Sasco 2006 RM1

$[598,330,291]
SASCO 2006-RM1
STRUCTURED ASSET SECURITIES CORPORATION
REVERSE MORTGAGE LOAN TRUST 2006-RM1 MORTGAGE B ACKED NOTES
Lehman Brothers Holdings Inc. (Seller) Structured Asset Securities Corporation (Depositor) SASCO 2006-RM1 (Issuer) Citibank, N.A. (Indenture Trustee) Offering Method 144A Private Placement Issuance
CONFIDENTIAL: FOR DISCUSSION PURPOSES ONLY ALL CLASS SIZES APPROXIMATIONS; ALL TERMS SUBJECT TO CHANGE
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 This information supersedes any prior versions hereof and will be deemed to be superseded by any subsequent versions (including, with respect to any description of the securities or underlying assets, the information contained in the Offering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).
LEHMAN B ROTHERS
RESIDENTIAL M ORTGAGE FINANCE
Certificates A1 Floating Rate A-IO Fixed Rate M1 Floating Rate M2 Floating Rate R (3) (1) (2) (3)
Approximate Size ($) [490,000,000] [182,821,637] (1) [85,000,000] [23,330,291] []
Coupon / Margin 1-month LIBOR + []% []% 1-month LIBOR + []% 1-month LIBOR + []% N/A
Est. WAL to Call (yrs.) (2) [4.63] [3.34] (1) [3.76] [2.47] N/A
Est. WAL to Maturity (yrs.) (2) [4.75]
Legal Final Maturity August 25, 2036
Ratings (S&P /Fitch /Moodys)

AAA / AAA / Aaa AAA / AAA / Aaa AA / AA / NR A / A / NR NR / NR / NR
[3.34] (1) August 25, 2036 [3.76] [2.47] N/A August 25, 2036 August 25, 2036 August 25, 2036
Notional Balance and Modified Duration shown for Class A-IO Notes in lieu of Principal Balance and Average Life, respectively. Based on the Prepayment Assumption. Not offered Class.
A1 [AAA/AAA/Aaa] L + [%]
A-IO [AAA/AAA/Aaa] []%
M1 [AA/AA/NR] L + [%] M2 [A/A/NR] L + [%]
Contacts
Mortgage-Backed Securities Trading:
Matt Miller Sumit Chhabra Joe Kelly Scott Stimpfel Maxine Wolfowitz Kejian Wu
(212) 526-8315 (212) 526-8315 (212) (212) (212) (212) 526-4274 526-5689 526-2751 526-4005
Mortgage-Backed Securities Finance:
Investors are urged to read the final Prospectus Supplement and the related Prospectus, which will be filed with the Securities and Exchange Commission and may be accessed free of charge on the SEC's web site, www.sec.gov. Alternatively, if the offering is not registered under the Securities Act of 1933, as amended, investors should read the final Offering Memorandum. In either case a copy of the final Prospectus Supplement (when complete) or the final Offering Memorandum for unregistered deals (when complete) may be obtained from Lehman Brothers Inc., 745 Seventh Ave., New York, NY 10019, Attn: Fixed Income Syndicate; phone number 212 -526-7000.
LEHMAN B ROTHERS
Transaction Structure
Structure: Offering Method: Issuer: Originator: Underwriter: Master Servicer: Servicer: Indenture Trustee: Settlement Date: Cut-off Date: ERISA Eligibility: SMMEA Eligibility: Distribution Date: Senior/subordinate bond structure Rule 144A and Regulation S SASCO 2006-RM1
Financial Freedom (loans originated October 2004 June 2006) Lehman Brothers Aurora Loan Services LLC Financial Freedom Citibank, N.A. September [15], 2006 August 1, 2006 All Classes are expected to be ERISA eligible. All Classes are NOT expected to be SMMEA eligible. The 25th day of each month, or if the 25th day is not a business day, on the next succeeding business day, beginning in September 25, 2006 The SASCO transaction will be secured by Cash Account Reverse Mortgage loans and a Funding Account. The Securities will be backed by a pool of [1,558] Cash Account Reverse Mortgage loans having an unpaid balance of approximately [$522,347,535]. All loans are first lien Mortgages. The SASCO 2006-RM1 trust will also have a Funding Account with an initial balance of approximately [$75,982,755], equal to the sum of the available credit line for all mortgage loans as of the Cut-off date. The Servicer will assume each sellers obligation, as lender, to fund all credit loan draws by the borrowers and other amounts required to service the loans (such amounts are the Additional Amounts). The trust will enter into a binding commitment to purchase the Additional Amounts monthly, as they are created, from the Servicer. The Base Prepayment Assumption assumes that prepayments start at 8.00% CPR for borrowers aged 60 70, and increase by approximately 1.28% each year to 40.00% CPR for borrowers aged 95. Prepayments are assumed to be at 40% CPR for borrowers aged 95-99; 80% CPR for borrowers aged 100 and older. The SASCO trust will issue Classes A1, A-IO, M1 and M2 (the Notes), as well as a Class R Residual Certificate (the Notes, together with the Class R Residual Certificate, are the Securities). The Class A1 and Class A-IO Notes will have limited protection by means of the subordination of the Class M1 Notes, Class M2 Notes and excess spread. The Class A1 and Class A-IO Notes will have the preferential right to receive interest due to them and principal (except for the Class A-IO Notes) available for distribution over Classes having a lower priority of distribution. Likewise, the Class M1 Notes will have limited protection by means of the subordination of the Class M2 Notes and excess spread. All of the Notes, other than the Class A-IO Notes, will bear interest at 1-month LIBOR plus a specified margin. The SASCO 2006-RM1 trust will be an Owner Trust that makes a REMIC election.
Underlying Collateral:
Additional Amounts:
Prepayment Assumption:
Securities:
Credit Enhancement:
Interest Rate: Taxation:
LEHMAN B ROTHERS
Transaction Structure (Continued)
Optional Redemption:
On the first Payment Date on which the aggregate ending principal amount of the Notes outstanding is less than ten percent of the initial aggregate principal amount of the Notes (the Initial Call Date) and on any date thereafter, the Master Servicer will have the right to purchase all of the property remaining in the Trust for a price equal to the sum of (1) the aggregate outstanding principal amount of the Notes, plus interest accrued and unpaid thereon, (2) the amount necessary to pay (a) all unpaid compensation and unreimbursed expenses of the Indenture Trustee, the Owner Trustee, the Master Servicer and the Servicer and any other fees and expenses of the Trust and (b) all amounts due Lehman Bank in respect of Additional Amounts, (3) the aggregate future loan commitment, and (4) if the Class A-IO Notes are outstanding, the Class A-IO Redemption Price. For any Payment Date, the Class A-IO Redemption Price will equal the present value, determined as of the final Payment Date, of the remaining payments scheduled to be made on the Class A-IO Notes on subsequent Payment Dates based on the Class Notional Amounts in effect for such subsequent Payment Dates and the Interest Rate for the Class A-IO Notes. The discount rate to be used in determining the present value of the remaining payments will approximate the expected yield to maturity used in pricing the Class A-IO Notes. Additional certificates may not be issued by this trust. Additional loans will not be added to the trust.
Class A-IO Redemption Price:
Other considerations:
Funding Requirements
The Seller shall deposit cash and cash equivalents into a trust account (the Funding Account) totaling approximately [$75,982,755]. The Funding Account shall fund the borrower advances. Any investment income will be retained by the trust and reinvested in the Funding Account. Each month, the Trustee will calculate the following amounts: Funding Amount: This is the amount needed to reimburse the Servicer for advances used to fund Additional Amounts borrowed on the loans. These Additional Amounts represent the credit line draws made by the borrowers. Aaa Interest Shortfall Amount: In any period, the amount, if any, by which the accrued and unpaid interest of the Class A1 and Class A-IO Notes exceeds the Available Payment Amount remaining after rule 2 as described in Principal and Interest Payments on the Securities below. M1 Interest Shortfall Amount: In any period, the amount, if any, by which the accrued and unpaid interest of the Class M1 Notes exceeds the Available Payment Amount remaining after rule 4 as described in Principal and Interest Payments on the Securities below. M2 Interest Shortfall Amount: In any period, the amount, if any, by which the accrued and unpaid interest of the Class M2 Notes exceeds the Available Payment Amount remaining after rule 6 as described in Principal and Interest Payments on the Securities below. The amount withdrawn from the Funding Account and paid to the Class M1 and Class M2 Notes as Interest Shortfall Amounts shall not exceed a total of $1,000,000 and $1,000,000, respectively, over the lifetime of the trust. Maximum Funding Amount: Equal to the sum of all of the undrawn amounts of the loans as of the end of the immediately preceding calendar month, without giving effect to future increases in the related credit limit. Excess Amount: In any period, an amount equal to the excess, if any, of the Funding Account balance (after payment of the Funding Amount) over the Maximum Funding Amount. Each month, the Trustee will be obliged to withdraw from the Funding Account the following amounts: Funding Amount: payable to the Servicer. Excess Amount: added to the Available Payment Amount as described below. Interest Shortfall Draw: is equal to the sum of the Aaa Interest Shortfall Amount, the M1 Interest Shortfall Amount, and M2 Interest Shortfall Amount.
LEHMAN B ROTHERS

