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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)
March 10, 1999
First Alliance Mortgage Company
------------------------------------------------------
(Exact name of registrant as specified in its charter)
California 333-44585 95-2944875
- -------------------------------- ---------------------- -------------------
(State or Other Jurisdiction of (Commission File (I.R.S. Employer
Incorporation) Number) Identification No.)
17305 Von Karman Avenue
Irvine, California 92614-6203
- ---------------------------------------- ------------------------
(Address of Principal Executive Offices) (Zip Code)
Registrant's telephone number, including area code (949) 224-8500
--------------
No Change
-----------------------------------------------------------
(Former name or former address, if changed since last report)
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<PAGE>
Item 5. Other Events.
In connection with the offering of First Alliance Mortgage Company
Mortgage Loan Asset Backed Certificates, Series 1999-1, described in a
Prospectus Supplement to be dated as of March 11, 1999, certain "Computational
Materials" within the meaning of the May 20, 1994 Kidder, Peabody No-Action
Letter and the February 17, 1995 Public Securities Association No-Action Letter
were furnished to certain prospective investors (the "Related Computational
Materials").
The Related Computational Materials furnished to certain prospective
investors by the Underwriter, Lehman Brothers Inc., are filed herewith as
Exhibit 99.1.
Item 7. Financial Statements, Pro Forma Financial Information and Exhibits.
(a) Not applicable
(b) Not applicable
(c) Exhibits:
99.1 Computational Materials provided by Lehman Brothers Inc.
in connection with sales efforts related to the
Registrant's securities.
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934,
the registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.
By: FIRST ALLIANCE MORTGAGE COMPANY,
as Company
By: /s/ Francisco Nebot
------------------------------------
Title: Executive Vice President and Chief
Financial Officer
Dated: March 10, 1999
Exhibit 99.1
LEHMAN BROTHERS
DERIVED INFORMATION
$115,000,000 (APPROXIMATE)
FIRST ALLIANCE MORTGAGE LOAN TRUST, SERIES 1999-1
FIRST ALLIANCE MORTGAGE COMPANY
(SELLER AND SERVICER)
NORWEST BANK MINNESOTA, N.A.
(MASTER SERVICER)
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to 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>
LEHMAN BROTHERS
SECURITIES OFFERED:
TO MATURITY:
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
| EST. |
| ESTIMATED PRINCIPAL EXPECTED LEGAL EXPECTED |
| EXPECTED CLASS LOAN WAL/MDUR PMT. WIN. FINAL FINAL RATINGS (S&P/|
|SECURITIES SIZE SIZE (%) GROUP BENCHMARK (YRS) (MOS) MATURITY MATURITY MOODY'S) |
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
|CLASS A-1 $85,000,000 100.000% F Curve 3.47/2.81 1-205 4/20/16 6/20/30 AAA/Aaa |
- --------------------------------------------------------------------------------------------------------------------------------
|CLASS A-2 $30,000,000 100.000% A 1 mo LIBOR 2.62 1-172 7/20/13 6/20/30 AAA/Aaa |
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
TO 10% CLEAN-UP CALL:
- --------------------------------------------------------------------------------------------------------------------------------
| EST. |
| ESTIMATED PRINCIPAL EXPECTED LEGAL EXPECTED |
| EXPECTED CLASS LOAN WAL/MDUR PMT. WIN FINAL FINAL RATINGS (S&P/|
|SECURITIES SIZE SIZE (%) GROUP BENCHMARK (YRS) (MOS) MATURITY MATURITY MOODY'S) |
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
|CLASS A-1 $85,000,000 100.000% F Curve 3.18/2.65 1-90 9/20/06 6/20/30 AAA/Aaa |
|CLASS A-2 $30,000,000 100.000% A 1 mo LIBOR 2.49 1-90 9/20/06 6/20/30 AAA/Aaa |
- --------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Prepayments for the Group F loans are sized at 125% 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>
LEHMAN BROTHERS
SENSITIVITY ANALYSIS
PROJECTED PERFORMANCE
UNDER VARYING PREPAYMENT ASSUMPTIONS
TO MATURITY:
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
<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% 125.0% 175.0% 200.0% 250.0%|
| |
|Class A-1 |
|--------- |
|Avg. Life (yrs.) 7.58 5.53 4.28 3.47 2.48 2.15 1.69|
|Mod Duration (yrs) 5.11 4.05 3.33 2.81 2.11 1.87 1.51|
|Window (begin-end) (mths) 1-339 1-303 1-250 1-205 1-144 1-124 1-94|
|Expected Final Maturity 6/20/27 6/20/24 1/20/20 4/20/16 3/20/11 7/20/09 1/20/07|
|Yield @ 100.00000% 6.674 6.662 6.647 6.635 6.594 6.573 6.528|
| |
|Class A-2 |
|--------- |
|Avg. Life (yrs.) 7.62 5.39 4.06 2.62 2.19 1.86 1.38|
|Window (begin-end) (mths) 1-333 1-305 1-255 1-172 1-144 1-122 1-91|
|Expected Final Maturity 12/20/26 8/20/24 6/20/20 7/20/13 3/20/11 5/20/09 10/20/06|
- -------------------------------------------------------------------------------------------------------------------------
</TABLE>
TO 10% CLEANUP CALL:
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------
<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% 125.0% 175.0% 200.0% 250.0%|
| |
|Class A-1 |
|--------- |
|Avg. Life (yrs.) 7.20 5.17 3.98 3.18 2.29 2.00 1.57|
|Mod Duration (yrs) 5.01 3.92 3.19 2.65 2.00 1.77 1.42|
|Window (begin-end) (mths) 1-212 1-154 1-118 1-90 1-65 1-56 1-43|
|Expected Final Maturity 11/20/16 1/20/12 1/20/09 9/20/06 8/20/04 11/20/03 10/20/02|
|Yield @ 100.00000% 6.663 6.643 6.623 6.601 6.557 6.534 6.486|
| |
|Class A-2 |
|--------- |
|Avg. Life (yrs.) 7.17 4.97 3.74 2.49 2.02 1.72 1.29|
|Window (begin-end) (mths) 1-212 1-154 1-118 1-90 1-65 1-56 1-43|
|Expected Final Maturity 11/20/16 1/20/12 1/20/09 9/20/06 8/20/04 11/20/03 10/20/02|
- -------------------------------------------------------------------------------------------------------------------------
</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>
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 [5.128]% and a prepayment rate equal
to 30% CPR.
