<PAGE>
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
-----
FORM 8-K
CURRENT REPORT
PURSUANT TO SECTION 13 OR 15 (d)
OF THE SECURITIES EXCHANGE ACT OF 1934
Date of Report (date of earliest event reported) September 25, 1998
Delta Funding Corporation
(Exact name of registrant as specified in its charter)
New York 333-51545 11-2609517
(State or other jurisdiction (Commission (IRS Employer
of incorporation) File Number) ID Number)
1000 Woodbury Road, Woodbury, New York 11797
(Address of principal executive offices) (Zip Code)
Registrant's Telephone Number,
including area code: (516) 364-8500
N/A
(Former name or former address, if changed since last report)
<PAGE>
Item 5. Other Events
Filing of Computational Materials and Consent of Independent Accountants.
This Current Report on Form 8-K is being filed to file a
copy of the Computational Materials (as defined below) prepared by Lehman
Brothers Inc., as an underwriter, in connection with the issuance by Delta
Funding Home Equity Loan Trust 1998-3 of Home Equity Loan Asset-Backed
Certificates, Series 1998-3. The term "Computational Materials" shall have the
meaning given in the No-Action Letter of May 20, 1994 issued by the Securities
and Exchange Commission (the "SEC") to Kidder, Peabody Acceptance Corporation
I, Kidder, Peabody & Co. Incorporated and Kidder Structured Asset Corporation,
as made applicable to other issuers and underwriters by the Commission in
response to the request of the Public Securities Association dated May 24,
1994, and the supplemented in the No-Action Letter of February 17, 1995 issued
by the SEC to the Public Securities Association.
Also included for filing as Exhibit 23.1 attached hereto is
the Consent of PricewaterhouseCoopers LLP, independent accountants for MBIA
Insurance Corporation.
Item 7. Financial Statements, Pro Forma Financial Information and
Exhibits.
(a) Not applicable.
(b) Not applicable.
(c) Exhibits:
8.1 Opinion of Stroock & Stroock & Lavan LLP regarding certain tax
matters.
23.1 Consent of PricewaterhouseCoopers LLP
23.2 Consent of Stroock & Stroock & Lavan (included in Exhibit 8.1)
99.1 Computational Materials.
2
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934,
the registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
DELTA FUNDING CORPORATION
By: /s/ Richard Blass
--------------------------
Name: Richard Blass
Title: Senior Vice President
Dated: September 25, 1998
3
<PAGE>
EXHIBIT INDEX
Exhibit Page
- ------- ----
8.1 Opinion of Stroock & Stroock & Lavan LLP regarding
certain tax matters.
23.1 Consent of PricewaterhouseCoopers LLP
99.1 Computational Materials.
<PAGE>
EXHIBIT 8.1
Stroock & Stroock & Lavan LLP
180 Maiden Lane
New York, New York 10038-4982
September 25, 1998
Delta Funding Corporation
1000 Woodbury Road
Woodbury, New York 11797
Re: Delta Funding Corporation
Registration Statement on Form S-3
(No. 333-51545)
Ladies and Gentlemen:
We have acted as counsel for Delta Funding Corporation ("Delta") in connection
with the issuance of $475,000,000 aggregate principal amount of Home Equity
Loan Asset-Backed Certificates, Series 1998-3 (the "Certificates"). A
Registration Statement on Form S-3 relating to the Certificates (No.
333-51545) (the "Registration Statement") has been filed with the Securities
and Exchange Commission under the Securities Act of 1933, as amended (the
"Securities Act"), and was declared effective on June 8, 1998. As set forth in
the Prospectus dated September 24, 1998 and the Prospectus Supplement dated
September 24, 1998, the Certificates will be issued by a trust established by
Delta pursuant to the provisions of a Pooling and Servicing Agreement dated as
of August 31, 1998 (the "Pooling and Servicing Agreement") between Delta, as
Seller and Servicer, and Bankers Trust Company of California, N.A., as
Trustee.
We have examined a form of the Pooling and Servicing Agreement, a form of the
Certificates, and a form of the Prospectus and Prospectus Supplement referred
to above. We also have examined such other documents, papers, statutes and
authorities as we have deemed necessary to form the basis for the opinions
hereinafter expressed. In our examination of such material, we have assumed
the genuineness of all signatures, the authenticity of all documents submitted
to us as originals and the conformity to original documents of copies of
documents submitted to us.
On the basis of the foregoing, we are of the opinion that the information in
the Prospectus Supplement under the caption "Federal Income Tax
Considerations," and in the Prospectus under the caption "Federal Income Tax
Considerations," to the extent that it constitutes matters of law or legal
conclusions, is correct in all material respects.
<PAGE>
This opinion is based on current provisions of the Internal Revenue Code of
1986, as amended, the Treasury regulations promulgated thereunder, and
judicial and administrative interpretations thereof.
Except as provided below, this opinion is solely for the benefit of the
addressee hereof and may not be relied upon in any manner by any other person
or entity.
We hereby consent to the filing of this opinion as an exhibit to the
Registration Statement, to the references to us in the Prospectus Supplement,
and to the filing of this opinion as an exhibit to an application made by or
on behalf of Delta or any dealer in connection with the registration of the
Certificates under the securities or blue sky laws of any state or
jurisdiction. In giving such permission, we do not admit hereby that we come
within the category of persons whose consent is required under Section 7 of
the Securities Act or the General Rules and Regulations of the Securities and
Exchange Commission thereunder.
Very truly yours,
/s/ Stroock & Stroock & Lavan LLP
STROOCK & STROOCK & LAVAN LLP
<PAGE>
EXHIBIT 23.1
CONSENT OF INDEPENDENT ACCOUNTANTS
We consent to the incorporation by reference in the Prospectus
Supplement of Delta Funding Corporation relating to Delta Funding Home Equity
Loan Trust 1998-3, of our report dated February 3, 1998, on our audits of the
consolidated financial statements of MBIA Insurance Corporation and
Subsidiaries as of December 31, 1997 and 1996 and for each of the three years
in the period ended December 31, 1997. We also consent to the reference to our
firm under the caption "Experts".
