<PAGE>
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) February 24, 2000
ACCREDITED HOME LENDERS, INC.
--------------------------------------------------------
(Exact name of registrant as specified in its charter)
California 333-07219 33-0426859
---------------------------- ------------- ---------------
(State or Other Jurisdiction (Commission File (I.R.S. Employer
Incorporation) Number) Identification No.)
Attention: General Counsel
15030 Avenue of Science, Suite 100
San Diego, CA 92128
-------------------------------------- -------------------
(Address of principal executive (Zip Code)
offices)
Registrant's Telephone Number,
including area code: (858) 676-2100
- --------------------------------------------------------------------------------
No Change
- --------------------------------------------------------------------------------
(Former name or former address, if changed since last report)
- --------------------------------------------------------------------------------
<PAGE>
Item 5. OTHER EVENTS
In connection with the offering of the Accredited Mortgage Loan Trust
2000-1, Asset-Backed Notes, Series 2000-1 described in a Prospectus Supplement
related to the offered notes, certain "Computational Materials" within the
meanings of the May 20, 1994 Kidder, Peabody No-Action Letter and the February
17, 1995 Public Securities Association No-Action Letter were furnished to
certain prospective investors (the "Related Computational Materials").
Item 7. FINANCIAL STATEMENTS, PRO FORMA FINANCIAL INFORMATION AND EXHIBITS.
(a) Not applicable
(b) Not applicable.
(c) EXHIBITS
EXHIBIT NO. DESCRIPTION
99.1. Related Computational Materials
(as defined in Item 5 above).
2
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.
ACCREDITED MORTGAGE LOAN TRUST 2000-1
By: Accredited Home Lenders, Inc.
By: /s/ Ray W. McKewon
---------------------------------
Name: Ray W. McKewon
Title: Executive Vice President
Dated: February 24, 2000
3
<PAGE>
EXHIBIT INDEX
EXHIBIT NO. DESCRIPTION
99.1. Related Computational Materials
(as defined in Item 5 above).
4
<PAGE>
LEHMAN BROTHERS ASSET-BACKED SECURITIES
[GRAPHIC INTERNAL MARKETING MEMO ACCREDITED HOME LENDERS]
- --------------------------------------------------------------------------------
$173,476,000 NOTES
ACCREDITED MORTGAGE LOAN TRUST 2000-1
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
ACCREDITED HOME LENDERS, INC.
(SPONSOR AND MASTER SERVICER)
ADVANTA MORTGAGE CORP. USA
(SUBSERVICER AND BACKUP SERVICER)
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION 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>
LEHMAN BROTHERS ASSET-BACKED SECURITIES 1
- --------------------------------------------------------------------------------
ACCREDITED MORTGAGE LOAN TRUST 2000-1
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------
TO MATURITY
- ---------------------------------------------------------------------------------------------------------------
Est. Est. Prin. Expected Stated Expected
Approx. Tsy. WAL/DUR Window Final Final Ratings
Class Size Group Type BMark (yrs) Maturity Maturity (Moody's/S&P)
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 53,047,000 I FXD UST 4.36/3.20 03/00 - 11/20 11/25/20 02/25/30 Aaa/AAA
A-2 120,429,000 II FLT 1 mo LI 3.57/2.88 03/00 - 03/18 03/25/18 02/25/30 Aaa/AAA
- ---------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------
TO 10% CALL(1)
- ---------------------------------------------------------------------------------------------------------------
Est. Est. Prin. Expected Stated Expected
Approx. Tsy. WAL/DUR Window Final Final Ratings
Class Size Group Type Bmark (yrs) Maturity Maturity (S&P/Moody's)
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 53,047,000 I FXD UST 3.87/3.01 03/00 - 09/08 09/25/08 02/25/30 Aaa/AAA
A-2 120,429,000 II FLT 1 mo LI 3.33/2.76 03/00 - 09/08 09/25/08 02/25/30 Aaa/AAA
- ---------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
- --------------------------------------------------------------------------------
PRICING SPEED
- --------------------------------------------------------------------------------
<S> <C>
Group I (Fixed Rate) 100% PPC(2)
Group II (Adjustable Rate) 125% PPC(2)
- --------------------------------------------------------------------------------
</TABLE>
(1)The average lives and principal re-payment window to call are calculated
assuming a combined clean up call is exercised.
The Sponsor may exercise its right to terminate either Class of Notes when
the aggregate outstanding principal balance of the respective Class of Notes
is equal to or less than 10% of the original aggregate principal balance of
such Class of Notes. In addition, the Sponsor may terminate the entire Trust
on any Payment Date when the combined aggregate outstanding principal balance
of the both classes of Notes is equal to or less than 10% of the original
aggregate principal balance of both classes of Notes.
(2)100% PPC assumes that prepayments start at 4% CPR in month one, increase by
approximately 1.45% each month to 20% CPR in month twelve, and remain at 20%
CPR thereafter.
- --------------------------------------------------------------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY , AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION 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>
LEHMAN BROTHERS ASSET-BACKED SECURITIES 2
- -------------------------------------------------------------------------------
SENSITIVITY ANALYSIS - TO MATURITY
- -------------------------------------------------------------------------------
<TABLE>
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Group I PPC 0.0% 75.0% 100.0% 150.0% 200.0% 250.0%
Group II PPC 0.0% 95.0% 125.0% 190.0% 250.0% 315.0%
CLASS A-1
Yield @ 100.00000 8.168 8.123 8.107 8.067 8.011 7.957
Average Life (yrs.) 18.41 5.61 4.36 2.96 2.22 1.75
Window 3/00 - 12/29 3/00 - 5/25 3/00 - 11/20 3/00 - 10/14 3/00 - 09/10 3/00 - 2/08
Expected Final Mat. 12/25/29 5/25/25 11/25/20 10/25/14 9/25/10 2/25/08
Duration (yrs.) 8.64 3.86 3.20 2.37 1.87 1.52
CLASS A-2
Average Life (yrs.) 21.75 4.66 3.57 2.34 1.75 1.35
Window 3/00 - 2/30 3/00 - 3/23 3/00 - 3/18 3/00 - 07/11 3/00 - 03/08 3/00 - 12/05
Expected Final Mat. 2/25/30 3/25/23 03/25/18 07/25/11 03/25/08 12/25/05
- ---------------------------------------------------------------------------------------------------------------
</TABLE>
- -------------------------------------------------------------------------------
SENSITIVITY ANALYSIS - TO 10% CALL
- -------------------------------------------------------------------------------
<TABLE>
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Group I PPC 0.0% 75.0% 100.0% 150.0% 200.0% 250.0%
Group II PPC 0.0% 95.0% 125.0% 190.0% 250.0% 315.0%
CLASS A-1
Yield @ 100.00000 8.168 8.087 8.056 7.990 7.924 7.853
Average Life (yrs.) 18.39 5.07 3.87 2.60 1.96 1.55
Window 3/00 - 1/29 3/00 - 7/11 3/00 - 9/08 3/00 - 8/05 3/00 - 2/04 3/00 - 2/03
Expected Final Mat. 1/25/29 7/25/11 9/25/08 8/25/05 2/25/04 2/25/03
Duration (yrs.) 8.63 3.68 3.01 2.18 1.70 1.38
CLASS A-2
Average Life (yrs.) 21.68 4.35 3.33 2.20 1.66 1.29
Window 3/00 - 1/29 3/00 - 7/11 3/00 - 9/08 3/00 - 8/05 3/00 - 2/04 3/00 - 2/03
Expected Final Mat. 1/25/29 7/25/11 9/25/08 8/25/05 2/25/04 2/25/03
- ---------------------------------------------------------------------------------------------------------------
</TABLE>
(1)The average lives and principal re-payment window to call are calculated
assuming a combined clean up call is exercised.
- --------------------------------------------------------------------------------
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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION 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>
LEHMAN BROTHERS ASSET-BACKED SECURITIES 3
- --------------------------------------------------------------------------------
AVAILABLE FUNDS CAP
- --------------------------------------------------------------------------------
The following table lists the monthly available funds cap for the Class A-2
Notes assuming 6 month LIBOR remains constant at 6.32%.