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| AVAILABLE | AVAILABLE |
| FUNDS | FUNDS |
| MONTH CAP (%) | MONTH CAP (%) |
-----------------------------------------------------------
| | |
| 1 7.78 | 31 9.53 |
| 2 7.78 | 32 9.53 |
| 3 7.78 | 33 9.53 |
| 4 7.83 | 34 9.53 |
| 5 7.92 | 35 9.53 |
| 6 8.18 | 36 9.58 |
| 7 8.42 | 37 9.58 |
| 8 8.68 | 38 9.58 |
| 9 8.72 | 39 9.58 |
| 10 8.77 | 40 9.58 |
| 11 8.86 | 41 9.58 |
| 12 9.12 | 42 9.58 |
| 13 8.86 | 43 9.58 |
| 14 9.12 | 44 9.58 |
| 15 9.15 | 45 9.58 |
| 16 9.17 | 46 9.58 |
| 17 9.20 | 47 9.58 |
| 18 9.29 | 48 9.58 |
| 19 9.34 | 49 9.58 |
| 20 9.40 | 50 9.58 |
| 21 9.40 | 51 9.58 |
| 22 9.40 | 52 9.58 |
| 23 9.40 | 53 9.58 |
| 24 9.46 | 54 9.58 |
| 25 9.46 | 55 9.58 |
| 26 9.46 | 56 9.58 |
| 27 9.46 | 57 9.58 |
| 28 9.46 | 58 9.58 |
| 29 9.46 | 59 9.58 |
| 30 9.53 | 60 9.58 |
------------------------------------------------------------
- --------------------------------------------------------------------------------
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>
LEHMAN BROTHERS
COLLATERAL SUMMARY (CONT'D)
Collateral statistics for the Initial Group F Loans are listed below as of the
Statistical Pool Cut-Off Date. Initial Fixed Rate Mortgage Loans represent
approximately 72.78% of the Home Equity Loans, by principal balance, as of the
Statistical Pool Cut-Off Date.
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------
| INITIAL GROUP F LOANS |
-----------------------------------------------------------------------------------------------------
<S> <C> <C>
| NUMBER OF LOANS | 798 | |
| TOTAL OUTSTANDING PRINCIPAL BALANCE | $65,528,894.36 | |
| BALLOON (% OF TOTAL) | 0.87% | |
| LEVEL PAY (% OF TOTAL) | 99.13% | |
| AVERAGE PRINCIPAL BALANCE | $82,116.41 | $3,457.91 - $341,954.00 |
| WEIGHTED AVERAGE LOAN RATE | 9.49% | 6.00% - 17.95% |
| WEIGHTED AVERAGE ORIGINAL TERM (MOS.) | 333 | 84 - 360 |
| WEIGHTED AVERAGE REMAINING TERM (MOS.) | 320 | 39 - 360 |
| WEIGHTED AVERAGE CLTV | 60.89% | 9.30% - 85.00% |
| WEIGHTED AVERAGE FICO * | 616 | 469 - 812 |
| LIEN POSITION (FIRST/SECOND) | 97.69% / 1.98% / 0.32% | |
| PROPERTY TYPE | | |
| SINGLE FAMILY | 90.08% | |
| TWO TO FOUR FAMILY | 7.42% | |
| CONDO | 2.03% | |
| PUD | 0.48% | |
| OCCUPANCY STATUS | | |
| OWNER OCCUPIED | 96.96% | |
| NOT OWNER OCCUPIED | 3.04% | |
| DOCUMENT TYPE | | |
| FULL DOCUMENTATION | 67.64% | |
| ALTERNATE DOCUMENTATION | 20.54% | |
| NO DOCUMENTATION | 11.82% | |
| GEOGRAPHIC DISTRIBUTION | | |
| other states account individually for | CA 34.53% | NJ 13.03% |
| less than 4% of Fixed Rate pool | NY 14.26% | IL 7.00% |
| balance | | |
| CREDIT GRADE | | |
| | A 9.59% | B- 14.61% |
| | A- 28.26% | C 21.61% |
| | B+ 10.68% | C- 2.93% |
| | B 8.83% | D 3.50% |
----------------------------------------------------------------------------------------------------
</TABLE>
o BASED ON FICO SCORE AVAILABLE ON 81.05% OF THE INITIAL GROUP F 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>
LEHMAN BROTHERS
COLLATERAL SUMMARY (CONT'D)
Collateral statistics for the Initial Group A Loans are listed below as of the
Statistical Pool Cut-Off Date. Initial Adjustable Rate Mortgage Loans represent
approximately 27.22% of the Home Equity Loans, by principal balance, as of the
Statistical Pool Cut-Off Date.
