EX-99 3 efc1-0953_yieldtable.txt Exhibit 99.1 Yield Table 0-179 DAYS IN REMIC - BASED ON 8-31-01 COLLATERAL - 2 IOS AND AMBAC Settle as of 10/31/01 Bond Summary - Class A-3 ---------------------------------------------- Fixed Coupon: 4.490 Orig Bal: 136,000,000 Factor: 1.0000000 Factor Date: 10/15/01 Next Pmt: 11/15/01 Delay: 0 Cusip: 0
150.00 MHP 175.00 MHP 200.00 MHP 225.00 MHP ----------------- ----------------- ----------------- ----------------- Price Yield Duration Yield Duration Yield Duration Yield Duration ----- ----- -------- ----- -------- ----- -------- ----- -------- 99-14 4.71 3.174 4.73 2.825 4.75 2.539 4.78 2.300 99-15 4.70 4.72 4.74 4.76 99-16 4.69 4.71 4.73 4.75 99-17 4.68 4.70 4.72 4.74 99-18 4.67 4.69 4.70 4.72 99-19 4.66 3.175 4.68 2.826 4.69 2.540 4.71 2.301 99-20 4.65 4.67 4.68 4.70 99-21 4.64 4.65 4.67 4.68 99-22 4.63 4.64 4.66 4.67 99-23 4.62 4.63 4.64 4.65 99-24 4.61 3.176 4.62 2.827 4.63 2.541 4.64 2.302 99-25 4.60 4.61 4.62 4.63 99-26 4.59 4.60 4.61 4.61 99-27 4.58 4.59 4.59 4.60 99-28 4.57 4.58 4.58 4.59 99-29 4.56 3.178 4.57 2.828 4.57 2.542 4.57 2.303 99-30 4.55 4.55 4.56 4.56 99-31 4.54 4.54 4.54 4.55 100-00 4.53 4.53 4.53 4.53 100-01 4.52 4.52 4.52 4.52 100-02 4.51 3.179 4.51 2.829 4.51 2.543 4.51 2.304 100-03 4.50 4.50 4.50 4.49 100-04 4.49 4.49 4.48 4.48 100-05 4.48 4.48 4.47 4.46 100-06 4.47 4.47 4.46 4.45 100-07 4.46 3.180 4.46 2.830 4.45 2.544 4.44 2.305 100-08 4.45 4.44 4.43 4.42 100-09 4.44 4.43 4.42 4.41 100-10 4.43 4.42 4.41 4.40 -------------------------------------------------------------------------------------------------- Average Life 3.51 3.10 2.76 2.49 First Pay 06/15/04 02/15/04 11/15/03 09/15/03 Last Pay 04/15/06 10/15/05 05/15/05 12/15/04
Treasury Benchmarks 1YR 2YR 3YR 4YR 5YR 7YR 10YR 30YR ------------------- --- --- --- --- --- --- ---- ---- Yield Coupon 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 and disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have not been reviewed by the issuer. This information was prepared on the basis of certain assumptions (including, in certain cases, assumptions specified by the recipient hereof) regarding payments, interest rates, weighted average lives and weighted average loan age, losses and other matters, including, but not limited to, the assumptions described in the Offering Document. Lehman Brothers Inc., and any of its affiliates, make no representation or warranty as to the actual rate or timing of payments on any of the underlying assets or the payments or yield on the securities. This information supersedes any prior versions hereof and will be deemed to be superseded by any subsequent versions (including, with respect to any description of the securities or the underlying assets, the information contained in the Offering Document). Page 1 Yield Table 0-179 DAYS IN REMIC - BASED ON 8-31-01 COLLATERAL - 2 IOS AND AMBAC Settle as of 10/31/01
150.00 MHP 175.00 MHP 200.00 MHP 225.00 MHP ----------------- ----------------- ----------------- ----------------- Price Yield Duration Yield Duration Yield Duration Yield Duration ----- ----- -------- ----- -------- ----- -------- ----- -------- 100-11 4.42 4.41 4.40 4.38 100-12 4.41 3.181 4.40 2.831 4.39 2.545 4.37 2.306 100-13 4.40 4.39 4.37 4.36 100-14 4.39 4.38 4.36 4.34 100-15 4.39 4.37 4.35 4.33 100-16 4.38 4.36 4.34 4.32 100-17 4.37 3.182 4.35 2.832 4.32 2.546 4.30 2.307 100-18 4.36 4.33 4.31 4.29 -------------------------------------------------------------------------------------------------- Average Life 3.51 3.10 2.76 2.49 First Pay 06/15/04 02/15/04 11/15/03 09/15/03 Last Pay 04/15/06 10/15/05 05/15/05 12/15/04
