<PAGE>
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
-----
FORM 8-K
CURRENT REPORT
PURSUANT TO SECTION 13 OR 15 (d)
OF THE SECURITIES EXCHANGE ACT OF 1934
Date of Report (date of earliest event reported) December 20, 1996
Prudential Securities Secured Financing Corporation
- --------------------------------------------------------------------------------
(Exact name of registrant as specified in its charter)
Delaware 333-16511 13-3526694
- ---------------------------- ------------ -------------
(State or other jurisdiction (Commission (IRS Employer
of incorporation) File Number) ID Number)
One New York Plaza, New York, New York 10292
- ---------------------------------------- ---------
(Address of principal executive offices) (Zip Code)
Registrant's Telephone Number,
including area code: (212) 214-7435
--------------
N/A
- --------------------------------------------------------------------------------
(Former name or former address, if changed since last report)
<PAGE>
Item 5. Other Events
Filing of Computational Materials and Consent of Independent Accountants.
This Current Report on Form 8-K is being filed to file a copy
of the Computational Materials (as defined below) of Prudential Securities
Incorporated, as representative of the underwriters, in connection with the
issuance by Delta Funding Home Equity Loan Trust 1996-3 of Home Equity Loan
Pass-Through Certificates, Series 1996-3 Mortgage Pass-Through Certificates,
Series 1996-3. The term "Computational Materials" shall have the meaning given
in the No-Action Letter of May 20, 1994 issued by the Securities and Exchange
Commission (the "SEC") to Kidder, Peabody Acceptance Corporation I, Kidder,
Peabody & Co. Incorporated and Kidder Structured Asset Corporation, as made
applicable to other issuers and underwriters by the Commission in response to
the request of the Public Securities Association dated May 24, 1994, and the
supplemented in the No-Action Letter of February 17, 1995 issued by the SEC to
the Public Securities Association.
Also included for filing as Exhibit 23.1 attached hereto is
the Consent of Coopers & Lybrand L.L.P., independent accountants for MBIA
Insurance Corporation.
Item 7. Financial Statements, Pro Forma Financial Information and Exhibits.
(a) Not applicable.
(b) Not applicable.
(c) Exhibits:
8.1 Opinion of Stroock & Stroock & Lavan regarding certain tax
matters.
23.1. Consent of Coopers & Lybrand L.L.P.
99.1 Computational Materials.
2
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934,
the registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
PRUDENTIAL SECURITIES SECURED
FINANCING CORPORATION
By: /s/ Len Blum
---------------------------
Name: Len Blum
Title: Vice President
Dated: December 20, 1996
<PAGE>
EXHIBIT INDEX
Exhibit Page
8.1 Opinion of Stroock & Stroock & Lavan regarding certain
tax matters.
23.1. Consent of Coopers & Lybrand L.L.P.
99.1 Computational Materials.
<PAGE>
EXHIBIT 8.1
December 20, 1996
Prudential Securities Secured
Financing Corporation
One New York Plaza, 14th Floor
New York, NY 10292
Re: Prudential Securities Secured Financing Corporation
Registration Statement on Form S-3
(No. 333-16511)
----------------------------------------------------
Ladies and Gentlemen:
We have acted as counsel for Prudential Securities Secured Financing Corporation
("Prudential") in connection with the issuance of $210,000,000 aggregate
principal amount of Delta Funding Home Equity Loan Trust 1996-3 of Home Equity
Loan Pass-Through Certificates, Series 1996-3 (the "Certificates"). A
Registration Statement on Form S-3 relating to the Certificates (No. 333-16511)
(the "Registration Statement") has been filed with the Securities and Exchange
Commission under the Securities Act of 1933, as amended (the "Securities Act"),
and was declared effective on December 4, 1996. As set forth in the Prospectus
dated December 16, 1996 forming a part of the Registration Statement and the
Prospectus Supplement dated December 18, 1996, the Certificates will be issued
by a trust established by Prudential pursuant to the provisions of a Pooling and
Servicing Agreement dated as of November 30, 1996 (the "Pooling and Servicing
Agreement") among Prudential, as Depositor, Delta Funding Corporation, as Seller
and Servicer, and Bankers Trust Company of California, N.A., as Trustee.
We have examined a form of the Pooling and Servicing Agreement, a form of the
Certificates, and a form of the Prospectus and Prospectus Supplement referred to
above. We also have examined such other documents, papers, statutes and
authorities as we have deemed necessary to form the basis for the opinions
hereinafter expressed. In our examination of such material, we have assumed the
genuineness of all signatures, the authenticity of all documents submitted to us
as originals and the conformity to original documents of copies of documents
submitted to us.
On the basis of the foregoing, we are of the opinion that the information in the
Prospectus Supplement under the caption "Certain Federal Income Tax
Considerations," and in the Prospectus under the caption "Certain Federal Income
Tax Consequences," to the extent that it constitutes matters of law or legal
conclusions, is correct in all material respects.
<PAGE>
This opinion is based on current provisions of the Internal Revenue Code of
1986, as amended, the Treasury regulations promulgated thereunder, and judicial
and administrative interpretations thereof.
Except as provided below, this opinion is solely for the benefit of the
addressee hereof and may not be relied upon in any manner by any other person or
entity.
We hereby consent to the filing of this opinion as an exhibit to the
Registration Statement, to the references to us in the Prospectus Supplement,
and to the filing of this opinion as an exhibit to an application made by or on
behalf of Prudential or any dealer in connection with the registration of the
Certificates under the securities or blue sky laws of any state or jurisdiction.
In giving such permission, we do not admit hereby that we come within the
category of persons whose consent is required under Section 7 of the Securities
Act or the General Rules and Regulations of the Securities and Exchange
Commission thereunder.
Very truly yours,
/s/ Stroock & Stroock & Lavan
STROOCK & STROOCK & LAVAN
<PAGE>
EXHIBIT 23.1
CONSENT OF INDEPENDENT ACCOUNTANTS
We consent to the incorporation by reference in this Prospectus
Supplement of our report dated January 22, 1996, on our audits of the
consolidated financial statements of MBIA Insurance Corporation and Subsidiaries
as of December 31, 1995 and 1994 and for the three years ended December 31,
1995. We also consent to the reference to our firm under the caption "Experts".
/s/ Coopers & Lybrand L.L.P.
Coopers & Lybrand L.L.P.
December 18, 1996
New York, New York
<PAGE>
EXHIBIT 99.1
Preliminary Information for Delta Funding Home Equity Loan Trust 1996-3
Home Equity Loan Asset-Backed Certificates, Series 1996-3
- - Delta Funding Corporation
Seller and Servicer
- - Delta Funding Home Equity Loan Trust 1996-3
<TABLE>
<S> <C> <C> <C>
- ---------------------------------------------------------------------------------------
Class A-1 Certificates $[70,100,000] Variable-Rate Certificates 1M LIBOR + [] bps
Class A-2 Certificates $[56,900,000] Fixed-Rate Certificates [.]%
Class A-3 Certificates $[16,100,000] Fixed-Rate Certificates [.]%
Class A-4 Certificates $[22,400,000] Fixed-Rate Certificates [.]%
Class A-5 Certificates $[14,500,000] Fixed-Rate Certificates [.]%
Class A-6 Certificates $[30,000,000] Variable-Rate Certificates 1M LIBOR + [] bps
</TABLE>
The information herein has been provided solely by PSI based on information
provided by Delta Funding Corp. and its affiliates ("Delta"). PSI makes no
representation as to the accuracy of such information provided to it by Delta.
The information herein is preliminary and will be superseded by the prospectus
supplement and by any other information subsequently filed with the Securities
and Exchange Commission. All assumptions and information in this report reflect
PSI's judgment as of this date and are subject to change. All analyses are based
on certain assumptions noted herein and different assumptions could yield
substantially different results. You are cautioned that there is no universally
accepted method for analyzing financial instruments. You should review the
assumptions; there may be differences between these assumptions and your actual
business practices. Further, PSI does not guarantee any results and there is no
guarantee as to the liquidity of the instruments involved in this analysis. The
decision to adopt any strategy remains your responsibility. PSI (or any of its
affiliates) or their officers, directors, analysts or employees may have
positions in securities, commodities or derivative instruments thereon referred
to herein, and may, as principal or agent, buy or sell such securities,
commodities or derivative instruments. In addition, PSI may make a market in the
securities referred to herein. Neither the information nor the assumptions
reflected herein shall be construed to be, or constitute, an offer to sell or
buy or a solicitation of an offer to sell or buy any securities, commodities or
derivative instruments mentioned herein. No sale of any securities, commodities
or derivative instruments should be consumated without the purchaser first
having received a prospectus and, if required, prospectus supplement. Finally,
PSI has not addressed the legal, accounting and tax implications of the analysis
with respect to you, and PSI strongly urges you to seek advice from your
counsel, accountant and tax advisor.
<PAGE>
- - Delta Funding Home Equity Loan Trust 1996-3
Home Equity Loan Asset-Backed Certificates, Series 1996-3
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------
Class A Group I Certificates
Class A-1 Class A-2 Class A-3 Class A-4 Class A-5
Variable-Rate Fixed-Rate Fixed-Rate Fixed-Rate Fixed-Rate
------------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Approximate
Face Amount: $[70,100,000] $[56,900,000] $[16,100,000] $[22,400,000] $[14,500,000]
Avg Life: [1.00] [3.00] [5.00] [7.01] [11.35]
Avg Life: [1.00] [3.00] [5.00] [6.97] [8.24]
to Call
Coupon: 1M L + [] bps* [.%] [.%] [.%] [.%] or [.%] + 0.50% after
the 10% Clean-up Call Date
Price: [] [] [] [] []
Yield (CBE): Variable [%] [%] [%] [%]
Spread: [] [] [] [] []
Pricing Spd: PPC 100 PPC 100 PPC 100 PPC 100 PPC 100
Settlement: [12/27/96] [12/27/96] [12/27/96] [12/27/96] [12/27/96]
Exp Mat: [11/25/98] [05/25/01] [08/25/02] [10/25/05] [12/25/11]
Exp. Mat
to Call: [11/25/98] [05/25/01] [08/25/02] [03/25/05] [03/25/05]
Final Mat: [10/25/11] [10/25/11] [02/25/15] [03/25/19] [11/25/26]
Day Count: Actual/360 30/360 30/360 30/360 30/360
Pymt Delay: [0] days [24] days [24] days [24] days [24] days
Dated Date: [12/27/96] [12/1/96] [12/1/96] [12/1/96] [12/1/96]
Pymt Terms: Monthly Monthly Monthly Monthly Monthly
1st Pymt Date: [1/27/97] [1/27/97] [1/27/97] [1/27/97] [1/27/97]
</TABLE>
*Pass-Through Rate is the lesser of:
1) One Month LIBOR + []bps
2) The Available Funds Cap
Available Funds Cap: A rate equal to the weighted average gross coupon rate
less [0.63%] for servicing fees, trustee fees and
certificate insurer premiums for the fixed-rate mortgage
loans for such Payment Date.
Coupon Step-Up: If the 10% Clean-up Call is not exercised, the coupon on
the Class A-5 Fixed-Rate Certificates shall be [.%] +
0.50% per annum.