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------
AVAILABLE FUNDS CAP AVAILABLE FUNDS CAP
MONTH (%) MONTH (%)
----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
1 8.497* 41 10.544
2 8.586 42 11.163
3 8.285 43 11.302
4 8.587 44 11.041
5 8.286 45 11.435
6 8.587 46 11.041
7 8.588 47 11.435
8 8.287 48 11.435
9 8.588 49 10.648
10 8.287 50 11.435
11 8.588 51 11.042
12 8.589 52 11.435
13 7.685 53 11.042
14 8.589 54 11.435
15 8.287 55 11.435
16 8.589 56 11.042
17 8.287 57 11.435
18 8.589 58 11.042
19 8.589 59 11.435
20 8.287 60 11.435
21 8.589 61 10.256
22 8.287 62 11.435
23 8.589 63 11.042
24 8.972 64 11.435
25 8.297 65 11.042
26 9.501 66 11.435
27 9.170 67 11.435
28 9.501 68 11.042
29 9.170 69 11.435
30 9.830 70 11.042
31 10.079 71 11.435
32 9.923 72 11.435
33 10.279 73 10.256
34 9.924 74 11.435
35 10.280 75 11.042
36 10.583 76 11.435
37 9.641 77 11.042
38 10.920 78 11.435
39 10.543 79 11.435
40 10.920 80 11.042
----------------------------------------------------------------------------------------------
</TABLE>
* FOR MONTH ONE THE INTEREST HAS BEEN CALCULATED BASED ON A 30 DAY
INTEREST PERIOD IN ORDER TO NORMALIZE THE AVAILABLE FUNDS CAP.
- --------------------------------------------------------------------------------
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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION 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>
LEHMAN BROTHERS ASSET-BACKED SECURITIES 4
- -------------------------------------------------------------------------------
SUMMARY OF TERMS
- -------------------------------------------------------------------------------
<TABLE>
<S> <C>
ISSUER: Accredited Mortgage Loan Trust 2000-1.
SPONSOR AND MASTER SERVICER: Accredited Home Lenders, Inc.
INDENTURE TRUSTEE: Norwest Bank Minnesota, National Association.
OWNER TRUSTEE: Wilmington Trust Company.
NOTES OFFERED: $53,047,000 Class A-1 Notes and $120,429,000 Class A-2 Notes.
RATING AGENCIES: Moody's and S&P (Rated Aaa/AAA).
NOTE INSURER: Financial Security Assurance, Inc. ("FSA").
PMI PROVIDER: Mortgage Guaranty Insurance Corporation ("MGIC").
BACKUP SERVICER & SUBSERVICER: Advanta Mortgage Corp. USA.
UNDERWRITER: Lehman Brothers.
EXPECTED PRICING DATE: Week of February 21, 2000.
EXPECTED CLOSING DATE: On or about February 29, 2000.
PAYMENT DATES: 25th day of each month, or if such day is not a Business Day the next
succeeding Business Day (first Payment Date: March 27, 2000).
CUT-OFF DATE: Close of business on January 31, 2000 after giving effect to scheduled
payments of principal due on or prior to February 1, 2000.
DELAY DAYS: 24 days on the Class A-1 Notes and 0 days on the Class A-2 Notes.
FINAL PAYMENT DATE: The Payment Date in February 2030.
DAY COUNT: 30/360 on the Class A-1 Notes and actual/360 on the Class A-2 Notes.
SERVICING FEE: One-twelfth of the product of 0.47% per annum and the stated principal
balance of the Mortgage Loans at the beginning of the related Due Period.
BACKUP SERVICING FEE: One-twelfth of the product of 0.03% per annum and the stated principal
balance of the Mortgage Loans at the beginning of the related Due Period.
CLEARING: DTC, Euroclear or Clearstream, Luxembourg (formerly known as Cedel Bank).
DENOMINATION: Minimum $25,000; increments of $1,000.
SMMEA ELIGIBILITY: The Class A-1 Notes are NOT expected to be SMMEA eligible.
The Class A-2 Notes ARE expected to be SMMEA eligible.
- ---------------------------------------------------------------------------------------------------------------
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION 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>
LEHMAN BROTHERS ASSET-BACKED SECURITIES 5
- --------------------------------------------------------------------------------
SUMMARY OF TERMS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ERISA ELIGIBILITY: The Notes ARE expected to be ERISA eligible.
TAX STATUS: Debt for Federal income tax purposes.
PREPAYMENT SPEED: - Group 1 Mortgage Loans 100%
PPC, where 100% PPC assumes that
prepayments start at 4% CPR in month
one, increase by approximately 1.45%
each month to 20% CPR in month twelve,
and remain at 20% CPR thereafter.
- Group 2 Mortgage Loans 125% PPC, where
100% PPC assumes that prepayments start
at 4% CPR in month one, increase by
approximately 1.45% each month to 20%
CPR in month twelve, and remain at 20%
CPR thereafter.
CLEAN-UP CALL DATE AND - If the Sponsor does not elect to
STEP-UP MARGIN: exercise the Optional Termination Call
with respect to the Class A-1 Notes,
the Class A-1 Note Rate will increase
by 0.75%. If the Sponsor does not
elect to exercise the Optional
Termination Call with respect to the
Class A-2 Notes the Class A-2 Note
Rate will increase to twice the initial
margin.
- The Sponsor may exercise the Optional
Termination Call on the earlier to
occur: (i) the Payment Date upon which
the outstanding principal balance of
the Class A-1 Notes is equal to or less
than 10% of the original principal of
such Class of Notes; or (ii) the
Payment Date upon which the aggregate
outstanding principal balance of both
classes of Notes is equal to or less
than 10% of the aggregate original
principal balance of both classes of
Notes (the "Clean-Up Call Date").
- The Sponsor may exercise the Optional
Termination Call with respect to the
Class A-2 Notes on the earlier to
occur: (i) the Payment Date upon which
the outstanding principal balance of
the Class A-2 Notes is equal to or less
than 10% of the original principal of
such Class of Notes; or (ii) the
Payment Date upon which the aggregate
outstanding principal balance of both
classes of Notes is equal to or less
than 10% of the aggregate original
principal balance of both classes of
Notes (the "Clean-Up Call Date")..
INITIAL MORTGAGE LOAN POOL: - 1,305 loans with a Cut-off Date
Aggregate Principal Balance of
$131,135,258.20.
- Consists of two groups:
GROUP 1 consists of 521 loans with an
aggregate Cut-off Date Principal
Balance of $40,197,785.31 of fixed-rate
mortgage loans secured primarily by
first and second lien, level pay and
balloon mortgages on primarily 1 - 4
family properties.
GROUP 2 consists of 784 loans with an
aggregate Cut-off Date Principal
Balance of $90,937,472.89 of
adjustable-rate mortgage loans secured
by first liens, level pay and balloon
mortgages, on primarily 1 - 4 family
properties.
- ----------------------------------------------------------------------------------------------------------------
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION 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>
LEHMAN BROTHERS ASSET-BACKED SECURITIES 6
- -------------------------------------------------------------------------------
SUMMARY OF TERMS (CONTINUED)
- -------------------------------------------------------------------------------
<TABLE>
<S> <C>
PREFUNDING ACCOUNTS: - On the Closing Date, the Sponsor will
deposit approximately $43,664,741.80
into two segregated prefunding
accounts maintained with
the Indenture Trustee.
- The Trust will use this amount to buy
approximately $13,384,851.19 in
Subsequent Fixed-Rate Mortgage Loans
and approximately $30,279,890.61 in
Subsequent Adjustable-Rate Mortgage
Loans from the Sponsor prior to March
31, 2000.
- The sale of Subsequent Mortgage Loans
by the Sponsor to the Trust is subject
to certain conditions specified in the
Sale and Servicing Agreement.
- A CERTAIN PORTION OF MORTGAGE LOANS
WILL BE ADDED TO THE TRUST PRIOR TO
CLOSING. THERE WILL BE A CORRESPONDING
REDUCTION IN REQUIRED PREFUNDING
AMOUNTS WHEN THE PRINCIPAL BALANCE OF
LOANS DELIVERED PRIOR TO CLOSING HAS
BEEN DETERMINED.
CAPITALIZED INTEREST ACCOUNTS - On the Closing Date, the Sponsor will
deposit cash into two segregated
accounts, which will be part of the
Trust and will be maintained with the
Indenture Trustee.
- The amounts on deposit in the
Capitalized Interest Accounts will be
allocated to cover interest shortfalls
on the Class A-1 Notes and the Class
A-2 Notes that may arise as a result of
the utilization of the prefunding
feature of this transaction.
- Any amounts remaining in the
Capitalized Interest Accounts and not
needed to cover interest shortfalls
will be paid to the Sponsor and will
not be available for distribution to
the Noteholders.
PREPAYMENT PENALTY INCOME: - The prepayment penalties collected by
the Master Servicer in connection with
certain principal prepayments on the
Mortgage Loans will be available to
the deal for credit protection, i.e.,
will be considered part of available
funds.
