<PAGE>
DERIVED INFORMATION
--------------------------------------------------------------------------------
[GREENPOINT FINANCIAL LOGO]
GREENPOINT MORTGAGE FUNDING, INC.
--------------------------------------------------------------------------------
$353,500,000 SECURITIES (+5%)
GREENPOINT HOME EQUITY LOAN TRUST 2000-2
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
GREENPOINT MORTGAGE SECURITIES INC.
(SPONSOR)
GREENPOINT MORTGAGE FUNDING, INC.
(SELLER AND 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SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH RESPECT TO ANY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>
GREENPOINT HOME EQUITY LOAN TRUST 2000-2
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------------------
TO 10% OPTIONAL REDEMPTION ("CALL")
-------------------------------------------------------------------------------------------------------------------
Est. Est. Expected Stated Expected
Approx. Tsy. WAL Prin. Final Final Ratings
Class Size Group Type BMark (yrs) Window (mos) Maturity Maturity(1) (S&P/Moody's)
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 $[275,831,000] I Flt - PT 1 m LI 2.79 1 - 79 4/15/07 8/15/26 AAA/Aaa
A-2 $[77,669,000] II Flt - PT 1 m LI 2.78 1 - 79 4/15/07 8/15/26 AAA/Aaa
----------- --------------- ------ --------- -------- ---------- ----------- ---------- ----------- ---------------
</TABLE>
<TABLE>
-------------------------------------------------------------------------------------------------------------------
TO MATURITY
-------------------------------------------------------------------------------------------------------------------
Est. Est. Expected Stated Expected
Approx. Tsy. WAL Prin. Final Final Ratings
Class Size Group Type BMark (yrs) Window (mos) Maturity Maturity(1) (S&P/Moody's)
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 $[275,831,000] I Flt - PT 1 m LI 2.96 1 - 153 6/15/13 8/15/26 AAA/Aaa
A-2 $[77,669,000] II Flt - PT 1 m LI 2.95 1 - 153 6/15/13 8/15/26 AAA/Aaa
----------- --------------- ------ --------- -------- ---------- ----------- ---------- ----------- ---------------
-------------------------------------------------------------------------------------------------------------------
PRICING SPEED
-------------------------------------------------------------------------------------------------------------------
Group I & II 40% CPR / 20% Constant Draw Rate ("CDR") for HELOC, 30% CPR for Closed-End loans
---------------------- --------------------------------------------------------------------------------------------
</TABLE>
(1) THE STATED FINAL MATURITY DATE WITH RESPECT TO A CLASS OF CLASS A
SECURITIES IS THE DATE WHICH IS THIRTEEN MONTHS AFTER THE DATE WHICH IS THE
LATEST POSSIBLE MATURITY DATE OF A MORTGAGE LOAN IN THE RELATED POOL WHICH
AMORTIZES ACCORDING TO ITS TERMS. ON THE STATED FINAL MATURITY DATE,
HOLDERS OF SUCH CLASS A SECURITIES WILL BE ENTITLED TO RECEIVE A PAYMENT OF
PRINCIPAL IN AN AMOUNT EQUAL TO THE OUTSTANDING PRINCIPAL BALANCE OF SUCH
CLASS A SECURITIES.
SEPARATE CLEAN UP CALLS EXIST FOR EACH GROUP.
THE SPONSOR MAY EXERCISE ITS RIGHT TO REDEEM EITHER CLASS OF SECURITIES
WHEN THE AGGREGATE OUTSTANDING PRINCIPAL BALANCE OF THE RESPECTIVE CLASS OF
SECURITIES IS EQUAL TO OR LESS THAN 10% OF THE ORIGINAL PRINCIPAL BALANCE
OF SUCH CLASS OF SECURITIES.
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>
SUMMARY OF TERMS
Issuer: GreenPoint Home Equity Loan Trust 2000-2
Seller and Master Servicer: GreenPoint Mortgage Funding, Inc.
Sponsor: GreenPoint Mortgage Securities, Inc.
Indenture Trustee: Bank One, N.A.
Owner Trustee Wilmington Trust Company
Rating Agencies: S&P and Moody's
Underwriter: LEHMAN BROTHERS
Expected Pricing Date: Week of September [11], 2000
Expected Closing Date: September 26, 2000
Record Date: For Class A1, the last business day
of the calendar month preceding the month
in which the related Payment Date occurs.
For Class A2, the last business day
immediately preceding the related payment
date.
Payment Date: 15th of each month, or the next
succeeding Business Date (First Payment
Date: October 16, 2000)
Cut off Date: Close of business August 31, 2000
Delay Days: 0 days
Day Count: Actual/360
Interest Accrual: Accrues from the last Payment Date (or in
the case of the first Payment Date, the
Closing Date) through the day preceding
the current Payment Date
Clearing: DTC, Euroclear or Clearstream
Denomination: Minimum $1,000; increments of $1,000
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>
SUMMARY OF TERMS (CONTINUED)
SMMEA Eligibility: The Class A2 Securities are NOT expected
to be SMMEA eligible
ERISA Eligibility: The Securities are expected to be ERISA
eligible
Tax Structure: Debt for Federal income tax purposes.
Credit Enhancement: Financial Guaranty Insurance Company
("FGIC") will unconditionally guarantee
timely payments of interest and ultimate
payment of principal on the Securities.
Freddie Mac will also guarantee the Class
A1 Certificates.
Excess Cashflow, as described herein.
Overcollateralization and Limited
Crosscollateralization, as described
herein.
The Mortgage Loans: The loans will be divided into two loan
groups. Loan Group I will include
adjustable rate Home Equity Lines of
Credit ("HELOC") and fixed rate Closed
End Mortgages conforming to Freddie Mac's
eligibility criteria. Substantially all
of the HELOCs and the Closed End
Mortgages will be secured by second liens
on the related property.
Loan Group II will include adjustable
rate Home Equity Lines of Credit
("HELOC") and fixed rate Closed End
Mortgages which do not conform to Freddie
Mac's eligibility criteria. Substantially
all of the HELOCs and the Closed End
Mortgages will be secured by second liens
on the related property.
The Initial Group I aggregate loan
balance is approximately $216,518,594.
Approximately $[56,581,625] will be added
prior to the pricing date resulting in a
total balance of approximately
$[273,100,219].
The Initial Group II aggregate loan
balance is approximately $60,967,482.
Approximately $[15,932,299] will be added
prior to the pricing date resulting in a
total balance of approximately
$[76,899,781].
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>
SUMMARY OF TERMS (CONTINUED)
Overissuance: Initially the principal balance of the
Class A Securities will be greater than
the aggregate balances of the pools of
underlying mortgage loans by
approximately 1.00%.
Excess Cashflow: Until the Overissuance is paid down, 100%
of excess cashflowgenerated by interest
payments will be used as accelerated
principal payments on the related Class A
Securities. On the Distribution Date on
which the overissuance is paid down, the
Excess Spread Holiday (as described
below) will commence and only a portion
of the excess cashflow will be used as
accelerated principal payment to create
overcollateralization until the specified
level of overcollateralization has been
reached. After the Spread Holiday ends,
100% of excess cashflow generated by
interest payments will be used as
accelerated principal payments on the
related Class A Securities to create
overcollateralization until a specified
level of overcollateralization (the
"Specified Overcollateralization Amount")
has been reached. The actual level of
overcollateralization required on any
date for either class of Class A
Securities may decrease beginning on the
payment date in October 2003.
A RESERVE FUND will be created in the
name of the Trustee, which will be used
to deposit excess cashflow until certain
specified levels of overcollateralization
have been reached with respect to each
pool. The level of overcollateralization
required will be determined by FGIC and
may decrease beginning on the payment
date in October 2003.
Overcollateralization and Limited Certain Excess Cashflow will be applied
Crosscollateralization: as a payment of principal on the related
Class of Class A Securities on each
Payment Date to maintain the
Overcollateralization Amount for such
Class, or to increase it to the Specified
Overcollateralization Amount.
The Pooling Agreement permits Excess
Cashflow not required to maintain or
achieve the Specified
Overcollateralization Amount of the
related Class of Class A Securities to
fund certain deficiencies with respect to
the other Class of Class A Securities or
to be applied to the funding of the
Reserve Fund. Amounts on deposit in the
Reserve Fund may be withdrawn therefrom
and applied to fund any Interest Payment
Amount, any Overcollateralization Deficit
or any Reimbursement Amount with respect
to any Payment Date.
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>
SUMMARY OF TERMS (CONTINUED)
Demand Note: GreenPoint Bank will issue a Demand Note
in favor of the Trust. The Demand Note
will remain outstanding until the earlier
of (i) the Distribution Date on which the
Required Overcollateralization Amount has
been reached with respect to each pool,
or (ii) the 24th Distribution Date.