Pricing Speed: PPC 100 : GRP I : [1-1 36% HEP] [2-360 24% HEP]
GRP II : [1-1 37.5% HEP] [2-360 25% HEP]
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE>
- - Delta Funding Home Equity Loan Trust 1996-3
Home Equity Loan Asset-Backed Certificates, Series 1996-3
- --------------------------------------------------------------------------------
Class A Group II Certificates
Class A-6
Variable-Rate
-------------
Approximate Face Amount: [$30,000,000]
Average Life to Mat: [3.52] years
Average Life to Call: [3.26] years
Pass-Through Rate: The lesser of:
1) One Month LIBOR + [] bps or after the Clean-up
Call Date, LIBOR + 2x [] bps
2) The Available Funds Cap
Price: []
Yield: Variable
Pricing Speed: PPC 100 : GRP I : [1-1 36 HEP% [2-360 24% HEP]
GRP II : [1-1 37.5% HEP] [2-360 25% HEP]
Settlement: [12/27/96]
Exp Maturity: [11/25/14]
Exp Maturity to Call: [03/25/05]
Final Maturity: [11/25/26]
Day Count: actual/360
Payment Delay: 0 days.
Dated Date: [12/27/96]
Payment Terms: Monthly.
1st Payment Date: [1/27/97]
Available Funds Cap: A rate equal to the weighted average gross coupon
rate minus the [0.63%] for servicing fees, trustee
fees and certificate insurer premiums for the
Variable-Rate mortgage loans for such Payment Date
and [50] Bp after month 6 for MBIA cushion.
Group II Net Funds Cap:
Group II Adjusted Net Coupon:
Net Coupon - fees ([63] bps)
The Group II Net Funds Cap on each Distribution Date will be the lesser of:
1) Weighted Average Gross Life Cap: [ 16.409 ]%
Less Servicing [ 0.500 ]%
Less Fees [ 0.130 ]%
----------
[ 15.779 ]%
Less 50 Bp MBIA Cushion on month [13].
2) Weighted Average Adjusted Net Coupon on the Group II loans for such
Distribution Date.
Monthly Group II Net Funds Cap Summary:
(calculated on 30/360 basis)
Date: 1/97 7/97 1/98 10/98
Adjusted Net Coupon: [9.73%] [10.14%] [11.03%] [11.22%]
Margin*: [3.93%] [4.33%] [5.23%] [5.42%]
*(Assuming 1M LIBOR as of closing of [5.5625%] and a spread of [0.24%], 1M LIBOR
would have to rise by the corresponding Margin to fully adjust to the Net Funds
Cap under this scenario).
Adjusted Net Coupon = (Group 2 Collateral Interest% - Servicing Fee% - Ongoing
Trust Fees% - MBIA cushion%)**
** 50 Bp cushion starting on month 7.
Coupon Step-up: If the 10% Clean-Up Call is not exercised, the coupon
on the Class A-6 Variable-Rate Certificates shall be
1M LIBOR + 2x [] bps.
Shortfall Reimbursement: If on any Payment Date the Class A-6 Certificate
interest distribution amount is less than the
Pass-Through Rate, the amount of such shortfall and
the aggregate of such shortfalls from previous payment
dates together with accrued interest at the
Pass-Through Rate will be carried forward to the next
Payment Date until paid. No interest carryforward will
be paid once the Class A-6 Certificate principal
balance has been reduced to zero. The shortfall
reimbursement feature will NOT be insured by the MBIA
guarantee.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE>
- - Delta Funding Home Equity Loan Trust 1996-3
Home Equity Loan Asset-Backed Certificates, Series 1996-3
- --------------------------------------------------------------------------------
Title of Securities: Delta Funding Home Equity Loan Trust 1996-3
Home Equity Loan Asset-Backed Certificates,
Series 1996-3
Description of
Transaction: This approximately $[210,000,000] surety-wrapped
transaction is supported by two pools of closed-end,
fixed- and adjustable rate home equity mortgage loans
originated or purchased by Delta Funding Corp. The Class
A-1 Certificates will bear interest at a variable rate,
subject to a net funds cap. The Class A-2 through A-5
Certificates will bear interest at their respective
fixed rates. The Class A-6 Certificates will bear
interest at a variable rate, subject to a net funds cap.
The Class A-1 through A-5 Certificates are sequentially-
tranched and credit-enhanced through
overcollateralization and an insurance policy issued by
MBIA Insurance Corporation. The Class A-6 Certificates
are pass-throughs and are also credit-enhanced through
overcollateralization and an insurance policy issued by
MBIA Insurance Corporation.
Servicer: Delta Funding Corp.
Servicing Fee: [50] basis points per annum.
Depositor: [Prudential Securities Secured Financing Corporation].
Trustee: Bankers Trust Company of California N.A.
Certificate Insurer: MBIA Insurance Corporation ("MBIA"). MBIA's
claims-paying ability is rated AAA/Aaa by Standard and
Poor's and Moody's.
Certificate Insurance: Timely interest and eventual principal payments on the
Class A Certificates will be 100% guaranteed by MBIA.
Aggregate
Certificate Balance: Group I (A-1 through A-5) $[180,000,000]
Group II (A-6) $[ 30,000,000]
Pricing Speed: PPC 100 : GRP I : [1-1 36% HEP] [2-360 24% HEP]
GRP II : [1-1 37.5% HEP] [2-360 25% HEP]
Pricing Date: [12//96]
Settlement Date: [12/27/96]
Payment Date: The 25th day of each month or, if such day is not a
business day, the next succeeding business day,
beginning on January 27, 1997.
Record Date: With respect to the Class A-1 and Class A-6
Certificates, the Record Date will be the day
immediately preceeding the related Payment Date.
With respect to the Classes A-2 through A-5
Certificates, the Record Date will be the last day of
the calendar month immediately preceding the related
Payment Date.
Interest Accrual: For Class A-1 and Class A-6, interest will accrue from
the 25th of the preceding month until the 24th day of
the current month based on an actual/360 day count.
For Classes A-2 through A-5, interest will accrue
from the first day of the preceeding month until the
30th day of the preceeding month on a 30/360 count.
Certificate Ratings: The Class A Certificates will be rated AAA by Standard
& Poor's and Aaa by Moody's.
Form of Class A
Certificates: Book-entry form through DTC, Euroclear and CEDEL.
Denominations: The Class A Certificates will be offered for purchase in
denominations of $25,000 and multiples of $1,000 in
excess thereof.
ERISA: All of the Class A Certificates will be ERISA eligible
from the start of the deal.
SMMEA: The Class A Group I Certificates will not be SMMEA
eligible.
The Class A Group II Certificates will be SMMEA
eligible.
Taxation: REMIC.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE>
- - Delta Funding Home Equity Loan Trust 1996-3
Home Equity Loan Asset-Backed Certificates, Series 1996-3
- --------------------------------------------------------------------------------
Other Certificates: The Trust will also issue a residual Class of
Certificates ("Class R") and a Class of fully insured
"interest only" certificates (the "Class S
Certificates"). The Class R and the Class S
Certificates are not offered hereby and will
initially be retained by the Seller or affiliates
thereof. The Class S Certificates have as their
notional principal balance the Group I pool balance.
[Class S
Pass-Through Rate: The weighted average coupon rate on the Mortgage
Loans less the sum of (i) the weighted average
pass-through rate on the Class A Group I
Certificates; (ii) the sum of the Servicing Fee,
Trustee Fee, and Certificate Insurer Fee; and (iii)
[TBD%].]
Credit Enhancement: A combination of:
-monthly excess spread
-overcollateralization
-cross-collateralization
-the 100% wrap of MBIA guaranteeing timely
payment of interest and ultimate payment of
principal.
Clean-up Call: The Servicer has the option to purchase the
Certificates when the outstanding Pool Balance of the
Mortgage Loans equals [10]% or less of the Original
Pool Balance.
Coupon Step-up: If the Servicer does not exercise the Clean-up Call,
the coupon rate on the Class A-5 Fixed-Rate shall be
[.%] + 0.50% and the coupon rate on the Class A-6
Variable-Rate Certificates shall be 1M LIBOR + 2x
[]bps.
Prospectus: The Class A Certificates are being offered pursuant
to a Prospectus which includes a Prospectus
Supplement (together, the "Prospectus"). Complete
information with respect to the Certificates and the
Collateral is contained in the Prospectus. The
foregoing is qualified in its entirety by the
information appearing in the Prospectus. To the
extent that the foregoing is inconsistent with the
Prospectus, the Prospectus shall govern in all
respects. Sales of the Certificates may not be
consumated unless the purchaser has received the
Prospectus.