Principal and Interest Payments on the Securities

Principal and Interest on the Notes will be distributed monthly, beginning on September 25, 2006. Each month the Trustee will calculate the Available Payment Amount equal to the sum of (i) the collections with respect to the loans, (ii) the purchase price of any loan that was repurchased from the Trust during the related collection period and (iii) the Excess Amount, less the Servicing Fee, reimbursement and indemnification amounts for the Owner Trustee, Indenture Trustee and Servicer, and the amounts payable to the Seller to purchase Additional Amounts once the Funding Account is reduced to zero. Interest on the Securities other than the Class A-IO Notes and Class R Certificate will be calculated on an Actual/360 basis, with zero-day delay. The Class R Certificates shall not bear interest. Interest on the Class A-IO Notes will be calculated on a 30/360 basis, with 24-day delay. The Class A-IO Notes will receive interest at a fixed rate of [5.00%] per annum on its Notional Balance. Its Notional Balance will be based on a fixed schedule. For any class, any accrued but unpaid interest after the application of the Available Payment Amount (including Interest Shortfall Amounts) shall be added to the balance of that class. However, the balances of the Class M2 and Class M1 Notes are subject to write-down reduction from Applied Loss Amounts as described below. The Overcollateralization Percentage shall equal a fraction, the numerator of which is equal to the excess, if any, of the sum of the Unpaid Principal Balance of the loans and the balance of the Funding Account over the total par balance of the Notes at the beginning of any period, and the denominator of which is equal to the total par balance of the Notes at the beginning of any period.
The Available Payment Amount will be distributed each month as follows: 1. 2. 3. 4. 5. 6. 7. 8. 9. Beginning in September 2007 and each payment date thereafter, to pay the Owner Trustee Fee ($250 per month); After the Funding Account is reduced to zero, to Lehman Bank, in an amount equal to all Additional Amounts created during the immediately preceding calendar month; To pay interest to the Class A1 and Class A-IO Notes and, in the case of the Class A-IO Notes and the final payment date only, the Class A-IO Redemption Price; To the Class A1 Notes as principal to its scheduled balance, until reduced to zero; To pay interest to the Class M1 Notes; To the Class M1 Notes as principal to its scheduled balance, until reduced to zero; To pay interest to the Class M2 Notes; To the Class M2 Notes as principal to its scheduled balance, until reduced to zero; For each payment date beginning in [September 2008] and ending in [August 2011], to the Class R Certificate, the lesser of (i) 50% of the Available Payment Amount remaining and (ii) the Monthly Payment A mount shown in the Class R Certificate Schedule below, if: a. b. Total Deferred Amounts for all Notes is equal to zero; and The Overcollateralization Percentage for the most recent Trigger Test Date specified in the Class R Certificate Schedule exceeds the OC Trigger Level for that Trigger Test Date.
10. 11. 12. 13.
Sequentially, to the Class A1, M1 and M2 Notes, as principal, until reduced to zero; To the Class M1 and Class M2 Notes, sequentially, any Deferred Amounts; To pay any reimbursement amounts payable to the Indenture Trustee, the Owner Trustee, the Administrator, the Master Servicer and the Servicer; and To the Class R Certificate, any remaining amounts.
LEHMAN B ROTHERS
Other Definitions Losses
Crossover Risk is the major risk affecting reverse mortgage investors : the risk that the unpaid balance of a reverse mortgage grows larger than the value of the property securing it. This can happen if one or more of the following occurs: the borrower lives in the house longer than expected, the property value depreciates significantly or the adjustable mortgage interest rate increases significantly. Losses are allocated in the following order: excess spread, the Class M2 Notes, and then to the Class M1 Notes. Any Applied Loss Amounts allocated to the Class M1 or Class M2 Notes will become Deferred A mounts (as defined herein). The allocation of losses to a class will result in a write-down of its principal amount and is referred to as an Applied Loss Amount. The Applied Loss Amount for any period on or after September 2007 will be equal to the exc ess, if any, of the Unpaid Principal Balance of the Bonds at the end of the period over the sum of the Unpaid Principal Balance of the Collateral and the balance of the Funding Account at the end of the same period. The Class A1 Note balance shall not be reduced by Applied Loss Amounts. However, any Class remaining with an outstanding balance at the termination of the trust shall be reduced to zero at that time.
Deferred Amounts
With respect to each Payment Date on or after September 2007, the Deferred Amount for the Class M1 and Class M2 Notes will be equal to the amount by which (x) the aggregate of Applied Loss Amounts previously applied in reduction of the Class Principal Amounts thereof exceed (y) the aggregate of amounts previously distributed in r eimbursement thereof. Deferred Amounts shall not bear interest.
Credit Enhancement Subordination

