Eurosail-UK 2007-3 BL

This latest outing from the Lehman Brothers non-conforming vehicle (the 7th in the series) follows
on from Eurosail 2007-2NP, which priced in March. The collateral pool for this transaction is drawn
from originators SPML (42.69%), LMC (8.99%), PML (31.25%), Amber (13.24%) and A&L (3.83%),
and will be the first Eurosail deal to draw loans from Alliance & Liecester.

The transaction will be a securitisation of first and second charge near-prime and sub-prime resid-
ential mortgages, all of which have been originated in the UK. At closing, 22.25% of loans in the
pool will initially pay interest at rates linked to 3mnth Libor, while 72.90% of the loans are at fixed
-rates, and eventually 19.0% of the loans will be linked to the Bank of England base rate. Borrowers
with repayment mortgages account for 42.74% of the total pool, which is heavily regionalised in
London & the SouthEast (38.15% of the pool).

In the case of the actual borrowers, some 61.89% of the pool consists of loans to borrowers who
have not provided proof of their incomes, and over 45.00% of loans by initial aggregate balance are
made up of self-employed borrowers. 12.14% of the loans are made up of first-time buyers, and
6.89% of the pool consists of buy-to-let loans. 29.89% (by value) of the borrowers within the prov-
isional pool have been the subject of at least one CCJ. and additionally, 1.90% of the loans are to
borrowers who have experienced a BO or IVA.

The deal comes into a particularly challenging market environment given the recent interest rate hike
coupled with the deluge of supply. The 4.26yrs AAA notes came in at the wide end of the 16a price
talk and printed 2bps wider than the earlier Eurosail 2007-2NP (probably down to the higher near
prime component in that deal). Further down the capital structure the mezz and junior notes were
struggling somewhat to come in line with guidance of hi 20s/hi 40s/120a/300-400/hi 300s.


Compare/contrast: Eurosail 2007-2, Great Hall Mortgages No.1 (2007-2), Bluestone Securities plc
(Series 2007-1)
Eurosail 2007-2 NP (UK) Bluestone Securities plc (Series 2007-1)