- --------------------------------------------------------------------------------
COLLATERAL SUMMARY
- --------------------------------------------------------------------------------
Collateral statistics for the Mortgage Loans are listed below as of the Cut-Off
Date.
- ---------------------------------------------------------------------------------------
COLLATERAL SUMMARY RANGES (IF APPLICABLE)
- ---------------------------------------------------------------------------------------
TOTAL NUMBER OF LOANS 2,548
FIXED % / ARMS % 92.72%/7.28%
TOTAL OUTSTANDING PRINCIPAL BALANCE $234,955,499.20
AVERAGE PRINCIPAL BALANCE $92,211.73 $9,906.06 to $675,000.00
WA MORTGAGE RATE 9.349% 6.500% to 15.100%
ARM CHARACTERISTICS
WA MARGIN 7.131% 3.540% to 10.720%
WA FIRST PERIODIC CAP 3.000% 3.000% to 3.000%
WA SUBSEQUENT PERIODIC CAP 1.000% 1.000% to 1.000%
WA MAXIMUM RATE 16.543% 13.440% to 20.500%
WA MINIMUM RATE 10.543% 7.440% to 14.500%
WA ORIGINAL TERM (MO.) 337 96 to 360 Months
WA REMAINING TERM (MO.) 337 96 to 360 Months
WA LTV 75.30% 5.51% to 100.00%
WA FICO 609 483 to 808
LOAN TYPE
FIXED 92.72%
3 YR FIXED, 6 MO LI ARM 7.28%
PROPERTY TYPE
SINGLE FAMILY 87.72%
MULTI FAMILY 7.76%
CONDO 3.84%
MANUFACTURED HOUSING 0.69%
OCCUPANCY STATUS
PRIMARY RESIDENCE 93.82%
INVESTOR PROPERTY 5.91%
SECOND HOME 0.27%
- ---------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
1
- --------------------------------------------------------------------------------
COLLATERAL SUMMARY
- --------------------------------------------------------------------------------
Collateral statistics for the Mortgage Loans are listed below as of the Cut-Off
Date.
- ----------------------------------------------------------------------------------------------------------
COLLATERAL SUMMARY RANGES (IF APPLICABLE)
- ----------------------------------------------------------------------------------------------------------
GEOGRAPHIC DISTRIBUTION
other states account individually for less than CA: 26.38%
5% of pool balance TX: 11.32%
NY: 6.68%
MI: 5.85%
OH: 5.19%
- ----------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------
LTV > 80.0% 22.75%
LOANS WITH PREPAYMENT PENALTIES 74.58%
LATEST MATURITY DATE January 2032
MORTGAGED PROPERTY LOCATIONS 44 States and the
District of Columbia
- ----------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
2
- --------------------------------------------------------------------------------
COLLATERAL SUMMARY
- --------------------------------------------------------------------------------
Collateral statistics for the Mortgage Loans are listed below as of the Cut-Off
Date.
- --------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------
LOAN TYPE
- ----------------------------------------------------------------------------------------------------------------
MORTGAGE LOANS STATISTICAL CALCULATION % OF STATISTICAL
DATE PRINCIPAL BALANCE ($) CALCULATION DATE POOL
PRINCIPAL BALANCE
- ----------------------------------------------------------------------------------------------------------------
3/27 ARM (Libor) 199 $17,097,466.85 7.28%
Fixed Rate 2,349 217,858,032.35 92.72
- ----------------------------------------------------------------------------------------------------------------
TOTAL: 2,548 $234,955,499.20 100.00%
- ----------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------
CURRENT PRINCIPAL BALANCE
- ----------------------------------------------------------------------------------------------------------------
($) MORTGAGE LOANS STATISTICAL CALCULATION % OF STATISTICAL
DATE PRINCIPAL BALANCE ($) CALCULATION DATE POOL
PRINCIPAL BALANCE
- ----------------------------------------------------------------------------------------------------------------
1 - 50,000 726 $26,288,913.86 11.19%
50,001 - 100,000 1,047 74,273,166.77 31.61
100,001 - 150,000 389 47,546,600.24 20.24
150,001 - 200,000 188 32,516,260.93 13.84
200,001 - 250,000 107 23,904,842.39 10.17
250,001 - 300,000 41 11,081,345.04 4.72
300,001 - 350,000 21 6,856,068.19 2.92
350,001 - 400,000 13 4,925,127.99 2.10
400,001 - 450,000 8 3,404,441.07 1.45
450,001 - 500,000 4 1,934,516.26 0.82
500,001 - 550,000 3 1,549,216.46 0.66
650,001 - 700,000 1 675,000.00 0.29
- ----------------------------------------------------------------------------------------------------------------
TOTAL: 2,548 $234,955,499.20 100.00%
- ----------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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 be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
3
- --------------------------------------------------------------------------------
COLLATERAL SUMMARY
- --------------------------------------------------------------------------------
Collateral statistics for the Mortgage Loans are listed below as of the Cut-Off
Date.
