<PAGE> 1
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report (Date of earliest event reported) September 5, 1997
Advanta Mortgage Loan Trust 1997-3
-----------------------------------------------------
(Exact name of registrant as specified in its charter)
New York 333-21265 Application Pending
(State or Other Jurisdiction (Commission (I.R.S. Employer
of Incorporation) File Number) Identification No.)
c/o Advanta Mortgage Conduit
Services, Inc. 92127
Attention: Milton Riseman (Zip Code)
16875 West Bernardo Drive
San Diego, California
(Address of Principal
Executive Offices)
Registrant's telephone number, including area code (619) 674-1800
(Former name or former address, if changed since last report)
<PAGE> 2
Item 5. Other Events
In connection with the offering of Advanta Mortgage Loan Trust
1997-3 Mortgage Loan Asset-Backed Certificates, Series 1997-3, described in a
Prospectus Supplement dated as of September 5, 1997, certain "Computational
Materials" within the meanings of the May 20, 1994 Kidder, Peabody No-Action
Letter and the February 17, 1995 Public Securities Association No-Action Letter
were furnished to certain prospective investors (the "Related Computational
Materials").
Item 7. Financial Statements, Pro Forma Financial Information and
Exhibits.
(a) Not applicable
(b) Not applicable
(c) Exhibit 99.1. Related Computational Materials (as defined in Item 5
above).
<PAGE> 3
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of
1934, the registrant has duly caused this report to be signed on its behalf by
the undersigned hereunto duly authorized.
ADVANTA MORTGAGE LOAN TRUST 1997-3
By: Advanta Mortgage Conduit Services,
Inc., as Sponsor
By: /s/ Mark T. Dunsheath
---------------------------
Name: Mark T. Dunsheath
Title: Vice President
Dated: September 5, 1997
<PAGE> 4
EXHIBIT INDEX
EXHIBIT NO. DESCRIPTION PAGE NO.
- ----------- ----------- --------
99.1 Related Computational Materials (as 5
defined in Item 5 above).
<PAGE> 1
EXHIBIT 99.1
LEHMAN BROTHERS
DERIVED INFORMATION
$900,000,000 Certificates (Approximate)
ADVANTA MORTGAGE LOAN TRUST 1997-3
ADVANTA Mortgage Conduit Services, Inc. (Sponsor)
ADVANTA Mortgage Corp. USA (Master Servicer)
- --------------------------------------------------------------------------------
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY, AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO 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 AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 2
LEHMAN BROTHERS 2
SECURITIES OFFERED
GROUP I (FIXED RATE HELS) - TO MATURITY
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
APPROX. ESTIMATED EST. PRIN. EXPECTED STATED EXPECTED
APPROX. EXPECTED WAL/MDUR PMT. WINDOW FINAL FINAL RATINGS
SECURITIES SIZE ($) BENCHMARK PRICE (YRS) (MOS.) MATURITY MATURITY (MDY'S/S&P)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A-1 (1) 140,816,000 1 mo LIBOR 100.000% 0.85/NA 1 - 20 5/25/99 8/25/10 Aaa/AAA
CLASS A-2 (1) 64,484,000 2 Yr Tsy 99.997% 2.11/1.91 20 - 31 4/25/00 4/25/12 Aaa/AAA
CLASS A-3 (1) 36,335,000 3 Yr Tsy 99.998% 3.00/2.64 31 - 43 4/25/01 4/25/17 Aaa/AAA
CLASS A-4 (1) 22,100,000 Curve 99.970% 4.05/3.43 43 - 54 3/25/02 9/25/21 Aaa/AAA
CLASS A-5 (1) 18,471,000 5 Yr Tsy 99.991% 5.10/4.17 54 - 69 6/25/03 4/25/24 Aaa/AAA
CLASS A-6 (1) 31,669,000 10 Yr Tsy 99.986% 9.84/6.65 69 - 196 1/25/14 10/25/28 Aaa/AAA
CLASS A-7 (1) 40,500,000 Curve 99.994% 6.64/5.09 38 - 175 4/25/12 10/25/28 Aaa/AAA
CLASS M-1 (1) 14,175,000 Curve 99.976% 6.01/4.57 38 - 165 6/25/11 10/25/28 Aa2/AA
CLASS M-2 (1) 24,300,000 Curve 99.981% 5.94/4.51 37 - 154 7/25/10 10/25/28 A2/A
CLASS B-1 (1) 12,150,000 Curve 99.996% 5.72/4.36 37 - 128 5/25/08 10/25/28 Baa2/BBB
CLASS A-IO (3) (40,500,000) NA NA NA NA 3/25/00 3/25/00 Aaa/AAAr
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
GROUP I (FIXED RATE HELS) - TO CALL
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
APPROX. ESTIMATED EST. PRIN. EXPECTED STATED EXPECTED
APPROX. EXPECTED WAL/MDUR PMT. WINDOW FINAL FINAL RATINGS
SECURITIES SIZE ($) BENCHMARK PRICE (YRS) (MOS.) MATURITY MATURITY (MDY'S/S&P)
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A-6 (1) 31,669,000 10 Yr Tsy 99.986% 7.49/5.57 69 - 96 9/25/05 10/25/28 Aaa/AAA
CLASS A-7 (1) 40,500,000 Curve 99.984% 6.42/4.98 38 - 96 9/25/05 10/25/28 Aaa/AAA
CLASS M-1 (1) 14,175,000 Curve 99.976% 5.47/4.31 38 - 96 9/25/05 10/25/28 Aa2/AA
CLASS M-2 (1) 24,300,000 Curve 99.981% 5.46/4.28 37 - 96 9/25/05 10/25/28 A2/A
CLASS B-1 (1) 12,150,000 Curve 99.996% 5.46/4.23 37 - 96 9/25/05 10/25/28 Baa2/BBB
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
GROUP II (ARMS) - TO CALL
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
APPROX. ESTIMATED EST. PRIN. EXPECTED STATED EXPECTED
APPROX. EXPECTED WAL PMT. WINDOW FINAL FINAL RATINGS
SECURITIES SIZE ($) BENCHMARK PRICE (YRS) (MOS.) MATURITY MATURITY (MDY'S/S&P)
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A-8 (2) 116,000,000 1 mo LIBOR 100.00% 1.51 1 - 45 6/25/01 12/25/23 Aaa/AAA
CLASS A-9 (2) 379,000,000 1 mo LIBOR 100.00% 3.44 1 - 96 9/25/05 10/25/28 Aaa/AAA
- ----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Prepayments are sized at 115% of the Prepayment Assumption. A 100%
Prepayment Assumption start at 3% CPR in month one, increase by 1.55% each
month to 20% CPR by month 12, and remain at 20% CPR thereafter.
