3.41 2.64 2.18 1.85 1.44
Class A-5 @ Price 100/00
Yield 6.9043 6.8933 6.8736 6.8404 6.8093 6.7721 6.7382 6.6761
Average Life 25 14.97 9.02 5.46 4 3.03 2.49 1.87
First Prin 11/25/21 11/25/11 4/25/05 7/25/02 3/25/01 6/25/00 1/25/00 6/25/99
Last Prin 6/25/23 10/25/13 1/25/08 11/25/03 2/25/02 2/25/01 5/25/00 9/25/99
Payment Window 20 24 34 17 12 9 5 4
Mod Duration 11.67 9.11 6.53 4.42 3.4 2.66 2.22 1.71
Class A-6 @ Price 100/00
Yield 7.0223 7.0151 7.0023 6.9783 6.9496 6.9216 6.876 6.8189
Average Life 26.45 17.88 11.75 7.31 5.05 3.89 2.83 2.11
First Prin 6/25/23 10/25/13 1/25/08 11/25/03 2/25/02 2/25/01 5/25/00 9/25/99
Last Prin 10/25/24 5/25/17 11/25/10 7/25/06 5/25/03 1/25/02 9/25/00 12/25/99
Payment Window 17 44 35 33 16 12 5 4
Mod Duration 11.78 9.95 7.79 5.56 4.13 3.31 2.49 1.91
Class A-7 @ Price 100/00
Yield 7.176 7.1722 7.1628 7.1504 7.1279 7.1007 7.0723 6.9947
Average Life 27.71 21.81 14.73 10.55 7.05 5.02 3.88 2.39
First Prin 10/25/24 5/25/17 11/25/10 7/25/06 5/25/03 1/25/02 9/25/00 12/25/99
Last Prin 1/25/26 8/25/21 4/25/14 2/25/10 11/25/06 8/25/03 3/25/02 3/25/00
Payment Window 16 52 42 44 43 20 19 4
Mod Duration 11.79 10.78 8.87 7.2 5.36 4.1 3.29 2.14
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
<TABLE>
<CAPTION>
0 PPC 25 PPC 50 PPC 75 PPC 100 PPC 125 PPC 150 PPC 200 PPC
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-8 @ Price 100/00
Yield 7.4417 7.4394 7.432 7.423 7.4117 7.3955 7.376 7.2839
Average Life 28.36 24.26 17.01 12.76 9.81 7.42 5.76 2.8
First Prin 1/25/26 8/25/21 4/25/14 2/25/10 11/25/06 8/25/03 3/25/02 3/25/00
Last Prin 1/25/26 12/25/21 9/25/14 6/25/10 7/25/07 7/25/05 3/25/04 9/25/00
Payment Window 1 5 6 5 9 24 25 7
Mod Duration 11.58 10.99 9.42 8.03 6.78 5.54 4.54 2.45
Class A-9 @ Price 100/00
Yield 6.9903 6.9751 6.9676 6.9617 6.957 6.9529 6.9464 6.9266
Average Life 13.5 9.35 8.11 7.31 6.78 6.36 5.81 4.66
First Prin 10/25/00 10/25/00 10/25/00 10/25/00 10/25/00 12/25/00 3/25/01 9/25/00
Last Prin 1/25/26 12/25/21 9/25/14 6/25/10 7/25/07 7/25/05 3/25/04 5/25/02
Payment Window 304 255 168 117 82 56 37 21
Mod Duration 8.26 6.5 5.88 5.47 5.18 4.95 4.63 3.86
Class M-1F @ Price 100/00
Yield 7.2565 7.2488 7.2357 7.2203 7.2032 7.1858 7.1722 7.1618
Average Life 25.76 18.03 12.01 8.69 6.65 5.35 4.63 4.18
First Prin 6/25/18 5/25/08 12/25/03 1/25/02 1/25/01 11/25/00 1/25/01 5/25/01
Last Prin 1/25/26 12/25/21 9/25/14 6/25/10 7/25/07 7/25/05 3/25/04 5/25/02
Payment Window 92 164 130 102 79 57 39 13
Mod Duration 11.39 9.62 7.62 6.12 5.02 4.24 3.79 3.5