- --------------------------------------------------------------------------------
CURRENT MORTGAGE RATES
- -------------------------------------------------------------------------------------------------
(%) MORTGAGE STATISTICAL CALCULATION % OF STATISTICAL
LOANS DATE PRINCIPAL BALANCE CALCULATION DATE
($) POOL PRINCIPAL
BALANCE
- -------------------------------------------------------------------------------------------------
6.251 - 6.500 2 $138,500.00 0.06%
6.501 - 6.750 12 1,445,218.81 0.62
6.751 - 7.000 30 3,168,652.73 1.35
7.001 - 7.250 21 2,826,635.19 1.20
7.251 - 7.500 66 8,319,379.01 3.54
7.501 - 7.750 71 10,111,428.53 4.30
7.751 - 8.000 167 22,940,568.11 9.76
8.001 - 8.250 68 9,463,749.37 4.03
8.251 - 8.500 137 15,568,299.78 6.63
8.501 - 8.750 283 31,951,689.89 13.60
8.751 - 9.000 242 24,274,438.49 10.33
9.001 - 9.250 90 8,902,877.64 3.79
9.251 - 9.500 101 10,619,866.98 4.52
9.501 - 9.750 143 11,502,757.38 4.90
9.751 - 10.000 161 13,510,598.87 5.75
10.001 - 10.250 83 7,128,681.72 3.03
10.251 - 10.500 117 8,551,405.90 3.64
10.501 - 10.750 88 6,595,770.18 2.81
10.751 - 11.000 98 6,926,881.31 2.95
11.001 - 11.250 60 3,447,878.01 1.47
11.251 - 11.500 67 4,164,138.86 1.77
11.501 - 11.750 73 4,214,668.87 1.79
11.751 - 12.000 90 5,260,655.03 2.24
12.001 - 12.250 46 2,848,841.98 1.21
12.251 - 12.500 48 2,224,622.86 0.95
12.501 - 12.750 43 2,085,480.28 0.89
12.751 - 13.000 40 2,292,196.65 0.98
13.001 (greater than or equal to) 01 4,469,616.77 1.90
- -------------------------------------------------------------------------------------------------
TOTAL: 2,548 $234,955,499.20 100.00%
- -------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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 be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
4
- --------------------------------------------------------------------------------
COLLATERAL SUMMARY
- --------------------------------------------------------------------------------
Collateral statistics for the Mortgage Loans are listed below as of the Cut-Off
Date.
- --------------------------------------------------------------------------------
ORIGINAL TERM TO STATED MATURITY
- --------------------------------------------------------------------------------
(MONTHS) MORTGAGE STATISTICAL CALCULATION % OF STATISTICAL
LOANS DATE PRINCIPAL BALANCE CALCULATION DATE
($) POOL PRINCIPAL
BALANCE
- --------------------------------------------------------------------------------
73 - 96 1 $24,828.02 0.01%
97 - 120 37 1,442,365.64 0.61
145 - 168 2 134,500.00 0.06
169 - 192 387 21,440,644.84 9.13
193 - 216 1 100,000.00 0.04
217 - 240 116 8,931,277.59 3.80
265 - 288 1 75,200.00 0.03
289 - 312 4 389,824.77 0.17
337 - 360 1,999 202,416,858.34 86.15
- --------------------------------------------------------------------------------
TOTAL: 2,548 $234,955,499.20 100.00%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
REMAINING TERM TO STATED MATURITY
- --------------------------------------------------------------------------------
(MONTHS) MORTGAGE STATISTICAL CALCULATION % OF STATISTICAL
LOANS DATE PRINCIPAL BALANCE CALCULATION DATE
($) POOL PRINCIPAL
BALANCE
- --------------------------------------------------------------------------------
85 - 96 1 $24,828.02 0.01%
109 - 120 37 1,442,365.64 0.61
145 - 156 1 84,500.00 0.04
157 - 168 1 50,000.00 0.02
169 - 180 387 21,440,644.84 9.13
205 - 216 1 100,000.00 0.04
217 - 228 1 268,387.73 0.11
229 - 240 115 8,662,889.86 3.69
277 - 288 1 75,200.00 0.03
289 - 300 4 389,824.77 0.17
349 - 360 1,999 202,416,858.34 86.15
- --------------------------------------------------------------------------------
TOTAL: 2,548 $234,955,499.20 100.00%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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 be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
5
- --------------------------------------------------------------------------------
COLLATERAL SUMMARY
- --------------------------------------------------------------------------------
Collateral statistics for the Mortgage Loans are listed below as of the Cut-Off
Date.
