<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) December 4, 1997
Advanta Mortgage Loan Trust 1997-4
------------------------------------------------------
(Exact name of registrant as specified in its charter)
<TABLE>
<S> <C> <C>
- ---------------------------- ------------ --------------------
New York 333-37107 Application Pending
(State or Other Jurisdiction (Commission (I.R.S. Employer
of Incorporation) File Number) Identification No.)
--------------------
c/o Advanta Mortgage Conduit 92127
Services, Inc. (Zip Code)
Attention: Milton Riseman
16875 West Bernardo Drive
San Diego, California
(Address of Principal
Executive Offices)
</TABLE>
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
1997-4 Mortgage Loan Asset-Backed Certificates, Series 1997-4, described in a
Prospectus Supplement dated as of December 4, 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 1997-4
By: Advanta Mortgage Conduit Services,
Inc., as Sponsor
By: /s/ Mark T. Dunsheath
------------------------
Name: Mark T. Dunsheath
Title: Vice President
Dated: December 5, 1997
<PAGE> 4
EXHIBIT INDEX
<TABLE>
<CAPTION>
EXHIBIT NO. DESCRIPTION PAGE NO.
- ----------- ----------- --------
<S> <C> <C>
99.1 Related Computational 5
Materials (as defined
in Item 5 above).
</TABLE>
<PAGE> 1
EXHIBIT 99.1
LEHMAN BROTHERS
DERIVED INFORMATION
$900,000,000 Certificates (Approximate)
ADVANTA MORTGAGE LOAN TRUST 1997-4
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
2
LEHMAN BROTHERS
SECURITIES OFFERED
GROUP I (FIXED RATE HELS) - TO MATURITY
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
APPROX. ESTIMATED EST. PRIN. EXPECTED STATED EXPECTED
APPROX. CLASS 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> <C>
CLASS A-1 (1) 146,039,000 29.21 1 mo LIBOR 100.000% 0.85 1 - 18 6/25/99 8/25/10 Aaa/AAA
CLASS A-2 (1) 91,159,000 18.23 2 Yr Tsy 100.000% 2.00/1.82 18 - 30 6/25/00 9/25/12 Aaa/AAA
CLASS A-3 (1) 33,579,000 6.72 Curve 100.000% 2.76/2.45 30 - 36 12/25/00 8/25/14 Aaa/AAA
CLASS A-4 (1) 59,837,000 11.97 Curve 100.000% 3.90/3.33 36 - 59 11/25/02 3/25/22 Aaa/AAA
CLASS A-5 (1) 15,601,000 3.12 Curve 100.000% 5.40/4.39 59 - 71 11/25/03 3/25/24 Aaa/AAA
CLASS A-6 (1) 41,285,000 8.26 10 Yr Tsy 100.000% 9.99/6.82 71 - 198 6/25/14 1/25/29 Aaa/AAA
CLASS A-7 (1) 50,000,000 10.00 Curve 100.000% 6.61/5.13 37 - 177 9/25/12 1/25/29 Aaa/AAA
CLASS M-1 (1) 17,500,000 3.50 Curve 100.000% 6.17/4.68 37 - 168 12/25/11 1/25/29 Aa2/AA
CLASS M-2 (1) 30,000,000 6.00 Curve 100.000% 6.10/4.61 37 - 158 2/25/11 1/25/29 A2/A
CLASS B-1 (1) 15,000,000 3.00 Curve 100.000% 5.87/4.48 37 - 131 11/25/08 1/25/29 Baa2/BBB
CLASS A-IO (3) (50,000,000) NA NA NA NA NA 6/25/00 6/25/00 Aaa/AAAr
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
GROUP I (FIXED RATE HELS) - TO CALL
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
APPROX. ESTIMATED EST. PRIN. EXPECTED STATED EXPECTED
APPROX. CLASS EXPECTED WAL/MDUR PMT. WINDOW FINAL FINAL RATINGS
SECURITIES SIZE ($) (%) BENCHMARK PRICE (YRS) (MOS.) MATURITY MATURITY (MDY'S/S&P)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A-6 (1) 41,285,000 8.26 10 Yr Tsy 100.000% 7.67/5.74 71 - 98 2/25/06 1/25/29 Aaa/AAA
CLASS A-7 (1) 50,000,000 10.00 Curve 100.000% 6.43/5.03 37 - 98 2/25/06 1/25/29 Aaa/AAA
CLASS M-1 (1) 17,500,000 3.50 Curve 100.000% 5.61/4.42 37 - 98 2/25/06 1/25/29 Aa2/AA
CLASS M-2 (1) 30,000,000 6.00 Curve 100.000% 5.61/4.38 37 - 98 2/25/06 1/25/29 A2/A
CLASS B-1 (1) 15,000,000 3.00 Curve 100.000% 5.61/4.35 37 - 98 2/25/06 1/25/29 Baa2/BBB
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
GROUP II (ARMS) - TO CALL
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
APPROX. ESTIMATED EST. PRIN. EXPECTED STATED EXPECTED
APPROX. CLASS EXPECTED WAL PMT. WINDOW FINAL FINAL RATINGS