Further Information: Call PSI's ABS desk at 212-778-2741, Len Blum
(212-778-1397), Sean Arnold (212-778-4921), Lirenn
Tsai (212-778-3658), or Januar Laude (212-778-7176)
with any questions.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE>
Deal ID/CUSIP PSSF62
Class A1
1 Mo LIBOR = 5.5625
Settle 12/27/96
PPC 100 : GRP 1 : [1-1 36% HEP] [2-360 24% HEP]
GRP 2 : [1-1 37.5% HEP] [2-360 25% HEP]
PRICE PPC 100 PPC 75 PPC 85 PPC 115 PPC 125
- ----- ------ ------ ------- ------- -------
99-30 14.407 13.199 13.697 15.077 15.499
99-30+ 12.805 11.899 12.273 13.307 13.624
99-31 11.203 10.599 10.848 11.538 11.749
99-31+ 9.601 9.299 9.424 9.769 9.874
100-00 8.000 8.000 8.000 8.000 8.000
100-00+ 6.399 6.701 6.576 6.232 6.126
100-01 4.798 5.402 5.153 4.464 4.253
100-01+ 3.198 4.104 3.730 2.696 2.380
100-02 1.598 2.805 2.308 0.929 0.507
Avg. Life 1.000 1.244 1.130 0.902 0.850
Mod. Dur. 0.940 1.159 1.057 0.852 0.804
1st Pmt. 0.078 0.078 0.078 0.078 0.078
Last Pmt. 1.911 2.494 2.244 1.661 1.578
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE>
Deal ID/CUSIP PSSF62
Class A2
Accr 0.46258 1st Pmt 01/25/97
Settle 12/27/96
PPC 100 : GRP 1 : [1-1 36% HEP] [2-360 24% HEP]
GRP 2 : [1-1 37.5% HEP] [2-360 25% HEP]
PRICE PPC 100 PPC 75 PPC 85 PPC 115 PPC 125
- ----- ------ ------ ------- ------- -------
99-29 6.365 6.392 6.381 6.348 6.337
99-29+ 6.359 6.388 6.376 6.342 6.330
99-30 6.353 6.383 6.371 6.335 6.323
99-30+ 6.347 6.378 6.366 6.328 6.316
99-31 6.341 6.374 6.361 6.322 6.309
99-31+ 6.336 6.369 6.356 6.315 6.301
100-00 6.330 6.365 6.351 6.308 6.294
100-00+ 6.324 6.360 6.346 6.302 6.287
100-01 6.318 6.355 6.340 6.295 6.280
100-01+ 6.312 6.351 6.335 6.289 6.273
100-02 6.306 6.346 6.330 6.282 6.265
100-02+ 6.300 6.342 6.325 6.275 6.258
100-03 6.294 6.337 6.320 6.269 6.251
100-03+ 6.289 6.332 6.315 6.262 6.244
100-04 6.283 6.328 6.310 6.255 6.237
100-04+ 6.277 6.323 6.305 6.249 6.230
Avg. Life 3.001 3.949 3.508 2.619 2.412
Mod. Dur. 2.641 3.371 3.037 2.335 2.165
1st Pmt. 1.911 2.494 2.244 1.661 1.578
Last Pmt. 4.411 5.828 5.161 3.828 3.494
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE>
Deal ID/CUSIP PSSF62
Class A3
Accr 0.48244 1st Pmt 01/25/97
Settle 12/27/96
PPC 100 : GRP 1 : [1-1 36% HEP] [2-360 24% HEP]
GRP 2 : [1-1 37.5% HEP] [2-360 25% HEP]
PRICE PPC 100 PPC 75 PPC 85 PPC 115 PPC 125
- ----- ------ ------ ------- ------- --------
99-29 6.689 6.706 6.699 6.677 6.670
99-29+ 6.685 6.703 6.696 6.673 6.665
99-30 6.681 6.700 6.693 6.669 6.661
99-30+ 6.677 6.697 6.689 6.665 6.656
99-31 6.673 6.694 6.686 6.660 6.652
99-31+ 6.670 6.691 6.683 6.656 6.647
100-00 6.666 6.688 6.679 6.652 6.642
100-00+ 6.662 6.685 6.676 6.648 6.638
100-01 6.658 6.682 6.673 6.643 6.633
100-01+ 6.655 6.679 6.670 6.639 6.629
100-02 6.651 6.676 6.666 6.635 6.624
100-02+ 6.647 6.673 6.663 6.631 6.619
100-03 6.643 6.670 6.660 6.626 6.615
100-03+ 6.640 6.667 6.656 6.622 6.610
100-04 6.636 6.664 6.653 6.618 6.606
100-04+ 6.632 6.661 6.650 6.614 6.601
Avg. Life 5.000 6.634 5.878 4.335 3.975
Mod. Dur. 4.124 5.200 4.717 3.652 3.387
1st Pmt. 4.411 5.828 5.161 3.828 3.494
Last Pmt. 5.661 7.494 6.661 4.911 4.494
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE>
Deal ID/CUSIP PSSF62
Class A4
Accr 0.50194 1st Pmt 01/25/97
Settle 12/27/96
PPC 100 : GRP 1 : [1-1 36% HEP] [2-360 24% HEP]
GRP 2 : [1-1 37.5% HEP] [2-360 25% HEP]
******* TO CALL *******
PRICE PPC 100 PPC 75 PPC 85 PPC 115 PPC 125
- ----- ------ ------ ------- ------- --------
99-29 6.982 6.995 6.990 6.974 6.968
99-29+ 6.979 6.993 6.988 6.971 6.965
99-30 6.977 6.991 6.985 6.968 6.961
99-30+ 6.974 6.988 6.983 6.964 6.958
99-31 6.971 6.986 6.980 6.961 6.954
99-31+ 6.968 6.984 6.978 6.958 6.951
100-00 6.965 6.981 6.975 6.955 6.947
100-00+ 6.962 6.979 6.972 6.951 6.944
100-01 6.959 6.977 6.970 6.948 6.940
100-01+ 6.956 6.974 6.967 6.945 6.937
100-02 6.953 6.972 6.965 6.941 6.933
100-02+ 6.950 6.970 6.962 6.938 6.930
100-03 6.947 6.967 6.960 6.935 6.926
100-03+ 6.945 6.965 6.957 6.932 6.923
100-04 6.942 6.962 6.954 6.928 6.919
100-04+ 6.939 6.960 6.952 6.925 6.916
Avg. Life 6.973 9.243 8.202 6.039 5.531
Mod. Dur. 5.347 6.597 6.048 4.772 4.444
1st Pmt. 5.661 7.494 6.661 4.911 4.494
Last Pmt. 03/25/05 12/25/07 09/25/06 02/25/04 07/25/03
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE>
Deal ID/CUSIP PSSF62
Class A5
Accr 0.51675 1st Pmt 01/25/97
Settle 12/27/96
PPC 100 : GRP 1 : [1-1 36% HEP] [2-360 24% HEP]
GRP 2 : [1-1 37.5% HEP] [2-360 25% HEP]
******* TO CALL *******
PRICE PPC 100 PPC 75 PPC 85 PPC 115 PPC 125
- ----- ------ ------ ------- ------- --------
99-29 7.199 7.211 7.206 7.192 7.187
99-29+ 7.197 7.209 7.204 7.189 7.184
99-30 7.194 7.206 7.202 7.186 7.181
99-30+ 7.191 7.204 7.199 7.183 7.178
99-31 7.189 7.202 7.197 7.181 7.175
99-31+ 7.186 7.200 7.195 7.178 7.172
100-00 7.184 7.198 7.193 7.175 7.169
100-00+ 7.181 7.196 7.190 7.172 7.166
100-01 7.179 7.194 7.188 7.169 7.163
100-01+ 7.176 7.192 7.186 7.166 7.160
100-02 7.173 7.190 7.183 7.163 7.157
100-02+ 7.171 7.187 7.181 7.161 7.154
100-03 7.168 7.185 7.179 7.158 7.151
100-03+ 7.166 7.183 7.177 7.155 7.148
100-04 7.163 7.181 7.174 7.152 7.144
100-04+ 7.161 7.179 7.172 7.149 7.141
Avg. Life 8.244 10.994 9.744 7.161 6.578
Mod. Dur. 6.038 7.383 6.804 5.432 5.085
1st Pmt. 8.244 10.994 9.744 7.161 6.578
Last Pmt. 03/25/05 12/25/07 09/25/06 02/25/04 07/25/03
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE>
Deal ID/CUSIP PSSF62
Class A6
1 Mo LIBOR = 5.5625
Settle 12/27/96
PPC 100 : GRP 1 : [1-1 36% HEP] [2-360 24% HEP]
GRP 2 : [1-1 37.5% HEP] [2-360 25% HEP]
******* TO CALL *******
PRICE PPC 100 PPC 75 PPC 85 PPC 115 PPC 125
- ----- ------ ------ ------- ------- --------
99-29 27.293 26.598 26.873 27.716 28.001
99-29+ 26.744 26.165 26.394 27.096 27.334
99-30 26.195 25.732 25.915 26.476 26.667
99-30+ 25.646 25.299 25.436 25.857 26.000
99-31 25.097 24.866 24.957 25.238 25.333
99-31+ 24.549 24.433 24.478 24.619 24.666
100-00 24.000 24.000 24.000 24.000 24.000
100-00+ 23.452 23.567 23.522 23.381 23.334
100-01 22.903 23.135 23.043 22.763 22.668
100-01+ 22.355 22.703 22.565 22.144 22.002
100-02 21.807 22.270 22.087 21.526 21.336
100-02+ 21.260 21.838 21.610 20.908 20.670
100-03 20.712 21.406 21.132 20.290 20.005
100-03+ 20.164 20.974 20.654 19.672 19.340
100-04 19.617 20.542 20.177 19.055 18.675
100-04+ 19.070 20.111 19.700 18.437 18.010
Avg. Life 3.256 4.326 3.829 2.831 2.602
Mod. Dur. 2.742 3.475 3.143 2.430 2.257
1st Pmt. 0.078 0.078 0.078 0.078 0.078
Last Pmt. 03/25/05 12/25/07 09/25/06 02/25/04 07/25/03
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE>
- --------------------------------------------------------------------------------
- - DELTA
- - Cut Off Date of Tape is 11/29/96
- - FIX COLL (GROUP I)
- - $114,748,198.67
- - Mortgage Summary Report
- --------------------------------------------------------------------------------
Number of Mortgage Loans: 1,529
Aggregate Unpaid Principal Balance: $114,748,198.67
Aggregate Original Principal Balance: $114,888,153.26
Weighted Average Gross Coupon: 11.714%
Gross Coupon Range: 8.250% - 18.440%
- --------------------------------------------------------------------------------
Average Unpaid Principal Balance: $75,047.87
Average Original Principal Balance: $75,139.41
Maximum Unpaid Principal Balance: $335,545.17
Minimum Unpaid Principal Balance: $8,169.24
Maximum Original Principal Balance: $336,000.00
Minimum Original Principal Balance: $8,200.00
Weighted Avg. Stated Rem. Term (LPD to Mat Date): 221.177
Stated Rem Term Range: 47.000 - 360.000
Weighted Avg. Amortized Rem. Term: 307.088
Amortized Rem Term Range: 55.424 - 360.153
Weighted Average Age (First Pay thru Last Pay): 0.977
Age Range: 0.000 - 13.000
Weighted Average Original Term: 222.154
Original Term Range: 60.000 - 360.000
Weighted Average Original LTV: 66.983
Original LTV Range: 6.250% - 90.000%
Weighted Average Current LTV: 66.910
Current LTV Range: 6.250% - 90.000%
Weighted Average Combined LTV: 69.068
Combined LTV Range: 6.250% - 90.000%
- --------------------------------------------------------------------------------
<PAGE>
CURRENT MORTGAGE AMOUNT
- -------------------------------------------------------------------
Total
Current # % Current
Mortgage Amt. Loan Pool Balance
Balance <= 25,000 137 2.38 $2,733,606.88
25,000 < Balance <= 50,000 432 14.17 $16,265,310.82
50,000 < Balance <= 75,000 356 19.25 $22,089,266.18
75,000 < Balance <= 100,000 204 15.62 $17,928,352.50
100,000 < Balance <= 150,000 300 31.85 $36,547,028.05
150,000 < Balance <= 200,000 65 9.65 $11,076,534.45
200,000 < Balance <= 250,000 30 5.82 $6,674,142.52
250,000 < Balance <= 300,000 4 .96 $1,098,412.10
300,000 < Balance <= 350,000 1 .29 $335,545.17
- -------------------------------------------------------------------
Total..... 1,529100.00% $114,748,198.67
===================================================================
GEOGRAPHIC DISTRIBUTION
- -------------------------------------------------------------------
Total
# % Current
State Loans Pool Balance
AR 4 .20 $227,043.83
AZ 4 .23 $258,485.02
CA 1 .06 $64,000.00
CO 4 .36 $408,620.74
CT 25 1.62 $1,855,463.43
DC 6 .36 $407,578.05
DE 3 .33 $374,719.15
FL 68 3.50 $4,011,023.29
GA 27 1.34 $1,542,691.43
IL 110 6.30 $7,233,269.95
IN 22 .87 $997,340.64
KS 2 .05 $62,300.00
KY 11 .52 $592,203.35
MA 40 2.46 $2,821,777.12
MD 13 .91 $1,038,780.94
MI 70 3.09 $3,546,212.46
MN 4 .30 $341,166.52
MO 15 .58 $670,010.26
MS 18 .70 $804,146.74
NC 29 1.46 $1,672,354.81
NE 3 .22 $246,769.54
NH 2 .16 $187,347.96
NJ 66 4.69 $5,380,598.06
NM 1 .08 $91,820.88
NV 1 .02 $25,000.00
NY 721 57.31 $65,766,768.07
OH 90 4.01 $4,605,085.22
OK 9 .48 $550,667.74
OR 5 .37 $423,195.55
PA 83 3.40 $3,901,379.49
RI 20 1.05 $1,206,527.98
TN 35 2.02 $2,320,774.46
TX 1 .03 $29,213.60
UT 3 .10 $112,000.00
VA 7 .34 $393,567.99
VT 1 .10 $117,000.00
WA 3 .33 $382,350.00
WV 1 .02 $27,000.00
WY 1 .05 $51,944.40
- -------------------------------------------------------------------
Total.. 1,529 100.00% $114,748,198.67
===================================================================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE>