/s/ PricewaterhouseCoopers LLP
------------------------------
PricewaterhouseCoopers LLP
September 25, 1998
New York, New York
<PAGE>
LEHMAN BROTHERS
DERIVED INFORMATION
$475,000,000 (Approximate)
Delta Funding Home Equity Loan Trust, Series 1998-3
Delta Funding Corporation
(Seller and Servicer)
- -------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
1
LEHMAN BROTHERS
Securities Offered:
To Maturity:
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
Est. Expected
Estimated Principal Expected Legal Ratings
Expected Class Loan WAL/MDUR Pmt. Win. Final Final (S&P/
Securities Size Size (%) Group Benchmark (yrs) (mos) Maturity Maturity Moody's)
- -------------- ------------ ---------- -------- ------------ ------------- ----------- ---------- ----------- --------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-1F (1) $145,872,000 32.780% F Curve 0.85/0.80 1-18 3/15/00 1/15/15 AAA/Aaa
Class A-2F (1) $94,886,000 21.323% F Curve 2.00/1.83 18-32 5/15/01 2/15/22 AAA/Aaa
Class A-3F (1) $58,921,000 13.241% F Curve 3.10/2.74 32-45 6/15/02 2/15/25 AAA/Aaa
Class A-4F (1) $68,805,000 15.462% F Curve 4.87/4.07 45-81 6/15/05 9/15/27 AAA/Aaa
Class A-5F (1) $32,016,000 7.195% F Curve 9.92/7.04 81-177 6/15/13 12/15/30 AAA/Aaa
Class A-6F (1) $44,500,000 10.000% F Curve 6.23/5.00 37-174 3/15/13 12/15/30 AAA/Aaa
Class A-1A (2) $30,000,000 100.000% A 1 mo LIBOR 2.50 1-161 2/15/12 11/15/30 AAA/Aaa
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
To 10% Clean-up Call:
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
Est. Expected
Estimated Principal Expected Legal Ratings
Expected Class Size Loan WAL/MDUR Pmt. Win Final Final (S&P/
Securities Size (%) Group Benchmark (yrs) (mos) Maturity Maturity Moody's)
- ---------------- ------------ ---------- -------- ------------ ------------- ----------- ---------- ----------- --------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-4F (1) $68,805,000 15.462% F Curve 4.87/4.07 45-81 6/15/05 9/15/27 AAA/Aaa
Class A-5F (1) $32,016,000 7.195% F Curve 7.25/5.61 81-88 1/15/06 12/15/30 AAA/Aaa
Class A-6F (1) $44,500,000 10.000% F Curve 5.97/4.85 37-88 1/15/06 12/15/30 AAA/Aaa
Class A-1A (2) $30,000,000 100.000% A 1 mo LIBOR 2.38 1-88 1/15/06 11/15/30 AAA/Aaa
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
Class IO-F:
- -------------------------------------------------------------------------------
There will be a AAAr/Aaa rated interest-only class (Class IO-F) off the Group F
(Fixed Rate) Pool with a coupon of 6.0% for the first 36 months and 0.0% for
months 37 and beyond. The notional balance of Class IO-F is equal to the lesser
of (i) the Group F Pool Balance and (ii) the following schedule:
Month Notional Balance
1-12 $113,104,000
13-18 92,708,000
19-30 57,749,000
31-36 38,938,000
37+ 0
- -------------------------------------------------------------------------------
(1) Prepayments for the Group F loans are sized at 135% of the Prepayment
Assumption. A 100% Prepayment Assumption assumes that prepayments start at
4% CPR in month one, increase by approximately 1.455% each month to 20% CPR
by month 12, and remain at 20% CPR thereafter.
(2) Prepayments for the Group A loans are sized at 30% CPR.
- -------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
2
LEHMAN BROTHERS
Sensitivity Analysis
Projected Performance
Under Varying Prepayment Assumptions
To Maturity:
<TABLE>
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
CPR (Group A Loans) 10.0% 15.0% 20.0% 30.0% 35.0% 40.0% 50.0%
PPC (Group F Loans) 50.0% 75.0% 100.0% 135.0% 175.0% 200.0% 250.0%
Class A-1F
Avg. Life (yrs.) 1.67 1.25 1.03 0.85 0.72 0.66 0.57
Mod Duration (yrs) 1.52 1.16 0.97 0.80 0.68 0.63 0.55
Window (begin-end) (mths) 1-41 1-29 1-23 1-18 1-15 1-14 1-12
Expected Final Maturity 2/15/02 2/15/01 8/15/00 3/15/00 12/15/99 11/15/99 9/15/99
Yield @ 100.00000% 6.112 6.063 6.021 5.970 5.917 5.887 5.829
Class A-2F
Avg. Life (yrs.) 4.93 3.41 2.61 2.00 1.61 1.44 1.20
Mod Duration (yrs) 4.13 2.98 2.34 1.83 1.49 1.34 1.13
Window (begin-end) (mths) 41-82 29-56 23-42 18-32 15-25 14-22 12-18
Expected Final Maturity 7/15/05 5/15/03 3/15/02 5/15/01 10/15/00 7/15/00 3/15/00
Yield @ 100.00000% 6.029 6.008 5.986 5.958 5.929 5.912 5.878
Class A-3F
Avg. Life (yrs.) 8.97 5.70 4.24 3.10 2.37 2.08 1.68
Mod Duration (yrs) 6.71 4.68 3.63 2.74 2.15 1.89 1.56
Window (begin-end) (mths) 82-135 56-85 42-62 32-45 25-34 22-29 18-24
Expected Final Maturity 12/15/09 10/15/05 11/15/03 6/15/02 7/15/01 2/15/01 9/15/00
Yield @ 100.00000% 6.061 6.046 6.032 6.011 5.987 5.973 5.946
Class A-4F
Avg. Life (yrs.) 14.38 10.25 7.31 4.87 3.55 3.01 2.31
Mod Duration (yrs) 9.20 7.31 5.65 4.07 3.09 2.66 2.08
Window (begin-end) (mths) 135-222 85-167 62-128 45-81 34-56 29-47 24-35
Expected Final Maturity 3/15/17 8/15/12 5/15/09 6/15/05 5/15/03 8/15/02 8/15/01
Yield @ 100.00000% 6.254 6.248 6.238 6.221 6.203 6.190 6.165