Treasury Benchmarks 1YR 2YR 3YR 4YR 5YR 7YR 10YR 30YR ------------------- --- --- --- --- --- --- ---- ---- Yield Coupon 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 and disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have not been reviewed by the issuer. This information was prepared on the basis of certain assumptions (including, in certain cases, assumptions specified by the recipient hereof) regarding payments, interest rates, weighted average lives and weighted average loan age, losses and other matters, including, but not limited to, the assumptions described in the Offering Document. Lehman Brothers Inc., and any of its affiliates, make no representation or warranty as to the actual rate or timing of payments on any of the underlying assets or the payments or yield on the securities. This information supersedes any prior versions hereof and will be deemed to be superseded by any subsequent versions (including, with respect to any description of the securities or the underlying assets, the information contained in the Offering Document). Page 2 Yield Table 0-179 DAYS IN REMIC - BASED ON 8-31-01 COLLATERAL - 2 IOS AND AMBAC Settle as of 10/31/01 Bond Summary - Class A-4 ----------------------------------------------- Fixed Coupon: 5.380 Orig Bal: 120,000,000 Factor: 1.0000000 Factor Date: 10/15/01 Next Pmt: 11/15/01 Delay: 0 Cusip: 0
150.00 MHP 175.00 MHP 200.00 MHP 225.00 MHP ----------------- ----------------- ----------------- ----------------- Price Yield Duration Yield Duration Yield Duration Yield Duration ----- ----- -------- ----- -------- ----- -------- ----- -------- 99-14 5.56 4.600 5.58 4.133 5.59 3.760 5.61 3.428 99-15 5.56 5.57 5.58 5.60 99-16 5.55 5.56 5.57 5.59 99-17 5.54 5.55 5.57 5.58 99-18 5.54 5.55 5.56 5.57 99-19 5.53 4.602 5.54 4.134 5.55 3.761 5.56 3.430 99-20 5.52 5.53 5.54 5.55 99-21 5.52 5.52 5.53 5.54 99-22 5.51 5.52 5.52 5.53 99-23 5.50 5.51 5.52 5.52 99-24 5.50 4.603 5.50 4.136 5.51 3.763 5.51 3.431 99-25 5.49 5.49 5.50 5.50 99-26 5.48 5.49 5.49 5.50 99-27 5.47 5.48 5.48 5.49 99-28 5.47 5.47 5.47 5.48 99-29 5.46 4.605 5.46 4.137 5.47 3.764 5.47 3.432 99-30 5.45 5.46 5.46 5.46 99-31 5.45 5.45 5.45 5.45 100-00 5.44 5.44 5.44 5.44 100-01 5.43 5.43 5.43 5.43 100-02 5.43 4.606 5.43 4.139 5.42 3.765 5.42 3.433 100-03 5.42 5.42 5.42 5.41 100-04 5.41 5.41 5.41 5.40 100-05 5.41 5.40 5.40 5.40 100-06 5.40 5.40 5.39 5.39 100-07 5.39 4.608 5.39 4.140 5.38 3.767 5.38 3.434 100-08 5.39 5.38 5.37 5.37 100-09 5.38 5.37 5.37 5.36 100-10 5.37 5.37 5.36 5.35 -------------------------------------------------------------------------------------------------- Average Life 5.46 4.82 4.33 3.91 First Pay 04/15/06 10/15/05 05/15/05 12/15/04 Last Pay 11/15/08 01/15/08 06/15/07 11/15/06
Treasury Benchmarks 1YR 2YR 3YR 4YR 5YR 7YR 10YR 30YR ------------------- --- --- --- --- --- --- ---- ---- Yield Coupon 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 and disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have not been reviewed by the issuer. This information was prepared on the basis of certain assumptions (including, in certain cases, assumptions specified by the recipient hereof) regarding payments, interest rates, weighted average lives and weighted average loan age, losses and other matters, including, but not limited to, the assumptions described in the Offering Document. Lehman Brothers Inc., and any of its affiliates, make no representation or warranty as to the actual rate or timing of payments on any of the underlying assets or the payments or yield on the securities. This information supersedes any prior versions hereof and will be deemed to be superseded by any subsequent versions (including, with respect to any description of the securities or the underlying assets, the information contained in the Offering Document). Page 3 Yield Table 0-179 DAYS IN REMIC - BASED ON 8-31-01 COLLATERAL - 2 IOS AND AMBAC Settle as of 10/31/01