- --------------------------------------------------------------------------------
LOAN-TO-VALUE RATIO
- --------------------------------------------------------------------------------
(%) MORTGAGE STATISTICAL CALCULATION % OF STATISTICAL
LOANS DATE PRINCIPAL BALANCE CALCULATION DATE
($) POOL PRINCIPAL
BALANCE
- --------------------------------------------------------------------------------
0.01 - 10.00 3 $74,482.45 0.03%
10.01 - 20.00 22 623,453.87 0.27
20.01 - 30.00 49 2,141,202.30 0.91
30.01 - 40.00 49 2,405,778.12 1.02
40.01 - 50.00 100 5,474,800.38 2.33
50.01 - 60.00 182 13,605,620.22 5.79
60.01 - 65.00 157 12,178,539.04 5.18
65.01 - 70.00 296 26,471,547.00 11.27
70.01 - 75.00 448 38,355,164.73 16.32
75.01 - 80.00 783 80,178,936.29 34.13
80.01 - 85.00 231 25,441,854.73 10.83
85.01 - 90.00 178 21,426,757.14 9.12
90.01 - 95.00 34 4,573,249.97 1.95
95.01 - 100.00 16 2,004,112.96 0.85
- --------------------------------------------------------------------------------
TOTAL: 2,548 $234,955,499.20 100.00%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
OCCUPANCY TYPE
- --------------------------------------------------------------------------------
MORTGAGE STATISTICAL CALCULATION % OF STATISTICAL
LOANS DATE PRINCIPAL BALANCE CALCULATION DATE
($) POOL PRINCIPAL
BALANCE
- --------------------------------------------------------------------------------
Primary Residence 2,335 $220,434,010.22 93.82%
Investor Property 204 13,896,313.98 5.91
Second Home 9 625,175.00 0.27
- --------------------------------------------------------------------------------
TOTAL: 2,548 $234,955,499.20 100.00%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PROPERTY TYPE
- --------------------------------------------------------------------------------
MORTGAGE STATISTICAL CALCULATION % OF STATISTICAL
LOANS DATE PRINCIPAL BALANCE CALCULATION DATE
($) POOL PRINCIPAL
BALANCE
- --------------------------------------------------------------------------------
Single Family 2,283 $206,108,990.42 87.72%
Multi-family 163 18,223,725.43 7.76
Condo 80 9,012,975.86 3.84
Manufactured Housing 22 1,609,807.49 0.69
- --------------------------------------------------------------------------------
TOTAL: 2,548 $234,955,499.20 100.00%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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 be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
6
- --------------------------------------------------------------------------------
COLLATERAL SUMMARY
- --------------------------------------------------------------------------------
Collateral statistics for the Mortgage Loans are listed below as of the Cut-Off
Date.