- -----------------------------------------------------------------------------------------------------------------------
</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 complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
3
LEHMAN BROTHERS
Sensitivity Analysis
Projected Performance
Under Varying Prepayment Assumptions
To Maturity (Cont'd):
<TABLE>
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
CPR (Group A Loans) 10.0% 15.0% 20.0% 30.0% 35.0% 40.0% 50.0%
PPC (Group F Loans) 50.0% 75.0% 100.0% 135.0% 175.0% 200.0% 250.0%
Class A-5F
Avg. Life (yrs.) 22.32 17.16 13.54 9.92 6.47 4.91 3.30
Mod Duration (yrs) 11.44 10.00 8.70 7.04 5.06 4.05 2.88
Window (begin-end) (mths) 222-336 167-288 128-232 81-177 56-135 47-116 35-49
Expected Final Maturity 9/15/26 9/15/22 1/15/18 6/15/13 12/15/09 5/15/08 10/15/02
Yield @ 100.00000% 6.515 6.512 6.509 6.502 6.488 6.476 6.450
Class A-6F (NAS)
Avg. Life (yrs.) 8.21 7.35 6.79 6.23 5.78 5.54 4.63
Mod Duration (yrs) 6.19 5.70 5.36 5.00 4.70 4.54 3.91
Window (begin-end) (mths) 37-331 37-281 37-227 37-174 37-133 37-114 37-88
Expected Final Maturity 4/15/26 2/15/22 8/15/17 3/15/13 10/15/09 3/15/08 1/15/06
Yield @ 100.00000% 5.977 5.974 5.971 5.968 5.965 5.963 5.955
Class A-1A
Avg. Life (yrs.) 7.52 5.25 3.92 2.50 2.08 1.76 1.29
Window (begin-end) (mths) 1-343 1-301 1-244 1-161 1-134 1-114 1-84
Expected Final Maturity 4/15/27 10/15/23 1/15/19 2/15/12 11/15/09 3/15/08 9/15/05
- ----------------------------------- ---------- ----------- ----------- ----------- ------------ ----------- -----------
</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 complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
4
LEHMAN BROTHERS
Sensitivity Analysis
Projected Performance
Under Varying Prepayment Assumptions
To 10% Cleanup Call:
<TABLE>
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
CPR (Group A Loans) 10.0% 15.0% 20.0% 30.0% 35.0% 40.0% 50.0%
PPC (Group F Loans) 50.0% 75.0% 100.0% 135.0% 175.0% 200.0% 250.0%
Class A-4F
Avg. Life (yrs.) 14.31 10.19 7.27 4.87 3.55 3.01 2.31
Mod Duration (yrs) 9.17 7.29 5.63 4.07 3.09 2.66 2.08
Window (begin-end) (mths) 135-207 85-154 62-119 45-81 34-56 29-47 24-35
Expected Final Maturity 12/15/15 7/15/11 8/15/08 6/15/05 5/15/03 8/15/02 8/15/01
Yield @ 100.00000% 6.254 6.248 6.238 6.221 6.203 6.190 6.165
Class A-5F
Avg. Life (yrs.) 17.21 12.79 9.88 7.25 5.30 4.49 3.26
Mod Duration (yrs) 10.09 8.45 7.09 5.61 4.35 3.77 2.85
Window (begin-end) (mths) 207-207 154-154 119-119 81-88 56-67 47-58 35-44
Expected Final Maturity 12/15/15 7/15/11 8/15/08 1/15/06 4/15/04 7/15/03 5/15/02
Yield @ 100.00000% 6.512 6.508 6.502 6.493 6.480 6.471 6.449
Class A-6F (NAS)
Avg. Life (yrs.) 8.20 7.32 6.73 5.97 4.98 4.47 3.57
Mod Duration (yrs) 6.19 5.69 5.33 4.85 4.18 3.80 3.13
Window (begin-end) (mths) 37-207 37-154 37-119 37-88 37-67 37-58 37-44
Expected Final Maturity 12/15/15 7/15/11 8/15/08 1/15/06 4/15/04 7/15/03 5/15/02
Yield @ 100.00000% 5.977 5.973 5.971 5.966 5.959 5.953 5.940
Class A-1A
Avg. Life (yrs.) 6.97 4.82 3.61 2.38 1.94 1.65 1.22
Window (begin-end) (mths) 1-207 1-154 1-119 1-88 1-67 1-58 1-44
Expected Final Maturity 12/15/15 7/15/11 8/15/08 1/15/06 4/15/04 7/15/03 5/15/02
- -----------------------------------------------------------------------------------------------------------------------
</TABLE>
- -------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
5
LEHMAN BROTHERS
Available Funds
The following table lists the Available Funds Cap on the Group A loans each
month assuming a constant 6-month LIBOR of 5.406% and a prepayment rate equal to
30% CPR.
--------------------------------------------------------
Available Available
Funds Funds
Month Cap (%) Month Cap (%)
--------------------------------------------------------
1 9.678 31 10.451
2 9.678 32 10.451
3 9.678 33 10.451
4 9.746 34 10.451
5 9.746 35 10.574
6 9.811 36 10.574
7 9.875 37 10.634
8 9.875 38 10.634
9 9.875 39 10.634
10 9.905 40 10.634
11 9.905 41 10.634
12 9.929 42 10.634
13 9.455 43 10.634
14 9.455 44 10.634
15 9.455 45 10.634
16 9.455 46 10.634
17 9.455 47 10.634
18 9.455 48 10.634
19 9.455 49 10.634
20 9.533 50 10.634
21 9.533 51 10.634
22 9.654 52 10.634
23 9.880 53 10.634
24 10.058 54 10.634
25 10.451 55 10.634
26 10.451 56 10.634
27 10.451 57 10.634
28 10.451 58 10.634
29 10.451 59 10.634
30 10.451 60 10.634
--------------------------------------------------------
- -------------------------------------------------------------------------------
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 complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
6
LEHMAN BROTHERS
Collateral Summary (Cont'd)
Collateral statistics for the Initial Adjustable Rate Mortgage Loans are listed
below as of the Cut-Off Date. The Initial Adjustable Rate Mortgage Loans
represent approximately 6.80% of the total Cut-Off Date pool by principal
balance.