SECURITIES SIZE ($) (%) BENCHMARK PRICE (YRS) (MOS.) MATURITY MATURITY (MDY'S/S&P)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
CLASS A-8 (2) 98,000,000 24.50 1 mo LIBOR 100.000% 1.40 1 - 41 5/25/01 2/25/24 Aaa/AAA
CLASS A-9 (2) 302,000,000 75.50 1 mo LIBOR 100.000% 3.50 1 - 98 2/25/06 1/25/29 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
3
LEHMAN BROTHERS
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> 4
4
LEHMAN BROTHERS
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
GROUP I (FIXED RATE HELS) - TO MATURITY
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
% of Prepayment Assumption 50.0% 75.0% 100.0% 115.0% 150.0% 200.0% 250.0%
Implied Group I 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) 1.46 1.11 0.93 0.85 0.73 0.62 0.54
Window (begin-end) (mths) 1 - 34 1 - 25 1 - 20 1 - 18 1 - 15 1 - 12 1 - 10
Expected Final Maturity 10/25/00 1/25/00 8/25/99 6/25/99 3/25/99 12/25/98 10/25/98
Class A-2
- ---------
Avg. Life (yrs) 4.03 2.87 2.25 2.00 1.60 1.27 1.07
Mod Duration (yrs) 3.43 2.53 2.03 1.82 1.48 1.18 1.01
Window (begin-end) (mths) 34 - 64 25 - 45 20 - 34 18 - 30 15 - 24 12 - 18 10 - 15
Expected Final Maturity 4/25/03 9/25/01 10/25/00 6/25/00 12/25/99 6/25/99 3/25/99
Yield @ 100.000% 6.59 6.55 6.50 6.48 6.42 6.35 6.28
Class A-3
- ---------
Avg. Life (yrs) 6.04 4.16 3.15 2.76 2.17 1.68 1.37
Mod Duration (yrs) 4.83 3.54 2.76 2.45 1.97 1.54 1.27
Window (begin-end) (mths) 64 - 83 45 - 56 34 - 42 30 - 36 24 - 28 18 - 21 15 - 17
Expected Final Maturity 11/25/04 8/25/02 6/25/01 12/25/00 4/25/00 9/25/99 5/25/99
Yield @ 100.000% 6.65 6.62 6.58 6.56 6.52 6.46 6.39
Class A-4
- ---------
Avg. Life (yrs) 9.95 6.40 4.56 3.90 2.73 2.06 1.66
Mod Duration (yrs) 7.01 5.02 3.81 3.33 2.42 1.87 1.52
Window (begin-end) (mths) 83 - 155 56 - 111 42 - 71 36 - 59 28 - 43 21 - 28 17 - 22
Expected Final Maturity 11/25/10 3/25/07 11/25/03 11/25/02 7/25/01 4/25/00 10/25/99
Yield @ 100.000% 6.77 6.75 6.72 6.70 6.65 6.60 6.54
Class A-5
- ---------
Avg. Life (yrs) 13.81 10.15 6.52 5.40 3.85 2.42 1.92
Mod Duration (yrs) 8.71 7.13 5.12 4.39 3.29 2.17 1.75
Window (begin-end) (mths) 155 - 176 111 - 133 71 - 94 59 - 71 43 - 49 28 - 30 22 - 24
Expected Final Maturity 8/25/12 1/25/09 10/25/05 11/25/03 1/25/02 6/25/00 12/25/99
Yield @ 100.000% 6.85 6.83 6.81 6.79 6.76 6.69 6.64
- -----------------------------------------------------------------------------------------------------------------------------------
</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
5
LEHMAN BROTHERS
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
GROUP I (FIXED RATE HELS) - TO MATURITY
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
% of Prepayment Assumption 50.0% 75.0% 100.0% 115.0% 150.0% 200.0% 250.0%
Implied Group I 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) 18.06 14.63 11.78 9.99 6.42 2.76 2.18
Mod Duration (yrs) 9.81 8.79 7.68 6.82 4.87 2.44 1.96
Window (begin-end) (mths) 176 - 329 133 - 274 94 - 222 71 - 198 49 - 165 30 - 36 24 - 28
Expected Final Maturity 5/25/25 10/25/20 6/25/16 6/25/14 9/25/11 12/25/00 4/25/00
Yield @ 100.000% 7.12 7.11 7.10 7.10 7.07 6.97 6.93
Class A-7
- ---------
Avg. Life (yrs) 7.80 7.16 6.76 6.61 6.47 5.80 2.93
Mod Duration (yrs) 5.79 5.44 5.21 5.13 5.04 4.63 2.56
Window (begin-end) (mths) 37 - 320 37 - 263 37 - 212 37 - 177 42 - 163 36 - 122 28 - 94
Expected Final Maturity 8/25/24 11/25/19 8/25/15 9/25/12 7/25/11 2/25/08 10/25/05
Yield @ 100.000% 6.72 6.71 6.71 6.71 6.71 6.70 6.62
Class M-1
- ---------
Avg. Life (yrs) 11.45 8.75 6.97 6.17 4.99 4.44 5.49
Mod Duration (yrs) 7.35 6.10 5.14 4.68 3.99 3.67 4.41
Window (begin-end) (mths) 69 - 278 50 - 217 39 - 177 37 - 168 40 - 131 45 - 96 55 - 82
Expected Final Maturity 2/25/21 1/25/16 9/25/12 12/25/11 11/25/08 12/25/05 10/25/04