COMBINED LTV RANGE
- -------------------------------------------------------------------
Total
LTV # % Current
RANGE Loan Pool Balance
5.000 < LTV <= 10.000 2 .02 $25,986.77
10.000 < LTV <= 15.000 4 .07 $85,956.18
15.000 < LTV <= 20.000 16 .38 $431,293.45
20.000 < LTV <= 25.000 23 .80 $912,744.53
25.000 < LTV <= 30.000 26 .75 $855,216.25
30.000 < LTV <= 35.000 37 1.38 $1,577,913.12
35.000 < LTV <= 40.000 47 2.00 $2,289,563.40
40.000 < LTV <= 45.000 46 2.18 $2,504,971.10
45.000 < LTV <= 50.000 78 3.89 $4,468,374.05
50.000 < LTV <= 55.000 94 4.96 $5,694,593.53
55.000 < LTV <= 60.000 113 6.56 $7,531,810.67
60.000 < LTV <= 65.000 158 10.37 $11,896,691.51
65.000 < LTV <= 70.000 185 11.65 $13,363,956.07
70.000 < LTV <= 75.000 225 16.36 $18,771,378.89
75.000 < LTV <= 80.000 353 28.04 $32,177,759.53
80.000 < LTV <= 85.000 80 6.21 $7,127,403.83
85.000 < LTV <= 90.000 42 4.39 $5,032,585.79
- -------------------------------------------------------------------
Total..... 1,529 100.00% $114,748,198.67
===================================================================
GROSS COUPON
- -------------------------------------------------------------------
Total
Gross # % Current
Coupon Loan Pool Balance
8.00% < Gross Coupon <= 8.25% 1 .05 $61,924.00
8.25% < Gross Coupon <= 8.50% 2 .13 $147,000.00
8.75% < Gross Coupon <= 9.00% 5 .34 $391,069.03
9.00% < Gross Coupon <= 9.25% 5 .31 $354,938.21
9.25% < Gross Coupon <= 9.50% 21 1.71 $1,958,031.71
9.50% < Gross Coupon <= 9.75% 30 2.58 $2,957,563.56
9.75% < Gross Coupon <= 10.00% 112 9.32 $10,690,464.57
10.00% < Gross Coupon <= 10.25% 33 2.23 $2,557,729.71
10.25% < Gross Coupon <= 10.50% 82 6.21 $7,121,995.53
10.50% < Gross Coupon <= 10.75% 77 5.04 $5,778,296.09
10.75% < Gross Coupon <= 11.00% 151 10.64 $12,207,721.53
11.00% < Gross Coupon <= 11.25% 40 2.84 $3,263,933.03
11.25% < Gross Coupon <= 11.50% 102 6.60 $7,575,216.20
11.50% < Gross Coupon <= 11.75% 73 5.49 $6,297,746.14
11.75% < Gross Coupon <= 12.00% 167 11.73 $13,460,438.85
12.00% < Gross Coupon <= 12.25% 43 2.74 $3,145,737.43
12.25% < Gross Coupon <= 12.50% 95 5.44 $6,241,489.81
12.50% < Gross Coupon <= 12.75% 62 3.32 $3,804,410.95
12.75% < Gross Coupon <= 13.00% 136 8.87 $10,178,927.15
13.00% < Gross Coupon <= 13.25% 44 2.62 $3,009,288.91
13.25% < Gross Coupon <= 13.50% 66 3.47 $3,980,047.46
13.50% < Gross Coupon <= 13.75% 20 .85 $970,570.68
13.75% < Gross Coupon <= 14.00% 49 2.16 $2,480,421.53
14.00% < Gross Coupon <= 14.25% 25 1.18 $1,348,348.69
14.25% < Gross Coupon <= 14.50% 26 1.24 $1,423,145.08
14.50% < Gross Coupon <= 14.75% 8 .33 $380,675.32
14.75% < Gross Coupon <= 15.00% 21 1.03 $1,186,087.58
15.00% < Gross Coupon <= 15.25% 6 .30 $347,734.98
15.25% < Gross Coupon <= 15.50% 8 .45 $519,224.68
15.50% < Gross Coupon <= 15.75% 6 .26 $295,619.08
15.75% < Gross Coupon <= 16.00% 9 .35 $403,607.15
16.25% < Gross Coupon <= 16.50% 1 .01 $14,943.94
16.75% < Gross Coupon <= 17.00% 1 .03 $34,930.89
17.00% < Gross Coupon <= 17.25% 1 .07 $76,941.98
18.25% < Gross Coupon <= 18.50% 1 .07 $81,977.22
- -------------------------------------------------------------------
Total..... 1,529 100.00% $114,748,198.67
===================================================================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE>
ORIGINAL-MATURITY
- -----------------------------------------------------------------
Total
Original # % Current
Maturity Loan Pool Balance
060 3 .12 $139,756.08
084 2 .08 $88,006.94
120 43 1.84 $2,107,769.29
180 917 58.60 $67,244,064.43
240 351 22.53 $25,849,100.65
300 7 .58 $661,716.95
360 206 16.26 $18,657,784.33
- ------------------------------------------------------------------
Total..... 1,529 100.00% $114,748,198.67
==================================================================
AGE
- ------------------------------------------------------------------
Total
# % Current
Loan Feature Loan Pool Balance
.00 533 36.85 $42,286,131.45
1.00 567 37.94 $43,539,148.30
2.00 329 19.57 $22,454,959.79
3.00 73 4.25 $4,877,176.50
4.00 15 .73 $833,716.64
5.00 7 .27 $308,497.51
6.00 2 .08 $96,493.48
7.00 1 .09 $98,855.85
10.00 1 .13 $154,219.15
13.00 1 .09 $99,000.00
- ------------------------------------------------------------------
Total..... 1,529 100.00% $114,748,198.67
==================================================================
REMAINING TERM
- -------------------------------------------------------------------
Total
# % Current
Remaining Term Loan Pool Balance
36 < Rem Term <= 48 1 .09 $99,000.00
48 < Rem Term <= 60 2 .04 $40,756.08
72 < Rem Term <= 84 2 .08 $88,006.94
108 < Rem Term <= 120 43 1.84 $2,107,769.29
168 < Rem Term <= 180 917 58.60 $67,244,064.43
228 < Rem Term <= 240 351 22.53 $25,849,100.65
288 < Rem Term <= 300 7 .58 $661,716.95
348 < Rem Term <= 360 206 16.26 $18,657,784.33
- -------------------------------------------------------------------
Total..... 1,529 100.00% $114,748,198.67
===================================================================
PROPERTY
- --------------------------------------------------------------------
Total
# % Current
Loan Feature Loan Pool Balance
1 Family 1,025 59.63 $68,428,283.90
2-4 Family 404 32.47 $37,262,044.56
5-8 Family 21 1.79 $2,049,960.33
Condo 21 1.07 $1,231,948.02
Mobile Home 2 .06 $64,007.60
Multi Use 56 4.98 $5,711,954.26
- --------------------------------------------------------------------
Total..... 1,529 100.00% $114,748,198.67
====================================================================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE>
OCCUPANCY
- ------------------------------------------------------------------
Total
# % Current
Loan Pool Balance
Owner Occ. 1,345 87.84 $100,796,739.01
Non Owner Occ. 184 12.16 $13,951,459.66
- -------------------------------------------------------------------
Total..... 1,529 100.00% $114,748,198.67
===================================================================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE>
- - DELTA
- - Cut Off Date of Tape is 11/29/96
- - ARM COLL. (GROUP II)
- - $21,010,045.27
- --------------------------------------------------------------------------------
Number of Mortgage Loans: 199
Index: 6 Mo LIBOR
Aggregate Unpaid Principal Balance: $21,010,045.27
Aggregate Original Principal Balance: $21,122,620.00
- --------------------------------------------------------------------------------
Weighted Average Coupon (Gross): 10.358%
Gross Coupon Range: 8.100% - 14.450%
- --------------------------------------------------------------------------------
Weighted Average Margin (Gross): 6.813%
Gross Margin Range: 4.350% - 9.750%
Weighted Average Life Cap (Gross): 16.409%
Gross Life Cap Range: 10.250% - 20.875%
Weighted Average Life Floor (Gross): 9.286%
Gross Life Floor Range: 4.350% - 13.625%
- --------------------------------------------------------------------------------
Average Unpaid Principal Balance: $105,578.12
Average Original Principal Balance: $106,143.82
Maximum Unpaid Principal Balance: $388,577.18
Minimum Unpaid Principal Balance: $25,000.00
Maximum Original Principal Balance: $389,000.00
Minimum Original Principal Balance: $25,000.00
Weighted Avg. Stated Rem. Term (LPD to Mat Date): 357.756
Stated Rem Term Range: 179.000 - 360.000
Weighted Avg. Amortized Rem. Term: 355.389
Amortized Rem Term Range: 42.344 - 360.019
Weighted Average Age (First Pay thru Last Pay): 1.153
Age Range: 0.000 - 9.000
Weighted Average Original Term: 358.909
Original Term Range: 180.000 - 360.000
Weighted Average Original LTV: 70.222
Original LTV Range: 15.625% - 90.000%
Weighted Average Current LTV: 70.067
Current LTV Range: 15.625% - 90.000%
Weighted Average Periodic Interest Cap: 1.007%
Periodic Interest Cap Range: 1.000% - 1.500%
Weighted Average Periodic Payment Cap: 1.085%
Periodic Payment Cap Range: 1.000% - 3.000%
Weighted Average Months to Interest Roll: 6.631
Months to Interest Roll Range: 3 - 25
Weighted Average Months to Payment Roll: 7.631
Months to Payment Roll Range: 4 - 26
Weighted Average Interest Roll Frequency: 6.000
Interest Frequency Range: 6 - 6
Weighted Average Payment Roll Frequency: 6.000
Payment Frequency Range: 6 - 6
- --------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE>
CURRENT MORTGAGE AMOUNT
- -------------------------------------------------------------------
Total
Current # % Current
Mortgage Amt. Loan Pool Balance
Balance <= 25,000 1 .12 $25,000.00
25,000 < Balance <= 50,000 25 4.39 $922,760.26
50,000 < Balance <= 75,000 49 14.43 $3,032,729.64
75,000 < Balance <= 100,000 41 17.71 $3,721,766.48
100,000 < Balance <= 150,000 46 26.17 $5,498,245.95
150,000 < Balance <= 200,000 25 20.95 $4,402,168.32
200,000 < Balance <= 250,000 6 6.71 $1,409,342.57
250,000 < Balance <= 300,000 1 1.25 $263,606.48
300,000 < Balance <= 350,000 2 2.90 $609,494.44
350,000 < Balance <= 400,000 3 5.35 $1,124,931.13
- -------------------------------------------------------------------
Total..... 199100.00% $21,010,045.27
===================================================================
GEOGRAPHIC DISTRIBUTION
- -------------------------------------------------------------------
Total
# % Current
State Loans Pool Balance
CT 6 2.53 $531,762.65
FL 3 1.39 $292,141.25
GA 9 5.98 $1,255,655.99
IL 17 7.75 $1,627,405.00
IN 2 .54 $114,356.87
KY 1 1.07 $223,859.25
MA 24 13.67 $2,871,285.08
MD 1 .86 $180,000.00
MI 20 9.35 $1,965,011.78
MN 6 2.97 $623,275.08
MO 2 .35 $72,895.34
NC 1 .14 $29,755.73
NE 1 .37 $77,600.00
NH 1 .98 $206,250.00
NJ 21 11.44 $2,402,507.07
NY 35 20.14 $4,232,237.62
OH 17 5.96 $1,251,507.87
PA 20 8.91 $1,871,222.29
RI 8 2.43 $510,453.98
VA 2 1.00 $210,280.61
WA 2 2.19 $460,581.81
- -------------------------------------------------------------------
Total.. 199 100.00% $21,010,045.27
===================================================================
COMBINED LTV RANGE
- ------------------------------------------------------------------
Total
LTV # % Current
RANGE Loan Pool Balance
15.000 < LTV <= 20.000 2 .36 $75,000.00
20.000 < LTV <= 25.000 2 1.99 $418,332.91