- -------------------------------------------------------------------------------
Initial Adjustable Rate Loans
- -------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Number of Loans 199
Total Outstanding Principal Balance $20,209,995.09
Average Principal Balance $101,557.76 $2,030.79 - $362,000.00
Weighted Average Start Rate 10.295% 7.60% - 14.25%
Weighted Average Margin 6.346% 3.80% - 9.75%
Weighted Average Original Term (mos.) 359 180 - 360
Weighted Average Remaining Term (mos.) 358 180 - 360
Weighted Average Life Cap 17.076% 14.60% - 20.45%
Weighted Average First Period Rate Cap 2.585% 1.00% - 3.00%
Weighted Average Periodic Rate Cap 1.028% 1.00% - 3.00%
Product Type 6 month LIBOR 18.61%
2/28 (6 month LIBOR) 68.99%
3/27 (6 month LIBOR) 12.40%
Weighted Average LTV 78.32% 30.00% - 90.00%
Weighted Average Credit Score * 611 481 - 738
Lien Position (First/Second) 100.00% / 0.00%
Property Type
Single Family 85.87%
Two to Four Family 6.03%
Condo 8.09%
Occupancy Status
Owner Occupied 94.46%
Not Owner Occupied 5.54%
Document Type
Full Documentation 63.53%
Alternate Documentation 17.78%
Limited Documentation 10.50%
No Documentation 8.19%
Geographic Distribution
other states account individually for NJ 17.24% NY 8.46%
less than OH 11.08% PA 7.62%
5% of Adjustable Rate Pool balance MA 9.80% NH 6.18%
IL 9.21% GA 5.93%
Credit Grade
A 60.08%
B 21.81%
C 14.55%
D 3.56%
- ----------------------------------------------------------------------------------------------------
</TABLE>
* based on Credit Score available on 81.36% of the Adjustable Rate 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 complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
7
LEHMAN BROTHERS
Collateral Summary (Cont'd)
- --------------------------------------------------------------------------------
Initial Adjustable Rate Loans
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
Next Rate Adjustment % by Principal Wtd. Avg. Wtd. Avg. Periodic Cap Periodic Cap Wtd. Avg.
Balance Loan Rate Margin (1st Reset) (Subs. Reset) Life Cap
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
1998-10 0.32 12.700 8.500 1.000 1.000 18.700
1998-11 2.09 9.640 5.740 1.000 1.000 15.640
1998-12 1.76 10.813 6.663 1.000 1.000 17.813
1999-01 5.14 9.243 5.540 1.167 1.000 16.076
1999-02 8.82 10.380 6.288 1.036 1.036 17.059
1999-03 0.48 9.300 7.250 1.000 1.000 15.300
2000-01 0.10 14.250 9.750 3.000 1.000 20.250
2000-03 3.14 9.249 5.890 3.000 1.337 15.848
2000-04 0.55 10.250 7.050 3.000 1.000 17.250
2000-05 1.92 9.699 6.310 3.000 1.000 15.993
2000-06 10.78 10.290 6.548 2.658 1.000 16.939
2000-07 25.04 10.218 6.151 2.940 1.000 17.041
2000-08 20.26 10.420 6.323 2.985 1.070 17.290
2000-09 7.20 10.578 6.573 3.000 1.000 17.330
2001-06 1.16 11.314 6.986 3.000 1.000 18.314
2001-07 6.12 10.552 6.720 3.000 1.000 17.552
2001-08 5.11 10.992 7.032 3.000 1.000 17.992
Weighted Average 10.295% 6.346% 2.585% 1.028% 17.076%
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
Initial Adjustable Rate Loans
<TABLE>
<CAPTION>
- ---------------------------- ------------------- -------------- ------------- ---------------- ---------------- --------------
Product Type % by Principal Wtd. Avg. Wtd. Avg. Periodic Cap Periodic Cap Wtd. Avg.
Balance Loan Rate Margin (1st Reset) (Subs. Reset) Life Cap
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
2/28 6 Month Libor 68.99 10.274 6.312 2.920 1.036 17.051
3/27 6 Month Libor 12.40 10.805 6.874 3.000 1.000 17.805
6 Month Libor 18.61 10.036 6.119 1.063 1.017 16.682
Weighted Average 10.295% 6.346% 2.585% 1.028 17.076%
- ------------------------------------------------------------------------------------------------------------------------------
</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 complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
8
LEHMAN BROTHERS
Collateral Summary (Cont'd)
Collateral statistics for the Initial Fixed Rate Mortgage Loans are listed below
as of the Cut-Off Date. The Initial Fixed Rate Mortgage Loans represent
approximately 93.20% of the total Cut-Off Date pool by principal balance.
------------------------------------------------------------------------------
Initial Fixed Rate Loans
------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
Number of Loans 3,342
Total Outstanding Principal Balance $276,848,442.28
Balloon (% of Total) 4.73%
Level Pay (% of Total) 95.27%
Average Principal Balance $82,839.15 $5,400.00 - $227,488.93
Weighted Average Loan Rate 10.103% 7.25% - 17.55%
Weighted Average Original Term 314 60 - 360
(mos.)
Weighted Average Remaining Term 313 58 - 360
(mos.)
Weighted Average CLTV 74.20% 8.50% - 95.00%
Weighted Average Credit Score * 621.4 431 - 815
Lien Position (First/Second) 96.44% / 3.56%
Property Type
Single Family 72.32%
Two to Four Family 18.37%
Five to Eight Family 3.41%
Mixed Use 3.18%
Condo 2.40%
Other 0.31%
Occupancy Status
Owner Occupied 88.72%
Not Owner Occupied 11.28%
Document Type
Full Documentation 74.71%
Alternate Documentation 15.16%
Limited Documentation 8.21%
No Documentation 1.91%
Geographic Distribution
other states account NY 45.02% NJ 7.10%
individually for less than 5% of OH 7.65% PA 6.18%
Fixed Rate pool balance
Credit Grade
A 60.48%
B 23.18%
C 13.38%
D 2.96%
---------------------------------------------------------------------------
</TABLE>
* based on Credit Score available on 73.17% of the Fixed Rate 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 complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
9
LEHMAN BROTHERS
Collateral Summary (Cont'd)
Detailed Collateral Summary (Adjustable Rate Loans)
<TABLE>
<CAPTION>
Current Balance ($) No. of Loans Total Current Balance ($) % Current Bal.
- ------------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
0.01 - 25,000.00 4 65,963.20 0.33
25,000.01 - 50,000.00 32 1,301,270.43 6.44
50,000.01 - 75,000.00 35 2,213,367.22 10.95
75,000.01 - 100,000.00 51 4,480,245.90 22.17
100,000.01 - 125,000.00 26 2,942,677.53 14.56
125,000.01 - 150,000.00 21 2,864,532.80 14.17
150,000.01 - 175,000.00 11 1,755,109.56 8.68
175,000.01 - 200,000.00 5 949,002.32 4.70
200,000.01 - 225,000.00 4 868,946.95 4.30
225,000.01 - 250,000.00 4 968,869.88 4.79
250,000.01 - 275,000.00 2 529,182.33 2.62
275,000.01 - 300,000.00 1 285,000.00 1.41
300,000.01 - 325,000.00 2 623,826.97 3.09
350,000.01 - 375,000.00 1 362,000.00 1.79
**Total** 199 20,209,995.09 100.00%
<CAPTION>
Original Balance ($) No. of Loans Total Current Balance ($) % Current Bal.