Yield @ 100.000% 7.14 7.13 7.11 7.10 7.09 7.08 7.10
Class M-2
- ---------
Avg. Life (yrs) 11.33 8.66 6.91 6.10 4.88 4.12 4.10
Mod Duration (yrs) 7.22 6.00 5.07 4.61 3.89 3.42 3.43
Window (begin-end) (mths) 69 - 262 50 - 205 39 - 177 37 - 158 38 - 123 40 - 91 42 - 69
Expected Final Maturity 10/25/19 1/25/15 9/25/12 2/25/11 3/25/08 7/25/05 9/25/03
Yield @ 100.000% 7.40 7.38 7.37 7.36 7.34 7.32 7.32
Class B-1
- ---------
Avg. Life (yrs) 10.99 8.48 6.66 5.87 4.67 3.83 3.53
Mod Duration (yrs) 7.04 5.87 4.93 4.48 3.75 3.20 3.00
Window (begin-end) (mths) 69 - 217 50 - 177 39 - 148 37 - 131 37 - 101 38 - 74 39 - 57
Expected Final Maturity 1/25/16 9/25/12 4/25/10 11/25/08 5/25/06 2/25/04 9/25/02
Yield @ 100.000% 7.65 7.64 7.62 7.61 7.59 7.56 7.55
- -----------------------------------------------------------------------------------------------------------------------------------
</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
6
LEHMAN BROTHERS
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>
% of Prepayment Assumption 50.0% 75.0% 100.0% 115.0% 150.0% 200.0% 250.0%
Implied Group I 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) 15.80 12.46 9.52 7.67 5.36 2.76 2.18
Mod Duration (yrs) 9.26 8.05 6.73 5.74 4.32 2.44 1.96
Window (begin-end) (mths) 176 - 197 133 - 152 94 - 117 71 - 98 49 - 77 30 - 36 24 - 28
Expected Final Maturity 5/25/14 8/25/10 9/25/07 2/25/06 5/25/04 12/25/00 4/25/00
Yield @ 100.000% 7.11 7.11 7.09 7.08 7.06 6.97 6.93
Class A-7
- ---------
Avg. Life (yrs) 7.80 7.15 6.69 6.43 5.73 4.58 2.74
Mod Duration (yrs) 5.79 5.43 5.18 5.03 4.61 3.83 2.43
Window (begin-end) (mths) 37 - 197 37 - 152 37 - 117 37 - 98 42 - 77 36 - 56 28 - 42
Expected Final Maturity 5/25/14 8/25/10 9/25/07 2/25/06 5/25/04 8/25/02 6/25/01
Yield @ 100.000% 6.72 6.71 6.71 6.71 6.70 6.68 6.61
Class M-1
- ---------
Avg. Life (yrs) 11.01 8.31 6.46 5.61 4.58 4.12 3.52
Mod Duration (yrs) 7.24 5.94 4.93 4.42 3.76 3.47 3.02
Window (begin-end) (mths) 69 - 197 50 - 152 39 - 117 37 - 98 40 - 77 45 - 56 42 - 42
Expected Final Maturity 5/25/14 8/25/10 9/25/07 2/25/06 5/25/04 8/25/02 6/25/01
Yield @ 100.000% 7.14 7.13 7.11 7.10 7.08 7.07 7.05
Class M-2
- ---------
Avg. Life (yrs) 11.01 8.31 6.46 5.61 4.52 3.85 3.52
Mod Duration (yrs) 7.14 5.88 4.88 4.38 3.69 3.25 3.01
Window (begin-end) (mths) 69 - 197 50 - 152 39 - 117 37 - 98 38 - 77 40 - 56 42 - 42
Expected Final Maturity 5/25/14 8/25/10 9/25/07 2/25/06 5/25/04 8/25/02 6/25/01
Yield @ 100.000% 7.39 7.38 7.36 7.35 7.33 7.31 7.30
Class B
- -------
Avg. Life (yrs) 10.93 8.30 6.46 5.61 4.49 3.69 3.40
Mod Duration (yrs) 7.02 5.81 4.84 4.35 3.64 3.11 2.91
Window (begin-end) (mths) 69 - 197 50 - 152 39 - 117 37 - 98 37 - 77 38 - 56 39 - 42
Expected Final Maturity 5/25/14 8/25/10 9/25/07 2/25/06 5/25/04 8/25/02 6/25/01
Yield @ 100.000% 7.65 7.63 7.62 7.60 7.58 7.56 7.55
- ------------------------------------------------------------------------------------------------------------------------------------
</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
7
LEHMAN BROTHERS
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) 3.53 2.37 1.77 1.40 1.15 0.83 0.64
Window (begin-end) (mths) 1 - 106 1 - 71 1 - 52 1 - 41 1 - 33 1 - 23 1 - 17
Expected Final Maturity 10/25/06 11/25/03 4/25/02 5/25/01 9/25/00 11/25/99 5/25/99
Class A-9
- ---------
Avg. Life (yrs) 8.25 5.83 4.38 3.50 2.83 2.01 1.49
Window (begin-end) (mths) 1 - 197 1 - 152 1 - 117 1 - 98 1 - 77 1 - 56 1 - 42
Expected Final Maturity 5/25/14 8/25/10 9/25/07 2/25/06 5/25/04 8/25/02 6/25/01
- ----------------------------------------------------------------------------------------------------------------------------------
</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> 8
8
LEHMAN BROTHERS
GROUP I - COLLATERAL SUMMARY