(2) Prepayments are sized at 25% CPR.
(3) Class A-IO will be an interest only class with a notional balance equal to
the principal balance of the Class A-7 NAS Certificates. The Class A-IO will
have a coupon of 5% and a final maturity of 30 months. The Class A-IO will
be solely underwritten by Lehman Brothers.
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 AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 3
LEHMAN BROTHERS 3
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
GROUP I (FIXED RATE HELS) - TO MATURITY
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Group I Prepay Assumption 50.0% 75.0% 100.0% 115.0% 150.0% 200.0% 250.0%
Group I Implied Seasoned CPR 10.0% 15.0% 20.0% 23.0% 30.0% 40.0% 50.0%
Group II CPR 10.0% 15.0% 20.0% 25.0% 30.0% 40.0% 50.0%
Class A-1
Avg. Life (yrs) 1.60 1.18 0.95 0.85 0.70 0.56 0.47
Window (begin-end) (mths) 1 - 40 1 - 29 1 - 22 1 - 20 1 - 15 1 - 12 1 - 10
Expected Final Maturity 1/25/01 2/25/00 7/25/99 5/25/99 12/25/98 9/25/98 7/25/98
Class A-2
Avg. Life (yrs) 4.46 3.11 2.40 2.11 1.65 1.26 1.02
Mod Duration (yrs) 3.74 2.73 2.15 1.91 1.52 1.17 0.96
Window (begin-end) (mths) 40 - 68 29 - 47 22 - 35 20 - 31 15 - 24 12 - 18 10 - 14
Expected Final Maturity 5/25/03 8/25/01 8/25/00 4/25/00 9/25/99 3/25/99 11/25/98
Yield @ 99.997% 6.64 6.59 6.55 6.52 6.46 6.38 6.29
Class A-3
Avg. Life (yrs) 7.25 4.74 3.52 3.00 2.27 1.70 1.35
Mod Duration (yrs) 5.55 3.94 3.05 2.64 2.04 1.56 1.25
Window (begin-end) (mths) 68 - 112 47 - 69 35 - 50 31 - 43 24 - 30 18 - 22 14 - 18
Expected Final Maturity 1/25/07 6/25/03 11/25/01 4/25/01 3/25/00 7/25/99 3/25/99
Yield @ 99.998% 6.75 6.72 6.69 6.67 6.62 6.55 6.48
Class A-4
Avg. Life (yrs) 10.61 6.68 4.75 4.05 2.70 2.01 1.58
Mod Duration (yrs) 7.30 5.19 3.93 3.43 2.39 1.82 1.46
Window (begin-end) (mths) 112 - 143 69 - 99 50 - 64 43 - 54 30 - 34 22 - 25 18 - 20
Expected Final Maturity 8/25/09 12/25/05 1/25/03 3/25/02 7/25/00 10/25/99 5/25/99
Yield @ 99.970% 6.95 6.93 6.90 6.89 6.83 6.77 6.72
Class A-5
Avg. Life (yrs) 13.22 9.65 6.14 5.10 3.36 2.26 1.77
Mod Duration (yrs) 8.39 6.82 4.84 4.17 2.90 2.03 1.61
Window (begin-end) (mths) 143 - 175 99 - 132 64 - 90 54 - 69 34 - 48 25 - 28 20 - 22
Expected Final Maturity 4/25/12 9/25/08 3/25/05 6/25/03 9/25/01 1/25/00 7/25/99
Yield @ 99.991% 7.03 7.02 6.99 6.97 6.93 6.86 6.80
- ------------------------------------------------------------------------------------------------------------------------------------
</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 AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 4
LEHMAN BROTHERS 4
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
GROUP I (FIXED RATE HELS) - TO MATURITY
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Group I Prepay Assumption 50.0% 75.0% 100.0% 115.0% 150.0% 200.0% 250.0%
Group I Implied Seasoned CPR 10.0% 15.0% 20.0% 23.0% 30.0% 40.0% 50.0%
Group II CPR 10.0% 15.0% 20.0% 25.0% 30.0% 40.0% 50.0%
Class A-6
Avg. Life (yrs) 18.14 14.56 11.68 9.84 6.10 2.63 2.04
Mod Duration (yrs) 9.61 8.60 7.52 6.65 4.63 2.32 1.84
Window (begin-end) (mths) 175 - 329 132 - 276 90 - 221 69 - 196 48 - 163 28 - 35 22 - 27
Expected Final Maturity 2/25/25 9/25/20 2/25/16 1/25/14 4/25/11 8/25/00 12/25/99
Yield @ 99.986% 7.41 7.41 7.40 7.39 7.36 7.26 7.20
Class A-7
Avg. Life (yrs) 7.72 7.13 6.76 6.64 6.55 5.43 2.57
Mod Duration (yrs) 5.69 5.37 5.16 5.09 5.05 4.32 2.28
Window (begin-end) (mths) 37 - 175 37 - 175 37 - 175 38 - 175 43 - 160 35 - 120 27 - 35
Expected Final Maturity 4/25/12 4/25/12 4/25/12 4/25/12 1/25/11 9/25/07 8/25/00
Yield @ 99.994% 6.99 6.99 6.98 6.98 6.98 6.97 6.87
Class M-1
Avg. Life (yrs) 11.19 8.53 6.78 6.01 4.93 4.52 5.15
Mod Duration (yrs) 7.16 5.94 5.00 4.57 3.93 3.72 4.11
Window (begin-end) (mths) 67 - 281 48 - 216 37 - 175 38 - 165 41 - 129 46 - 94 35 - 92
Expected Final Maturity 2/25/21 9/25/15 4/25/12 6/25/11 6/25/08 7/25/05 5/25/05
Yield @ 99.976% 7.31 7.29 7.28 7.27 7.25 7.25 7.26
Class M-2
Avg. Life (yrs) 11.06 8.43 6.72 5.94 4.79 4.12 4.29
Mod Duration (yrs) 7.08 5.87 4.95 4.51 3.83 3.42 3.56
Window (begin-end) (mths) 67 - 265 48 - 202 37 - 175 37 - 154 38 - 121 40 - 89 43 - 68
Expected Final Maturity 10/25/19 7/25/14 4/25/12 7/25/10 10/25/07 2/25/05 5/25/03
Yield @ 99.981% 7.46 7.44 7.43 7.42 7.40 7.39 7.39
Class B-1
Avg. Life (yrs) 10.68 8.25 6.48 5.72 4.57 3.79 3.54
Mod Duration (yrs) 6.85 5.72 4.79 4.36 3.66 3.16 2.99
Window (begin-end) (mths) 67 - 216 48 - 175 37 - 144 37 - 128 37 - 99 38 - 73 39 - 55
Expected Final Maturity 9/25/15 4/25/12 9/25/09 5/25/08 12/25/05 10/25/03 4/25/02
Yield @ 99.996% 7.81 7.80 7.78 7.77 7.75 7.72 7.72
- --------------------------------------------------------------------------------------------------------------------------------
