<PAGE>
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
---------------------
FORM 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934, as amended
Date of Report (Date of earliest event reported): May 12, 1999
------------
CHEC ASSET RECEIVABLE CORPORATION
---------------------------------
(Exact name of Registrant as Specified in Charter)
Nevada 333-54027 75-277-0582
- ------ --------- -----------
(State or Other (Commission (IRS Employer
(Jurisdiction of Incorporation) File Number) Identification No.)
2728 North Harwood Street, Dallas, Texas 75201
----------------------------------------------
(Address of Principal Executive Offices) (Zip Code)
Registrant's telephone number, including area code: (214) 981-5045
--------------
Not Applicable
--------------
(Former Name or Former Address, if Changed Since Last Report)
<PAGE>
Item 5. Other Events.
------------
Filing of Computational Materials and Consent of Independent Accountants.
- -------------------------------------------------------------------------
Pursuant to Rule 424(b) under the Securities Act of 1933, as amended, CHEC
Asset Receivable Corporation (the "Depositor") will file a prospectus and
prospectus supplement with the Securities and Exchange Commission relating to
its Centex Home Equity Loan Trust 1999-2, Centex Home Equity Loan Asset-Backed
Certificates, Series 1999-2 (the "Certificates").
In connection with the offering of the Certificates of the Depositor, Lehman
Brothers Inc. prepared certain materials (the "Computational Materials"), some
or all of which were distributed by Lehman Brothers Inc., Banc of America
Securities LLC (formerly known as NationsBanc Montgomery Securities LLC) and
Salomon Smith Barney Inc. (the "Underwriters") to their potential investors.
Although the Depositor provided the Underwriters with certain information
regarding the characteristics of the Home Equity Loans in the related
portfolio, it did not participate in the preparation of the Computational
Materials. The Computational Materials are attached hereto as Exhibit 99.1.
The legends which Banc of America Securities LLC and Salomon Smith Barney Inc.
placed on the Computational Materials are attached hereto as Exhibit 99.2 and
Exhibit 99.3, respectively.
Also filed hereby is the consent of PricewaterhouseCoopers LLP, independent
accountants, attached hereto as Exhibit 23.1.
Item 7. Financial statements, Pro Forma Financial Information and Exhibits.
------------------------------------------------------------------
(c) Exhibits
Exhibit No.
-----------
23.1 Consent of PricewaterhouseCoopers LLP, independent
accountants.
99.1 Computational Materials.
99.2 Legend of Banc of America Securities LLC for Computational
Materials.
99.3 Legend of Salomon Smith Barney Inc. for Computational
Materials.
-2-
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934,
the registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.
CHEC ASSET RECEIVABLE CORPORATION
---------------------------------
(Registrant)
By: /s/ Anthony H. Barone
-------------------------
Name: Anthony H. Barone
Title: President
Date: May 18, 1999
-1-
<PAGE>
EXHIBIT INDEX
Sequentially
Exhibit Number Description Numbered Page
- -------------- ----------- -------------
23.1 Consent of PricewaterhouseCoopers LLP, independent
accountants.
99.1 Computational Materials.
99.2 Legend of Banc of America Securities LLC for
Computational Materials.
99.3 Legend of Salomon Smith Barney Inc. for Computational
Materials.
-2-
<PAGE>
Exhibit 23.1
CONSENT OF INDEPENDENT ACCOUNTANTS
-------------------
We consent to the incorporation by reference in the Prospectus Supplement of
Centex Home Equity Corporation relating to Centex Home Equity Loan Trust
1999-2 Centex Home Equity Loan Asset-Backed Certificates, Series 1999-2 of our
report dated January 26, 1999 on our audits of the consolidated financial
statements of Financial Security Assurance Inc. and Subsidiaries as of
December 31, 1998 and 1997, and for each of the three years in the period
ended December 31, 1998. We also consent to the reference to our Firm under
the caption "Experts."
/s/ PricewaterhouseCoopers LLP
------------------------------
PricewaterhouseCoopers LLP
May 14, 1999
-3-
<PAGE>
EXHIBIT 99.1
LEHMAN BROTHERS Asset-Backed Securities
DERIVED INFORMATION
[LOGO]
CENTREX
HOME EQUITY
CORPORATION
$285,000,000 Certificates (approximate)
Centex Home Equity Loan Trust 1999-2
Centex Home Equity Corp. (Seller & Servicer)
CHEC Asset Receivable Corp. (Depositor)
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell
and solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws,
the final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same
qualifications and assumptions, and should be considered by investors only in
the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document.
Information regarding the underlying assets has been provided by the issuer of
the securities or an affiliate thereof and has not been independently verified
by Lehman Brothers Inc. or any affiliate. The analyses contained herein have
been prepared on the basis of certain assumptions (including, in certain
cases, assumptions specified by the recipient hereof) regarding payments,
interest rates, losses and other matters, including, but not limited to, the
assumptions described in the Offering Document. Lehman Brothers Inc., and any
of its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield on
the securities. This information supersedes any prior versions hereof and will
be deemed to be superseded by any subsequent versions (including, with respect
to any description of the securities or underlying assets, the information
contained in the Offering Document).
<PAGE>
LEHMAN BROTHERS 2
Centex Home Equity Loan Trust 1999-2
To Maturity
<TABLE>
<CAPTION>
Est. Est. Expected Stated Expected
Approx. Tsy. WAL Prin. Final Final Ratings
Class Size Group Type BMark (yrs) Window Maturity Maturity (S&P/Moody's)
(mos)
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 73,427,000 I Fxd - Seq Curve 1.09 1 - 24 5/25/01 4/25/19 AAA/Aaa
A-2 13,366,000 I Fxd - Seq Curve 2.25 24 - 29 10/25/01 9/25/21 AAA/Aaa
A-3 31,185,000 I Fxd - Seq Curve 3.09 29 - 46 3/25/03 7/25/25 AAA/Aaa
A-4 29,916,000 I Fxd - Seq Curve 5.00 46 - 80 1/25/06 1/25/28 AAA/Aaa
A-5 19,506,000 I Fxd - Seq Curve 10.42 80 - 214 3/25/17 6/25/30 AAA/Aaa
A-6 18,600,000 I Fxd - NAS Curve 6.50 37 - 207 8/25/16 6/25/30 AAA/Aaa
A-7 84,000,000 II Flt - PT 1 m LI 2.90 1 - 188 1/25/15 6/25/30 AAA/Aaa
A-8 15,000,000 II Fxd - NAS Curve 2.35 21 - 37 6/25/02 6/25/30 AAA/Aaa
<CAPTION>
To 10% Call
Est. Est. Expected Stated Expected
Approx. Tsy. WAL Prin. Final Final Ratings
Class Size Group Type Bmark (yrs) Window Maturity Maturity (S&P/Moody's)
(mos)
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-5 19,506,000 I Fxd - Seq Curve 7.72 80 - 94 3/25/07 6/25/30 AAA/Aaa
A-6 18,600,000 I Fxd - NAS Curve 6.29 37 - 94 3/25/07 6/25/30 AAA/Aaa
A-7 84,000,000 II Flt - PT 1 m LI 2.71 1 - 94 3/25/07 6/25/30 AAA/Aaa
A-8 15,000,000 II Fxd - NAS Curve 2.35 21 - 37 6/25/02 6/25/30 AAA/Aaa
</TABLE>
Pricing Speed
Group I 120% PPC
100% PPC assumes that prepayments start at 4% CPR in
month one, increase by approximately 1.455% each month
to 20% CPR in month twelve, and remain at 20% CPR
thereafter.
Group II 28% CPR
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell
and solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws,
the final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same
qualifications and assumptions, and should be considered by investors only in
the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document.
Information regarding the underlying assets has been provided by the issuer of
the securities or an affiliate thereof and has not been independently verified
by Lehman Brothers Inc. or any affiliate. The analyses contained herein have
been prepared on the basis of certain assumptions (including, in certain
cases, assumptions specified by the recipient hereof) regarding payments,
interest rates, losses and other matters, including, but not limited to, the
assumptions described in the Offering Document. Lehman Brothers Inc., and any
of its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield on
the securities. This information supersedes any prior versions hereof and will
be deemed to be superseded by any subsequent versions (including, with respect
to any description of the securities or underlying assets, the information
contained in the Offering Document).
