EX-99.1 3 e13891ex99_1.txt COMPUTATIONAL MATERIALS Exhibit 99.1 EXTERNAL USE LEHMAN BROTHERS MORTGAGE BACKED SECURITIES $307,144,100 (APPROXIMATE OFFERED) SASCO 2002-22H AURORA LOAN SERVICES, MASTER SERVICER CITIBANK, N.A, TRUSTEE
------------------------------------------------------------------------------------------------------------------------------- Expected WAL at Payment Initial Approx. Security Pricing (1) Window (1) Loss Ratings: Class Size ($) Coupon Description (To Maturity) (To Maturity) Coverage Moodys / Fitch ------------------------------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------------------------------- 1A $242,826,000 7.00% Senior PT 3.28 11/02-04/32 3.00% Aaa / AAA 1AX $242,826,100 Variable Senior IO 3.28 11/02-04/32 3.00% Aaa / AAA B1-I $ 4,506,000 Variable Subordinate 5.89 11/02-04/32 1.20% None / AA B2-I $ 1,502,000 Variable Subordinate 5.89 11/02-04/32 0.60% None / A ------------------------------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------------------------------- 2A $ 56,181,000 Variable Senior PT 3.24 11/02-07/32 3.00% Aaa / AAA B1-II $ 926,000 Variable Subordinate 5.82 11/02-07/32 1.40% None / AA B2-II $ 405,000 Variable Subordinate 5.82 11/02-07/32 0.70% None / A ------------------------------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------------------------------- B3(2) $ 798,000 Variable Subordinate 5.88 11/02-07/32 (3) None / BBB B4(2) $ 490,000 Variable Subordinate 5.88 11/02-07/32 0.20%(4) None / BB B5(2) $ 307,000 Variable Subordinate 5.88 11/02-07/32 0.10%(4) None / B B6(2) $ 314,370 Variable Subordinate 5.88 11/02-07/32 N/A None / None ------------------------------------------------------------------------------------------------------------------------------- ------------------------------------------------------------------------------------------------------------------------------- R $ 100 Variable Residual 0.07 11/02-11/02 3.00% Aaa / AAA -------------------------------------------------------------------------------------------------------------------------------
(1) Pricing speed is 25% CPR. (2) Combined subordinate tranches, each with two unseverable components. (3) 0.35% expected loss coverage for component B3 (I) and 0.40% expected loss coverage for component B3 (II). (4) Expected loss coverage for both tranche components. -------------------------------------------------------------------------------- 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 EXTERNAL USE LEHMAN BROTHERS MORTGAGE BACKED SECURITIES Deal Overview: -------------- o The collateral is comprised of two pools of first lien, fully amortizing mortgage loans: > Collateral Pool 1 is composed of fixed rate loans. > Collateral Pool 2 is composed of 5 year Hybrid ARMs that are indexed to either 1-month, 6-month or 1-year LIBOR. o The trust will issue 12 classes of Certificates: 9 classes will be publicly offered and 3 classes will be privately offered (Classes B4, B5 and B6 will be offered privately). o Class 1AX are Interest-Only Certificates. They will receive no payments of principal. o Interest and principal on the Collateral Pool 1 and 2 offered certificates will be payable solely from amounts collected from the mortgage loans in each respective Collateral Pool. The only class of offered certificates that will be combined from both Collateral Pools is the Class B3. o Realized Losses from Collateral Pool 1 will be applied to the Component B6 (I), Component B5 (I), Component B4 (I), Component B3 (I), Class B2-I and Class B1-I, in that order, until their principal balances are reduced to zero. o Realized Losses from Collateral Pool 2 will be applied to the Component B6 (II), Component B5 (II), Component B4 (II), Component B3 (II), Class B2-II and Class B1-II, in that order, until their principal balances are reduced to zero. o ALS maintains a 5% Clean up Call on the collateral on an aggregate basis. -------------------------------------------------------------------------------- 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 EXTERNAL USE LEHMAN BROTHERS MORTGAGE BACKED SECURITIES Specific Terms of the Offering: ------------------------------- Cut-Off Date: October 1, 2002 Expected Settlement Date: October 30, 2002 Distribution Dates: 25th of each month, or the next business day after the 25th day of the month if the 25th is not a business day, beginning on November 25, 2002. Issuer: Structured Asset Securities Corp. ("SASCO") Master Servicer: Aurora Loan Services ("ALS") Servicers: ALS, Bank of America, Chase Manhattan Mortgage Corporation, Countrywide, GMAC, Suntrust, Washington Mutual, Waterfield and Wells Fargo Trustee: Citibank, N.A Rating Agencies: Moodys: AAA certificates only Fitch: All certificates Day Count: 30/360 Delay Days: 24 Day Delay: All Classes. Registration: Book-entry form through DTC SMMEA Eligibility: The Senior Certificates and the Class B1 Certificates will be SMMEA eligible. ERISA Eligibility: The Senior Certificates (with the exception of the Class R) will be ERISA eligible. Tax Status: REMIC for Federal income tax purposes. 