<PAGE>
LEHMAN BROTHERS 1
DELTA FUNDING CORPORATION
[GRAPHIC OMITTED]
$275,000,000 Home Equity Asset Backed Certificates 2000-2
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<TABLE>
<CAPTION>
Approx. Tranche Certificate WAL (Yrs) Pymt Window Expected Ratings
Class(1) Class Size Type Coupon (2) Call/Mat(3) Call/Mat (Mos) (3) S&P Moody's Fitch
<S> <C> <C> <C> <C> <C> <C> <C> <C>
A-1F $61,480,000 Fixed-Seq TBD 1.02 / 1.02 1 - 22 / 1 - 22 AAA Aaa AAA
A-2F 14,502,000 Fixed-Seq TBD 2.03 / 2.03 22 - 27 / 22 - 27 AAA Aaa AAA
A-3F 41,519,000 Fixed-Seq TBD 3.00 / 3.00 27 - 53 / 27 - 53 AAA Aaa AAA
A-4F 10,953,000 Fixed-Seq TBD 5.06 / 5.06 53 - 72 / 53 - 72 AAA Aaa AAA
A-5F 20,327,000 Fixed-Seq TBD 8.40 / 11.07 72 - 109 / 72 - 239 AAA Aaa AAA
A-6F 21,000,000 Fixed-NAS TBD 6.70 / 6.86 37 - 109 / 37 - 237 AAA Aaa AAA
IOF (4) IO TBD AAAr Aaa AAA
A-1A 65,000,000 Floater TBD (5) 3.08 / 3.15 1 - 109 / 1 - 239 AAA Aaa AAA
M-1 16,500,000 Fixed-Mez TBD 6.02 / 6.61 37 - 109 / 37 - 191 AA AA
M-2 11,344,000 Fixed-Mez TBD 6.02 / 6.53 37 - 109 / 37 - 171 A A
B 12,375,000 Fixed-Sub TBD 5.99 / 6.21 37 - 109 / 37 - 149 BBB- BBB-
Total $275,000,000
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</TABLE>
(1) The Class A-1F, Class A-2F, Class A-3F, Class A-4F, Class A-5F, Class A-6F
and Class IOF Certificates are backed primarily by the cash flow from a
pool of fixed rate mortgage loans (the "Group F Mortgage Loans"). The
Class A-1A Certificates are backed primarily by the cash flows from a pool
of adjustable rate mortgage loans (the "Group A Mortgage Loans"). The
Class M-1, Class M-2 and Class B Certificates are backed by the cash flows
from both the Loan Group A and the Loan Group F Mortgage Loans. The Class
Sizes are subject to a +/- 5% variance. The Class IOF and the Class B
Certificates will be offered solely by Lehman Brothers.
(2) All classes of certificates except Class IOF are subject to an available
funds cap. The coupon on the Class A-5F, Class A-6F and the Subordinate
Certificates will increase by 0.50% and the margin on the Class A-1A
Certificates will double after the first date on which the Clean-up Call
is exercisable.
(3) See "Pricing Speed" below.
(4) The Class IOF Certificates will not receive any principal payments, but
will accrue interest on their notional balance, initially $58,500,000.
(5) The Class A-1A Certificates will accrue interest at a variable rate equal
to the least of (i) One-Month LIBOR plus [__] bps ([__] bps after the
first date on which the Clean-up Call is exercisable); (ii) 14%; and (iii)
the Loan Group A Cap.
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Pricing Speed
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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
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Group F 100% PPC-F
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 A 100% PPC-A
100% PPC-A assumes that prepayments start at 4% CPR in month one,
increase by approximately 1.069% each month to 35% CPR in month
thirty, and remain at 35% CPR thereafter. .
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There will also be an offered Class IOF, which is an interest-only security
which accrues interest at a 7.00% per annum Pass-Through Rate on its notional
amount, initially $58,500,000. This Class is offered only by Lehman Brothers.
See "Class IOF Notional Balance Schedule" for more detail.
-------------------------------------------------------------------------------
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
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Terms of the Offering
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Issuer: Delta Funding Home Equity Loan Trust 2000-2
Offered Certificates: $210,000,000 Group F Certificates and Subordinate
Certificates $65,000,000 Group A Certificates
Seller and Interim Delta Funding Corporation Delta will be the
Sub-Servicer: Interim Sub-Servicer until the Transfer Date.
Servicer: Countrywide Home Loans, Inc.
Countrywide will own the servicing rights to the
Mortgage Loans as of the Closing Date. The loans are
expected to be transferred to Countrywide on August 1,
2000 (the "Transfer Date").
Trustee and Custodian: Norwest Bank Minnesota, N.A.
Underwriters: Lehman Brothers (lead manager)
Countrywide Securities, Inc. (co-manager)
Greenwich Capital Markets, Inc. (co-manager)
Expected Pricing Date: June 26
Expected Settlement June 30, 2000 through DTC, Euroclear and Clearstream
Date
Distribution Date: 15th of each month, or the next succeeding Business Day
(First Distribution Date: July 17, 2000)
Record Date: The last Business Day in the month preceding the
applicable Distribution Date, or the Business Day
immediately preceding the applicable Distribution Date
in the case of the Class A-1A Certificates
Cut-Off Date: May 31, 2000, or the origination date of such Mortgage
Loan, if later than May 31
Delay Days: 14 days, or 0 days in the case of the Class A-1A
Certificates
Day Count: 30/360, or Actual/360 in the case of the Class A-1A
Certificates
Servicing Fee: 0.50% of the Aggregate Principal Balance of the Mortgage
Loans
Optional Clean-up Call: Any Distribution Date on or after which the Aggregate
Principal Balance of the Mortgage Loans declines to 10%
or less of the Aggregate Principal Balance as of the
Cut-Off Date ("Cut-Off Date Pool Principal Balance")
Denomination: $25,000 and multiples of $1,000 in excess thereof
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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
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Terms of the Offering (continued)
-------------------------------------------------------------------------------
SMMEA Eligibility: The Certificates are not expected to be SMMEA eligible
ERISA Eligibility: The Certificates are expected to be ERISA eligible,
except for the Class M-1, Class M-2 and Class B
Certificates
Tax Status: The Offered Certificates will be treated as regular
interests in a REMIC for federal income tax purposes
Mortgage Loan Pool: o Consists of fixed and adjustable rate closed-end
mortgage loans, which accrue interest on an
actuarial basis, secured by 1st and 2nd lien level
pay and balloon mortgages on primarily 1-4 family
properties.
