STRUCTURED ASSET INVESTMENT LOAN TRUST, SENIOR/SUBORDINATE CERTIFICATES

LEHMAN BROTHERS

                                  

MORTGAGE BACKED SECURITIES

                  

 

 

 

 

 

 

 

 

$2,297,417,000 (Approximate) STRUCTURED ASSET INVESTMENT LOAN TRUST, SERIES 2005-6 SENIOR/SUBORDINATE CERTIFICATES Available Funds Floaters No Hard Cap – Act/360 – No Delay

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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.  A copy of the Prospectus Supplement and Prospectus will be provided by Lehman Brothers Inc. upon request.  (The Prospectus Supplement and Prospectus are referred to collectively as the "Offering Document").  The Offering Document contains important information about the offered securities that is not contained in these materials.  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.  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.

 

 

To 10% Call
			Est.	Payment	Initial		Legal	Expected
	Approximate	Coupon/	WAL (2)	Window (2)	C/E (3)	Initial	Final	Ratings
Class	Size ($) (1)	Benchmark	(yrs.)	(mos.)	(%)	Margin	Maturity	(S&P/Moody’s/Fitch)
A1 (4)	478,380,000	1 M LIBOR	2.14	1-77	15.65%	TBD	7/25/2035	AAA/Aaa/AAA
A2 (4)	53,153,000	1 M LIBOR	2.14	1-77	15.65%	TBD	7/25/2035	AAA/Aaa/AAA
A3 (5)	531,683,000	1 M LIBOR	2.14	1-77	15.65%	TBD	7/25/2035	AAA/Aaa/AAA
A4 (6)	99,022,000	1 M LIBOR	0.88	1-23	15.65%	TBD	7/25/2035	AAA/Aaa/AAA
A5 (6)	46,000,000	1 M LIBOR	3.00	23-60	15.65%	TBD	7/25/2035	AAA/Aaa/AAA
A6 (6)	23,716,000	1 M LIBOR	6.10	60-77	15.65%	TBD	7/25/2035	AAA/Aaa/AAA
A7 (7)	419,977,000	1 M LIBOR	0.86	1-23	15.65%	TBD	7/25/2035	AAA/Aaa/AAA
A8 (7)	203,126,000	1 M LIBOR	3.00	23-61	15.65%	TBD	7/25/2035	AAA/Aaa/AAA
A9 (7)	92,554,000	1 M LIBOR	6.13	61-77	15.65%	TBD	7/25/2035	AAA/Aaa/AAA
M1	69,269,000	1 M LIBOR	4.57	42-77	12.65%	TBD	7/25/2035	AA+/Aa1/AA+
M2	64,651,000	1 M LIBOR	4.49	41-77	9.85%	TBD	7/25/2035	AA/Aa2/AA
M3	39,252,000	1 M LIBOR	4.45	40-77	8.15%	TBD	7/25/2035	AA-/Aa3/AA-
M4	34,634,000	1 M LIBOR	4.42	39-77	6.65%	TBD	7/25/2035	A+/A1/A+
M5	34,634,000	1 M LIBOR	4.40	38-77	5.15%	TBD	7/25/2035	A/A2/A
M6	26,553,000	1 M LIBOR	4.38	38-77	4.00%	TBD	7/25/2035	A-/A3/A-
M7	34,635,000	1 M LIBOR	4.37	37-77	2.50%	TBD	7/25/2035	BBB/Baa2/BBB
M8	23,090,000	1 M LIBOR	4.19	37-76	1.50%	TBD	7/25/2035	BBB-/Baa3/BBB-
M9-A	5,772,000	1 M LIBOR	3.78	37-60	1.00%	TBD	7/25/2035	BBB-/NR/BBB-
M9-F	5,772,000	[6.00]%	3.78	37-60	1.00%	N/A	7/25/2035	BBB-/NR/BBB-
M10-A	5,772,000	1 M LIBOR	3.19	37-46	0.50%	TBD	7/25/2035	BBB-/NR/BB+
M10-F	5,772,000	[6.00]%	3.19	37-46	0.50%	N/A	7/25/2035	BBB-/NR/BB+

 