- The Sponsor will represent that the
prepayment penalties are enforceable.
- --------------------------------------------------------------------------------
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION 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>
LEHMAN BROTHERS ASSET-BACKED SECURITIES 7
- -------------------------------------------------------------------------------
SUMMARY OF TERMS (CONTINUED)
- -------------------------------------------------------------------------------
<TABLE>
<S> <C>
PRIVATE MORTGAGE INSURANCE - Approximately 54.92% of the Group 1
("PMI"): and 64.93% of the Group 2 Initial
Mortgage Loans will have private
mortgage insurance ("PMI") coverage
provided by MGIC.
- MGIC will be paid out of collections
from the Mortgage Loans an annual
premium of 53.5 bps on the outstanding
balance of the PMI eligible loans in
exchange for assuming a portion of the
loss exposure associated with such
Mortgage Loans.
- MGIC's PMI policy (the "PMI Policy")
will cover Mortgage Loans, in each
group, having an original CLTV or LTV,
as applicable, of greater than 75% as
of origination of such Mortgage Loans.
- MGIC is rated Aa2, AA+ and AA+ by
Moody's, Standard and Poor's and Fitch,
respectively.
CREDIT ENHANCEMENT: - 100% FSA Note Insurance Policy.
- PMI Policy.
- Excess Interest (which includes
prepayment penalty fee income).
- Over-collateralization: The required
amount of over-collateralization for
the Group 1 Mortgage Loans and the
Group 2 Mortgage Loans is based on
certain minimum and maximum levels of
over-collateralization and on the
performance of the Mortgage Loans, for
each respective Group.
FIXED RATE*: ADJUSTABLE RATE*:
Initial: 1.00% Initial: 0.65%
Target: 4.00% Target: 4.00%
Floor: 0.50% Floor: 0.50%
- Limited Cross-collateralization:
Excess interest from one loan group
will be available, to a limited
extent, to fund interest shortfalls or
to cover losses in the other loan
group, but not to build
over-collateralization.
- ----------------------------------------------------------------------------------------------------------------
</TABLE>
*THE INITIAL OVER-COLLATERALIZATION AMOUNTS AND TARGET OVER-COLLATERALIZATION
AMOUNTS ARE SUBJECT TO FINAL PRICING LEVELS AND RATING AGENCY APPROVAL.
- --------------------------------------------------------------------------------
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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION 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>
LEHMAN BROTHERS ASSET-BACKED SECURITIES 8
- -------------------------------------------------------------------------------
SUMMARY OF TERMS (CONTINUED)
- -------------------------------------------------------------------------------
<TABLE>
<S> <C>
DELINQUENCY ADVANCES AND - Each month the Master Servicer will
COMPENSATING INTEREST: determine the amount of any unpaid
scheduled monthly payments due on the
Mortgage Loans. If the Master Servicer
believes that unpaid scheduled monthly
payments can be recovered from the
related Mortgage Loan, then the Master
Servicer will either advance the unpaid
scheduled payments to the Trust (each,
a "Delinquency Advance") out of its own
funds or out of collections on the
Mortgage Loans that are not required to
be distributed on the related Payment
Date.
- Such Delinquency Advances by the Master
Servicer are reimbursable to the Master
Servicer subject to certain conditions
and restrictions, and are intended to
provide sufficient funds for the
payment of scheduled interest and
principal to the holders of the Notes
in circumstances where no ultimate loss
is expected.
- Notwithstanding the Master Servicer's
good faith determination that a
Delinquency Advance was recoverable
when made, if such Delinquency Advance
becomes a nonrecoverable advance, the
master servicer will be entitled to
reimbursement therefor from the trust
estate.
- The Master Servicer will provide to the
Trust the amount of any interest
shortfall caused by a full prepayment
of any Mortgage Loan during the related
Prepayment Period generally up to the
amount of the Servicing Fee with
respect to the related Due Period
without any right of reimbursement. The
Master Servicer shall not be required
to pay Compensating Interest with
respect to any partial prepayments.
- Compensating Interest in excess of the
Servicing Fee will be covered by excess
interest, to the extent available, then
by the Note Insurance Policy. THE
NOTEHOLDERS' INTEREST ENTITLEMENT WILL
BE REDUCED BY COMPENSATING INTEREST NOT
COVERED FROM THE SOURCES INDICATED
ABOVE.
- ----------------------------------------------------------------------------------------------------------------
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION 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>
LEHMAN BROTHERS ASSET-BACKED SECURITIES 9
- -------------------------------------------------------------------------------
SUMMARY OF TERMS (CONTINUED)
- -------------------------------------------------------------------------------
<TABLE>
<S> <C>
SERVICING ADVANCES - Unless the Master Servicer determines
that any proposed advance is not
recoverable from the related Mortgage
Loan, the Master Servicer will be
required to pay all reasonable and
customary "out-of-pocket" costs and
expenses incurred in the performance
of its servicing obligations,
including, but not limited to:
- the preservation , restoration and
protection of the mortgaged
property,
- collection and enforcement
proceedings, including
foreclosures, collections and
liquidations,
- expenditures relating to the
purchase or maintenance of a first
lien not included in the trust
estate on the mortgaged property,
- conservation, management, and
liquidation of any REO Property,
and
- certain other customary amounts
described in the sale and
servicing agreement.
- The Master Servicer shall be entitled
to be reimbursed from future
collections by the Trust for Servicing
Advances only from the related mortgage
loan in respect of which the Servicing
Advance was made or to the extent that
such Servicing Advanced are deemed non
recoverable from the trust.
- Reimbursement of these advances is in
some cases senior to the payments to
Noteholders.
- ----------------------------------------------------------------------------------------------------------------
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION 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>
LEHMAN BROTHERS ASSET-BACKED SECURITIES 10
- --------------------------------------------------------------------------------
SUMMARY OF TERMS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
PAYMENT PRIORITY: On each Payment Date, the Indenture Trustee will make
payments in respect of each group of Mortgage Loans to the
holders of the related class of Notes and reimbursement to
the Note insurer under the insurance agreement, to the
extent of funds, including any Insured Payments, on deposit
in the related payment account, as follows:
a. the Indenture Trustee fee; the Owner Trustee fee; the
Note Insurer premium; the primary mortgage insurance
premium due, if any; the Backup Servicer fee, in each
case, with respect to the related class of Notes;
b. from amounts then on deposit in the related payment
account, the interest payment amount for the related
class of Notes;
c. from amounts then on deposit in the related payment
account, the base principal payment amount for the
related class of Notes;
d. from amounts then on deposit in the related payment
account, the allocable portion of the
over-collateralization deficit, if any, for the related
class of Notes;
e. from amounts then on deposit in the related payment
account, to the holders of the other class of Notes,
any shortfall in the amount of interest payment amount
for such group actually paid to the holders of the
related class of Notes, the amount of any
over-collateralization deficit for such group and such
Payment Date, and any shortfall in the payment of any
amounts owed to the Note insurer (excluding the
reimbursement amount) for such other class of Notes;
f. from amounts then on deposit in the related payment
account, excluding any Insured Payments, to the Note
Insurer the reimbursement amount as of such Payment
Date;
g. from amounts then on deposit in the related payment
account, the over-collateralization increase amount for
the related class of Notes;
h. from amounts then on deposit in the related payment
account, to the cross-collateralization reserve account
relating to the other class of Notes, the amounts
necessary for the balance of such account to equal the
applicable Specified Reserve Amount;
i. from amounts then on deposit in the related payment
account, with respect h to the Class A-2 Notes only, to
the holders of the Class A-2 Notes, the Class A-2
Available Funds Cap Carry-Forward Amount;
j. from amounts then on deposit in the payment account
related to the Class A-1 Notes or the Class A-2 Notes,
to the master servicer and the subservicer, any amount
due to either of them with respect to the Group I
Mortgage Loans and with respect to the Group 2 Mortgage
Loans, as applicable; and
k. from amounts then on deposit in the related payment
account, following the allocations, transfers and
disbursements described above, to the holders of the
trust certificates, the amount remaining on such
Payment Date in each payment account, if any.
- --------------------------------------------------------------------------------
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION 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>
LEHMAN BROTHERS ASSET-BACKED SECURITIES 11
- --------------------------------------------------------------------------------
SUMMARY OF TERMS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
CLASS A-1 NOTE INTEREST: - Interest accrues during the month
prior to the related Payment Date on a
30/360 basis at the Class A-1 Note
Rate.