<PAGE>
LEHMAN BROTHERS 3
Sensitivity Analysis - To Maturity
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
Group I % of PPC 50.0% 75.0% 100.0% 120.0% 150.0% 200.0% 250.0%
Group II CPR 11.0% 16.5% 22.0% 28.0% 33.0% 44.0% 55.0%
Class A-1
- ---------
Avg. Life (yrs) 2.12 1.55 1.25 1.09 0.93 0.76 0.66
Mod. Dur. (yrs) 1.91 1.43 1.16 1.02 0.88 0.73 0.63
Window (mo) 1 - 53 1 - 37 1 - 29 1 - 24 1 - 20 1 - 16 1 - 13
Expected Final Mat. 10/25/03 6/25/02 10/25/01 5/25/01 1/25/01 9/25/00 6/25/00
Yield at 99.9974 5.80 5.73 5.67 5.62 5.56 5.46 5.38
Class A-2
- ---------
Avg. Life (yrs) 4.96 3.44 2.65 2.25 1.85 1.44 1.19
Mod. Dur. (yrs) 4.16 3.02 2.38 2.05 1.70 1.34 1.12
Window (mo) 53 - 66 37 - 46 29 - 35 24 - 29 20 - 24 16 - 19 13 - 15
Expected Final Mat. 11/25/04 3/25/03 4/25/02 10/25/01 5/25/01 12/25/00 8/25/00
Yield at 99.9965 6.13 6.10 6.06 6.03 5.99 5.93 5.87
Class A-3
- ---------
Avg. Life (yrs) 7.48 4.93 3.71 3.09 2.48 1.88 1.52
Mod. Dur. (yrs) 5.78 4.12 3.21 2.73 2.24 1.73 1.41
Window (mo) 66 - 120 46 - 75 35 - 56 29 - 46 24 - 36 19 - 27 15 - 21
Expected Final Mat. 5/25/09 8/25/05 1/25/04 3/25/03 5/25/02 8/25/01 2/25/01
Yield at 99.9771 6.29 6.27 6.24 6.22 6.19 6.13 6.08
Class A-4
- ---------
Avg. Life (yrs) 13.05 8.93 6.30 5.00 3.87 2.76 2.14
Mod. Dur. (yrs) 8.44 6.50 4.97 4.12 3.31 2.45 1.94
Window (mo) 120 - 202 75 - 146 56 - 110 46 - 80 36 - 59 27 - 41 21 - 31
Expected Final Mat. 3/25/16 7/25/11 7/25/08 1/25/06 4/25/04 10/25/02 12/25/01
Yield at 99.9690 6.70 6.69 6.67 6.65 6.63 6.59 6.54
Class A-5
- ---------
Avg. Life (yrs) 21.47 16.30 12.67 10.42 7.65 4.60 3.15
Mod. Dur. (yrs) 10.61 9.26 8.00 7.03 5.61 3.77 2.73
Window (mo) 202 - 345 146 - 307 110 - 251 80 - 214 59 - 171 41 - 125 31 - 49
Expected Final Mat. 2/25/28 12/25/24 4/25/20 3/25/17 8/25/13 10/25/09 6/25/03
Yield at 99.9947 7.19 7.19 7.18 7.17 7.15 7.11 7.07
Class A-6
- ---------
Avg. Life (yrs) 8.27 7.40 6.84 6.50 6.11 5.64 4.74
Mod. Dur. (yrs) 6.05 5.58 5.27 5.06 4.82 4.52 3.93
Window (mo) 37 - 339 37 - 297 37 - 243 37 - 207 37 - 167 37 - 122 37 - 95
Expected Final Mat. 8/25/27 2/25/24 8/25/19 8/25/16 4/25/13 7/25/09 4/25/07
Yield at 99.9381 6.69 6.69 6.68 6.68 6.68 6.67 6.66
Class A-7
- ---------
Avg. Life (yrs) 7.92 5.36 3.89 2.90 2.33 1.49 0.92
Window (mo) 1 - 343 1 - 300 1 - 240 1 - 188 1 - 156 1 - 109 1 - 80
Expected Final Mat. 12/25/27 5/25/24 5/25/19 1/25/15 5/25/12 6/25/08 1/25/06
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell
and solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws,
the final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same
qualifications and assumptions, and should be considered by investors only in
the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document.
Information regarding the underlying assets has been provided by the issuer of
the securities or an affiliate thereof and has not been independently verified
by Lehman Brothers Inc. or any affiliate. The analyses contained herein have
been prepared on the basis of certain assumptions (including, in certain
cases, assumptions specified by the recipient hereof) regarding payments,
interest rates, losses and other matters, including, but not limited to, the
assumptions described in the Offering Document. Lehman Brothers Inc., and any
of its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield on
the securities. This information supersedes any prior versions hereof and will
be deemed to be superseded by any subsequent versions (including, with respect
to any description of the securities or underlying assets, the information
contained in the Offering Document).
<PAGE>
LEHMAN BROTHERS 4
Sensitivity Analysis - To Maturity
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
Group I % of PPC 50.0% 75.0% 100.0% 120.0% 150.0% 200.0% 250.0%
Group II CPR 11.0% 16.5% 22.0% 28.0% 33.0% 44.0% 55.0%
Class A-8
- ---------
Avg. Life (yrs) 2.84 2.54 2.41 2.35 2.32 2.36 2.66
Mod. Dur. (yrs) 2.53 2.29 2.18 2.13 2.11 2.14 2.38
Window (mo) 21 - 49 21 - 41 21 - 38 21 - 37 21 - 37 21 - 40 21 - 57
Expected Final Mat. 6/25/03 10/25/02 7/25/02 6/25/02 6/25/02 9/25/02 2/25/04
Yield at 99.9912 6.03 6.02 6.01 6.00 6.00 6.00 6.02
<CAPTION>
Sensitivity Analysis - To 10% Call
<S> <C> <C> <C> <C> <C> <C> <C>
Group I % of PPC 50.0% 75.0% 100.0% 120.0% 150.0% 200.0% 250.0%
Group II CPR 11.0% 16.5% 22.0% 28.0% 33.0% 44.0% 55.0%
Class A-5
- ---------
Avg. Life (yrs) 17.55 12.58 9.58 7.72 6.00 4.16 3.07
Mod. Dur. (yrs) 9.74 8.07 6.74 5.76 4.73 3.49 2.68
Window (mo) 202 - 211 146 - 151 110 - 115 80 - 94 59 - 76 41 - 54 31 - 41
Expected Final Mat. 12/25/16 12/25/11 12/25/08 3/25/07 9/25/05 11/25/03 10/25/02
Yield at 99.9947 7.19 7.18 7.17 7.16 7.14 7.10 7.06
Class A-6
- ---------
Avg. Life (yrs) 8.26 7.37 6.76 6.29 5.52 4.29 3.41
Mod. Dur. (yrs) 6.04 5.57 5.22 4.95 4.47 3.62 2.96
Window (mo) 37 - 211 37 - 151 37 - 115 37 - 94 37 - 76 37 - 54 37 - 41
Expected Final Mat. 12/25/16 12/25/11 12/25/08 3/25/07 9/25/05 11/25/03 10/25/02
Yield at 99.9831 6.69 6.69 6.68 6.68 6.67 6.65 6.62
Class A-7
- ---------
Avg. Life (yrs) 7.43 4.95 3.59 2.71 2.16 1.38 0.87
Window (mo) 1 - 211 1 - 151 1 - 115 1 - 94 1 - 76 1 - 54 1 - 41
Expected Final Mat. 12/25/16 12/25/11 12/25/08 3/25/07 9/25/05 11/25/03 10/25/02
Class A-8
- ---------
Avg. Life (yrs) 2.84 2.54 2.41 2.35 2.32 2.36 2.54
Mod. Dur. (yrs) 2.53 2.29 2.18 2.13 2.11 2.14 2.28
Window (mo) 21 - 49 21 - 41 21 - 38 21 - 37 21 - 37 21 - 40 21 - 41
Expected Final Mat. 6/25/03 10/25/02 7/25/02 6/25/02 6/25/02 9/25/02 10/25/02
Yield at 99.9912 6.03 6.02 6.01 6.00 6.00 6.00 6.01
</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 on the basis of certain assumptions (including, in certain
cases, assumptions specified by the recipient hereof) regarding payments,
interest rates, losses and other matters, including, but not limited to, the
assumptions described in the Offering Document. Lehman Brothers Inc., and any
of its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield on
the securities. This information supersedes any prior versions hereof and will
be deemed to be superseded by any subsequent versions (including, with respect
to any description of the securities or underlying assets, the information
contained in the Offering Document).
<PAGE>
LEHMAN BROTHERS 5
Group I Collateral Summary
Collateral statistics for the fixed rate home equity loans are listed below as
of the Cut-Off Date.