To Maturity
			Est.	Payment	Initial		Legal	Expected
	Approximate	Coupon/	WAL (2)	Window (2)	C/E (3)	Initial	Final	Ratings
Class	Size ($) (1)	Benchmark	(yrs.)	(mos.)	(%)	Margin	Maturity	(S&P/Moody’s/Fitch)
A1 (4)	478,380,000	1 M LIBOR	2.34	1-170	15.65%	TBD	7/25/2035	AAA/Aaa/AAA
A2 (4)	53,153,000	1 M LIBOR	2.34	1-170	15.65%	TBD	7/25/2035	AAA/Aaa/AAA
A3 (5)	531,683,000	1 M LIBOR	2.33	1-169	15.65%	TBD	7/25/2035	AAA/Aaa/AAA
A4 (6)	99,022,000	1 M LIBOR	0.88	1-23	15.65%	TBD	7/25/2035	AAA/Aaa/AAA
A5 (6)	46,000,000	1 M LIBOR	3.00	23-60	15.65%	TBD	7/25/2035	AAA/Aaa/AAA
A6 (6)	23,716,000	1 M LIBOR	7.69	60-172	15.65%	TBD	7/25/2035	AAA/Aaa/AAA
A7 (7)	419,977,000	1 M LIBOR	0.86	1-23	15.65%	TBD	7/25/2035	AAA/Aaa/AAA
A8 (7)	203,126,000	1 M LIBOR	3.00	23-61	15.65%	TBD	7/25/2035	AAA/Aaa/AAA
A9 (7)	92,554,000	1 M LIBOR	7.65	61-172	15.65%	TBD	7/25/2035	AAA/Aaa/AAA
M1	69,269,000	1 M LIBOR	5.00	42-135	12.65%	TBD	7/25/2035	AA+/Aa1/AA+
M2	64,651,000	1 M LIBOR	4.90	41-129	9.85%	TBD	7/25/2035	AA/Aa2/AA
M3	39,252,000	1 M LIBOR	4.83	40-121	8.15%	TBD	7/25/2035	AA-/Aa3/AA-
M4	34,634,000	1 M LIBOR	4.77	39-115	6.65%	TBD	7/25/2035	A+/A1/A+
M5	34,634,000	1 M LIBOR	4.70	38-108	5.15%	TBD	7/25/2035	A/A2/A
M6	26,553,000	1 M LIBOR	4.61	38-100	4.00%	TBD	7/25/2035	A-/A3/A-
M7	34,635,000	1 M LIBOR	4.48	37-92	2.50%	TBD	7/25/2035	BBB/Baa2/BBB
M8	23,090,000	1 M LIBOR	4.19	37-76	1.50%	TBD	7/25/2035	BBB-/Baa3/BBB-
M9-A	5,772,000	1 M LIBOR	3.78	37-60	1.00%	TBD	7/25/2035	BBB-/NR/BBB-
M9-F	5,772,000	[6.00]%	3.78	37-60	1.00%	N/A	7/25/2035	BBB-/NR/BBB-
M10-A	5,772,000	1 M LIBOR	3.19	37-46	0.50%	TBD	7/25/2035	BBB-/NR/BB+
M10-F	5,772,000	[6.00]%	3.19	37-46	0.50%	N/A	7/25/2035	BBB-/NR/BB+

 

(1)

Subject to a permitted variance of + 5% in the aggregate.

(2)

The Certificates will be priced assuming a prepayment speed equal to 30% CPR.  Assumes a closing date of 5/30/05, dated date of 5/25/05 and first payment date of 6/25/05.

(3)

Initial Credit Enhancement includes overcollateralization of approximately 0.50%.

(4)

The Class A1 and A2 Certificates are the Senior Certificates of Group 1.

(5)

The Class A3 Certificates are the Senior Certificates of Group 2.

(6)

The Class A4, A5 and A6 Certificates are the Senior Certificates of Group 3.

(7)

The Class A7, A8 and A9 Certificates are the Senior Certificates of Group 4.

 

Principal Payment Priority

On each Distribution Date, principal in the amount of any Net Swap Payment or swap termination payment due to the Swap Counterparty and remaining unpaid (after application of interest received or advanced for this purpose on such Distribution Date), will be deposited into the swap account and paid as described in the Swap Account Payment Priority, to be paid from each of Group 1, Group 2, Group 3 and Group 4 in proportion to the aggregate collateral balance of each group and then from the unrelated groups, to the extent unpaid.  Any funds remaining will be paid in the following order of priority:

 

I.

Prior to the Stepdown Date, or whenever a Trigger Event is in effect:

1)

Concurrently, to the Senior Certificates:

A)

All principal from Group 1 will be paid to the Class A1 and A2 Certificates:

a.