To the extent a draw is required under
the Demand Note, the Trustee
will demand payment from GreenPoint Bank
for deposit to the Trust. Draws will be
made on a monthly basis to cover (i)
interest shortfalls on the Securities,
and (ii) losses not covered by excess
cashflow in that period. In addition, the
Demand Note will also be subject to a
"Make-Whole" provision on the 24th
Payment Date to cover any
Overcollateralization Amount deficiency.
Excess Spread Holiday: For the 12 payment dates commencing
Overissuance is paid off, 100% of the
excess interest generated by during the
period in which the the pools of
underlying mortgage loans will be used to
cover losses. However, only 33.33% of the
remaining EXCESS CASHFLOW after covering
losses will be used to build
Overcollateralization. 66.67% of the
remaining EXCESS CASHFLOW will be applied
to the remaining items as set forth under
"Priority of Payments" in the offering
documents.
This "Spread Holiday" will not continue
past the 16th Payment Date under any
circumstance.
Subordination of the Residual The certificate representing the residual
Certificate: beneficial ownership interest in the
underlying pools of mortgage loans will
be subordinated to payments due on the
Class A Securities. This subordination
provides credit enhancement to the Class
A Securities.
Maximum Rate: The Maximum Rate with respect to each
class of Securities is equal to the
weighted average of the Loan Rates of the
respective pool's Mortgage Loans,
assuming each HELOC loan is fully
indexed, adjusted to reflect accrued
interest calculated on an 30/360 basis,
net of the Servicing Fee Rate, the
Trustee Fee Rate and any applicable
Insurer rates.
Security Rates: Class A-1: the lesser of (a) 1 mo Libor +
[ ]% prior to the Optional Redemption
Date, and 1 mo Libor + [ ]% for any
Payment Date thereafter, subject to a cap
of [15.50%], (the "Formula Rate"), and
(b) the Maximum Rate.
Class A-2: the lesser of (a) 1 mo Libor +
[ ]% prior to the Optional Redemption
Date, and 1 mo Libor + [ ]% for any
Payment Date thereafter, subject to a cap
of [15.50%] (the "Formula Rate"), and
(b), the Maximum Rate.
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>
SUMMARY OF TERMS (CONTINUED)
Deferred Interest: To the extent the respective Maximum Rate
("Catch-Up Interest") is less than the respective Formula Rate
on any Payment Date, the deficiency will
be deferred ("DEFERRED INTEREST"). Such
Deferred Interest will be reimbursed
through distributions on following
Payment Dates, to the extent of Available
Funds as set forth under "Priority of
Payments" in the offering documents.
Neither the insurance policy nor the
Freddie Mac guarantee will guarantee the
payment of such Deferred Interest.
Amortization Periods: The allocation of principal collections
is divided into two distinct periods: the
Managed Amortization Period and the Rapid
Amortization Period
Managed Amortization Period: Begins on the first Payment Date and ends
on the earlier of the 60th Payment Date
or the Payment Date which immediately
precedes.a Rapid Amortization Event.
Rapid Amortization Period: Begins on the Payment Date immediately
following the end of the Managed
Amortization Period.
Optional Redemption: The sponsor may exercise its right to
repurchase the mortgage loans with
respect to a related group on any Payment
Date on or after which the Principal
Balance of the related class of
Securities declines to 10% or less of the
Principal Balance of that class of
Securities as of the Closing Date. The
right to repurchase is subject to certain
conditions, including the consent of FGIC
and Freddie Mac (if the redemption would
result in a draw under the policy, or the
Freddie Mac guarantee, respectively) and
that no reimbursement be due to FGIC or
Freddie Mac with respect to that class of
Securities. If such an event occurs,
security holders will receive a final
distribution on such payment date.
Amendments to Credit Line The Servicer may change the terms of the
Agreements: Loan Agreements at any time provided that
such changes (i) do not adversely affect
the interest of the Securityholders or
the Insurer, and (ii) are consistent with
prudent business practice. Such
modifications may include increases in
the Credit Limit of the related HELOC
Mortgage Loan or reductions to the Margin
for such HELOC Mortgage Loan.
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>
SUMMARY OF TERMS (CONTINUED)
Optional Removal of Mortgage Loans On any Payment Date the Trust may
by the Trust: designate for removal certain Mortgage
Loans without notice to the related
Securityholders, subject to the following
conditions as specified in the Sale and
Servicing Agreement:
(a) The Overcollateralization amount
exceeds the related Specified
Overcollateralization Amount,
(b) The Trust shall have delivered to
the Trustee a Mortgage Loan Schedule
containing a list of all Mortgage
Loans remaining after such removal,
(c) The Trust shall represent and
warrant that no selection procedures
which the Trust reasonably believes
are adverse to the interests of the
Securityholders, the Insurer, or
(with respect to Class A1 only)
Freddie Mac, were used by the Trust
in selecting such loans,
(d) The Rating Agencies shall have been
notified of the proposed removal,
and in writing, notified the
Trustee, Insurer, and (with respect
to the Class A1 only) Freddie Mac,
that such removal would not result
in a reduction or withdrawal of
ratings assigned to the related
Class A Securities without regard to
the policy,
(e) The proposed removal shall not cause
a Rapid Amortization Event to occur,
(f) The Rapid Amortization Period shall
not have commenced, and
(g) The Trust shall have delivered to the
Trustee and the Insurer an officer's
certificate conforming the conditions
set forth above.
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>
SUMMARY OF TERMS (CONTINUED)
Principal: Excluding any Rapid Amortization Events,
the allocation of principal collections
to the Securities are divided into two
distinct periods: the Managed
Amortization Period and the Rapid
Amortization Period. With respect to each
Payment Date and Class of Securities,
holders of Securities with respect to a
group of mortgage loans will receive the
"PRINCIPAL PAYMENT AMOUNT," which shall
equal the positive difference of (a) the
Maximum Principal Payment and (b) the
amount by which the overcollateralization
amount exceeds the Specified
Overcollateralization (the
"Overcollateralization Reduction
Amount"), if any, in each case, with
respect to such Payment Date and such
Class.
(A) During the Managed
Amortization Period, the
"MAXIMUM PRINCIPAL PAYMENT"
shall equal the "Net Principal
Collections" with respect to
such Payment Date and Loan
Group.
(B) During the Rapid Amortization
Period, the "MAXIMUM PRINCIPAL
PAYMENT" shall equal the
Principal Collections with
respect to such Payment Date
and Loan Group.
(C) "NET PRINCIPAL COLLECTIONS"
shall equal the positive
difference of (x) the
Principal Collections with
respect to such Payment Date
and such Pool and (y) the
aggregate principal amount of
all Additional Balances (draws
upon home equity lines of
credit mortgage loans) with
respect to such Pool arising
during the Collection Period
related to such Payment Date.
Accelerated Principal:
With respect to each Class of Class A
Securities and the related Pool, on any
Payment Date where Excess Cashflow
exists, such amount will be distributed
to pay the principal balance of that
Class to the extent required to increase
the Overcollateralization Amount to the
related Specified Overcollateralization
Amount applicable to such Payment Date.
The amount of such Excess Cashflow so
applied will be limited during the Excess
Spread Holiday.
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>
SUMMARY OF TERMS (CONTINUED)
Rapid Amortization Event: (i) The failure of the Trust, the
Company, the Sponsor or the
Servicer to make certain required
payments within two Business Days
after notification, or to observe
or perform certain other covenants
which continue unremedied for a
period of 60 days after written
notification;
(ii) The failure of the Trust, the
Company, the Servicer, or the
Sponsor to remedy the breach of
certain representations and
warranties within 60 days of
written notice, provided that
with respect to any representation
or warranty for a Mortgage Loan in
the related pool purchased during
such period (or within an
additional 60 days with the
consent of the Trustee and the
Insurer), a Rapid Amortization
Event shall not be deemed to occur;
(iii) The occurrence of certain events
bankruptcy, insolvency or
receivership relating to the
Sponsor, the Company or the Trust;
(iv) The Trust becomes subject to the
Investment Company Act of 1940;
(v) Aggregate cumulative principal
balance of draws of either group
under the Policy exceeds 1% of the
related Pool Balance as of the
Cut-Off Date; and
(vi) A default in the payment of any
interest, principal, or installment
of pricipal on the related
Securities, either and such default
continues for a period of five
Business Days.
The occurrence of a Rapid Amortization
Event with respect to a Class of Class A
Securities will not cause a Rapid
Amortization Event with repsect to the
other Class of Class A Securities unless
the same event of circumstance is a Rapid
Amortization Event with respect to both
Classes.
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>
SUMMARY OF TERMS (CONTINUED)
Servicer Advances: The Servicer:
(1) pays all out-of-pocket expenses to
service these loans; and
(2) will receive all assumption fees,
late payment charges and other fees
and charges, to the extent collected
from borrowers, as additional
servicing compensation.