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------
INITIAL GROUP I LOANS
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
NUMBER OF LOANS 5,264
TOTAL OUTSTANDING PRINCIPAL BALANCE $304,022,482.01
BALLOON (% OF TOTAL) 18.46%
LEVEL PAY (% OF TOTAL) 81.54%
AVERAGE PRINCIPAL BALANCE $57,755.03 $568.91 - $559,727.44
WEIGHTED AVERAGE LOAN RATE 10.72% 7.05% - 18.99%
WEIGHTED AVERAGE ORIGINAL TERM (MOS.) 250 36 - 360
WEIGHTED AVERAGE REMAINING TERM (MOS.) 249 4 - 360
WEIGHTED AVERAGE CLTV 74.46% 8.77% - 95.00%
WEIGHTED AVERAGE SECOND MORTGAGE RATIO 35.49% (for second liens only)
LIEN POSITION (FIRST/SECOND) 92.15%/7.85%
PROPERTY TYPE
SINGLE FAMILY/PUD 87.16%
CONDO/TOWNHOUSE/ROWHOUSE 4.05%
TWO TO FOUR FAMILY 4.16%
PREFABRICATED SINGLE FAMILY 4.15%
OTHER 0.49%
OCCUPANCY STATUS
OWNER OCCUPIED 93.85%
INVESTOR OWNER 6.15%
GEOGRAPHIC DISTRIBUTION
other states account individually for less than MI 11.49%
5% of Group I pool balance CA 8.15%
PA 6.45%
NY 5.28%
ORIGINATION YEAR 1997 99.68%
1996 0.13%
1986-1990 0.19%
CREDIT CLASS A/A- 66.12% C 12.12%
B 17.41% D 4.34%
PREPAYMENT PENALTY Yes 72.18%
No 27.82%
- ---------------------------------------------------------------------------------------------------------------------------
</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
9
LEHMAN BROTHERS
GROUP I - COLLATERAL SUMMARY (CONTINUED)
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------
% OF TOTAL
STATE NUMBER OF LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
MI 747 34,941,756.92 11.49
CA 266 24,789,999.68 8.15
PA 387 19,616,745.67 6.45
NY 219 16,040,622.81 5.28
FL 268 15,051,916.92 4.95
OH 278 14,278,555.66 4.70
IL 191 11,451,617.33 3.77
NC 197 10,562,190.61 3.47
MD 140 10,483,267.40 3.45
NJ 142 10,050,883.68 3.31
IN 211 9,670,873.32 3.18
WA 136 8,870,127.38 2.92
VA 156 8,838,188.76 2.91
CO 102 7,488,306.98 2.46
MO 154 7,451,555.29 2.45
SC 149 7,357,360.70 2.42
GA 117 6,784,808.94 2.23
AZ 131 6,333,810.24 2.08
KS 105 6,001,429.97 1.97
OR 73 5,525,551.10 1.82
IA 109 5,153,531.68 1.70
MA 64 4,921,799.91 1.62
LA 89 4,474,948.86 1.47
UT 59 3,614,394.96 1.19
OK 74 3,585,256.18 1.18
MN 56 3,570,489.93 1.17
WV 68 3,483,145.97 1.15
TN 52 3,112,574.72 1.02
DE 36 2,904,750.49 0.96
CT 38 2,813,886.41 0.93
WI 47 2,750,158.15 0.90
HI 13 2,342,906.03 0.77
TX 36 2,150,595.00 0.71
NE 43 1,909,857.78 0.63
MS 43 1,717,588.50 0.56
ID 30 1,615,573.10 0.53
AL 41 1,555,227.51 0.51
AR 36 1,526,325.00 0.50
- ------------------------------------------------------------------------------------------------------------
</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
10
LEHMAN BROTHERS
GROUP I - COLLATERAL SUMMARY (CONTINUED)
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------
% OF TOTAL
STATE (CONTINUED) NUMBER OF LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
RI 24 1,188,331.22 0.39
NV 19 1,184,118.39 0.39
NM 24 1,080,238.30 0.36
ME 19 1,076,356.97 0.35
KY 16 989,810.38 0.33
DC 11 970,525.66 0.32
MT 13 620,255.06 0.20
WY 9 574,813.56 0.19
VT 9 574,065.38 0.19
NH 4 443,636.18 0.15
SD 10 407,407.40 0.13
AK 2 107,593.97 0.04
ND 1 12,750.00 0.00
Total: 5,264 304,022,482.01 100.00
- ------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------
% OF TOTAL
COMBINED LTV (%) NUMBER OF LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
5.001- 10.000 2 36,320.54 0.01
10.001- 15.000 7 94,200.54 0.03
15.001- 20.000 26 476,522.67 0.16
20.001- 25.000 42 1,032,509.41 0.34
25.001- 30.000 51 1,407,643.97 0.46
30.001- 35.000 84 2,658,740.46 0.87
35.001- 40.000 98 3,371,356.13 1.11
40.001- 45.000 118 4,661,502.23 1.53
45.001- 50.000 185 7,264,607.80 2.39
50.001- 55.000 151 6,558,684.12 2.16
55.001- 60.000 222 10,270,075.53 3.38
60.001- 65.000 339 17,802,074.42 5.86
65.001- 70.000 445 25,245,590.32 8.30