</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 AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 5
LEHMAN BROTHERS 5
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
GROUP I (FIXED RATE HELS) - TO 10% CLEAN-UP CALL
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Group I Prepay Assumption 50.0% 75.0% 100.0% 115.0% 150.0% 200.0% 250.0%
Group I Implied Seasoned CPR 10.0% 15.0% 20.0% 23.0% 30.0% 40.0% 50.0%
Group II CPR 10.0% 15.0% 20.0% 25.0% 30.0% 40.0% 50.0%
Class A-6
Avg. Life (yrs) 15.94 12.36 9.44 7.49 5.17 2.63 2.04
Mod Duration (yrs) 9.11 7.88 6.61 5.57 4.16 2.32 1.84
Window (begin-end) (mths) 175 - 202 132 - 151 90 - 116 69 - 96 48 - 76 28 - 35 22 - 27
Expected Final Maturity 7/25/14 4/25/10 5/25/07 9/25/05 1/25/04 8/25/00 12/25/99
Yield @ 99.986% 7.41 7.40 7.39 7.38 7.35 7.26 7.20
Class A-7
Avg. Life (yrs) 7.72 7.12 6.70 6.42 5.72 4.25 2.57
Mod Duration (yrs) 5.69 5.36 5.13 4.98 4.57 3.56 2.28
Window (begin-end) (mths) 37 - 175 37 - 151 37 - 116 38 - 96 43 - 76 35 - 55 27 - 35
Expected Final Maturity 4/25/12 4/25/10 5/25/07 9/25/05 1/25/04 4/25/02 8/25/00
Yield @ 99.994% 6.99 6.99 6.98 6.98 6.97 6.94 6.87
Class M-1
Avg. Life (yrs) 10.79 8.12 6.31 5.47 4.53 4.23 3.30
Mod Duration (yrs) 7.06 5.80 4.80 4.31 3.71 3.53 2.85
Window (begin-end) (mths) 67 - 202 48 - 151 37 - 116 38 - 96 41 - 76 46 - 55 35 - 41
Expected Final Maturity 7/25/14 4/25/10 5/25/07 9/25/05 1/25/04 4/25/02 2/25/01
Yield @ 99.976% 7.31 7.29 7.27 7.26 7.25 7.24 7.21
Class M-2
Avg. Life (yrs) 10.79 8.12 6.31 5.46 4.45 3.86 3.44
Mod Duration (yrs) 7.01 5.76 4.78 4.28 3.64 3.25 2.94
Window (begin-end) (mths) 67 - 202 48 - 151 37 - 116 37 - 96 38 - 76 40 - 55 41 - 41
Expected Final Maturity 7/25/14 4/25/10 5/25/07 9/25/05 1/25/04 4/25/02 2/25/01
Yield @ 99.981% 7.46 7.44 7.43 7.41 7.39 7.38 7.36
Class B-1
Avg. Life (yrs) 10.66 8.10 6.31 5.46 4.40 3.66 3.40
Mod Duration (yrs) 6.85 5.67 4.72 4.23 3.57 3.08 2.89
Window (begin-end) (mths) 67 - 202 48 - 151 37 - 116 37 - 96 37 - 76 38 - 55 39 - 41
Expected Final Maturity 7/25/14 4/25/10 5/25/07 9/25/05 1/25/04 4/25/02 2/25/01
Yield @ 99.996% 7.81 7.80 7.78 7.77 7.74 7.72 7.71
- ---------------------------------------------------------------------------------------------------------------------------------
</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 AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 6
LEHMAN BROTHERS 6
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
GROUP II (ARMS)
<TABLE>
<CAPTION>
TO 10% CLEANUP CALL
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Group II CPR 10.0% 15.0% 20.0% 25.0% 30.0% 40.0% 50.0%
Group I Prepay Assumption 50.0% 75.0% 100.0% 115.0% 150.0% 200.0% 250.0%
Class A-8
Avg. Life (yrs) 3.83 2.56 1.91 1.51 1.23 0.89 0.68
Window (begin-end) (mths) 1 - 115 1 - 77 1 - 57 1 - 45 1 - 36 1 - 25 1 - 19
Expected Final Maturity 4/25/07 2/25/04 6/25/02 6/25/01 9/25/00 10/25/99 4/25/99
Class A-9
Avg. Life (yrs) 8.21 5.74 4.31 3.44 2.78 1.98 1.47
Window (begin-end) (mths) 1 - 202 1 - 151 1 - 116 1 - 96 1 - 76 1 - 55 1 - 41
Expected Final Maturity 7/25/14 4/25/10 5/25/07 9/25/05 1/25/04 4/25/02 2/25/01
- ----------------------------------------------------------------------------------------------------------------------------------
</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 AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 7
LEHMAN BROTHERS 7
GROUP I - COLLATERAL SUMMARY
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
INITIAL GROUP I LOANS
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
NUMBER OF LOANS 5,742
TOTAL OUTSTANDING PRINCIPAL BALANCE $305,983,747.31
BALLOON (% OF TOTAL) (1) 21.91%
LEVEL PAY (% OF TOTAL) 78.09%
AVERAGE PRINCIPAL BALANCE $53,288.71 $382.22 - $537,860.08
WEIGHTED AVERAGE LOAN RATE 11.20% 7.00% - 18.85%
WEIGHTED AVERAGE ORIGINAL TERM (MOS.) 247 36 - 360
WEIGHTED AVERAGE REMAINING TERM (MOS.) 239 2 - 360
WEIGHTED AVERAGE CLTV 73.06% 6.83% - 96.77%
WEIGHTED AVERAGE SECOND MORTGAGE RATIO 39.64% (for second liens only)
LIEN POSITION (FIRST/SECOND) 86.68% / 13.32%
PROPERTY TYPE
SINGLE FAMILY/PUD 87.82%
CONDO/TOWNHOUSE/ROWHOUSE 4.96%
TWO TO FOUR FAMILY 4.86%
PREFABRICATED SINGLE FAMILY 2.07%
OTHER 0.29%
OCCUPANCY STATUS
OWNER OCCUPIED 92.07%
INVESTOR OWNER 7.93%
GEOGRAPHIC DISTRIBUTION
other states account individually for less than CA 9.09% OH 6.14%
5% of Group I pool balance NY 7.98% NJ 5.57%
FL 7.79% PA 5.53%
MI 6.64%
ORIGINATION YEAR 1997 91.67% 1990 2.62%
1996 1.60% 1989 2.16%
1995 0.06% 1988 0.90%
1994 0.04% pre 1988 0.95%
CREDIT CLASS A/A- 64.12% C 11.56%
B 19.41% D 4.92%
PREPAYMENT PENALTY Yes 61.15%
No 38.85%
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Amortizes over a 30 year original term.