o The Pool will be divided into two Groups:
- Loan Group F: Consists of all Mortgage Loans
which accrue interest at a fixed rate
- Loan Group A: Consists of all Mortgage Loans
which accrue interest at an adjustable
rate, including those loans which bear interest
at a fixed rate for two or three years before
beginning to adjust
o The initial Loan Group F principal balance equals
approximately $156,197,829 and the initial Loan
Group A principal balance equals approximately
$49,200,417. After addition of subsequent loans
the Loan Group F principal balance is expected to
be $210,000,000 and the Loan Group A principal
balance is expected to be $65,000,000. A
substantial majority of the subsequent loans is
expected to be delivered on the Closing Date
o For collateral statistics please see the
"Collateral Summary"
o Subordination of excess interest
Credit Enhancement: o Overcollateralization
o Subordination of subordinate classes of securities
o FSA guarantee for Senior Certificates
o Please refer to "Credit Enhancement
- Senior/Subordinate Structure"
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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
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Terms of the Offering (continued)
-------------------------------------------------------------------------------
Monthly Advances: (1) The Servicer is required to advance scheduled
principal and interest (net of the Servicing Fee)
for a delinquent Mortgage Loan until such loan
becomes a Liquidated Mortgage Loan, but is not
required to make any advance which the Servicer
deems to be nonrecoverable
(2) The Servicer unless monthly advance is deemed
unrecoverable, the Servicer's right of
reimbursement is limited to late collections of
interest of any Mortgage Loan and to Liquidation
and Insurance Proceeds on the related Mortgage
Loan. If monthly advance is deemed unrecoverable,
reimbursement can be made from collections on any
loan. The Servicer's right to reimbursement is
senior to the rights of the Certificateholders
(1) The Servicer pays all "out-of-pocket" expenses to
service these loans
Servicer Advances: (2) Unless a servicer advance is deemed unrecoverable,
the Servicer's right of reimbursement is limited
to late collections on the related Mortgage Loan,
including Liquidation Proceeds, released property
proceeds, Insurance Proceeds or other amounts
otherwise related to such Mortgage Loan. If a
servicer advance is deemed unrecoverable, the
Servicer's right to reimbursement is senior to the
rights of the Certificateholders
Compensating Interest: The Servicer:
(1) will be required to remit 30 days interest on the
Principal Balance of any mortgage loan prepaid in
full minus 1) the related Servicing Fee, and 2)
any interest actually paid in connection with such
prepayment
(2) has no right of reimbursement for compensating
interest
This liability is capped at the aggregate Servicing Fee
for the most recent due period
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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
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Certificate Interest Payments
-------------------------------------------------------------------------------
Group F Certificates o Interest accrues during the month prior to the
and Subordinate current Distribution Date on a 30/360 basis at the
Certificates: respective fixed certificate rate, subject (except
Class IOF) to the Group F Net WAC Cap
o Interest is paid monthly on the Distribution Date
o Any interest due but unpaid from a prior
Distribution Date will increase the interest
payment due on the next Distribution Date, plus
accrued interest at the applicable certificate
rate, subject to the priority of distribution
described herein
o Interest entitlement is reduced by a pro rata
share of interest shortfalls due to application of
the Soldiers' and Sailors' Civil Relief Act of
1940
Group A Certificates: o Interest accrues from the last Distribution Date
(or from the Closing Date in the case of the first
Distribution Date) to the day preceding the
current Distribution Date on an Actual/360 basis
at the Class A-1A Pass-Through Rate
o The Class A-1A Pass-Through Rate is equal to the
lesser of (a) 1 month LIBOR + the applicable
margin, (b) 14% (the lesser of (a) and (b), the
"Formula Rate") and (c) the Group A Net WAC Cap
o Interest is paid monthly on the Distribution Date
o Any interest due but unpaid from a prior
Distribution Date will increase the interest
payment due on the next Distribution Date, plus
accrued interest at the applicable Pass-Through
Rate
o Interest entitlement is reduced by a pro rata
share of interest shortfalls due to application of
the Soldiers' and Sailors' Civil Relief Act of
1940
Step-up Coupons: If the cleanup call is not exercised, the coupon on
Class A-5F, Class A-6F, Class M-1, Class M-2 and Class B
will increase by 0.50% and the margin on the Class A-1A
Certificates will increase to twice the initial margin
Group F Rate Cap If the Pass-Through Rate on any of the Group F or
Carryover: Subordinate Certificates is reduced to the Group F Net
WAC Cap, any interest which would have accrued at the
applicable certificate rate but is unpaid due to the
Group F Net WAC Cap will be payable on the next
Distribution Date, together with accrued interest at the
applicable certificate rate to the extent of Available
Funds therefor
Class A-1A LIBOR If the Class A-1A Pass-Through Rate is reduced to the
Carryover: Group A Net WAC Cap, any interest which would have
accrued at the Formula Rate but is unpaid due to the
Group A Net WAC Cap will be payable on the next
Distribution Date, together with accrued interest at the
Formula Rate to the extent of Available Funds therefor
-------------------------------------------------------------------------------
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
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Certificate Interest Payments (continued)
-------------------------------------------------------------------------------
Group F Net WAC Cap: The Group F Net WAC Cap for any Distribution Date equals
the lesser of: (A) the Group F Net WAC, and (B) the
Group A Net WAC Cap
The Group F Net WAC for any Distribution Date equals (A)
the Group F Net Loan Rate minus (B) (x) the Class IOF
Notional Balance, divided by (y) the Group F Principal
Balance, multiplied by the Class IOF Pass-Through Rate
Group A Net WAC Cap: The Group A Net WAC Cap for any Distribution Date
equals the Group A Net Loan Rate
The Net Loan Rate for either Loan Group is equal to (A) the weighted average
Mortgage Rate of all loans in such Loan Group for the related Due Period minus
(B) the sum of the trustee fee rate and servicing fee rate minus (C) (x) the
Senior Certificate Principal Balance for such group, divided by (y) the
applicable Loan Group Principal Balance, multiplied by the insurance premium
rate.
Available LIBOR As to any Distribution Date, the lesser of (i) the
Carryover Amount: amounts remaining after distributions pursuant to C.1
through C.9 under "Distribution Priorities" and (ii) the
excess, if any, of (x) the Interest Remittance Amount
for Loan Group A for such Distribution Date over (y) the
sum of distributions pursuant to B.1 and B.2 under
"Distribution Priorities" and the Group A Subordination
Increase Amount.
--------------------------------------------------------------------------------
-------------------------------------------------------------------------------
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
--------------------------------------------------------------------------------
Certificate Principal Payments
--------------------------------------------------------------------------------
Group F Certificates: Class A-1F, Class A-2F, Class A-3F, Class A-4F, Class
A-5F, Class A-6F, and Class IOF Certificates
Group A Certificates: Class A-1A Certificates
Senior Certificates: Class A-1F, Class A-2F, Class A-3F, Class A-4F, Class
A-5F, Class A-6F, Class IOF and Class A-1A Certificates
Subordinate
Certificates: Class M-1, Class M-2 and Class B Certificates
Principal Payments: Payments of principal to each Group of Certificates are
derived primarily from collections of principal on the
related Loan Group
Credit Priority: Prior to month 37 (or while a Trigger Event is in
effect):
100% of the Principal Distribution Amount ("PDA")
will be allocated to the most senior class of
certificates then outstanding
Beginning in month 37 (and while no Trigger Event is in
effect):
Principal will be allocated between the Senior
Certificates and the Subordinate Certificates to
maintain the credit enhancement levels (including
overcollateralization) at twice their respective
initial target percentages of the then current
Pool Principal Balance
Allocation of Principal The Class A-1A PDA equals the lesser of :
the Between Group A and
Group F Certificates: (a) The Senior PDA, and
(b) The greater of (x) the Group A Parity Amount, and
(y) the Senior PDA multiplied by the Class A-1A
Pro Rata Percentage
The Group A Parity Amount for any Distribution Date
equals the greater of zero, and (a) the Class A-1A
Principal Balance as of the preceding Distribution Date,
minus (b) the Loan Group A Principal Balance at the end
of the related Due Period
The Senior PDA for any Distribution Date equals the
aggregate amount of principal to be paid to the Senior
Certificates on the applicable Distribution Date.
The Class A-1A Pro Rata Percentage equals (a) the Class
A-1A Principal Balance, divided by (b) the aggregate
Principal Balance of the Senior Certificates, each as of
the preceding Distribution Date
--------------------------------------------------------------------------------
-------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
LEHMAN BROTHERS 9
--------------------------------------------------------------------------------
Certificate Principal Payments (continued)
--------------------------------------------------------------------------------
Allocation of Principal The Group F PDA equals the Senior PDA less the Class
Among the Group F A-1A PDA. The Group F PDA will be allocated in the
Certificates: following order of priority:
(a) to Class A-6F, the Class A-6F PDA until the Class
Principal Balance thereof has been reduced to zero
(b) sequentially, to Class A-1F, Class A-2F, Class
A-3F, Class A-4F, Class A-5F and Class A-6F, in
that order, until the respective Class Principal
Balances thereof are reduced to zero
Class A-6F PDA = Group F PDA * Shifting Percentage *
(Class A-6F Principal Balance/Aggregate Group F
Certificate Balance), but in no event greater than the
Group F PDA
Distribution Date: 1 - 36 37 - 60 61 - 72 73 - 84 85 on...
------ ------- ------- ------- --------
Shifting Percentage: 0% 45% 80% 100% 300%
--------------------------------------------------------------------------------
-------------------------------------------------------------------------------
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
--------------------------------------------------------------------------------
Credit Enhancement-Senior/Subordinate Structure
--------------------------------------------------------------------------------
Overcollateralization: - Initial OC: 0.00%
- Initial Target OC: 1.625% of Cut-Off Date Pool
Principal Balance
- OC Floor: 0.50% of Cut-Off Date Pool
Principal Balance
The target OC will be $0 for the first Distribution
Date. Excess interest will be used to build OC beginning
in month 2 (application of such amounts, "Subordinate
Increase Amounts"). The Group A Subordination Increase
Amount equals the Subordination Increase Amount
multiplied by the ratio of the Loan Group A Principal
Balance to the Pool Principal Balance, each as of the
end of the second preceding Due Period.
The Target OC will step down after month 36 to the
lesser of 3.25% of the outstanding Pool Principal
Balance or 1.625% of the Cut-Off Date Pool Principal
Balance, as long as a Trigger Event is not in effect
If a Cumulative Loss Event is in effect, the Target OC
will equal the Initial Target OC
If only a Delinquency Event is in effect, the Target OC
will equal the Target OC as of the preceding
Distribution Date
Credit Support Percentage: Before OC Stepdown After OC Stepdown
------------------ -----------------
Rating Percent Rating Percent
------ ------- ------ -------
AAA 16.250% AAA 32.50%
AA 10.250% AA 20.50%
A 6.125% A 12.25%
BBB- 1.625%(1) BBB- 3.25%(1)
(1) Consists of the Target OC, assuming a Trigger
Event is not in effect
Cross- Excess interest collections on the Group F loans will be
collateralization: available to build OC and cover certain shortfalls on
the Group A Certificates, while excess interest
collections on the Group A loans will be available to
build OC and cover certain shortfalls on the Group F
Certificates.