If a Sequential Trigger Event (as defined herein) is not in effect, all principal from Group 1 will be paid to the Class A1 and Class A2 Certificates, pro rata in proportion to their outstanding balance, until they have been reduced to zero; or

b.

If a Sequential Trigger Event is in effect, all principal from Group 1 will be paid to the Class A1 and Class A2 Certificates, sequentially and in that order, until they have been reduced to zero;

B)

All principal from Group 2 will be paid to the Class A3 Certificates, until they have been reduced to zero;

C)

All principal from Group 3 will be paid to the Class A4, Class A5 and Class A6 Certificates, sequentially and in that order, until they have been reduced to zero; and

D)

All principal from Group 4 will be paid to the Class A7, Class A8 and Class A9 Certificates, sequentially and in that order, until they have been reduced to zero;

2)

If the Senior Certificates related to any group have been retired, all principal from that group will be allocated to the Senior Certificates of the unrelated groups, pro rata based on the aggregate principal balance of the Senior Certificates related to each Group, to be paid as described above, until all the Senior Certificates have been reduced to zero;

3)

To the Class M1, M2, M3, M4, M5, M6, M7 and M8 Certificates, sequentially and in that order, until reduced to zero;

4)

To the Class M9-A and M9-F Certificates, concurrently and in proportion to their outstanding principal balance, until reduced to zero; and

5)

To the Class M10-A and M10-F Certificates, concurrently and in proportion to their outstanding principal balance, until reduced to zero.

II.

On or after the Stepdown Date and as long as a Trigger Event is not in effect:

1)

All principal from each Group will be allocated to the related Senior Certificates, to be paid as described in (I)(1) above, provided, however, that principal will only be allocated to the Senior Certificates in the amount required to achieve the Targeted Senior Enhancement Percentage in the aggregate;

2)

If the Senior Certificates related to any group have been retired, all principal from that group will be allocated to the Senior Certificates of the unrelated groups, pro rata based on the aggregate principal balance of the Senior Certificates related to each Group, to be paid as described above, until the Targeted Senior Enhancement Percentage has been reached in the aggregate;

3)

To the Class M1, M2, M3, M4, M5, M6, M7 and M8 Certificates, sequentially and in that order, until the Credit Enhancement behind each class is equal to two times the related initial enhancement percentage;

4)

To the Class M9-A and M9-F Certificates, concurrently and in proportion to their outstanding principal balance, until the aggregate Credit Enhancement behind the Class M9-A and M9-F Certificates is equal to two times the related initial enhancement percentage in the aggregate; and

5)

To the Class M10-A and M10-F Certificates, concurrently and in proportion to their outstanding principal balance, until the aggregate Credit Enhancement behind the Class M10-A and M10-F Certificates is equal to two times the related initial enhancement percentage in the aggregate.

The Stepdown Date is the later of (i) the Distribution Date upon which the original Senior Enhancement Percentage (as defined herein) doubles to meet the Targeted Senior Enhancement Percentage of 31.30%, or (ii) the 37th distribution date.

Interest Payment Priority

The Interest Rates for the Class A1, A2, A3, A4, A5, A6, A7, A8, A9, M1, M2, M3, M4, M5, M6, M7, M8, M9-A and M10-A Certificates  (the “LIBOR Certificates”) will be equal to the lesser of (i) one-month LIBOR plus their respective margins and (ii) their Net Funds Cap (as defined herein).  Interest for the LIBOR Certificates will be calculated on an actual/360 basis.

The Interest Rates for the Class M9-F and M10-F Certificates (the “Fixed Rate Certificates”) will be equal to the lesser of (i) the stated fixed rate and (ii) the Subordinate Net Funds Cap.  Interest for the Fixed Rate Certificates will be calculated on a 30/360 basis.

The “Accrual Period” for the LIBOR Certificates for each Distribution Date will be the one-month period beginning on the immediately preceding Distribution Date (or on June 25, 2005, in the case of the first Accrual Period) and ending on the day immediately preceding the related Distribution Date.   The

“Accrual Period” for the Fixed Rate Certificates for each Distribution Date will be the calendar month preceding the related Distribution Date.

