EX-99.1 3 file002.txt COMPUTATIONAL MATERIALS LEHMAN BROTHERS $270,574,004 (APPROXIMATE) SASCO 2002-10H AURORA LOAN SERVICES, MASTER SERVICER LASALLE BANK, TRUSTEE
--------------------------------------------------------------------------------------------------------------------------- Original WAL at Payment Approx. Fixed Principal Pricing (2) Window Enhancement Ratings Class Size Coupon Type (To Maturity) (To Maturity) Percentage Fitch / S&P --------------------------------------------------------------------------------------------------------------------------- 1A $239,672,000 7.00% Senior PT 3.29 06/02-11/31 2.75% AAA / AAA 1AP $ 4,821,708 0.00% Ratio Strip PO 3.35 06/02-11/31 2.75% AAA / AAA 1AX $ 6,262,133 7.00% Senior IO 3.36 06/02-11/31 2.75% AAA / AAA --------------------------------------------------------------------------------------------------------------------------- 2A $ 19,232,000 7.00% Senior PT 3.29 06/02-12/31 2.75% AAA / AAA 2AP $ 334,196 0.00% Ratio Strip PO 3.35 06/02-12/31 2.75% AAA / AAA 2AX $ 506,939 7.00% Senior IO 3.37 06/02-12/31 2.75% AAA / AAA --------------------------------------------------------------------------------------------------------------------------- B1 $ 4,072,000 7.00% Subordinate 5.89 06/02-11/31 1.25% AA / None B2 $ 1,764,000 7.00% Subordinate 5.89 06/02-11/31 0.60% A / None B3 $ 678,000 7.00% Subordinate 5.89 06/02-11/31 0.35% BBB / None B4 $ 407,000 7.00% Subordinate 5.89 06/02-11/31 0.20% BB / None B5 $ 271,000 7.00% Subordinate 5.89 06/02-11/31 0.10% B / None B6 $ 275,541 7.00% Subordinate 5.89 06/02-11/31 N/A None / None --------------------------------------------------------------------------------------------------------------------------- R $ 100 7.00% Residual 0.07 06/02-06/02 2.75% AAA / AAA ---------------------------------------------------------------------------------------------------------------------------
(1) Classes B1, B2, B3, B4, B5 and B6 are Subordinate Certificates. (2) Pricing speed is 25% CPR. COLLATERAL SUMMARY: -------------------
TOTAL NUMBER OF LOANS 1,956 TOTAL OUTSTANDING LOAN BALANCE $ 271,527,546 AVERAGE LOAN PRINCIPAL BALANCE $ 138,817 FIXED RATE 100.0% WEIGHTED AVERAGE COUPON 7.6% WEIGHTED AVERAGE ORIGINAL TERM (MO.) 359.4 WEIGHTED AVERAGE REMAINING TERM (MO.) 354.2 WEIGHTED AVERAGE LOAN AGE (MO.) 5.2 WEIGHTED AVERAGE ORIGINAL LTV 101.6% NON-ZERO WEIGHTED AVERAGE FICO 736 NON-ZERO WEIGHTED AVERAGE DTI 34.0% PROPERTY TYPE Single Family 78.0% Planned Unit Development 15.7% Condo 6.1% Townhouse 0.3% DOCUMENTATION TYPE Full Documentation 99.8% Alternate Documentation 0.2% PMI, CLTV > 80% 100.0% GEOGRAPHIC DISTRIBUTION (Other states account individually for less than 5% of the Cut-off Date principal balance) NC 9.0% CA 8.6% TX 6.3% FL 5.0% OCCUPANCY STATUS Primary Home 100.0% LOAN PURPOSE Purchase 98.2% Rate/Term Refinance 1.2% Cash Out Refinance 0.6%
-------------------------------------------------------------------------------- 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 an d 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 LEHMAN BROTHERS Deal Overview: -------------- o The collateral pool is comprised of two groups of fixed rate, first lien, fully amortizing mortgage loans. o Collateral Group 1 is composed of loans which conform to the underwriting guidelines of Fannie Mae and Freddie Mac. o Collateral Group 2 is composed of loans which do not conform to the underwriting guidelines of Fannie Mae and Freddie Mac. o The trust will issue 13 classes of Certificates: 10 classes will be publicly offered and 3 classes will be privately offered (Classes B4, B5 and B6 will be offered privately). o Classes 1AP and 2AP are Principal-Only Certificates. They will receive no payments of interest. o Classes 1AX and 2AX are Interest-Only Certificates. They will receive no payments of principal. o The trust will issue 6 classes of Subordinate Certificates. Losses from the both collateral groups will be applied to the Subordinate Certificates in reverse order of priority. o The servicer maintains a 5% CLEAN UP CALL on the collateral. -------------------------------------------------------------------------------- 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 an d 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 LEHMAN BROTHERS
Specific Terms of the Offering: ------------------------------- Cut-Off Date: May 1, 2002 Expected Settlement Date: May 29, 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 June 25, 2002. Issuer: Structured Asset Securities Corp. ("SASCO") Master Servicer: Aurora Loan Services ("ALS") Servicers: ALS, Bank of America, Cendant, Commercial Federal, Countrywide, GreenPoint, GMAC, Washington Mutual, Wells Fargo Trustee: LaSalle Bank Rating Agencies: S&P: 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 the Servicer when the aggregate outstanding mortgage balance is less than 5% of the Cut-Off Date 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 an d 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 LEHMAN BROTHERS