<TABLE>
<S> <C> <C>
Total Number of Loans 3,142
Total Outstanding Loan Balance $186,000,471.34
Balloon (% of Total) 0.08%
Average Loan Principal Balance $59,198.11 $2,500 to $474,881.80
WA Coupon 11.36% 7.05% to 16.85%
WA Original Term (mo.) 316 months 60 to 360
WA Remaining Term (mo.) 315 months 57 to 360
WA CLTV 79.53% 11.23% to 107.92%
WA Second Mortgage Ratio 33.73% 5.26% to 91.87%
(for 2nd liens only)
Lien Position (first/second) 93.60% / 6.40%
Property Type
Single Family 87.66%
Two- to Four-Family 4.38%
PUD 4.08%
Manufactured Housing 1.74%
Condo 0.76%
Land Home 0.76%
Townhouse 0.54%
Rowhouse 0.09%
Occupancy Status
Primary Home 95.12%
Investment 4.33%
Second Home 0.54%
Geographic Distribution
other states account individually for less than TX: 14.89%
5% of pool balance FL: 9.60%
TN: 5.18%
</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 on the basis of certain assumptions (including, in certain
cases, assumptions specified by the recipient hereof) regarding payments,
interest rates, losses and other matters, including, but not limited to, the
assumptions described in the Offering Document. Lehman Brothers Inc., and any
of its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield on
the securities. This information supersedes any prior versions hereof and will
be deemed to be superseded by any subsequent versions (including, with respect
to any description of the securities or underlying assets, the information
contained in the Offering Document).
<PAGE>
LEHMAN BROTHERS 6
Group I Collateral Summary
Collateral statistics for the fixed rate home equity loans are listed below as
of the Cut-Off Date.
Cut-Off Date Principal Balances
<TABLE>
<CAPTION>
($) Mortgage Loans Cut-Off Date Principal % of Cut-Off Date Pool
Balance ($) Principal Balance
<S> <C> <C> <C>
0.01 - 5,000.00 2 6,646.74 0.00
5,000.01 - 10,000.00 9 87,185.35 0.05
10,000.01 - 15,000.00 87 1,129,109.82 0.61
15,000.01 - 20,000.00 136 2,450,012.50 1.32
20,000.01 - 25,000.00 191 4,395,048.99 2.36
25,000.01 - 30,000.00 241 6,695,243.02 3.60
30,000.01 - 35,000.00 241 7,901,956.94 4.25
35,000.01 - 40,000.00 234 8,838,442.43 4.75
40,000.01 - 45,000.00 219 9,390,037.33 5.05
45,000.01 - 50,000.00 246 11,744,362.01 6.31
50,000.01 - 55,000.00 195 10,252,693.69 5.51
55,000.01 - 60,000.00 209 12,064,082.60 6.49
60,000.01 - 65,000.00 146 9,161,396.45 4.93
65,000.01 - 70,000.00 152 10,297,581.11 5.54
70,000.01 - 75,000.00 107 7,757,335.67 4.17
75,000.01 - 80,000.00 87 6,780,195.68 3.65
80,000.01 - 85,000.00 79 6,531,730.90 3.51
85,000.01 - 90,000.00 57 4,967,962.93 2.67
90,000.01 - 95,000.00 68 6,296,967.15 3.39
95,000.01 - 100,000.00 53 5,212,235.79 2.80
100,000.01 - 105,000.00 53 5,445,298.00 2.93
105,000.01 - 110,000.00 49 5,272,471.39 2.83
110,000.01 - 115,000.00 37 4,154,454.48 2.23
115,000.01 - 120,000.00 23 2,704,611.45 1.45
120,000.01 - 125,000.00 33 4,026,981.56 2.17
125,000.01 - 130,000.00 24 3,058,335.86 1.64
130,000.01 - 135,000.00 20 2,653,452.59 1.43
135,000.01 - 140,000.00 14 1,933,673.50 1.04
140,000.01 - 145,000.00 15 2,132,370.80 1.15
145,000.01 - 150,000.00 11 1,636,870.73 0.88
150,000.01 - 200,000.00 66 11,266,198.78 6.06
200,000.01 - 250,000.00 24 5,278,819.45 2.84
250,000.01 - 300,000.00 7 1,901,137.07 1.02
300,000.01 - 350,000.00 4 1,313,526.11 0.71
350,000.01 - 400,000.00 1 367,342.55 0.20
400,000.01 - 450,000.00 1 419,818.12 0.23
450,000.01 - 500,000.00 1 474,881.80 0.26
Total: 3,142 186,000,471.34 100.00
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell
and solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws,
the final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same
qualifications and assumptions, and should be considered by investors only in
the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document.
Information regarding the underlying assets has been provided by the issuer of
the securities or an affiliate thereof and has not been independently verified
by Lehman Brothers Inc. or any affiliate. The analyses contained herein have
been prepared on the basis of certain assumptions (including, in certain
cases, assumptions specified by the recipient hereof) regarding payments,
interest rates, losses and other matters, including, but not limited to, the
assumptions described in the Offering Document. Lehman Brothers Inc., and any
of its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield on
the securities. This information supersedes any prior versions hereof and will
be deemed to be superseded by any subsequent versions (including, with respect
to any description of the securities or underlying assets, the information
contained in the Offering Document).
<PAGE>
LEHMAN BROTHERS 7
Group I Collateral Summary
Collateral statistics for the fixed rate home equity loans are listed below as
of the Cut-Off Date.
Loan Rates
<TABLE>
<CAPTION>
(%) Mortgage Loans Cut-Off Date Principal % of Cut-Off Date Pool
Balance ($) Principal Balance
<S> <C> <C> <C>
7.001 - 7.750 8 803,517.42 0.43
7.751 - 8.000 11 1,055,142.92 0.57
8.001 - 8.250 10 749,274.76 0.40
8.251 - 8.500 15 1,237,683.77 0.67
8.501 - 8.750 29 2,006,041.06 1.08
8.751 - 9.000 66 5,466,457.91 2.94
9.001 - 9.250 28 2,269,640.59 1.22
9.251 - 9.500 70 4,722,469.60 2.54
9.501 - 9.750 57 4,006,444.28 2.15
9.751 - 10.000 208 15,781,052.54 8.48
10.001 - 10.250 74 4,870,521.38 2.62
10.251 - 10.500 161 12,385,370.93 6.66
10.501 - 10.750 142 9,664,621.96 5.20
10.751 - 11.000 333 20,414,893.27 10.98
11.001 - 11.250 113 7,039,784.10 3.78
11.251 - 11.500 173 10,688,020.61 5.75
11.501 - 11.750 173 10,065,631.79 5.41
11.751 - 12.000 327 19,809,673.25 10.65
12.001 - 12.250 123 7,006,382.44 3.77
12.251 - 12.500 201 10,305,870.92 5.54
12.501 - 12.750 122 5,818,565.53 3.13
12.751 - 13.000 182 8,716,088.46 4.69
13.001 - 13.250 77 3,443,825.50 1.85
13.251 - 13.500 89 4,026,855.05 2.16
13.501 - 13.750 72 2,638,518.84 1.42
13.751 - 14.000 103 4,219,119.48 2.27
14.001 - 14.250 33 1,244,466.91 0.67
14.251 - 14.500 29 1,405,098.73 0.76
14.501 - 14.750 30 1,196,783.95 0.64
14.751 - 15.000 37 1,417,680.02 0.76
15.001 - 15.250 4 156,467.27 0.08
15.251 - 15.500 6 267,272.14 0.14
15.501 - 15.750 13 402,239.44 0.22
15.751 - 16.000 9 303,196.01 0.16
16.001 - 16.250 1 21,000.00 0.01
16.251 - 16.500 2 78,747.31 0.04
16.501 - 16.750 1 44,674.02 0.02
16.751 - 17.000 10 251,377.17 0.14
Total: 3,142 186,000,471.34 100.00
</TABLE>
Group I Collateral Summary
Collateral statistics for the fixed rate home equity loans are listed below as
of the Cut-Off Date.