30.000 < LTV <= 35.000 1 .66 $139,162.45
40.000 < LTV <= 45.000 3 1.10 $231,749.53
45.000 < LTV <= 50.000 7 2.83 $593,565.44
50.000 < LTV <= 55.000 12 4.72 $991,389.06
55.000 < LTV <= 60.000 11 4.58 $961,954.99
60.000 < LTV <= 65.000 24 10.41 $2,186,342.78
65.000 < LTV <= 70.000 33 15.41 $3,238,622.39
70.000 < LTV <= 75.000 37 19.78 $4,156,127.78
75.000 < LTV <= 80.000 57 33.41 $7,018,797.94
80.000 < LTV <= 85.000 5 2.42 $509,000.00
85.000 < LTV <= 90.000 5 2.33 $490,000.00
- ------------------------------------------------------------------
Total..... 199 100.00% $21,010,045.27
==================================================================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE>
GROSS COUPON
- ------------------------------------------------------------------
Total
Gross # % Current
Coupon Loan Pool Balance
8.00% < Gross Coupon <= 8.25% 2 2.56 $537,576.36
8.25% < Gross Coupon <= 8.50% 2 .67 $141,300.00
8.50% < Gross Coupon <= 8.75% 6 2.70 $568,030.60
8.75% < Gross Coupon <= 9.00% 11 7.51 $1,578,372.97
9.00% < Gross Coupon <= 9.25% 8 3.22 $677,248.38
9.25% < Gross Coupon <= 9.50% 17 7.59 $1,593,706.19
9.50% < Gross Coupon <= 9.75% 12 4.44 $933,506.09
9.75% < Gross Coupon <= 10.00% 22 13.16 $2,765,588.89
10.00% < Gross Coupon <= 10.25% 10 4.76 $999,179.46
10.25% < Gross Coupon <= 10.50% 24 11.74 $2,467,008.28
10.50% < Gross Coupon <= 10.75% 11 5.68 $1,193,852.15
10.75% < Gross Coupon <= 11.00% 18 11.29 $2,372,556.98
11.00% < Gross Coupon <= 11.25% 13 7.06 $1,483,169.99
11.25% < Gross Coupon <= 11.50% 10 5.12 $1,076,047.68
11.50% < Gross Coupon <= 11.75% 10 5.29 $1,111,388.30
11.75% < Gross Coupon <= 12.00% 6 2.18 $458,946.75
12.00% < Gross Coupon <= 12.25% 1 .28 $58,500.00
12.25% < Gross Coupon <= 12.50% 5 1.34 $282,174.75
12.50% < Gross Coupon <= 12.75% 1 .24 $50,451.73
12.75% < Gross Coupon <= 13.00% 2 .49 $103,466.23
13.00% < Gross Coupon <= 13.25% 3 .95 $198,691.89
13.25% < Gross Coupon <= 13.50% 2 .94 $196,500.00
13.50% < Gross Coupon <= 13.75% 1 .25 $51,981.60
13.75% < Gross Coupon <= 14.00% 1 .40 $83,300.00
14.25% < Gross Coupon <= 14.50% 1 .13 $27,500.00
- ------------------------------------------------------------------
Total..... 199 100.00% $21,010,045.27
==================================================================
ORIGINAL-MATURITY
- ------------------------------------------------------------------
Total
Original # % Current
Maturity Loan Pool Balance
180 1 .17 $35,905.17
240 2 .65 $137,177.31
360 196 99.18 $20,836,962.79
- -------------------------------------------------------------------
Total..... 199 100.00% $21,010,045.27
===================================================================
REMAINING TERM
- -------------------------------------------------------------------
Total
# % Current
Remaining Term Loan Pool Balance
168 < Rem Term <= 180 1 .17 $35,905.17
228 < Rem Term <= 240 2 .65 $137,177.31
348 < Rem Term <= 360 196 99.18 $20,836,962.79
- -------------------------------------------------------------------
Total..... 199 100.00% $21,010,045.27
===================================================================
LOAN AGE IN MONTHS
- -------------------------------------------------------------------
Total
# % Current
Loan Feature Loan Pool Balance
.00 66 33.37 $7,010,855.00
1.00 56 29.59 $6,217,378.90
2.00 56 28.64 $6,018,086.89
3.00 16 6.53 $1,372,330.08
4.00 4 1.59 $334,828.17
9.00 1 .27 $56,566.23
- -------------------------------------------------------------------
Total..... 199 100.00% $21,010,045.27
===================================================================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE>
PROPERTY
- ------------------------------------------------------------------
Total
# % Current
Loan Feature Loan Pool Balance
1 Family 164 81.97 $17,222,109.68
2-4 Family 31 16.08 $3,377,989.37
Condo 4 1.95 $409,946.22
- ------------------------------------------------------------------
Total..... 199 100.00% $21,010,045.27
==================================================================
OCCUPANCY
- ------------------------------------------------------------------
Total
# % Current
Loan Pool Balance
Owner Occ. 173 87.73 $18,432,628.25
Non Owner Occ. 26 12.27 $2,577,417.02
- -------------------------------------------------------------------
Total..... 199 100.00% $21,010,045.27
===================================================================
GROSS MARGIN
- ---------------------------------------------------------------
Total
Gross # % Current
Margin Loan Pool Balance
4.25% < Gross Margin <= 4.50% 2 1.07 $225,051.17
4.50% < Gross Margin <= 4.75% 1 .20 $41,300.00
4.75% < Gross Margin <= 5.00% 9 4.09 $859,902.23
5.00% < Gross Margin <= 5.25% 3 1.01 $212,523.87
5.25% < Gross Margin <= 5.50% 15 5.60 $1,177,493.41
5.50% < Gross Margin <= 5.75% 12 6.89 $1,446,810.51
5.75% < Gross Margin <= 6.00% 16 7.29 $1,532,320.27
6.00% < Gross Margin <= 7.00% 63 35.20 $7,395,087.13
7.00% < Gross Margin <= 8.00% 52 30.04 $6,312,250.95
8.00% < Gross Margin <= 9.00% 19 6.21 $1,304,266.01
9.00% < Gross Margin <= 10.00% 7 2.39 $503,039.72
- ----------------------------------------------------------------
Total..... 199 100.00% $21,010,045.27
================================================================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE>
Gross Life Cap
- ----------------------------------------------------------------
Total
Gross # % Current
Life Cap Loan Pool Balance
10.00% < Gross Life Cap <= 10.25 1 .61 $127,161.94
14.00% < Gross Life Cap <= 14.25 2 2.56 $537,576.36
14.25% < Gross Life Cap <= 14.50 3 1.06 $222,300.00
14.50% < Gross Life Cap <= 14.75 4 2.31 $484,678.45
14.75% < Gross Life Cap <= 15.00 10 7.13 $1,497,372.97
15.00% < Gross Life Cap <= 15.25 7 2.41 $505,518.64
15.25% < Gross Life Cap <= 15.50 14 6.72 $1,412,755.87
15.50% < Gross Life Cap <= 15.75 12 4.19 $880,659.74
15.75% < Gross Life Cap <= 16.00 19 12.10 $2,541,568.72
16.00% < Gross Life Cap <= 16.25 10 4.97 $1,043,747.26
16.25% < Gross Life Cap <= 16.50 26 12.28 $2,579,920.75
16.50% < Gross Life Cap <= 16.75 9 4.45 $934,912.47
16.75% < Gross Life Cap <= 17.00 21 12.36 $2,596,577.15
17.00% < Gross Life Cap <= 17.25 11 5.63 $1,183,359.95
17.25% < Gross Life Cap <= 17.50 12 5.70 $1,197,554.88
17.50% < Gross Life Cap <= 17.75 11 6.44 $1,353,579.91
17.75% < Gross Life Cap <= 18.00 5 1.84 $385,939.53
18.00% < Gross Life Cap <= 18.25 3 1.71 $358,310.04
18.25% < Gross Life Cap <= 18.50 5 1.24 $259,674.75
18.50% < Gross Life Cap <= 18.75 3 .71 $149,928.95
18.75% < Gross Life Cap <= 19.00 1 .35 $73,007.22
19.00% < Gross Life Cap <= 19.25 3 .95 $198,691.89
19.25% < Gross Life Cap <= 19.50 3 1.17 $246,500.00
19.50% < Gross Life Cap <= 19.75 1 .25 $51,981.60
19.75% < Gross Life Cap <= 20.00 2 .49 $103,466.23
20.75% < Gross Life Cap <= 21.00 1 .40 $83,300.00
- ----------------------------------------------------------------
Total..... 199 100.00% $21,010,045.27
================================================================
Gross Life Floor
- -----------------------------------------------------------------
Total
Gross # % Current
Life Floor Loan Pool Balance
4.25% < Life Floor <= 4.50% 2 1.07 $225,051.17
4.75% < Life Floor <= 5.00% 4 1.35 $282,914.78
5.25% < Life Floor <= 5.50% 3 1.18 $248,203.49
5.50% < Life Floor <= 5.75% 5 3.15 $660,793.79
5.75% < Life Floor <= 6.00% 3 2.19 $461,121.78
6.00% < Life Floor <= 6.25% 4 2.02 $424,077.22
6.25% < Life Floor <= 6.50% 5 1.55 $324,881.62
6.50% < Life Floor <= 6.75% 9 4.74 $996,305.65
6.75% < Life Floor <= 7.00% 2 .68 $142,750.00
7.00% < Life Floor <= 7.25% 6 3.40 $713,620.65
7.25% < Life Floor <= 7.50% 3 1.25 $262,678.95
7.50% < Life Floor <= 7.75% 4 2.35 $493,105.42
7.75% < Life Floor <= 8.00% 1 .80 $167,926.66
8.00% < Life Floor <= 8.25% 4 2.53 $531,767.48
8.25% < Life Floor <= 8.50% 4 1.63 $343,100.00
8.50% < Life Floor <= 8.75% 5 1.48 $311,981.67
8.75% < Life Floor <= 9.00% 7 5.02 $1,055,487.02
9.00% < Life Floor <= 9.25% 6 2.23 $469,146.01
9.25% < Life Floor <= 9.50% 13 5.64 $1,184,416.59
9.50% < Life Floor <= 9.75% 13 5.10 $1,071,678.72
9.75% < Life Floor <= 10.00% 15 9.84 $2,067,449.70
10.00% < Life Floor <= 10.25% 8 4.34 $912,423.73
10.25% < Life Floor <= 10.50% 15 7.11 $1,494,195.43
10.50% < Life Floor <= 10.75% 10 5.58 $1,171,855.53
10.75% < Life Floor <= 11.00% 11 7.57 $1,590,059.02
11.00% < Life Floor <= 11.25% 8 4.20 $881,893.82
11.25% < Life Floor <= 11.50% 8 4.29 $901,606.75
11.50% < Life Floor <= 11.75% 5 2.57 $539,184.42
11.75% < Life Floor <= 12.00% 4 1.71 $359,451.41
12.25% < Life Floor <= 12.50% 4 1.04 $217,717.23
12.50% < Life Floor <= 12.75% 1 .24 $50,451.73
12.75% < Life Floor <= 13.00% 2 .49 $103,466.23
13.00% < Life Floor <= 13.25% 2 .48 $100,800.00
13.25% < Life Floor <= 13.50% 2 .94 $196,500.00
13.50% < Life Floor <= 13.75% 1 .25 $51,981.60
- -----------------------------------------------------------------
Total..... 199 100.00% $21,010,045.27
=================================================================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE>
Preliminary Information for Delta Funding Home Equity Loan Trust 1996-3
Home Equity Loan Asset-Backed Certificates, Series 1996-3
- - Delta Funding Corporation
Seller and Servicer
- - Delta Funding Home Equity Loan Trust 1996-3
<TABLE>
- -----------------------------------------------------------------------------------------
<S> <C> <C> <C>
Class A-1 Certificates $[70,100,000] Variable-Rate Certificates 1M LIBOR + [8] bps
Class A-2 Certificates $[56,900,000] Fixed-Rate Certificates [6.525]%
Class A-3 Certificates $[16,100,000] Fixed-Rate Certificates [6.825]%
Class A-4 Certificates $[22,400,000] Fixed-Rate Certificates [7.075]%
Class A-5 Certificates $[14,500,000] Fixed-Rate Certificates [7.250]%
Class A-6 Certificates $[30,000,000] Variable-Rate Certificates 1M LIBOR + [22] bps
</TABLE>
The information herein has been provided solely by PSI based on information
provided by Delta Funding Corp. and its affiliates ("Delta"). PSI makes no
representation as to the accuracy of such information provided to it by Delta.