Terms of the Offering -Interest Rates: -------------------------------------- Interest Rates: CLASS 1A is a senior certificate and will accrue interest at a rate of 7.00%. CLASS 1AP is a principal-only certificate. It will not be entitled to payments of interest. CLASS 2A is a senior certificate and will accrue interest at a rate of 7.00%. CLASS 2AP is a principal-only certificate. It will not be entitled to payments of interest. CLASS 1AX is an interest-only certificate. They will accrue interest at a fixed rate of 7.00%. The notional balance of the Class will be equal to (1) the product of (a) the weighted average of the Net Mortgage Rates of the Collateral Group 1 Non-Discount loans at the beginning of the related Due Period minus 7.00% and (b) the principal balance of the Collateral Group 1 Non-Discount loans at the beginning of the related Due Period divided by (2) 7.00% CLASS 2AX is an interest-only certificate. They will accrue interest at a fixed rate of 7.00%. The notional balance of the Class will be equal to (1) the product of (a) the weighted average of the Net Mortgage Rates of the Collateral Group 2 Non-Discount loans at the beginning of the related Due Period minus 7.00% and (b) the principal balance of the Collateral Group 2 Non-Discount loans at the beginning of the related Due Period divided by (2) 7.00% CLASSES B1, B2, B3, B4, B5 and B6 will accrue interest at a rate of 7.00%. Credit Enhancement: Subordination of the lower rated classes. Loss Allocation: Losses allocable to both collateral groups will be applied reverse sequentially as follows: B6, B5, B4, B3, B2 and then B1. The allocation of losses to a class will result in a writedown of its principal amount and is referred to as an "Applied Loss Amount".
-------------------------------------------------------------------------------- This information does not constitute either an offer to sell or a solicitation of an offer to buy any of the securities referred to herein. Offers to sell an d 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 LEHMAN BROTHERS TERMS OF THE OFFERING - DISTRIBUTION OF PRINCIPAL: -------------------------------------------------- Senior Principal Prepayment Shift %: ---------------- -------------------------- Period Senior Principal Prepayment Shift % ---------------- -------------------------- 1-60 100%* 61-72 70% 73-84 60% 85-96 40% 97-108 20% 109 + 0% ---------------- -------------------------- *Shifting Interest Structure Not withstanding the Senior Principal with 5-year lockout Prepayment Shift %, if the Total Subordinate Percentage more than doubles based on the initial cut-off date Total Subordinate Percentage during the first 36 months of the transaction, the senior certificates will be entitled to 50% of the Group Subordinate bonds percentage of prepayments, subject to cumulative loss and delinquency tests. After month 36, if the Total Subordinate Percentage more than doubles based on the initial Total Subordinate Percentage of as of the cut-off date, the senior certificates will only be entitled to prepayments based on the Group Senior percentage, subject to cumulative loss and delinquency tests. Subordinate Certificates For any Class of Subordinate Certificates, Lockout of Prepayments other than the B6, on any distribution date and Recoveries: for which the credit support percentage of that Class is less than its original credit support percentage, no distributions of prepayments or recoveries allocable to principal will be made to any Class of lower priority than it. The amount otherwise distributable to such classes of lower priority shall be allocated pro rata among the remaining Classes of Subordinate Certificates. Credit Support Percentage: For any Class of Certificates, on any distribution date, the sum of the Class Percentages of each Class of lower priority (before applying distributions for that date). Class Percentage: For any Class of Certificates, on any distribution date, the percentage equivalent of a fraction, the numerator of which is the outstanding balance of that Class, immediately prior to that distribution date and the denominator of which is the aggregate class principal amount of all Classes of Certificates immediately prior to that date. -------------------------------------------------------------------------------- This information does not constitute either an offer to sell or a solicitation of an offer to buy any of the securities referred to herein. Offers to sell an d 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 LEHMAN BROTHERS Terms of the Offering - Distribution of Principal (cont.): ---------------------------------------------------------- Group Senior Percentage: For each Collateral Group, 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 respective AX and AP Certificates) and the denominator of which is