Trigger Event: The occurrence and continuation of a Delinquency Event
or a Cumulative Loss Event as of the related
Determination Date
Delinquency Event: If at any time the 3-month average Delinquency
Percentage exceeds 50% of the Senior Enhancement
Percentage
--------------------------------------------------------------------------------
-------------------------------------------------------------------------------
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
--------------------------------------------------------------------------------
Delinquency Percentage: The ratio of (a) the aggregate Principal Balance of
Mortgage Loans which are (1) 60 or more days delinquent
or (2) in bankruptcy or foreclosure or (3) secured by
REO properties divided by (b) the aggregate Principal
Balance of the Mortgage Loans
--------------------------------------------------------------------------------
-------------------------------------------------------------------------------
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
--------------------------------------------------------------------------------
Credit Enhancement-Senior/Subordinate Structure (continued)
--------------------------------------------------------------------------------
Cumulative Loss Event: If Cumulative Net Losses exceed the applicable
percentage of the aggregate Original Class Principal
Balances of the Offered Certificates.
Distribution Cumulative
Date Net Losses
---- ----------
37 - 48 2.00%
49 - 60 2.40%
61 - 72 2.70%
73 - 84 2.85%
85 on 3.00%
--------------------------------------------------------------------------------
-------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
LEHMAN BROTHERS 13
--------------------------------------------------------------------------------
Distribution Priorities
--------------------------------------------------------------------------------
On each Distribution Date the Trustee will apply the Available Funds from each
Loan Group and any draw on the surety policy (such draw to be used only for
payments of amounts in C.1 and C.3) in the following order of priority, in each
case, to the extent of funds remaining
A. Loan Group F: 1. Concurrently to pay the Trustee Fee and the
Insurer Premium on the Group F Certificates
2. Concurrently to pay the Interest Distribution
Amount (which includes unpaid amounts from prior
Distribution Dates) on each Class of Group F
Certificates
3. The remaining amount pursuant to "Remaining
Amounts" below
B. Loan Group A: 1. Concurrently to pay the Trustee Fee and the
Insurer Premium on the Group A Certificates
2. The Interest Distribution Amount on the Class A-1A
Certificates (which includes unpaid amounts from
prior Distribution Dates)
3. The remaining amount pursuant to "Remaining
Amounts" below
-------------------------------------------------------------------------------
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
--------------------------------------------------------------------------------
C. Remaining Amounts: 1. Concurrently, to the Senior Certificates in both
Certificate Groups, the related Interest
Distribution Amount not yet paid
2. Sequentially, to the Class M-1, Class M-2 and
Class B Certificates, the related Class Monthly
Interest Amount
3. To the Senior Certificates, the sum of (x) the
Senior Principal Distribution Amount, excluding
any Subordination Increase Amounts and (y) the
principal portion of any Insured Payments for such
Distribution Date, allocated between Certificate
Group F and Certificate Group A in proportion to
the respective portions of the Senior Principal
Distribution Amount to which each such Certificate
Group is otherwise entitled
4. To the Certificate Insurer, any amount owing to it
under the Insurance Agreement
5. Sequentially, to the Class M-1, Class M-2 and
Class B Certificates, the related Class Principal
Distribution Amount, excluding any Subordination
Increase Amounts
6. To the Offered Certificates, the Subordination
Increase Amount, allocated in the same manner as
the Principal Distribution Amount exclusive of the
Subordination Increase Amount
7. To Class M-1, any related Class Interest Carryover
Shortfall and then any related Class Principal
Carryover Shortfall
8. To Class M-2, any related Class Interest Carryover
Shortfall and then any related Class Principal
Carryover Shortfall
9. To Class B, any related Class Interest Carryover
Shortfall and then any related Class Principal
Carryover Shortfall
--------------------------------------------------------------------------------
-------------------------------------------------------------------------------
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
--------------------------------------------------------------------------------
Distribution Priorities (continued)
--------------------------------------------------------------------------------
10. To the Class A-1A Certificates, the lesser of:
C. Remaining Amounts: a) LIBOR Carryover, and
(continued)
b) The Available LIBOR Carryover Amount
11. Sequentially, (a) concurrently, to the Group F
Certificates, pro rata, and (b) sequentially, to
the Class M-1, Class M-2 and Class B Certificates,
in that order, the related Group F Rate Cap
Carryover
12. To the Residual Certificates, any remaining
amounts
--------------------------------------------------------------------------------
-------------------------------------------------------------------------------
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
--------------------------------------------------------------------------------
Net WAC Schedules
--------------------------------------------------------------------------------
Group F (1)
Net WAC Net WAC
Period Cap Period Cap
------ --- ------ ---
1 8.444 31 9.416
2 8.434 32 9.398
3 8.421 33 9.378
4 8.507 34 9.358
5 8.489 35 9.338
6 8.469 36 9.318
7 8.569 37 10.423
8 8.544 38 10.424
9 8.516 39 10.425
10 8.706 40 10.426
11 8.676 41 10.426
12 8.642 42 10.427
13 8.803 43 10.428
14 8.772 44 10.428
15 8.740 45 10.429
16 8.935 46 10.429
17 8.907 47 10.430
18 8.878 48 10.430
19 9.068 49 10.431
20 9.042 50 10.431
21 9.016 51 10.431
22 9.198 52 10.432
23 9.175 53 10.432
24 9.151 54 10.433
25 9.399 55 10.433
26 9.379 56 10.434
27 9.360 57 10.434
28 9.392 58 10.435
29 9.373 59 10.435
30 9.353 60 10.436
(1) Assuming the Group F loans prepay at 100% PPC-F
-------------------------------------------------------------------------------
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
--------------------------------------------------------------------------------
Net WAC Schedules (continued)
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
Group A (1) Group A (2)
------- -------
Net WAC Net WAC Net WAC Net WAC
Period Cap Period Cap Period Cap Period Cap
------ --- ------ --- ------ --- ------ ---
<S> <C> <C> <C> <C> <C> <C> <C>
1 10.337 37 12.503 1 10.337 37 13.390
2 10.337 38 12.503 2 10.337 38 13.390
3 10.337 39 12.502 3 10.337 39 13.389
4 10.338 40 12.501 4 10.338 40 13.388
5 10.338 41 12.500 5 10.338 41 13.412
6 10.338 42 12.499 6 10.338 42 14.095
7 10.339 43 12.498 7 10.339 43 14.385
8 10.339 44 12.497 8 10.339 44 14.384
9 10.340 45 12.497 9 10.340 45 14.384
10 10.340 46 12.497 10 10.340 46 14.384
11 10.341 47 12.497 11 10.341 47 14.399
12 10.341 48 12.497 12 10.341 48 15.083
13 10.342 49 12.497 13 10.342 49 15.374
14 10.343 50 12.497 14 10.343 50 15.374
15 10.343 51 12.497 15 10.343 51 15.374
16 10.344 52 12.497 16 10.344 52 15.374
17 10.344 53 12.497 17 10.344 53 15.374
18 10.344 54 12.497 18 10.344 54 16.058