150.00 MHP 175.00 MHP 200.00 MHP 225.00 MHP ----------------- ----------------- ----------------- ----------------- Price Yield Duration Yield Duration Yield Duration Yield Duration ----- ----- -------- ----- -------- ----- -------- ----- -------- 100-11 5.37 5.36 5.35 5.34 100-12 5.36 4.609 5.35 4.141 5.34 3.768 5.33 3.436 100-13 5.35 5.34 5.33 5.32 100-14 5.35 5.34 5.32 5.31 100-15 5.34 5.33 5.32 5.30 100-16 5.33 5.32 5.31 5.30 100-17 5.33 4.611 5.31 4.143 5.30 3.769 5.29 3.437 100-18 5.32 5.31 5.29 5.28 -------------------------------------------------------------------------------------------------- Average Life 5.46 4.82 4.33 3.91 First Pay 04/15/06 10/15/05 05/15/05 12/15/04 Last Pay 11/15/08 01/15/08 06/15/07 11/15/06
Treasury Benchmarks 1YR 2YR 3YR 4YR 5YR 7YR 10YR 30YR ------------------- --- --- --- --- --- --- ---- ---- Yield Coupon 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 and disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have not been reviewed by the issuer. This information was prepared on the basis of certain assumptions (including, in certain cases, assumptions specified by the recipient hereof) regarding payments, interest rates, weighted average lives and weighted average loan age, losses and other matters, including, but not limited to, the assumptions described in the Offering Document. Lehman Brothers Inc., and any of its affiliates, make no representation or warranty as to the actual rate or timing of payments on any of the underlying assets or the payments or yield on the securities. This information supersedes any prior versions hereof and will be deemed to be superseded by any subsequent versions (including, with respect to any description of the securities or the underlying assets, the information contained in the Offering Document). Page 4 Yield Table 0-179 DAYS IN REMIC - BASED ON 8-31-01 COLLATERAL - 2 IOS AND AMBAC Settle as of 10/31/01 Bond Summary - Class M-1 ----------------------------------------------- Fixed Coupon: 6.710 Orig Bal: 99,097,475 Factor: 1.0000000 Factor Date: 10/15/01 Next Pmt: 11/15/01 Delay: 0 Cusip: 0
150.00 MHP 175.00 MHP 200.00 MHP 225.00 MHP ----------------- ----------------- ----------------- ----------------- Price Yield Duration Yield Duration Yield Duration Yield Duration ----- ----- -------- ----- -------- ----- -------- ----- -------- 99-14 6.88 7.375 6.89 6.911 6.89 6.449 6.90 6.054 99-15 6.88 6.88 6.89 6.89 99-16 6.87 6.88 6.88 6.89 99-17 6.87 6.87 6.88 6.88 99-18 6.86 6.87 6.87 6.88 99-19 6.86 7.380 6.86 6.915 6.87 6.453 6.87 6.058 99-20 6.86 6.86 6.86 6.87 99-21 6.85 6.85 6.86 6.86 99-22 6.85 6.85 6.85 6.86 99-23 6.84 6.85 6.85 6.85 99-24 6.84 7.385 6.84 6.919 6.84 6.457 6.85 6.061 99-25 6.83 6.84 6.84 6.84 99-26 6.83 6.83 6.83 6.84 99-27 6.83 6.83 6.83 6.83 99-28 6.82 6.82 6.82 6.83 99-29 6.82 7.389 6.82 6.923 6.82 6.461 6.82 6.065 99-30 6.81 6.81 6.81 6.81 99-31 6.81 6.81 6.81 6.81 100-00 6.80 6.80 6.80 6.80 100-01 6.80 6.80 6.80 6.80 100-02 6.80 7.394 6.80 6.927 6.79 6.465 6.79 6.068 100-03 6.79 6.79 6.79 6.79 100-04 6.79 6.79 6.79 6.78 100-05 6.78 6.78 6.78 6.78 100-06 6.78 6.78 6.78 6.77 100-07 6.78 7.398 6.77 6.931 6.77 6.468 6.77 6.072 100-08 6.77 6.77 6.77 6.76 100-09 6.77 6.76 6.76 6.76 100-10 6.76 6.76 6.76 6.75 -------------------------------------------------------------------------------------------------- Average Life 11.07 10.06 9.13 8.37 First Pay 08/15/07 01/15/07 06/15/06 01/15/06 Last Pay 11/15/17 06/15/16 04/15/15 03/15/14