Original Term to Stated Maturity
<TABLE>
<CAPTION>
(months) Mortgage Loans Cut-Off Date Principal % of Cut-Off Date Pool
Balance ($) Principal Balance
<S> <C> <C> <C>
49 - 60 28 622,459.03 0.33
61 - 72 2 27,529.27 0.01
73 - 84 10 263,770.70 0.14
85 - 96 2 56,898.61 0.03
97 - 108 1 53,476.40 0.03
109 - 120 207 6,358,998.93 3.42
133 - 144 4 133,708.54 0.07
169 - 180 587 23,904,231.30 12.85
181 - 192 1 22,967.04 0.01
193 - 204 1 52,999.60 0.03
229 - 240 325 16,073,714.37 8.64
289 - 300 17 864,612.83 0.46
349 - 360 1,957 137,565,104.72 73.96
Total: 3,142 186,000,471.34 100.00
<CAPTION>
Remaining Term to Stated Maturity
(months) Mortgage Loans Cut-Off Date Principal % of Cut-Off Date Pool
Balance ($) Principal Balance
<S> <C> <C> <C>
49 - 60 28 622,459.03 0.33
61 - 72 2 27,529.27 0.01
73 - 84 10 263,770.70 0.14
85 - 96 2 56,898.61 0.03
97 - 108 1 53,476.40 0.03
109 - 120 207 6,358,998.93 3.42
133 - 144 4 133,708.54 0.07
157 - 168 1 39,815.66 0.02
169 - 180 586 23,864,415.64 12.83
181 - 192 1 22,967.04 0.01
193 - 204 1 52,999.60 0.03
229 - 240 325 16,073,714.37 8.64
289 - 300 17 864,612.83 0.46
349 - 360 1,957 137,565,104.72 73.96
Total: 3,142 186,000,471.34 100.00
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell
and solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws,
the final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same
qualifications and assumptions, and should be considered by investors only in
the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document.
Information regarding the underlying assets has been provided by the issuer of
the securities or an affiliate thereof and has not been independently verified
by Lehman Brothers Inc. or any affiliate. The analyses contained herein have
been prepared on the basis of certain assumptions (including, in certain
cases, assumptions specified by the recipient hereof) regarding payments,
interest rates, losses and other matters, including, but not limited to, the
assumptions described in the Offering Document. Lehman Brothers Inc., and any
of its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield on
the securities. This information supersedes any prior versions hereof and will
be deemed to be superseded by any subsequent versions (including, with respect
to any description of the securities or underlying assets, the information
contained in the Offering Document).
<PAGE>
LEHMAN BROTHERS 8
Group I Collateral Summary
Collateral statistics for the fixed rate home equity loans are listed below as
of the Cut-Off Date.
Seasoning
<TABLE>
<CAPTION>
(months) Mortgage Loans Cut-Off Date Principal % of Cut-Off Date Pool
Balance ($) Principal Balance
<S> <C> <C> <C>
0 1,670 98,092,767.43 52.74
1 - 6 1,468 87,660,521.64 47.13
7 - 12 3 207,366.60 0.11
13 - 24 1 39,815.66 0.02
Total: 3,142 186,000,471.34 100.00
<CAPTION>
Combined Loan-to-Value Ratio
(%) Mortgage Loans Cut-Off Date Principal % of Cut-Off Date Pool
Balance ($) Principal Balance
<S> <C> <C> <C>
10.01 - 15.00 4 78,993.59 0.04
15.01 - 20.00 4 74,569.66 0.04
20.01 - 25.00 11 231,043.93 0.12
25.01 - 30.00 15 472,416.63 0.25
30.01 - 35.00 23 703,359.74 0.38
35.01 - 40.00 32 1,006,372.89 0.54
40.01 - 45.00 28 882,454.46 0.47
45.01 - 50.00 43 1,711,431.38 0.92
50.01 - 55.00 62 2,360,410.08 1.27
55.01 - 60.00 84 3,312,966.83 1.78
60.01 - 65.00 149 7,712,340.01 4.15
65.01 - 70.00 241 12,253,331.35 6.59
70.01 - 75.00 335 18,199,412.85 9.78
75.01 - 80.00 891 54,382,051.79 29.24
80.01 - 85.00 570 32,743,243.80 17.60
85.01 - 90.00 529 41,868,098.88 22.51
90.01 - 95.00 63 4,205,125.76 2.26
95.01 - 100.00 43 2,659,981.08 1.43
100.01 - 105.00 11 846,197.30 0.45
105.01 - 110.00 4 296,669.34 0.16
Total: 3,142 186,000,471.34 100.00
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell
and solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws,
the final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same
qualifications and assumptions, and should be considered by investors only in
the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document.
Information regarding the underlying assets has been provided by the issuer of
the securities or an affiliate thereof and has not been independently verified
by Lehman Brothers Inc. or any affiliate. The analyses contained herein have
been prepared on the basis of certain assumptions (including, in certain
cases, assumptions specified by the recipient hereof) regarding payments,
interest rates, losses and other matters, including, but not limited to, the
assumptions described in the Offering Document. Lehman Brothers Inc., and any
of its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield on
the securities. This information supersedes any prior versions hereof and will
be deemed to be superseded by any subsequent versions (including, with respect
to any description of the securities or underlying assets, the information
contained in the Offering Document).
<PAGE>
LEHAMAN BROTHERS 9
Group I Collateral Summary
Collateral statistics for the fixed rate home equity loans are listed below as
of the Cut-Off Date.
<TABLE>
<CAPTION>
Occupancy Type
Mortgage Loans Cut-Off Date Principal % of Cut-Off Date Pool
Balance ($) Principal Balance
<S> <C> <C> <C>
Primary Home 2,952 176,929,126.12 95.12
Investment 169 8,060,929.75 4.33
Second Home 21 1,010,415.47 0.54
Total: 3,142 186,000,471.34 100.00
<CAPTION>
Property Type
Mortgage Loans Cut-Off Date Principal % of Cut-Off Date Pool
Balance ($) Principal Balance
<S> <C> <C> <C>
Single Family 2,824 163,040,528.53 87.66
2-4 Family 123 8,140,962.18 4.38
PUD 77 7,590,005.46 4.08
Manufactured Housing 56 3,239,744.95 1.74
Condo 28 1,419,679.44 0.76
Land Home 15 1,407,739.29 0.76
Townhouse 16 1,002,379.32 0.54
Row House 3 159,432.17 0.09
Total: 3,142 186,000,471.34 100.00
<CAPTION>
States
Mortgage Loans Cut-Off Date Principal % of Cut-Off Date Pool
Balance ($) Principal Balance
<S> <C> <C> <C>
AR 49 2,377,541.22 1.28
AZ 82 5,607,885.88 3.01
CA 44 3,047,751.57 1.64
CO 60 5,017,694.06 2.70
CT 13 701,680.11 0.38
DC 3 243,175.40 0.13
DE 4 244,301.84 0.13
FL 252 17,859,482.09 9.60
GA 90 6,177,012.35 3.32
IA 68 3,359,673.92 1.81
continued...
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell
and solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws,
the final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same
qualifications and assumptions, and should be considered by investors only in
the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document.
Information regarding the underlying assets has been provided by the issuer of
the securities or an affiliate thereof and has not been independently verified
by Lehman Brothers Inc. or any affiliate. The analyses contained herein have
been prepared on the basis of certain assumptions (including, in certain
cases, assumptions specified by the recipient hereof) regarding payments,
interest rates, losses and other matters, including, but not limited to, the
assumptions described in the Offering Document. Lehman Brothers Inc., and any
of its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield on
the securities. This information supersedes any prior versions hereof and will
be deemed to be superseded by any subsequent versions (including, with respect
to any description of the securities or underlying assets, the information
contained in the Offering Document).
<PAGE>
LEHMAN BROTHERS 10
Group I Collateral Summary
Collateral statistics for the fixed rate home equity loans are listed below as
of the Cut-Off Date.
States (continued)
<TABLE>
<CAPTION>
Mortgage Loans Cut-Off Date Principal % of Cut-Off Date Pool
Balance ($) Principal Balance
<S> <C> <C> <C>
ID 9 422,486.23 0.23
IL 130 6,901,096.49 3.71
IN 60 3,661,825.49 1.97
KS 68 3,317,345.12 1.78
KY 20 902,199.91 0.49
LA 45 2,407,284.24 1.29
MA 22 1,716,789.08 0.92
MD 18 986,122.81 0.53
ME 10 496,527.56 0.27
MI 56 3,121,926.42 1.68
MN 35 1,543,158.82 0.83
MO 186 8,484,547.35 4.56
MS 99 4,248,431.28 2.28
MT 2 77,258.25 0.04
NC 124 8,512,368.15 4.58
NE 51 3,451,561.75 1.86
NH 5 548,640.77 0.29
NJ 33 2,896,068.58 1.56
NM 48 3,407,020.64 1.83
NV 11 929,518.92 0.50
NY 116 8,159,310.06 4.39
OH 133 8,111,455.20 4.36
OK 83 3,397,118.72 1.83
OR 19 864,760.33 0.46
PA 152 7,651,306.72 4.11
RI 5 406,712.00 0.22
SC 76 5,190,743.54 2.79
TN 133 9,632,358.92 5.18
TX 532 27,704,419.38 14.89
UT 31 1,850,483.78 0.99
VA 60 3,579,365.64 1.92
WA 55 3,917,781.30 2.11
WI 30 1,695,384.27 0.91
WV 12 541,545.96 0.29
WY 8 629,349.23 0.34
Total: 3,142 186,000,471.34 100.00
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell
and solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws,
the final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same
qualifications and assumptions, and should be considered by investors only in
the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document.