19 10.345 55 12.497 19 10.345 55 16.349
20 10.345 56 12.497 20 10.345 56 16.349
21 10.345 57 12.497 21 10.345 57 16.349
22 10.345 58 12.497 22 10.345 58 16.349
23 10.401 59 12.497 23 10.419 59 16.349
24 10.401 60 12.497 24 10.419 60 17.033
25 10.401 61 12.497 25 10.419 61 17.324
26 10.400 62 12.497 26 10.419 62 17.324
27 10.400 63 12.497 27 10.419 63 17.324
28 10.400 64 12.497 28 10.418 64 17.324
29 10.400 65 12.497 29 10.443 65 17.324
30 10.399 66 12.497 30 10.443 66 17.325
31 10.399 67 12.497 31 10.442 67 17.325
32 10.399 68 12.497 32 10.442 68 17.325
33 10.398 69 12.497 33 10.442 69 17.325
34 10.398 70 12.497 34 10.442 70 17.325
35 10.398 71 12.497 35 10.466 71 17.325
36 11.895 72 12.497 36 12.519 72 17.325
--------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Assuming (a) the Group A loans prepay at 100% PPC-A and (b) 6 month LIBOR
remains constant at 6.99%
-------------------------------------------------------------------------------
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
(2) (2) Assuming (a) the Group A loans prepay at 100% PPC-A and (b) 6 month
LIBOR immediately increases to 14%. Although the Group A Net WAC Cap may
increase above 14%, the Class A-1A Pass-Through Rate will not exceed 14%
-------------------------------------------------------------------------------
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
--------------------------------------------------------------------------------
Class IOF Notional Balance Schedule
--------------------------------------------------------------------------------
The Class IOF Certificates are interest only securities which accrue interest at
a Pass-Through Rate of 7.00%
The Notional Balance on which the Class IOF Certificates accrue interest is
equal to the lesser of: (A) the aggregate Principal Balance of the Group F
Mortgage Loans as of the end of the second preceding Due Period ( or as of the
Cut-off Date in the case of the first Distribution Date), and (B) the following
Notional Balance schedule:
Distribution Month Notional Balance
------------------ ----------------
1 - 3 58,500,000
4 - 6 55,500,000
7 - 9 52,000,000
10 - 12 46,000,000
13 - 15 41,000,000
16 - 18 35,500,000
19 - 21 30,500,000
22 - 24 26,000,000
25 - 27 20,500,000
28 - 30 19,500,000
31 - 33 18,000,000
34 - 36 18,000,000
37 on 0
-------------------------------------------------------------------------------
-------------------------------------------------------------------------------
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
--------------------------------------------------------------------------------
Sensitivity Analysis - To Maturity
--------------------------------------------------------------------------------
<TABLE>
-----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Group A % of PPC-A 50% 75% 100% 125% 150% 175% 200%
Group F % of PPC-F 50% 75% 100% 125% 150% 175% 200%
Class A-1F
Yield @ 99.9995 7.750 7.689 7.634 7.585 7.538 7.494 7.452
Average Life (yrs.) 1.63 1.24 1.02 0.88 0.78 0.70 0.64
Window (mo.) 1 - 38 1 - 28 1 - 22 1 - 19 1 - 17 1 - 15 1 - 14
Expected Final Mat. 08/15/03 10/15/02 04/15/02 01/15/02 11/15/01 09/15/01 08/15/01
Duration (yrs.) 1.45 1.12 0.93 0.81 0.72 0.65 0.60
Class A-2F
Yield @ 99.9967 7.929 7.894 7.863 7.834 7.806 7.780 7.755
Average Life (yrs.) 3.53 2.53 2.03 1.70 1.49 1.32 1.20
Window (mo.) 38 - 48 28 - 34 22 - 27 19 - 23 17 - 20 15 - 18 14 - 16
Expected Final Mat. 06/15/04 04/15/03 09/15/02 05/15/02 02/15/02 12/15/01 10/15/01
Duration (yrs.) 2.96 2.21 1.80 1.53 1.35 1.21 1.10
Class A-3F
Yield @ 99.9876 8.090 8.064 8.038 8.013 7.992 7.971 7.952
Average Life (yrs.) 6.18 3.99 3.00 2.40 2.06 1.82 1.63
Window (mo.) 48 - 129 34 - 74 27 - 53 23 - 36 20 - 31 18 - 27 16 - 24
Expected Final Mat. 03/15/11 08/15/06 11/15/04 06/15/03 01/15/03 09/15/02 06/15/02
Duration (yrs.) 4.61 3.26 2.56 2.10 1.83 1.63 1.47
Class A-4F
Yield @ 99.9778 8.466 8.452 8.431 8.410 8.377 8.360 8.343
Average Life (yrs.) 12.39 7.86 5.06 3.80 2.70 2.36 2.10
Window (mo.) 129 - 170 74 - 120 53 - 72 36 - 53 31 - 35 27 - 30 24 - 27
Expected Final Mat. 08/15/14 06/15/10 06/15/06 11/15/04 05/15/03 12/15/02 09/15/02
Duration (yrs.) 7.41 5.50 3.96 3.12 2.32 2.05 1.85
Class A-5F
Yield @ 98.4785 8.678 8.717 8.759 8.807 8.860 8.987 9.074
Average Life (yrs.) 19.75 14.90 11.07 7.93 5.26 2.96 2.44
Window (mo.) 170 - 341 120 - 296 72 - 239 53 - 195 35 - 162 30 - 58 27 - 33
Expected Final Mat. 11/15/28 02/15/25 05/15/20 09/15/16 12/15/13 04/15/05 03/15/03
Duration (yrs.) 9.12 7.99 6.70 5.31 3.90 2.49 2.11
Class A-6F
Yield @ 99.9734 8.083 8.082 8.085 8.105 8.144 8.175 8.167
Average Life (yrs.) 7.93 7.24 6.86 6.73 6.77 6.63 5.03
Window (mo.) 37 - 338 37 - 293 37 - 237 40 - 193 46 - 160 52 - 138 33 - 118
Expected Final Mat. 08/15/28 11/15/24 03/15/20 07/15/16 10/15/13 12/15/11 04/15/10
Duration (yrs.) 5.49 5.17 4.99 4.93 4.96 4.88 3.87
------------------------------------------------------------------------------------------------------------------------------------
</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
--------------------------------------------------------------------------------
Sensitivity Analysis - To Maturity
--------------------------------------------------------------------------------
<TABLE>
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Group A % of PPC-A 50% 75% 100% 125% 150% 175% 200%
Group F % of PPC-F 50% 75% 100% 125% 150% 175% 200%
Class M-1
Yield @ 97.1912 8.888 8.978 9.072 9.161 9.225 9.257 9.250
Average Life (yrs.) 11.86 8.58 6.61 5.41 4.73 4.40 4.40
Window (mo.) 68 - 309 48 - 244 37 - 191 38 - 155 40 - 129 42 - 109 44 - 94
Expected Final Mat. 03/15/26 10/15/20 05/15/16 05/15/13 03/15/11 07/15/09 04/15/08
Duration (yrs.) 6.77 5.52 4.61 3.99 3.63 3.46 3.49
Class M-2
Yield @ 92.2137 9.671 9.940 10.225 10.501 10.725 10.886 10.972
Average Life (yrs.) 11.76 8.47 6.53 5.32 4.59 4.16 3.95
Window (mo.) 68 - 288 48 - 219 37 - 171 37 - 138 38 - 115 39 - 97 40 - 83
Expected Final Mat. 06/15/24 09/15/18 09/15/14 12/15/11 01/15/10 07/15/08 05/15/07
Duration (yrs.) 6.57 5.36 4.47 3.86 3.47 3.24 3.13
Class B
Yield @ 83.5163 11.233 11.872 12.554 13.225 13.795 14.246 14.571
Average Life (yrs.) 11.27 8.07 6.21 5.05 4.34 3.89 3.61
Window (mo.) 68 - 258 48 - 191 37 - 149 37 - 120 37 - 99 37 - 84 37 -72
Expected Final Mat. 12/15/21 05/15/16 11/15/12 06/15/10 09/15/08 06/15/07 06/15/06
Duration (yrs.) 6.17 5.02 4.19 3.60 3.22 2.98 2.82
Class A-1A
Average Life (yrs.) 5.81 4.07 3.15 2.57 2.17 1.89 1.66
Window (mo.) 1 - 341 1 - 296 1 - 239 1 - 195 1 - 162 1 - 138 1 - 118
Expected Final Mat. 11/15/28 02/15/25 05/15/20 09/15/16 12/15/13 12/15/11 04/15/10
------------------------------------------------------------------------------------------------------------------------------------
</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 22
--------------------------------------------------------------------------------
Sensitivity Analysis - To 10% Call
--------------------------------------------------------------------------------
<TABLE>
-----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Group A % of PPC-A 50% 75% 100% 125% 150% 175% 200%
Group F % of PPC-F 50% 75% 100% 125% 150% 175% 200%
Class A-5F
Yield @ 98.4785 8.649 8.676 8.715 8.771 8.844 8.987 9.074
Average Life (yrs.) 15.93 11.50 8.40 6.09 4.49 2.96 2.44
Window (mo.) 170 -195 120 - 141 72 - 109 53 - 87 35 - 72 30 - 58 27 - 33
Expected Final Mat. 09/15/16 03/15/12 07/15/09 09/15/07 06/15/06 04/15/05 03/15/03
Duration (yrs.) 8.41 7.06 5.75 4.54 3.55 2.49 2.11