5% Optional Termination: The transaction may be called by ALS when the aggregate outstanding mortgage balance is less than 5% of the Cut-Off Date aggregate collateral loan balance. -------------------------------------------------------------------------------- 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 EXTERNAL USE LEHMAN BROTHERS MORTGAGE BACKED SECURITIES Terms of the Offering -Interest Rates: -------------------------------------- Interest Rates: Class 1A is a senior certificate and will accrue interest at a rate equal to the lesser of (1) 7.00% and (2) the Net WAC of Collateral Pool 1. Class 1AX is a senior interest-only certificate. It will accrue interest at a rate equal to the greater of (1) the Net WAC of Collateral Pool 1 minus 7.00% and (2) 0.00%. The notional balance of the Class will be equal to the principal balance of Class 1A and Class R. Class 2A is a senior certificate and will accrue interest at a rate equal to the Net WAC of Collateral Pool 2. Classes B1-I and B2-I, Components B3 (I), B4 (I), B5 (I) and B6 (I) will accrue interest at a rate equal to the Net WAC of Collateral Pool 1. Classes B1-II, B2-II, Components B3 (II), B4 (II), B5 (II) and B6 (II) will accrue interest at a rate equal to the Net WAC of Collateral Pool 2. Class R is a senior certificate and will accrue interest at a rate equal to the lesser of (1) 7.00% and (2) the Net WAC of Collateral Pool 1. Classes B3, B4, B5 and B6 will accrue interest at a rate equal to the weighted average of each of the corresponding tranche components rates weighted by the corresponding tranche component balances. Credit Enhancement: Subordination of the lower rated classes. Subordinate Certificates For any Class or Component of Subordinate Lockout of Prepayments Certificates in each respective pool, other than and Recoveries: the Component B6 (I) or B6 (II) (as applicable), on any distribution date for which the Credit Support Percentage of that Class or Component is less than its original Credit Support Percentage, no distributions of prepayments or recoveries allocable to principal will be made to any Class or Component of lower priority than it. The amount otherwise distributable to such classes of lower priority shall be allocated pro rata among the remaining Classes or Components of Subordinate Certificates within the respective pool. Credit Support Percentage: For any Class or Component of Certificates with respect to either Collateral Pool, on any distribution date, the sum of the Class Percentages of each Class of lower priority (before applying distributions for that date) in the related pool. Class Percentage: For any Class or Component of Certificates with respect to a either Collateral Pool, on any distribution date, the percentage equivalent of a fraction, the numerator of which is the outstanding balance of that Class or Component, immediately prior to that distribution date and the denominator of which is the aggregate principal amount of all Classes or Components of Certificates immediately prior to that date in the related pool. -------------------------------------------------------------------------------- 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 EXTERNAL USE LEHMAN BROTHERS MORTGAGE BACKED SECURITIES Terms of the Offering - Distribution of Principal: -------------------------------------------------- Shifting Interest Structure with 5 year lockout* Collateral Pool 1 Subordinate Test % = Pool 1 Subordinate Amount / Collateral Pool 1 collateral balance. Collateral Pool 2 Subordinate Test % = Pool 2 Subordinate Amount / Collateral Pool 2 collateral balance. Pool 1 Subordinate Amount = The Collateral Pool 1 collateral balance, less the current principal balance of the Collateral Pool 1 senior certificates. Pool 2 Subordinate Amount = The Collateral Pool 2 collateral balance, less the current principal balance of the Collateral