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------
| INITIAL GROUP A LOAN |
-------------------------------------------------------------------------------------------------------
<S> <C> <C>
|NUMBER OF LOANS | 214 | |
|TOTAL OUTSTANDING PRINCIPAL BALANCE | $24,505,006.73 | |
|AVERAGE PRINCIPAL BALANCE | $114,509.38 | $24,253.00 - $361,839.97|
|WEIGHTED AVERAGE START RATE | 8.43% | 6.99% - 11.99% |
|WEIGHTED AVERAGE MARGIN | 5.60% | 4.49% - 8.79% |
|WEIGHTED AVERAGE ORIGINAL TERM (MOS.) | 345 | 120 - 360 |
|WEIGHTED AVERAGE REMAINING TERM (MOS.) | 344 | 120 - 360 |
|WEIGHTED AVERAGE LIFE CAP | 15.43% | 13.99% - 18.99% |
|WEIGHTED AVERAGE FIRST PERIOD RATE CAP | 1.13% | 1.00% - 3.00% |
|WEIGHTED AVERAGE PERIODIC RATE CAP | 1.00% | 1.00% - 1.50% |
| | 6 month LIBOR | |
| | 2/28 (6 month | 93.55% |
|PRODUCT TYPE | LIBOR) | 6.45% |
|WEIGHTED AVERAGE LTV | 66.54% | 14.03% - 85.91% |
|WEIGHTED AVERAGE FICO * | 600 | 465 - 806 |
|LIEN POSITION (FIRST/SECOND) | 100.00% / 0.00% | |
|PROPERTY TYPE | | |
| SINGLE FAMILY | 92.43% | |
| TWO TO FOUR FAMILY | 2.39% | |
| CONDO | 5.19% | |
|OCCUPANCY STATUS | | |
| OWNER OCCUPIED | 98.27% | |
| NOT OWNER OCCUPIED | 1.73% | |
|DOCUMENT TYPE | | |
| FULL DOCUMENTATION | 65.52% | |
| ALTERNATE DOCUMENTATION | 12.71% | |
| NO DOCUMENTATION | 21.77% | |
|GEOGRAPHIC DISTRIBUTION | | |
|other states account individually for | | |
|less than | CA 37.21% | NY 8.02% |
|6% of Adjustable Rate Pool balance | NJ 9.99% | WA 6.15% |
|CREDIT GRADE | | |
| | A 0.80% | B- 23.26% |
| | A- 19.55% | C 27.22% |
| | B+ 21.85% | C- 1.18% |
| | B 3.46% | D 2.68% |
-----------------------------------------------------------------------------------------------------
</TABLE>
* BASED ON FICO SCORE AVAILABLE ON 100% OF THE INITIAL GROUP A 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>
LEHMAN BROTHERS
COLLATERAL SUMMARY (CONT'D)
- --------------------------------------------------------------------------------
| INITIAL ADJUSTABLE RATE 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>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
| FIRST 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>
| 1999-02 0.22 10.990 8.790 1.000 1.000 16.990 |
- ------------------------------------------------------------------------------------------------------------------------------
| 1999-03 0.36 10.890 6.990 1.000 1.000 16.890 |
- ------------------------------------------------------------------------------------------------------------------------------
| 1999-04 0.78 8.419 5.622 1.245 1.245 15.419 |
- ------------------------------------------------------------------------------------------------------------------------------
| 1999-05 0.55 9.366 6.114 1.294 1.294 16.366 |
- ------------------------------------------------------------------------------------------------------------------------------
| 1999-06 3.45 8.641 6.044 1.000 1.000 15.641 |
- ------------------------------------------------------------------------------------------------------------------------------
| 1999-07 9.06 8.926 6.186 1.000 1.000 15.926 |
- ------------------------------------------------------------------------------------------------------------------------------
| 1999-08 25.29 8.298 5.511 1.000 1.000 15.298 |
- ------------------------------------------------------------------------------------------------------------------------------
| 1999-09 23.99 8.364 5.454 1.000 1.000 15.364 |
- ------------------------------------------------------------------------------------------------------------------------------
| 1999-10 26.21 8.316 5.400 1.000 1.000 15.316 |
- ------------------------------------------------------------------------------------------------------------------------------
| 1999-11 3.65 9.113 5.821 1.000 1.000 16.113 |
- ------------------------------------------------------------------------------------------------------------------------------
| 2001-01 2.09 8.447 5.878 3.000 1.000 15.447 |
- ------------------------------------------------------------------------------------------------------------------------------
| 2001-02 3.39 8.104 5.793 3.000 1.000 15.104 |
- ------------------------------------------------------------------------------------------------------------------------------
| 2001-03 0.98 7.938 6.094 3.000 1.000 14.938 |
- ------------------------------------------------------------------------------------------------------------------------------
| WEIGHTED AVERAGE 8.432% 5.599% 1.133% 1.004% 15.426% |
- ------------------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
| INITIAL ADJUSTABLE RATE 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>
LEHMAN BROTHERS
COLLATERAL SUMMARY (CONT'D)
<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 | 6.45 | 8.190 | 5.866 | 3.000 | 1.000 | 15.190 |