- The CLASS A-1 NOTE RATE will be equal
to the rate established at pricing,
provided that, on any Payment Date
after the related Clean-Up Call Date,
the Class A-1 Note Rate will be
increased by 0.75%.
- THE INTEREST PAYMENT AMOUNT for any
Payment Date will be an amount equal to
the current interest for the Class A-1
Notes, reduced by any interest
shortfalls on the Group 1 Mortgage
Loans relating to the Soldiers' and
Sailors' Civil Relief Act of 1940, and
further reduced by any Compensating
Interest not covered by either the
related Servicing Fee, excess interest,
or the Note Insurance Policy, plus the
Class A-1 Carry-Forward Amount, less
any amount paid by the Note Insurer in
respect of such Class A-1 Carry-Forward
Amount, in each case, as of such
Payment Date.
CLASS A-1 CARRY-FORWARD AMOUNT: - For any Payment Date the Class A-1
Carry-Forward Amount is the sum of (a)
the amount, if any, by which (x) the
Class A-1 Interest Payment Amount as
of the immediately preceding Payment
Date exceeded (y) the amount of
interest actually paid to the holders
of the Class A-1 Notes on such
immediately preceding payment date and
(b) thirty days' interest on the
amount described in clause (a),
calculated at an interest rate equal
to the Class A-1 Note Rate.
- --------------------------------------------------------------------------------
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION 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>
LEHMAN BROTHERS ASSET-BACKED SECURITIES 12
- --------------------------------------------------------------------------------
SUMMARY OF TERMS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
CLASS A-2 NOTE INTEREST: - Interest will accrue from the prior
Payment Date to the day preceding the
current Payment Date on an actual/360
basis at the Class A-2 Note Rate.
- The CLASS A-2 NOTE RATE will be equal
to the lesser of (a) the Class A-2
Formula Note Rate and (b) the Class
A-2 Available Funds Cap Rate. The
CLASS A-2 NOTE FORMULA RATE is a per
annum rate equal to the lesser of (i)
LIBOR plus a margin determined at
pricing; provided, that, on any
Payment Date after the related
Clean-Up Call Date, such rate will be
equal to LIBOR plus two times the
pricing margin, and (ii) 14.0%.
- THE CLASS A-2 AVAILABLE FUNDS CAP RATE
is a per annum rate equal to the
weighted average mortgage interest rate
with respect to the Group 2 Mortgage
Loans, less the note insurer premium
percentage, less the servicing fee
rate, less the backup servicing fee
rate, less the rate at which the
Indenture Trustee fee is then
calculated, less the Owner Trustee fee
rate, less the primary mortgage
insurance provider premium percentage,
less 0.75%.
- THE CLASS A-2 INTEREST PAYMENT AMOUNT
for any Payment Date will be an amount
equal to the current interest for the
Class A-2 Notes, reduced by any
interest shortfalls on the Group 2
Mortgage Loans relating to the
Soldiers' and Sailors' Civil Relief Act
of 1940, and further reduced by any
Compensating Interest not covered by
either the related Servicing Fee,
excess interest, or the Note Insurance
Policy, plus the Class A-2
Carry-Forward Amount, less any amount
paid by the Note Insurer in respect of
such Class A-2 Carry-Forward Amount, in
each case, as of such Payment Date.
CLASS A-2 AVAILABLE FUNDS CAP - With respect to the Class A-2 Notes
CARRY-FORWARD AMOUNT: and any Payment Date, the sum of
(i) the excess of (x) the Class A-2
current interest calculated at the
Class A-2 Formula Note Rate over
(y) the Class A-2 current interest
calculated at the Class A-2
Available Funds Cap Rate, in each
case as of such Payment Date, and
(ii)the amount calculated under clause
(i) above remaining unpaid from any
previous Payment Date, with
interest thereon at the Class A-2
Formula Note Rate.
CLASS A-2 CARRY-FORWARD AMOUNT: - For any Payment Date the Class A-2
Carry-Forward Amount is the sum of (a)
the amount, if any, by which (x) the
Class A-2 Interest Payment Amount as
of the immediately preceding payment
date exceeded (y) the amount of
interest actually paid to the holders
of the Class A-2 Notes on such
immediately preceding Payment Date and
(b) thirty days' interest on the
amount described in clause (a),
calculated at an interest rate equal
to the Class A-2 Formula Note Rate.
- --------------------------------------------------------------------------------
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION 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>
LEHMAN BROTHERS ASSET-BACKED SECURITIES 13
- --------------------------------------------------------------------------------
SUMMARY OF TERMS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
PAYMENTS OF PRINCIPAL: On each Payment Date, each class of Notes is
entitled to receive payments of principal.
The maximum amount for distribution as
principal payments to all Noteholders of a
class on any Payment Date will be the sum of
the following amounts (net of amounts used
to reimburse the master servicer or the
Subservicer for certain advances), based on
the Mortgage Loans in the related group:
- Scheduled payments of principal due
from the second day of the prior month
to the first day of the current month,
known as the due period;
- Plus, prepayments in full received from
the sixteenth day of the prior month to
the fifteenth day of the current month,
known as the prepayment period;
- Plus, partial prepayments and
unscheduled payments of principal on
the mortgage loans received during the
prior calendar month;
- Plus, that group's allocable portion of
any amount by which the aggregate
outstanding principal balance of both
classes of Notes exceeds the aggregate
principal balance of both groups of
mortgage loans, together with any
amounts on deposit in the prefunding
account;
- Plus, on the payment date following
the end of the prefunding period, any
amount on deposit in the prefunding
accounts;
- Plus, the amount of any excess
interest required to be paid as
principal in connection with the
over-collateralization feature;
- Minus, the amount, if any, necessary to
reduce over-collateralization to the
required level of
over-collateralization.
- --------------------------------------------------------------------------------
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION 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>
LEHMAN BROTHERS ASSET-BACKED SECURITIES 14
- --------------------------------------------------------------------------------
SUMMARY OF TERMS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
BASE PRINCIPAL PAYMENT AMOUNT: - Base Principal Payment Amount for any
group of Mortgage Loans and any Payment
Date will be the lesser of:
(a) the excess of (x) the sum, as of such
Payment Date, of (A) the available
amount for such group and (B) any
Insured Payment with respect to the
related class of Notes over (y) the sum
of the interest payment amount for such
group; and
(b) the sum, without duplication, of:
(1) all scheduled principal payments
due and collected (or advanced) for
the prior Due Period, plus all
prepayments in full received during
the prior Prepayment Period, plus
all partial prepayments and other
unscheduled recoveries of principal
(other than prepayments in full)
received during the prior calendar
month, in each case, for the
related group of Mortgage Loans;
(2) the principal balance of each
Mortgage Loan that was repurchased
by the Sponsor on the related
servicer remittance date from such
group to the extent such principal
balance is actually received by the
Indenture Trustee and less any
related reimbursements of
Delinquency Advances or of
Servicing Advances to the Master
Servicer or the Subservicer;
(3) any substitution adjustments
delivered by the Sponsor on the
related servicer remittance date in
connection with a substitution of a
Mortgage Loan in such group, to the
extent such substitution
adjustments are actually received
by the Indenture Trustee;
(4) the Net Liquidation Proceeds
actually collected by the Master
Servicer on all Mortgage Loans in
such group during the preceding
calendar month -- to the extent
such Net Liquidation Proceeds
relate to principal;
(5) on the Payment Date in April 2000,
moneys released from the related
Prefunding Account, if any;
(6) the proceeds received by the
Indenture Trustee upon the exercise
by the Sponsor of its option to
call the Notes -- to the extent
such proceeds relate to principal;
(7) the proceeds received by the
Indenture Trustee upon the exercise
by the Sponsor of its option to
terminate the Trust -- to the
extent such proceeds relate to
principal -- allocable to such
group;
(8) any amount that the Note Insurer
has elected to pay as principal --
including Liquidated Loan Losses --
prior to any remaining
over-collateralization deficit;
minus
(9) the amount of any
over-collateralization reduction
amount for such group for such
payment date.
- In no event will the Base Principal
Payment Amount for a group with respect
to any Payment Date be (x) less than
zero or (y) greater than the then
outstanding principal balance for the
related class of Notes.
- --------------------------------------------------------------------------------
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION 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>
LEHMAN BROTHERS ASSET-BACKED SECURITIES 15
- --------------------------------------------------------------------------------
SUMMARY OF TERMS (CONTINUED)
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
SPECIFIED RESERVE AMOUNT: - With respect to each group of Mortgage
Loans and any Payment Date, the
difference between (x) the specified
over-collateralization amount for such
group and such Payment Date and (y)
the over-collateralization amount for
such group on such Payment Date.