- --------------------------------------------------------------------------------
STATES
- --------------------------------------------------------------------------------
MORTGAGE STATISTICAL CALCULATION % OF STATISTICAL
LOANS DATE PRINCIPAL BALANCE CALCULATION DATE
($) POOL PRINCIPAL
BALANCE
- --------------------------------------------------------------------------------
Arizona 45 $3,792,654.68 1.61%
Arkansas 11 377,053.52 0.16
California 388 61,988,862.72 26.38
Colorado 13 2,017,982.45 0.86
Connecticut 21 2,452,949.43 1.04
District of Columbia 1 86,959.41 0.04
Florida 133 10,121,485.39 4.31
Georgia 39 3,158,653.81 1.34
Hawaii 35 6,715,057.13 2.86
Idaho 9 596,594.18 0.25
Illinois 83 6,018,397.95 2.56
Indiana 26 1,962,048.05 0.84
Iowa 105 6,395,811.43 2.72
Kansas 8 472,114.07 0.20
Kentucky 13 1,071,009.89 0.46
Louisiana 15 952,532.81 0.41
Maryland 22 2,221,124.81 0.95
Massachusetts 35 5,576,913.07 2.37
Michigan 217 13,735,969.38 5.85
Minnesota 49 5,798,131.40 2.47
Mississippi 13 601,353.36 0.26
Missouri 71 3,989,261.19 1.70
Montana 9 1,095,112.86 0.47
Nebraska 2 95,000.00 0.04
Nevada 38 3,381,289.97 1.44
New Hampshire 2 104,969.75 0.04
New Jersey 33 3,643,987.50 1.55
New Mexico 1 52,000.00 0.02
New York 129 15,691,308.48 6.68
North Carolina 62 3,965,192.76 1.69
Ohio 185 12,188,811.82 5.19
Oklahoma 35 1,846,749.18 0.79
Oregon 20 2,829,406.17 1.20
Pennsylvania 65 4,477,952.55 1.91
Rhode Island 13 1,435,357.96 0.61
South Carolina 9 505,771.45 0.22
South Dakota 1 43,200.00 0.02
Tennessee 78 4,338,968.87 1.85
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
7
- --------------------------------------------------------------------------------
COLLATERAL SUMMARY
- --------------------------------------------------------------------------------
Collateral statistics for the Mortgage Loans are listed below as of the Cut-Off
Date.
- --------------------------------------------------------------------------------
STATES
- --------------------------------------------------------------------------------
MORTGAGE STATISTICAL CALCULATION % OF STATISTICAL
LOANS DATE PRINCIPAL BALANCE CALCULATION DATE
($) POOL PRINCIPAL
BALANCE
- --------------------------------------------------------------------------------
(continued)
Texas 379 $26,588,374.11 11.32%
Utah 13 1,216,004.94 0.52
Virginia 45 3,716,802.94 1.58
Washington 45 5,447,918.85 2.32
West Virginia 4 219,759.63 0.09
Wisconsin 27 1,904,639.28 0.81
Wyoming 1 64,000.00 0.03
- -------------------------------------------------------------------------------
TOTAL: 2,548 $234,955,499.20 100.00%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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 be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
8
- --------------------------------------------------------------------------------
COLLATERAL SUMMARY
- --------------------------------------------------------------------------------
Collateral statistics for the Mortgage Loans are listed below as of the Cut-Off
Date.
- --------------------------------------------------------------------------------
ORIGINATION CHANNEL
- --------------------------------------------------------------------------------
MORTGAGE STATISTICAL CALCULATION % OF STATISTICAL
LOANS DATE PRINCIPAL BALANCE CALCULATION DATE
($) POOL PRINCIPAL
BALANCE
- --------------------------------------------------------------------------------
Wholesale/Broker 780 $90,239,921.11 38.41%
Retail 1,768 144,715,578.09 61.59
- -------------------------------------------------------------------------------
TOTAL: 2,548 $234,955,499.20 100.00%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
DOCUMENTATION TYPE
- --------------------------------------------------------------------------------
MORTGAGE STATISTICAL CALCULATION % OF STATISTICAL
LOANS DATE PRINCIPAL BALANCE CALCULATION DATE
($) POOL PRINCIPAL
BALANCE
- --------------------------------------------------------------------------------
Full 2,198 $199,360,736.84 84.85%
Stated 312 32,402,680.20 13.79
Light 38 3,192,082.16 1.36
- --------------------------------------------------------------------------------
TOTAL: 2,548 $234,955,499.20 100.00%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
CREDIT GRADE
- --------------------------------------------------------------------------------
MORTGAGE STATISTICAL CALCULATION % OF STATISTICAL
LOANS DATE PRINCIPAL BALANCE CALCULATION DATE
($) POOL PRINCIPAL
BALANCE
- --------------------------------------------------------------------------------
A+ 124 $10,802,298.21 4.60%
A 457 48,797,961.24 20.77
A- 822 86,455,963.83 36.80
B+ 178 14,563,428.19 6.20
B 401 34,178,184.94 14.55
B- 79 5,586,301.47 2.38
C+ 74 4,683,804.59 1.99
C 280 20,601,134.07 8.77
C- 55 5,346,325.54 2.28
D 78 3,940,097.12 1.68
- --------------------------------------------------------------------------------
TOTAL: 2,548 $234,955,499.20 100.00%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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 be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
9
- --------------------------------------------------------------------------------
COLLATERAL SUMMARY
- --------------------------------------------------------------------------------
Collateral statistics for the Mortgage Loans are listed below as of the Cut-Off
Date.