Class A-6F
Yield @ 99.9734 8.083 8.079 8.077 8.074 8.069 8.063 8.042
Average Life (yrs.) 7.90 7.18 6.70 6.20 5.58 4.98 3.72
Window (mo.) 37 - 195 37 - 141 37 - 109 40 - 87 46 - 72 52 - 61 33 - 53
Expected Final Mat. 09/15/16 03/15/12 07/15/09 09/15/07 06/15/06 07/15/05 11/15/04
Duration (yrs.) 5.48 5.15 4.92 4.67 4.32 3.95 3.08
Class M-1
Yield @ 97.1912 8.884 8.976 9.074 9.169 9.237 9.271 9.262
Average Life (yrs.) 10.96 7.83 6.02 4.91 4.32 4.05 4.10
Window (mo.) 68 - 195 48 - 141 37 - 109 38 - 87 40 - 72 42 - 61 44 - 53
Expected Final Mat. 09/15/16 03/15/12 07/15/09 09/15/07 06/15/06 07/15/05 11/15/04
Duration (yrs.) 6.60 5.31 4.40 3.77 3.42 3.27 3.31
Class M-2
Yield @ 92.2137 9.685 9.970 10.274 10.572 10.813 10.982 11.065
Average Life (yrs.) 10.96 7.83 6.02 4.90 4.24 3.87 3.70
Window (mo.) 68 - 195 48 - 141 37 - 109 37 - 87 38 - 72 39 - 61 40 - 53
Expected Final Mat. 09/15/16 03/15/12 07/15/09 09/15/07 06/15/06 07/15/05 11/15/04
Duration (yrs.) 6.44 5.19 4.31 3.69 3.31 3.09 2.99
Class B
Yield @ 83.5163 11.255 11.914 12.618 13.316 13.906 14.370 14.692
Average Life (yrs.) 10.90 7.79 5.99 4.86 4.18 3.76 3.51
Window (mo.) 68 - 195 48 - 141 37 - 109 37 - 87 37 - 72 37 - 61 37 - 53
Expected Final Mat. 09/15/16 03/15/12 07/15/09 09/15/07 06/15/06 07/15/05 11/15/04
Duration (yrs.) 6.12 4.96 4.12 3.53 3.16 2.91 2.77
Class A-1A
Average Life (yrs.) 5.63 3.96 3.08 2.51 2.13 1.86 1.62
Window (mo.) 1 - 195 1 - 141 1 - 109 1 - 87 1 - 72 1 - 61 1 - 53
Expected Final Mat. 09/15/16 03/15/12 07/15/09 09/15/07 06/15/06 07/15/05 11/15/04
------------------------------------------------------------------------------------------------------------------------------------
</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 23
--------------------------------------------------------------------------------
Collateral Summary
--------------------------------------------------------------------------------
Collateral statistics for the fixed-rate home equity loans are listed
below as of 5/31/00
The Sum of the percentages on the summary and other tables herein may not
add to 100% due to rounding
<TABLE>
<S> <C> <C>
Total Number of Loans 2,149
Total Outstanding Loan Balance $156,197,829.20
Average Loan Principal Balance $72,683.96 $4,976.94 to $443,500.00
WA Coupon 10.984% 7.970% to 15.990%
WA Original Term (mo.) 312 60 to 360
WA Remaining Term (mo.) 311 58 to 360
WA CLTV 73.28% 12.66% to 90.15%
WA Second Mortgage Ratio 35.77%
(for 2nd liens only)
Lien Position (first/second) 89.31% / 10.69%
Balloon (% of Total) 0.57%
Prepayment Penalty (yes/no) 76.07% / 23.93%
Documentation
Full 77.34%
Alternate 13.10%
Limited 7.00%
No Doc 2.56%
Property Type
Single Family 72.04%
Two to Four Family 17.41%
Mixed Use 3.91%
Condominium 2.06%
Mobile Home 0.77%
Occupancy Status
Owner Occupied 86.09%
Non-owner Occupied 13.91%
Credit Grade
A 68.88%
B 16.64%
C 11.43%
D 3.05%
-------------------------------------------------------------------------------
</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 24
--------------------------------------------------------------------------------
--------------------------------------------------------------------------------
-------------------------------------------------------------------------------
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 25
--------------------------------------------------------------------------------
Collateral Summary (continued)
--------------------------------------------------------------------------------
Collateral statistics for the fixed-rate home equity loans are listed
below as of 5/31/00
Geographic Distribution
other states account individually for less than NY 36.43%
5% of pool balance OH 10.74%
PA 9.63%
IL 6.78%
NJ 5.80%
--------------------------------------------------------------------------------
-------------------------------------------------------------------------------
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 26
--------------------------------------------------------------------------------
Collateral Summary
--------------------------------------------------------------------------------
Collateral statistics for the fixed-rate home equity loans are listed
below as of 5/31/00
<TABLE>
<CAPTION>
Principal Balances
($) Mortgage % of Pool
Loans Principal Balance ($) Principal Balance
<S> <C> <C> <C>
0.01 - 25,000.00 255 4,962,292.84 3.18
25,000.01 - 50,000.00 660 24,585,522.02 15.74
50,000.01 - 75,000.00 511 31,499,880.02 20.17
75,000.01 - 100,000.00 261 22,643,240.75 14.50
100,000.01 - 125,000.00 155 17,361,367.69 11.11
125,000.01 - 150,000.00 105 14,424,776.59 9.23
150,000.01 - 175,000.00 72 11,704,976.98 7.49
175,000.01 - 200,000.00 60 11,287,993.07 7.23
200,000.01 - 225,000.00 23 4,857,674.22 3.11
225,000.01 - 250,000.00 19 4,511,974.46 2.89
250,000.01 - 275,000.00 10 2,643,631.47 1.69
275,000.01 - 300,000.00 9 2,630,679.07 1.68
300,000.01 - 325,000.00 5 1,570,566.93 1.01
325,000.01 - 350,000.00 2 694,894.27 0.44
350,000.01 - 375,000.00 1 374,858.82 0.24
425,000.01 - 450,000.00 1 443,500.00 0.28
Total: 2,149 156,197,829.20 100.00
-----------------------------------------------------------------------------------------------------------------
</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 27
--------------------------------------------------------------------------------
Collateral Summary
--------------------------------------------------------------------------------
Collateral statistics for the fixed-rate home equity loans are listed
below as of 5/31/00
<TABLE>
<CAPTION>
Loan Rates
(%) Mortgage % of Pool
Loans Principal Balance ($) Principal Balance
<S> <C> <C> <C>
7.751 - 8.000 1 31,813.94 0.02
8.001 - 8.250 10 596,230.07 0.38
8.251 - 8.500 23 2,606,795.06 1.67
8.501 - 8.750 42 4,304,167.17 2.76
8.751 - 9.000 71 7,271,968.68 4.66
9.001 - 9.250 37 3,116,199.18 2.00
9.251 - 9.500 75 6,603,620.21 4.23
9.501 - 9.750 89 7,660,429.77 4.90
9.751 - 10.000 186 16,504,711.48 10.57
10.001 - 10.250 68 4,753,774.10 3.04
10.251 - 10.500 132 9,596,600.26 6.14
10.501 - 10.750 107 7,700,304.00 4.93
10.751 - 11.000 188 15,256,763.85 9.77
11.001 - 11.250 102 6,354,887.42 4.07
11.251 - 11.500 141 9,649,965.58 6.18
11.501 - 11.750 135 8,438,163.79 5.40
11.751 - 12.000 170 12,554,192.12 8.04
12.001 - 12.250 97 5,884,343.92 3.77
12.251 - 12.500 91 5,962,554.66 3.82
12.501 - 12.750 70 3,974,228.12 2.54
12.751 - 13.000 82 4,922,247.37 3.15
13.001 - 13.250 54 3,447,405.97 2.21
13.251 - 13.500 30 1,306,149.46 0.84
13.501 - 13.750 32 2,058,619.02 1.32
13.751 - 14.000 41 2,250,357.12 1.44
14.001 - 14.250 15 553,736.13 0.35
14.251 - 14.500 24 1,170,509.81 0.75
14.501 - 14.750 11 570,614.54 0.37
14.751 - 15.000 14 573,338.29 0.37
15.001 - 15.250 2 105,569.78 0.07
15.251 - 15.500 4 151,562.77 0.10
15.501 - 15.750 3 165,986.61 0.11
15.751 - 16.000 2 100,018.95 0.06
Total: 2,149 156,197,829.20 100.00
----------------------------------------------------------------------------------------------------------------
</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 28
-------------------------------------------------------------------------------
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 29
--------------------------------------------------------------------------------
Collateral Summary
--------------------------------------------------------------------------------
Collateral statistics for the fixed-rate home equity loans are listed
below as of 5/31/00
<TABLE>
<CAPTION>
Original Term to Stated Maturity
Mortgage % of Pool