Class M-2F @ Price 100/00
Yield 7.476 7.4681 7.4547 7.4388 7.4212 7.403 7.3877 7.3686
Average Life 25.76 18.03 12.01 8.69 6.65 5.35 4.57 3.86
First Prin 6/25/18 5/25/08 12/25/03 1/25/02 1/25/01 10/25/00 11/25/00 1/25/01
Last Prin 1/25/26 12/25/21 9/25/14 6/25/10 7/25/07 7/25/05 3/25/04 5/25/02
Payment Window 92 164 130 102 79 58 41 17
Mod Duration 11.16 9.47 7.53 6.06 4.98 4.21 3.72 3.25
Class B-1F @ Price 100/00
Yield 7.8336 7.8254 7.8114 7.7949 7.7764 7.7573 7.7404 7.7156
Average Life 25.76 18.03 12.01 8.69 6.65 5.34 4.54 3.71
First Prin 6/25/18 5/25/08 12/25/03 1/25/02 1/25/01 10/25/00 10/25/00 11/25/00
Last Prin 1/25/26 12/25/21 9/25/14 6/25/10 7/25/07 7/25/05 3/25/04 5/25/02
Payment Window 92 164 130 102 79 58 42 19
Mod Duration 10.81 9.23 7.38 5.97 4.92 4.16 3.66 3.11
Class B-2F @ Price 100/00
Yield 9.3546 9.3441 9.3262 9.3042 9.2798 9.2548 9.2324 9.1996
Average Life 25.42 16.93 11.14 7.96 6.06 4.87 4.14 3.39
First Prin 6/25/18 5/25/08 12/25/03 1/25/02 1/25/01 10/25/00 10/25/00 10/25/00
Last Prin 1/25/26 9/25/21 6/25/14 4/25/10 5/25/07 6/25/05 1/25/04 4/25/02
Payment Window 92 161 127 100 77 57 40 19
Mod Duration 9.45 8.14 6.58 5.32 4.4 3.73 3.28 2.79
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
Floating Rate Average Life Sensitivities
----------------------------------------
(To Maturity)
<TABLE>
<CAPTION>
0 CPR 10 CPR 15 CPR 20 CPR 25 CPR 30 CPR 35 CPR 40 CPR
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-10 @ Price 100/00
Yield 5.9178 5.9215 5.9247 5.9266 5.9279 5.9295 5.9307 5.9174
Average Life 20.12 6.61 4.62 3.47 2.71 2.14 1.67 1.18
First Prin 10/25/97 10/25/97 10/25/97 10/25/97 10/25/97 10/25/97 10/25/97 10/25/97
Last Prin 6/25/27 2/25/26 10/25/22 1/25/18 1/25/14 2/25/11 11/25/08 9/25/00
Payment Window 357 341 301 244 196 161 134 36
Accrual Factor 0 0 0 0 0 0 0 0
Mod Duration 11 4.69 3.54 2.81 2.28 1.86 1.49 1.11
Class M-1A @ Price 100/00
Yield 6.0716 6.0763 6.0798 6.0818 6.0829 6.0832 6.082 6.1129
Average Life 27.26 13.66 9.63 7.22 5.82 5.15 5.06 6.05
First Prin 10/25/21 12/25/03 11/25/01 10/25/00 1/25/01 4/25/01 8/25/01 9/25/00
Last Prin 5/25/27 7/25/24 8/25/19 11/25/14 5/25/11 11/25/08 12/25/06 3/25/07
Payment Window 68 248 214 170 125 92 65 79
Accrual Factor 0 0 0 0 0 0 0 0
Mod Duration 13.14 8.76 6.87 5.54 4.69 4.29 4.27 4.96
Class M-2A @ Price 100/00
Yield 6.2871 6.2938 6.2985 6.3011 6.3026 6.3036 6.3026 6.3018
Average Life 27.25 13.55 9.49 7.1 5.67 4.86 4.44 4.32
First Prin 10/25/21 12/25/03 11/25/01 10/25/00 11/25/00 12/25/00 2/25/01 4/25/01