- -------------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
0.01 - 25,000.00 3 63,932.41 0.32
25,000.01 - 50,000.00 32 1,301,270.43 6.44
50,000.01 - 75,000.00 35 2,213,367.22 10.95
75,000.01 - 100,000.00 51 4,480,245.90 22.17
100,000.01 - 125,000.00 26 2,942,677.53 14.56
125,000.01 - 150,000.00 22 2,866,563.59 14.18
150,000.01 - 175,000.00 11 1,755,109.56 8.68
175,000.01 - 200,000.00 5 949,002.32 4.70
200,000.01 - 225,000.00 4 868,946.95 4.30
225,000.01 - 250,000.00 4 968,869.88 4.79
250,000.01 - 275,000.00 2 529,182.33 2.62
275,000.01 - 300,000.00 1 285,000.00 1.41
300,000.01 - 325,000.00 2 623,826.97 3.09
350,000.01 - 375,000.00 1 362,000.00 1.79
**Total** 199 20,209,995.09 100.00%
</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 complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
10
LEHMAN BROTHERS
Collateral Summary (Cont'd)
Detailed Collateral Summary (Adjustable Rate Loans)
<TABLE>
<CAPTION>
Gross Coupon (%) No. of Loans Total Current Balance ($) % Current Bal.
- ---------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
7.501 - 8.000 3 523,200.00 2.59
8.001 - 8.500 4 340,719.93 1.69
8.501 - 9.000 18 2,351,910.72 11.64
9.001 - 9.500 18 1,530,521.11 7.57
9.501 - 10.000 38 4,400,748.24 21.78
10.001 - 10.500 22 2,183,702.83 10.81
10.501 - 11.000 49 5,114,993.78 25.31
11.001 - 11.500 15 980,977.10 4.85
11.501 - 12.000 12 1,142,391.62 5.65
12.001 - 12.500 9 591,354.09 2.93
12.501 - 13.000 8 863,435.81 4.27
13.001 - 13.500 2 165,907.62 0.82
13.501 - 14.000 0 0.00 0.00
14.001 - 14.500 1 20,132.24 0.10
**Total** 199 20,209,995.09 100.00%
<CAPTION>
Margin (%) No. of Loans Total Current Balance ($) % Current Bal.
- ---------- ------------ ------------------------- --------------
<S> <C> <C> <C>
3.501 - 4.000 2 147,423.70 0.73
4.001 - 4.500 4 554,083.19 2.74
4.501 - 5.000 13 1,159,334.55 5.74
5.001 - 5.500 25 2,427,216.18 12.01
5.501 - 6.000 27 3,338,913.83 16.52
6.001 - 6.500 34 3,318,681.26 16.42
6.501 - 7.000 48 5,201,220.05 25.74
7.001 - 7.500 25 2,063,647.79 10.21
7.501 - 8.000 10 852,421.95 4.22
8.001 - 8.500 7 648,082.95 3.21
8.501 - 9.000 1 285,000.00 1.41
9.001 - 9.500 2 193,837.40 0.96
9.501 - 10.000 1 20,132.24 0.10
**Total** 199 20,209,995.09 100.00%
</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 complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
11
LEHMAN BROTHERS
Collateral Summary (Cont'd)
Detailed Collateral Summary (Adjustable Rate Loans)
<TABLE>
<CAPTION>
First Period Rate Cap (%) No. of Loans Total Current Balance ($) % Current Bal.
- ------------------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
1 32 3,507,457.56 17.36
1.5 1 127,197.72 0.63
2 7 1,189,372.09 5.89
3 159 15,385,967.72 76.13
**Total** 199 20,209,995.09 100.00%
<CAPTION>
Periodic Rate Cap (%) No. of Loans Total Current Balance ($) % Current Bal.
- --------------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
1 196 19,831,846.04 98.13
1.5 1 127,197.72 0.63
3 2 250,951.33 1.24
**Total** 199 20,209,995.09 100.00%
</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 complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
12
LEHMAN BROTHERS
Collateral Summary (Cont'd)
Detailed Collateral Summary (Adjustable Rate Loans)
<TABLE>
<CAPTION>
Floor (%) No. of Loans Total Current Balance ($) % Current Bal.
- --------- ------------ ------------------------- --------------
<S> <C> <C> <C>
7.501 - 8.000 4 643,130.95 3.18
8.001 - 8.500 5 342,750.72 1.70
8.501 - 9.000 19 2,653,163.80 13.13
9.001 - 9.500 17 1,528,490.32 7.56
9.501 - 10.000 37 4,039,564.21 19.99
10.001 - 10.500 22 2,183,702.83 10.81
10.501 - 11.000 48 5,054,993.78 25.01
11.001 - 11.500 15 980,977.10 4.85
11.501 - 12.000 12 1,142,391.62 5.65
12.001 - 12.500 9 591,354.09 2.93
12.501 - 13.000 8 863,435.81 4.27
13.001 - 13.500 2 165,907.62 0.82
13.501 - 14.000 0 0.00 0.00
14.001 - 14.500 1 20,132.24 0.10
**Total** 199 20,209,995.09 100.00%
<CAPTION>
Maximum Rate (%) No. of Loans Total Current Balance ($) % Current Bal.
- ---------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
14.501 - 15.000 8 1,415,562.43 7.00
15.001 - 15.500 6 558,147.11 2.76
15.501 - 16.000 19 2,514,566.28 12.44
16.001 - 16.500 25 2,234,610.36 11.06
16.501 - 17.000 36 3,814,661.38 18.88
17.001 - 17.500 16 1,534,240.96 7.59
17.501 - 18.000 48 4,940,919.91 24.45
18.001 - 18.500 13 984,405.27 4.87
18.501 - 19.000 11 854,959.59 4.23
19.001 - 19.500 8 417,514.09 2.07
19.501 - 20.000 6 754,367.85 3.73
20.001 - 20.500 3 186,039.86 0.92
**Total** 199 20,209,995.09 100.00%
</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 complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
13
LEHMAN BROTHERS
Collateral Summary (Cont'd)
Detailed Collateral Summary (Adjustable Rate Loans)
<TABLE>
<CAPTION>
Original Term (months) No. of Loans Total Current Balance ($) % Current Bal.
- ---------------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
180 1 100,000.00 0.49
240 1 86,829.48 0.43
360 197 20,023,165.61 99.08
**Total** 199 20,209,995.09 100.00%
<CAPTION>
Remaining Term (mths) No. of Loans Total Current Balance ($) % Current Bal.