70.001- 75.000 746 46,164,247.47 15.18
75.001- 80.000 1,147 74,267,118.27 24.43
80.001- 85.000 1,463 94,200,799.73 30.98
85.001- 90.000 119 7,371,002.63 2.42
90.001- 95.000 19 1,139,485.77 0.37
Total: 5,264 304,022,482.01 100.00
- ------------------------------------------------------------------------------------------------------------
</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 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
11
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> 12
12
LEHMAN BROTHERS
GROUP I - COLLATERAL SUMMARY (CONTINUED)
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------
% OF TOTAL
LTV (%) NUMBER OF LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.001- 5.000 1 8,864.45 0.00
5.001- 10.000 39 680,485.61 0.22
10.001- 15.000 150 3,377,655.78 1.11
15.001- 20.000 180 4,850,452.83 1.60
20.001- 25.000 196 5,729,834.67 1.88
25.001- 30.000 143 4,729,474.83 1.56
30.001- 35.000 141 4,957,304.06 1.63
35.001- 40.000 137 5,225,018.76 1.72
40.001- 45.000 127 5,301,593.34 1.74
45.001- 50.000 192 7,928,771.52 2.61
50.001- 55.000 141 6,205,953.56 2.04
55.001- 60.000 210 9,775,250.71 3.22
60.001- 65.000 321 17,343,351.56 5.70
65.001- 70.000 407 23,933,085.81 7.87
70.001- 75.000 663 43,112,979.46 14.18
75.001- 80.000 975 68,359,425.33 22.48
80.001- 85.000 1,133 84,812,081.26 27.90
85.001- 90.000 93 6,695,078.94 2.20
90.001- 95.000 15 995,819.53 0.33
Total: 5,264 304,022,482.01 100.00
- ------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------
JR. LIEN RATIO % OF TOTAL
(JR. ONLY) (%) NUMBER OF LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
0.001- 10.000 11 197,977.91 0.83
10.001- 20.000 180 4,084,835.41 17.11
20.001- 30.000 247 6,799,589.23 28.47
30.001- 40.000 134 4,419,985.50 18.51
40.001- 50.000 83 4,211,695.45 17.64
50.001- 60.000 40 1,985,618.00 8.31
60.001- 70.000 17 648,742.75 2.72
70.001- 80.000 16 694,200.31 2.91
80.001- 90.000 11 757,506.57 3.17
90.001-100.000 2 80,357.50 0.34
Total: 741 23,880,508.63 100.00
- ------------------------------------------------------------------------------------------------------------
</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 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
LOAN RATE (%) NUMBER OF LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
7.001- 8.000 27 3,305,514.24 1.09
8.001- 9.000 580 42,123,792.68 13.86
9.001-10.000 1,192 86,239,084.80 28.37
10.001-11.000 1,007 62,587,710.15 20.59
11.001-12.000 833 44,809,656.63 14.74
12.001-13.000 1,018 41,915,115.38 13.79
13.001-14.000 399 15,538,250.02 5.11
14.001-15.000 159 5,654,542.91 1.86
15.001-16.000 35 1,434,663.27 0.47
16.001-17.000 11 346,333.54 0.11
18.001-19.000 3 67,818.39 0.02
Total: 5,264 304,022,482.01 100.00
- ------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------
REMAINING TERM TO MATURITY % OF TOTAL
(MONTHS) NUMBER OF LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
1-12 1 568.91 0.00
25- 36 2 128,961.79 0.04
37- 48 4 70,925.43 0.02
49- 60 39 805,623.37 0.26
61- 72 15 429,432.51 0.14
73- 84 49 1,362,094.76 0.45
85- 96 26 960,897.01 0.32
97-108 5 295,353.87 0.10
109-120 325 10,661,214.51 3.51
121-132 2 75,030.58 0.02
133-144 44 1,940,125.88 0.64
145-156 1 52,558.18 0.02
157-168 1 204,000.00 0.07
169-180 2,434 122,816,539.13 40.40
181-192 5 159,294.73 0.05
193-204 10 686,963.97 0.23
205-216 2 219,000.00 0.07
217-228 101 7,077,389.75 2.33
229-240 809 50,974,899.35 16.77
241-252 1 45,000.00 0.01
289-300 12 1,243,300.78 0.41
349-360 1,376 103,813,307.50 34.15
Total: 5,264 304,022,482.01 100.00
- ------------------------------------------------------------------------------------------------------------
</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 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)