 

Interest received or advanced on each Distribution Date will be allocated in the following priority:

(1)

To pay fees: Servicing Fee and any applicable Mortgage Insurance Fee;

(2)

To deposit into the Swap Account (as defined below) any Net Swap Payment (as defined below) or any swap termination payment owed to the Swap Counterparty pursuant to the swap agreement, to be paid from any of Group 1, Group 2, Group 3 and Group 4 Interest in an amount proportionate to the aggregate collateral balance of the related Group;

(3)

To deposit into the Swap Account any Net Swap Payment or any swap termination payment owed to the Swap Counterparty pursuant to the swap agreement, in an amount proportionate to the aggregate collateral balance of the unrelated Groups, to the extent not paid above;

(4)

On each Distribution Date beginning with July 2015, to the Final Maturity Reserve Fund,  the Final Maturity Reserve Fund Amount;

(5)

To pay Current Interest and Carryforward Interest to the Class A1 and Class A2 Certificates from Group 1 Interest on a pro rata basis;

(6)

To pay Current Interest and Carryforward Interest to the Class A3 Certificates from Group 2 Interest;

(7)

To pay Current Interest and Carryforward Interest to the Class A4, Class A5 and Class A6 Certificates from Group 3 Interest on a pro rata basis;

(8)

To pay Current Interest and Carryforward Interest to the Class A7, Class A8 and Class A9 Certificates from Group 4 Interest on a pro rata basis;

(9)

To pay Current Interest and Carryforward Interest to the Senior Certificates on a pro rata basis, to the extent not paid above;

(10)

To pay Current Interest and Carryforward Interest to the Class M1, M2, M3, M4, M5, M6, M7 and M8 Certificates, sequentially and in that order;

(11)

To pay Current Interest and Carryforward Interest to the Class M9-A and M9-F Certificates on a pro rata basis;

(12)

To pay Current Interest and Carryforward Interest to the Class M10-A and M10-F Certificates on a pro rata basis;

(13)

To pay the Credit Risk Manager Fee;

(14)

To pay to the Trustee previously unreimbursed extraordinary costs, liabilities and expenses, to the extent provided in the trust agreement;

(15)

Any interest remaining after the application of (1) through (14) above will be deemed excess interest for such Distribution Date and will be distributed as principal , according to the principal distribution rule in effect for such Distribution Date, as needed to maintain the Overcollateralization Target;

(16)

To pay concurrently in proportion to their respective Basis Risk Shortfall and Unpaid Basis Risk Shortfall amounts, to the Class A1, A2, A3, A4, A5, A6, A7, A8 and A9 Certificates, any Basis Risk Shortfall and Unpaid Basis Risk Shortfall amounts;

(17)

To pay sequentially to the Class M1, M2, M3, M4, M5, M6, M7 and M8 Certificates any Basis Risk Shortfall and Unpaid Basis Risk Shortfall amounts;

(18)

To pay to the Class M9-A and M9-F Certificates, concurrently in proportion to their respective Basis Risk Shortfall and Unpaid Basis Risk Shortfall amounts, any Basis Risk Shortfall and Unpaid Basis Risk Shortfall amounts;

(19)

To pay to the Class M10-A and M10-F Certificates, concurrently in proportion to their respective Basis Risk Shortfall and Unpaid Basis Risk Shortfall amounts, any Basis Risk Shortfall and Unpaid Basis Risk Shortfall amounts;

(20)

To pay sequentially to the Class M1, M2, M3, M4, M5, M6, M7 and M8 Certificates any Deferred Amounts;

(21)

To pay to the Class M9-A and M9-F Certificates, concurrently in proportion to their respective Deferred Amounts, any Deferred Amounts;

(22)

To pay to the Class M10-A and M10-F Certificates, concurrently in proportion to their respective Deferred Amounts, any Deferred Amounts; and

(23)

To pay remaining amounts to the holder of the Class X Certificates.

 

Interest Rate Swap Agreement

The 59-month Interest Rate Swap Agreement (the “Swap Agreement”) will obligate the Trust to pay a predetermined annual rate (as shown below) on the swap notional amount in each period. The Trust will receive payments equal to an annual rate of one-month LIBOR on the swap notional amount for each period over the life of the Swap Agreement.  Payments on both legs of the swap are calculated on an actual/360 basis.  The payments will be netted against each other each month (the “Net Swap Payment”) and will be deposited into an account (the “Swap Account”).