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>
WEIGHTED AVERAGE LIFE (1) AND MATURITY
SENSITIVITY OF THE NOTES TO PAYMENTS AND DRAWS
(ASSUMES 10% CLEAN UP CALL)
PREPAYMENT SPEEDS (EXPRESSED AS % CPR FOR HELOCS AND FOR CLOSED-END LOANS)
<TABLE>
<CAPTION>
CLASS A-1
---------------- ------- ------- ---------- ------- ------- ---------- ------- ------ ----------
% CPR HELLOC 25% 30% 40%
---------------- -------------------------------------------------------- ---------------------------
% CPR CLOSED END 10% 20% 30%
---------------- -------------------------------------------------------- ---------------------------
CONSTANT DRAW WAL WINDOW EXPECTED WAL WINDOW EXPECTED WAL WINDOW EXPECTED
RATE (% CDR) (YRS) (MONTHS) FINAL MAT. (YRS) (MONTHS) FINAL MAT. (YRS) (MONTHS) FINAL MAT.
---------------- ------- ------- ---------- ------- ------- ---------- ------- ------ ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
15% 5.19 1-135 12/15/11 3.81 1-104 05/15/09 2.44 1-73 10/15/06
20% 6.22 1-146 11/15/12 4.51 1-113 02/15/10 2.79 1-79 04/15/07
25% 7.63 1-157 10/15/13 5.46 1-123 12/15/10 3.24 1-86 11/15/07
---------------- ------- ------- ---------- ------- ------- ---------- ------- ------ ----------
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
CLASS A-1
---------------- ------- ------ ---------- ------- ------ ----------
% CPR HELLOC 45% 50%
---------------- ------------------------------------------------------
% CPR CLOSED END 40% 50%
---------------- ------------------------------------------------------
CONSTANT DRAW WAL WINDOW EXPECTED WAL WINDOW EXPECTED
RATE (% CDR) (YRS) (MONTHS) FINAL MAT. (YRS) (MONTHS) FINAL MAT.
---------------- ------- ------ ---------- ------- ------ ----------
<S> <C> <C> <C> <C> <C> <C>
15% 1.97 1-61 10/15/05 1.60 1-50 11/15/04
20% 2.22 1-67 04/15/06 1.79 1-56 05/15/05
25% 2.55 1-73 10/15/06 2.04 1-63 12/15/05
---------------- ------- ------ ---------- ------- ------ ----------
</TABLE>
<TABLE>
<CAPTION>
CLASS A-2
---------------- ------- ------- ---------- ------- ------- ---------- ------- ------ ----------
% CPR HELLOC 25% 30% 40%
---------------- -------------------------------------------------------- ---------------------------
% CPR CLOSED END 10% 20% 30%
---------------- -------------------------------------------------------- ---------------------------
CONSTANT DRAW WAL WINDOW EXPECTED WAL WINDOW EXPECTED WAL WINDOW EXPECTED
RATE (% CDR) (YRS) (MONTHS) FINAL MAT. (YRS) (MONTHS) FINAL MAT. (YRS) (MONTHS) FINAL MAT.
---------------- ------- ------- ---------- ------- ------- ---------- ------- ------ ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
15% 5.20 1-136 01/15/12 3.81 1-104 05/15/09 2.44 1-73 10/15/06
20% 6.21 1-146 11/15/12 4.50 1-113 02/15/10 2.78 1-79 04/15/07
25% 7.60 1-157 10/15/13 5.43 1-123 12/15/10 3.23 1-86 11/15/07
---------------- ------- ------- ---------- ------- ------- ---------- ------- ------ ----------
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
CLASS A-2
---------------- ------- ------ ---------- ------- ------ ----------
% CPR HELLOC 45% 50%
---------------- ------------------------------------------------------
% CPR CLOSED END 40% 50%
---------------- ------------------------------------------------------
CONSTANT DRAW WAL WINDOW EXPECTED WAL WINDOW EXPECTED
RATE (% CDR) (YRS) (MONTHS) FINAL MAT. (YRS) (MONTHS) FINAL MAT.
---------------- ------- ------ ---------- ------- ------ ----------
<S> <C> <C> <C> <C> <C> <C>
15% 1.96 1-61 10/15/05 1.60 1-50 11/15/04
20% 2.21 1-67 04/15/06 1.78 1-56 05/15/05
25% 2.54 1-73 10/15/06 2.03 1-63 12/15/05
---------------- ------- ------ ---------- ------- ------ ----------
</TABLE>
(1) The weighted average life of each of the Securities is determined by (i)
multiplying the amount of each principal payment by the number of years
from the date of issuance to the related Payment Date, (ii) adding the
results, and (iii) dividing the sum by the Original Security Principal
Balance
Assuming a settlement date of September 22, 2000.
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>
WEIGHTED AVERAGE LIFE (1) AND MATURITY
SENSITIVITY OF THE NOTES TO PAYMENTS AND DRAWS (CONTINUED)
(ASSUMES NO CLEAN UP CALL)
PREPAYMENT SPEEDS (EXPRESSED AS % CPR FOR HELOCS AND FOR CLOSED-END LOANS)
<TABLE>
<CAPTION>
---------------- -------------------------------------------------------- ----------------------------
CLASS A-1
---------------- -------------------------------------------------------- ----------------------------
% CPR HELLOC 25% 30% 40%
---------------- -------------------------------------------------------- ----------------------------
% CPR CLOSED END 10% 20% 30%
---------------- -------------------------------------------------------- ----------------------------
CONSTANT DRAW WAL WINDOW EXPECTED WAL WINDOW EXPECTED WAL WINDOW EXPECTED
RATE (% CDR) (YRS) (MONTHS) FINAL MAT. (YRS) (MONTHS) FINAL MAT. (YRS) (MONTHS) FINAL MAT.
---------------- ------- ------- ---------- ------- ------- ---------- ------- ------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
15% 5.42 1-183 12/15/15 4.05 1-178 07/15/15 2.61 1-147 12/15/12
20% 6.41 1-196 01/15/17 4.74 1-179 08/15/15 2.96 1-153 06/15/13
25% 7.77 1-209 02/15/18 5.67 1-180 09/15/15 3.42 1-159 12/15/13
---------------- ------- ------- ---------- ------- ------- ---------- ------- ------- ----------
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
---------------- --------------------------------------------------------
CLASS A-1
---------------- --------------------------------------------------------
% CPR HELLOC 45% 50%
---------------- --------------------------------------------------------
% CPR CLOSED END 40% 50%
---------------- --------------------------------------------------------
CONSTANT DRAW WAL WINDOW EXPECTED WAL WINDOW EXPECTED
RATE (% CDR) (YRS) (MONTHS) FINAL MAT. (YRS) (MONTHS) FINAL MAT.
---------------- ------- ------- ---------- ------- ------- ----------
<S> <C> <C> <C> <C> <C> <C>
15% 2.11 1-123 12/15/10 1.74 1-105 06/15/09
20% 2.37 1-129 06/15/11 1.92 1-110 11/15/09
25% 2.69 1-135 12/15/11 2.16 1-116 05/15/10
---------------- ------- ------- ---------- ------- ------- ----------
</TABLE>
<TABLE>
<CAPTION>
---------------- -------------------------------------------------------- ----------------------------
CLASS A-2
---------------- -------------------------------------------------------- ----------------------------
% CPR HELLOC 25% 30% 40%
---------------- -------------------------------------------------------- ----------------------------
% CPR CLOSED END 10% 20% 30%
---------------- -------------------------------------------------------- ----------------------------
CONSTANT DRAW WAL WINDOW EXPECTED WAL WINDOW EXPECTED WAL WINDOW EXPECTED
RATE (% CDR) (YRS) (MONTHS) FINAL MAT. (YRS) (MONTHS) FINAL MAT. (YRS) (MONTHS) FINAL MAT.
---------------- ------- ------- ---------- ------- ------- ---------- ------- ------- ----------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
15% 5.42 1-180 09/15/15 4.05 1-178 07/15/15 2.61 1-147 12/15/12
20% 6.40 1-180 09/15/15 4.73 1-178 07/15/15 2.95 1-153 06/15/13
25% 7.74 1-184 01/15/16 5.65 1-178 07/15/15 3.40 1-159 12/15/13
---------------- ------- ------- ---------- ------- ------- ---------- ------- ------- ----------
</TABLE>
(RESTUBBED TABLE CONTINUED FROM ABOVE)
<TABLE>
<CAPTION>
---------------- --------------------------------------------------------
CLASS A-2
---------------- --------------------------------------------------------
% CPR HELLOC 45% 50%
---------------- --------------------------------------------------------
% CPR CLOSED END 40% 50%
---------------- --------------------------------------------------------
CONSTANT DRAW WAL WINDOW EXPECTED WAL WINDOW EXPECTED
RATE (% CDR) (YRS) (MONTHS) FINAL MAT. (YRS) (MONTHS) FINAL MAT.