Information regarding the underlying assets has been provided by the issuer of
the securities or an affiliate thereof and has not been independently verified
by Lehman Brothers Inc. or any affiliate. The analyses contained herein have
been prepared on the basis of certain assumptions (including, in certain
cases, assumptions specified by the recipient hereof) regarding payments,
interest rates, losses and other matters, including, but not limited to, the
assumptions described in the Offering Document. Lehman Brothers Inc., and any
of its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield on
the securities. This information supersedes any prior versions hereof and will
be deemed to be superseded by any subsequent versions (including, with respect
to any description of the securities or underlying assets, the information
contained in the Offering Document).
<PAGE>
LEHMAN BROTHERS 11
Group I Collateral Summary
Collateral statistics for the fixed rate home equity loans are listed below as
of the Cut-Off Date.
Lien Position
<TABLE>
<CAPTION>
Mortgage Loans Cut-Off Date Principal % of Cut-Off Date Pool
Balance ($) Principal Balance
<S> <C> <C> <C>
1 2,737 174,101,607.12 93.60
2 405 11,898,864.22 6.40
Total: 3,142 186,000,471.34 100.00
<CAPTION>
Second Mortgage Ratio
(%) Mortgage Loans Cut-Off Date Principal % of Cut-Off Date Pool
Balance ($) Principal Balance
<S> <C> <C> <C>
5.01 - 10.00 23 327,477.28 2.75
10.01 - 15.00 53 1,127,447.87 9.48
15.01 - 20.00 73 1,724,395.31 14.49
20.01 - 25.00 63 1,590,648.52 13.37
25.01 - 30.00 44 1,111,528.30 9.34
30.01 - 35.00 45 1,433,279.85 12.05
35.01 - 40.00 22 836,328.87 7.03
40.01 - 45.00 15 789,948.43 6.64
45.01 - 50.00 18 697,876.56 5.87
50.01 - 55.00 11 626,047.08 5.26
55.01 - 60.00 12 508,787.78 4.28
60.01 - 65.00 8 376,930.73 3.17
65.01 - 70.00 5 171,191.94 1.44
70.01 - 75.00 7 287,874.07 2.42
75.01 - 80.00 3 100,411.59 0.84
80.01 - 85.00 1 41,384.21 0.35
90.01 - 95.00 2 147,305.82 1.24
Total: 405 11,898,864.22 100.00
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell
and solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws,
the final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same
qualifications and assumptions, and should be considered by investors only in
the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document.
Information regarding the underlying assets has been provided by the issuer of
the securities or an affiliate thereof and has not been independently verified
by Lehman Brothers Inc. or any affiliate. The analyses contained herein have
been prepared on the basis of certain assumptions (including, in certain
cases, assumptions specified by the recipient hereof) regarding payments,
interest rates, losses and other matters, including, but not limited to, the
assumptions described in the Offering Document. Lehman Brothers Inc., and any
of its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield on
the securities. This information supersedes any prior versions hereof and will
be deemed to be superseded by any subsequent versions (including, with respect
to any description of the securities or underlying assets, the information
contained in the Offering Document).
<PAGE>
LEHMAN BROTHERS 12
Group I Collateral Summary
Collateral statistics for the fixed rate home equity loans are listed below as
of the Cut-Off Date.
Documentation Type
<TABLE>
<CAPTION>
Mortgage Loans Cut-Off Date Principal % of Cut-Off Date Pool
Balance ($) Principal Balance
<S> <C> <C> <C>
Full Documentation 2,735 160,591,039.70 86.34
Stated Income 282 16,209,169.44 8.71
Limited Documentation 125 9,200,262.19 4.95
Total: 3,142 186,000,471.34 100.00
<CAPTION>
Credit Grade
Mortgage Loans Cut-Off Date Principal % of Cut-Off Date Pool
Balance ($) Principal Balance
<S> <C> <C> <C>
A+ 213 13,975,567.92 7.51
A 5 428,739.48 0.23
A1 801 52,563,493.65 28.26
A2 1,039 63,093,412.81 33.92
B 476 25,377,656.48 13.64
C 3 295,654.90 0.16
C1 351 17,309,505.43 9.31
C2 136 6,831,331.45 3.67
D 118 6,125,109.22 3.29
Total: 3,142 186,000,471.34 100.00
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell
and solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws,
the final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same
qualifications and assumptions, and should be considered by investors only in
the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document.
Information regarding the underlying assets has been provided by the issuer of
the securities or an affiliate thereof and has not been independently verified
by Lehman Brothers Inc. or any affiliate. The analyses contained herein have
been prepared on the basis of certain assumptions (including, in certain
cases, assumptions specified by the recipient hereof) regarding payments,
interest rates, losses and other matters, including, but not limited to, the
assumptions described in the Offering Document. Lehman Brothers Inc., and any
of its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield on
the securities. This information supersedes any prior versions hereof and will
be deemed to be superseded by any subsequent versions (including, with respect
to any description of the securities or underlying assets, the information
contained in the Offering Document).
<PAGE>
LEHMAN BROTHERS 13
Group I Collateral Summary
Collateral statistics for the fixed rate home equity loans are listed below as
of the Cut-Off Date.
Prepayment Penalties
<TABLE>
<CAPTION>
Mortgage Loans Cut-Off Date Principal % of Cut-Off Date Pool
Balance ($) Principal Balance
<S> <C> <C> <C>
No 1,403 70,999,012.65 38.17
Yes 1,739 115,001,458.68 61.83
Total: 3,142 186,000,471.34 100.00
<CAPTION>
Prepayment Penalty Term
(months) Mortgage Loans Cut-Off Date Principal % of Cut-Off Date Pool
Balance ($) Principal Balance
<S> <C> <C> <C>
0 1,403 70,999,012.65 38.17
12 127 11,443,358.17 6.15
24 24 2,143,102.17 1.15
36 355 25,996,959.57 13.98
42 4 233,976.56 0.13
48 1 101,970.15 0.05
60 1,228 75,082,092.06 40.37
Total: 3,142 186,000,471.34 100.00
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell
and solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws,
the final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same
qualifications and assumptions, and should be considered by investors only in
the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document.
Information regarding the underlying assets has been provided by the issuer of
the securities or an affiliate thereof and has not been independently verified
by Lehman Brothers Inc. or any affiliate. The analyses contained herein have
been prepared on the basis of certain assumptions (including, in certain
cases, assumptions specified by the recipient hereof) regarding payments,
interest rates, losses and other matters, including, but not limited to, the
assumptions described in the Offering Document. Lehman Brothers Inc., and any
of its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield on
the securities. This information supersedes any prior versions hereof and will
be deemed to be superseded by any subsequent versions (including, with respect
to any description of the securities or underlying assets, the information
contained in the Offering Document).
<PAGE>
LEHMAN BROTHERS 14
Group II Collateral Summary
Collateral statistics for the adjustable rate home equity loans are listed below
as of the Cut-Off Date.
<TABLE>
<S> <C> <C>
Total Number of Loans 1,015
Total Outstanding Loan Balance $99,001,058.55
Average Loan Principal Balance $97,537.99 $17,600 to $400,000
WA Coupon 10.77% 6.80% to 14.99%
ARM Characteristics
Margin 7.13% 3.05% to 11.04%
First Periodic Cap 1.70% 1.00% to 2.00%
Subsequent Periodic Cap 1.00%
Lifetime Cap 17.77% 13.80% to 21.99%
Lifetime Floor 10.77% 6.80% to 14.99%
WA Original Term (mo.) 358 months 120 to 360
WA Remaining Term (mo.) 357 months 118 to 360
WA LTV 82.86% 10.00% to 103.49%
Loan Type
6 mo LI ARM 30.20%
2 yr Fixed, 6 mo LI ARM 69.80%
Property Type
Single Family 84.43%
Two- to Four-Family 7.44%
PUD 5.59%
Condo 0.93%
Townhouse 0.85%
Manufactured Housing 0.65%
Row House 0.11%
Occupancy Status
Primary Home 96.72%
Second Home 0.33%
Investment 2.96%
Geographic Distribution
other states account individually for less than CA: 8.96%
5% of pool balance OH: 8.49%
WA: 7.31%
NY: 6.96%
GA: 5.09%
</TABLE>
Group II Collateral Summary
Collateral statistics for the adjustable rate home equity loans are listed
below as of the Cut-Off Date.