Pool 2 senior certificates. o *For each Collateral Pool, if the corresponding Pool Subordinate Test % is less than or equal to 2 times the original Pool Subordinate Test %: -------------------------------------------------------------------- Distribution Dates (months) Shift Percentage -------------------------------------------------------------------- 1 - 60 100% -------------------------------------------------------------------- 61 - 72 70% -------------------------------------------------------------------- 73 - 84 60% -------------------------------------------------------------------- 85 - 96 40% -------------------------------------------------------------------- 97 - 108 20% -------------------------------------------------------------------- 109+ 0% -------------------------------------------------------------------- o *For each Collateral Pool, if the corresponding Pool Subordinate Test % is greater than 2 times the original Pool Subordinate Test %: -------------------------------------------------------------------- Distribution Dates (months) Shift Percentage -------------------------------------------------------------------- 1 - 36 50% -------------------------------------------------------------------- 37+ 0% -------------------------------------------------------------------- (*In relation to any Collateral Pool, if the respective AAA loss coverage doubles based on the initial cut-off date loss coverage during the first 36 months of the transaction, the respective Senior certificates will be entitled to 50% of the Subordinate certificates' percentage of pre-payments, subject to cumulative loss and delinquency tests. After month 36, if the respective AAA loss coverage doubles based on the initial loss coverage as of the cut-off date, the respective Senior certificates will only be entitled to pre-payments based on the respective Collateral Pool Senior certificate percentage only, subject to cumulative loss and delinquency tests). -------------------------------------------------------------------------------- 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 EXTERNAL USE LEHMAN BROTHERS MORTGAGE BACKED SECURITIES Terms of the Offering - Distribution of Principal (cont.): ---------------------------------------------------------- Pool Senior Percentage: For each Collateral Pool, on any distribution date, the percentage equivalent of a fraction, the numerator of which is the sum of the class principal amounts of each class of senior certificates (excluding the balance of Class 1AX in the case of Collateral Pool 1) and the denominator of which is the related Collateral Pool balance for the immediately preceding distribution date. Pool Subordinate Percentage: For each Collateral Pool, on any distribution date, one minus its Senior Percentage. Pool Senior Prepayment For each Collateral Pool, on any distribution Percentage: date, the sum of (1) the Pool Senior Percentage and (2) the product of (a) the Senior Principal Prepayment Shift Percentage for that distribution date multiplied by (b) the related Pool Subordinate Percentage for that distribution date. Pool Subordinate For each Collateral Pool, on any distribution Prepayment Percentage: date, one minus its Pool Senior Prepayment Percentage. Pool Senior Principal For each Collateral Pool, on any distribution Distribution Amount: date, the sum of (1) the product of (a) the related Pool Senior Percentage and (b) the related scheduled principal collections and (2) the product of (a) the related Senior Prepayment Percentage and (b) the related unscheduled principal collections. Pool Subordinate Principal For each Collateral Pool, on any distribution Distribution Amount: date, the sum of (1) the product of (a) the related Pool Subordinate Percentage and (b) the related scheduled principal collections; and (2) the product of (a) the related Subordinate Prepayment Percentage and (b) the related unscheduled principal collections. -------------------------------------------------------------------------------- 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 EXTERNAL USE LEHMAN BROTHERS MORTGAGE BACKED SECURITIES Principal Paydown Rules: ------------------------ I. Pay Senior PDA as follows: ----------------------------- Pool 1 Senior PDA: 1) Pay Class R, until reduced to zero. 2) Pay Class 1A until reduced to zero. Pool 2 Senior PDA: 1) Pay Class 2A, until reduced to zero. II. Pay Subordinate PDA as follows*: ------------------------------------ *Subject to credit support tests Pool 1 Subordinate PDA: 1) Pay Class B1-I, Class B2-I, Component B3 (I), B4 (I), B5 (I) and B6 (I) on a pro-rata basis until reduced to zero. Pool 2 Subordinate PDA: 1) Pay Class B1-II, Class B2-II, Component B3 (II), B4 (II), B5 (II) and B6 (II) on a pro-rata basis until reduced to zero. -------------------------------------------------------------------------------- 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 EXTERNAL USE LEHMAN BROTHERS MORTGAGE BACKED SECURITIES Prepayment Sensitivity: -----------------------