The Class A1 and Class A-IO Notes will have limited protection by means of the subordination of the Class M1 Notes, Class M2 Notes and excess spread. The Class A1 and Class A -IO Notes will have the preferential right to receive interest due to them and principal (except for the Class A-IO Notes) available for distribution over Classes having a lower priority of distribution. Likewise, the Class M1 Notes will have limited protection by means of the subordination of the Class M2 Notes and excess spread.
Collateral Cash Account Loans

Cash Account loans accrue at an adjustable rate, equal to a 6-month LIBOR base index plus a margin. The loans do not require any monthly payments from the borrower. Like other reverse mortgages, all loans are non-recourse; the home acts as the only form of collateral. The loans are open-ended; maturity occurs at time of death, move-out or voluntary prepayment and not at a fixed point in time. The Cash Account loans have a credit line feature, which gives the borrower the option to borrow additional amounts over time, up to a specified limit. None of the Loans have contingent interest (i.e. appreciation or equity sharing) features.
LEHMAN B ROTHERS
Servicing

The Servicer pays all out of pocket expenses to service these loans, including costs associated with foreclosing the property, ensuring taxes, issuance premiums, and other amounts are paid and ensuring necessary repairs to and maintenance of the properties are performed. The Servicer will also be reimbursed for these advances from the trust and the advances will be added to the principal balance of the reverse mortgages. Financial Freedom is headquartered in Irvine, California; its servicing is headquartered in San Francisco, and is a subsidiary of IndyMac Bank. Servicer personnel are required to be specially trained to deal with the special needs of senior borrowers. The Servicers primary focus is to send payments to the borrowers and collect amounts due under the Mortgage Loans at maturity. To check that borrowers are still living in the house, quarterly notices are sent to verify that the borrower continues to occupy the home as their primary residence. The Servicer must conduct quarterly Social Security death audits to find out whether any borrowers have died in the past three months. The Servicer generally performs an annual drive-by inspection of each property. If necessary, the Servicer will advance the payments for repairs and maintenance to maintain property value. Unlike traditional mortgages, reverse mortgages do not require monthly collections of interest and principal. Rather, payments are received at the time a loan is paid off due to death, move-out or voluntary prepayment. The Servicer is required not only to collect amounts due under a Mortgage Loan, but also to initiate any necessary enforcement or judicial proceedings, including foreclosure. The Servicer will also manage the sale of foreclosed property. The Servicer is required to ensure that the borrower makes all necessary insurance premiums and property tax payments. If necessary, the Servicer must make cash advances to cure delinquencies in insurance or tax payments. The Servicer is required to advance its own funds to the borrower on a monthly basis, as requested by the borrower. The Trustee will reimburse the Servicer for its advances, and the advances will be added to the principal balance of the reverse mortgages. Financial Freedom has a Reverse Mortgage Servicer Rating of RPS3+ from Fitch Ratings.
LEHMAN B ROTHERS
Servicing (Continued)
The following table sets forth certain information regarding the collection and loss experience of Financial Freedom with respect to the non-agency reverse mortgage loans in its servicing portfolio. The indicated periods of maturity are based on the number of days past a defined Maturity Event. Mortgage Loan Portfolio
December 31, 2004 Dollar Amount 559,668,341.53 December 31, 2005 Dollar Amount 911,546,506.18
Number of Loans Portfolio Principal Balance Matured Loans: 0 - 29 Days Matured 30 - 59 Days Matured 60 - 89 Days Matured 90+ Days Matured Net Charge-offs REO's 2,407
Avg LTV 30.61%
Number of Loans 3,325
Avg LTV 31.09%
10 7 10 51 9 0
2,139,444.12 1,324,062.74 2,166,029.35 11,706,560.75 (9,454.88) 0.00
59.60% 60.02% 73.71% 60.74% 41.95% N/A
10 13 9 34 28 0
3,856,152.90 3,809,663.89 1,944,903.63 9,147,680.57 (81,867.57) 0
31.07% 53.10% 72.76% 68.70% 39.62% N/A
(1) (2) (3)
Excludes any payoff or contingent fees that may be due upon maturity of the mortgage loan. Represents the mean loan to value ratio of all mortgage loans. The loan to value ratio for each mortgage loan was calculated by dividing the outstanding amount by the initial appraised value. A mortgage loan matures when the last remaining borrower dies, relocates permanently from the mortgaged property or defaults on the mortgage loan. A default usually occurs when the borrower fails to stay current on his or her property taxes or fails to maintain homeowners insurance. Represents the net charge-offs for the twelve-months ended December 31, 2004 or December 31, 2005, as applicable.
(4)
The above collection and loss statistics represent the recent experience of Financial Freedom with respect to certain reverse mortgage loans in its servicing portfolio. There can be no assurance, however, that the future collection and loss experience on the Mortgage Loans will be comparable. The actual collection and loss experience on the Mortgage Loans will depend on, among other things, the value of the real estate securing such Mortgage Loans and the timing of repayment.
LEHMAN B ROTHERS
Modeling Assumptions
Deal Assumptions: Expected Settlement Date Dated Date for A1, M1 and M2 Dated Date for A-IO First Pay Date Delay for A1, M1 and M2 Delay for A-IO Day Count for A1, M1 and M2 Day Count for A-IO
09/ 15/06 09/ 15/06 08/01/06 09/25/06 0 days 24 days Actual/360 30/360
Forecasting Assumptions: One Month Libor forward curve as of 8/30/06 Six Month Libor forward curve as of 8/30/06 Home Price Appreciation Line of Credit Draw Rate Prepayment Speed
Schedule A Schedule B 2% per annum 1.5% per month See page 3
LEHMAN B ROTHERS
Interest Rate Forward Curves
Schedule A:
One Month Libor Interest Rate Forward Curve

5.60% 5.40% 1 Month LIBOR 5.20% 5.00% 4.80% 4.60% 4.40% 1 61 121 181 Deal Age 241 301
Schedule B:
Six Month Libor Interest Rate Forward Curve

5.80% 5.60% 6 Month LIBOR 5.40% 5.20% 5.00% 4.80% 4.60% 1 61 121 181 Deal Age 241 301
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LEHMAN B ROTHERS
SASCO 2006-RM1 Collateral Summary *

Total Number of Loans Total Outstanding Loan Balance Average Loan Principal Balance Weighted Average Coupon Weighted Average Margin Weighted Average Loan Age (mo.) Weighted Average Current LTV 1,558 $522,347,535.05 $335,267.99 10.073% 5.000% 11 38.946% Geographic Distribu tion (Other states account individually than for less 5% of the Cut-off Date principal balance.) CA NY FL Lien Position First 100.00% 57.78% 11.92% 8.91%
* The Mortgage Loan data is shown herein as of [August 1, 2006] for each Mortgage Loan.
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LEHMAN B ROTHERS
Collateral Characteristics
Collateral characteristics are listed below as of the Cut-off date
Current Balance Current Balance ($)