 

 

 

Swap Account Payment Priority

All payments due under the Swap Agreement and any swap termination payment pursuant to the Swap Agreement will be deposited into the Swap Account, and allocated in the following order of priority:

 

(1)

To pay any Net Swap Payment owed to the Swap Counterparty pursuant to the Swap Agreement;

(2)

To pay any swap termination payment to the Swap Counterparty, to the extent the termination is not due to a default on the part of the Swap Counterparty;

(3)

To pay Current Interest and Carryforward Interest to the Senior Certificates on a pro rata basis, to the extent unpaid;

(4)

To pay Current Interest and Carryforward Interest to the Class M1, M2, M3, M4, M5, M6, M7 and M8 Certificates, sequentially and in that order, to the extent unpaid;

(5)

To pay Current Interest and Carryforward Interest to the Class M9-A and M9-F Certificates on a pro rata basis, to the extent unpaid;

(6)

To pay Current Interest and Carryforward Interest to the Class M10-A and M10-F Certificates on a pro rata basis, to the extent unpaid;

(7)

To be paid as principal, in accordance with the principal distribution rules in effect for such Distribution Date, as needed to maintain the Overcollateralization Target*;

(8)

To pay concurrently in proportion to their respective Basis Risk Shortfall and Unpaid Basis Risk Shortfall amounts, to the Class A1, A2, A3, A4, A5, A6, A7, A8 and A9 Certificates, any Basis Risk Shortfall and Unpaid Basis Risk Shortfall amounts, to the extent not yet paid;

(9)

To pay sequentially to the Class M1, M2, M3, M4, M5, M6, M7 and M8 Certificates any Basis Risk Shortfall and Unpaid Basis Risk Shortfall amounts, to the extent not yet paid;

(10)

To pay to the Class M9-A and M9-F Certificates, concurrently in proportion to their respective Basis Risk Shortfall and Unpaid Basis Risk Shortfall amounts, any Basis Risk Shortfall and Unpaid Basis Risk Shortfall amounts, to the extent not yet paid;

(11)

To pay to the Class M10-A and M10-F Certificates, concurrently in proportion to their respective Basis Risk Shortfall and Unpaid Basis Risk Shortfall amounts, any Basis Risk Shortfall and Unpaid Basis Risk Shortfall amounts, to the extent not yet paid;

(12)

To pay sequentially to the Class M1, M2, M3, M4, M5, M6, M7 and M8 Certificates any Deferred Amounts, to the extent not yet paid*;

(13)

To pay to the Class M9-A and M9-F Certificates, concurrently in proportion to their respective Deferred Amounts, any Deferred Amounts, to the extent not yet paid*;

(14)

To pay to the Class M10-A and M10-F Certificates, concurrently in proportion to their respective Deferred Amounts, any Deferred Amounts, to the extent not yet paid*;

(15)

To pay any swap termination payment to the Swap Counterparty, to the extent the termination is due to a default on the part of the Swap Counterparty; and

(16)

All remaining amounts to the holder of the Class X Certificates.

* Amounts paid under steps (7), (12), (13) and (14) must be limited to Cumulative Realized Losses.

Carryforward Interest

“Carryforward Interest” for each Class of LIBOR Certificates and Fixed Rate Certificates for any Distribution Date will be the sum of (1) the amount, if any, by which (x) the sum of (A) Current Interest for such Class for the immediately preceding Distribution Date and (B) any unpaid Carryforward Interest from previous Distribution Dates exceeds (y) the amount distributed in respect of interest on such Class on such immediately preceding Distribution Date, and (2) interest on such amount for the related Accrual Period at the applicable Interest Rate.  

“ Current Interest” for any Class of LIBOR Certificates and Fixed Rate Certificates for any Distribution Date will be the aggregate amount of interest accrued at the applicable Interest Rate during the related Accrual Period on the Class Principal Amount of that Class.

Net Funds Cap

The “Senior Net Funds Cap” for each Distribution Date and each Group will be the annual rate equal to the excess, if any, of (x) a fraction, expressed as a percentage, the numerator of which is the product of (1) the excess, if any, of (i) the related Optimal Interest Remittance Amount (as defined below) for such date over (ii) the proportionate share of any Net Swap Payment and any swap termination payment due to the Swap Counterparty, and (2) 12, and the denominator of which is the related Group balance for the immediately preceding Distribution Date, multiplied by (b) a fraction, the numerator of which is 30 and the denominator of which is the actual number of days in the accrual period over (y) the Final Maturity Reserve Fund Rate.

The “Subordinate Net Funds Cap” for any Distribution Date will be the weighted average of the Senior Net Funds Caps for the four groups, weighted on the basis of their Group Subordinate Amounts; provided, however, on any Distribution Date after the Senior Certificates related to any three Groups have been reduced to zero, such weighting shall be on the basis of the principal balance of each Group and further provided that with respect to the Class M9-F and M10-F Certificates, clause (b) for each Group will be equal to 1.