---------------- ------- ------- ---------- ------- ------- ----------
<S> <C> <C> <C> <C> <C> <C>
15% 2.11 1-123 12/15/10 1.74 1-105 06/15/09
20% 2.36 1-129 06/15/11 1.92 1-110 11/15/09
25% 2.68 1-135 12/15/11 2.15 1-116 05/15/10
---------------- ------- ------- ---------- ------- ------- ----------
</TABLE>
(1) The weighted average life of each of the Securities is determined by (i)
multiplying the amount of each principal payment by the number of years
from the date of issuance to the related Payment Date, (ii) adding the
results, and (iii) dividing the sum by the Original Security Principal
Balance. Assuming a settlement date of September 22, 2000.
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>
GROUP I MAXIMUM RATE SCHEDULE
Assuming the Pricing Speed with the Prime Rate equal to 9.50%, and interest
accrues on a 30/360 basis.
-------- ---------------- -------- ----------------
Period Maximum Rate (%) Period Maximum Rate (%)
-------- ---------------- -------- ----------------
1 11.653 31 11.164
-------- ---------------- -------- ----------------
2 11.653 32 11.164
-------- ---------------- -------- ----------------
3 11.654 33 11.164
-------- ---------------- -------- ----------------
4 11.654 34 11.165
-------- ---------------- -------- ----------------
5 11.654 35 11.165
-------- ---------------- -------- ----------------
6 11.655 36 11.165
-------- ---------------- -------- ----------------
7 11.655 37 11.166
-------- ---------------- -------- ----------------
8 11.656 38 11.166
-------- ---------------- -------- ----------------
9 11.656 39 11.166
-------- ---------------- -------- ----------------
10 11.656 40 11.167
-------- ---------------- -------- ----------------
11 11.657 41 11.167
-------- ---------------- -------- ----------------
12 11.657 42 11.167
-------- ---------------- -------- ----------------
13 11.157 43 11.168
-------- ---------------- -------- ----------------
14 11.158 44 11.168
-------- ---------------- -------- ----------------
15 11.158 45 11.168
-------- ---------------- -------- ----------------
16 11.158 46 11.169
-------- ---------------- -------- ----------------
17 11.159 47 11.169
-------- ---------------- -------- ----------------
18 11.159 48 11.169
-------- ---------------- -------- ----------------
19 11.159 49 11.169
-------- ---------------- -------- ----------------
20 11.160 50 11.170
-------- ---------------- -------- ----------------
21 11.160 51 11.170
-------- ---------------- -------- ----------------
22 11.161 52 11.170
-------- ---------------- -------- ----------------
23 11.161 53 11.171
-------- ---------------- -------- ----------------
24 11.161 54 11.171
-------- ---------------- -------- ----------------
25 11.162 55 11.171
-------- ---------------- -------- ----------------
26 11.162 56 11.172
-------- ---------------- -------- ----------------
27 11.162 57 11.172
-------- ---------------- -------- ----------------
28 11.163 58 11.172
-------- ---------------- -------- ----------------
29 11.163 59 11.173
-------- ---------------- -------- ----------------
30 11.163 60 11.173
-------- ---------------- -------- ----------------
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>
GROUP II MAXIMUM RATE SCHEDULE
Assuming the Pricing Speed with the Prime Rate equal to 9.50%, and interest
accrues on a 30/360 basis.
-------- ---------------- -------- ----------------
Period Maximum Rate (%) Period Maximum Rate (%)
-------- ---------------- -------- ----------------
1 11.719 31 11.233
-------- ---------------- -------- ----------------
2 11.719 32 11.233
-------- ---------------- -------- ----------------
3 11.720 33 11.233
-------- ---------------- -------- ----------------
4 11.720 34 11.234
-------- ---------------- -------- ----------------
5 11.721 35 11.234
-------- ---------------- -------- ----------------
6 11.721 36 11.235
-------- ---------------- -------- ----------------
7 11.722 37 11.235
-------- ---------------- -------- ----------------
8 11.722 38 11.236
-------- ---------------- -------- ----------------
9 11.723 39 11.236
-------- ---------------- -------- ----------------
10 11.723 40 11.236
-------- ---------------- -------- ----------------
11 11.724 41 11.237
-------- ---------------- -------- ----------------
12 11.724 42 11.237
-------- ---------------- -------- ----------------
13 11.225 43 11.238
-------- ---------------- -------- ----------------
14 11.225 44 11.238
-------- ---------------- -------- ----------------
15 11.225 45 11.238
-------- ---------------- -------- ----------------
16 11.226 46 11.239
-------- ---------------- -------- ----------------
17 11.226 47 11.239
-------- ---------------- -------- ----------------
18 11.227 48 11.240
-------- ---------------- -------- ----------------
19 11.227 49 11.240
-------- ---------------- -------- ----------------
20 11.228 50 11.240
-------- ---------------- -------- ----------------
21 11.228 51 11.241
-------- ---------------- -------- ----------------
22 11.229 52 11.241
-------- ---------------- -------- ----------------
23 11.229 53 11.242
-------- ---------------- -------- ----------------
24 11.229 54 11.242
-------- ---------------- -------- ----------------
25 11.230 55 11.242
-------- ---------------- -------- ----------------
26 11.230 56 11.243
-------- ---------------- -------- ----------------
27 11.231 57 11.243
-------- ---------------- -------- ----------------
28 11.231 58 11.244
-------- ---------------- -------- ----------------
29 11.232 59 11.234
-------- ---------------- -------- ----------------
30 11.232 60 11.244
-------- ---------------- -------- ----------------
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>
GROUP I COLLATERAL SUMMARY
Collateral statistics for the Initial Group I CONFORMING HELOC / CLOSED END FRMS
Are listed below as of 8/31/00
TOTAL NUMBER OF LOANS 4,354
TOTAL OUTSTANDING LOAN BALANCE $216,518,594.36
HELOC % / CLOSED END % 86.65% / 13.35%
BALLOON % - CLOSED END 52.49%
AVERAGE DRAWN AMOUNT - HELOC $51,347 $0 to $280,197
AVERAGE CREDIT LIMIT - HELOC $66,546 $7,500 to $316,000
WA CREDIT UTILIZATION RATIO - HELOC 77.48% 0% to 100.00%
CURRENT OVERALL WA COUPON 9.236% 2.500% to 16.250%
FULLY INDEXED OVERALL WA COUPON 12.042% 9.500% to 17.500%
WA COUPON - CLOSED END 12.008%
WA MARGIN 2.934% 0.000% to 8.000%
LIFE CAP - HELOC 18.000%
WA MONTHS TO NEXT RATE ADJUSTMENT 2
WA LOAN AGE (MONTHS) 2 0 to 20
WA REMAINING TERM (MONTHS) 199 120 to 300
WA CLTV 81.56% 5.52% to 100.06%
WA FICO 697 598 to 813
WA JUNIOR MORTGAGE RATIO 24.42% 3.72% to 90.08%
LIEN POSITION (FIRST/SECOND) 1.99% / 98.01%
PROPERTY TYPE
SINGLE FAMILY 72.28%
PUD 15.00%
CONDO 8.02%
DUPLEX 2.89%
3 FAMILY 1.12%
4 FAMILY 0.70%
OCCUPANCY STATUS
PRIMARY 100.00%
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY, AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO 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>
GROUP I COLLATERAL SUMMARY
Collateral statistics for the Initial Group I CONFORMING HELOC / CLOSED END FRMS
(Continued)
LOAN DOCUMENTATION
NO INCOME VERIFICATION 62.28%
FULL 33.68%
NO RATIO 3.94%
NO INCOME/NO ASSET 0.10%
NO INCOME, EMPLOYMENT, OR ASSET VERIFICATION 0.00%
LOAN PURPOSE
CASH OUT REFINANCE 77.51%
PURCHASE 20.89%
RATE/TERM REFINANCE 1.60%
GEOGRAPHIC DISTRIBUTION
other states account individually for less than CA 75.57%
5% of pool balance
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>
GROUP I COLLATERAL SUMMARY
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
PRODUCT - MORTGAGE LOANS
---------------------------------------------------------------------------------------------
MORTGAGE % OF POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
HELOC 3,654 187,620,427.58 86.65
Closed End 700 28,898,166.78 13.35