The information herein is preliminary and will be superseded by the prospectus
supplement and by any other information subsequently filed with the Securities
and Exchange Commission. All assumptions and information in this report reflect
PSI's judgment as of this date and are subject to change. All analyses are based
on certain assumptions noted herein and different assumptions could yield
substantially different results. You are cautioned that there is no universally
accepted method for analyzing financial instruments. You should review the
assumptions; there may be differences between these assumptions and your actual
business practices. Further, PSI does not guarantee any results and there is no
guarantee as to the liquidity of the instruments involved in this analysis. The
decision to adopt any strategy remains your responsibility. PSI (or any of its
affiliates) or their officers, directors, analysts or employees may have
positions in securities, commodities or derivative instruments thereon referred
to herein, and may, as principal or agent, buy or sell such securities,
commodities or derivative instruments. In addition, PSI may make a market in the
securities referred to herein. Neither the information nor the assumptions
reflected herein shall be construed to be, or constitute, an offer to sell or
buy or a solicitation of an offer to sell or buy any securities, commodities or
derivative instruments mentioned herein. No sale of any securities, commodities
or derivative instruments should be consumated without the purchaser first
having received a prospectus and, if required, prospectus supplement. Finally,
PSI has not addressed the legal, accounting and tax implications of the analysis
with respect to you, and PSI strongly urges you to seek advice from your
counsel, accountant and tax advisor.
<PAGE>
- - Delta Funding Home Equity Loan Trust 1996-3
Home Equity Loan Asset-Backed Certificates, Series 1996-3
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------
Class A Group I Certificates
Class A-1 Class A-2 Class A-3 Class A-4 Class A-5
Variable-Rate Fixed-Rate Fixed-Rate Fixed-Rate Fixed-Rate
------------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C>
Approximate
Face Amount: $[70,100,000] $[56,900,000] $[16,100,000] $[22,400,000] $[14,500,000]
Avg Life: [1.02] [3.03] [5.03] [7.04] [11.35]
Avg Life: [1.02] [3.03] [5.03] [7.00] [8.24]
to Call
Coupon: 1M L + [8]bps* [6.525%] [6.825%] [7.075%] [7.25%] or [7.25%]+ 0.50% after
the 10% Clean-up Call Date
Price: 100-00 99-31+ 99-31 99-30 100-00
Yield (CBE): Variable 6.46% 6.82% 7.10% 7.28%
Spread(bp): 8 64 84 98 109
Benchmark: 1ML 3yr 5yr 5 7/8 2-'04 7 1/2 2-'05
Pricing Spd: PPC 100 PPC 100 PPC 100 PPC 100 PPC 100
Settlement: [12/27/96] [12/27/96] [12/27/96] [12/27/96] [12/27/96]
Exp Mat: [11/25/98] [05/25/01] [08/25/02] [10/25/05] [11/25/11]
Exp. Mat
to Call: [11/25/98] [05/25/01] [08/25/02] [03/25/05] [03/25/05]
Final Mat: [10/25/11] [10/25/11] [02/25/15] [03/25/19] [11/25/26]
Day Count: Actual/360 30/360 30/360 30/360 30/360
Pymt Delay: [0] days [24] days [24] days [24] days [24] days
Dated Date: [12/27/96] [12/1/96] [12/1/96] [12/1/96] [12/1/96]
Pymt Terms: Monthly Monthly Monthly Monthly Monthly
1st Pymt Date: [1/25/97] [1/25/97] [1/25/97] [1/25/97] [1/25/97]
</TABLE>
*Pass-Through Rate is the lesser of:
1) One Month LIBOR + [8]bps
2) The Available Funds Cap
Available Funds Cap: A rate equal to the weighted average gross coupon rate
less [0.62%] for servicing fees, trustee fees and
certificate insurer premiums for the fixed-rate mortgage
loans for such Payment Date.
Coupon Step-Up: If the 10% Clean-up Call is not exercised, the coupon on
the Class A-5 Fixed-Rate Certificates shall be [7.25%] +
0.50% per annum.
Pricing Speed: PPC 100 : GRP I : [1-1 36% HEP] [2-360 24% HEP]
GRP II : [1-1 37.5% HEP] [2-360 25% HEP]
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE>
- - Delta Funding Home Equity Loan Trust 1996-3
Home Equity Loan Asset-Backed Certificates, Series 1996-3
- --------------------------------------------------------------------------------
Class A Group II Certificates
Class A-6
Variable-Rate
-------------
Approximate Face Amount: [$30,000,000]
Average Life to Mat: [3.53] years
Average Life to Call: [3.27] years
Pass-Through Rate: The lesser of:
1) One Month LIBOR + [22] bps or after the Clean-up
Call Date, LIBOR + 2x [22] bps
2) The Available Funds Cap
Price: 100-00
Yield: Variable
Pricing Speed: PPC 100 : GRP I : [1-1 36% HEP] [2-360 24% HEP]
GRP II : [1-1 37.5% HEP] [2-360 25% HEP]
Settlement: [12/27/96]
Exp Maturity: [11/25/14]
Exp Maturity to Call: [03/25/05]
Final Maturity: [11/25/26]
Day Count: actual/360
Payment Delay: 0 days.
Dated Date: [12/27/96]
Payment Terms: Monthly.
1st Payment Date: [1/25/97]
Available Funds Cap: A rate equal to the weighted average gross coupon rate
minus the [0.62%] for servicing fees, trustee fees and
certificate insurer premiums for the Variable-Rate
mortgage loans for such Payment Date and 50 Bp after
month 12 for MBIA cushion.
Group II Net Funds Cap:
Group II Adjusted Net Coupon:
Net Coupon - fees ([62] bps)
The Group II Net Funds Cap on each Distribution Date will be the lesser of:
1) Weighted Average Gross Life Cap: [ 16.409 ]%
Less Servicing [ 0.500 ]%
Less Fees [ 0.120 ]%
----------
[ 15.789 ]%
Less 50 Bp MBIA Cushion on month [13].
2) Weighted Average Adjusted Net Coupon on the Group II loans for such
Distribution Date.
Monthly Group II Net Funds Cap Summary:
(calculated on 30/360 basis)
Date: 1/97 7/97 1/98 10/98
Adjusted Net Coupon: [9.74%] [10.65%] [11.04%] [11.23%]
Margin*: [3.96%] [4.87%] [5.26%] [5.45%]
*(Assuming 1M LIBOR as of closing of [5.5625%] and a spread of [0.22%], 1M LIBOR
would have to rise by the corresponding Margin to fully adjust to the Net Funds
Cap under this scenario).
Adjusted Net Coupon = (Group 2 Collateral Interest% - Servicing Fee% - Ongoing
Trust Fees% - MBIA cushion%)**
** 50 Bp cushion starting on month 13.
Coupon Step-up: If the 10% Clean-Up Call is not exercised, the coupon
on the Class A-6 Variable-Rate Certificates shall be
1M LIBOR + 2x [22] bps.
Shortfall Reimbursement: If on any Payment Date the Class A-6 Certificate
interest distribution amount is less than the
Pass-Through Rate, the amount of such shortfall and
the aggregate of such shortfalls from previous payment
dates together with accrued interest at the
Pass-Through Rate will be carried forward to the next
Payment Date until paid. No interest carryforward will
be paid once the Class A-6 Certificate principal
balance has been reduced to zero. The shortfall
reimbursement feature will NOT be insured by the MBIA
guarantee.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE>
- - Delta Funding Home Equity Loan Trust 1996-3
Home Equity Loan Asset-Backed Certificates, Series 1996-3
- --------------------------------------------------------------------------------
Title of Securities: Delta Funding Home Equity Loan Trust 1996-3
Home Equity Loan Asset-Backed Certificates, Series 1996-3
Description of
Transaction: This approximately $[210,000,000] surety-wrapped
transaction is supported by two pools of closed-end,
fixed- and adjustable rate home equity mortgage loans
originated or purchased by Delta Funding Corp. The Class
A-1 Certificates will bear interest at a variable rate,
subject to a net funds cap. The Class A-2 through A-5
Certificates will bear interest at their respective fixed
rates. The Class A-6 Certificates will bear interest at a
variable rate, subject to a net funds cap. The Class A-1
through A-5 Certificates are sequentially- tranched and
credit-enhanced through overcollateralization and an
insurance policy issued by MBIA Insurance Corporation.