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 AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 8
LEHMAN BROTHERS 8
GROUP I - COLLATERAL SUMMARY (CONTINUED)
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------
% OF TOTAL
STATE NUMBER OF LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- --------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
AK 1 83,134.31 0.03%
AL 39 1,636,998.94 0.53%
AR 20 595,762.48 0.19%
AZ 82 4,489,626.72 1.47%
CA 358 27,803,070.29 9.09%
CO 88 5,472,689.53 1.79%
CT 52 2,493,931.89 0.82%
DC 29 1,090,669.58 0.36%
DE 30 1,962,050.23 0.64%
FL 404 23,835,442.78 7.79%
GA 177 7,922,315.29 2.59%
HI 15 2,767,244.56 0.90%
IA 58 2,358,751.11 0.77%
ID 14 909,990.25 0.30%
IL 228 12,444,862.50 4.07%
IN 252 10,814,984.37 3.53%
KS 98 4,871,058.18 1.59%
KY 39 1,662,815.88 0.54%
LA 59 2,596,450.24 0.85%
MA 122 6,035,813.48 1.97%
MD 187 9,585,462.13 3.13%
ME 9 339,819.21 0.11%
MI 407 20,324,190.10 6.64%
MN 52 2,674,505.62 0.87%
MO 183 8,204,434.74 2.68%
MS 30 1,196,556.47 0.39%
MT 6 343,905.49 0.11%
NC 148 7,635,733.68 2.50%
ND 5 259,600.50 0.08%
NE 26 1,468,394.04 0.48%
NH 21 815,387.59 0.27%
NJ 350 17,036,953.06 5.57%
NM 30 2,702,507.31 0.88%
NV 41 3,743,281.55 1.22%
NY 466 24,431,728.21 7.98%
OH 343 18,801,556.82 6.14%
OK 42 2,006,392.45 0.66%
- --------------------------------------------------------------------------------------------------------
</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 AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 9
LEHMAN BROTHERS 9
GROUP I - COLLATERAL SUMMARY (CONTINUED)
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------
% OF TOTAL
STATE (CONTINUED) NUMBER OF LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
OR 69 4,506,863.35 1.47%
PA 403 16,925,272.56 5.53%
RI 32 1,383,385.32 0.45%
SC 113 5,173,691.36 1.69%
SD 5 349,270.71 0.11%
TN 75 4,162,181.75 1.36%
TX 67 4,606,921.61 1.51%
UT 78 4,550,499.00 1.49%
VA 173 9,072,651.97 2.97%
VT 11 735,500.96 0.24%
WA 121 7,286,916.32 2.38%
WI 32 1,804,270.35 0.59%
WV 43 1,584,369.49 0.52%
WY 9 423,880.98 0.14%
- ---------------------------------------------------------------------------------------------------------
<CAPTION>
% OF TOTAL
COMBINED LTV (%) NUMBER OF LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.001-50.000 749 23,525,806.79 7.69%
50.001-55.000 179 7,419,508.53 2.42%
55.001-60.000 341 17,168,361.51 5.61%
60.001-65.000 395 19,472,980.05 6.36%
65.001-70.000 549 31,217,318.26 10.20%
70.001-75.000 849 47,332,122.50 15.47%
75.001-80.000 1,303 74,211,203.04 24.25%
80.001-85.000 1,214 74,665,537.65 24.40%
85.001-90.000 142 9,915,063.93 3.24%
90.001-95.000 20 1,040,867.49 0.34%
95.001-100.000 1 14,977.56 0.00%
- ---------------------------------------------------------------------------------------------------------
</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 AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 10
LEHMAN BROTHERS 10
GROUP I - COLLATERAL SUMMARY (CONTINUED)
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------
% OF TOTAL
LTV (%) NUMBER OF LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.001-50.000 1,991 57,442,964.22 18.77%
50.001-55.000 150 6,990,132.77 2.28%
55.001-60.000 294 16,836,859.31 5.50%
60.001-65.000 306 17,028,885.13 5.57%
65.001-70.000 422 27,669,597.95 9.04%
70.001-75.000 649 41,832,514.92 13.67%
75.001-80.000 933 63,669,088.02 20.81%
80.001-85.000 873 64,925,616.30 21.22%
85.001-90.000 106 8,703,826.41 2.84%
90.001-95.000 17 869,284.72 0.28%
95.001-100.000 1 14,977.56 0.00%
- ---------------------------------------------------------------------------------------------------------
<CAPTION>
JR. LIEN RATIO % OF TOTAL
(JR. ONLY) (%) NUMBER OF LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.001-10.000 22 309,750.90 0.76%
10.001-20.000 308 5,671,419.29 13.91%
20.001-30.000 418 10,072,455.71 24.71%
30.001-40.000 301 9,362,946.47 22.97%
40.001-50.000 133 4,946,580.38 12.13%
50.001-60.000 126 3,581,822.26 8.79%
60.001-70.000 63 1,953,907.37 4.79%
70.001-80.000 65 2,453,406.18 6.02%
80.001-90.000 47 1,569,555.31 3.85%
90.001-100.000 26 842,247.49 2.07%
- ---------------------------------------------------------------------------------------------------------
<CAPTION>
% OF TOTAL
LOAN RATE (%) NUMBER OF LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Less than or equal to 7.000 1 22,602.83 0.01%
7.001-8.000 12 1,261,704.79 0.41%
8.001-9.000 237 18,433,516.97 6.02%
9.001-10.000 910 66,884,350.33 21.86%
10.001-11.000 1,156 74,996,855.93 24.51%
11.001-12.000 1,158 60,354,057.65 19.72%
12.001-13.000 1,147 46,668,909.34 15.25%
13.001-14.000 671 23,538,710.79 7.69%
14.001-15.000 289 9,149,441.33 2.99%
15.001-16.000 110 3,288,735.68 1.07%
