Eurosail-UK 2007-4 BL

The fifth transaction of the year off Lehman's Eurosail RMBS conduit, and the third to feature a
securitisation of first and second charge near-prime and sub-prime residential mortgages origin-
ated in the UK.

The actual mortgage loans have been originated by either SPML (53.77%), LMC (7.25%), PML
(34.13%), or the A&L (4.85%). Of the overall pool, 57.07% of the loans are to borrowers who
self-certified their income, and 43.27% of loans have been made to self-employed borrowers.
Some 29.73% of loans by value are to borrowers who have been the subject of at least one
county court judgement. Additionally, 1.96% of the loans are to borrowers who have experien-
ced either a bankruptcy order or an individual voluntary arrangement.

Repayment mortgages account for 42.92% of the pool. Some 6.82% of the loans are buy-to-let
loans, and 19.21% of the loans by initial aggregate balance are made up of first time buyers.
Geographically, 37.24% of the properties in the mortgage pool are located within the London and
SouthEast regions, with the next largest concentration being the NorthWest (11.15%).

Compared to the near identical previous Eurosail deal (closed 16 July), this deal clearly highlights
the price slippage that has occurred in the RMBS NC space in the last month, from 3bps wider at
the top of the structure, to 40bps wider further down the curve. A market racked by fear and
rumour and another rate increase a distinct possibility.


Compare/contrast: Eurosail 2007-3 BL (UK), Uropa Securities Plc (Series 2007-01B)
Eurosail 2007-3 BL (UK)Uropa Securities Plc (Series 2007-01B)