- ----------------------------------------------------------------------------------------------
FICO SCORE
- ----------------------------------------------------------------------------------------------
MORTGAGE STATISTICAL CALCULATION % OF STATISTICAL
LOANS DATE PRINCIPAL BALANCE CALCULATION DATE
($) POOL PRINCIPAL
BALANCE
- ----------------------------------------------------------------------------------------------
Not Available 22 $2,056,980.09 0.88%
483 - 540 271 20,317,822.20 8.65
541 - 580 569 47,475,132.21 20.21
581 - 620 748 72,940,233.24 31.04
621 - 660 602 61,480,370.40 26.17
661 - 700 210 19,513,568.43 8.31
701 - 740 83 7,714,776.40 3.28
741 - 780 33 2,658,629.02 1.13
781 (greater than or equal to) 10 797,987.21 0.34
- ----------------------------------------------------------------------------------------------
TOTAL: 2,548 $234,955,499.20 100.00%
- ----------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------
MARGIN
- ----------------------------------------------------------------------------------------------
(%) MORTGAGE STATISTICAL CALCULATION % OF STATISTICAL
LOANS DATE PRINCIPAL BALANCE CALCULATION DATE
($) POOL PRINCIPAL
BALANCE
- ----------------------------------------------------------------------------------------------
3.501 - 4.000 2 $354,150.97 2.07%
4.001 - 4.500 1 103,308.86 0.60
4.501 - 5.000 4 474,246.24 2.77
5.001 - 5.500 2 121,673.34 0.71
5.501 - 6.000 17 1,275,202.36 7.46
6.001 - 6.500 48 4,025,993.11 23.55
6.501 - 7.000 42 3,398,669.16 19.88
7.001 - 7.500 16 1,363,810.90 7.98
7.501 - 8.000 16 1,531,524.20 8.96
8.001 - 8.500 17 1,939,045.31 11.34
8.501 - 9.000 10 890,526.00 5.21
9.001 - 9.500 5 481,585.35 2.82
9.501 - 10.000 17 1,009,379.65 5.90
10.001 (greater than or equal to) 2 128,351.40 0.75
- ----------------------------------------------------------------------------------------------
TOTAL: 199 $17,097,466.85 100.00%
- ----------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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 be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
10
- --------------------------------------------------------------------------------
COLLATERAL SUMMARY
- --------------------------------------------------------------------------------
Collateral statistics for the Mortgage Loans are listed below as of the Cut-Off
Date.