INSURED PAYMENT AMOUNT: For any group of Mortgage Loans and any
Payment Date, the Insured Payment Amount is
the sum of,
- the related Interest Payment Amount; and
- the Remaining over-collateralization
deficit allocable to that
group for that Payment Date; and
- without duplication of the amount
specified in the bullet-point above, on
the Payment Date which is the final
stated maturity date, the aggregate
outstanding principal balance for the
related class of Notes.
- --------------------------------------------------------------------------------------------------------------------
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION 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>
LEHMAN BROTHERS ASSET-BACKED SECURITIES 16
- --------------------------------------------------------------------------------
COLLATERAL SUMMARY
- --------------------------------------------------------------------------------
Collateral statistics for the FIXED RATE MORTGAGE LOANS are listed below as of
the CUT-OFF DATE.
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
TOTAL NUMBER OF LOANS 521
TOTAL OUTSTANDING LOAN BALANCE $40,197,785.31
BALLOON (% OF TOTAL BALANCE) 21.71%
AVERAGE LOAN PRINCIPAL BALANCE $77,155.06
WEIGHTED AVERAGE COUPON 10.71%
WEIGHTED AVERAGE ORIGINAL TERM (MONTHS) 307
WEIGHTED AVERAGE REMAINING TERM (MONTHS) 306
WEIGHTED AVERAGE CLTV 77.49%
LIEN POSITION (FIRST/SECOND) 93.82% / 6.18%
LOANS SUBJECT TO PREPAYMENT PENALTIES 99.81%
PROPERTY TYPE
SINGLE FAMILY 82.98%
PUD 6.10%
TWO TO FOUR FAMILY 6.01%
CONDOMINIUM 3.53%
SINGLE FAMILY ATTACHED 1.23%
MULTI-FAMILY 0.14%
LOAN PURPOSE
CASHOUT REFINANCE 66.90%
PURCHASE 23.68%
NO CASH REFINANCE 9.43%
OCCUPANCY STATUS
OWNER OCCUPIED 91.07%
NON-OWNER OCCUPIED 8.93%
LOAN DOCUMENTATION
FULL 77.35%
NO INCOME VERIFICATION/STATED 19.58%
LITE 3.06%
GEOGRAPHIC DISTRIBUTION
(Other states account individually for less than 5% of the CA: 21.58%
Fixed Rate Mortgage Loan Group principal balance.) OH: 9.25%
FL: 7.11%
CREDIT GRADE
A: 45.03%
A-: 28.92%
B: 12.86%
C: 11.74%
C-: 1.46%
DAYS DELINQUENT
CURRENT 100.00%
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION 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>
LEHMAN BROTHERS ASSET-BACKED SECURITIES 17
- --------------------------------------------------------------------------------
COLLATERAL SUMMARY
- --------------------------------------------------------------------------------
Collateral statistics for the FIXED RATE MORTGAGE LOANS are listed below as of
the CUT-OFF DATE.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
FIXED RATE GROUP
CUT-OFF DATE PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
RANGE OF CUT-OFF DATE NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
PRINCIPAL BALANCE ($) MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.01 - 25,000.00 48 $947,156.60 2.36%
25,000.01 - 50,000.00 151 5,854,435.12 14.56
50,000.01 - 75,000.00 138 8,648,306.19 21.51
75,000.01 - 100,000.00 67 5,873,806.60 14.61
100,000.01 - 150,000.00 66 8,102,000.18 20.16
150,000.01 - 200,000.00 26 4,439,417.59 11.04
200,000.01 - 250,000.00 13 2,913,474.86 7.25
250,000.01 - 300,000.00 10 2,761,434.39 6.87
300,000.01 - 350,000.00 2 657,753.78 1.64
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 521 $40,197,785.31 100.00%
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
FIXED RATE GROUP
MORTGAGE INTEREST RATES
- ---------------------------------------------------------------------------------------------------------------------
RANGE OF MORTGAGE NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
INTEREST RATES (%) MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
8.001 - 8.500 4 $508,717.49 1.27%
8.501 - 9.000 17 2,090,130.60 5.20
9.001 - 9.500 29 3,487,050.67 8.67
9.501 - 10.000 89 8,740,172.07 21.74
10.001 - 10.500 66 5,129,794.17 12.76
10.501 - 11.000 91 7,201,810.07 17.92
11.001 - 11.500 52 3,731,159.26 9.28
11.501 - 12.000 60 4,016,387.61 9.99
12.001 - 12.500 33 1,897,223.31 4.72
12.501 - 13.000 33 1,617,255.20 4.02
13.001 - 13.500 23 802,453.41 2.00
13.501 - 14.000 15 631,676.89 1.57
14.001 - 14.500 5 170,260.86 0.42
14.501 - 15.000 4 173,693.70 0.43
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 521 $40,197,785.31 100.00%
- ---------------------------------------------------------------------------------------------------------------------
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION 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>
LEHMAN BROTHERS ASSET-BACKED SECURITIES 18
- --------------------------------------------------------------------------------
COLLATERAL SUMMARY
- --------------------------------------------------------------------------------
Collateral statistics for the FIXED RATE MORTGAGE LOANS are listed below as of
the CUT-OFF DATE.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
FIXED RATE GROUP
ORIGINAL TERM TO MATURITY
- ---------------------------------------------------------------------------------------------------------------------
RANGE OF ORIGINAL TERMS TO MATURITY NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
(MONTHS) MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
115 - 120 5 $77,520.08 0.19%
175 - 180 181 10,903,896.14 27.13
235 - 240 14 1,212,724.46 3.02
355 - 360 321 28,003,644.63 69.66
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 521 $40,197,785.31 100.00%
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
FIXED RATE GROUP
REMAINING TERM TO MATURITY
- ---------------------------------------------------------------------------------------------------------------------
RANGE OF REMAINING TERMS TO MATURITY NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
(MONTHS) MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
115 - 120 5 $77,520.08 0.19%
169 - 174 2 77,783.48 0.19
175 - 180 179 10,826,112.66 26.93
235 - 240 14 1,212,724.46 3.02
343 - 348 1 142,817.75 0.36
355 - 360 320 27,860,826.88 69.31
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 521 $40,197,785.31 100.00%
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
FIXED RATE GROUP
AGE OF THE MORTAGE LOANS
- ---------------------------------------------------------------------------------------------------------------------
NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
LOAN AGE (MONTHS) MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0 221 $15,293,655.17 38.05%
1 - 3 294 24,447,549.87 60.82
4 - 6 4 258,937.54 0.64
7 - 9 1 54,824.98 0.14
13 - 15 1 142,817.75 0.36
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 521 $40,197,785.31 100.00%
- ---------------------------------------------------------------------------------------------------------------------
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION 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>
LEHMAN BROTHERS ASSET-BACKED SECURITIES 19
- --------------------------------------------------------------------------------
COLLATERAL SUMMARY
- --------------------------------------------------------------------------------
Collateral statistics for the FIXED RATE MORTGAGE LOANS are listed below as of
the CUT-OFF DATE.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
FIXED RATE GROUP
COMBINED LOAN- TO- VALUE RATIOS
- ---------------------------------------------------------------------------------------------------------------------
RANGE OF COMBINED NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
LOAN-TO-VALUE RATIOS (%) MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
10.01 - 15.00 1 $29,963.53 0.07%
15.01 - 20.00 2 45,000.00 0.11
20.01 - 25.00 2 42,918.53 0.11
25.01 - 30.00 3 105,466.93 0.26