---------------------------------------------------------------------------------------------
TOTAL: 4,354 216,518,594.36 100.00
---------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
OUTSTANDING PRINCIPAL BALANCES - MORTGAGE LOANS
---------------------------------------------------------------------------------------------
($) MORTGAGE % OF POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.00 10 0.00 0.00
0.01 - 2,500.00 57 88,662.40 0.04
2,500.01 - 5,000.00 47 175,856.32 0.08
5,000.01 - 7,500.00 44 271,279.08 0.13
7,500.01 - 10,000.00 73 689,916.33 0.32
10,000.01 - 15,000.00 271 3,468,591.73 1.60
15,000.01 - 20,000.00 359 6,391,600.97 2.95
20,000.01 - 30,000.00 792 19,877,390.32 9.18
30,000.01 - 40,000.00 603 21,176,317.00 9.78
40,000.01 - 50,000.00 660 30,538,004.68 14.10
50,000.01 - 60,000.00 287 15,982,782.74 7.38
60,000.01 - 70,000.00 241 15,752,250.94 7.28
70,000.01 - 80,000.00 193 14,548,566.90 6.72
80,000.01 - 90,000.00 122 10,452,259.94 4.83
90,000.01 - 100,000.00 255 24,933,017.43 11.52
100,000.01 - 150,000.00 214 27,180,823.60 12.55
150,000.01 - 200,000.00 92 16,830,950.31 7.77
200,000.01 - 250,000.00 33 7,880,126.67 3.64
250,000.01 - 300,000.00 1 280,197.00 0.13
---------------------------------------------------------------------------------------------
TOTAL: 4,354 216,518,594.36 100.00
---------------------------------------------------------------------------------------------
</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>
GROUP I COLLATERAL SUMMARY
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
CURRENT LOAN RATES - MORTGAGE LOANS
---------------------------------------------------------------------------------------------
(%) MORTGAGE % OF POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
2.001 - 2.500 1 32,000.00 0.01
4.001 - 4.500 2 80,999.50 0.04
5.001 - 5.500 1 56,878.74 0.03
5.501 - 6.000 1,998 103,427,223.54 47.77
6.001 - 6.500 2 49,256.48 0.02
8.001 - 8.500 2 98,865.86 0.05
8.501 - 9.000 2 79,651.12 0.04
9.001 - 9.500 238 10,779,472.24 4.98
9.501 - 10.000 88 4,484,006.54 2.07
10.001 - 10.500 136 5,728,678.19 2.65
10.501 - 11.000 127 5,891,548.11 2.72
11.001 - 11.500 107 5,718,685.70 2.64
11.501 - 12.000 186 11,563,439.51 5.34
12.001 - 12.500 280 14,293,682.74 6.60
12.501 - 13.000 256 10,297,537.93 4.76
13.001 - 13.500 280 13,137,656.63 6.07
13.501 - 14.000 389 17,591,168.99 8.12
14.001 - 14.500 221 11,386,430.47 5.26
14.501 - 15.000 32 1,514,826.81 0.70
15.001 - 15.500 4 221,554.85 0.10
15.501 - 16.000 1 24,644.87 0.01
16.001 - 16.500 1 60,385.54 0.03
---------------------------------------------------------------------------------------------
TOTAL: 4,354 216,518,594.36 100.00
---------------------------------------------------------------------------------------------
</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>
GROUP I COLLATERAL SUMMARY
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------
ORIGINAL TERMS - MORTGAGE LOANS
----------------------------------------------------------------------------------------------
(MONTHS) MORTGAGE % OF POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
120 2 60,856.10 0.03
180 3,554 178,205,485.16 82.30
300 798 38,252,253.10 17.67
----------------------------------------------------------------------------------------------
TOTAL: 4,354 216,518,594.36 100.00
----------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------
MONTHS REMAINING TO SCHEDULED MATURITY - MORTGAGE LOANS
----------------------------------------------------------------------------------------------
(MONTHS) MORTGAGE % OF POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
109 - 120 2 60,856.10 0.03
157 - 168 1 27,529.86 0.01
169 - 180 3,553 178,177,955.30 82.29
289 - 300 798 38,252,253.10 17.67
----------------------------------------------------------------------------------------------
TOTAL: 4,354 216,518,594.36 100.00
----------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------
LOAN AGE - MORTGAGE LOANS
----------------------------------------------------------------------------------------------
(MONTHS) MORTGAGE % OF POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
----------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0 1,722 82,191,394.28 37.96
1 - 12 2,631 134,299,670.22 62.03
13 - 24 1 27,529.86 0.01
----------------------------------------------------------------------------------------------
TOTAL: 4,354 216,518,594.36 100.00
----------------------------------------------------------------------------------------------
</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>
GROUP I COLLATERAL SUMMARY
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
COMBINED LOAN-TO-VALUE RATIO - MORTGAGE LOANS
---------------------------------------------------------------------------------------------
(%) MORTGAGE % OF POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
5.01 - 10.00 2 39,936.13 0.02
10.01 - 15.00 5 203,681.55 0.09
15.01 - 20.00 10 453,455.98 0.21
20.01 - 25.00 13 587,292.95 0.27
25.01 - 30.00 16 1,177,453.99 0.54
30.01 - 35.00 27 1,686,525.38 0.78
35.01 - 40.00 22 1,044,425.80 0.48
40.01 - 45.00 24 1,350,711.77 0.62
45.01 - 50.00 56 3,576,468.07 1.65
50.01 - 55.00 77 3,830,369.17 1.77
55.01 - 60.00 81 4,878,120.17 2.25
60.01 - 65.00 113 7,171,531.72 3.31
65.01 - 70.00 179 11,018,518.76 5.09
70.01 - 75.00 254 14,948,725.50 6.90
75.01 - 80.00 724 41,694,373.38 19.26
80.01 - 85.00 293 16,315,798.90 7.54
85.01 - 90.00 1,141 49,754,462.81 22.98
90.01 - 95.00 1,057 45,235,382.00 20.89
95.01 - 100.00 258 11,439,280.33 5.28
100.01 - 105.00 2 112,080.00 0.05
---------------------------------------------------------------------------------------------
TOTAL: 4,354 216,518,594.36 100.00
---------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
LIEN POSITION - MORTGAGE LOANS
---------------------------------------------------------------------------------------------
(%) MORTGAGE % OF POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
1st Lien 70 4,301,027.34 1.99
2nd Lien 4,284 212,217,567.02 98.01
---------------------------------------------------------------------------------------------
TOTAL: 4,354 216,518,594.36 100.00
---------------------------------------------------------------------------------------------
</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>
GROUP I COLLATERAL SUMMARY
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
JUNIOR MORTGAGE RATIO - MORTGAGE LOANS
---------------------------------------------------------------------------------------------
(%) MORTGAGE % OF POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.001 - 5.000 7 327,279.04 0.15
5.001 - 10.000 204 5,798,282.39 2.73
10.001 - 15.000 940 32,971,501.77 15.54
15.001 - 20.000 1,128 47,375,608.59 22.32
20.001 - 25.000 803 40,710,540.94 19.18
25.001 - 30.000 479 30,744,862.83 14.49
30.001 - 35.000 305 20,951,504.33 9.87
35.001 - 40.000 169 13,083,187.60 6.16
40.001 - 45.000 106 8,018,248.73 3.78
45.001 - 50.000 57 4,859,287.58 2.29
50.001 - 55.000 34 2,694,254.67 1.27
55.001 - 60.000 16 1,572,403.07 0.74
60.001 - 65.000 11 1,085,143.20 0.51
65.001 - 70.000 11 702,316.14 0.33
70.001 - 75.000 7 822,225.47 0.39
80.001 - 85.000 1 109,738.82 0.05
85.001 - 90.000 5 300,720.67 0.14
90.001 - 95.000 1 90,461.18 0.04
---------------------------------------------------------------------------------------------
TOTAL: 4,284 212,217,567.02 100.00
---------------------------------------------------------------------------------------------
</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>
GROUP I COLLATERAL SUMMARY
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
CREDIT LIMITS - HELOC MORTGAGE LOANS
---------------------------------------------------------------------------------------------