(months) Loans Principal Balance ($) Principal Balance
<S> <C> <C> <C>
1 - 60 8 190,800.98 0.12
61 - 120 107 4,839,515.25 3.10
121 - 180 421 24,319,707.11 15.57
181 - 240 197 12,044,899.92 7.71
241 - 300 43 3,576,350.92 2.29
301 - 360 1,373 111,226,555.02 71.21
Total: 2,149 156,197,829.20 100.00
<CAPTION>
Remaining Term to Stated Maturity
(months) Mortgage % of Pool
Loans Principal Balance ($) Principal Balance
<S> <C> <C> <C>
1 - 60 8 190,800.98 0.12
61 - 120 107 4,839,515.25 3.10
121 - 180 421 24,319,707.11 15.57
181 - 240 197 12,044,899.92 7.71
241 - 300 43 3,576,350.92 2.29
301 - 360 1,373 111,226,555.02 71.21
Total: 2,149 156,197,829.20 100.00
--------------------------------------------------------------------------------------------------------------------
</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 30
--------------------------------------------------------------------------------
Collateral Summary
--------------------------------------------------------------------------------
Collateral statistics for the fixed-rate home equity loans are listed
below as of 5/31/00
<TABLE>
<CAPTION>
Seasoning
Mortgage % of Pool
(months) Loans Principal Balance ($) Principal Balance
<S> <C> <C> <C>
0 661 46,880,676.00 30.01
1 - 3 1,473 107,810,266.28 69.02
4 - 6 14 1,428,592.00 0.91
25 - 30 1 78,294.92 0.05
Total: 2,149 156,197,829.20 100.00
<CAPTION>
Combined Loan-to-Value Ratio
Mortgage % of Pool
(%) Loans Principal Balance ($) Principal Balance
<S> <C> <C> <C>
10.01 - 15.00 1 30,000.00 0.02
15.01 - 20.00 4 87,453.00 0.06
20.01 - 25.00 19 798,190.77 0.51
25.01 - 30.00 23 1,011,593.54 0.65
30.01 - 35.00 25 1,243,413.32 0.80
35.01 - 40.00 35 1,971,673.13 1.26
40.01 - 45.00 34 1,629,162.08 1.04
45.01 - 50.00 69 4,053,911.22 2.60
50.01 - 55.00 83 5,209,194.70 3.33
55.01 - 60.00 124 7,832,524.65 5.01
60.01 - 65.00 165 10,699,908.57 6.85
65.01 - 70.00 317 21,240,598.13 13.60
70.01 - 75.00 307 23,453,588.78 15.02
75.01 - 80.00 510 40,702,733.92 26.06
80.01 - 85.00 263 20,235,633.13 12.96
85.01 - 90.00 169 15,974,267.87 10.23
90.01 - 95.00 1 23,982.39 0.02
Total: 2,149 156,197,829.20 100.00
----------------------------------------------------------------------------------------------------------------
</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 31
--------------------------------------------------------------------------------
Collateral Summary
--------------------------------------------------------------------------------
Collateral statistics for the fixed-rate home equity loans are listed
below as of 5/31/00
<TABLE>
<CAPTION>
Occupancy Type
Mortgage % of Pool
Loans Principal Balance ($) Principal Balance
<S> <C> <C> <C>
Owner Occupied 1,843 134,465,392.84 86.09
Not Owner Occupied 306 21,732,436.36 13.91
Total: 2,149 156,197,829.20 100.00
<CAPTION>
Property Type
Mortgage % of Pool
Loans Principal Balance ($) Principal Balance
<S> <C> <C> <C>
1 Family 1,676 112,531,981.93 72.04
2 Family 189 17,756,127.44 11.37
3 Family 61 6,428,995.24 4.12
Mixed Use 61 6,100,334.46 3.91
Multifamily 51 5,940,285.77 3.80
Condo 59 3,223,300.80 2.06
4 Family 29 3,015,587.62 1.93
Mobile Home 23 1,201,215.94 0.77
Total: 2,149 156,197,829.20 100.00
<CAPTION>
States
Mortgage % of Pool
Loans Principal Balance ($) Principal Balance
<S> <C> <C> <C>
AR 11 606,679.99 0.39
AZ 5 233,222.16 0.15
CA 4 701,588.05 0.45
CO 6 331,944.78 0.21
CT 38 2,680,217.59 1.72
DC 2 135,000.00 0.09
DE 14 861,356.30 0.55
FL 90 5,604,016.06 3.59
GA 78 4,978,828.99 3.19
IL 131 10,596,836.53 6.78
IN 53 3,118,030.62 2.00
KS 1 94,500.00 0.06
KY 14 760,787.42 0.49
----------------------------------------------------------------------------------------------------------------
</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 32
--------------------------------------------------------------------------------
continued ...
--------------------------------------------------------------------------------
-------------------------------------------------------------------------------
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 33
--------------------------------------------------------------------------------
Collateral Summary
--------------------------------------------------------------------------------
Collateral statistics for the fixed-rate home equity loans are listed
below as of 5/31/00
<TABLE>
<CAPTION>
States (continued)
Mortgage % of Pool
Loans Principal Balance ($) Principal Balance
<S> <C> <C> <C>
LA 20 770,811.71 0.49
MA 58 5,127,579.61 3.28
MD 42 2,183,475.17 1.40
ME 9 554,780.76 0.36
MI 59 2,839,981.26 1.82
MN 2 83,447.46 0.05
MO 42 2,323,338.91 1.49
MS 22 873,447.78 0.56
NC 85 5,116,616.76 3.28
NH 11 674,925.38 0.43
NJ 106 9,061,317.18 5.80
NM 4 306,322.91 0.20
NV 1 73,976.82 0.05
NY 570 56,900,943.83 36.43
OH 262 16,774,032.39 10.74
OK 4 107,868.74 0.07
PA 301 15,046,389.08 9.63
RI 12 853,945.29 0.55
SC 6 367,981.63 0.24
TN 36 2,622,223.89 1.68
TX 13 684,815.71 0.44
VA 26 1,610,376.57 1.03
VT 3 155,262.26 0.10
WV 8 380,959.61 0.24
Total: 2,149 156,197,829.20 100.00
-----------------------------------------------------------------------------------------------------------------
</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 34
--------------------------------------------------------------------------------
Collateral Summary
--------------------------------------------------------------------------------
Collateral statistics for the fixed-rate home equity loans are listed
below as of 5/31/00
<TABLE>
<CAPTION>
Lien Position
Mortgage % of Pool
Loans Principal Balance ($) Principal Balance
<S> <C> <C> <C>
1 1,747 139,502,675.29 89.31
2 402 16,695,153.91 10.69
Total: 2,149 156,197,829.20 100.00
<CAPTION>
Second Mortgage Ratio (Second Liens Only)
Mortgage % of Pool
(%) Loans Principal Balance ($) Principal Balance
<S> <C> <C> <C>
0.01 - 5.00 1 7,993.61 0.05
5.01 - 10.00 3 29,917.03 0.18
10.01 - 15.00 7 144,557.56 0.87
15.01 - 20.00 82 2,331,746.29 13.97
20.01 - 25.00 75 2,446,555.91 14.65
25.01 - 30.00 69 2,734,379.75 16.38
30.01 - 35.00 51 1,990,942.85 11.93
35.01 - 40.00 31 1,464,010.72 8.77
40.01 - 45.00 29 1,508,135.37 9.03
45.01 - 50.00 16 944,975.75 5.66
50.01 - 55.00 14 966,522.47 5.79
55.01 - 60.00 4 306,310.13 1.83
60.01 - 65.00 5 489,322.55 2.93
65.01 - 70.00 6 628,081.51 3.76
70.01 - 75.00 1 40,000.00 0.24
75.01 - 80.00 5 515,163.89 3.09
80.01 - 85.00 1 29,000.00 0.17
85.01 - 90.00 2 117,538.52 0.70
Total: 402 16,695,153.91 100.00
----------------------------------------------------------------------------------------------------------------
</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 35
--------------------------------------------------------------------------------
Collateral Summary
--------------------------------------------------------------------------------
Collateral statistics for the fixed-rate home equity loans are listed
below as of 5/31/00
<TABLE>
<CAPTION>
Documentation Type
Mortgage % of Pool
Loans Principal Balance ($) Principal Balance
<S> <C> <C> <C>
Full 1,697 120,797,885.83 77.34
Alternate 250 20,465,860.06 13.10
Limited 152 10,941,365.07 7.00
No Doc 50 3,992,718.24 2.56
Total: 2,149 156,197,829.20 100.00
<CAPTION>
Credit Grade
Mortgage % of Pool
Loans Principal Balance ($) Principal Balance
<S> <C> <C> <C>
A1 496 41,996,198.81 26.88
A2 325 24,741,452.75 15.84
A+ 519 40,857,792.18 26.16
B1 224 16,134,776.18 10.33
B2 171 9,856,119.11 6.31
C1 190 12,199,578.57 7.81
C2 102 5,651,455.96 3.62
D1 75 2,945,834.88 1.89
D2 13 413,464.35 0.26
D3 34 1,401,156.41 0.90
Total: 2,149 156,197,829.20 100.00