30.01 - 35.00 4 77,396.20 0.19
35.01 - 40.00 5 222,233.20 0.55
40.01 - 45.00 8 316,142.41 0.79
45.01 - 50.00 8 462,181.45 1.15
50.01 - 55.00 12 558,391.14 1.39
55.01 - 60.00 19 944,227.45 2.35
60.01 - 65.00 35 1,756,845.88 4.37
65.01 - 70.00 52 3,677,559.45 9.15
70.01 - 75.00 70 5,035,323.18 12.53
75.01 - 80.00 192 15,193,359.22 37.80
80.01 - 85.00 47 4,474,069.04 11.13
85.01 - 90.00 61 7,256,707.70 18.05
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 521 $40,197,785.31 100.00%
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
FIXED RATE GROUP
OCCUPANCY STATUS
- ---------------------------------------------------------------------------------------------------------------------
NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
OCCUPANCY STATUS MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Owner Occupied 454 $36,608,956.88 91.07%
Non Owner Occupied 67 3,588,828.43 8.93
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 521 $40,197,785.31 100.00%
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
FIXED RATE GROUP
TYPE OF MORTGAGED PROPERTY
- ---------------------------------------------------------------------------------------------------------------------
NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
PROPERTY TYPE MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Single Family Detached 437 $33,357,870.49 82.98%
PUD 21 2,451,413.74 6.10
2-4 Family 35 2,417,206.39 6.01
Condominium 21 1,420,772.06 3.53
Single Family Attached 6 495,697.65 1.23
Multi-Family 1 54,824.98 0.14
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 521 $40,197,785.31 100.00%
- ---------------------------------------------------------------------------------------------------------------------
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION 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>
LEHMAN BROTHERS ASSET-BACKED SECURITIES 20
- --------------------------------------------------------------------------------
COLLATERAL SUMMARY
- --------------------------------------------------------------------------------
Collateral statistics for the FIXED RATE MORTGAGE LOANS are listed below as of
the CUT-OFF DATE.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
FIXED RATE GROUP
GEOGRAPHICAL DISTRIBUTION OF MORTGAGED PROPERTIES
- ---------------------------------------------------------------------------------------------------------------------
NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
STATE MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CA 88 $8,672,679.09 21.58%
OH 53 3,718,701.91 9.25
FL 44 2,856,329.08 7.11
TN 34 1,978,442.08 4.92
NY 19 1,948,870.74 4.85
IN 30 1,825,617.19 4.54
HI 9 1,618,441.76 4.03
MI 28 1,617,064.66 4.02
PA 17 1,518,010.93 3.78
IL 25 1,404,613.55 3.49
WA 14 1,230,193.61 3.06
MD 13 1,208,106.41 3.01
VA 13 1,190,067.72 2.96
GA 16 1,159,599.72 2.88
CT 11 838,983.87 2.09
NC 7 827,295.38 2.06
MO 14 742,719.06 1.85
OR 8 644,541.90 1.60
TX 9 581,887.46 1.45
NJ 5 465,541.80 1.16
RI 6 404,608.85 1.01
KY 8 379,621.22 0.94
CO 5 355,694.92 0.88
KS 6 349,730.27 0.87
AK 1 297,386.78 0.74
WI 5 289,027.91 0.72
NE 4 242,540.57 0.60
ID 5 225,881.18 0.56
OK 5 218,329.88 0.54
UT 2 214,164.95 0.53
LA 4 213,122.92 0.53
MA 2 204,011.19 0.51
DC 2 184,109.61 0.46
MN 2 149,109.71 0.37
DE 1 120,000.00 0.30
NM 2 106,524.62 0.27
MS 2 89,329.51 0.22
AZ 1 56,780.29 0.14
MT 1 $50,103.01 0.12
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 521 $40,197,785.31 100.00%
- ---------------------------------------------------------------------------------------------------------------------
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION 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>
LEHMAN BROTHERS ASSET-BACKED SECURITIES 21
- --------------------------------------------------------------------------------
COLLATERAL SUMMARY
- --------------------------------------------------------------------------------
Collateral statistics for the FIXED RATE MORTGAGE LOANS are listed below as of
the CUT-OFF DATE.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
FIXED RATE GROUP
PRIORITY OF LIEN
- ---------------------------------------------------------------------------------------------------------------------
NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
LIEN PRIORITY MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
First Lien 460 $37,713,626.12 93.82%
Second Lien 61 2,484,159.19 6.18
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 521 $40,197,785.31 100.00%
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
FIXED RATE GROUP
AMORTIZATION METHOD
- ---------------------------------------------------------------------------------------------------------------------
NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
AMORTIZATION METHOD MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Fully Amortizing 382 $31,472,648.55 78.29%
Partially Amortizing/Balloon 139 8,725,136.76 21.71
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 521 $40,197,785.31 100.00%
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
FIXED RATE GROUP
PREPAYMENT PENALTIES
- ---------------------------------------------------------------------------------------------------------------------
NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
PREPAYMENT PENALTY (MONTHS) MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0 1 $77,740.74 0.19%
12 27 2,436,295.67 6.06
18 1 24,994.90 0.06
24 14 948,445.58 2.36
36 109 8,218,748.20 20.45
42 1 40,393.52 0.10
48 1 136,520.61 0.34
60 367 28,314,646.09 70.44
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 521 $40,197,785.31 100.00%
- ---------------------------------------------------------------------------------------------------------------------
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION 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>
LEHMAN BROTHERS ASSET-BACKED SECURITIES 22
- --------------------------------------------------------------------------------
COLLATERAL SUMMARY
- --------------------------------------------------------------------------------
Collateral statistics for the ADJUSTABLE RATE MORTGAGE LOANS are listed below as
of the CUT-OFF DATE.
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
TOTAL NUMBER OF LOANS 784
TOTAL OUTSTANDING LOAN BALANCE $90,937,472.89
AVERAGE LOAN PRINCIPAL BALANCE $115,991.67
WEIGHTED AVERAGE COUPON 10.11%
WEIGHTED AVERAGE MARGIN 6.54%
WEIGHTED AVERAGE ORIGINAL TERM (MONTHS) 360
WEIGHTED AVERAGE REMAINING TERM (MONTHS) 359
WEIGHTED AVERAGE LIFECAP 17.11%
WEIGHTED AVERAGE PERIODIC CAP 1.50%
WEIGHTED AVERAGE INITIAL PERIODIC CAP 1.50%
WEIGHTED AVERAGE FLOOR 10.10%
WEIGHTED AVERAGE LTV 78.77%
LIEN POSITION (FIRST/SECOND) 100.00%/0.00%
LOANS SUBJECT TO PREPAYMENT PENALTIES 99.59%/0.41%
PROPERTY TYPE
SINGLE FAMILY 80.22%
PUD 8.41%
TWO TO FOUR FAMILY 6.70%
CONDOMINIUM 4.17%
SINGLE FAMILY ATTACHED 0.46%
MULTI-FAMILY 0.06%
LOAN PURPOSE
CASHOUT REFINANCE 50.15%
PURCHASE 40.92%
NO CASH REFINANCE 8.70%
CONSTRUCTION PERMANENT 0.23%
OCCUPANCY STATUS
OWNER OCCUPIED 93.15%
NON-OWNER OCCUPIED 6.85%
LOAN DOCUMENTATION
FULL 73.41%
NO INCOME VERIFICATION/STATED 26.42%
LITE 0.16%
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION 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>
LEHMAN BROTHERS ASSET-BACKED SECURITIES 23
- --------------------------------------------------------------------------------
COLLATERAL SUMMARY
- --------------------------------------------------------------------------------
Collateral statistics for the ADJUSTABLE RATE MORTGAGE LOANS are listed below as
of the CUT-OFF DATE.