Treasury Benchmarks 1YR 2YR 3YR 4YR 5YR 7YR 10YR 30YR ------------------- --- --- --- --- --- --- ---- ---- Yield Coupon 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 and disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have not been reviewed by the issuer. This information was prepared on the basis of certain assumptions (including, in certain cases, assumptions specified by the recipient hereof) regarding payments, interest rates, weighted average lives and weighted average loan age, losses and other matters, including, but not limited to, the assumptions described in the Offering Document. Lehman Brothers Inc., and any of its affiliates, make no representation or warranty as to the actual rate or timing of payments on any of the underlying assets or the payments or yield on the securities. This information supersedes any prior versions hereof and will be deemed to be superseded by any subsequent versions (including, with respect to any description of the securities or the underlying assets, the information contained in the Offering Document). Page 5 Yield Table 0-179 DAYS IN REMIC - BASED ON 8-31-01 COLLATERAL - 2 IOS AND AMBAC Settle as of 10/31/01
150.00 MHP 175.00 MHP 200.00 MHP 225.00 MHP ----------------- ----------------- ----------------- ----------------- Price Yield Duration Yield Duration Yield Duration Yield Duration ----- ----- -------- ----- -------- ----- -------- ----- -------- 100-11 6.76 6.76 6.75 6.75 100-12 6.75 7.403 6.75 6.936 6.75 6.472 6.74 6.075 100-13 6.75 6.75 6.74 6.74 100-14 6.75 6.74 6.74 6.73 100-15 6.74 6.74 6.73 6.73 100-16 6.74 6.73 6.73 6.72 100-17 6.73 7.408 6.73 6.940 6.72 6.476 6.72 6.079 100-18 6.73 6.72 6.72 6.71 -------------------------------------------------------------------------------------------------- Average Life 11.07 10.06 9.13 8.37 First Pay 08/15/07 01/15/07 06/15/06 01/15/06 Last Pay 11/15/17 06/15/16 04/15/15 03/15/14
Treasury Benchmarks 1YR 2YR 3YR 4YR 5YR 7YR 10YR 30YR ------------------- --- --- --- --- --- --- ---- ---- Yield Coupon 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 and disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have not been reviewed by the issuer. This information was prepared on the basis of certain assumptions (including, in certain cases, assumptions specified by the recipient hereof) regarding payments, interest rates, weighted average lives and weighted average loan age, losses and other matters, including, but not limited to, the assumptions described in the Offering Document. Lehman Brothers Inc., and any of its affiliates, make no representation or warranty as to the actual rate or timing of payments on any of the underlying assets or the payments or yield on the securities. This information supersedes any prior versions hereof and will be deemed to be superseded by any subsequent versions (including, with respect to any description of the securities or the underlying assets, the information contained in the Offering Document). Page 6 Yield Table 0-179 DAYS IN REMIC - BASED ON 8-31-01 COLLATERAL - 2 IOS AND AMBAC Settle as of 10/31/01 Bond Summary - Class M-2 ----------------------------------------------- Fixed Coupon: 7.240 Orig Bal: 77,862,302 Factor: 1.0000000 Factor Date: 10/15/01 Next Pmt: 11/15/01 Delay: 0 Cusip: 0
150.00 MHP 175.00 MHP 200.00 MHP 225.00 MHP ----------------- ----------------- ----------------- ----------------- Price Yield Duration Yield Duration Yield Duration Yield Duration ----- ----- -------- ----- -------- ----- -------- ----- -------- 99-14 7.43 7.164 7.43 6.725 7.44 6.288 7.45 5.912 99-15 7.42 7.43 7.43 7.44 99-16 7.42 7.42 7.43 7.43 99-17 7.42 7.42 7.42 7.43 99-18 7.41 7.42 7.42 7.42 99-19 7.41 7.168 7.41 6.730 7.41 6.292 7.42 5.916 99-20 7.40 7.41 7.41 7.41 99-21 7.40 7.40 7.40 7.41 99-22 7.39 7.40 7.40 7.40 99-23 7.39 7.39 7.39 7.40 99-24 7.39 7.173 7.39 6.734 7.39 6.296 7.39 5.919 99-25 7.38 7.38 7.38 7.39 