Last Prin 4/25/27 3/25/23 8/25/17 1/25/13 10/25/09 7/25/07 12/25/05 9/25/04
Payment Window 67 232 190 148 108 80 59 42
Accrual Factor 0 0 0 0 0 0 0 0
Mod Duration 12.85 8.61 6.75 5.44 4.57 4.06 3.78 3.71
Class B-1A @ Price 100/00
Yield 6.6978 6.7028 6.7061 6.7079 6.7088 6.7101 6.7093 6.7095
Average Life 27.19 13.02 9 6.7 5.33 4.52 4.03 3.75
First Prin 10/25/21 12/25/03 11/25/01 10/25/00 10/25/00 10/25/00 11/25/00 11/25/00
Last Prin 1/25/27 8/25/20 9/25/14 8/25/10 11/25/07 12/25/05 8/25/04 7/25/03
Payment Window 64 201 155 119 86 63 46 33
Accrual Factor 0 0 0 0 0 0 0 0
Mod Duration 12.32 8.26 6.44 5.17 4.32 3.79 3.45 3.26
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
Floating Rate Average Life Sensitivities
----------------------------------------
(To Call)
<TABLE>
<CAPTION>
0 CPR 10 CPR 15 CPR 20 CPR 25 CPR 30 CPR 35 CPR 40 CPR
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-10 @ Price 100/00
Yield 5.9177 5.9176 5.9176 5.9176 5.9175 5.9175 5.9174 5.9174
Average Life 20.09 6.27 4.28 3.19 2.49 1.95 1.51 1.18
First Prin 10/25/97 10/25/97 10/25/97 10/25/97 10/25/97 10/25/97 10/25/97 10/25/97
Last Prin 7/25/26 3/25/16 9/25/10 6/25/07 5/25/05 11/25/03 11/25/02 9/25/00
Payment Window 346 222 156 117 92 74 62 36
Mod Duration 10.99 4.59 3.41 2.68 2.16 1.74 1.39 1.11
Class M-1A @ Price 100/00
Yield 6.0714 6.0714 6.0714 6.0713 6.0713 6.0713 6.0713 6.0713
Average Life 27.16 12.74 8.75 6.52 5.25 4.68 4.67 4.35
First Prin 10/25/21 12/25/03 11/25/01 10/25/00 1/25/01 4/25/01 8/25/01 9/25/00
Last Prin 7/25/26 3/25/16 9/25/10 6/25/07 5/25/05 11/25/03 11/25/02 1/25/02
Payment Window 58 148 107 81 53 32 16 17
Mod Duration 13.12 8.51 6.53 5.2 4.38 4 4.01 3.78
Class M-2A @ Price 100/00
Yield 6.2868 6.2867 6.2867 6.2867 6.2867 6.2867 6.2867 6.2867
Average Life 27.16 12.74 8.75 6.52 5.2 4.47 4.12 4.03
First Prin 10/25/21 12/25/03 11/25/01 10/25/00 11/25/00 12/25/00 2/25/01 4/25/01
Last Prin 7/25/26 3/25/16 9/25/10 6/25/07 5/25/05 11/25/03 11/25/02 1/25/02
Payment Window 58 148 107 81 55 36 22 10
Mod Duration 12.84 8.39 6.47 5.16 4.31 3.81 3.57 3.51
Class B-1A @ Price 100/00
Yield 6.6975 6.6975 6.6975 6.6975 6.6974 6.6974 6.6974 6.6974
Average Life 27.15 12.68 8.7 6.47 5.15 4.36 3.9 3.64
First Prin 10/25/21 12/25/03 11/25/01 10/25/00 10/25/00 10/25/00 11/25/00 11/25/00
Last Prin 7/25/26 3/25/16 9/25/10 6/25/07 5/25/05 11/25/03 11/25/02 1/25/02
Payment Window 58 148 107 81 56 38 25 15
Mod Duration 12.32 8.17 6.32 5.06 4.22 3.69 3.37 3.18
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