INITIAL GROUP II LOANS
<TABLE>
<S> <C> <C> <C>
NUMBER OF LOANS 3,296
TOTAL OUTSTANDING PRINCIPAL BALANCE $294,570,732.03
BALLOON (% OF TOTAL) 0.17%
LEVEL PAY (% OF TOTAL) 99.83%
AVERAGE PRINCIPAL BALANCE $89,372.19 $1,934.43 - $1,387,500.00
WEIGHTED AVERAGE LOAN RATE 10.54% 6.74% - 15.99%
WEIGHTED AVERAGE MARGIN 6.28% 2.09% - 10.25%
WEIGHTED AVERAGE ORIGINAL TERM (MOS.) 357 60 - 360
WEIGHTED AVERAGE REMAINING TERM (MOS.) 355 16 - 360
WEIGHTED AVERAGE LIFE CAP 17.11% 10.48% - 30.50%
WEIGHTED AVERAGE PERIODIC CAP 1.23% 1.00% - 2.00%
WEIGHTED AVERAGE FLOOR 10.18% 2.55% - 15.99%
INDEX 6 month LIBOR 93.61%
1 Yr CMT 5.35%
COFI 1.04%
WEIGHTED AVERAGE CLTV 77.70% 16.75% - 95.00%
LIEN POSITION (FIRST/SECOND) 99.00% / 1.00%
PROPERTY TYPE
SINGLE FAMILY/PUD 88.03%
CONDO/TOWNHOUSE/ROWHOUSE 6.06%
TWO TO FOUR FAMILY 3.54%
PREFABRICATED SINGLE FAMILY 1.88%
OTHER 0.49%
OCCUPANCY STATUS
OWNER OCCUPIED / INVESTOR OWNED 95.69% / 4.31%
GEOGRAPHIC DISTRIBUTION
other states account individually for less than MI 18.61%
5% of Group II principal balance CA 12.37%
NJ 7.11%
IL 6.81%
ORIGINATION YEAR 1997 98.18% 1994 0.14%
1996 0.56% 1984-88 1.12%
CREDIT CLASS A/A- 52.58% C 16.34%
B 21.83% D 8.66%
Unknown 0.59%
PREPAYMENT PENALTY Yes 65.01%
No 34.99%
</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)
INITIAL GROUP II LOANS
<TABLE>
<CAPTION>
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 13.54% 10.47% 6.52% 1.28% 1.28% 17.01%
1 Yr CMT 3.82% 9.66% 6.26% 2.00% 1.98% 16.53%
1 Yr COFI 1.04% 10.73% 3.29% 2.00% 2.00% 16.18%
2 Yr Fix, 6 mo LIBOR 62.14% 10.77% 6.58% 2.97% 1.21% 17.25%
3 Yr Fix, 6 mo LIBOR 9.42% 9.81% 5.51% 2.97% 1.03% 16.67%
3 Yr Fix, 1 Yr CMT 1.44% 10.07% 5.93% 3.00% 2.00% 16.40%
5 Yr Fix, 6 mo LIBOR 8.52% 10.28% 5.10% 1.74% 1.01% 17.26%
5 Yr Fix, 1 Yr CMT 0.09% 9.91% 5.24% 3.00% 2.00% 16.91%
--------------------------- ------------------- -------------- ------------- ---------------- ---------------- --------------
</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> 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>
MI 752 54,830,870.53 18.61
CA 291 36,452,267.98 12.37
NJ 170 20,929,750.98 7.11
IL 189 20,073,672.86 6.81
WA 116 13,029,842.89 4.42
NY 124 12,481,180.31 4.24
MD 105 11,499,781.83 3.90
FL 137 9,816,942.08 3.33
OH 122 9,329,681.03 3.17
PA 122 8,507,342.92 2.89
OR 74 8,174,039.14 2.77
CO 90 8,068,552.71 2.74
MA 80 7,550,132.89 2.56
UT 66 6,733,263.29 2.29
TX 74 5,917,486.51 2.01
IN 91 5,893,910.55 2.00
AZ 86 5,860,169.78 1.99
MN 60 5,309,740.88 1.80
WI 63 4,607,923.38 1.56
NV 40 3,943,329.72 1.34
VA 30 3,558,513.67 1.21
NC 43 3,457,699.06 1.17
GA 44 3,424,757.39 1.16
KS 34 2,789,292.77 0.95
MO 43 2,722,697.95 0.92
CT 26 2,680,885.61 0.91
OK 26 1,724,554.10 0.59
IA 24 1,427,168.83 0.48
KY 23 1,320,927.93 0.45
NH 14 1,248,467.30 0.42
SC 18 1,247,828.77 0.42
DE 10 1,113,690.30 0.38
TN 11 1,046,330.98 0.36
ID 12 945,925.57 0.32
NM 10 936,543.14 0.32
HI 4 880,982.64 0.30
</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 ($) PRINCIPAL BALANCE
<S> <C> <C> <C>
RI 10 675,446.86 0.23
DC 7 612,991.85 0.21
MS 6 513,401.13 0.17
NE 6 486,056.14 0.17
SD 7 463,053.32 0.16
ME 7 450,452.64 0.15
LA 7 423,343.64 0.14
WV 4 286,580.41 0.10
AR 3 265,015.56 0.09
WY 5 237,474.28 0.08
MT 4 202,360.11 0.07
VT 2 156,000.00 0.05
AK 1 107,559.40 0.04
CO 1 78,748.42 0.03
AL 2 76,100.00 0.03
Total: 3,296 294,570,732.03 100.00
</TABLE>
<TABLE>
<CAPTION>
% OF TOTAL
COMBINED LTV (%) NUMBER OF LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
<S> <C> <C> <C>
15.001- 20.000 6 152,307.43 0.05
20.001- 25.000 6 196,681.28 0.07
25.001- 30.000 13 404,558.81 0.14
30.001- 35.000 15 757,697.21 0.26
35.001- 40.000 18 1,249,842.00 0.42
40.001- 45.000 37 2,189,948.98 0.74
45.001- 50.000 48 2,867,744.60 0.97