The “Optimal Interest Remittance Amount” with respect to each Distribution Date and each Group will be equal to the product of (A) (x) the weighted average of the Net Mortgage Rates (as defined below) of the Mortgage Loans in the Group, as of the first day of the related Collection Period divided by (y) 12 and (B) the aggregate Group balance for the immediately preceding Distribution Date.

The “Net Mortgage Rate” with respect to any Mortgage Loan will be the Mortgage Rate thereof reduced by the sum of the Servicing Fee Rate and, in the case of an Insured Mortgage Loan, the Mortgage Insurance Fee Rate.

Final Maturity Reserve Fund

On each Distribution Date beginning with July 2015, an amount (the “Final Maturity Reserve Fund Amount”) equal to the product of (x) the Final Maturity Reserve Fund Rate, (y) the outstanding pool balance on such Distribution Date and (z) a fraction, the numerator of which is the actual number of days in the related Accrual Period and the denominator of which is 360 will be deposited into the Final Maturity Reserve Fund.  On the Distribution Date in July 2035, amounts on deposit in the Final Maturity Reserve Fund will be distributed as principal.

Origination and Servicing

The majority of the Mortgage Loans were originated by BNC Mortgage (62.36%), Option One (20.74%) and Aurora (8.19%) and as of the Closing Date are serviced by Option One (83.05%), Aurora (9.56%), Wells Fargo (4.00%), JPMorgan Chase (2.84%), and Ocwen (0.55%).  Approximately 0.52% and 74.51% of the Mortgage Loans serviced by Option One are expected to transfer to another servicer on or about July 1, 2005 and August 1, 2005, respectively.

 

Mortgage Insurance

Approximately 83.49% of the first lien Mortgage Loans with over 80% Loan-to-Value (“LTV”) will be covered by a loan level primary mortgage insurance policy provided by MGIC, RMIC, PMI and certain other providers.  This coverage will generally reduce the LTV of the insured loans to 60%.

 

Credit Risk Manager

The MurrayHill Company (“MurrayHill”) will act as a credit risk manager on behalf of the Trust.  MurrayHill’s primary function will be to monitor and advise the servicers with respect to default management and reporting for the benefit of the Trust. The following summarizes some of MurrayHill’s monthly activities:

·

Monitoring of all loans that are 60 or more days delinquent to ensure all foreclosure timelines are met or forbearance plans are established.

·

Monitoring of the servicers’ claim process for loans with mortgage insurance to ensure insurance claims are filed in an accurate and timely way.

·

Review of the prepayment penalty collections by the servicers.

Basis Risk Shortfall

With respect to each Distribution Date, to the extent that (a) the amount of interest payable to a Class, as calculated without regard to the applicable Net Funds Cap, exceeds (b) the amount calculated at the stated rate (such excess, a “Basis Risk Shortfall”), that Class will be entitled to the amount of such Basis Risk Shortfall or Unpaid Basis Risk Shortfall, plus interest thereon at the applicable Interest Rate, before the Class X and Class R Certificates are entitled to any distributions.  The “Unpaid Basis Risk Shortfall” for any Class of Certificates on any Distribution Date will be the aggregate of all Basis Risk Shortfalls for such Class for all previous Distribution Dates, together with interest thereon at the applicable Interest Rate, less all payments made with respect to such Class in respect of such Basis Risk Shortfalls on or prior to such Distribution Date.

Losses

Losses that are not covered by mortgage insurance are allocated in the following order: excess spread, overcollateralization, the Class M10-A and M10-F Certificates pro rata in proportion to their respective Class Principal Amounts, the Class M9-A and M9-F Certificates pro rata in proportion to their respective Class Principal Amounts and the remaining Class M Certificates in inverse order of priority.  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”.  The balance of the Class A1, A2, A3, A4, A5, A6, A7, A8 and A9 Certificates will not be reduced by allocation of Applied Loss Amounts.

Deferred Amount & Subsequent Recoveries

With respect to each Distribution Date, the “Deferred Amount” for each Class of Class M Certificates will be equal to the amount by which (x) the aggregate of Applied Loss Amounts previously applied in reduction of the Class Principal Amount thereof exceeds (y) the sum of (i) the aggregate of amounts previously distributed in reimbursement thereof and (ii) the amount by which the Principal Amount of such class has been increased due to Subsequent Recoveries.