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
PRODUCT TYPE
2/28 - ARM 58.49%
3/27 - ARM 41.51%
GEOGRAPHIC DISTRIBUTION
(Other states account individually for less than 5% of the CA: 32.80%
Adjustable Rate Loan Group principal balance.) OH: 9.81%
CO: 5.32%
IN: 5.32%
CREDIT CLASS
A: 44.72%
A-: 28.37%
B: 15.57%
C: 9.78%
C-: 1.56%
DAYS DELINQUENT
CURRENT 100.00%
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION 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>
LEHMAN BROTHERS ASSET-BACKED SECURITIES 24
- --------------------------------------------------------------------------------
COLLATERAL SUMMARY
- --------------------------------------------------------------------------------
Collateral statistics for the ADJUSTABLE RATE MORTGAGE LOANS are listed below as
of the CUT-OFF DATE.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
ADJUSTABLE RATE GROUP
CUT-OFF DATE PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
RANGE OF CUT-OFF DATE NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
PRINCIPAL BALANCE ($) MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.01 - 25,000.00 11 $213,146.67 0.23%
25,000.01 - 50,000.00 86 3,421,501.30 3.76
50,000.01 - 75,000.00 171 10,810,201.48 11.89
75,000.01 - 100,000.00 143 12,655,705.93 13.92
100,000.01 - 150,000.00 196 23,969,753.22 26.36
150,000.01 - 200,000.00 83 14,428,370.49 15.87
200,000.01 - 250,000.00 46 10,262,180.18 11.28
250,000.01 - 300,000.00 23 6,355,990.93 6.99
300,000.01 - 350,000.00 17 5,507,432.27 6.06
350,000.01 - 400,000.00 6 2,281,659.91 2.51
450,000.01 - 500,000.00 1 459,761.52 0.51
550,000.01 - 600,000.00 1 571,768.99 0.63
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 784 $90,937,472.89 100.00%
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
ADJUSTABLE RATE GROUP
MORTGAGE INTEREST RATES
- ---------------------------------------------------------------------------------------------------------------------
RANGE OF MORTGAGE NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
INTEREST RATES (%) MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
7.501 - 8.000 1 $84,942.97 0.09%
8.001 - 8.500 5 1,038,693.44 1.14
8.501 - 9.000 66 9,194,190.73 10.11
9.001 - 9.500 101 13,321,161.80 14.65
9.501 - 10.000 217 26,638,571.86 29.29
10.001 - 10.500 116 15,031,948.66 16.53
10.501 - 11.000 137 14,832,322.85 16.31
11.001 - 11.500 75 6,277,055.57 6.90
11.501 - 12.000 43 2,963,636.12 3.26
12.001 - 12.500 13 715,606.31 0.79
12.501 - 13.000 8 604,042.58 0.66
13.001 - 13.500 2 235,300.00 0.26
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 784 $90,937,472.89 100.00%
- ---------------------------------------------------------------------------------------------------------------------
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION 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>
LEHMAN BROTHERS ASSET-BACKED SECURITIES 25
- --------------------------------------------------------------------------------
COLLATERAL SUMMARY
- --------------------------------------------------------------------------------
Collateral statistics for the ADJUSTABLE RATE MORTGAGE LOANS are listed below as
of the CUT-OFF DATE.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
ADJUSTABLE RATE GROUP
ORIGINAL TERM TO MATURITY
- ---------------------------------------------------------------------------------------------------------------------
RANGE OF ORIGINAL TERMS TO MATURITY NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
(MONTHS) MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
175 - 180 2 $160,164.84 0.18%
355 - 360 782 90,777,308.05 99.82
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 784 $90,937,472.89 100.00%
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
ADJUSTABLE RATE GROUP
REMAINING TERM TO MATURITY
- ---------------------------------------------------------------------------------------------------------------------
RANGE OF REMAINING TERMS TO MATURITY NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
(MONTHS) MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
175 - 180 2 $160,164.84 0.18%
349 - 354 3 169,877.51 0.19
355 - 360 779 90,607,430.54 99.64
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 784 $90,937,472.89 100.00%
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
ADJUSTABLE RATE GROUP
AGE OF MORTGAGE LOANS
- ---------------------------------------------------------------------------------------------------------------------
NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
LOAN AGE (MONTHS) MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0 333 $36,313,867.97 39.93%
1 - 6 449 54,527,925.56 59.96
7 - 12 2 95,679.36 0.11
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 784 $90,937,472.89 100.00%
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
ADJUSTABLE RATE GROUP
PRIORITY OF LIEN
- ---------------------------------------------------------------------------------------------------------------------
NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
LIEN PRIORITY MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
First Lien 784 $90,937,472.89 100.00%
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 784 $90,937,472.89 100.00%
- ---------------------------------------------------------------------------------------------------------------------
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION 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>
LEHMAN BROTHERS ASSET-BACKED SECURITIES 26
- --------------------------------------------------------------------------------
COLLATERAL SUMMARY
- --------------------------------------------------------------------------------
Collateral statistics for the ADJUSTABLE RATE MORTGAGE LOANS are listed below as
of the CUT-OFF DATE.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
ADJUSTABLE RATE GROUP
LOAN-TO-VALUE RATIOS
- ---------------------------------------------------------------------------------------------------------------------
RANGE OF NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
LOAN-TO-VALUE RATIOS (%) MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
15.001 - 20.000 2 $97,972.08 0.11%
20.001 - 25.000 1 15,000.00 0.02
25.001 - 30.000 2 94,971.42 0.10
30.001 - 35.000 3 144,926.64 0.16
35.001 - 40.000 3 171,921.17 0.19
40.001 - 45.000 6 351,299.86 0.39
45.001 - 50.000 3 213,392.30 0.23
50.001 - 55.000 7 507,126.97 0.56
55.001 - 60.000 22 1,910,383.29 2.10
60.001 - 65.000 38 3,962,398.37 4.36
65.001 - 70.000 61 6,316,114.30 6.95
70.001 - 75.000 112 12,491,698.62 13.74
75.001 - 80.000 352 40,392,563.72 44.42
80.001 - 85.000 48 6,565,384.24 7.22
85.001 - 90.000 124 17,702,319.91 19.47
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 784 $90,937,472.89 100.00%
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
ADJUSTABLE RATE GROUP
OCCUPANCY STATUS
- ---------------------------------------------------------------------------------------------------------------------
NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
OCCUPANCY STATUS MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Owner Occupied 692 $84,710,696.21 93.15%
Non Owner Occupied 92 6,226,776.68 6.85
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 784 $90,937,472.89 100.00%
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
ADJUSTABLE RATE GROUP
TYPE OF MORTGAGED PROPERTY
- ---------------------------------------------------------------------------------------------------------------------
NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
PROPERTY TYPE MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Single Family Detached 635 $72,946,176.80 80.22%
PUD 52 7,646,296.74 8.41
2-4 Family 57 6,091,210.98 6.70
Condominium 36 3,788,124.79 4.17
Single Family Attached 3 415,351.12 0.46
Multi-Family 1 50,312.46 0.06
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 784 $90,937,472.89 100.00%
- ---------------------------------------------------------------------------------------------------------------------
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION 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>
LEHMAN BROTHERS ASSET-BACKED SECURITIES 27
- --------------------------------------------------------------------------------
COLLATERAL SUMMARY
- --------------------------------------------------------------------------------
Collateral statistics for the ADJUSTABLE RATE MORTGAGE LOANS are listed below as
of the CUT-OFF DATE.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
ADJUSTABLE RATE GROUP
GEOGRAPHICAL DISTRIBUTION OF MORTGAGED PROPERTIES
- ---------------------------------------------------------------------------------------------------------------------
NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
STATE MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
CA 186 $29,822,956.38 32.80%
OH 94 8,919,749.70 9.81
CO 35 4,842,115.49 5.32
IN 59 4,841,102.00 5.32
WA 37 4,484,068.59 4.93
MI 44 3,490,755.06 3.84
OR 27 3,216,495.52 3.54
IL 31 3,167,024.13 3.48
CT 17 2,672,373.72 2.94
TN 24 2,510,239.04 2.76
GA 21 2,220,921.26 2.44
PA 18 1,900,524.87 2.09
TX 20 1,842,400.04 2.03
MO 21 1,501,057.51 1.65
MD 11 1,466,349.90 1.61
MA 10 1,452,137.67 1.60
NC 17 1,395,332.49 1.53
KY 12 1,177,771.72 1.30
AZ 8 1,052,397.21 1.16
NJ 7 1,051,301.29 1.16
MN 11 1,035,093.51 1.14
NM 11 1,022,466.36 1.12
- ---------------------------------------------------------------------------------------------------------------------
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION 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>
LEHMAN BROTHERS ASSET-BACKED SECURITIES 28