- --------------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
121 - 180 1 100,000.00 0.49
181 - 240 1 86,829.48 0.43
301 - 360 197 20,023,165.61 99.08
**Total** 199 20,209,995.09 100.00%
<CAPTION>
Loan Age (months) No. of Loans Total Current Balance ($) % Current Bal.
- ----------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
0 84 8,383,871.06 41.48
1 - 3 106 10,867,860.96 53.77
4 - 7 9 958,263.07 4.74
**Total** 199 20,209,995.09 100.00%
<CAPTION>
Lien Position No. of Loans Total Current Balance ($) % Current Bal.
- ------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
1 199 20,209,995.09 100.00
**Total** 199 20,209,995.09 100.00%
</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 complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
14
LEHMAN BROTHERS
Collateral Summary (Cont'd)
Detailed Collateral Summary (Adjustable Rate Loans)
<TABLE>
<CAPTION>
Original Loan-to-Value No. of Loans Total Current Balance ($) % Current Bal.
- ---------------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
25.001 - 30.000 1 26,961.82 0.13
30.001 - 35.000 1 93,791.86 0.46
35.001 - 40.000 3 209,500.00 1.04
40.001 - 45.000 0 0.00 0.00
45.001 - 50.000 3 246,350.00 1.22
50.001 - 55.000 5 396,485.91 1.96
55.001 - 60.000 6 511,702.75 2.53
60.001 - 65.000 11 841,650.04 4.16
65.001 - 70.000 24 1,830,087.85 9.06
70.001 - 75.000 25 2,465,409.21 12.20
75.001 - 80.000 47 5,702,822.63 28.22
80.001 - 85.000 35 3,397,179.98 16.81
85.001 - 90.000 38 4,488,053.04 22.21
**Total** 199 20,209,995.09 100.00%
<CAPTION>
Months Delinquent No. of Loans Total Current Balance ($) % Current Bal.
- ----------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
0 197 20,149,875.64 99.70
1 2 60,119.45 0.30
**Total** 199 20,209,995.09 100.00%
<CAPTION>
Occupancy Status No. of Loans Total Current Balance ($) % Current Bal.
- ---------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
Owner Occupied 183 19,090,641.80 94.46
Not Owner Occupied 16 1,119,353.29 5.54
**Total** 199 20,209,995.09 100.00%
</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 complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
15
LEHMAN BROTHERS
Collateral Summary (Cont'd)
Detailed Collateral Summary (Adjustable Rate Loans)
<TABLE>
<CAPTION>
Credit Grade No. of Loans Total Current Balance ($) % Current Bal.
- ------------ ------------ ------------------------- --------------
<S> <C> <C> <C>
A 106 12,141,973.91 60.08
B 43 4,408,317.66 21.81
C 39 2,940,741.97 14.55
D 11 718,961.55 3.56
**Total** 199 20,209,995.09 100.00%
<CAPTION>
Credit Score No. of Loans Total Current Balance ($) % Current Bal.
- ------------ ------------ ------------------------- --------------
<S> <C> <C> <C>
N/A 39 3,767,079.42 18.64
1 - 560 40 3,580,414.16 17.72
561 - 580 17 1,566,752.78 7.75
581 - 600 22 2,264,414.88 11.20
601 - 620 15 1,963,588.79 9.72
621 - 640 13 1,556,676.74 7.70
641 - 660 18 1,781,041.85 8.81
661 - 680 12 1,102,616.85 5.46
681 - 700 13 1,590,843.49 7.87
701 - 720 7 817,703.45 4.05
Greater/equal to 721 3 218,862.68 1.08
**Total** 199 20,209,995.09 100.00%
<CAPTION>
Property Type No. of Loans Total Current Balance ($) % Current Bal.
- ------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
Single Family 169 17,354,992.46 85.87
Condo 16 1,635,810.23 8.09
2-4 Family 14 1,219,192.40 6.03
**Total** 199 20,209,995.09 100.00%
</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 complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
16
LEHMAN BROTHERS
Collateral Summary (Cont'd)
Detailed Collateral Summary (Adjustable Rate Loans)
<TABLE>
<CAPTION>
Loan Documentation No. of Loans Total Current Balance ($) % Current Bal.
------------------ ------------ ------------------------- --------------
<S> <C> <C> <C>
Full 129 12,839,738.75 63.53
Alternate 33 3,592,358.96 17.78
Limited 25 2,122,471.03 10.50
No Doc 12 1,655,426.35 8.19
**Total** 199 20,209,995.09 100.00%
<CAPTION>
State No. of Loans Total Current Balance ($) % Current Bal.
----- ------------ ------------------------- --------------
<S> <C> <C> <C>
AZ 1 161,237.03 0.80
CO 1 97,400.00 0.48
CT 4 358,578.62 1.77
DE 1 87,028.53 0.43
FL 11 1,001,522.57 4.96
GA 13 1,198,526.93 5.93
IL 19 1,860,878.59 9.21
IN 2 187,159.94 0.93
KY 5 520,957.00 2.58
LA 1 110,590.14 0.55
MA 14 1,980,419.94 9.80
MD 3 248,276.87 1.23
ME 1 91,583.37 0.45
MI 14 977,346.85 4.84
MO 1 116,800.00 0.58
MS 2 88,404.00 0.44
NC 3 239,361.84 1.18
NH 12 1,248,191.00 6.18
NJ 25 3,484,512.00 17.24
NY 14 1,710,674.84 8.46
OH 30 2,239,237.45 11.08
PA 17 1,539,648.49 7.62
RI 1 129,625.00 0.64
TN 1 64,510.89 0.32
VA 2 212,530.47 1.05
WA 1 254,992.73 1.26
**Total** 199 20,209,995.09 100.00%
</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 complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
17
LEHMAN BROTHERS
Collateral Summary (Cont'd)
Detailed Collateral Summary (Fixed Rate Loans)
<TABLE>
<CAPTION>
Current Balance ($) No. of Loans Total Current Balance ($) % Current Bal.