($) MORTGAGE % OF POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.01 - 10,000.00 30 278,709.77 0.15
10,000.01 - 20,000.00 314 4,699,042.19 2.50
20,000.01 - 30,000.00 521 11,914,299.68 6.35
30,000.01 - 40,000.00 417 12,614,392.54 6.72
40,000.01 - 50,000.00 698 26,564,511.38 14.16
50,000.01 - 60,000.00 196 9,536,198.93 5.08
60,000.01 - 70,000.00 211 11,617,337.51 6.19
70,000.01 - 80,000.00 201 12,162,039.42 6.48
80,000.01 - 90,000.00 102 6,961,222.62 3.71
90,000.01 - 100,000.00 507 34,400,022.67 18.33
100,000.01 - 150,000.00 225 23,925,388.39 12.75
150,000.01 - 200,000.00 167 21,280,427.24 11.34
200,000.01 - 250,000.00 62 10,993,161.03 5.86
250,000.01 - 300,000.00 2 393,477.21 0.21
300,000.01 - 350,000.00 1 280,197.00 0.15
---------------------------------------------------------------------------------------------
TOTAL: 3,654 187,620,427.58 100.00
---------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
CREDIT LIMIT UTILIZATION RATES - HELOC MORTGAGE LOANS
---------------------------------------------------------------------------------------------
(%) MORTGAGE % OF POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.00 10 0.00 0.00
0.01 - 10.00 122 476,268.81 0.25
10.01 - 20.00 81 1,049,046.37 0.56
20.01 - 30.00 99 2,000,677.52 1.07
30.01 - 40.00 131 3,663,792.79 1.95
40.01 - 50.00 150 5,184,492.01 2.76
50.01 - 60.00 160 7,346,598.34 3.92
60.01 - 70.00 192 8,821,919.01 4.70
70.01 - 80.00 192 10,762,774.63 5.74
80.01 - 90.00 230 13,612,616.26 7.26
90.01 - 100.00 2,287 134,702,241.84 71.80
---------------------------------------------------------------------------------------------
TOTAL: 3,654 187,620,427.58 100.00
---------------------------------------------------------------------------------------------
</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>
GROUP I COLLATERAL SUMMARY
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
MARGINS - HELOC MORTGAGE LOANS
---------------------------------------------------------------------------------------------
(%) MORTGAGE % OF POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.000 529 23,647,793.13 12.60
0.001 - 0.250 12 482,710.03 0.26
0.251 - 0.500 108 4,851,965.77 2.59
0.501 - 0.750 12 709,597.04 0.38
0.751 - 1.000 151 7,290,657.41 3.89
1.001 - 1.250 5 188,524.81 0.10
1.251 - 1.500 94 4,809,387.18 2.56
1.501 - 1.750 65 3,129,529.31 1.67
1.751 - 2.000 51 3,587,345.98 1.91
2.001 - 2.250 80 4,638,585.98 2.47
2.251 - 2.500 176 14,978,933.52 7.98
2.501 - 2.750 134 5,348,706.23 2.85
2.751 - 3.000 253 16,688,512.32 8.89
3.001 - 3.250 230 10,101,893.76 5.38
3.251 - 3.500 113 5,697,403.39 3.04
3.501 - 3.750 373 17,808,367.15 9.49
3.751 - 4.000 96 4,590,278.79 2.45
4.001 - 4.250 513 26,379,797.11 14.06
4.251 - 4.500 111 5,008,471.71 2.67
4.501 - 4.750 389 19,639,730.76 10.47
4.751 - 5.000 77 4,071,477.78 2.17
5.001 - 5.250 59 2,923,897.40 1.56
5.251 - 5.500 10 434,096.79 0.23
5.501 - 5.750 7 380,470.86 0.20
5.751 - 6.000 3 124,940.92 0.07
6.001 - 6.250 1 24,644.87 0.01
6.501 - 6.750 1 60,385.54 0.03
7.751 - 8.000 1 22,322.04 0.01
---------------------------------------------------------------------------------------------
TOTAL: 3,654 187,620,427.58 100.00
---------------------------------------------------------------------------------------------
</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>
GROUP I COLLATERAL SUMMARY
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
STATES - MORTGAGE LOANS
---------------------------------------------------------------------------------------------
MORTGAGE % OF POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
AR 1 16,739.55 0.01
AZ 89 4,062,862.61 1.88
CA 2,964 163,622,323.03 75.57
CO 140 5,240,157.48 2.42
CT 20 718,274.29 0.33
DC 2 55,172.45 0.03
DE 4 89,735.00 0.04
FL 95 2,534,298.03 1.17
GA 42 1,733,379.94 0.80
IA 3 89,483.45 0.04
ID 29 739,226.39 0.34
IL 83 3,078,252.04 1.42
IN 3 161,285.03 0.07
KS 3 142,982.03 0.07
MA 133 5,211,678.43 2.41
MD 48 1,837,247.95 0.85
ME 2 69,104.51 0.03
MI 15 420,010.88 0.19
MO 2 72,803.10 0.03
MS 1 24,300.00 0.01
MT 11 392,043.41 0.18
NC 24 832,858.57 0.38
NE 2 36,875.77 0.02
NH 9 171,158.12 0.08
NJ 26 1,244,106.67 0.57
NM 15 382,813.54 0.18
NV 60 2,437,937.18 1.13
NY 79 4,068,116.82 1.88
OK 1 34,097.57 0.02
OR 111 4,136,870.20 1.91
PA 24 751,515.66 0.35
RI 8 279,547.99 0.13
SC 14 475,763.00 0.22
SD 2 83,183.48 0.04
TN 1 10,000.00 0.00
UT 64 2,569,960.93 1.19
VA 48 2,143,391.35 0.99
WA 172 6,456,580.21 2.98
WI 3 61,601.60 0.03
WV 1 30,856.10 0.01
---------------------------------------------------------------------------------------------
TOTAL: 4,354 216,518,594.36 100.00
---------------------------------------------------------------------------------------------
</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>
GROUP I COLLATERAL SUMMARY
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
OCCUPANCY TYPE - MORTGAGE LOANS
---------------------------------------------------------------------------------------------
MORTGAGE % OF POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Primary 4,354 216,518,594.36 100.00
---------------------------------------------------------------------------------------------
TOTAL: 4,354 216,518,594.36 100.00
---------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
DOCUMENTATION - MORTGAGE LOANS
---------------------------------------------------------------------------------------------
MORTGAGE % OF POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
No Income Verification 2,629 134,838,674.93 62.28
Full 1,564 72,931,275.80 33.68
No Ratio 159 8,536,787.40 3.94
No Income/No Asset 2 211,856.23 0.10
---------------------------------------------------------------------------------------------
TOTAL: 4,354 216,518,594.36 100.00
---------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
LOAN PURPOSE - MORTGAGE LOANS
---------------------------------------------------------------------------------------------
MORTGAGE % OF POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Cash Out Refinance 3,100 167,829,354.36 77.51
Purchase 1,168 45,229,659.57 20.89
Rate/Term Refinance 86 3,459,580.43 1.60
---------------------------------------------------------------------------------------------
TOTAL: 4,354 216,518,594.36 100.00
---------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
PROPERTY TYPE - MORTGAGE LOANS
---------------------------------------------------------------------------------------------
MORTGAGE % OF POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Single Family 3,122 156,494,753.23 72.28
PUD 611 32,485,758.74 15.00
Condo 421 17,363,313.49 8.02
Duplex 124 6,246,985.47 2.89
3 Family 47 2,419,813.92 1.12
4 Family 29 1,507,969.51 0.70
---------------------------------------------------------------------------------------------
TOTAL: 4,354 216,518,594.36 100.00
---------------------------------------------------------------------------------------------
</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>
GROUP I COLLATERAL SUMMARY
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
CREDIT SCORES - MORTGAGE LOANS
---------------------------------------------------------------------------------------------
(%) MORTGAGE % OF POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
(lesser than) 550 4 150,964.48 0.07
551 - 600 4 61,762.25 0.03
601 - 650 670 31,827,305.22 14.70
651 - 700 1,801 90,442,176.56 41.77
701 - 750 1,259 64,375,280.14 29.73
751 - 800 591 28,490,952.65 13.16
801 - 850 25 1,170,153.06 0.54
---------------------------------------------------------------------------------------------
TOTAL: 4,354 216,518,594.36 100.00
---------------------------------------------------------------------------------------------
</TABLE>
Loans with FICO scores below 400 were eliminated from the average.