|------------------------|------------------|----------------|-------------|---------------|----------------|----------------|
| 6 Month Libor | 93.55 | 8.449 | 5.580 | 1.004 | 1.004 | 15.442 |
|------------------------|------------------|----------------|-------------|---------------|----------------|----------------|
| WEIGHTED AVERAGE | | 8.432% | 5.599% | 1.133% | 1.004% | 15.426% |
- ------------------------------------------------------------------------------------------------------------------------------
</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>
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> <C>
24,253.00 - 25,000.00 1 24,253.00 0.10
25,000.01 - 50,000.00 11 457,448.31 1.87
50,000.01 - 75,000.00 36 2,281,542.36 9.31
75,000.01 - 100,000.00 57 4,954,511.10 20.22
100,000.01 - 125,000.00 43 4,790,185.69 19.55
125,000.01 - 150,000.00 21 2,885,061.52 11.77
150,000.01 - 175,000.00 17 2,718,285.34 11.09
175,000.01 - 200,000.00 12 2,264,995.48 9.24
200,000.01 - 225,000.00 4 843,570.03 3.44
225,000.01 - 250,000.00 4 956,853.84 3.90
250,000.01 - 275,000.00 5 1,323,316.76 5.40
300,000.01 - 325,000.00 1 311,579.06 1.27
325,000.01 - 350,000.00 1 331,564.27 1.35
350,000.01 - 375,000.00 1 361,839.97 1.48
TOTAL: 214 $24,505,006.73 100.00%
----------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
---------------------------------------------------------------------------------------------
Original Balance ($) No. of Loans Total Current Balance ($) % Current Bal.
-------------------- ------------ ------------------------- --------------
<S> <C> <C> <C> <C>
24,253.00 - 25,000.00 1 24,253.00 0.10
25,000.01 - 50,000.00 11 457,448.31 1.87
50,000.01 - 75,000.00 36 2,281,542.36 9.31
75,000.01 - 100,000.00 57 4,954,511.10 20.22
100,000.01 - 125,000.00 43 4,790,185.69 19.55
125,000.01 - 150,000.00 20 2,735,076.88 11.16
150,000.01 - 175,000.00 18 2,868,269.98 11.70
175,000.01 - 200,000.00 12 2,264,995.48 9.24
200,000.01 - 225,000.00 4 843,570.03 3.44
225,000.01 - 250,000.00 4 956,853.84 3.90
250,000.01 - 275,000.00 5 1,323,316.76 5.40
300,000.01 - 325,000.00 1 311,579.06 1.27
325,000.01 - 350,000.00 1 331,564.27 1.35
350,000.01 - 375,000.00 1 361,839.97 1.48
TOTAL: 214 $24,505,006.73 100.00%
---------------------------------------------------------------------------------------------
</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>
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>
6.990 - 7.000 25 2,048,046.56 8.36
7.001 - 7.500 14 1,554,848.47 6.35
7.501 - 8.000 61 7,358,892.94 30.03
8.001 - 8.500 45 5,604,636.24 22.87
8.501 - 9.000 36 4,029,695.45 16.44
9.001 - 9.500 4 486,647.11 1.99
9.501 - 10.000 10 1,186,027.74 4.84
10.001 - 10.500 9 1,122,827.41 4.58
10.501 - 11.000 6 738,602.89 3.01
11.001 - 11.500 2 177,921.50 0.73
11.501 - 11.990 2 196,860.42 0.80
TOTAL: 214 $24,505,006.73 100.00%
--------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------
Margin (%) No. of Loans Total Current Balance ($) % Current Bal.
---------- ------------ ------------------------- --------------
<S> <C> <C> <C>
4.490 - 4.500 1 102,659.03 0.42
4.501 - 5.000 73 7,229,053.75 29.50
5.001 - 5.500 58 7,022,535.55 28.66
5.501 - 6.000 39 5,091,149.29 20.78
6.001 - 6.500 15 2,082,460.54 8.50
6.501 - 7.000 17 1,763,166.90 7.20
7.001 - 7.500 9 1,006,923.21 4.11
7.501 - 8.000 1 153,335.19 0.63
8.501 - 8.790 1 53,723.27 0.22
TOTAL: 214 $24,505,006.73 100.00%
--------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------
First Period Rate Cap (%) No. of Loans Total Current Balance ($) % Current Bal.
------------------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
1 202 22,750,509.91 92.84
1.5 2 173,087.63 0.71
3 10 1,581,409.19 6.45
TOTAL: 214 $24,505,006.73 100.00%
----------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------
Periodic Rate Cap (%) No. of Loans Total Current Balance ($) % Current Bal.
--------------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
1 212 24,331,919.10 99.29
1.5 2 173,087.63 0.71
TOTAL: 214 $24,505,006.73 100.00%
----------------------------------------------------------------------------------------------------
</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>
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>
6.990 - 7.000 25 2,048,046.56 8.36
7.001 - 7.500 14 1,554,848.47 6.35
7.501 - 8.000 61 7,358,892.94 30.03
8.001 - 8.500 45 5,604,636.24 22.87
8.501 - 9.000 36 4,029,695.45 16.44
9.001 - 9.500 4 486,647.11 1.99
9.501 - 10.000 12 1,327,247.63 5.42
10.001 - 10.500 9 1,122,827.41 4.58
10.501 - 11.000 4 597,383.00 2.44
11.001 - 11.500 2 177,921.50 0.73
11.501 - 11.990 2 196,860.42 0.80
TOTAL: 214 $24,505,006.73 100.00%
-------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------
Maximum Rate (%) No. of Loans Total Current Balance ($) % Current Bal.