the related Non-AP balance of the Collateral Group for the immediately preceding distribution date. Group Subordinate Percentage: For each Collateral Group, on any distribution date, one minus its Senior Percentage. Total Subordinate Percentage: 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 Subordinate Certificates and the denominator of which is the Non-PO balance of the Collateral for the immediately preceding distribution date. Group Senior Prepayment For each Collateral Group, on any Percentage: distribution date, the sum of (1) the Group Senior Percentage and (2) the product of (a) the Senior Principal Prepayment Shift Percentage for that distribution date multiplied by (b) the related Group Subordinate Percentage for that distribution date. Group Subordinate For each Collateral Group, on any Prepayment Percentage: distribution date, one minus its Group Senior Prepayment Percentage. Group AP Percentage: For each Collateral Group, on any distribution date, the percentage equivalent of a fraction, the numerator of which is 7.00% minus the Net Mortgage Rate for the discount mortgage loans from each respective Collateral Group and the denominator of which is 7.00%. Group AP Principal For each Collateral Group, on any Distribution Amount: distribution date, the sum of (1) the related Group AP Percentage of scheduled principal collections and (2) the related Group AP Percentage of unscheduled principal collections. Group Senior Principal For each Collateral Group, on any Distribution Amount: distribution date, the sum of (1) the product of (a) the related Group Senior Percentage and (b) the related non-AP portion of scheduled principal collections and (2) the product of (a) the related Senior Prepayment Percentage and (b) the related non-AP portion of unscheduled principal collections. Group Subordinate Principal For each Collateral Group, on any Distribution Amount: distribution date, the sum of (1) the product of (a) the related Group Subordinate Percentage and (b) the non-AP portion of scheduled principal collections; and (2) the product of (a) the related Subordinate Prepayment Percentage and (b) the non-AP portion of 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 an d 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 Terms of the Offering - Distribution of Principal (cont.): ---------------------------------------------------------- Group 1 Payment Priorities: For Collateral Group 1, on any distribution date, - The Senior Principal Distribution Amount will be paid sequentially to the R Certificate and the 1A Certificate, in that order, until reduced to zero. - The Group 1 AP Principal Distribution Amount will be allocated to the 1AP Certificate until it is reduced to zero. Group 2 Payment Priorities: For Collateral Group 2, on any distribution date, - The Senior Principal Distribution Amount will be paid first to the 2A Certificate, until it is reduced to zero. - The Group 2 AP Principal Distribution Amount will be allocated to the 2AP Certificate until it is reduced to zero. Subordinate Class Payment Priorities: - The Group 1 and Group 2 Subordinate Principal Distribution Amount will be allocated to the B1, B2, B3, B4, B5 and B6 Certificates on a pro-rata basis until they are reduced to zero 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 19.89 06/02-11/31 6.44 06/02-11/31 3.29 06/02-11/31 2.05 06/02-11/31 1.40 06/02-11/31 1AP 19.64 06/02-11/31 6.52 06/02-11/31 3.35 06/02-11/31 2.11 06/02-11/31 1.45 06/02-11/31 1AX 20.04 06/02-11/31 6.58 06/02-11/31 3.36 06/02-11/31 2.11 06/02-11/31 1.45 06/02-11/31 2A 19.98 06/02-12/31 6.45 06/02-12/31 3.29 06/02-12/31 2.05 06/02-12/31 1.40 06/02-12/31 2AP 19.67 06/02-12/31 6.52 06/02-12/31 3.35 06/02-12/31 2.11 06/02-12/31 1.45 06/02-12/31 2AX 20.17 06/02-12/31 6.60 06/02-12/31 3.37 06/02-12/31 2.11 06/02-12/31 1.45 06/02-12/31 B1 19.89 06/02-11/31 10.86 06/02-11/31 5.89 06/02-11/31 4.17 06/02-11/31 3.20 06/02-11/31 B2 19.89 06/02-11/31 10.86 06/02-11/31 5.89 06/02-11/31 4.17 06/02-11/31 3.20 06/02-11/31 B3 19.89 06/02-11/31 10.86 06/02-11/31 5.89 06/02-11/31 4.17 06/02-11/31 3.20 06/02-11/31 B4 19.89 06/02-11/31 10.86 06/02-11/31 5.89 06/02-11/31 4.17 06/02-11/31 3.20 06/02-11/31 B5 19.89 06/02-11/31 10.86 06/02-11/31 5.89 06/02-11/31 4.17 06/02-11/31 3.20 06/02-11/31 B6 19.89 06/02-11/31 10.86 06/02-11/31 5.89 06/02-11/31 4.17 06/02-11/31 3.20 06/02-11/31 R 0.07 06/02-06/02 0.07 06/02-06/02 0.07 06/02-06/02 0.07 06/02-06/02 0.07 06/02-06/02 ---------------------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------- Contacts ----- ---------------------------------- ---------------------------------- ---------------------------------- MBS Trading Daniel Wallace (212) 526-8315 Christian Lawless (212) 526-8315 Residential Finance Joe Kelly (212) 526-4274 Brian Lin (212) 526-0876 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 an d 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