The Class A-6 Certificates are pass-throughs and are also
credit-enhanced through overcollateralization and an
insurance policy issued by MBIA Insurance Corporation.
Servicer: Delta Funding Corp.
Servicing Fee: [50] basis points per annum.
Depositor: Prudential Securities Secured Financing Corporation .
Trustee: Bankers Trust Company of California N.A.
Certificate Insurer: MBIA Insurance Corporation ("MBIA"). MBIA's claims-paying
ability is rated AAA/Aaa by Standard and Poor's and
Moody's.
Certificate Insurance: Timely interest and eventual principal payments on the
Class A Certificates will be 100% guaranteed by MBIA.
Aggregate
Certificate Balance: Group I (A-1 through A-5) $[180,000,000]
Group II (A-6) $ [30,000,000]
Pricing Speed: PPC 100 : GRP 1 : [1-1 36% HEP] [2-360 24% HEP]
GRP II : [1-1 37.5% HEP] [2-360 25% HEP]
Pricing Date: [12/5/96]
Settlement Date: [12/27/96]
Payment Date: The 25th day of each month or, if such day is not a
business day, the next succeeding business day, beginning
on January 27, 1997.
Record Date: With respect to the Class A-1 and Class A-6 Certificates,
the Record Date will be the day immediately preceeding
the related Payment Date.
With respect to the Classes A-2 through A-5 Certificates,
the Record Date will be the last day of the calendar
month immediately preceding the related Payment Date.
Interest Accrual: For Class A-1 and Class A-6, interest will accrue from
the 25th of the preceding month until the 24th day of the
current month based on an actual/360 day count.
For Classes A-2 through A-5, interest will accrue
from the first day of the preceeding month until the
30th day of the preceeding month on a 30/360 count.
Certificate Ratings: The Class A Certificates will be rated AAA by Standard &
Poor's and Aaa by Moody's.
Form of Class A
Certificates: Book-entry form through DTC, Euroclear and CEDEL.
Denominations: The Class A Certificates will be offered for purchase in
denominations of $25,000 and multiples of $1,000 in
excess thereof.
ERISA: All of the Class A Certificates will be ERISA eligible
from the start of the deal.
SMMEA: The Class A Group I Certificates will not be SMMEA
eligible.
The Class A Group II Certificates will be SMMEA eligible.
Taxation: REMIC.
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE>
- --------------------------------------------------------------------------------
- - DELTA
- - Cut Off Date of Tape is 11/29/96 - FIX COLL (GROUP I)
- - $114,748,198.67
- - Mortgage Summary Report
- --------------------------------------------------------------------------------
Number of Mortgage Loans: 1,529
Aggregate Unpaid Principal Balance: $114,748,198.67
Aggregate Original Principal Balance: $114,888,153.26
Weighted Average Gross Coupon: 11.714%
Gross Coupon Range: 8.250% - 18.440%
- --------------------------------------------------------------------------------
Average Unpaid Principal Balance: $75,047.87
Average Original Principal Balance: $75,139.41
Maximum Unpaid Principal Balance: $335,545.17
Minimum Unpaid Principal Balance: $8,169.24
Maximum Original Principal Balance: $336,000.00
Minimum Original Principal Balance: $8,200.00
Weighted Avg. Stated Rem. Term (LPD to Mat Date): 221.177
Stated Rem Term Range: 47.000 - 360.000
Weighted Avg. Amortized Rem. Term: 307.088
Amortized Rem Term Range: 55.424 - 360.153
Weighted Average Age (First Pay thru Last Pay): 0.977
Age Range: 0.000 - 13.000
Weighted Average Original Term: 222.154
Original Term Range: 60.000 - 360.000
Weighted Average Original LTV: 66.983
Original LTV Range: 6.250% - 90.000%
Weighted Average Current LTV: 66.910
Current LTV Range: 6.250% - 90.000%
Weighted Average Combined LTV: 69.068
Combined LTV Range: 6.250% - 90.000%
- --------------------------------------------------------------------------------
<PAGE>
CURRENT MORTGAGE AMOUNT
- -------------------------------------------------------------------
Total
Current # % Current
Mortgage Amt. Loan Pool Balance
Balance <= 25,000 137 2.38 $2,733,606.88
25,000 < Balance <= 50,000 432 14.17 $16,265,310.82
50,000 < Balance <= 75,000 356 19.25 $22,089,266.18
75,000 < Balance <= 100,000 204 15.62 $17,928,352.50
100,000 < Balance <= 150,000 300 31.85 $36,547,028.05
150,000 < Balance <= 200,000 65 9.65 $11,076,534.45
200,000 < Balance <= 250,000 30 5.82 $6,674,142.52
250,000 < Balance <= 300,000 4 .96 $1,098,412.10
300,000 < Balance <= 350,000 1 .29 $335,545.17
- -------------------------------------------------------------------
Total..... 1,529100.00% $114,748,198.67
===================================================================
GEOGRAPHIC DISTRIBUTION
---------------------------------------------------------------------
Total
# % Current
State Loans Pool Balance
AR 4 .20 $227,043.83
AZ 4 .23 $258,485.02
CA 1 .06 $64,000.00
CO 4 .36 $408,620.74
CT 25 1.62 $1,855,463.43
DC 6 .36 $407,578.05
DE 3 .33 $374,719.15
FL 68 3.50 $4,011,023.29
GA 27 1.34 $1,542,691.43
IL 110 6.30 $7,233,269.95
IN 22 .87 $997,340.64
KS 2 .05 $62,300.00
KY 11 .52 $592,203.35
MA 40 2.46 $2,821,777.12
MD 13 .91 $1,038,780.94
MI 70 3.09 $3,546,212.46
MN 4 .30 $341,166.52
MO 15 .58 $670,010.26
MS 18 .70 $804,146.74
NC 29 1.46 $1,672,354.81
NE 3 .22 $246,769.54
NH 2 .16 $187,347.96
NJ 66 4.69 $5,380,598.06
NM 1 .08 $91,820.88
NV 1 .02 $25,000.00
NY 721 57.31 $65,766,768.07
OH 90 4.01 $4,605,085.22
OK 9 .48 $550,667.74
OR 5 .37 $423,195.55
PA 83 3.40 $3,901,379.49
RI 20 1.05 $1,206,527.98
TN 35 2.02 $2,320,774.46
TX 1 .03 $29,213.60
UT 3 .10 $112,000.00
VA 7 .34 $393,567.99
VT 1 .10 $117,000.00
WA 3 .33 $382,350.00
WV 1 .02 $27,000.00
WY 1 .05 $51,944,40
- -------------------------------------------------------------------
Total.. 1,529 100.00% $114,748,198.67
===================================================================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE>
ORIGINAL-MATURITY
- -----------------------------------------------------------------
Total
Original # % Current
Maturity Loan Pool Balance
060 3 .12 $139,756.08
084 2 .08 $88,006.94
120 43 1.84 $2,107,769.29
180 917 58.60 $67,244,064.43
240 351 22.53 $25,849,100.65
300 7 .58 $661,716.95
360 206 16.26 $18,657,784.33
- ------------------------------------------------------------------
Total..... 1,529 100.00% $114,748,198.67
==================================================================
AGE
- ------------------------------------------------------------------
Total
# % Current
Loan Feature Loan Pool Balance
.00 533 36.85 $42,286,131.45
1.00 567 37.94 $43,539,148.30
2.00 329 19.57 $22,454,959.79
3.00 73 4.25 $4,877,176.50
4.00 15 .73 $833,716.64
5.00 7 .27 $308,497.51
6.00 2 .08 $96,493.48
7.00 1 .09 $98,855.85
10.00 1 .13 $154,219.15
13.00 1 .09 $99,000.00
- ------------------------------------------------------------------
Total..... 1,529 100.00% $114,748,198.67
==================================================================
REMAINING TERM
- -------------------------------------------------------------------
Total
# % Current
Remaining Term Loan Pool Balance
36 < Rem Term <= 48 1 .09 $99,000.00
48 < Rem Term <= 60 2 .04 $40,756.08
72 < Rem Term <= 84 2 .08 $88,006.94
108 < Rem Term <= 120 43 1.84 $2,107,769.29
168 < Rem Term <= 180 917 58.60 $67,244,064.43
228 < Rem Term <= 240 351 22.53 $25,849,100.65
288 < Rem Term <= 300 7 .58 $661,716.95
348 < Rem Term <= 360 206 16.26 $18,657,784.33
- -------------------------------------------------------------------
Total..... 1,529 100.00% $114,748,198.67
===================================================================
PROPERTY
- --------------------------------------------------------------------
Total
# % Current
Loan Feature Loan Pool Balance
1 Family 1,025 59.63 $68,428,283.90
2-4 Family 404 32.47 $37,262,044.56
5-8 Family 21 1.79 $2,049,960.33
Condo 21 1.07 $1,231,948.02
Mobile Home 2 .06 $64,007.60
Multi Use 56 4.98 $5,711,954.26
- --------------------------------------------------------------------
Total..... 1,529 100.00% $114,748,198.67
====================================================================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE>
OCCUPANCY
- ------------------------------------------------------------------
Total
# % Current
Loan Pool Balance
Owner Occ. 1,345 87.84 $100,796,739.01
Non Owner Occ. 184 12.16 $13,951,459.66
- -------------------------------------------------------------------
Total..... 1,529 100.00% $114,748,198.67
===================================================================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE>
- --------------------------------------------------------------------------------
- - DELTA
- - Cut Off Date of Tape is 11/29/96
- - ARM COLL. (GROUP II)
- - $21,010,045.27
- --------------------------------------------------------------------------------
Number of Mortgage Loans: 199
Index: 6 Mo LIBOR
Aggregate Unpaid Principal Balance: $21,010,045.27
Aggregate Original Principal Balance: $21,122,620.00
- --------------------------------------------------------------------------------
Weighted Average Coupon (Gross): 10.358%
Gross Coupon Range: 8.100% - 14.450%
- --------------------------------------------------------------------------------
Weighted Average Margin (Gross): 6.813%
Gross Margin Range: 4.350% - 9.750%
Weighted Average Life Cap (Gross): 16.409%
Gross Life Cap Range: 10.250% - 20.875%
Weighted Average Life Floor (Gross): 9.286%