---------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
13.990 - 14.000 25 2,048,046.56 8.36
14.001 - 14.500 14 1,554,848.47 6.35
14.501 - 15.000 61 7,358,892.94 30.03
15.001 - 15.500 45 5,604,636.24 22.87
15.501 - 16.000 36 4,029,695.45 16.44
16.001 - 16.500 4 486,647.11 1.99
16.501 - 17.000 12 1,327,247.63 5.42
17.001 - 17.500 9 1,122,827.41 4.58
17.501 - 18.000 4 597,383.00 2.44
18.001 - 18.500 2 177,921.50 0.73
18.501 - 18.990 2 196,860.42 0.80
TOTAL: 214 $24,505,006.73 100.00%
-------------------------------------------------------------------------------------
</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>
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>
120 3 159,633.00 0.65
180 21 1,839,819.75 7.51
240 1 68,829.00 0.28
360 189 22,436,724.98 91.56
TOTAL: 214 $24,505,006.73 100.00%
--------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------
Remaining Term (mths) No. of Loans Total Current Balance ($) % Current Bal.
--------------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
120 3 159,633.00 0.65
121 - 180 21 1,839,819.75 7.51
181 - 240 1 68,829.00 0.28
301 - 360 189 22,436,724.98 91.56
TOTAL: 214 $24,505,006.73 100.00%
--------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------
Loan Age (months) No. of Loans Total Current Balance ($) % Current Bal.
----------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
0 125 13,435,567.79 54.83
1 - 3 83 10,602,135.69 43.27
4 - 6 5 413,579.98 1.69
7 - 12 1 53,723.27 0.22
TOTAL: 214 $24,505,006.73 100.00%
--------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------
Loan Modification No. of Loans Total Current Balance ($) % Current Bal.
----------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
No 214 24,505,006.73 100.00
TOTAL: 214 $24,505,006.73 100.00%
--------------------------------------------------------------------------------------------------
</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>
LEHMAN BROTHERS
COLLATERAL SUMMARY (CONT'D)
DETAILED COLLATERAL SUMMARY (ADJUSTABLE RATE LOANS)
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------
Lien Position No. of Loans Total Current Balance ($) % Current Bal.
------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
1 214 24,505,006.73 100.00
TOTAL: 214 $24,505,006.73 100.00%
--------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------
Original Loan-to-Value No. of Loans Total Current Balance ($) % Current Bal.
---------------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
14.03 - 15.00 1 51,085.00 0.21
15.01 - 20.00 3 170,250.18 0.69
25.01 - 30.00 5 247,951.46 1.01
30.01 - 35.00 4 293,702.25 1.20
35.01 - 40.00 6 473,062.80 1.93
40.01 - 45.00 5 442,905.83 1.81
45.01 - 50.00 10 1,137,784.04 4.64
50.01 - 55.00 26 2,586,771.33 10.56
55.01 - 60.00 14 1,747,402.18 7.13
60.01 - 65.00 24 2,696,102.22 11.00
65.01 - 70.00 34 4,113,307.90 16.79
70.01 - 75.00 31 4,139,626.44 16.89
75.01 - 80.00 30 3,946,856.97 16.11
80.01 - 85.00 20 2,364,007.30 9.65
85.01 - 85.91 1 94,190.83 0.38
TOTAL: 214 $24,505,006.73 100.00%
--------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------
Months Delinquent No. of Loans Total Current Balance ($) % Current Bal.
----------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
CURRENT 213 24,393,417.49 99.54
30 DAYS 1 111,589.24 0.46
TOTAL: 214 $24,505,006.73 100.00%
--------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------
Occupancy Status No. of Loans Total Current Balance ($) % Current Bal.
---------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
primary, owner occupied 209 24,080,611.08 98.27
investor 5 424,395.65 1.73
TOTAL: 214 $24,505,006.73 100.00%
--------------------------------------------------------------------------------------------------
</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>
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 2 196,849.86 0.80
A- 45 4,790,693.13 19.55
B+ 46 5,354,577.38 21.85
B 9 846,997.84 3.46
B- 47 5,698,986.38 23.26
C 57 6,669,379.27 27.22
C- 3 289,699.68 1.18
D 5 657,823.19 2.68
TOTAL: 214 $24,505,006.73 100.00%
--------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------
FICO Score No. of Loans Total Current Balance ($) % Current Bal.
---------- ------------ ------------------------- --------------
<S> <C> <C> <C>
465 - 560 56 6,461,301.41 26.37
561 - 580 27 3,237,236.92 13.21
581 - 600 21 2,882,095.80 11.76
601 - 620 36 3,633,235.39 14.83
621 - 640 23 2,664,521.08 10.87
641 - 660 16 2,102,343.40 8.58
661 - 680 13 1,464,068.67 5.97
681 - 700 6 562,216.27 2.29
701 - 720 7 678,361.07 2.77
721 - 740 5 403,200.45 1.65
741 - 760 2 148,929.00 0.61
761 - 780 1 107,240.00 0.44
801 - 806 1 160,257.27 0.65
TOTAL: 214 $24,505,006.73 100.00%
--------------------------------------------------------------------------------------------------
</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>
LEHMAN BROTHERS
COLLATERAL SUMMARY (CONT'D)
DETAILED COLLATERAL SUMMARY (ADJUSTABLE RATE LOANS)
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------
Debt-to-Income No. of Loans Total Current Balance ($) % Current Bal.