16.001-17.000 37 1,032,100.84 0.34%
17.001-18.000 12 298,981.28 0.10%
18.001-19.000 2 53,779.55 0.02%
- ------------------------------------------------------------------------------------------------------------------------
</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 AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 11
LEHMAN BROTHERS 11
GROUP I - COLLATERAL SUMMARY (CONTINUED)
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------
REMAINING TERM TO % OF TOTAL
MATURITY (MONTHS) NUMBER OF LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
1-12 12 18,718.89 0.01%
13-24 22 112,809.34 0.04%
25-36 48 397,996.93 0.13%
37-48 1 4,954.65 0.00%
49-60 129 2,850,798.08 0.93%
61-72 107 2,380,521.04 0.78%
73-84 193 4,916,229.80 1.61%
85-96 478 12,598,593.42 4.12%
97-108 12 355,933.69 0.12%
109-120 282 8,941,458.89 2.92%
121-132 8 448,900.24 0.15%
133-144 34 1,648,350.80 0.54%
145-156 9 508,179.78 0.17%
157-168 7 360,930.87 0.12%
169-180 2,468 128,581,364.11 42.02%
181-192 3 98,613.77 0.03%
193-204 6 413,225.60 0.14%
205-216 2 141,950.00 0.05%
217-228 82 5,640,585.30 1.84%
229-240 445 24,868,800.70 8.13%
265-276 1 96,000.00 0.03%
289-300 8 640,267.83 0.21%
313-324 2 120,924.10 0.04%
325-336 1 132,750.00 0.04%
337-348 3 377,258.59 0.12%
349-360 1,379 109,327,630.89 35.73%
- ---------------------------------------------------------------------------------------------------------
</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 AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 12
12
LEHMAN BROTHERS
GROUP I - COLLATERAL SUMMARY (CONTINUED)
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------
% OF TOTAL
PRINCIPAL BALANCE ($) NUMBER OF LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ----------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
less than or equal to 5,000.00 46 138,429.16 0.05%
5,000.01- 10,000.00 124 1,008,841.91 0.33%
10,000.01- 15,000.00 315 4,132,136.15 1.35%
15,000.01- 20,000.00 458 8,182,891.62 2.67%
20,000.01- 25,000.00 456 10,447,026.83 3.41%
25,000.01- 30,000.00 481 13,452,587.54 4.40%
30,000.01- 35,000.00 420 13,807,490.52 4.51%
35,000.01- 40,000.00 449 16,971,681.41 5.55%
40,000.01- 45,000.00 374 16,064,544.55 5.25%
45,000.01- 50,000.00 357 17,099,345.88 5.59%
50,000.01- 55,000.00 298 15,634,264.99 5.11%
55,000.01- 60,000.00 310 17,892,727.18 5.85%
60,000.01- 65,000.00 191 11,961,110.16 3.91%
65,000.01- 70,000.00 187 12,698,609.28 4.15%
70,000.01- 75,000.00 173 12,583,751.95 4.11%
75,000.01- 80,000.00 138 10,716,611.22 3.50%
80,000.01- 85,000.00 106 8,760,998.31 2.86%
85,000.01- 90,000.00 118 10,377,541.06 3.39%
90,000.01- 95,000.00 72 6,655,239.73 2.18%
95,000.01-100,000.00 64 6,273,573.16 2.05%
100,000.01-150,000.00 402 48,508,497.97 15.85%
150,000.01-200,000.00 119 20,479,863.35 6.69%
200,000.01-250,000.00 44 9,843,852.43 3.22%
250,000.01-300,000.00 25 6,838,328.61 2.23%
300,000.01-350,000.00 9 2,929,379.74 0.96%
350,000.01-400,000.00 4 1,541,759.80 0.50%
400,000.01-500,000.00 1 444,802.72 0.15%
500,000.01-550,000.00 1 537,860.08 0.18%
- ------------------------------------------------------------------------------------------------------------
</TABLE>
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY, AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO 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 AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 13
13
LEHMAN BROTHERS
GROUP I - COLLATERAL SUMMARY (CONTINUED)
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------
% OF TOTAL
SEASONING (MONTHS) NUMBER OF LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ------------------------------------------------------------------------------------
<S> <C> <C> <C>
0 1,732 92,441,691.34 30.21%
1-6 3,011 188,272,484.99 61.53%
7-12 91 4,585,857.87 1.50%
13- 18 2 82,831.26 0.03%
19- 24 2 181,696.44 0.06%
31- 36 2 130,894.89 0.04%
79- 84 51 1,266,207.72 0.41%
85- 90 282 7,025,448.41 2.30%
91- 96 203 4,477,645.47 1.46%
97-102 86 1,871,391.63 0.61%
103-108 90 1,776,803.83 0.58%
109-114 55 1,045,345.65 0.34%
115-120 52 1,050,988.37 0.34%
121-126 80 1,709,690.54 0.56%
127+ 3 64,768.90 0.02%
- ------------------------------------------------------------------------------------
</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 AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 14
14
LEHMAN BROTHERS
GROUP II - COLLATERAL SUMMARY (CONTINUED)
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------
INITIAL GROUP II LOANS
----------------------------------------------------------------------------------------------------
<S> <C> <C>
NUMBER OF LOANS 3,812
TOTAL OUTSTANDING PRINCIPAL BALANCE $373,932,816.72
BALLOON (% OF TOTAL) 0.67%