- --------------------------------------------------------------------------------------------------------
NEXT RATE ADJUSTMENT DATE
- --------------------------------------------------------------------------------------------------------
MORTGAGE STATISTICAL CALCULATION % OF STATISTICAL
LOANS DATE PRINCIPAL BALANCE CALCULATION DATE
($) POOL PRINCIPAL
BALANCE
- --------------------------------------------------------------------------------------------------------
May, 2004 3 $245,928.08 1.44%
June, 2004 8 617,421.93 3.61
July, 2004 28 2,111,474.07 12.35
August, 2004 33 2,402,119.90 14.05
September, 2004 20 1,844,543.39 10.79
October, 2004 12 1,056,828.64 6.18
November, 2004 6 515,531.84 3.02
December, 2004 70 6,044,688.00 35.35
January, 2005 19 2,258,931.00 13.21
- --------------------------------------------------------------------------------------------------------
TOTAL: 199 $17,097,466.85 100.00%
- --------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------
MAXIMUM MORTGAGE RATE
- --------------------------------------------------------------------------------------------------------
(%) MORTGAGE STATISTICAL CALCULATION % OF STATISTICAL
LOANS DATE PRINCIPAL BALANCE CALCULATION DATE
($) POOL PRINCIPAL
BALANCE
- --------------------------------------------------------------------------------------------------------
13.001 - 13.500 1 $259,211.55 1.52%
13.501 - 14.000 1 103,308.86 0.60
14.001 - 14.500 1 94,939.42 0.56
14.501 - 15.000 10 1,064,524.34 6.23
15.001 - 15.500 18 2,308,701.49 13.50
15.501 - 16.000 34 3,163,443.49 18.50
16.001 - 16.500 26 2,739,490.88 16.02
16.501 - 17.000 29 2,438,897.96 14.26
17.001 - 17.500 22 1,190,692.07 6.96
17.501 - 18.000 17 1,299,449.67 7.60
18.001 - 18.500 17 995,024.53 5.82
18.501 - 19.000 13 936,497.75 5.48
19.001 - 19.500 6 242,252.87 1.42
19.501 - 20.000 2 145,666.41 0.85
20.001 (greater than or equal to) 2 115,365.56 0.67
- --------------------------------------------------------------------------------------------------------
TOTAL: 199 $17,097,466.85 100.00%
- --------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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 be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
11
- --------------------------------------------------------------------------------
COLLATERAL SUMMARY
- --------------------------------------------------------------------------------
Collateral statistics for the Mortgage Loans are listed below as of the Cut-Off
Date.
- --------------------------------------------------------------------------------
MINIMUM MORTGAGE RATE
- --------------------------------------------------------------------------------
(%) MORTGAGE STATISTICAL CALCULATION % OF STATISTICAL
LOANS DATE PRINCIPAL BALANCE CALCULATION DATE
($) POOL PRINCIPAL
BALANCE
- --------------------------------------------------------------------------------
7.001 - 7.500 1 $259,211.55 1.52%
7.501 - 8.000 1 103,308.86 0.60
8.001 - 8.500 1 94,939.42 0.56
8.501 - 9.000 10 1,064,524.34 6.23
9.001 - 9.500 18 2,308,701.49 13.50
9.501 - 10.000 34 3,163,443.49 18.50
10.001 - 10.500 26 2,739,490.88 16.02
10.501 - 11.000 29 2,438,897.96 14.26
11.001 - 11.500 22 1,190,692.07 6.96
11.501 - 12.000 17 1,299,449.67 7.60
12.001 - 12.500 17 995,024.53 5.82
12.501 - 13.000 13 936,497.75 5.48
13.001 - 13.500 6 242,252.87 1.42
13.501 - 14.000 2 145,666.41 0.85
14.001 - 14.500 2 115,365.56 0.67
- -------------------------------------------------------------------------------
TOTAL: 199 $17,097,466.85 100.00%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
INITIAL PERIODIC RATE
- --------------------------------------------------------------------------------
(%) MORTGAGE STATISTICAL CALCULATION % OF STATISTICAL
LOANS DATE PRINCIPAL BALANCE CALCULATION DATE
($) POOL PRINCIPAL
BALANCE
- --------------------------------------------------------------------------------
2.501 - 3.000 199 $17,097,466.85 100.00%
- --------------------------------------------------------------------------------
TOTAL: 199 $17,097,466.85 100.00%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PERIOD CAP
- --------------------------------------------------------------------------------
(%) MORTGAGE STATISTICAL CALCULATION % OF STATISTICAL
LOANS DATE PRINCIPAL BALANCE CALCULATION DATE
($) POOL PRINCIPAL
BALANCE
- --------------------------------------------------------------------------------
0.501 - 1.000 199 $17,097,466.85 100.00%
- --------------------------------------------------------------------------------
TOTAL: 199 $17,097,466.85 100.00%
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
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 be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared on the
basis of certain assumptions (including, in certain cases, assumptions specified
by the recipient hereof) regarding payments, interest rates, losses and other
matters, including, but not limited to, the assumptions described in the
Offering Document. Lehman Brothers Inc., and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
12