Cut-Off Date Principal Balances
<TABLE>
<CAPTION>
($) Mortgage Loans Cut-Off Date Principal % of Cut-Off Date Pool
Balance ($) Principal Balance
<S> <C> <C> <C>
15,000.01 - 20,000.00 5 97,073.76 0.10
20,000.01 - 25,000.00 8 186,613.70 0.19
25,000.01 - 30,000.00 24 667,802.26 0.67
30,000.01 - 35,000.00 27 888,348.53 0.90
35,000.01 - 40,000.00 36 1,339,878.76 1.35
40,000.01 - 45,000.00 37 1,577,202.24 1.59
45,000.01 - 50,000.00 46 2,188,458.75 2.21
50,000.01 - 55,000.00 48 2,535,536.55 2.56
55,000.01 - 60,000.00 72 4,170,271.28 4.21
60,000.01 - 65,000.00 42 2,630,741.01 2.66
65,000.01 - 70,000.00 44 2,988,309.63 3.02
70,000.01 - 75,000.00 48 3,481,602.11 3.52
75,000.01 - 80,000.00 58 4,509,996.51 4.56
80,000.01 - 85,000.00 40 3,302,461.82 3.34
85,000.01 - 90,000.00 37 3,242,858.99 3.28
90,000.01 - 95,000.00 41 3,803,250.94 3.84
95,000.01 - 100,000.00 34 3,311,989.82 3.35
100,000.01 - 105,000.00 28 2,872,693.34 2.90
105,000.01 - 110,000.00 26 2,796,403.12 2.82
110,000.01 - 115,000.00 30 3,358,571.98 3.39
115,000.01 - 120,000.00 26 3,070,919.99 3.10
120,000.01 - 125,000.00 17 2,077,592.80 2.10
125,000.01 - 130,000.00 16 2,042,465.85 2.06
130,000.01 - 135,000.00 18 2,388,252.50 2.41
135,000.01 - 140,000.00 18 2,457,138.11 2.48
140,000.01 - 145,000.00 21 3,004,074.80 3.03
145,000.01 - 150,000.00 12 1,772,453.07 1.79
150,000.01 - 200,000.00 94 16,361,752.95 16.53
200,000.01 - 250,000.00 34 7,442,386.96 7.52
250,000.01 - 300,000.00 15 4,121,636.91 4.16
300,000.01 - 350,000.00 11 3,527,614.53 3.56
350,000.01 - 400,000.00 2 784,705.00 0.79
Total: 1,015 99,001,058.55 100.00
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell
and solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws,
the final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same
qualifications and assumptions, and should be considered by investors only in
the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document.
Information regarding the underlying assets has been provided by the issuer of
the securities or an affiliate thereof and has not been independently verified
by Lehman Brothers Inc. or any affiliate. The analyses contained herein have
been prepared on the basis of certain assumptions (including, in certain
cases, assumptions specified by the recipient hereof) regarding payments,
interest rates, losses and other matters, including, but not limited to, the
assumptions described in the Offering Document. Lehman Brothers Inc., and any
of its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield on
the securities. This information supersedes any prior versions hereof and will
be deemed to be superseded by any subsequent versions (including, with respect
to any description of the securities or underlying assets, the information
contained in the Offering Document).
<PAGE>
LEHMAN BROTHERS 14
Group II Collateral Summary
Collateral statistics for the adjustable rate home equity loans are listed
below as of the Cut-Off Date.
Loan Rates
<TABLE>
<CAPTION>
(%) Mortgage Loans Cut-Off Date Principal % of Cut-Off Date Pool
Balance ($) Principal Balance
<S> <C> <C> <C>
6.751 - 7.000 2 297,100.00 0.30
7.001 - 7.250 1 88,000.00 0.09
7.251 - 7.500 1 148,636.24 0.15
7.751 - 8.000 2 232,750.00 0.24
8.001 - 8.250 7 1,094,839.11 1.11
8.251 - 8.500 3 555,652.29 0.56
8.501 - 8.750 9 843,222.31 0.85
8.751 - 9.000 30 3,473,821.60 3.51
9.001 - 9.250 15 1,312,975.70 1.33
9.251 - 9.500 40 4,425,364.25 4.47
9.501 - 9.750 45 4,524,572.81 4.57
9.751 - 10.000 103 11,996,224.04 12.12
10.001 - 10.250 48 4,599,089.61 4.65
10.251 - 10.500 95 10,932,608.13 11.04
10.501 - 10.750 75 7,710,139.50 7.79
10.751 - 11.000 102 10,111,513.30 10.21
11.001 - 11.250 61 5,773,594.63 5.83
11.251 - 11.500 85 7,391,017.86 7.47
11.501 - 11.750 65 5,769,164.42 5.83
11.751 - 12.000 66 5,901,899.51 5.96
12.001 - 12.250 27 2,443,130.78 2.47
12.251 - 12.500 26 2,061,852.40 2.08
12.501 - 12.750 18 1,519,657.57 1.53
12.751 - 13.000 46 3,178,914.78 3.21
13.001 - 13.250 13 1,106,801.84 1.12
13.251 - 13.500 17 911,303.70 0.92
13.501 - 13.750 1 59,976.73 0.06
13.751 - 14.000 6 302,909.64 0.31
14.001 - 14.250 3 139,626.03 0.14
14.251 - 14.500 2 68,720.61 0.07
14.751 - 15.000 1 25,979.16 0.03
Total: 1,015 99,001,058.55 100.00
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell
and solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws,
the final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same
qualifications and assumptions, and should be considered by investors only in
the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document.
Information regarding the underlying assets has been provided by the issuer of
the securities or an affiliate thereof and has not been independently verified
by Lehman Brothers Inc. or any affiliate. The analyses contained herein have
been prepared on the basis of certain assumptions (including, in certain
cases, assumptions specified by the recipient hereof) regarding payments,
interest rates, losses and other matters, including, but not limited to, the
assumptions described in the Offering Document. Lehman Brothers Inc., and any
of its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield on
the securities. This information supersedes any prior versions hereof and will
be deemed to be superseded by any subsequent versions (including, with respect
to any description of the securities or underlying assets, the information
contained in the Offering Document).
<PAGE>
LEHMAN BROTHERS 15
Group II Collateral Summary
Collateral statistics for the adjustable rate home equity loans are listed
below as of the Cut-Off Date.
Original Term to Stated Maturity
<TABLE>
<CAPTION>
(months) Mortgage Loans Cut-Off Date Principal % of Cut-Off Date Pool
Balance ($) Principal Balance
<S> <C> <C> <C>
109 - 120 2 67,466.15 0.07
169 - 180 10 494,631.39 0.50
229 - 240 8 623,943.12 0.63
289 - 300 1 208,800.00 0.21
349 - 360 994 97,606,217.89 98.59
Total: 1,015 99,001,058.55 100.00
<CAPTION>
Remaining Term to Stated Maturity
(months) Mortgage Loans Cut-Off Date Principal % of Cut-Off Date Pool
Balance ($) Principal Balance
<S> <C> <C> <C>
109 - 120 2 67,466.15 0.07
169 - 180 10 494,631.39 0.50
229 - 240 8 623,943.12 0.63
289 - 300 1 208,800.00 0.21
349 - 360 994 97,606,217.89 98.59
Total: 1,015 99,001,058.55 100.00
<CAPTION>
Seasoning
(months) Mortgage Loans Cut-Off Date Principal % of Cut-Off Date Pool
Balance ($) Principal Balance
<S> <C> <C> <C>
0 604 58,660,812.65 59.25
1 - 6 409 40,014,356.59 40.42
7 - 12 2 325,889.32 0.33
Total: 1,015 99,001,058.55 100.00
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell
and solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws,
the final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same
qualifications and assumptions, and should be considered by investors only in
the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document.
Information regarding the underlying assets has been provided by the issuer of
the securities or an affiliate thereof and has not been independently verified
by Lehman Brothers Inc. or any affiliate. The analyses contained herein have
been prepared on the basis of certain assumptions (including, in certain
cases, assumptions specified by the recipient hereof) regarding payments,
interest rates, losses and other matters, including, but not limited to, the
assumptions described in the Offering Document. Lehman Brothers Inc., and any
of its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield on
the securities. This information supersedes any prior versions hereof and will
be deemed to be superseded by any subsequent versions (including, with respect
to any description of the securities or underlying assets, the information
contained in the Offering Document).
<PAGE>
LEHMAN BROTHERS 16
Group II Collateral Summary
Collateral statistics for the adjustable rate home equity loans are listed
below as of the Cut-Off Date.