50.001- 55.000 55 3,153,751.73 1.07
55.001- 60.000 78 5,320,073.17 1.81
60.001- 65.000 270 21,335,019.63 7.24
65.001- 70.000 274 23,441,709.27 7.96
70.001- 75.000 380 32,840,106.01 11.15
75.001- 80.000 890 86,173,833.13 29.25
80.001- 85.000 925 84,309,139.13 28.62
85.001- 90.000 252 27,603,920.46 9.37
90.001- 95.000 29 2,574,399.19 0.87
Total: 3,296 294,570,732.03 100.00
</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 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>
% OF TOTAL
LOAN RATE (%) NUMBER OF LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
<S> <C> <C> <C>
6.001- 7.000 2 508,362.05 0.17
7.001- 8.000 50 5,812,293.09 1.97
8.001- 9.000 306 34,119,215.16 11.58
9.001-10.000 780 79,710,424.49 27.06
10.001-11.000 961 85,357,032.72 28.98
11.001-12.000 672 52,695,005.81 17.89
12.001-13.000 293 19,441,356.97 6.60
13.001-14.000 126 8,946,791.54 3.04
14.001-15.000 71 5,224,504.05 1.77
15.001-16.000 35 2,755,746.15 0.94
Total: 3,296 294,570,732.03 100.00
</TABLE>
<TABLE>
<CAPTION>
REMAINING TERM TO MATURITY % OF TOTAL
(MONTHS) NUMBER OF LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
<S> <C> <C> <C>
13- 24 9 58,565.50 0.02
25- 36 22 182,914.16 0.06
37- 48 13 108,725.98 0.04
49- 60 17 251,649.26 0.09
61- 72 5 99,096.14 0.03
109-120 5 269,115.14 0.09
133-144 7 191,291.74 0.06
145-156 1 26,082.10 0.01
169-180 32 2,011,541.72 0.68
193-204 1 38,634.16 0.01
205-216 9 311,676.53 0.11
217-228 18 775,122.49 0.26
229-240 41 1,704,581.29 0.58
241-252 20 731,274.45 0.25
265-276 1 123,000.00 0.04
289-300 13 1,116,358.27 0.38
313-324 1 67,958.60 0.02
325-336 2 400,384.55 0.14
337-348 8 649,687.88 0.22
349-360 3,071 285,453,072.07 96.90
Total: 3,296 294,570,732.03 100.00
</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 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>
% OF TOTAL
PRINCIPAL BALANCE ($) NUMBER OF LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
<S> <C> <C> <C>
0.01- 5,000.00 15 61,461.58 0.02
5,000.01- 10,000.00 32 234,189.12 0.08
10,000.01- 15,000.00 18 219,283.02 0.07
15,000.01- 20,000.00 43 783,854.09 0.27
20,000.01- 25,000.00 59 1,355,334.57 0.46
25,000.01- 30,000.00 101 2,810,173.47 0.95
30,000.01- 35,000.00 87 2,860,365.97 0.97
35,000.01- 40,000.00 137 5,212,801.12 1.77
40,000.01- 45,000.00 148 6,365,865.95 2.16
45,000.01- 50,000.00 158 7,552,733.81 2.56
50,000.01- 55,000.00 149 7,843,598.61 2.66
55,000.01- 60,000.00 198 11,436,458.26 3.88
60,000.01- 65,000.00 168 10,599,140.17 3.60
65,000.01- 70,000.00 181 12,270,488.96 4.17
70,000.01- 75,000.00 159 11,550,901.99 3.92
75,000.01- 80,000.00 147 11,429,373.00 3.88
80,000.01- 85,000.00 130 10,767,113.51 3.66
85,000.01- 90,000.00 120 10,553,645.60 3.58
90,000.01- 95,000.00 115 10,699,706.16 3.63
95,000.01-100,000.00 136 13,294,562.24 4.51
100,000.01-150,000.00 623 74,768,890.04 25.38
150,000.01-200,000.00 214 36,663,839.43 12.45
200,000.01-250,000.00 70 15,472,752.64 5.25
250,000.01-300,000.00 44 12,009,939.19 4.08
300,000.01-350,000.00 18 5,808,047.27 1.97
350,000.01-400,000.00 14 5,295,082.65 1.80
400,000.01-450,000.00 3 1,259,212.39 0.43
450,000.01-500,000.00 5 2,352,800.00 0.80
500,000.01-550,000.00 2 1,029,956.98 0.35
550,000.01+ 2 2,009,160.24 0.68
Total: 3,296 294,570,732.03 100.00
</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 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
SEASONING (MONTHS) NUMBER OF LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
<S> <C> <C> <C>
0 1,113 95,252,376.65 32.34
1-6 1,988 190,765,969.92 64.76
7-12 44 4,302,816.30 1.46
13- 18 5 501,708.05 0.17
19- 24 1 52,105.69 0.02
31- 36 2 400,384.55 0.14
109-114 7 175,366.48 0.06
115-120 23 767,487.84 0.26
121-126 30 839,781.43 0.29
127-132 12 322,004.54 0.11
133-138 11 228,553.55 0.08