-------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
8.00 - 10.00 1 99,740.00 0.41
10.01 - 15.00 2 131,998.46 0.54
15.01 - 20.00 9 660,767.80 2.70
20.01 - 25.00 14 1,023,805.98 4.18
25.01 - 30.00 16 1,536,146.77 6.27
30.01 - 35.00 27 2,650,282.35 10.82
35.01 - 40.00 35 4,175,752.65 17.04
40.01 - 45.00 32 3,945,243.18 16.10
45.01 - 50.00 34 4,413,273.71 18.01
50.01 - 55.00 22 3,065,661.16 12.51
55.01 - 60.00 16 1,963,509.57 8.01
60.01 - 65.00 5 627,457.03 2.56
65.01 - 67.00 1 211,368.07 0.86
TOTAL: 214 $24,505,006.73 100.00%
--------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------
Property Type No. of Loans Total Current Balance ($) % Current Bal.
------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
single family 195 22,649,021.27 92.43
condominium 11 1,270,900.31 5.19
two - four family 8 585,085.15 2.39
TOTAL: 214 $24,505,006.73 100.00%
--------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------
Loan Documentation No. of Loans Total Current Balance ($) % Current Bal.
------------------ ------------ ------------------------- --------------
<S> <C> <C> <C>
Full 145 16,056,512.47 65.52
No Doc 45 5,333,573.18 21.77
Alternate 24 3,114,921.08 12.71
TOTAL: 214 $24,505,006.73 100.00%
--------------------------------------------------------------------------------------------------
</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>
LEHMAN BROHTERS
COLLATERAL SUMMARY (CONT'D)
DETAILED COLLATERAL SUMMARY (ADJUSTABLE RATE LOANS)
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------
State No. of Loans Total Current Balance ($) % Current Bal.
----- ------------ ------------------------- --------------
<S> <C> <C> <C>
CA 59 9,119,246.50 37.21
NJ 24 2,448,226.99 9.99
NY 17 1,965,610.91 8.02
WA 14 1,507,865.30 6.15
CO 14 1,428,211.89 5.83
OR 10 1,304,828.40 5.32
PA 14 1,271,041.70 5.19
IL 13 1,185,942.44 4.84
UT 16 1,123,564.27 4.59
OH 11 897,130.51 3.66
VA 4 576,422.86 2.35
FL 5 506,720.62 2.07
MD 4 337,816.56 1.38
CT 2 278,728.00 1.14
AZ 3 246,340.00 1.01
GA 2 198,270.29 0.81
MA 1 55,316.22 0.23
MN 1 53,723.27 0.22
TOTAL: 214 $24,505,006.73 100.00%
---------------------------------------------------------------------------------------------------
</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>
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>
3,457.91 - 25,000.00 44 764,998.08 1.17
25,000.01 - 50,000.00 136 5,321,119.03 8.12
50,000.01 - 75,000.00 214 13,594,048.48 20.75
75,000.01 - 100,000.00 207 17,941,200.81 27.38
100,000.01 - 125,000.00 99 11,001,621.98 16.79
125,000.01 - 150,000.00 42 5,716,828.64 8.72
150,000.01 - 175,000.00 20 3,210,240.29 4.90
175,000.01 - 200,000.00 12 2,220,226.67 3.39
200,000.01 - 225,000.00 12 2,554,102.44 3.90
225,000.01 - 250,000.00 4 930,624.30 1.42
250,000.01 - 275,000.00 5 1,332,401.51 2.03
275,000.01 - 300,000.00 1 278,067.66 0.42
300,000.01 - 325,000.00 1 321,460.47 0.49
325,000.01 - 350,000.00 1 341,954.00 0.52
TOTAL: 798 $65,528,894.36 100.00%
--------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------
Original Balance ($) No. of Loans Total Current Balance ($) % Current Bal.
-------------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
11,000.00 - 25,000.00 39 648,536.11 0.99
25,000.01 - 50,000.00 136 5,211,955.02 7.95
50,000.01 - 75,000.00 209 13,107,910.52 20.00
75,000.01 - 100,000.00 207 17,715,552.95 27.03
100,000.01 - 125,000.00 107 11,697,108.56 17.85
125,000.01 - 150,000.00 44 5,958,753.86 9.09
150,000.01 - 175,000.00 20 3,210,240.29 4.90
175,000.01 - 200,000.00 12 2,220,226.67 3.39
200,000.01 - 225,000.00 12 2,554,102.44 3.90
225,000.01 - 250,000.00 4 930,624.30 1.42
250,000.01 - 275,000.00 4 1,059,962.30 1.62
275,000.01 - 300,000.00 2 550,506.87 0.84
300,000.01 - 325,000.00 1 321,460.47 0.49
325,000.01 - 350,000.00 1 341,954.00 0.52
TOTAL: 798 $65,528,894.36 100.00%
--------------------------------------------------------------------------------------------------
</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>
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>
6.000 1 44,944.87 0.07
7.001 - 7.500 1 192,604.58 0.29
7.501 - 8.000 4 463,295.18 0.71
8.001 - 8.500 158 12,644,490.18 19.30
8.501 - 9.000 151 12,312,586.36 18.79
9.001 - 9.500 179 16,260,221.14 24.81
9.501 - 10.000 159 13,921,453.22 21.24
10.001 - 10.500 43 3,864,661.90 5.90
10.501 - 11.000 31 2,271,007.62 3.47
11.001 - 11.500 14 1,261,295.32 1.92
11.501 - 12.000 6 578,436.32 0.88
12.001 - 12.500 8 357,737.53 0.55
12.501 - 13.000 8 403,171.51 0.62
13.001 - 13.500 5 203,164.06 0.31
13.501 - 14.000 6 240,544.45 0.37
14.001 - 14.500 1 11,512.83 0.02
14.501 - 15.000 5 117,134.31 0.18
15.001 - 15.500 7 173,751.80 0.27
15.501 - 16.000 8 157,935.36 0.24
16.501 - 17.000 2 39,664.96 0.06
17.501 - 18.000 1 9,280.86 0.01
TOTAL: 798 $65,528,894.36 100.00%
--------------------------------------------------------------------------------------------------
</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>
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>
84 1 30,768.33 0.05
120 9 282,591.66 0.43
180 173 9,298,271.67 14.19
240 9 847,428.47 1.29
360 606 55,069,834.23 84.04
TOTAL: 798 $65,528,894.36 100.00%
--------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------
Remaining Term (mths) No. of Loans Total Current Balance ($) % Current Bal.