99-26 7.38 7.38 7.38 7.38 99-27 7.37 7.37 7.37 7.38 99-28 7.37 7.37 7.37 7.37 99-29 7.36 7.178 7.36 6.738 7.37 6.300 7.37 5.923 99-30 7.36 7.36 7.36 7.36 99-31 7.35 7.35 7.36 7.36 100-00 7.35 7.35 7.35 7.35 100-01 7.35 7.35 7.35 7.34 100-02 7.34 7.182 7.34 6.742 7.34 6.304 7.34 5.927 100-03 7.34 7.34 7.34 7.33 100-04 7.33 7.33 7.33 7.33 100-05 7.33 7.33 7.33 7.32 100-06 7.32 7.32 7.32 7.32 100-07 7.32 7.187 7.32 6.747 7.32 6.308 7.31 5.930 100-08 7.32 7.31 7.31 7.31 100-09 7.31 7.31 7.31 7.30 100-10 7.31 7.30 7.30 7.30 -------------------------------------------------------------------------------------------------- Average Life 11.07 10.06 9.13 8.37 First Pay 08/15/07 01/15/07 06/15/06 01/15/06 Last Pay 11/15/17 06/15/16 04/15/15 03/15/14
Treasury Benchmarks 1YR 2YR 3YR 4YR 5YR 7YR 10YR 30YR ------------------- --- --- --- --- --- --- ---- ---- Yield Coupon 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 and disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have not been reviewed by the issuer. This information was prepared on the basis of certain assumptions (including, in certain cases, assumptions specified by the recipient hereof) regarding payments, interest rates, weighted average lives and weighted average loan age, losses and other matters, including, but not limited to, the assumptions described in the Offering Document. Lehman Brothers Inc., and any of its affiliates, make no representation or warranty as to the actual rate or timing of payments on any of the underlying assets or the payments or yield on the securities. This information supersedes any prior versions hereof and will be deemed to be superseded by any subsequent versions (including, with respect to any description of the securities or the underlying assets, the information contained in the Offering Document). Page 7 Yield Table 0-179 DAYS IN REMIC - BASED ON 8-31-01 COLLATERAL - 2 IOS AND AMBAC Settle as of 10/31/01
150.00 MHP 175.00 MHP 200.00 MHP 225.00 MHP ----------------- ----------------- ----------------- ----------------- Price Yield Duration Yield Duration Yield Duration Yield Duration ----- ----- -------- ----- -------- ----- -------- ----- -------- 100-11 7.30 7.30 7.30 7.29 100-12 7.30 7.192 7.29 6.751 7.29 6.311 7.29 5.934 100-13 7.29 7.29 7.29 7.28 100-14 7.29 7.29 7.28 7.28 100-15 7.29 7.28 7.28 7.27 100-16 7.28 7.28 7.27 7.27 100-17 7.28 7.196 7.27 6.755 7.27 6.315 7.26 5.937 100-18 7.27 7.27 7.26 7.26 -------------------------------------------------------------------------------------------------- Average Life 11.07 10.06 9.13 8.37 First Pay 08/15/07 01/15/07 06/15/06 01/15/06 Last Pay 11/15/17 06/15/16 04/15/15 03/15/14
Treasury Benchmarks 1YR 2YR 3YR 4YR 5YR 7YR 10YR 30YR ------------------- --- --- --- --- --- --- ---- ---- Yield Coupon 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 and disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have not been reviewed by the issuer. This information was prepared on the basis of certain assumptions (including, in certain cases, assumptions specified by the recipient hereof) regarding payments, interest rates, weighted average lives and weighted average loan age, losses and other matters, including, but not limited to, the assumptions described in the Offering Document. Lehman Brothers Inc., and any of its affiliates, make no representation or warranty as to the actual rate or timing of payments on any of the underlying assets or the payments or yield on the securities. This information supersedes any prior versions hereof and will be deemed to be superseded by any subsequent versions (including, with respect to any description of the securities or the underlying assets, the information contained in the Offering Document). Page 8