- --------------------------------------------------------------------------------
COLLATERAL SUMMARY
- --------------------------------------------------------------------------------
Collateral statistics for the ADJUSTABLE RATE MORTGAGE LOANS are listed below as
of the CUT-OFF DATE.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
ADJUSTABLE RATE GROUP
GEOGRAPHICAL DISTRIBUTION OF MORTGAGED PROPERTIES (CONTINUED)
- ---------------------------------------------------------------------------------------------------------------------
NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
STATE MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
FL 11 1,005,258.77 1.11
WI 12 882,847.46 0.97
UT 3 499,908.32 0.55
DC 5 466,085.10 0.51
RI 4 417,292.35 0.46
NV 4 395,400.33 0.43
VA 3 337,489.30 0.37
NY 1 299,874.20 0.33
DE 2 184,785.06 0.20
LA 2 183,450.00 0.20
NH 2 173,949.57 0.19
NE 2 170,927.40 0.19
WY 2 152,441.38 0.17
MT 2 151,490.72 0.17
OK 3 136,539.73 0.15
ID 2 120,726.06 0.13
SC 1 112,500.00 0.12
ND 1 89,910.00 0.10
IA 1 71,963.68 0.08
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 784 $90,937,472.89 100.00%
- ---------------------------------------------------------------------------------------------------------------------
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION 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>
LEHMAN BROTHERS ASSET-BACKED SECURITIES 29
- --------------------------------------------------------------------------------
COLLATERAL SUMMARY
- --------------------------------------------------------------------------------
Collateral statistics for the ADJUSTABLE RATE MORTGAGE LOANS are listed below as
of the CUT-OFF DATE.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
ADJUSTABLE RATE GROUP
RANGE OF GROSS MARGINS
- ---------------------------------------------------------------------------------------------------------------------
RANGE OF NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
GROSS MARGINS (%) MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
4.751 - 5.000 2 $140,260.95 0.15%
5.001 - 5.250 14 1,746,065.05 1.92
5.251 - 5.500 50 6,553,747.34 7.21
5.501 - 5.750 39 4,686,613.23 5.15
5.751 - 6.000 105 14,971,509.64 16.46
6.001 - 6.250 68 8,669,328.38 9.53
6.251 - 6.500 82 9,973,600.02 10.97
6.501 - 6.750 75 8,782,337.84 9.66
6.751 - 7.000 110 13,098,178.94 14.40
7.001 - 7.250 59 6,467,599.72 7.11
7.251 - 7.500 110 10,704,281.89 11.77
7.501 - 7.750 19 1,347,369.25 1.48
7.751 - 8.000 21 1,728,068.70 1.90
8.001 - 8.250 12 870,835.92 0.96
8.251 - 8.500 1 116,216.74 0.13
8.501 - 8.750 9 465,845.22 0.51
8.751 - 9.000 5 350,067.87 0.38
9.751 - 10.000 2 217,546.19 0.24
10.001 >= 1 48,000.00 0.05
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 784 $90,937,472.89 100.00%
- ---------------------------------------------------------------------------------------------------------------------
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION 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>
LEHMAN BROTHERS ASSET-BACKED SECURITIES 30
- --------------------------------------------------------------------------------
COLLATERAL SUMMARY
- --------------------------------------------------------------------------------
Collateral statistics for the ADJUSTABLE RATE MORTGAGE LOANS are listed below as
of the CUT-OFF DATE.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
ADJUSTABLE RATE GROUP
RANGE OF MAXIMUM MORTGAGE INTEREST RATES
- ---------------------------------------------------------------------------------------------------------------------
RANGE OF MAXIMUM MORTGAGE NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
INTEREST RATES (%) MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
14.751 - 15.000 1 $84,942.97 0.09%
15.001 - 15.250 1 395,162.86 0.43
15.251 - 15.500 4 643,530.58 0.71
15.501 - 15.750 15 2,015,849.35 2.22
15.751 - 16.000 51 7,178,341.38 7.89
16.001 - 16.250 32 4,658,422.34 5.12
16.251 - 16.500 70 8,708,106.36 9.58
16.501 - 16.750 91 11,156,521.96 12.27
16.751 - 17.000 126 15,482,049.90 17.02
17.001 - 17.250 48 5,910,464.50 6.50
17.251 - 17.500 67 9,076,117.26 9.98
17.501 - 17.750 64 6,760,265.71 7.43
17.751 - 18.000 73 8,072,057.14 8.88
18.001 - 18.250 41 3,378,559.21 3.72
18.251 - 18.500 34 2,898,496.36 3.19
18.501 - 18.750 23 1,650,745.09 1.82
18.751 - 19.000 20 1,312,891.03 1.44
19.001 - 19.250 7 410,663.25 0.45
19.251 - 19.500 6 304,943.06 0.34
19.501 - 19.750 5 491,374.52 0.54
19.751 - 20.000 3 112,668.06 0.12
20.001 >= 2 235,300.00 0.26
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 784 $90,937,472.89 100.00%
- ---------------------------------------------------------------------------------------------------------------------
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION 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>
LEHMAN BROTHERS ASSET-BACKED SECURITIES 31
- --------------------------------------------------------------------------------
COLLATERAL SUMMARY
- --------------------------------------------------------------------------------
Collateral statistics for the ADJUSTABLE RATE MORTGAGE LOANS are listed below as
of the CUT-OFF DATE.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
ADJUSTABLE RATE GROUP
RANGE OF MINIMUM MORTGAGE INTEREST RATES
- ---------------------------------------------------------------------------------------------------------------------
RANGE OF MINIMUM MORTGAGE NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
INTEREST RATES (%) MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
5.751 - 6.000 1 $167,882.86 0.18%
7.751 - 8.000 1 84,942.97 0.09
8.001 - 8.250 1 395,162.86 0.43
8.251 - 8.500 4 643,530.58 0.71
8.501 - 8.750 15 2,015,849.35 2.22
8.751 - 9.000 51 7,178,341.38 7.89
9.001 - 9.250 32 4,658,422.34 5.12
9.251 - 9.500 69 8,662,739.46 9.53
9.501 - 9.750 91 11,156,521.96 12.27
9.751 - 10.000 126 15,482,049.90 17.02
10.001 - 10.250 48 5,910,464.50 6.50
10.251 - 10.500 68 9,121,484.16 10.03
10.501 - 10.750 64 6,760,265.71 7.43
10.751 - 11.000 73 8,072,057.14 8.88
11.001 - 11.250 40 3,210,676.35 3.53
11.251 - 11.500 34 2,898,496.36 3.19
11.501 - 11.750 23 1,650,745.09 1.82
11.751 - 12.000 20 1,312,891.03 1.44
12.001 - 12.250 7 410,663.25 0.45
12.251 - 12.500 6 304,943.06 0.34
12.501 - 12.750 5 491,374.52 0.54
12.751 - 13.000 3 112,668.06 0.12
13.001 - 13.250 2 235,300.00 0.26
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 784 $90,937,472.89 100.00%
- ---------------------------------------------------------------------------------------------------------------------
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION 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>
LEHMAN BROTHERS ASSET-BACKED SECURITIES 32
- --------------------------------------------------------------------------------
COLLATERAL SUMMARY
- --------------------------------------------------------------------------------
Collateral statistics for the ADJUSTABLE RATE MORTGAGE LOANS are listed below as
of the CUT-OFF DATE.
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
ADJUSTABLE RATE GROUP
MORTGAGE LOAN TYPES
- ---------------------------------------------------------------------------------------------------------------------
NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
LOAN TYPE MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
2/28 ARM (Libor) 498 $53,187,909.53 58.49%
3/27 ARM (Libor) 286 37,749,563.36 41.51
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 784 $90,937,472.89 100.00%
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
ADJUSTABLE RATE GROUP
MONTH OF NEXT RATE CHANGE DATE
- ---------------------------------------------------------------------------------------------------------------------
NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
MONTH OF NEXT RATE CHANGE DATE MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
2001-05 1 $45,366.90 0.05%
2001-07 1 50,312.46 0.06
2001-09 1 170,425.92 0.19
2001-10 1 99,863.04 0.11
2001-11 2 113,159.44 0.12
2001-12 47 4,373,851.17 4.81
2002-01 220 25,407,676.60 27.94
2002-02 213 21,912,204.00 24.10
2002-03 12 1,015,050.00 1.12
2002-08 1 74,198.15 0.08
2002-11 6 453,560.60 0.50
2002-12 41 5,693,567.60 6.26
2003-01 131 18,174,115.61 19.99
2003-02 99 12,564,609.40 13.82
2003-03 8 789,512.00 0.87
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 784 $90,937,472.89 100.00%
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------
ADJUSTABLE RATE GROUP
PREPAYMENT PENALTIES
- ---------------------------------------------------------------------------------------------------------------------
NUMBER OF CUT-OFF DATE AGGREGATE PERCENTAGE OF CUT-OFF DATE
PREPAYMENT PENALTY (MONTHS) MORTGAGE LOANS PRINCIPAL BALANCE AGGREGATE PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0 2 $371,837.88 0.41%
12 13 2,060,306.75 2.27
18 2 483,922.81 0.53
24 165 21,141,971.42 23.25
30 2 374,914.68 0.41
36 459 52,842,277.10 58.11
60 141 13,662,242.25 15.02
- ---------------------------------------------------------------------------------------------------------------------
TOTAL: 784 $90,937,472.89 100.00%
- ---------------------------------------------------------------------------------------------------------------------
</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 BE COMPLETE AND IS SUBJECT TO THE SAME QUALIFICATIONS
AND ASSUMPTIONS, AND SHOULD BE CONSIDERED BY INVESTORS ONLY IN THE LIGHT OF THE
SAME WARNINGS, LACK OF ASSURANCES AND REPRESENTATIONS AND OTHER PRECAUTIONARY
MATTERS, AS DISCLOSED IN THE OFFERING DOCUMENT. INFORMATION 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).