0.01 - 50,000.00 50,000.01 - 100,000.00 100,000.01 - 150,000.00 150,000.01 - 200,000.00 200,000.01 - 250,000.00 250,000.01 - 300,000.00 300,000.01 - 350,000.00 350,000.01 - 400,000.00 400,000.01 - 450,000.00 450,000.01 - 500,000.00 500,000.01 - 550,000.00 550,000.01 - 600,000.00 600,000.01 - 650,000.00 650,000.01 - 700,000.00 700,000.01 - 750,000.00 750,000.01 - 800,000.00 800,000.01 - 850,000.00 850,000.01 - 900,000.00 900,000.01 - 950,000.00 950,000.01 - 1,000,000.00 1,000,000.01 - 1,050,000.00 1,050,000.01 - 1,100,000.00 1,100,000.01 - 1,150,000.00 1,150,000.01 - 1,200,000.00 1,200,000.01 - 1,250,000.00 1,300,000.01 - 1,350,000.00 1,350,000.01 - 1,400,000.00 1,450,000.01 - 1,500,000.00 1,550,000.01 - 1,600,000.00 1,600,000.01 - 1,650,000.00 1,650,000.01 - 1,700,000.00 1,700,000.01 - 1,750,000.00 1,800,000.01 - 1,850,000.00 1,850,000.01 - 1,900,000.00 1,900,000.01 - 1,950,000.00 2,000,000.01 - 7,850,000.00 Total:
No. of Loans
47 96 95 135 193 251 221 162 109 57 42 34 28 14 13 8 5 7 4 2 3 3 1 2 3 2 2 1 1 2 2 2 2 1 1 7 1,558
Principal Balance
$1,702,919.64 7,365,183.73 11,682,430.86 23,939,974.51 43,492,538.52 68,871,187.15 71,503,304.77 60,465,122.22 46,512,594.76 26,972,776.59 22,014,896.05 19,400,430.05 17,511,892.56 9,435,504.13 9,410,726.84 6,207,253.15 4,141,930.80 6,092,070.73 3,683,829.85 1,978,951.90 3,073,670.01 3,220,646.38 1,125,478.00 2,382,942.52 3,659,304.28 2,635,773.77 2,748,438.04 1,465,042.04 1,564,177.22 3,268,547.84 3,341,660.92 3,469,483.33 3,636,447.28 1,895,108.32 1,925,600.89 20,549,695.40 $522,347,535.05
% of Pool Principal Balance

0.33% 1.41 2.24 4.58 8.33 13.18 13.69 11.58 8.90 5.16 4.21 3.71 3.35 1.81 1.80 1.19 0.79 1.17 0.71 0.38 0.59 0.62 0.22 0.46 0.70 0.50 0.53 0.28 0.30 0.63 0.64 0.66 0.70 0.36 0.37 3.93 100.00%
WAC
10.099% 10.096 10.109 10.095 10.112 10.103 10.073 10.036 10.001 10.145 10.046 10.163 10.062 10.058 10.068 10.105 10.149 10.161 10.216 9.951 10.188 9.967 10.320 10.205 10.071 9.780 10.057 10.640 9.420 9.959 10.050 10.055 10.381 10.320 9.810 9.897 10.073%
NZWA Current LTV