- ------------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
0.01 - 25,000.00 233 4,643,723.55 1.68
25,000.01 - 50,000.00 770 29,836,515.03 10.78
50,000.01 - 75,000.00 769 48,145,778.69 17.39
75,000.01 - 100,000.00 508 44,317,537.49 16.01
100,000.01 - 125,000.00 410 46,147,700.30 16.67
125,000.01 - 150,000.00 314 43,166,565.05 15.59
150,000.01 - 175,000.00 165 26,709,120.81 9.65
175,000.01 - 200,000.00 114 21,357,526.19 7.71
200,000.01 - 225,000.00 57 12,069,410.64 4.36
225,000.01 - 250,000.00 2 454,564.53 0.16
**Total** 3,342 276,848,442.28 100.00%
</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 complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
18
LEHMAN BROTHERS
Collateral Summary (Cont'd)
Detailed Collateral Summary (Fixed Rate Loans)
<TABLE>
<CAPTION>
Original Balance ($) No. of Loans Total Current Balance ($) % Current Bal.
- -------------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
0.01 - 25,000.00 233 4,643,723.55 1.68
25,000.01 - 50,000.00 769 29,786,635.82 10.76
50,000.01 - 75,000.00 769 48,120,820.19 17.38
75,000.01 - 100,000.00 508 44,292,700.05 16.00
100,000.01 - 125,000.00 410 46,122,855.02 16.66
125,000.01 - 150,000.00 315 43,291,085.48 15.64
150,000.01 - 175,000.00 165 26,709,120.81 9.65
175,000.01 - 200,000.00 114 21,357,526.19 7.71
200,000.01 - 225,000.00 56 11,844,594.44 4.28
225,000.01 - 250,000.00 3 679,380.73 0.25
**Total** 3,342 276,848,442.28 100.00%
</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 complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
19
LEHMAN BROTHERS
Collateral Summary (Cont'd)
Detailed Collateral Summary (Fixed Rate Loans)
<TABLE>
<CAPTION>
Gross Coupon (%) No. of Loans Total Current Balance ($) % Current Bal.
- ---------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
7.001 - 7.500 38 4,317,521.85 1.56
7.501 - 8.000 128 13,172,264.90 4.76
8.001 - 8.500 204 21,198,763.12 7.66
8.501 - 9.000 382 32,958,085.87 11.90
9.001 - 9.500 343 30,729,404.65 11.10
9.501 - 10.000 546 46,023,517.58 16.62
10.001 - 10.500 383 31,185,204.66 11.26
10.501 - 11.000 447 37,049,219.85 13.38
11.001 - 11.500 276 20,752,383.59 7.50
11.501 - 12.000 225 16,414,533.10 5.93
12.001 - 12.500 134 9,376,739.79 3.39
12.501 - 13.000 100 6,760,277.77 2.44
13.001 - 13.500 50 2,834,824.17 1.02
13.501 - 14.000 43 2,465,935.61 0.89
14.001 - 14.500 17 670,829.76 0.24
14.501 - 15.000 16 568,124.05 0.21
15.001 - 15.500 5 153,193.36 0.06
15.501 - 16.000 4 195,139.53 0.07
17.501 - 18.000 1 22,479.07 0.01
**Total** 3,342 276,848,442.28 100.00%
</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 complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
20
LEHMAN BROTHERS
Collateral Summary (Cont'd)
Detailed Collateral Summary (Fixed Rate Loans)
<TABLE>
<CAPTION>
Original Term (months) No. of Loans Total Current Balance ($) % Current Bal.
- ---------------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
60 8 240,359.40 0.09
84 15 663,778.90 0.24
96 4 141,983.55 0.05
108 1 14,913.16 0.01
120 91 4,181,650.06 1.51
132 1 71,454.92 0.03
144 9 677,257.02 0.24
156 1 53,370.97 0.02
168 1 84,774.62 0.03
180 665 43,858,105.23 15.84
204 6 470,816.03 0.17
216 3 404,199.11 0.15
240 325 24,543,770.63 8.87
276 3 224,631.49 0.08
300 47 4,008,190.60 1.45
360 2,162 197,209,186.59 71.23
**Total** 3,342 276,848,442.28 100.00%
<CAPTION>
Remaining Term (mths) No. of Loans Total Current Balance ($) % Current Bal.
- --------------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
1 - 60 8 240,359.40 0.09
61 - 120 111 5,002,325.67 1.81
121 - 180 677 44,744,962.76 16.16
181 - 240 334 25,418,785.77 9.18
241 - 300 50 4,232,822.09 1.53
301 - 360 2,162 197,209,186.59 71.23
**Total** 3,342 276,848,442.28 100.00%
<CAPTION>
Loan Age (months) No. of Loans Total Current Balance ($) % Current Bal.
- ----------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
0 1,288 108,101,480.52 39.05
1 - 3 1,978 163,020,207.07 58.88
4 - 6 64 5,026,023.95 1.82
7 - 12 12 700,730.74 0.25
**Total** 3,342 276,848,442.28 100.00%
</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 complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
21
LEHMAN BROTHERS
Collateral Summary (Cont'd)
Detailed Collateral Summary (Fixed Rate Loans)
<TABLE>
<CAPTION>
Lien Position No. of Loans Total Current Balance ($) % Current Bal.
- ------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
1 3,084 267,003,937.20 96.44
2 258 9,844,505.08 3.56
**Total** 3,342 276,848,442.28 100.00%
<CAPTION>
Original Combined
Loan-to-Value No. of Loans Total Current Balance ($) % Current Bal.
- ----------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
5.001 - 10.000 2 54,000.00 0.02
10.001 - 15.000 12 300,292.88 0.11
15.001 - 20.000 6 137,394.47 0.05
20.001 - 25.000 24 947,765.60 0.34
25.001 - 30.000 31 1,328,363.10 0.48
30.001 - 35.000 44 2,069,060.99 0.75
35.001 - 40.000 61 3,363,567.28 1.21
40.001 - 45.000 65 3,919,156.87 1.42
45.001 - 50.000 103 7,051,382.97 2.55
50.001 - 55.000 110 7,422,707.35 2.68
55.001 - 60.000 177 12,472,494.45 4.51
60.001 - 65.000 247 19,161,044.06 6.92
65.001 - 70.000 425 33,517,956.92 12.11
70.001 - 75.000 428 35,591,740.05 12.86
75.001 - 80.000 777 67,352,148.14 24.33
80.001 - 85.000 446 43,448,920.45 15.69
85.001 - 90.000 380 38,341,696.70 13.85
90.001 - 95.000 4 368,750.00 0.13
**Total** 3,342 276,848,442.28 100.00%
</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 complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
22
LEHMAN BROTHERS
Collateral Summary (Cont'd)
Detailed Collateral Summary (Fixed Rate Loans)
<TABLE>
<CAPTION>
Jr. Mortgage Ratio No. of Loans Total Current Balance ($) % Current Bal.