LEVEL PAY (% OF TOTAL) 99.33%
AVERAGE PRINCIPAL BALANCE $98,093.60 $9,981.80 - $599,704.87
WEIGHTED AVERAGE LOAN RATE 10.49% 6.50% - 16.35%
WEIGHTED AVERAGE MARGIN 6.21% 2.50% - 12.50%
WEIGHTED AVERAGE ORIGINAL TERM (MOS.) 353 60 - 360
WEIGHTED AVERAGE REMAINING TERM (MOS.) 352 59 - 360
WEIGHTED AVERAGE LIFE CAP 17.09% 10.15% - 22.85%
WEIGHTED AVERAGE PERIODIC CAP 1.28% 1.0
0% - 3.00%
WEIGHTED AVERAGE FLOOR 9.83% 0.03% - 16.35%
INDEX 6 month LIBOR 87.86%
1 Yr CMT 12.14%
WEIGHTED AVERAGE CLTV 77.30% 10.64% - 99.32%
LIEN POSITION (FIRST/SECOND) 99.97% / 0.03%
PROPERTY TYPE
SINGLE FAMILY/PUD 88.25%
CONDO/TOWNHOUSE/ROWHOUSE 5.22%
TWO TO FOUR FAMILY 4.77%
PREFABRICATED SINGLE FAMILY 1.35%
OTHER 0.40%
OCCUPANCY STATUS
OWNER OCCUPIED / INVESTOR OWNED 94.35% / 5.65%
GEOGRAPHIC DISTRIBUTION
other states account individually for less than CA 13.58% WA 4.71%
4% of Group II principal balance MI 9.48% FL 4.38%
NJ 7.38% OH 4.30%
IL 6.56%
ORIGINATION YEAR 1997 99.43% 1994 0.04%
1996 0.53%
CREDIT CLASS A/A- 56.84% C 16.00%
B 18.95% D 8.20%
PREPAYMENT PENALTY Yes 61.64%
No 38.36%
----------------------------------------------------------------------------------------------------
</TABLE>
THIS INFORMATION DOES NOT CONSTITUTE EITHER AN OFFER TO SELL OR A SOLICITATION
OF AN OFFER TO BUY ANY OF THE SECURITIES REFERRED TO HEREIN. OFFERS TO SELL AND
SOLICITATIONS OF OFFERS TO BUY THE SECURITIES ARE MADE ONLY BY, AND THIS
INFORMATION MUST BE READ IN CONJUNCTION WITH, THE FINAL PROSPECTUS SUPPLEMENT
AND THE RELATED PROSPECTUS OR, IF NOT REGISTERED UNDER THE SECURITIES LAWS, THE
FINAL OFFERING MEMORANDUM (THE "OFFERING DOCUMENT"). INFORMATION CONTAINED
HEREIN DOES NOT PURPORT TO 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 AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 15
15
LEHMAN BROTHERS
GROUP II - COLLATERAL SUMMARY (CONTINUED)
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------------------------
INITIAL GROUP II LOANS
--------------------------------------------------------------------------------------------------------------------
LOAN TYPE % BY PRINCIPAL WTD. AVG. WTD. AVG. PERIODIC CAP PERIODIC CAP WTD. AVG.
BALANCE LOAN RATE MARGIN (1ST RESET) (SUBS. RESET) LIFE CAP
--------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
6 mo LIBOR 16.37% 10.21% 6.31% 1.22% 1.20% 16.80%
1 Yr CMT 5.33% 9.23% 6.50% 2.00% 2.00% 15.80%
2 Yr Fix, 1 Yr CMT 0.13% 10.02% 6.58% 2.29% 1.78% 16.31%
2 Yr Fix, 6 mo LIBOR 49.07% 10.78% 6.58% 2.92% 1.26% 17.32%
3 Yr Fix, 1 Yr CMT 6.65% 10.56% 5.94% 3.00% 1.99% 16.57%
3 Yr Fix, 6 mo LIBOR 10.97% 10.03% 5.40% 2.96% 1.00% 16.96%
5 Yr Fix, 6 mo LIBOR 11.49% 10.61% 5.32% 1.76% 1.00% 17.60%
--------------------------------------------------------------------------------------------------------------------
</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 AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 16
16
LEHMAN BROTHERS
GROUP II - COLLATERAL SUMMARY (CONTINUED)
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------
% OF TOTAL
STATE NUMBER OF LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ---------------------------------------------------------------------------
<S> <C> <C> <C>
AK 3 458,551.04 0.12%
AL 3 265,482.39 0.07%
AR 5 293,629.47 0.08%
AZ 119 11,358,614.15 3.04%
CA 323 50,794,768.88 13.58%
CO 112 12,361,847.75 3.31%
CT 39 5,530,755.63 1.48%
DC 6 688,683.40 0.18%
DE 29 3,010,839.94 0.81%
FL 194 16,390,140.32 4.38%
GA 92 9,121,409.82 2.44%
HI 12 1,790,344.47 0.48%
IA 11 531,415.81 0.14%
ID 17 1,238,458.56 0.33%
IL 249 24,528,683.47 6.56%
IN 108 7,101,779.86 1.90%
KS 17 1,422,462.88 0.38%
KY 15 1,001,200.58 0.27%
LA 7 649,231.91 0.17%
MA 79 9,637,171.30 2.58%
MD 113 12,320,244.15 3.29%
ME 9 785,763.88 0.21%
MI 508 35,441,811.29 9.48%
MN 37 3,668,866.45 0.98%
MO 74 4,710,067.21 1.26%
MS 2 103,391.17 0.03%
MT 13 873,226.75 0.23%
NC 57 5,292,537.60 1.42%
NE 7 439,744.64 0.12%
NH 13 1,151,870.88 0.31%
NJ 232 27,612,796.48 7.38%
NM 17 1,903,137.69 0.51%
NV 56 6,918,745.86 1.85%
NY 129 14,927,921.15 3.99%
OH 224 16,074,716.42 4.30%
OK 30 1,613,755.26 0.43%
OR 116 13,018,578.88 3.48%
PA 178 14,602,668.28 3.91%
- ---------------------------------------------------------------------------
</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 AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 17
17
LEHMAN BROTHERS
GROUP II - COLLATERAL SUMMARY (CONTINUED)
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------
% OF TOTAL
STATE (CONTINUED) NUMBER OF LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
RI 12 1,113,680.57 0.30%
SC 27 2,253,207.51 0.60%
SD 3 193,692.97 0.05%
TN 21 1,654,207.32 0.44%
TX 75 7,339,767.04 1.96%
UT 108 11,877,741.85 3.18%
VA 67 6,243,068.93 1.67%