-----------------------------------------------------------------------------------------------------------------
</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 36
--------------------------------------------------------------------------------
Collateral Summary
--------------------------------------------------------------------------------
Collateral statistics for the adjustable-rate home equity loans are listed
below as of 5/31/00
The Sum of the percentages on the summary and other tables herein may not
add to 100% due to rounding
<TABLE>
<S> <C> <C>
Total Number of Loans 589
Total Outstanding Loan Balance $49,200,417.05
Adjustable Rate Mortgages (% of Total) 100.00%
Average Loan Principal Balance $83,532.12 $15,000.00 to $442,805.69
WA Coupon 10.942% 8.040% to 15.340%
WA Margin 6.11% 2.39% to 9.74%
WA Lifecap 17.93% 15.04% to 22.34%
WA Initial Periodic Cap 3.00% 2.00% -to3.00%
WA Floor 10.94% 8.04% to 15.34%
WA Original Term (mo.) 360 180 to 360
WA Remaining Term (mo.) 359 179 to 360
WA CLTV 77.07% 21.71% to 90.00%
Lien Position (first/second) 100.00%/0.00%
Prepayment Penalty (yes/no) 96.08% / 3.92%
Loan Documentation
Full 71.60%
Alternate 14.81%
Limited 9.41%
No Doc 4.18%
Loan Type
2/28 6 Month Libor 2.44%
3/27 6 Month Libor 97.56%
-------------------------------------------------------------------------------------------------------------------------------
</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 37
--------------------------------------------------------------------------------
Collateral Summary (continued)
--------------------------------------------------------------------------------
Collateral statistics for the adjustable-rate home equity loans are listed
below as of 5/31/00
Property Type
Single Family 84.44%
Two to Four Family 11.27%
Condominium 4.21%
Mobile Home 0.08%
Occupancy Status
Owner Occupied 90.28%
Non-owner Occupied 9.72%
Credit Grade
A 63.99%
B 17.23%
C 12.76%
D 6.02%
Geographic Distribution
other states account individually for less than OH: 26.66%
5% of pool balance FL: 10.51%
NJ: 9.80%
PA: 6.77%
IL: 5.61%
MI: 5.48%
--------------------------------------------------------------------------------
-------------------------------------------------------------------------------
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 38
--------------------------------------------------------------------------------
Collateral Summary
--------------------------------------------------------------------------------
Collateral statistics for the adjustable-rate home equity loans are listed
below as of 5/31/00
<TABLE>
<CAPTION>
Principal Balances
Mortgage % of Pool
($) Loans Principal Balance ($) Principal Balance
<S> <C> <C> <C>
0.01 - 25,000.00 12 258,649.17 0.53
25,000.01 - 50,000.00 147 5,875,533.44 11.94
50,000.01 - 75,000.00 181 11,443,620.08 23.26
75,000.01 - 100,000.00 109 9,477,694.55 19.26
100,000.01 - 125,000.00 58 6,353,428.80 12.91
125,000.01 - 150,000.00 25 3,418,791.39 6.95
150,000.01 - 175,000.00 17 2,716,854.73 5.52
175,000.01 - 200,000.00 14 2,663,537.11 5.41
200,000.01 - 225,000.00 8 1,727,432.61 3.51
225,000.01 - 250,000.00 5 1,200,099.80 2.44
250,000.01 - 275,000.00 3 778,666.68 1.58
275,000.01 - 300,000.00 3 857,787.07 1.74
300,000.01 - 325,000.00 3 927,862.85 1.89
325,000.01 - 350,000.00 2 667,653.08 1.36
375,000.01 - 400,000.00 1 390,000.00 0.79
425,000.01 - 450,000.00 1 442,805.69 0.90
Total: 589 49,200,417.05 100.00
-------------------------------------------------------------------------------------------------------------------
</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 39
--------------------------------------------------------------------------------
Collateral Summary
--------------------------------------------------------------------------------
Collateral statistics for the adjustable-rate home equity loans are listed
below as of 5/31/00
<TABLE>
<CAPTION>
Loan Rates
Mortgage % of Pool
(%) Loans Principal Balance ($) Principal Balance
<S> <C> <C> <C>
8.001 - 8.250 3 257,754.06 0.52
8.251 - 8.500 4 432,432.46 0.88
8.501 - 8.750 8 813,181.16 1.65
8.751 - 9.000 16 1,600,305.67 3.25
9.001 - 9.250 14 1,184,168.62 2.41
9.251 - 9.500 22 2,010,024.55 4.09
9.501 - 9.750 26 2,610,897.86 5.31
9.751 - 10.000 53 4,921,965.57 10.00
10.001 - 10.250 28 2,710,486.08 5.51
10.251 - 10.500 37 3,198,978.21 6.50
10.501 - 10.750 54 4,960,663.84 10.08
10.751 - 11.000 51 4,251,225.75 8.64
11.001 - 11.250 21 1,678,046.29 3.41
11.251 - 11.500 34 2,919,281.41 5.93
11.501 - 11.750 29 1,957,659.01 3.98
11.751 - 12.000 58 4,887,120.71 9.93
12.001 - 12.250 27 2,174,965.53 4.42
12.251 - 12.500 22 1,582,216.29 3.22
12.501 - 12.750 10 726,663.62 1.48
12.751 - 13.000 14 879,478.19 1.79
13.001 - 13.250 11 660,970.42 1.34
13.251 - 13.500 10 468,594.33 0.95
13.501 - 13.750 8 557,980.96 1.13
13.751 - 14.000 7 423,586.67 0.86
14.001 - 14.250 1 46,391.73 0.09
14.251 - 14.500 8 391,608.73 0.80
14.501 - 14.750 4 139,994.44 0.28
14.751 - 15.000 4 390,486.92 0.79
15.001 - 15.250 3 155,078.20 0.32
15.251 - 15.500 2 208,209.77 0.42
Total: 589 49,200,417.05 100.00
--------------------------------------------------------------------------------------------------------------------
</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 40
--------------------------------------------------------------------------------
Collateral Summary
--------------------------------------------------------------------------------
Collateral statistics for the adjustable-rate home equity loans are listed
below as of 5/31/00
<TABLE>
<CAPTION>
Original Term to Stated Maturity
(months) Mortgage % of Pool
Loans Principal Balance ($) Principal Balance
<S> <C> <C> <C>
169 - 180 1 97,523.53 0.20
349 - 360 588 49,102,893.52 99.80
Total: 589 49,200,417.05 100.00
<CAPTION>
Remaining Term to Stated Maturity
(months) Mortgage % of Pool
Loans Principal Balance ($) Principal Balance
<S> <C> <C> <C>
121 - 180 1 97,523.53 0.20
301 - 360 588 49,102,893.52 99.80
Total: 589 49,200,417.05 100.00
<CAPTION>
Seasoning
(months) Mortgage % of Pool
Loans Principal Balance ($) Principal Balance
<S> <C> <C> <C>
0 178 14,185,940.00 28.83
1 - 3 410 34,941,971.95 71.02
13 - 18 1 72,505.10 0.15
Total: 589 49,200,417.05 100.00
--------------------------------------------------------------------------------------------------------------------
</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 41
--------------------------------------------------------------------------------
Collateral Summary
--------------------------------------------------------------------------------
Collateral statistics for the adjustable-rate home equity loans are listed
below as of 5/31/00
<TABLE>
<CAPTION>
Combined Loan-to-Value Ratio
(%) Mortgage % of Pool
Loans Principal Balance ($) Principal Balance
<S> <C> <C> <C>
20.01 - 25.00 1 55,800.00 0.11
30.01 - 35.00 2 54,994.99 0.11
35.01 - 40.00 4 202,325.71 0.41
40.01 - 45.00 8 394,511.08 0.80
45.01 - 50.00 16 1,144,813.53 2.33
50.01 - 55.00 13 1,180,160.89 2.40
55.01 - 60.00 36 1,878,759.62 3.82
60.01 - 65.00 33 2,580,567.72 5.25
65.01 - 70.00 60 3,779,690.27 7.68
70.01 - 75.00 97 7,401,297.62 15.04
75.01 - 80.00 153 14,110,920.70 28.68
80.01 - 85.00 88 8,993,736.39 18.28
85.01 - 90.00 78 7,422,838.53 15.09
Total: 589 49,200,417.05 100.00
--------------------------------------------------------------------------------------------------------------------
</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 42
--------------------------------------------------------------------------------
Collateral Summary