Loan-to-Value Ratio
<TABLE>
<CAPTION>
(%) Mortgage Loans Cut-Off Date Principal % of Cut-Off Date Pool
Balance ($) Principal Balance
<S> <C> <C> <C>
(less than or equal to)50.00 19 995,498.16 1.01
50.01 - 55.00 7 547,692.55 0.55
55.01 - 60.00 12 847,237.96 0.86
60.01 - 65.00 20 1,349,999.81 1.36
65.01 - 70.00 45 3,370,017.18 3.40
70.01 - 75.00 105 9,445,631.85 9.54
75.01 - 80.00 218 21,385,828.40 21.60
80.01 - 85.00 234 23,286,054.71 23.52
85.01 - 90.00 318 34,415,121.79 34.76
90.01 - 95.00 22 2,146,876.64 2.17
95.01 - 100.00 14 1,139,692.60 1.15
100.01 - 105.00 1 71,406.90 0.07
Total: 1,015 99,001,058.55 100.00
Occupancy Type
Mortgage Loans Cut-Off Date Principal % of Cut-Off Date Pool
Balance ($) Principal Balance
<S> <C> <C> <C>
Primary Home 969 95,752,544.47 96.72
Investment 42 2,925,587.37 2.96
Second Home 4 322,926.71 0.33
Total: 1,015 99,001,058.55 100.00
<CAPTION>
Property Type
Mortgage Loans Cut-Off Date Principal % of Cut-Off Date Pool
Balance ($) Principal Balance
<S> <C> <C> <C>
Single Family 870 83,586,983.36 84.43
2-4 Family 68 7,367,138.76 7.44
PUD 40 5,534,118.40 5.59
Condo 13 916,095.93 0.93
Townhouse 11 842,216.48 0.85
Manufactured Housing 11 648,252.81 0.65
Row House 2 106,252.81 0.11
Total: 1,015 99,001,058.55 100.00
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell
and solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws,
the final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same
qualifications and assumptions, and should be considered by investors only in
the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document.
Information regarding the underlying assets has been provided by the issuer of
the securities or an affiliate thereof and has not been independently verified
by Lehman Brothers Inc. or any affiliate. The analyses contained herein have
been prepared on the basis of certain assumptions (including, in certain
cases, assumptions specified by the recipient hereof) regarding payments,
interest rates, losses and other matters, including, but not limited to, the
assumptions described in the Offering Document. Lehman Brothers Inc., and any
of its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield on
the securities. This information supersedes any prior versions hereof and will
be deemed to be superseded by any subsequent versions (including, with respect
to any description of the securities or underlying assets, the information
contained in the Offering Document).
<PAGE>
LEHMAN BROTHERS 17
Group II Collateral Summary
Collateral statistics for the adjustable rate home equity loans are listed
below as of the Cut-Off Date.
States
<TABLE>
<CAPTION>
Mortgage Loans Cut-Off Date Principal % of Cut-Off Date Pool
Balance ($) Principal Balance
<S> <C> <C> <C>
AR 4 190,244.68 0.19
AZ 30 2,672,174.54 2.70
CA 58 8,872,788.61 8.96
CO 21 2,449,257.63 2.47
CT 12 1,800,482.15 1.82
DE 4 316,081.34 0.32
FL 29 2,396,733.66 2.42
GA 50 5,037,867.79 5.09
IA 8 436,720.94 0.44
ID 4 334,374.65 0.34
IL 43 3,911,167.92 3.95
IN 22 1,596,932.47 1.61
KS 8 638,439.33 0.64
KY 9 750,307.84 0.76
LA 2 104,700.00 0.11
MA 33 4,209,037.04 4.25
MD 10 1,271,780.87 1.28
ME 8 595,509.97 0.60
MI 21 1,879,680.74 1.90
MN 39 3,123,430.25 3.15
MO 45 2,975,077.08 3.01
MS 5 398,600.81 0.40
MT 2 253,149.51 0.26
NC 51 4,832,639.84 4.88
NE 5 337,266.49 0.34
NH 10 1,199,722.82 1.21
NJ 22 2,528,726.95 2.55
NM 5 555,658.55 0.56
NV 9 1,201,522.89 1.21
NY 62 6,892,980.12 6.96
OH 96 8,409,443.84 8.49
OK 24 1,365,813.48 1.38
OR 12 1,775,625.08 1.79
PA 64 4,426,032.88 4.47
RI 5 581,155.23 0.59
continued...
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell
and solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws,
the final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same
qualifications and assumptions, and should be considered by investors only in
the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document.
Information regarding the underlying assets has been provided by the issuer of
the securities or an affiliate thereof and has not been independently verified
by Lehman Brothers Inc. or any affiliate. The analyses contained herein have
been prepared on the basis of certain assumptions (including, in certain
cases, assumptions specified by the recipient hereof) regarding payments,
interest rates, losses and other matters, including, but not limited to, the
assumptions described in the Offering Document. Lehman Brothers Inc., and any
of its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield on
the securities. This information supersedes any prior versions hereof and will
be deemed to be superseded by any subsequent versions (including, with respect
to any description of the securities or underlying assets, the information
contained in the Offering Document).
<PAGE>
LEHMAN BROTHERS 18
Group II Collateral Summary
Collateral statistics for the adjustable rate home equity loans are listed
below as of the Cut-Off Date.
States (continued)
<TABLE>
<CAPTION>
Mortgage Loans Cut-Off Date Principal % of Cut-Off Date Pool
Balance ($) Principal Balance
<S> <C> <C> <C>
SC 11 764,366.49 0.77
SD 1 36,000.00 0.04
TN 39 3,386,175.73 3.42
TX 34 3,447,608.44 3.48
UT 5 552,072.11 0.56
VA 6 659,551.66 0.67
WA 54 7,239,286.56 7.31
WI 28 2,343,447.02 2.37
WV 2 85,391.85 0.09
WY 3 166,030.72 0.17
Total: 1,015 99,001,058.55 100.00
<CAPTION>
Documentation Type
Mortgage Loans Cut-Off Date Principal % of Cut-Off Date Pool
Balance ($) Principal Balance
<S> <C> <C> <C>
Full Documentation 859 81,718,256.20 82.54
Stated Income 105 10,415,320.04 10.52
Limited Documentation 51 6,867,482.32 6.94
Total: 1,015 99,001,058.55 100.00
<CAPTION>
Credit Grade
Mortgage Loans Cut-Off Date Principal % of Cut-Off Date Pool
Balance ($) Principal Balance
<S> <C> <C> <C>
A+ 12 1,572,367.91 1.59
A1 161 18,726,480.10 18.92
A2 477 49,189,203.90 49.69
B 185 15,562,477.63 15.72
C1 120 9,709,742.97 9.81
C2 59 4,161,152.30 4.20
D 1 79,633.75 0.08
Total: 1,015 99,001,058.55 100.00
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell
and solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws,
the final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same
qualifications and assumptions, and should be considered by investors only in
the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document.
Information regarding the underlying assets has been provided by the issuer of
the securities or an affiliate thereof and has not been independently verified
by Lehman Brothers Inc. or any affiliate. The analyses contained herein have
been prepared on the basis of certain assumptions (including, in certain
cases, assumptions specified by the recipient hereof) regarding payments,
interest rates, losses and other matters, including, but not limited to, the
assumptions described in the Offering Document. Lehman Brothers Inc., and any
of its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield on
the securities. This information supersedes any prior versions hereof and will
be deemed to be superseded by any subsequent versions (including, with respect
to any description of the securities or underlying assets, the information
contained in the Offering Document).
<PAGE>
LEHMAN BROTHERS 19
Group II Collateral Summary
Collateral statistics for the adjustable rate home equity loans are listed
below as of the Cut-Off Date.
Margin
<TABLE>
<CAPTION>
(%) Mortgage Loans Cut-Off Date Principal % of Cut-Off Date Pool
Balance ($) Principal Balance
<S> <C> <C> <C>
2.001 - 4.000 4 525,100.00 0.53
4.001 - 6.000 143 15,385,725.83 15.54
6.001 - 8.000 636 64,249,276.40 64.90
8.001 - 10.000 219 18,071,715.77 18.25
10.001 - 12.000 13 769,240.56 0.78
Total: 1,015 99,001,058.55 100.00
<CAPTION>
Next Rate Adjustment Date
Mortgage Loans Cut-Off Date Principal % of Cut-Off Date Pool
Balance ($) Principal Balance
<S> <C> <C> <C>
August 1999 27 2,510,497.44 2.54
September 1999 93 10,530,080.08 10.64
October 1999 92 8,546,518.20 8.63
November 1999 73 8,312,599.58 8.40
June 2000 1 29,838.62 0.03
September 2000 1 296,050.70 0.30
February 2001 71 6,559,271.17 6.63
March 2001 218 20,414,507.90 20.62
April 2001 283 27,243,631.74 27.52
May 2001 156 14,558,063.13 14.70
Total: 1,015 99,001,058.55 100.00
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell
and solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws,
the final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same
qualifications and assumptions, and should be considered by investors only in
the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document.