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>
GROUP II COLLATERAL SUMMARY
Collateral statistics for the Initial Group II NONCONFORMING HELOC / CLOSED END
FRMS Are listed below as of 8/31/00
TOTAL NUMBER OF LOANS 925
TOTAL OUTSTANDING LOAN BALANCE $60,967,481.73
HELOC % / CLOSED END % 85.58% / 14.42%
BALLOON % - CLOSED END 50.97%
AVERAGE DRAWN AMOUNT - HELOC $66,895 $0 to $600,000
AVERAGE CREDIT LIMIT - HELOC $110,847 $4,100 to $600,000
WA CREDIT UTILIZATION RATIO - HELOC 67.56% 0% to 100.00%
CURRENT OVERALL WA COUPON 9.883% 5.875% to 15.750%
FULLY INDEXED OVERALL WA COUPON 12.036% 9.500% to 15.750%
WA COUPON - CLOSED END 11.971%
WA MARGIN 2.964% 0.000% to 6.250%
LIFE CAP - HELOC 18.000%
WA MONTHS TO NEXT RATE ADJUSTMENT 2
WA LOAN AGE (MONTHS) 2 0 to 18
WA REMAINING TERM (MONTHS) 190 162 to 300
WA CLTV 74.39% 5.84% to 100.00%
WA FICO 701 593 to 811
WA JUNIOR MORTGAGE RATIO 34.13% 5.86% to 97.21%
LIEN POSITION (FIRST/SECOND) 2.52% / 97.48%
PROPERTY TYPE
SINGLE FAMILY 71.51%
PUD 14.63%
CONDO 5.91%
DUPLEX 2.37%
3 FAMILY 2.58%
4 FAMILY 3.00%
OCCUPANCY STATUS
PRIMARY 72.50%
INVESTMENT 23.60%
SECOND HOME 3.90%
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY, AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO 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>
GROUP II COLLATERAL SUMMARY
Collateral statistics for the Initial Group II NONCONFORMING HELOC / CLOSED END
FRMS (Continued)
LOAN DOCUMENTATION
NO INCOME VERIFICATION 68.19%
FULL 28.10%
NO RATIO 3.70%
NO INCOME/NO ASSET 0.00%
LOAN PURPOSE
CASH OUT REFINANCE 89.36%
PURCHASE 8.95%
RATE/TERM REFINANCE 1.69%
GEOGRAPHIC DISTRIBUTION
other states account individually for less than CA 82.18%
5% of pool balance
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>
GROUP II COLLATERAL SUMMARY
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
PRODUCT - MORTGAGE LOANS
---------------------------------------------------------------------------------------------
MORTGAGE % OF POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
HELOC 780 52,177,879.16 85.58
Closed End 145 8,789,602.57 14.42
---------------------------------------------------------------------------------------------
TOTAL: 925 60,967,481.73 00.00
---------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
OUTSTANDING PRINCIPAL BALANCES - MORTGAGE LOANS
---------------------------------------------------------------------------------------------
($) MORTGAGE % OF POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.00 78 0 0.00
0.01 - 2,500.00 63 40,910.59 0.07
2,500.01 - 5,000.00 12 47,167.54 0.08
5,000.01 - 7,500.00 20 122,117.26 0.20
7,500.01 - 10,000.00 54 520,356.60 0.85
10,000.01 - 15,000.00 62 768,891.81 1.26
15,000.01 - 20,000.00 70 1,246,743.02 2.04
20,000.01 - 30,000.00 123 3,108,348.48 5.10
30,000.01 - 40,000.00 92 3,265,643.12 5.36
40,000.01 - 50,000.00 75 3,498,348.63 5.74
50,000.01 - 60,000.00 34 1,883,099.98 3.09
60,000.01 - 70,000.00 19 1,240,741.45 2.04
70,000.01 - 80,000.00 23 1,744,542.29 2.86
80,000.01 - 90,000.00 13 1,117,625.83 1.83
90,000.01 - 100,000.00 33 3,218,503.16 5.28
100,000.01 - 150,000.00 46 6,052,350.95 9.93
150,000.01 - 200,000.00 27 4,694,054.73 7.70
200,000.01 - 250,000.00 13 2,840,171.10 4.66
250,000.01 - 300,000.00 23 6,580,867.76 10.79
300,000.01 - 350,000.00 9 2,995,661.19 4.91
350,000.01 - 400,000.00 15 5,772,000.75 9.47
400,000.01 - 450,000.00 6 2,580,780.22 4.23
450,000.01 - 500,000.00 12 5,928,555.27 9.72
500,000.01 - 550,000.00 1 505,000.00 0.83
550,000.01 - 600,000.00 2 1,195,000.00 1.96
-----------------------------------------------------------------------------------------
TOTAL: 925 60,967,481.73 100.00
-----------------------------------------------------------------------------------------
</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>
GROUP II COLLATERAL SUMMARY
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
CURRENT LOAN RATES - MORTGAGE LOANS
---------------------------------------------------------------------------------------------
(%) MORTGAGE % OF POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
5.501 - 6.000 256 23,389,918.73 38.36
8.001 - 8.500 1 50,297.19 0.08
9.001 - 9.500 88 2,943,901.30 4.83
9.501 - 10.000 54 2,999,420.56 4.92
10.001 - 10.500 37 1,684,078.54 2.76
10.501 - 11.000 9 610,231.74 1.00
11.001 - 11.500 31 2,669,608.71 4.38
11.501 - 12.000 43 3,406,398.57 5.59
12.001 - 12.500 47 4,936,470.94 8.10
12.501 - 13.000 52 3,915,213.55 6.42
13.001 - 13.500 114 4,333,694.66 7.11
13.501 - 14.000 102 5,448,167.32 8.94
14.001 - 14.500 51 1,846,009.91 3.03
14.501 - 15.000 29 1,864,165.84 3.06
15.001 - 15.500 9 731,934.45 1.20
15.501 - 16.000 2 137,969.72 0.23
---------------------------------------------------------------------------------------------
TOTAL: 925 60,967,481.73 100.00
---------------------------------------------------------------------------------------------
</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>
GROUP II COLLATERAL SUMMARY
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
ORIGINAL TERMS - MORTGAGE LOANS
---------------------------------------------------------------------------------------------
(MONTHS) MORTGAGE % OF POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
180 803 55,060,325.78 90.31
300 122 5,907,155.95 9.69
---------------------------------------------------------------------------------------------
TOTAL: 925 60,967,481.73 100.00
---------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
MONTHS REMAINING TO SCHEDULED MATURITY - MORTGAGE LOANS
---------------------------------------------------------------------------------------------
(MONTHS) MORTGAGE % OF POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
157 - 168 2 80,902.12 0.13
169 - 180 801 54,979,423.66 90.18
289 - 300 122 5,907,155.95 9.69
---------------------------------------------------------------------------------------------
TOTAL: 925 60,967,481.73 100.00
---------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
---------------------------------------------------------------------------------------------
LOAN AGE - MORTGAGE LOANS
---------------------------------------------------------------------------------------------
(MONTHS) MORTGAGE % OF POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0 328 23,357,307.84 38.31
1 - 12 595 37,529,271.77 61.56
13 - 24 2 80,902.12 0.13
---------------------------------------------------------------------------------------------
TOTAL: 925 60,967,481.73 100.00
---------------------------------------------------------------------------------------------
</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>
GROUP II COLLATERAL SUMMARY
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
COMBINED LOAN-TO-VALUE RATIO - MORTGAGE LOANS
---------------------------------------------------------------------------------------------
(%) MORTGAGE % OF POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
5.01 - 10.00 3 47,378.85 0.08
10.01 - 15.00 1 22,487.83 0.04
15.01 - 20.00 1 120,000.00 0.20
20.01 - 25.00 2 628,860.97 1.03
25.01 - 30.00 3 21,342.54 0.04
30.01 - 35.00 10 726,597.26 1.19
35.01 - 40.00 12 526,032.27 0.86
40.01 - 45.00 8 954,351.92 1.57
45.01 - 50.00 12 1,080,576.97 1.77
50.01 - 55.00 25 2,942,313.89 4.83
55.01 - 60.00 32 3,180,965.79 5.22
60.01 - 65.00 49 4,945,029.59 8.11
65.01 - 70.00 70 6,120,515.96 10.04
70.01 - 75.00 71 6,006,083.68 9.85
75.01 - 80.00 203 13,534,923.66 22.20
80.01 - 85.00 44 2,829,416.56 4.64
85.01 - 90.00 276 11,384,466.26 18.67
90.01 - 95.00 83 4,903,173.76 8.04
95.01 - 100.00 20 992,963.97 1.63
---------------------------------------------------------------------------------------------
TOTAL: 925 60,967,481.73 100.00
---------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
LIEN POSITION - MORTGAGE LOANS
---------------------------------------------------------------------------------------------
MORTGAGE % OF POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
1st Lien 23 1,535,496.22 2.52
2nd Lien 902 59,431,985.51 97.48
---------------------------------------------------------------------------------------------
TOTAL: 925 60,967,481.73 100.00
---------------------------------------------------------------------------------------------
</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>
GROUP II COLLATERAL SUMMARY
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
JUNIOR MORTGAGE RATIO - MORTGAGE LOANS
---------------------------------------------------------------------------------------------
(%) MORTGAGE % OF POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
5.001 - 10.000 20 242,874.54 0.41
10.001 - 15.000 189 3,880,873.29 6.53
15.001 - 20.000 141 7,246,684.59 12.19