--------------------------------------------------------------------------------------------------------------------------- 0 CPR 12.5%CPR 25% CPR 37.5% CPR 50% CPR ---------------------------------------------------------------------------------------------------------------- Payment Payment Payment Payment Payment WAL Window WAL Window WAL Window WAL Window WAL Window Class (yrs.) (To Mat.) (yrs.) (To Mat.) (yrs.) (To Mat.) (yrs.) (To Mat.) (yrs.) (To Mat.) --------------------------------------------------------------------------------------------------------------------------- 1A 19.92 11/02-04/32 6.43 11/02-04/32 3.28 11/02-04/32 2.04 11/02-04/32 1.40 11/02-03/31 1AX 19.92 11/02-04/32 6.43 11/02-04/32 3.28 11/02-04/32 2.04 11/02-04/32 1.40 11/02-03/31 2A 18.41 11/02-07/32 6.24 11/02-07/32 3.24 11/02-07/32 2.03 11/02-07/32 1.39 11/02-05/29 B1-I 19.92 11/02-04/32 10.87 11/02-04/32 5.89 11/02-04/32 4.17 11/02-04/32 3.20 11/02-08/28 B2-I 19.92 11/02-04/32 10.87 11/02-04/32 5.89 11/02-04/32 4.17 11/02-04/32 3.20 11/02-05/27 B1-II 18.41 11/02-07/32 10.48 11/02-07/32 5.82 11/02-07/32 4.14 11/02-05/32 3.19 11/02-06/25 B2-II 18.41 11/02-07/32 10.48 11/02-07/32 5.82 11/02-07/32 4.14 11/02-03/32 3.19 11/02-06/25 B3 19.59 11/02-07/32 10.78 11/02-07/32 5.88 11/02-07/32 4.16 11/02-04/32 3.20 11/02-06/26 B4 19.57 11/02-07/32 10.78 11/02-07/32 5.88 11/02-07/32 4.16 11/02-04/32 3.20 11/02-10/25 B5 19.64 11/02-07/32 10.80 11/02-07/32 5.88 11/02-07/32 4.16 11/02-03/32 3.20 11/02-04/25 B6 19.62 11/02-07/32 10.79 11/02-07/32 5.88 11/02-07/32 4.16 11/02-10/31 3.20 11/02-03/26 R 0.07 11/02-11/02 0.07 11/02-11/02 0.07 11/02-11/02 0.07 11/02-11/02 0.07 11/02-11/02 ---------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- Contacts -------------------------------------------------------------------------------- MBS Trading Dan Wallace (212) 526-8315 Christian Lawless (212) 526-8315 Residential Finance Joe Kelly (212) 526-4274 Donnie Israeli (212) 526-5754 Will Dorado (212) 526-4005 -------------------------------------------------------------------------------- -------------------------------------------------------------------------------- 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 EXTERNAL USE LEHMAN BROTHERS MORTGAGE BACKED SECURITIES Collateral Summary: -------------------
------------------------------------------------------------------------------------------------------------------ Fixed 5/1 Hybrid ARMs Pool 1 Pool 2 Total Number of Loans 1,956 321 Total Outstanding Loan Balance $250,336,715.07 $57,918,755.76 Average Loan Principal Balance $127,984 $108,432 Range of Loan Principal Balance $12,339 - $498,242 $45,221 - $539,507 Weighted Average Coupon 7.702% 6.978% Range of Coupons 6.125% - 10.000% 4.500% - 8.500% Weighted Average Margin N/A 2.441% Range of Margins N/A 2.250% - 2.750% Weighted Average Initial Periodic Cap N/A 5.012% Range of Initial Periodic Caps N/A 1.000% - 6.000% Weighted Average Periodic Cap N/A 1.307% Range of Periodic Caps N/A 1.000% - 2.000% Weighted Average Maximum Rate N/A 12.006% Weighted Average Floor N/A 2.499% Weighted Average Original Term (mo.) 359 360 Weighted Average Remaining Term (mo.) 354 356 Range of Remaining Term (mo.) 162 - 360 342 - 359 Weighted Average Original LTV 101.64% 100.94% Range of Original LTV 80.00% - 103.00% 40.00% - 103.00% Weighted Average FICO 739 735 Range of FICO 615 - 819 660 - 808 Weighted Average Next Reset Date N/A May 25, 2007 Lien Position First 100.00% 100.00% Second 0.00% 0.00% Geographic Distribution (Other states account individually for less than TX - 8.41% NC - 20.82% 5% of the Cut-off Date principal balance) CA - 8.15% CA - 13.26% FL - 6.52% GA - 9.17% NC - 5.63% MD - 8.86% VA - 5.06% VA - 7.18% TN - 5.83% Occupancy Status Primary Home 99.58% 98.75% Investment 0.42% 0.32% Second Home 0.00% 0.93% ------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------- 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