- ------------------ ------------ ------------------------- --------------
<S> <C> <C> <C>
5.001 - 10.000 2 18,000.00 0.18
10.001 - 15.000 10 105,528.71 1.07
15.001 - 20.000 17 274,531.27 2.79
20.001 - 25.000 31 715,722.21 7.27
25.001 - 30.000 44 1,236,085.16 12.56
30.001 - 35.000 25 859,414.67 8.73
35.001 - 40.000 25 972,903.40 9.88
40.001 - 45.000 25 922,757.09 9.37
45.001 - 50.000 14 755,060.85 7.67
50.001 - 55.000 15 727,297.99 7.39
55.001 - 60.000 6 343,573.95 3.49
60.001 - 65.000 10 632,810.22 6.43
65.001 - 70.000 4 303,163.90 3.08
70.001 - 75.000 8 456,583.12 4.64
75.001 - 80.000 6 406,038.98 4.12
80.001 - 85.000 8 627,117.84 6.37
85.001 - 90.000 6 310,219.62 3.15
90.001 - 95.000 2 177,696.10 1.81
**Total** 258 9,844,505.08 100.00%
<CAPTION>
Months Delinquent No. of Loans Total Current Balance ($) % Current Bal.
- ----------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
0 3,316 275,167,495.74 99.39
1 26 1,680,946.54 0.61
**Total** 3,342 276,848,442.28 100.00%
</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 complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
23
LEHMAN BROTHERS
Collateral Summary (Cont'd)
Detailed Collateral Summary (Fixed Rate Loans)
<TABLE>
<CAPTION>
Occupancy Status No. of Loans Total Current Balance ($) % Current Bal.
- ---------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
Owner Occupied 2,941 245,613,593.98 88.72
Not Owner Occupied 401 31,234,848.30 11.28
**Total** 3,342 276,848,442.28 100.00%
<CAPTION>
Loan Type No. of Loans Total Current Balance ($) % Current Bal.
- --------- ------------ ------------------------- --------------
<S> <C> <C> <C>
Balloon 163 13,107,872.81 4.73
Fixed 3,179 263,740,569.47 95.27
**Total** 3,342 276,848,442.28 100.00%
<CAPTION>
Credit Grade No. of Loans Total Current Balance ($) % Current Bal.
- ------------ ------------ ------------------------- --------------
<S> <C> <C> <C>
A 1,876 167,433,495.80 60.48
B 818 67,172,451.29 23.18
C 506 37,044,354.19 13.38
D 142 8,198,141.00 2.96
**Total** 3,342 276,848,442.28 100.00%
</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 complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
24
LEHMAN BROTHERS
Collateral Summary (Cont'd)
Detailed Collateral Summary (Fixed Rate Loans)
<TABLE>
<CAPTION>
Credit Score No. of Loans Total Current Balance ($) % Current Bal.
- ------------ ------------ ------------------------- --------------
<S> <C> <C> <C>
N/A 956 74,271,012.77 26.83
1 - 560 483 38,417,010.78 13.88
561 - 580 226 18,151,982.56 6.56
581 - 600 258 21,109,241.85 7.62
601 - 620 269 23,114,317.17 8.35
621 - 640 283 25,427,014.00 9.18
641 - 660 258 21,636,953.56 7.82
661 - 680 200 18,459,132.93 6.67
681 - 700 161 14,357,904.71 5.19
701 - 720 99 9,299,891.53 3.36
Greater/equal to 721 149 12,603,980.42 4.55
**Total** 3,342 276,848,442.28 100.00%
</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 complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
25
LEHMAN BROTHERS
Collateral Summary (Cont'd)
Detailed Collateral Summary (Fixed Rate Loans)
<TABLE>
<CAPTION>
Property Type No. of Loans Total Current Balance ($) % Current Bal.
- ------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
Single Family 2,559 200,230,132.59 72.32
2-4 Family 495 50,850,780.21 18.37
5-8 Family 94 9,452,628.82 3.41
Mixed Use 84 8,804,806.49 3.18
Condo 92 6,642,716.55 2.40
Other 18 867,377.62 0.31
**Total** 3,342 276,848,442.28 100.00%
<CAPTION>
Loan Documentation No. of Loans Total Current Balance ($) % Current Bal.
- ------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
Full 2,512 206,846,524.68 74.71
Alternate 473 41,975,258.27 15.16
Limited 292 22,742,290.07 8.21
No Doc 65 5,284,369.26 1.91
**Total** 3,342 276,848,442.28 100.00%
</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 complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
<PAGE>
26
LEHMAN BROTHERS
Collateral Summary (Cont'd)
Detailed Collateral Summary (Fixed Rate Loans)
<TABLE>
<CAPTION>
State No. of Loans Total Current Balance ($) % Current Bal.
- ----- ------------ ------------------------- --------------
<S> <C> <C> <C>
AR 12 469,086.90 0.17
AZ 4 299,811.06 0.11
CA 2 80,261.29 0.03
CO 10 595,419.89 0.22
CT 42 3,228,966.45 1.17
DC 8 515,443.74 0.19
DE 12 949,073.47 0.34
FL 190 13,476,917.28 4.87
GA 136 10,061,057.77 3.63
IL 129 9,991,704.42 3.61
IN 52 3,955,052.89 1.43
KY 19 1,293,460.92 0.47
LA 2 63,575.00 0.02
MA 102 9,783,541.49 3.53
MD 43 3,029,387.91 1.09
ME 18 992,458.23 0.36
MI 161 8,768,356.28 3.17
MN 5 422,133.53 0.15
MO 59 4,311,984.93 1.56
MS 30 1,639,633.30 0.59
NC 79 5,692,904.17 2.06
NE 5 196,030.57 0.07
NH 19 1,424,887.35 0.51
NJ 227 19,655,033.32 7.10
NM 1 22,912.36 0.01
NV 2 160,170.80 0.06
NY 1,170 124,632,838.36 45.02
OH 331 21,168,927.23 7.65
OK 4 147,691.63 0.05
OR 4 368,326.30 0.13
PA 287 17,108,739.81 6.18
RI 23 1,698,816.77 0.61
SC 4 257,050.00 0.09
TN 115 8,154,276.93 2.95
TX 12 700,970.89 0.25
VA 10 588,538.47 0.21
VT 1 50,000.00 0.02
WA 1 57,559.25 0.02
WI 8 594,884.80 0.21
WV 3 240,556.52 0.09
**Total** 3,342 276,848,442.28 100.00%
</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 complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