Information regarding the underlying assets has been provided by the issuer of
the securities or an affiliate thereof and has not been independently verified
by Lehman Brothers Inc. or any affiliate. The analyses contained herein have
been prepared on the basis of certain assumptions (including, in certain
cases, assumptions specified by the recipient hereof) regarding payments,
interest rates, losses and other matters, including, but not limited to, the
assumptions described in the Offering Document. Lehman Brothers Inc., and any
of its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield on
the securities. This information supersedes any prior versions hereof and will
be deemed to be superseded by any subsequent versions (including, with respect
to any description of the securities or underlying assets, the information
contained in the Offering Document).
<PAGE>
LEHMAN BROTHERS 20
Group II Collateral Summary
Collateral statistics for the adjustable rate home equity loans are listed
below as of the Cut-Off Date.
Lifetime Cap
<TABLE>
<CAPTION>
(%) Mortgage Loans Cut-Off Date Principal % of Cut-Off Date Pool
Balance ($) Principal Balance
<S> <C> <C> <C>
13.501 - 14.000 2 297,100.00 0.30
14.001 - 14.500 2 236,636.24 0.24
14.501 - 15.000 2 232,750.00 0.24
15.001 - 15.500 10 1,650,491.40 1.67
15.501 - 16.000 39 4,317,043.91 4.36
16.001 - 16.500 55 5,738,339.95 5.80
16.501 - 17.000 148 16,520,796.84 16.69
17.001 - 17.500 143 15,531,697.74 15.69
17.501 - 18.000 177 17,821,652.80 18.00
18.001 - 18.500 146 13,164,612.49 13.30
18.501 - 19.000 131 11,671,063.93 11.79
19.001 - 19.500 53 4,504,983.18 4.55
19.501 - 20.000 64 4,698,572.35 4.75
20.001 - 20.500 30 2,018,105.54 2.04
20.501 - 21.000 7 362,886.37 0.37
21.001 - 21.500 5 208,346.64 0.21
21.501 - 22.000 1 25,979.16 0.03
Total: 1,015 99,001,058.55 100.00
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell
and solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws,
the final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same
qualifications and assumptions, and should be considered by investors only in
the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document.
Information regarding the underlying assets has been provided by the issuer of
the securities or an affiliate thereof and has not been independently verified
by Lehman Brothers Inc. or any affiliate. The analyses contained herein have
been prepared on the basis of certain assumptions (including, in certain
cases, assumptions specified by the recipient hereof) regarding payments,
interest rates, losses and other matters, including, but not limited to, the
assumptions described in the Offering Document. Lehman Brothers Inc., and any
of its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield on
the securities. This information supersedes any prior versions hereof and will
be deemed to be superseded by any subsequent versions (including, with respect
to any description of the securities or underlying assets, the information
contained in the Offering Document).
<PAGE>
LEHMAN BROTHERS 21
Group II Collateral Summary
Collateral statistics for the adjustable rate home equity loans are listed
below as of the Cut-Off Date.
Prepayment Penalties
<TABLE>
<CAPTION>
Mortgage Loans Cut-Off Date Principal % of Cut-Off Date Pool
Balance ($) Principal Balance
<S> <C> <C> <C>
No 308 27,033,360.09 27.31
Yes 707 71,967,698.47 72.69
Total: 1,015 99,001,058.55 100.00
<CAPTION>
Prepayment Penalty Term
(months) Mortgage Loans Cut-Off Date Principal % of Cut-Off Date Pool
Balance ($) Principal Balance
<S> <C> <C> <C>
0 308 27,033,360.09 27.31
12 69 9,786,188.61 9.88
24 93 9,834,672.46 9.93
36 122 13,059,875.90 13.19
42 6 448,422.96 0.45
60 417 38,838,538.54 39.23
Total: 1,015 99,001,058.55 100.00
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell
and solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws,
the final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same
qualifications and assumptions, and should be considered by investors only in
the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document.
Information regarding the underlying assets has been provided by the issuer of
the securities or an affiliate thereof and has not been independently verified
by Lehman Brothers Inc. or any affiliate. The analyses contained herein have
been prepared on the basis of certain assumptions (including, in certain
cases, assumptions specified by the recipient hereof) regarding payments,
interest rates, losses and other matters, including, but not limited to, the
assumptions described in the Offering Document. Lehman Brothers Inc., and any
of its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield on
the securities. This information supersedes any prior versions hereof and will
be deemed to be superseded by any subsequent versions (including, with respect
to any description of the securities or underlying assets, the information
contained in the Offering Document).
<PAGE>
Exhibit 99.2
NationsBanc Montgomery Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and
NationsBanc Montgomery Securities LLC (the "Underwriter") is not soliciting
any action based upon it. This material is not to be construed as an offer to
sell or the solicitation of any offer to buy any security in any jurisdiction
where such an offer or solicitation would be illegal. This material is based
on information that the Underwriter considers reliable, but the Underwriter
does not represent that it is accurate or complete and it should not be relied
upon as such. By accepting this material the recipient agrees that it will not
distribute or provide the material to any other person. The information
contained in this material may pertain to securities that ultimately are not
sold. The information contained in this material may be based on assumptions
regarding market conditions and other matters as reflected herein. The
Underwriter makes no representation regarding the reasonableness of such
assumptions or the likelihood that any of such assumptions will coincide with
actual market conditions or events, and this material should not be relied
upon for such purposes. The Underwriter and its affiliates, officers,
directors, partners and employees, including persons involved in the
preparation or issuance of this material may, from time to time, have long or
short positions in, and buy and sell, the securities mentioned therein or
derivatives thereof (including options). This material may be filed with the
Securities and Exchange Commission (the "SEC") and incorporated by reference
into an effective registration statement previously filed with the SEC under
Rule 415 of the Securities Act of 1933, including all cases where the material
does not pertain to securities that are ultimately offered for sale pursuant
to such registration statement. Information contained in this material is
current as of the date appearing on this material only. Information in this
material regarding any assets backing any securities discussed herein
supersedes all prior information regarding such assets. Any information in the
material, whether regarding the assets backing any securities discussed herein
or otherwise, will be superseded by the information contained in any final
prospectus for any securities actually sold to you. This material is furnished
solely by the Underwriter and not by the issuer of the securities. The issuer
of the securities has not prepared, reviewed or participated in the
preparation of this material, is not responsible for the accuracy of this
material and has not authorized the dissemination of this material. The
Underwriter is acting as underwriter and not acting as agent for the issuer in
connection with the proposed transaction
<PAGE>
Exhibit 99.3
Neither the Sponsor nor any of its affiliates make any representations as to
the accuracy or completeness of the information herein. The information herein
is preliminary, and will be superseded by the applicable Prospectus Supplement
and by any other information subsequently filed with the Securities and
Exchange Commission. The information herein addresses only certain aspects of
the applicable certificates' characteristics and thus does not provide a
complete assessment of the certificates. As such, the information may not
reflect the impact of all structural characteristics of the certificates. The
assumptions underlying the information, including structure and collateral,
may be modified from time to time to reflect changed circumstances. The
attached term sheet is not intended to be a Prospectus and any investment
decision with respect to the certificates should be made by you based solely
upon all of the information contained in the final Prospectus and Prospectus
Supplement. Under no circumstances shall the information presented constitute
an offer to sell or the solicitation of an offer to buy nor shall there be any
sale of the certificates in any jurisdiction in which such offer, solicitation
or sale would be unlawful prior to registration or qualification under the
securities laws of such jurisdiction. The certificates may not be sold nor may
an offer to buy be accepted prior to the delivery of a final Prospectus and
Prospectus Supplement relating to the certificates. All information described
herein is preliminary, limited in nature and subject to completion or
amendment. No representation is made that the above referenced certificates
will actually perform as described in any scenario presented. Neither the
Sponsor nor the Master Servicer has prepared, reviewed or participated in the
preparation hereof, is not responsible for the accuracy hereof and has not
authorized its dissemination. A final Prospectus and Prospectus Supplement may
be obtained by contacting Salomon Smith Barney's Syndicate Desk at (212)
723-6171.