A “Subsequent Recovery” is an amount recovered with respect to a Mortgage Loan after it has been liquidated and the loss has been passed through to the Trust.  Subsequent Recoveries will increase the principal amount of classes which have been allocated an Applied Loss Amount, in order of seniority, by an amount equal to the lesser of (i) the outstanding Deferred Amount for such class and (ii) the amount of Subsequent Recoveries available after application to more senior classes.  Funds related to Subsequent Recoveries will be included in the remittance amount for the related Distribution Date.

10% Optional Redemption

The transaction can be called by the Master Servicer, Aurora Loan Services LLC (an affiliate of Lehman Brothers), on any Distribution Date following the month in which the loan principal balance of the Mortgage Loans is reduced to less than 10% of the Cut-off Date loan principal balance.  If the optional redemption is not exercised on the first Distribution Date on which it is able to be exercised, beginning with the next succeeding Distribution Date, the margins on the Class A1, A2, A3, A4, A5, A6, A7, A8 and A9 Certificates will double and the margins on the Class M1, M2, M3, M4, M5, M6, M7, M8, M9-A and M10-A Certificates will increase to 1.5 times their initial margins and the stated rate on the Class M9-F and M10-F Certificates will be equal to [6.50]%.

Credit Enhancement

Subordination

Classes A1, A2, A3, A4, A5, A6, A7, A8 and A9 will have limited protection by means of the subordination of the Class M Certificates.  Classes A1, A2, A3, A4, A5, A6, A7, A8 and A9 will have the preferential right to receive interest due to them and principal available for distribution over Classes having a lower priority of distribution.  Each Class of Class M Certificates will be senior to all other Classes of Class M Certificates with a higher numerical designation.  If on any Distribution Date after giving effect to all realized losses and distributions of principal on such Distribution Date, the aggregate Certificate Principal Amount exceeds the aggregate loan balance, the Class M Certificates will be reduced by the Applied Loss Amount in the following order: the Class M10-A and M10-F Certificates pro rata in proportion to their respective Class Principal Amounts, until reduced to zero, the Class M9-A and M9-F Certificates pro rata in proportion to their respective Class Principal Amounts, until reduced to zero and the remaining Class M Certificates in inverse order of priority, until all of the Class M Certificates have been reduced to zero.

Overcollateralization

Excess interest may be used to pay down the Certificates so the aggregate loan balance exceeds the aggregate certificate balance (Overcollateralization or “OC”).  Excess interest will be used to maintain the OC Target.

The “OC Target” will not step down.  The OC Target with respect to any Distribution Date is equal to the initial OC, or approximately 0.50% of the Cut-off Date collateral balance.  

Trigger Events

A “Trigger Event” will have occurred with respect to any Distribution Date if the Rolling Three Month Delinquency Rate as of the last day of the immediately preceding month equals or exceeds 47.00% of the Senior Enhancement Percentage for that Distribution Date, or if the Cumulative Realized Losses exceed:

Distribution Date

Loss Percentage

 

July 2008 to June 2009

2.45% for the first month, plus an additional 1/12th of

1.05% for each month thereafter

 

July 2009 to June 2010

3.50% for the first month, plus an additional 1/12th of

0.75% for each month thereafter

 

July 2010 to June 2011

4.25% for the first month, plus an additional 1/12th of

0.25% for each month thereafter

 

July 2011 and thereafter

4.50%

 

A “Sequential Trigger Event” is in effect on any Distribution Date if (a) before the 37th Distribution Date, the fraction, expressed as a percentage, obtained by dividing (x) the aggregate amount of cumulative Realized Losses incurred on the Mortgage Loans from the Cut-off Date through the last day of the related Collection Period by (y) the Cut-off Date Balance exceeds 2.45%, or (b) on or after the 37th Distribution Date, a Trigger Event is in effect.

The “Rolling Three Month Delinquency Rate” with respect to any Distribution Date will be the average of the Delinquency Rates for each of the three (or one and two, in the case of the first and second Distribution Dates) immediately preceding months.

The “Delinquency Rate” for any month will be the fraction, expressed as a percentage, the numerator of which is the aggregate outstanding principal balance of all Mortgage Loans 60 or more days delinquent (including all foreclosures and REO Properties) as of the close of business on the last day of such month, and the denominator of which is the aggregate loan balance as of the close of business on the last day of such month.