--------------------------------------------------------------------------------
Collateral statistics for the adjustable-rate home equity loans are listed
below as of 5/31/00
<TABLE>
<CAPTION>
Occupancy Type
Mortgage % of Pool
Loans Principal Balance ($) Principal Balance
<S> <C> <C> <C>
Owner Occupied 515 44,420,447.89 90.28
Not Owner Occupied 74 4,779,969.16 9.72
Total: 589 49,200,417.05 100.00
<CAPTION>
Property Type
Mortgage % of Pool
Loans Principal Balance ($) Principal Balance
<S> <C> <C> <C>
1 Family 497 41,545,075.29 84.44
2 Family 46 3,834,736.05 7.79
Condo 31 2,071,683.06 4.21
3 Family 9 999,990.45 2.03
4 Family 5 709,425.27 1.44
Mobile Home 1 39,506.93 0.08
Total: 589 49,200,417.05 100.00
<CAPTION>
States
Mortgage % of Pool
Loans Principal Balance ($) Principal Balance
<S> <C> <C> <C>
AR 4 366,012.74 0.74
AZ 1 62,500.00 0.13
CA 3 599,357.55 1.22
CO 7 865,798.68 1.76
CT 21 1,513,485.65 3.08
DC 2 268,429.53 0.55
DE 5 298,458.49 0.61
FL 54 5,171,765.31 10.51
GA 15 1,160,682.96 2.36
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 43
--------------------------------------------------------------------------------
Collateral Summary
--------------------------------------------------------------------------------
Collateral statistics for the adjustable-rate home equity loans are listed
below as of 5/31/00
<TABLE>
<CAPTION>
States (continued)
Mortgage % of Pool
Loans Principal Balance ($) Principal Balance
<S> <C> <C> <C>
IL 29 2,757,904.49 5.61
IN 9 637,999.22 1.30
KS 1 37,600.00 0.08
KY 15 1,015,245.57 2.06
LA 4 214,558.82 0.44
MA 5 522,182.77 1.06
MD 19 1,626,883.30 3.31
MI 32 2,697,820.89 5.48
MN 2 103,467.99 0.21
MO 17 1,184,688.51 2.41
MS 1 34,987.90 0.07
NC 27 2,101,212.04 4.27
NH 3 251,652.74 0.51
NJ 38 4,823,677.68 9.80
NY 7 1,366,754.25 2.78
OH 182 13,114,956.32 26.66
PA 47 3,331,638.59 6.77
RI 1 95,168.21 0.19
SC 2 51,991.14 0.11
TN 12 975,677.42 1.98
VA 16 1,238,769.66 2.52
WI 1 223,925.85 0.46
WV 6 408,718.91 0.83
WY 1 76,443.87 0.16
Total: 589 49,200,417.05 100.00
--------------------------------------------------------------------------------------------------------------------
</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 44
--------------------------------------------------------------------------------
Collateral Summary
--------------------------------------------------------------------------------
Collateral statistics for the adjustable-rate home equity loans are listed
below as of 5/31/00
<TABLE>
<CAPTION>
Lien Position
Mortgage % of Pool
Loans Principal Balance ($) Principal Balance
<S> <C> <C> <C>
1 589 49,200,417.05 100.00
Total: 589 49,200,417.05 100.00
<CAPTION>
Credit Grade
Mortgage % of Pool
Loans Principal Balance ($) Principal Balance
<S> <C> <C> <C>
A1 129 11,794,147.99 23.97
A2 111 10,982,137.15 22.32
A+ 100 8,705,276.53 17.69
B1 58 4,978,668.42 10.12
B2 49 3,500,760.63 7.12
C1 58 3,989,264.88 8.11
C2 36 2,289,478.94 4.65
D1 20 1,202,688.40 2.44
D2 3 288,270.64 0.59
D3 25 1,469,723.47 2.99
Total: 589 49,200,417.05 100.00
<CAPTION>
Documentation Type
Mortgage % of Pool
Loans Principal Balance ($) Principal Balance
<S> <C> <C> <C>
Full 429 35,226,829.28 71.60
Alternate 75 7,288,408.36 14.81
Limited 63 4,627,979.18 9.41
No Doc 22 2,057,200.23 4.18
Total: 589 49,200,417.05 100.00
--------------------------------------------------------------------------------------------------------------------
</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 45
--------------------------------------------------------------------------------
Collateral Summary
--------------------------------------------------------------------------------
Collateral statistics for the adjustable-rate home equity loans are listed
below as of 5/31/00
<TABLE>
<CAPTION>
Margins
(%) Mortgage % of Pool
Loans Principal Balance ($) Principal Balance
<S> <C> <C> <C>
2.001 - 2.500 1 90,230.55 0.18
3.501 - 4.000 5 486,558.23 0.99
4.001 - 4.500 24 2,468,486.49 5.02
4.501 - 5.000 48 4,072,166.68 8.28
5.001 - 5.500 91 8,058,843.82 16.38
5.501 - 6.000 112 9,977,281.47 20.28
6.001 - 6.500 87 7,715,194.83 15.68
6.501 - 7.000 90 6,991,936.53 14.21
7.001 - 7.500 62 4,464,229.16 9.07
7.501 - 8.000 31 2,161,276.16 4.39
8.001 - 8.500 17 1,484,025.99 3.02
8.501 - 9.000 9 524,918.76 1.07
9.001 - 9.500 10 507,792.83 1.03
9.501 - 10.000 2 197,475.55 0.40
Total: 589 49,200,417.05 100.00
<CAPTION>
Periodic Cap
(%) Mortgage % of Pool
Loans Principal Balance ($) Principal Balance
<S> <C> <C> <C>
1 589 49,200,417.05 100.00
Total: 589 49,200,417.05 100.00
---------------------------------------------------------------------------------------------------------------------
</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 46
--------------------------------------------------------------------------------
Collateral Summary
--------------------------------------------------------------------------------
Collateral statistics for the adjustable-rate home equity loans are listed
below as of 5/31/00
<TABLE>
<CAPTION>
First Periodic Cap
(%) Mortgage % of Pool
Loans Principal Balance ($) Principal Balance
<S> <C> <C> <C>
2 2 105,266.78 0.21
3 587 49,095,150.27 99.79
Total: 589 49,200,417.05 100.00
Life Cap
(%) Mortgage % of Pool
Loans Principal Balance ($) Principal Balance
<S> <C> <C> <C>
15.001 - 15.500 7 690,186.52 1.40
15.501 - 16.000 26 2,775,031.72 5.64
16.001 - 16.500 37 3,266,102.20 6.64
16.501 - 17.000 78 7,210,825.47 14.66
17.001 - 17.500 64 5,837,555.26 11.86
17.501 - 18.000 104 9,172,382.66 18.64
18.001 - 18.500 56 4,695,273.06 9.54
18.501 - 19.000 86 6,792,794.80 13.81
19.001 - 19.500 48 3,659,236.46 7.44
19.501 - 20.000 26 1,706,426.73 3.47
20.001 - 20.500 21 1,129,564.75 2.30
20.501 - 21.000 14 933,267.63 1.90
21.001 - 21.500 9 438,000.46 0.89
21.501 - 22.000 8 530,481.36 1.08
22.001 (greater than or equal to) 5 363,287.97 0.74
Total: 589 49,200,417.05 100.00
--------------------------------------------------------------------------------------------------------------------
</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 47
--------------------------------------------------------------------------------
Collateral Summary
--------------------------------------------------------------------------------
Collateral statistics for the adjustable-rate home equity loans are listed
below as of 5/31/00
<TABLE>
<CAPTION>
Floor
(%) Mortgage % of Pool
Loans Principal Balance ($) Principal Balance
<S> <C> <C> <C>
8.001 - 8.500 7 690,186.52 1.40
8.501 - 9.000 24 2,413,486.83 4.91
9.001 - 9.500 36 3,194,193.17 6.49
9.501 - 10.000 79 7,532,863.43 15.31
10.001 - 10.500 65 5,909,464.29 12.01
10.501 - 11.000 105 9,211,889.59 18.72
11.001 - 11.500 55 4,597,327.70 9.34
11.501 - 12.000 87 6,844,779.72 13.91
12.001 - 12.500 49 3,757,181.82 7.64
12.501 - 13.000 25 1,654,441.81 3.36
13.001 - 13.500 21 1,129,564.75 2.30
13.501 - 14.000 14 933,267.63 1.90
14.001 - 14.500 9 438,000.46 0.89
14.501 - 15.000 8 530,481.36 1.08
15.001 - 15.500 5 363,287.97 0.74
Total: 589 49,200,417.05 100.00
Next Rate Adjustment
<CAPTION>
(%) Mortgage % of Pool
Loans Principal Balance ($) Principal Balance
<S> <C> <C> <C>
2002-02 3 347,082.96 0.71
2002-03 5 395,257.74 0.80
2002-04 2 319,676.72 0.65
2002-05 3 209,800.00 0.43
2003-02 4 432,190.24 0.88
2003-03 148 11,844,426.30 24.07
2003-04 249 21,675,843.09 44.06
2003-05 175 13,976,140.00 28.41
Total: 589 49,200,417.05 100.00
--------------------------------------------------------------------------------------------------------------------
</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).