--------------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
39 - 60 3 25,220.30 0.04
61 - 120 51 1,648,679.68 2.52
121 - 180 129 7,937,731.68 12.11
181 - 240 9 847,428.47 1.29
241 - 300 24 2,545,490.73 3.88
301 - 360 582 52,524,343.50 80.15
TOTAL: 798 $65,528,894.36 100.00%
--------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------
Loan Age (months) No. of Loans Total Current Balance ($) % Current Bal.
----------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
0 382 31,390,953.62 47.90
1 - 6 82 6,999,151.85 10.68
7 - 12 74 6,745,327.01 10.29
13 - 18 73 6,841,930.05 10.44
19 - 24 49 3,770,361.15 5.75
25 - 30 26 2,285,269.07 3.49
31 - 36 18 1,184,570.76 1.81
>= 37 94 6,311,330.85 9.63
TOTAL: 798 $65,528,894.36 100.00%
--------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------
Product Type No. of Loans Total Current Balance ($) % Current Bal.
------------ ------------ ------------------------- --------------
<S> <C> <C> <C>
Balloon 13 572,510.70 0.87
Level Pay 785 64,956,383.66 99.13
TOTAL: 798 $65,528,894.36 100.00%
--------------------------------------------------------------------------------------------------
</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>
LEHMAN BROTHERS
COLLATERAL SUMMARY (CONT'D)
DETAILED COLLATERAL SUMMARY (FIXED RATE LOANS)
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------
Loan Modification No. of Loans Total Current Balance ($) % Current Bal.
----------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
No 509 39,654,769.33 60.51
Yes 289 25,874,125.03 39.49
TOTAL: 798 65,528,894.36 100.00
--------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------
Lien Position No. of Loans Total Current Balance ($) % Current Bal.
------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
1 750 64,017,252.97 97.69
2 36 1,299,684.53 1.98
3 12 211,956.86 0.32
**TOTAL** 798 $65,528,894.36 100.00%
--------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------
Original Combined
Loan-to-Value No. of Loans Total Current Balance ($) % Current Bal.
------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
9.30 - 10.00 2 35,156.00 0.05
10.01 - 15.00 4 78,421.23 0.12
15.01 - 20.00 15 454,620.89 0.69
20.01 - 25.00 17 543,242.28 0.83
25.01 - 30.00 30 1,486,711.37 2.27
30.01 - 35.00 42 2,248,713.01 3.43
35.01 - 40.00 31 1,773,115.18 2.71
40.01 - 45.00 53 3,167,007.68 4.83
45.01 - 50.00 66 4,183,305.20 6.38
50.01 - 55.00 66 4,827,008.78 7.37
55.01 - 60.00 80 6,634,515.57 10.12
60.01 - 65.00 124 12,272,438.69 18.73
65.01 - 70.00 115 11,367,302.83 17.35
70.01 - 75.00 99 10,355,073.77 15.80
75.01 - 80.00 44 4,920,832.30 7.51
80.01 - 85.00 10 1,181,429.58 1.80
TOTAL: 798 $65,528,894.36 100.00%
--------------------------------------------------------------------------------------------------
</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>
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>
14.15 - 15.00 1 15,172.68 1.00
15.01 - 20.00 4 49,135.00 3.25
20.01 - 25.00 6 139,368.23 9.22
25.01 - 30.00 7 160,212.98 10.60
30.01 - 35.00 6 148,209.17 9.80
35.01 - 40.00 2 47,357.50 3.13
40.01 - 45.00 2 88,389.20 5.85
45.01 - 50.00 3 110,106.06 7.28
50.01 - 55.00 1 9,752.44 0.65
55.01 - 60.00 2 66,976.29 4.43
60.01 - 65.00 4 107,817.28 7.13
65.01 - 70.00 1 51,491.91 3.41
70.01 - 75.00 3 170,712.07 11.29
80.01 - 85.00 3 158,305.03 10.47
85.01 - 88.66 3 188,635.55 12.48
TOTAL: 48 $1,511,641.39 100.00%
--------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------
Months Delinquent No. of Loans Total Current Balance ($) % Current Bal.