“Cumulative Realized Losses” with respect to any Distribution Date will be equal to the fraction, expressed as a percentage, obtained by dividing (x) the aggregate amount of cumulative Realized Losses incurred on the Mortgage Loans from the Cut-off Date through the last day of the related Collection Period by (y) the Cut-off Date Balance.

The “Senior Enhancement Percentage” for any Distribution Date will be the fraction, expressed as a percentage, the numerator of which is the sum of the total Certificate Principal Amount of the Class M Certificates and the Overcollateralization Amount (which, for purposes of this definition only, will not be less than zero), and the denominator of which is the aggregate loan balance, after giving effect to distributions on that Distribution Date.

 

Lehman Brothers Contacts
MBS Trading	Matt Miller	(212) 526-8315
	Rishi Bansal	(212) 526-8315
	Alar Randmere	(212) 526-8315
	Sumit Chhabra	(212) 526-8315
	Alok Sharma	(212) 526-8315
	David Wong	(212) 526-8315
	Anish Kumar	(212) 526-8315
Syndicate	Kevin White	(212) 526-9519
	Dan Covello	(212) 526-9519
	Paul Tedeschi	(212) 526-9519
MBS Banking	Ellen Kiernan	(212) 526-4279
	Angel Lau	(212) 526-9245
	Jenna Levine	(212) 526-1453
	Christina Barretto	(212) 526-2185
	Patrick Fruzzetti	(212) 526-2693
	Elena Yu	(212) 526-0524
Rating Agency Contacts
S&P	Eliza Chu	(212) 438-7317
Moody’s	Mike Labuskes	(212) 553-2935
Fitch	Lori Samuels	(212) 908-0264

 

 

Summary of Terms
Issuer:	Structured Asset Investment Loan Trust, Series 2005-6
Depositor:	Structured Asset Securities Corporation
Trustee:	U.S. Bank National Association
Securities Administrator:	Wells Fargo Bank, N.A.
Master Servicer:	Aurora Loan Services
Credit Risk Manager:	The MurrayHill Company
Lead Underwriter:	Lehman Brothers Inc.
Swap Counterparty:	[TBD]
Distribution Date:	25 th of each month, or the next succeeding Business Day, beginning in July 2005.
Statistical Calculation Date:	Approximately 61.88% of the Mortgage Loans are as of May 16, 2005.  Approximately 38.12% of the Mortgage Loans are as of May 1, 2005.
Cut-Off Date:	June 1, 2005
Pricing Date:	June [ · ], 2005
Closing Date:	June 30, 2005
Settlement Date:	June 30, 2005
Delay Days:	0 day delay – LIBOR Certificates 24 day delay – Fixed Rate Certificates
Dated Date:	June 25, 2005
Day Count:	Actual/360 – LIBOR Certificates 30/360 – Fixed Rate Certificates
Collection Period:	2 nd day of prior month through 1 st day of month of such distribution
Final Maturity Reserve Fund Rate:	Prior to the Distribution Date in July 2015, 0.00%.  On each Distribution Date beginning with July 2015, 0.05% per annum.

 

 

Summary of Terms (continued)
Servicing Fee:	The servicing fee for approximately 79.26% of the Mortgage Loans is equal to 0.50% of the loan principal balance annually.  Approximately 20.74% of the Mortgage Loans have a servicing fee equal to 0.30% annually for the first 10 Distribution Dates, 0.40% for Distribution Dates 11 through 30, and 0.65% thereafter.
Clearing/Registration:	Book-entry through DTC and Euroclear.
Denomination:	Minimum $25,000; increments $1 in excess thereof for the Class A Certificates.  Minimum $100,000; increments $1 in excess thereof for the Class M Certificates.
SMMEA Eligibility:	None of the classes are expected to be SMMEA eligible
ERISA Eligibility:	The Class A and Class M Certificates are expected to be ERISA eligible, subject to certain investor-based qualifications.
Tax Status:	REMIC for Federal income tax purposes.

 

 

 

 

 

Assumes a closing date of 5/30/05, dated date of 5/25/05 and first payment date of 6/25/05.

 

 

 

Assumes a closing date of 5/30/05, dated date of 5/25/05 and first payment date of 6/25/05.

 

 

 

Assumes a closing date of 5/30/05, dated date of 5/25/05 and first payment date of 6/25/05.

 

 

 

Assumes a closing date of 5/30/05, dated date of 5/25/05 and first payment date of 6/25/05.

 

 

 

Assumes a closing date of 5/30/05, dated date of 5/25/05 and first payment date of 6/25/05.