19.48% 27.23 27.65 29.30 32.03 36.53 41.25 42.07 41.62 40.25 42.19 42.65 40.85 43.44 46.65 40.15 41.46 44.88 36.47 38.55 34.80 36.59 35.73 45.93 37.62 30.20 35.11 25.96 53.66 26.93 38.68 42.34 48.30 52.21 20.59 46.09 38.95%
Min: $7,174.88 Max: $7,826,558.16 Average: $335,267.99
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LEHMAN B ROTHERS
Index No. of Loans 1,558 1,558 % of Pool Principal Balance 100.00% 100.00% NZWA Current LTV 38.95% 38.95%
Index
Principal Balance
WAC
6 month Total:
$522,347,535.05 $522,347,535.05
10.073% 10.073%
Gross Coupon No. of Loans 1 11 139 120 381 212 460 234 1,558 % of Pool Principal Balance 0.07% 0.87 8.25 8.01 26.54 13.89 28.30 14.07 100.00% NZWA Current LTV 64.14% 34.93 38.04 38.54 39.89 38.31 39.46 37.66 38.95%
Gross Coupon (%)
Principal Balance
WAC
8.001 - 8.250 9.001 - 9.250 9.251 - 9.500 9.501 - 9.750 9.751 - 10.000 10.001 - 10.250 10.251 - 10.500 10.501 - 10.750 Total: Min: 8.010% Max: 10.640% Weighted Average: 10.073%
$368,797.83 4,536,007.80 43,076,083.01 41,862,893.73 138,613,453.54 72,576,673.61 147,834,130.23 73,479,495.30 $522,347,535.05
8.010% 9.240 9.401 9.635 9.873 10.120 10.306 10.640 10.073%
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LEHMAN B ROTHERS
Margin No. of Loans 1,558 1,558 % of Pool Principal Balance 100.00% 100.00% NZWA Current LTV 38.95% 38.95%
Margin (%)
Principal Balance
WAC
5.000 Total:
$522,347,535.05 $522,347,535.05
10.073% 10.073%
Min.: 5.000% Max.: 5.000% Weighted Average: 5.000% Property Type No. of Loans 1,300 174 26 38 9 6 1 4 1,558 % of Pool Principal Balance 87.93% 7.32 2.03 1.17 0.79 0.65 0.06 0.04 100.00% NZWA Current LTV 39.04% 37.17 37.95 33.38 49.23 44.98 61.87 40.77 38.95%
Property Type
Principal Balance
WAC
Single Family Condo 2 Family Coop 3 Family 4 Family Townhouse Manufactured Housing Total:
$459,305,263.57 38,221,731.36 10,624,949.86 6,121,234.96 4,150,209.47 3,415,324.25 309,338.44 199,483.14 $522,347,535.05
10.070% 10.129 9.992 10.037 10.126 10.114 9.590 10.285 10.073%
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LEHMAN B ROTHERS
State (Top 30) No. of Loans 804 236 119 51 52 47 23 20 22 18 12 17 12 13 11 10 14 8 9 7 6 5 4 4 4 3 3 2 1 3 18 1,558 % of Pool Principal Balance 57.78% 11.92 8.91 3.26 2.84 2.73 1.43 1.10 1.02 1.01 1.00 0.87 0.68 0.63 0.52 0.48 0.48 0.41 0.40 0.32 0.30 0.23 0.18 0.17 0.14 0.14 0.13 0.11 0.10 0.10 0.61 100.00% NZWA Current LTV 39.45% 36.83 43.46 39.56 34.05 35.88 38.55 40.94 37.74 32.01 33.33 36.86 38.72 39.09 43.64 26.42 34.94 37.91 32.15 37.94 41.46 38.69 37.34 34.26 33.10 43.63 41.85 21.19 57.29 39.30 38.36 38.95%
State (Top 30) CA NY FL CT MA NJ MD WA VA AZ HI OR CO IL PA NH MI MN SC TX DC NV MO ID WI NM NC GA RI ME Other Total:
Principal Balance $301,797,297.44 62,245,377.13 46,543,393.14 17,052,623.40 14,843,481.71 14,282,360.15 7,482,098.90 5,768,702.71 5,312,355.65 5,252,213.69 5,245,794.00 4,543,683.93 3,555,647.05 3,304,415.06 2,696,743.93 2,484,912.43 2,483,820.84 2,137,957.52 2,090,192.79 1,647,437.36 1,568,534.92 1,185,778.18 945,907.96 896,995.48 747,460.54 733,244.84 670,823.26 569,094.19 544,221.65 527,196.25 3,187,768.95 $522,347,535.05
WAC 10.072% 10.104 10.031 10.006 10.098 10.159 10.062 10.116 10.035 10.082 9.807 10.210 10.092 10.001 10.192 10.276 10.109 10.113 10.144 9.748 10.374 9.909 10.343 10.029 10.112 10.264 9.671 9.645 10.290 10.051 10.022 10.073%
15
LEHMAN B ROTHERS
Original Appraisal Value No. of Loans 8 38 50 44 94 157 196 199 175 122 82 71 53 40 36 30 25 26 16 14 82 1,558 % of Pool Principal Balance 0.05% 0.46 0.81 1.00 3.34 7.15 10.25 10.99 10.23 7.72 5.26 5.02 4.02 3.09 3.33 2.82 2.62 2.23 1.80 1.34 16.45 100.00% NZWA Current LTV 41.36% 43.17 39.38 40.97 46.13 46.64 45.32 41.98 38.79 39.59 37.16 35.64 36.27 33.36 36.41 34.26 37.28 29.66 37.54 26.99 34.92 38.95%
Original Appraisal Value ($)
Principal Balance
WAC
1 - 100,000 100,001 - 200,000 200,001 - 300,000 300,001 - 400,000 400,001 - 500,000 500,001 - 600,000 600,001 - 700,000 700,001 - 800,000 800,001 - 900,000 900,001 - 1,000,000 1,000,001 - 1,100,000 1,100,001 - 1,200,000 1,200,001 - 1,300,000 1,300,001 - 1,400,000 1,400,001 - 1,500,000 1,500,001 - 1,600,000 1,600,001 - 1,700,000 1,700,001 - 1,800,000 1,800,001 - 1,900,000 1,900,001 - 2,000,000 2,000,001 - 12,000,000 Total: Min: $75,956.00 Max: $12,000,000.00 Average: $995,614.94
$285,049.52 2,382,054.66 4,251,840.14 5,246,205.45 17,454,432.38 37,337,568.41 53,549,022.60 57,390,414.63 53,455,371.47 40,322,605.64 27,468,547.54 26,221,065.92 21,022,544.84 16,137,243.67 17,400,671.76 14,748,910.42 13,665,140.85 11,661,986.25 9,393,768.18 7,009,143.66 85,943,947.06 $522,347,535.05
10.152% 10.097 10.135 10.102 10.123 10.076 10.118 10.060 10.085 10.090 10.014 10.056 10.012 10.139 10.085 10.106 9.951 10.245 10.155 10.140 10.021 10.073%
16
LEHMAN B ROTHERS
Current LTV Current LTV (Calc based on Current Values) (%) 0.01 - 5.00 5.01 - 10.00 10.01 - 15.00 15.01 - 20.00 20.01 - 25.00 25.01 - 30.00 30.01 - 35.00 35.01 - 40.00 40.01 - 45.00 45.01 - 50.00 50.01 - 55.00 55.01 - 60.00 60.01 - 65.00 65.01 - 70.00 Total: Min: 2.00% Max: 68.66% Weighted Average: 38.95% No. of Loans 11 26 39 99 173 202 214 199 180 148 125 88 39 15 1,558 % of Pool Principal Balance 0.07% 0.41 1.52 3.85 10.61 12.13 11.96 12.59 13.32 10.92 9.97 7.36 2.76 2.53 100.00% NZWA Current LTV 3.50% 8.26 12.51 17.91 22.82 27.62 32.60 37.49 42.28 47.30 52.71 57.20 62.14 65.63 38.95%
Principal Balance
WAC
$352,281.52 2,124,212.99 7,937,550.87 20,100,631.65 55,425,753.55 63,362,713.77 62,481,942.47 65,756,980.04 69,584,591.17 57,058,843.01 52,068,647.20 38,450,792.70 14,415,260.95 13,227,333.16 $522,347,535.05
10.307% 10.163 10.121 9.994 10.040 10.128 10.073 10.048 10.122 10.043 10.061 10.113 10.056 9.963 10.073%
17
LEHMAN B ROTHERS
Borrower Age (or age of youngest borrower) No. of Loans 36 137 237 367 399 257 93 28 2 2 1,558 % of Pool Principal Balance 1.45% 8.01 13.38 22.89 24.94 18.85 7.89 2.33 0.11 0.15 100.00% NZWA Current LTV 17.25% 22.07 26.92 34.04 41.32 49.53 55.04 59.37 65.08 63.04 38.95%
Borrower Age (Years)
Principal Balance
WAC
62 - 65 66 - 70 71 - 75 76 - 80 81 - 85 86 - 90 91 - 95 96 - 100 101 - 105 106 - 110 Total: Min: 62.000 Max: 107.000 Weighted Average: 81.139
$7,556,625.18 41,843,186.93 69,865,553.95 119,577,411.60 130,261,470.10 98,473,208.46 41,226,993.48 12,189,164.99 595,627.59 758,292.77 $522,347,535.05
10.018% 10.057 10.093 10.091 10.050 10.087 10.045 10.119 9.710 10.051 10.073%
18
LEHMAN B ROTHERS
Age of Female Borrowers No. of Loans 12 49 94 159 213 171 72 22 2 2 796 % of Pool Principal Balance 0.89% 4.79 9.54 19.66 24.73 24.00 11.99 3.90 0.22 0.28 100.00% NZWA Current LTV 19.91% 23.17 27.66 36.45 41.95 49.98 56.39 60.20 65.08 63.04 42.89%
Principal Balance
WAC
62 - 65 66 - 70 71 - 75 76 - 80 81 - 85 86 - 90 91 - 95 96 - 100 101 - 105 106 - 110 Total: Min: 63.000 Max: 107.000 Weighted Average: 83.251
$2,389,911.45 12,813,559.40 25,541,955.98 52,629,566.47 66,215,611.45 64,265,157.24 32,101,700.39 10,436,652.29 595,627.59 758,292.77 $267,748,035.03
9.932% 10.088 10.071 10.084 10.024 10.103 9.999 10.169 9.710 10.051 10.064%
19
LEHMAN B ROTHERS
Age of Male Borrowers Borrower Age (Years) 62 - 65 66 - 70 71 - 75 76 - 80 81 - 85 86 - 90 91 - 95 96 - 100 Total: No. of Loans 13 38 63 84 108 54 20 4 384 Principal Balance $2,243,341.32 12,312,221.20 20,030,385.09 29,404,484.92 39,706,130.35 23,433,066.91 8,950,387.90 1,217,436.55 $137,297,454.24 % of Pool Principal Balance 1.63% 8.97 14.59 21.42 28.92 17.07 6.52 0.89 100.00% WAC 9.990% 10.059 10.113 10.103 10.090 10.085 10.163 9.934 10.094% NZWA Current LTV 18.93% 23.35 29.37 34.85 44.05 51.58 49.22 57.62 39.42%
Min: 63.000 Max: 98.000 Weighted Average: 80.431
Ages of Female Co-Borrowers