20.001 - 25.000 101 5,655,372.01 9.52
25.001 - 30.000 120 8,066,036.67 13.57
30.001 - 35.000 96 8,603,371.78 14.48
35.001 - 40.000 83 6,072,512.32 10.22
40.001 - 45.000 53 6,800,924.69 11.44
45.001 - 50.000 35 4,355,095.54 7.33
50.001 - 55.000 23 3,581,475.86 6.03
55.001 - 60.000 19 2,392,864.72 4.03
60.001 - 65.000 4 908,469.69 1.53
65.001 - 70.000 9 779,772.63 1.31
70.001 - 75.000 2 139,105.86 0.23
75.001 - 80.000 2 178,819.23 0.30
80.001 - 85.000 4 421,318.29 0.71
95.001 - 100.000 1 106,413.80 0.18
---------------------------------------------------------------------------------------------
TOTAL: 902 59,431,985.51 100.00
---------------------------------------------------------------------------------------------
</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>
GROUP II COLLATERAL SUMMARY
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
CREDIT LIMITS - HELOC MORTGAGE LOANS
---------------------------------------------------------------------------------------------
($) MORTGAGE % OF POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.01 - 10,000.00 35 304,958.39 0.58
10,000.01 - 20,000.00 81 1,091,881.36 2.09
20,000.01 - 30,000.00 72 1,372,422.67 2.63
30,000.01 - 40,000.00 68 1,962,056.04 3.76
40,000.01 - 50,000.00 111 3,274,314.81 6.28
50,000.01 - 60,000.00 35 1,310,964.84 2.51
60,000.01 - 70,000.00 27 956,145.74 1.83
70,000.01 - 80,000.00 29 1,284,058.08 2.46
80,000.01 - 90,000.00 24 1,158,145.21 2.22
90,000.01 - 100,000.00 109 4,157,152.73 7.97
100,000.01 - 150,000.00 44 2,806,952.19 5.38
150,000.01 - 200,000.00 19 1,345,124.44 2.58
200,000.01 - 250,000.00 10 1,048,957.75 2.01
250,000.01 - 300,000.00 39 6,916,061.40 13.25
300,000.01 - 350,000.00 16 3,564,121.88 6.83
350,000.01 - 400,000.00 17 4,176,568.72 8.00
400,000.01 - 450,000.00 12 4,334,919.41 8.31
450,000.01 - 500,000.00 28 9,407,073.50 18.03
500,000.01 - 550,000.00 2 511,000.00 0.98
550,000.01 - 600,000.00 2 1,195,000.00 2.29
---------------------------------------------------------------------------------------------
TOTAL: 780 52,177,879.16 100.00
---------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
CREDIT LIMIT UTILIZATION RATES - HELOC MORTGAGE LOANS
---------------------------------------------------------------------------------------------
(%) MORTGAGE % OF POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.00 78 0.00 0.00
0.01 - 10.00 84 178,418.39 0.34
10.01 - 20.00 17 385,714.75 0.74
20.01 - 30.00 34 896,120.05 1.72
30.01 - 40.00 26 1,494,875.70 2.86
40.01 - 50.00 32 1,858,043.04 3.56
50.01 - 60.00 33 2,532,948.97 4.85
60.01 - 70.00 29 1,786,006.38 3.42
70.01 - 80.00 42 4,847,534.19 9.29
80.01 - 90.00 34 2,719,369.33 5.21
90.01 - 100.00 371 35,478,848.36 68.00
---------------------------------------------------------------------------------------------
TOTAL: 780 52,177,879.16 100.00
---------------------------------------------------------------------------------------------
</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>
GROUP II COLLATERAL SUMMARY
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
MARGINS - HELOC MORTGAGE LOANS
---------------------------------------------------------------------------------------------
(%) MORTGAGE % OF POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.000 144 4,416,122.80 8.46
0.001 - 0.250 11 438,495.77 0.84
0.251 - 0.500 53 2,786,304.99 5.34
0.501 - 0.750 11 727,829.36 1.39
0.751 - 1.000 34 1,200,477.56 2.30
1.001 - 1.250 2 15,073.75 0.03
1.251 - 1.500 8 505,005.55 0.97
1.501 - 1.750 12 297,480.82 0.57
1.751 - 2.000 14 1,099,178.01 2.11
2.001 - 2.250 17 1,030,314.33 1.97
2.251 - 2.500 45 3,801,724.87 7.29
2.501 - 2.750 15 1,034,827.86 1.98
2.751 - 3.000 54 9,526,815.38 18.26
3.001 - 3.250 25 1,094,524.49 2.10
3.251 - 3.500 32 5,797,969.18 11.11
3.501 - 3.750 106 3,797,709.27 7.28
3.751 - 4.000 21 2,173,266.32 4.17
4.001 - 4.250 74 4,939,237.82 9.47
4.251 - 4.500 19 1,149,608.88 2.20
4.501 - 4.750 40 2,872,320.62 5.50
4.751 - 5.000 12 721,988.17 1.38
5.001 - 5.250 15 1,142,644.23 2.19
5.251 - 5.500 3 415,692.03 0.80
5.501 - 5.750 9 609,551.86 1.17
5.751 - 6.000 2 445,745.52 0.85
6.001 - 6.250 2 137,969.72 0.26
---------------------------------------------------------------------------------------------
TOTAL: 780 52,177,879.16 100.00
---------------------------------------------------------------------------------------------
</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>
GROUP II COLLATERAL SUMMARY
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
STATES - MORTGAGE LOANS
---------------------------------------------------------------------------------------------
MORTGAGE % OF POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
AZ 29 886,221.94 1.45
CA 637 50,100,944.62 82.18
CO 27 1,186,920.55 1.95
CT 4 319,469.11 0.52
DC 3 89,513.47 0.15
FL 16 405,750.06 0.67
GA 8 624,691.25 1.02
ID 4 133,992.07 0.22
IL 22 633,679.04 1.04
IN 1 31,900.00 0.05
MA 24 1,111,912.59 1.82
MD 10 711,312.08 1.17
ME 2 20,691.31 0.03
MI 5 184,673.05 0.30
MN 1 71,500.00 0.12
MT 3 72,365.00 0.12
NC 6 81,042.50 0.13
NH 1 26,090.25 0.04
NJ 1 19,500.00 0.03
NM 6 254,696.38 0.42
NV 10 209,342.30 0.34
NY 10 393,122.43 0.64
OK 1 46,914.03 0.08
OR 19 575,627.56 0.94
PA 4 59,716.23 0.10
RI 5 78,005.18 0.13
SC 1 6,242.78 0.01
UT 14 414,081.85 0.68
VA 9 356,649.74 0.58
WA 42 1,860,914.36 3.05
---------------------------------------------------------------------------------------------
TOTAL: 925 60,967,481.73 100.00
---------------------------------------------------------------------------------------------
</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>
GROUP II COLLATERAL SUMMARY
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
PROPERTY TYPE - MORTGAGE LOANS
---------------------------------------------------------------------------------------------
MORTGAGE % OF POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Single Family 645 43,598,635.65 71.51
PUD 99 8,920,312.85 14.63
Condo 61 3,603,369.18 5.91
4 Family 33 1,829,362.24 3.00
3 Family 34 1,572,795.08 2.58
Duplex 53 1,443,006.73 2.37
---------------------------------------------------------------------------------------------
TOTAL: 925 60,967,481.73 100.00
---------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
OCCUPANCY TYPE - MORTGAGE LOANS
---------------------------------------------------------------------------------------------
MORTGAGE % OF POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Primary Home 500 44,200,419.77 72.50
Investment 381 14,386,399.55 23.60
Second Home 44 2,380,662.41 3.90
---------------------------------------------------------------------------------------------
TOTAL: 925 60,967,481.73 100.00
---------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
DOCUMENTATION - MORTGAGE LOANS
---------------------------------------------------------------------------------------------
MORTGAGE % OF POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
No Income Verification 537 41,576,166.08 68.19
Full 368 17,132,576.86 28.10
No Ratio 19 2,258,738.79 3.70
No Income/No Asset 1 0 0.00
---------------------------------------------------------------------------------------------
TOTAL: 925 60,967,481.73 100.00
---------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
LOAN PURPOSE - MORTGAGE LOANS
---------------------------------------------------------------------------------------------
MORTGAGE % OF POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Cash Out Refinance 708 54,479,627.35 89.36
Purchase 197 5,457,274.10 8.95
Rate/Term Refinance 20 1,030,580.28 1.69
---------------------------------------------------------------------------------------------
TOTAL: 925 60,967,481.73 100.00
---------------------------------------------------------------------------------------------
</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>
GROUP II COLLATERAL SUMMARY
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
CREDIT SCORES - MORTGAGE LOANS
---------------------------------------------------------------------------------------------
(%) MORTGAGE % OF POOL
LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
551 - 600 2 336,083.19 0.55
601 - 650 86 7,136,859.35 11.71
651 - 700 319 24,428,216.19 40.07
701 - 750 304 19,301,242.04 31.66
751 - 800 200 9,397,474.40 15.41
801 - 850 14 367,606.56 0.60
---------------------------------------------------------------------------------------------
TOTAL: 925 60,967,481.73 100.00
---------------------------------------------------------------------------------------------
</TABLE>
Loans with FICO scores below 400 were eliminated from the average.
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).