VT 2 152,142.87 0.04%
WA 157 17,629,909.58 4.71%
WI 63 4,551,086.82 1.22%
WV 18 1,057,499.33 0.28%
WY 4 231,496.26 0.06%
- ---------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------
% OF TOTAL
COMBINED LTV (%) NUMBER OF LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.001- 50.000 161 9,699,309.26 2.59%
50.001- 55.000 46 3,780,016.92 1.01%
55.001- 60.000 110 9,099,629.68 2.43%
60.001- 65.000 286 24,958,396.52 6.67%
65.001- 70.000 356 33,478,137.71 8.95%
70.001- 75.000 469 44,205,851.37 11.82%
75.001- 80.000 1,096 115,595,641.97 30.91%
80.001- 85.000 985 99,470,070.03 26.60%
85.001- 90.000 288 32,064,293.96 8.57%
90.001- 95.000 13 1,410,351.95 0.38%
95.001-100.000 2 171,117.35 0.05%
- ---------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------
% OF TOTAL
LOAN RATE (%) NUMBER OF LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
less than or equal to 7.000 6 831,817.76 0.22%
7.001- 8.000 64 7,574,964.71 2.03%
8.001- 9.000 408 50,989,801.36 13.64%
9.001-10.000 906 102,889,795.27 27.52%
10.001-11.000 1,035 99,817,194.97 26.69%
11.001-12.000 757 62,035,694.18 16.59%
12.001-13.000 399 31,235,133.00 8.35%
13.001-14.000 129 9,991,133.77 2.67%
14.001-15.000 61 5,022,325.96 1.34%
15.001-16.000 46 3,499,455.74 0.94%
16.001-17.000 1 45,500.00 0.01%
- ---------------------------------------------------------------------------------------------
</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 AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 18
18
LEHMAN BROTHERS
GROUP II - COLLATERAL SUMMARY (CONTINUED)
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------
REMAINING TERM TO MATURITY % OF TOTAL
(MONTHS) NUMBER OF LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C>
49-60 2 84,702.63 0.02%
73-84 2 84,305.02 0.02%
109-20 39 2,603,944.81 0.70%
133-44 3 261,548.56 0.07%
145-56 1 48,000.00 0.01%
169-180 93 5,676,873.72 1.52%
217-228 11 783,853.73 0.21%
229-240 67 4,795,220.29 1.28%
289-300 7 734,022.15 0.20%
313-324 1 70,000.00 0.02%
325-336 2 159,315.44 0.04%
349-360 3,584 358,631,030.37 95.91%
- -------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------
% OF TOTAL
PRINCIPAL BALANCE ($) NUMBER OF LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C>
5,000.01-10,000.00 3 29,981.80 0.01%
10,000.01-15,000.00 7 97,501.60 0.03%
15,000.01-20,000.00 22 418,981.66 0.11%
20,000.01-25,000.00 60 1,386,364.62 0.37%
25,000.01-30,000.00 85 2,383,625.00 0.64%
30,000.01-35,000.00 100 3,282,200.51 0.88%
35,000.01-40,000.00 167 6,331,875.75 1.69%
40,000.01-45,000.00 159 6,819,454.95 1.82%
45,000.01-50,000.00 170 8,126,695.17 2.17%
50,000.01-55,000.00 191 10,065,007.61 2.69%
55,000.01-60,000.00 213 12,275,691.66 3.28%
60,000.01-65,000.00 152 9,564,621.55 2.56%
65,000.01-70,000.00 173 11,738,135.39 3.14%
70,000.01-75,000.00 193 14,033,527.81 3.75%
75,000.01-80,000.00 164 12,724,531.43 3.40%
80,000.01-85,000.00 171 14,138,753.65 3.78%
85,000.01-90,000.00 138 12,149,029.52 3.25%
90,000.01-95,000.00 140 12,993,595.04 3.47%
95,000.01-100,000.00 153 14,941,858.85 4.00%
100,000.01-150,000.00 817 99,082,083.61 26.50%
150,000.01-200,000.00 278 47,946,476.01 12.82%
200,000.01-250,000.00 117 26,221,156.02 7.01%
- -------------------------------------------------------------------------------------------
</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 AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 19
19
LEHMAN BROTHERS
GROUP II - COLLATERAL SUMMARY (CONTINUED)
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------
PRINCIPAL BALANCE ($) % OF TOTAL
(CONTINUED) NUMBER OF LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
250,000.01-300,000.00 61 16,644,149.96 4.45%
300,000.01-350,000.00 33 10,806,881.86 2.89%
350,000.01-400,000.00 21 7,952,092.39 2.13%
400,000.01-450,000.00 6 2,627,531.22 0.70%
450,000.01-500,000.00 12 5,714,296.41 1.53%
500,000.01-550,000.00 1 527,578.34 0.14%
550,000.01+ 5 2,909,137.33 0.78%
- ---------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------
% OF TOTAL
SEASONING (MONTHS) NUMBER OF LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0 1,294 113,835,716.65 30.44%
1-6 2,500 258,261,829.56 69.07%
7-12 16 1,675,955.07 0.45%
31-36 2 159,315.44 0.04%
- ---------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------
% OF TOTAL
LIFECAP (%) NUMBER OF LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
less than or equal to 12.000 4 324,896.84 0.09%
12.001-12.500 1 52,700.00 0.01%
12.501-13.000 3 344,436.29 0.09%
13.001-13.500 9 1,047,260.20 0.28%
13.501-14.000 15 2,136,144.68 0.57%
14.001-14.500 33 4,771,919.36 1.28%
14.501-15.000 138 15,581,170.58 4.17%
15.001-15.500 241 30,947,760.44 8.28%
15.501-16.000 354 40,647,040.43 10.87%