Borrower Age (Years) 62 - 65 66 - 70 71 - 75 76 - 80 81 - 85 86 - 90 91 - 95 96 - 100 Total: Min: 62.000 Max: 100.000 Weighted Average: 78.103 No. of Loans 8 33 61 88 70 25 6 2 293 Principal Balance $1,663,615.80 11,927,690.33 17,161,735.08 26,024,149.25 21,011,072.43 7,823,854.74 2,473,734.59 535,076.15 $88,620,928.37 % of Pool Principal Balance 1.88% 13.46 19.37 29.37 23.71 8.83 2.79 0.60 100.00% WAC 9.894% 10.034 10.059 10.146 10.070 9.983 10.097 9.565 10.072% NZWA Current LTV 14.63% 19.87 24.02 29.24 33.78 42.15 52.06 47.12 29.65%
20
LEHMAN B ROTHERS
Ages of Male Co-Borrowers No. of Loans 8 11 18 28 13 7 85 % of Pool Principal Balance 8.93% 16.62 16.18 30.49 20.59 7.19 100.00% NZWA Current LTV 17.93% 21.87 27.85 29.91 35.25 34.47 28.60%
Principal Balance
WAC
66 - 70 71 - 75 76 - 80 81 - 85 86 - 90 91 - 95 Total: Min: 66.000 Max: 94.000 Weighted Average: 80.941
$2,561,965.20 4,765,811.90 4,641,970.82 8,745,079.41 5,904,494.45 2,061,795.63 $28,681,117.41
10.013% 9.985 10.081 10.042 10.089 10.223 10.059%
Borrower Gender No. of Loans 796 384 378 1,558 % of Pool Principal Balance 51.26% 26.28 22.46 100.00% NZWA Current LTV 42.89% 39.42 29.4 38.95%
Borrower Gender
Principal Balance
WAC
Female Male Couple Total:
$267,748,035.03 137,297,454.24 117,302,045.78 $522,347,535.05
10.064% 10.094 10.069 10.073%
21
LEHMAN B ROTHERS
Credit Line Advance Limit Adjustment % Credit Line Advance Limit Adjustment (%) 5.000 Total: No. of Loans 1,558 1,558 % of Pool Principal Balance 100.00% 100.00% NZWA Current LTV 38.95% 38.95%
Principal Balance
WAC
$522,347,535.05 $522,347,535.05
10.073% 10.073%
22
LEHMAN B ROTHERS
Maximum Rate (%) No. of Loans 3 1 64 124 76 196 152 148 164 86 252 117 120 55 1,558 % of Pool Principal Balance 0.10% 0.07 3.62 7.05 5.10 12.49 9.82 10.74 10.90 5.94 15.20 7.11 8.01 3.84 100.00% NZWA Current LTV 29.88% 60.09 40.63 36.80 40.16 38.41 39.29 40.92 38.43 38.60 38.33 38.38 38.54 41.20 38.95%
Max Rate (%) 13.001 - 13.250 13.251 - 13.500 13.501 - 13.750 13.751 - 14.000 14.001 - 14.250 14.251 - 14.500 14.501 - 14.750 14.751 - 15.000 15.001 - 15.250 15.251 - 15.500 15.501 - 15.750 15.751 - 16.000 16.001 - 16.250 16.251 - 16.500 Total: Min: 13.140% Max: 16.380% Weighted Average: 15.030%
Principal Balance
WAC
$547,151.95 369,538.48 18,906,766.15 36,818,662.29 26,646,064.37 65,219,820.79 51,283,673.93 56,115,892.40 56,942,363.38 31,048,693.77 79,403,370.23 37,121,066.88 41,862,893.73 20,061,576.70 $522,347,535.05
10.084% 10.290 10.319 10.278 9.854 10.162 10.355 10.108 9.972 10.190 10.348 9.409 9.635 9.800 10.073%
23
LEHMAN B ROTHERS
Next Limit Adjust Date No. of Loans 114 86 117 96 162 164 160 152 146 154 130 77 1,558 % of Pool Principal Balance 9.08% 5.28 7.72 6.01 9.45 9.40 10.56 9.23 9.71 9.79 8.71 5.07 100.00% NZWA Current LTV 40.07% 38.86 38.56 40.43 39.21 37.31 37.42 40.15 38.44 38.85 40.25 38.33 38.95%
Next Limit Adjust Date
Principal Balance
WAC
2006-08 2006-09 2006-10 2006-11 2006-12 2007-01 2007-02 2007-03 2007-04 2007-05 2007-06 2007-07 Total:
$47,433,846.89 27,580,566.82 40,315,412.41 31,396,267.32 49,351,299.93 49,078,140.26 55,163,967.30 48,199,458.53 50,695,991.61 51,143,780.41 45,489,620.74 26,499,182.83 $522,347,535.05
9.810% 9.990 10.120 10.288 10.320 10.624 9.524 9.729 9.946 10.052 10.209 10.640 10.073%
Annual Servicing Fee No. of Loans 36 1,517 5 1,558 % of Pool Principal Balance 2.07% 97.72 0.22 100.00% NZWA Current LTV 38.71% 38.97 30.26 38.95%
Annual Servicing Fee ($)
Principal Balance
WAC
0 360 420 Total:
$10,786,513.96 510,412,446.18 1,148,574.91 $522,347,535.05
10.043% 10.074 9.991 10.073%
24
LEHMAN B ROTHERS
Loan Age No. of Loans 86 233 278 299 275 247 139 1 1,558 % of Pool Principal Balance 5.91% 14.96 16.83 20.75 17.66 16.02 7.84 0.03 100.00% NZWA Current LTV 39.91% 38.10 38.63 39.53 39.03 38.82 39.08 26.24 38.95%
Loan Age (Months)
Principal Balance
WAC
0.001 - 3.000 3.001 - 6.000 6.001 - 9.000 9.001 - 12.000 12.001 - 15.000 15.001 - 18.000 18.001 - 21.000 21.001 - 24.000 Total: Min: 1.6 Max: 21.8 Weighted Average: 10.8
$30,879,616.63 78,126,796.02 87,896,561.89 108,383,029.45 92,252,967.35 83,694,928.50 40,962,734.76 150,900.45 $522,347,535.05
9.772% 9.562 10.366 9.951 10.392 9.966 10.466 9.990 10.073%
25
LEHMAN B ROTHERS
Origination Date No. of Loans 67 226 292 277 308 250 138 1,558 % of Pool Principal Balance 3.75% 14.01 18.72 19.43 19.42 15.17 9.49 100.00% NZWA Current LTV 40.68% 38.79 38.89 39.29 39.04 37.74 39.63 38.95%
Origination Date
Principal Balance
WAC
2004 4th Q 2005 1st Q 2005 2nd Q 2005 3rd Q 2005 4th Q 2006 1st Q 2006 2nd Q Total:
$19,600,351.10 73,192,302.46 97,769,694.67 101,513,596.54 101,462,628.56 79,249,263.63 49,559,698.09 $522,347,535.05
10.312% 10.086 10.236 10.076 10.232 9.812 9.725 10.073%
26
LEHMAN B ROTHERS
Bond Schedules:
Period 0 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 Payment Date Closing 9/25/2006 10/25/2006 11/25/2006 12/25/2006 1/25/2007 2/25/2007 3/25/2007 4/25/2007 5/25/2007 6/25/2007 7/25/2007 8/25/2007 9/25/2007 10/25/2007 11/25/2007 12/25/2007 1/25/2008 2/25/2008 3/25/2008 4/25/2008 5/25/2008 6/25/2008 7/25/2008 A-IO Schedule 182,821,637.27 182,821,637.27 180,962,803.82 179,151,727.37 177,385,048.96 175,657,400.32 173,965,826.60 172,300,252.87 170,686,481.34 169,097,902.91 167,533,943.37 165,994,066.43 164,477,769.31 162,984,578.73 161,312,409.93 159,668,439.65 158,051,966.18 156,462,331.94 154,898,918.57 153,361,142.66 151,848,451.97 150,360,322.07 148,896,253.48 147,455,769.03 A1 Schedule 490,000,000.00 489,000,000.00 488,000,000.00 487,000,000.00 486,000,000.00 485,000,000.00 484,000,000.00 483,000,000.00 482,000,000.00 481,000,000.00 480,000,000.00 479,000,000.00 478,000,000.00 475,000,000.00 472,000,000.00 469,000,000.00 466,000,000.00 463,000,000.00 460,000,000.00 457,000,000.00 454,000,000.00 451,000,000.00 448,000,000.00 445,000,000.00