----------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
CURRENT 787 64,573,371.00 98.54
30 DAYS 11 955,523.36 1.46
TOTAL: 798 $65,528,894.36 100.00%
--------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------
Occupancy Status No. of Loans Total Current Balance ($) % Current Bal.
---------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
primary, owner occupied 772 63,533,845.94 96.96
investor 26 1,995,048.42 3.04
TOTAL: 798 $65,528,894.36 100.00%
--------------------------------------------------------------------------------------------------
</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>
LEHMAN BROHTERS
COLLATERAL SUMMARY (CONT'D)
DETAILED COLLATERAL SUMMARY (FIXED RATE LOANS)
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------
Credit Grade No. of Loans Total Current Balance ($) % Current Bal.
------------ ------------ ------------------------- --------------
<S> <C> <C> <C>
A 83 6,282,575.01 9.59
A- 207 18,516,467.58 28.26
B+ 83 6,997,155.81 10.68
B 64 5,787,149.98 8.83
B- 117 9,575,751.24 14.61
C 191 14,160,300.80 21.61
C- 22 1,918,898.35 2.93
D 31 2,290,595.59 3.50
TOTAL: 798 $65,528,894.36 100.00%
--------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------
FICO Score No. of Loans Total Current Balance ($) % Current Bal.
---------- ------------ ------------------------- --------------
<S> <C> <C> <C>
N/A 172 12,420,952.76 18.95
469 - 560 160 13,046,690.64 19.91
561 - 580 62 5,077,379.22 7.75
581 - 600 58 4,605,290.55 7.03
601 - 620 68 5,959,139.69 9.09
621 - 640 59 5,216,979.65 7.96
641 - 660 55 4,930,456.42 7.52
661 - 680 51 5,228,665.73 7.98
681 - 700 26 2,537,908.09 3.87
701 - 720 28 2,505,497.19 3.82
721 - 740 19 1,382,985.97 2.11
741 - 760 18 1,260,624.72 1.92
761 - 780 13 753,713.72 1.15
781 - 800 6 441,472.00 0.67
801 - 812 3 161,138.01 0.25
TOTAL: 798 $65,528,894.36 100.00%
--------------------------------------------------------------------------------------------------
</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>
LEHMAN BROTHERS
COLLATERAL SUMMARY (CONT'D)
DETAILED COLLATERAL SUMMARY (FIXED RATE LOANS)
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------
Debt to Income No. of Loans Total Current Balance ($) % Current Bal.
-------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
2.000 - 5.000 1 51,081.00 0.08
5.001 - 10.000 1 51,491.91 0.08
10.001 - 15.000 9 585,081.32 0.89
15.001 - 20.000 48 3,034,695.99 4.63
20.001 - 25.000 74 5,203,424.65 7.94
25.001 - 30.000 91 6,659,023.99 10.16
30.001 - 35.000 105 8,524,037.57 13.01
35.001 - 40.000 112 8,741,663.56 13.34
40.001 - 45.000 96 8,273,538.74 12.63
45.001 - 50.000 101 9,348,027.71 14.27
50.001 - 55.000 78 6,599,114.16 10.07
55.001 - 60.000 57 5,694,232.72 8.69
60.001 - 65.000 23 2,743,049.28 4.19
65.001 - 69.000 2 20,431.76 0.03
TOTAL: 798 $65,528,894.36 100.00%
--------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------
Property Type No. of Loans Total Current Balance ($) % Current Bal.
------------- ------------ ------------------------- --------------
<S> <C> <C> <C>
single family 720 59,028,959.48 90.08
two - four family 58 4,859,644.37 7.42
condominium 14 1,327,482.68 2.03
PUD 6 312,807.83 0.48
TOTAL: 798 $65,528,894.36 100.00%
--------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------
Loan Documentation No. of Loans Total Current Balance ($) % Current Bal.
------------------ ------------ ------------------------- --------------
<S> <C> <C> <C>
Full 533 44,321,959.23 67.64
Alternate 178 13,458,823.75 20.54
No Doc 87 7,748,111.38 11.82
TOTAL: 798 $65,528,894.36 100.00%
--------------------------------------------------------------------------------------------------
</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>
LEHMAN BROTHERS
COLLATERAL SUMMARY (CONT'D)
DETAILED COLLATERAL SUMMARY (FIXED RATE LOANS)
---------------------------------------------------------------------------
State No. of Loans Total Current Balance ($) % Current Bal.
----- ------------ ------------------------- --------------
CA 253 22,629,578.44 34.53
NY 107 9,341,720.91 14.26
NJ 104 8,538,102.84 13.03
IL 67 4,583,955.21 7.00
FL 31 2,393,967.32 3.65
OR 25 2,305,511.28 3.52
WA 27 2,157,028.22 3.29
MD 26 1,800,989.83 2.75
UT 22 1,713,429.39 2.61
PA 26 1,679,745.92 2.56
OH 21 1,578,785.04 2.41
CO 20 1,509,681.78 2.30
AZ 23 1,478,554.08 2.26
MN 13 934,872.64 1.43
GA 13 911,765.55 1.39
VA 7 830,834.24 1.27
MA 5 446,559.40 0.68
CT 4 366,731.00 0.56
DC 3 272,228.49 0.42
ID 1 54,852.78 0.08
TOTAL: 798 $65,528,894.36 100.00%
---------------------------------------------------------------------------
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to 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).