139-144 14 191,913.77 0.07
145-150 18 369,166.73 0.13
151-156 13 146,290.65 0.05
157-162 12 170,240.47 0.06
163-168 3 84,565.41 0.03
Total: 3,296 294,570,732.03 100.00
</TABLE>
<TABLE>
<CAPTION>
% OF TOTAL
LIFECAP (%) NUMBER OF LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
<S> <C> <C> <C>
<12.000 3 279,067.96 0.09
-
12.001-12.500 1 227,000.00 0.08
13.001-13.500 11 692,763.10 0.24
13.501-14.000 22 779,381.04 0.26
14.001-14.500 32 2,936,845.09 1.00
14.501-15.000 70 7,040,185.91 2.39
15.001-15.500 149 17,052,017.00 5.79
15.501-16.000 329 36,047,784.10 12.24
16.001-16.500 534 49,502,607.67 16.80
16.501-17.000 476 46,863,721.40 15.91
17.001-17.500 460 39,919,497.33 13.55
17.501-18.000 471 36,664,911.14 12.45
18.001-18.500 229 17,073,537.35 5.80
18.501-19.000 167 13,662,139.28 4.64
19.001-19.500 104 7,351,396.25 2.50
19.501-20.000 75 5,431,776.58 1.84
20.001-20.500 62 4,966,941.79 1.69
20.501-21.000 35 3,064,055.03 1.04
21.001-21.500 30 2,109,210.84 0.72
21.501-22.000 28 2,144,283.11 0.73
22.001-22.500 6 611,809.14 0.21
26.001+ 2 149,800.92 0.05
Total: 3,296 294,570,732.03 100.00
</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 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>
% OF TOTAL
FLOOR (%) NUMBER OF LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
<S> <C> <C> <C>
<12.000 2,842 263,356,949.07 89.40
-
12.001-12.500 125 8,727,656.57 2.96
12.501-13.000 117 6,926,733.41 2.35
13.001-13.500 53 3,737,262.47 1.27
13.501-14.000 57 4,057,269.89 1.38
14.001-14.500 34 2,803,750.31 0.95
14.501-15.000 33 2,205,364.16 0.75
15.001-15.500 29 2,143,937.01 0.73
15.501-16.000 6 611,809.14 0.21
Total: 3,296 294,570,732.03 100.00
</TABLE>
<TABLE>
<CAPTION>
% OF TOTAL
MARGIN (%) NUMBER OF LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
<S> <C> <C> <C>
2.001- 3.000 56 1,633,897.79 0.55
3.001- 4.000 143 8,511,066.04 2.89
4.001- 5.000 349 37,066,152.29 12.58
5.001- 6.000 688 73,012,302.28 24.79
6.001- 7.000 1,095 98,001,817.64 33.27
7.001- 8.000 730 58,745,623.94 19.94
8.001- 9.000 191 14,566,194.49 4.94
9.001-10.000 42 2,945,277.56 1.00
10.001-11.000 2 88,400.00 0.03
Total: 3,296 294,570,732.03 100.00
</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 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> 22
22
LEHMAN BROTHERS
GROUP II COLLATERAL SUMMARY (CONTINUED)
<TABLE>
<CAPTION>
NEXT RATE ADJUSTMENT DATE % OF TOTAL
(YEAR-MONTH) NUMBER OF LOANS PRINCIPAL BALANCE ($) PRINCIPAL BALANCE
<S> <C> <C> <C>
1998-01 30 2,332,860.44 0.79
1998-02 43 3,242,400.75 1.10
1998-03 121 12,336,353.77 4.19
1998-04 159 14,972,428.88 5.08
1998-05 61 6,362,497.51 2.16
1998-06 44 2,713,640.68 0.92
1998-07 20 1,151,893.42 0.39
1998-08 21 1,583,478.86 0.54
1998-09 38 2,554,151.46 0.87
1998-10 50 4,767,880.21 1.62
1998-11 37 2,478,245.53 0.84
1998-12 13 302,145.55 0.10
1999-01 4 200,008.86 0.07
1999-02 1 109,558.41 0.04
1999-03 6 556,118.73 0.19
1999-04 11 1,285,377.16 0.44
1999-05 25 2,617,140.90 0.89
1999-06 43 4,381,517.57 1.49
1999-07 54 5,397,276.01 1.83
1999-08 53 4,474,701.62 1.52
1999-09 428 43,796,935.31 14.87
1999-10 842 75,691,312.28 25.70
1999-11 478 37,875,741.69 12.86
1999-12 89 6,038,375.00 2.05
2000-02 2 244,262.70 0.08
2000-03 1 34,405.85 0.01
2000-04 7 804,200.42 0.27
2000-05 5 505,042.02 0.17
2000-06 8 628,647.62 0.21
2000-07 14 2,009,664.62 0.68
2000-08 9 760,604.29 0.26
2000-09 55 4,593,716.20 1.56
2000-10 146 14,921,663.48 5.07
2000-11 86 7,301,561.88 2.48
2000-12 4 196,900.00 0.07
2002-05 2 433,068.80 0.15
2002-06 2 207,686.74 0.07
2002-07 1 218,255.56 0.07
2002-09 63 5,694,883.62 1.93
2002-10 131 11,040,700.52 3.75
2002-11 89 7,753,427.11 2.63
Total: 3,296 294,570,732.03 100.00
</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 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).