M1 Schedule 85,000,000.00 85,000,000.00 85,000,000.00 85,000,000.00 85,000,000.00 85,000,000.00 85,000,000.00 85,000,000.00 85,000,000.00 85,000,000.00 85,000,000.00 85,000,000.00 85,000,000.00 85,000,000.00 85,000,000.00 85,000,000.00 85,000,000.00 85,000,000.00 85,000,000.00 85,000,000.00 85,000,000.00 85,000,000.00 85,000,000.00 85,000,000.00
M2 Schedule 23,330,291.00 23,330,291.00 23,330,291.00 23,330,291.00 23,330,291.00 23,330,291.00 23,330,291.00 23,330,291.00 23,330,291.00 23,330,291.00 23,330,291.00 23,330,291.00 23,330,291.00 23,330,291.00 23,330,291.00 23,330,291.00 23,330,291.00 23,330,291.00 23,330,291.00 23,330,291.00 23,330,291.00 23,330,291.00 23,330,291.00 23,330,291.00
27
LEHMAN B ROTHERS
Bond Schedules (continued):
Period 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 Payment Date 8/25/2008 9/25/2008 10/25/2008 11/25/2008 12/25/2008 1/25/2009 2/25/2009 3/25/2009 4/25/2009 5/25/2009 6/25/2009 7/25/2009 8/25/2009 9/25/2009 10/25/2009 11/25/2009 12/25/2009 1/25/2010 2/25/2010 3/25/2010 4/25/2010 5/25/2010 6/25/2010 7/25/2010 A-IO Schedule 146,038,411.67 144,643,742.42 143,065,984.53 141,519,177.33 140,002,202.91 138,514,032.38 137,053,716.15 135,620,375.14 134,213,193.20 132,831,410.31 131,474,316.59 130,141,246.98 128,831,576.63 127,544,716.71 126,089,631.21 124,665,599.25 123,271,330.83 121,905,644.81 120,567,456.88 119,255,769.00 117,969,659.95 116,708,277.12 115,470,829.09 114,256,579.24 A1 Schedule 442,000,000.00 439,000,000.00 436,000,000.00 433,000,000.00 430,000,000.00 427,000,000.00 424,000,000.00 421,000,000.00 418,000,000.00 415,000,000.00 412,000,000.00 409,000,000.00 406,000,000.00 402,500,000.00 399,000,000.00 395,500,000.00 392,000,000.00 388,500,000.00 385,000,000.00 381,500,000.00 378,000,000.00 374,500,000.00 371,000,000.00 367,500,000.00
M1 Schedule 85,000,000.00 83,000,000.00 81,000,000.00 79,000,000.00 77,000,000.00 75,000,000.00 73,000,000.00 71,000,000.00 69,000,000.00 67,000,000.00 65,000,000.00 63,000,000.00 61,000,000.00 59,000,000.00 57,000,000.00 55,000,000.00 53,000,000.00 51,000,000.00 49,000,000.00 47,000,000.00 45,000,000.00 43,000,000.00 41,000,000.00 39,000,000.00
M2 Schedule 23,330,291.00 21,330,291.00 19,330,291.00 17,330,291.00 15,330,291.00 13,330,291.00 11,330,291.00 9,330,291.00 7,330,291.00 5,330,291.00 3,330,291.00 1,330,291.00 -
28
LEHMAN B ROTHERS
Period 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 Payment Date 8/25/2010 9/25/2010 10/25/2010 11/25/2010 12/25/2010 1/25/2011 2/25/2011 3/25/2011 4/25/2011 5/25/2011 6/25/2011 7/25/2011 8/25/2011 9/25/2011 10/25/2011 11/25/2011 12/25/2011 1/25/2012 2/25/2012 3/25/2012 4/25/2012 5/25/2012 6/25/2012 A-IO Schedule 113,064,839.91 111,894,967.40 110,590,482.40 109,312,823.59 108,061,023.04 106,834,185.00 105,631,478.21 104,452,129.14 103,295,416.00 102,160,663.43 101,047,237.76 99,954,542.91 98,882,016.64 97,829,127.34 96,628,926.63 95,457,153.42 94,312,431.31 93,193,507.28 92,099,238.05 91,028,577.84 89,980,567.78 88,954,326.35 87,949,041.02 A1 Schedule 364,000,000.00 358,500,000.00 353,000,000.00 347,500,000.00 342,000,000.00 336,500,000.00 331,000,000.00 325,500,000.00 320,000,000.00 314,500,000.00 309,000,000.00 303,500,000.00 298,000,000.00 292,500,000.00 287,000,000.00 281,500,000.00 276,000,000.00 270,500,000.00 265,000,000.00 259,500,000.00 254,000,000.00 248,500,000.00 243,000,000.00
M1 Schedule 37,000,000.00 35,000,000.00 33,000,000.00 31,000,000.00 29,000,000.00 27,000,000.00 25,000,000.00 23,000,000.00 21,000,000.00 19,000,000.00 17,000,000.00 15,000,000.00 13,000,000.00 11,000,000.00 9,000,000.00 7,000,000.00 5,000,000.00 3,000,000.00 1,000,000.00 -
M2 Schedule -
29
LEHMAN B ROTHERS
Period 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 Payment Date 7/25/2012 8/25/2012 9/25/2012 10/25/2012 11/25/2012 12/25/ 2012 1/25/2013 2/25/2013 3/25/2013 4/25/2013 5/25/2013 6/25/2013 7/25/2013 8/25/2013 9/25/2013 10/25/2013 11/25/2013 12/25/2013 1/25/2014 2/25/2014 3/25/2014 4/25/2014 5/25/2014 A-IO Schedule 86,963,960.90 85,998,390.10 85,051,682.04 83,996,781.69 82,965,117.43 81,955,741.53 80,967,781.29 80,000,431.01 79,052,944.96 78,124,631.12 77,214,845.65 76,322,987.96 75,448,496.35 74,590,844.17 73,749,536.36 72,818,503.93 71,906,916.16 71,014,093.09 70,139,401.39 69,282,249.63 68,442,084.12 67,618,385.18 66,810,663.86 A1 Schedule 237,500,000.00 232,000,000.00 226,500,000.00 221,000,000.00 215,500,000.00 210,000,000.00 204,500,000.00 199,000,000.00 193,500,000.00 188,000,000.00 182,500,000.00 177,000,000.00 171,500,000.00 166,000,000.00 160,500,000.00 155,000,000.00 149,500,000.00 144,000,000.00 138,500,000.00 133,000,000.00 127,500,000.00 122,000,000.00 116,500,000.00
M1 Schedule -
M2 Schedule -
30
LEHMAN B ROTHERS
Period 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 Payment Date 6/25/2014 7/25/2014 8/25/2014 9/25/2014 10/25/2014 11/25/2014 12/25/2014 1/25/2015 2/25/2015 3/25/2015 4/25/2015 5/25/2015 6/25/2015 7/25/2015 8/25/2015 9/25/2015 10/25/2015 11/25/2015 12/25/2015 1/25/2016 2/25/2016 3/25/2016 4/25/2016 5/25/2016 A-IO Schedule 66,018,459.03 65,241,334.75 64,478,877.98 63,730,696.55 62,901,800.34 62,090,261.74 61,295,475.34 60,516,876.68 59,753,938.21 59,006,165.56 58,273,094.37 57,554,287.35 56,849,331.81 56,157,837.31 55,479,433.69 54,813,769.24 54,080,937.20 53,363,212.89 52,660,098.28 51,971,126.73 51,295,859.94 50,633,885.25 49,984,813.22 49,348,275.52 A1 Schedule 111,000,000.00 105,500,000.00 100,000,000.00 94,500,000.00 89,000,000.00 83,500,000.00 78,000,000.00 72,500,000.00 67,000,000.00 61,500,000.00 56,000,000.00 50,500,000.00 45,000,000.00 39,500,000.00 34,000,000.00 28,500,000.00 23,000,000.00 17,500,000.00 12,000,000.00 6,500,000.00 1,000,000.00 -
M1 Schedule -
M2 Schedule -
31
LEHMAN B ROTHERS
Period 118 119 120 Payment Date 6/25/2016 7/25/2016 8/25/2016 A-IO Schedule 48,723,922.96 48,111,423.90 47,510,462.62 A1 Schedule -
M1 Schedule -
M2 Schedule -
Class R Certificate Schedule:

Trigger Test Date 9/25/2006 9/25/2008 9/25/2009 9/25/2010 9/25/2011 Applies to Payment Dates 9/25/2006 - 8/25/2008 9/25/2008 - 8/25/2009 9/25/2009 - 8/25/2010 9/25/2010 - 8/25/2011 9/25/2011 and thereafter OC Trigger Level 0.00% 2.00% 3.00% 10.00% 0.00% Monthly Payment Amount $ $ $ $ $ 900,000.00 850,000.00 600,000.00 -
32

Sasco 2006 RM1

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Sasco 2006 RM1

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$[598,330,291]

RESIDENTIAL M ORTGAGE FINANCE

Approximate Size ($) [490,000,000] [182,821,637] (1) [85,000,000] [23,330,291] []

Est. WAL to Maturity (yrs.) (2) [4.75]

Legal Final Maturity August 25, 2036

Ratings (S&P /Fitch /Moodys)

A-IO [AAA/AAA/Aaa] []%

M1 [AA/AA/NR] L + [%] M2 [A/A/NR] L + [%]

Mortgage-Backed Securities Finance:

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Interest Rate: Taxation:

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Class A-IO Redemption Price:

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Principal and Interest Payments on the Securities

10. 11. 12. 13.

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Credit Enhancement Subordination

Collateral Cash Account Loans

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Avg LTV 30.61%

Number of Loans 3,325

Avg LTV 31.09%

2,139,444.12 1,324,062.74 2,166,029.35 11,706,560.75 (9,454.88) 0.00

59.60% 60.02% 73.71% 60.74% 41.95% N/A

3,856,152.90 3,809,663.89 1,944,903.63 9,147,680.57 (81,867.57) 0

31.07% 53.10% 72.76% 68.70% 39.62% N/A

(1) (2) (3)

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Schedule A Schedule B 2% per annum 1.5% per month See page 3

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One Month Libor Interest Rate Forward Curve

Six Month Libor Interest Rate Forward Curve

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SASCO 2006-RM1 Collateral Summary *

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Current Balance Current Balance ($)

% of Pool Principal Balance

NZWA Current LTV

Min: $7,174.88 Max: $7,826,558.16 Average: $335,267.99

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Gross Coupon (%)

$368,797.83 4,536,007.80 43,076,083.01 41,862,893.73 138,613,453.54 72,576,673.61 147,834,130.23 73,479,495.30 $522,347,535.05

8.010% 9.240 9.401 9.635 9.873 10.120 10.306 10.640 10.073%

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$459,305,263.57 38,221,731.36 10,624,949.86 6,121,234.96 4,150,209.47 3,415,324.25 309,338.44 199,483.14 $522,347,535.05

10.070% 10.129 9.992 10.037 10.126 10.114 9.590 10.285 10.073%

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State (Top 30) CA NY FL CT MA NJ MD WA VA AZ HI OR CO IL PA NH MI MN SC TX DC NV MO ID WI NM NC GA RI ME Other Total:

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Original Appraisal Value ($)

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Borrower Age (Years)

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Borrower Age (Years)

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Min: 63.000 Max: 98.000 Weighted Average: 80.431

Ages of Female Co-Borrowers

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Borrower Age (Years)