Eurosail-UK 2007-2 NP

Coming just a month after the last Eurosail transaction, the deal securitises loans originated
by three Lehman owned originators: Souther Pacific Mortgages Ltd (45.3%), Preferred Mort-
gages Ltd (35.9%) and London Mortgage Company (10.4%). The balance is made up of a
whole loan portfolio of GMAC-RFC originated mortgages (8.5%).

The collateral consists of 5,716 first lien mortgage loans made to individuals and secured on
residential properties located in England, Wales, Scotland and Northern Ireland. Of the pool,
91.55% are classed as "near prime mortgages", and 61.54% of the pool is comprised of
interest-only loans. Of the loans included in the pool, 15.33% are buy-to-let mortgages, and
8.57% of the borrowers have previous county court judgments against them (Eurosail 2007-1:
BTL 3.5%, CCJs 28.6%).

The average loan size is Stg106,529, with a maximum loan size in the portfolio of Stg743,108.
The average seasoning is 4 1/2 mnths, with a current WA LTV of 77.16% (Eurosail 2007-1,
seasoning 6.5mnths, LTV 73.47%). Geographically, London & the SouthEast dominate the pool
(36.17% of total pool), with the next 3 main regional concentrations being the NorthWest
(11.63%), West Midland (8.94%), and Yorks & Humber (8.18%).

The senior/mezz notes all managed to price in line with, or through guidance levels of 6a/12a
/16a/19-20/low-mid 20s/low-mid 40s. The AAA prints are 1bp tighter than the AAA notes in
Eurosail 2007-1NC. The higher pool quality showed its true colours at the riskier end of the
capital structure with the BBB/BBB- notes pricing tighter than the euro/sterling BBB notes in
Eurosail 2007-1NC which priced at +84/+89bps for a 4.21yrs average life.


Compare/contrast: Eurosail 2007-1NP, Newgate Funding Plc (Series 2007-1), Great Hall
Mortgages 2007-1