16.001-16.500 552 57,499,552.99 15.38%
16.501-17.000 470 49,721,707.46 13.30%
17.001-17.500 472 44,751,117.50 11.97%
17.501-18.000 467 40,327,446.33 10.78%
18.001-18.500 289 25,141,340.00 6.72%
18.501-19.000 269 21,828,703.36 5.84%
19.001-19.500 175 14,503,847.37 3.88%
19.501-20.000 136 10,030,543.37 2.68%
20.001-20.500 60 4,959,769.88 1.33%
20.501-21.000 43 3,158,983.21 0.84%
21.001-21.500 33 2,570,322.99 0.69%
21.501-22.000 28 2,213,135.70 0.59%
22.001-22.500 14 1,051,149.12 0.28%
22.501-23.000 6 321,868.62 0.09%
- ---------------------------------------------------------------------------------------------
</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 AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 20
20
LEHMAN BROTHERS
GROUP II - COLLATERAL SUMMARY (CONTINUED)
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------
% OF TOTAL
FLOOR (%) NUMBER OF LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
less than or equal to 12.000 3,373 338,142,498.06 90.43%
12.001-12.500 150 12,345,498.46 3.30%
12.501-13.000 104 8,266,581.13 2.21%
13.001-13.500 59 4,983,760.81 1.33%
13.501-14.000 35 2,474,590.30 0.66%
14.001-14.500 28 2,611,685.56 0.70%
14.501-15.000 23 1,941,558.24 0.52%
15.001-15.500 25 2,054,486.29 0.55%
15.501-16.000 14 1,066,657.87 0.29%
16.001-16.500 1 45,500.00 0.01%
- ---------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------
% OF TOTAL
MARGIN (%) NUMBER OF LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
2.001- 3.000 1 43,741.71 0.01%
3.001- 4.000 73 8,158,173.78 2.18%
4.001- 5.000 515 55,381,881.94 14.81%
5.001- 6.000 1,026 111,363,666.42 29.78%
6.001- 7.000 1,180 114,845,003.48 30.71%
7.001- 8.000 774 66,342,992.88 17.74%
8.001- 9.000 196 15,029,880.81 4.02%
9.001-10.000 40 2,406,939.50 0.64%
10.001-11.000 4 298,792.62 0.08%
11.001-12.000 1 22,495.66 0.01%
12.001+ 2 39,247.92 0.01%
- ---------------------------------------------------------------------------------------------
</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 AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
<PAGE> 21
21
LEHMAN BROTHERS
GROUP II COLLATERAL SUMMARY (CONTINUED)
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------
NEXT RATE ADJUSTMENT DATE % OF TOTAL
(MONTH/YEAR) NUMBER OF LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- -------------------------------------------------------------------------------------------
<S> <C> <C> <C>
August-97 2 157,865.53 0.04%
September-97 15 1,969,418.72 0.53%
October-97 31 3,946,924.40 1.06%
November-97 66 8,375,172.63 2.24%
December-97 140 14,381,407.53 3.85%
January-98 197 22,372,527.82 5.98%
February-98 97 10,184,022.37 2.72%
March-98 6 574,543.68 0.15%
April-98 30 3,390,173.14 0.91%
May-98 58 6,234,436.69 1.67%
June-98 26 3,181,210.50 0.85%
July-98 34 3,608,827.43 0.97%
August-98 22 2,752,956.00 0.74%
September-98 1 146,000.00 0.04%
December-98 1 108,530.05 0.03%
January-99 3 234,742.98 0.06%
February-99 7 403,961.61 0.11%
March-99 7 622,458.88 0.17%
April-99 59 7,612,474.41 2.04%
May-99 168 16,849,422.09 4.51%
June-99 492 50,795,540.99 13.58%
July-99 682 66,671,682.71 17.83%
August-99 425 35,491,170.07 9.49%
September-99 79 5,029,030.00 1.34%
December-99 1 149,854.87 0.04%
January-00 5 590,557.68 0.16%
February-00 15 1,213,905.31 0.32%
March-00 27 3,348,154.08 0.90%
April-00 73 7,729,769.87 2.07%
May-00 119 13,753,282.27 3.68%
June-00 110 10,553,480.33 2.82%
July-00 165 14,663,488.55 3.92%
August-00 149 13,876,962.80 3.71%
January-02 1 72,785.03 0.02%
May-02 4 768,496.08 0.21%
June-02 130 11,212,224.36 3.00%
July-02 214 17,913,566.25 4.79%
August-02 149 12,727,289.01 3.40%
September-02 2 264,500.00 0.07%
- -------------------------------------------------------------------------------------------
</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 AND
DELIVERED BY LEHMAN BROTHERS INC. AND THE CONTENTS AND ACCURACY THEREOF HAVE NOT
BEEN REVIEWED BY THE ISSUER. THIS INFORMATION WAS PREPARED ON THE BASIS OF
CERTAIN ASSUMPTIONS (INCLUDING, IN CERTAIN CASES, ASSUMPTIONS SPECIFIED BY THE
RECIPIENT HEREOF) REGARDING PAYMENTS, INTEREST RATES, WEIGHTED AVERAGE LIVES,
WEIGHTED AVERAGE LOAN AGE, LOSSES AND OTHER MATTERS, INCLUDING, BUT NOT LIMITED
TO, THE ASSUMPTIONS DESCRIBED IN THE OFFERING DOCUMENT. LEHMAN BROTHERS INC.,
AND ANY OF ITS AFFILIATES, MAKE NO REPRESENTATION OR WARRANTY AS TO THE ACTUAL
RATE OR TIMING OF PAYMENTS ON ANY OF THE UNDERLYING ASSETS OR THE PAYMENTS OR
YIELD ON THE SECURITIES. THIS INFORMATION SUPERSEDES ANY PRIOR VERSIONS HEREOF
AND WILL BE DEEMED TO BE SUPERSEDED BY ANY SUBSEQUENT VERSIONS (INCLUDING, WITH
RESPECT TO ANY DESCRIPTION OF THE SECURITIES OR UNDERLYING ASSETS, THE
INFORMATION CONTAINED IN THE OFFERING DOCUMENT).