Gross Life Floor Range: 4.350% - 13.625%
- --------------------------------------------------------------------------------
Average Unpaid Principal Balance: $105,578.12
Average Original Principal Balance: $106,143.82
Maximum Unpaid Principal Balance: $388,577.18
Minimum Unpaid Principal Balance: $25,000.00
Maximum Original Principal Balance: $389,000.00
Minimum Original Principal Balance: $25,000.00
Weighted Avg. Stated Rem. Term (LPD to Mat Date): 357.756
Stated Rem Term Range: 179.000 - 360.000
Weighted Avg. Amortized Rem. Term: 355.389
Amortized Rem Term Range: 42.344 - 360.019
Weighted Average Age (First Pay thru Last Pay): 1.153
Age Range: 0.000 - 9.000
Weighted Average Original Term: 358.909
Original Term Range: 180.000 - 360.000
Weighted Average Original LTV: 70.222
Original LTV Range: 15.625% - 90.000%
Weighted Average Current LTV: 70.067
Current LTV Range: 15.625% - 90.000%
Weighted Average Periodic Interest Cap: 1.007%
Periodic Interest Cap Range: 1.000% - 1.500%
Weighted Average Periodic Payment Cap: 1.085%
Periodic Payment Cap Range: 1.000% - 3.000%
Weighted Average Months to Interest Roll: 6.631
Months to Interest Roll Range: 3 - 25
Weighted Average Months to Payment Roll: 7.631
Months to Payment Roll Range: 4 - 26
Weighted Average Interest Roll Frequency: 6.000
Interest Frequency Range: 6 - 6
Weighted Average Payment Roll Frequency: 6.000
Payment Frequency Range: 6 - 6
- --------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE>
CURRENT MORTGAGE AMOUNT
- -------------------------------------------------------------------
Total
Current # % Current
Mortgage Amt. Loan Pool Balance
Balance <= 25,000 1 .12 $25,000.00
25,000 < Balance <= 50,000 25 4.39 $922,760.26
50,000 < Balance <= 75,000 49 14.43 $3,032,729.64
75,000 < Balance <= 100,000 41 17.71 $3,721,766.48
100,000 < Balance <= 150,000 46 26.17 $5,498,245.95
150,000 < Balance <= 200,000 25 20.95 $4,402,168.32
200,000 < Balance <= 250,000 6 6.71 $1,409,342.57
250,000 < Balance <= 300,000 1 1.25 $263,606.48
300,000 < Balance <= 350,000 2 2.90 $609,494.44
350,000 < Balance <= 400,000 3 5.35 $1,124,931.13
- -------------------------------------------------------------------
Total..... 199100.00% $21,010,045.27
===================================================================
GEOGRAPHIC DISTRIBUTION
--------------------------------------------------------------------
Total
# % Current
State Loans Pool Balance
CT 6 2.53 $531,762.65
FL 3 1.39 $292,141.25
GA 9 5.98 $1,255,655.99
IL 17 7.75 $1,627,405.00
IN 2 .54 $114,356.87
KY 1 1.07 $223,859.25
MA 24 13.67 $2,871,285.08
MD 1 .86 $180,000.00
MI 20 9.35 $1,965,011.78
MN 6 2.97 $623,275.08
MO 2 .35 $72,895.34
NC 1 .14 $29,755.73
NE 1 .37 $77,600.00
NH 1 .98 $206,250.00
NJ 21 11.44 $2,402,507.07
NY 35 20.14 $4,232,237.62
OH 17 5.96 $1,251,507.87
PA 20 8.91 $1,871,222.29
RI 8 2.43 $510,453.98
VA 2 1.00 $210,280.61
WA 2 2.19 $460,581.81
- --------------------------------------------------------------------
Total.. 199 100.00% $21,010,045.27
=====================================================================
COMBINED LTV RANGE
- ------------------------------------------------------------------
Total
LTV # % Current
RANGE Loan Pool Balance
15.000 < LTV <= 20.000 2 .36 $75,000.00
20.000 < LTV <= 25.000 2 1.99 $418,332.91
30.000 < LTV <= 35.000 1 .66 $139,162.45
40.000 < LTV <= 45.000 3 1.10 $231,749.53
45.000 < LTV <= 50.000 7 2.83 $593,565.44
50.000 < LTV <= 55.000 12 4.72 $991,389.06
55.000 < LTV <= 60.000 11 4.58 $961,954.99
60.000 < LTV <= 65.000 24 10.41 $2,186,342.78
65.000 < LTV <= 70.000 33 15.41 $3,238,622.39
70.000 < LTV <= 75.000 37 19.78 $4,156,127.78
75.000 < LTV <= 80.000 57 33.41 $7,018,797.94
80.000 < LTV <= 85.000 5 2.42 $509,000.00
85.000 < LTV <= 90.000 5 2.33 $490,000.00
- ------------------------------------------------------------------
Total..... 199 100.00% $21,010,045.27
==================================================================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE>
GROSS COUPON
- ------------------------------------------------------------------
Total
Gross # % Current
Coupon Loan Pool Balance
8.00% < Gross Coupon <= 8.25% 2 2.56 $537,576.36
8.25% < Gross Coupon <= 8.50% 2 .67 $141,300.00
8.50% < Gross Coupon <= 8.75% 6 2.70 $568,030.60
8.75% < Gross Coupon <= 9.00% 11 7.51 $1,578,372.97
9.00% < Gross Coupon <= 9.25% 8 3.22 $677,248.38
9.25% < Gross Coupon <= 9.50% 17 7.59 $1,593,706.19
9.50% < Gross Coupon <= 9.75% 12 4.44 $933,506.09
9.75% < Gross Coupon <= 10.00% 22 13.16 $2,765,588.89
10.00% < Gross Coupon <= 10.25% 10 4.76 $999,179.46
10.25% < Gross Coupon <= 10.50% 24 11.74 $2,467,008.28
10.50% < Gross Coupon <= 10.75% 11 5.68 $1,193,852.15
10.75% < Gross Coupon <= 11.00% 18 11.29 $2,372,556.98
11.00% < Gross Coupon <= 11.25% 13 7.06 $1,483,169.99
11.25% < Gross Coupon <= 11.50% 10 5.12 $1,076,047.68
11.50% < Gross Coupon <= 11.75% 10 5.29 $1,111,388.30
11.75% < Gross Coupon <= 12.00% 6 2.18 $458,946.75
12.00% < Gross Coupon <= 12.25% 1 .28 $58,500.00
12.25% < Gross Coupon <= 12.50% 5 1.34 $282,174.75
12.50% < Gross Coupon <= 12.75% 1 .24 $50,451.73
12.75% < Gross Coupon <= 13.00% 2 .49 $103,466.23
13.00% < Gross Coupon <= 13.25% 3 .95 $198,691.89
13.25% < Gross Coupon <= 13.50% 2 .94 $196,500.00
13.50% < Gross Coupon <= 13.75% 1 .25 $51,981.60
13.75% < Gross Coupon <= 14.00% 1 .40 $83,300.00
14.25% < Gross Coupon <= 14.50% 1 .13 $27,500.00
- ------------------------------------------------------------------
Total..... 199 100.00% $21,010,045.27
==================================================================
ORIGINAL-MATURITY
- ------------------------------------------------------------------
Total
Original # % Current
Maturity Loan Pool Balance
180 1 .17 $35,905.17
240 2 .65 $137,177.31
360 196 99.18 $20,836,962.79
- -------------------------------------------------------------------
Total..... 199 100.00% $21,010,045.27
===================================================================
REMAINING TERM
- -------------------------------------------------------------------
Total
# % Current
Remaining Term Loan Pool Balance
168 < Rem Term <= 180 1 .17 $35,905.17
228 < Rem Term <= 240 2 .65 $137,177.31
348 < Rem Term <= 360 196 99.18 $20,836,962.79
- -------------------------------------------------------------------
Total..... 199 100.00% $21,010,045.27
===================================================================
LOAN AGE IN MONTHS
- -------------------------------------------------------------------
Total
# % Current
Loan Feature Loan Pool Balance
.00 66 33.37 $7,010,855.00
1.00 56 29.59 $6,217,378.90
2.00 56 28.64 $6,018,086.89
3.00 16 6.53 $1,372,330.08
4.00 4 1.59 $334,828.17
9.00 1 .27 $56,566.23
- -------------------------------------------------------------------
Total..... 199 100.00% $21,010,045.27
===================================================================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE>
Gross Life Cap
- ----------------------------------------------------------------
Total
Gross # % Current
Life Cap Loan Pool Balance
10.00% < Gross Life Cap <= 10.25 1 .61 $127,161.94
14.00% < Gross Life Cap <= 14.25 2 2.56 $537,576.36
14.25% < Gross Life Cap <= 14.50 3 1.06 $222,300.00
14.50% < Gross Life Cap <= 14.75 4 2.31 $484,678.45
14.75% < Gross Life Cap <= 15.00 10 7.13 $1,497,372.97
15.00% < Gross Life Cap <= 15.25 7 2.41 $505,518.64
15.25% < Gross Life Cap <= 15.50 14 6.72 $1,412,755.87
15.50% < Gross Life Cap <= 15.75 12 4.19 $880,659.74
15.75% < Gross Life Cap <= 16.00 19 12.10 $2,541,568.72
16.00% < Gross Life Cap <= 16.25 10 4.97 $1,043,747.26
16.25% < Gross Life Cap <= 16.50 26 12.28 $2,579,920.75
16.50% < Gross Life Cap <= 16.75 9 4.45 $934,912.47
16.75% < Gross Life Cap <= 17.00 21 12.36 $2,596,577.15
17.00% < Gross Life Cap <= 17.25 11 5.63 $1,183,359.95
17.25% < Gross Life Cap <= 17.50 12 5.70 $1,197,554.88
17.50% < Gross Life Cap <= 17.75 11 6.44 $1,353,579.91
17.75% < Gross Life Cap <= 18.00 5 1.84 $385,939.53
18.00% < Gross Life Cap <= 18.25 3 1.71 $358,310.04
18.25% < Gross Life Cap <= 18.50 5 1.24 $259,674.75
18.50% < Gross Life Cap <= 18.75 3 .71 $149,928.95
18.75% < Gross Life Cap <= 19.00 1 .35 $73,007.22
19.00% < Gross Life Cap <= 19.25 3 .95 $198,691.89
19.25% < Gross Life Cap <= 19.50 3 1.17 $246,500.00
19.50% < Gross Life Cap <= 19.75 1 .25 $51,981.60
19.75% < Gross Life Cap <= 20.00 2 .49 $103,466.23
20.75% < Gross Life Cap <= 21.00 1 .40 $83,300.00
- ----------------------------------------------------------------
Total..... 199 100.00% $21,010,045.27
================================================================
Gross Life Floor
- -----------------------------------------------------------------
Total
Gross # % Current
Life Floor Loan Pool Balance
4.25% < Life Floor <= 4.50% 2 1.07 $225,051.17
4.75% < Life Floor <= 5.00% 4 1.35 $282,914.78
5.25% < Life Floor <= 5.50% 3 1.18 $248,203.49
5.50% < Life Floor <= 5.75% 5 3.15 $660,793.79
5.75% < Life Floor <= 6.00% 3 2.19 $461,121.78
6.00% < Life Floor <= 6.25% 4 2.02 $424,077.22
6.25% < Life Floor <= 6.50% 5 1.55 $324,881.62
6.50% < Life Floor <= 6.75% 9 4.74 $996,305.65
6.75% < Life Floor <= 7.00% 2 .68 $142,750.00
7.00% < Life Floor <= 7.25% 6 3.40 $713,620.65
7.25% < Life Floor <= 7.50% 3 1.25 $262,678.95
7.50% < Life Floor <= 7.75% 4 2.35 $493,105.42
7.75% < Life Floor <= 8.00% 1 .80 $167,926.66
8.00% < Life Floor <= 8.25% 4 2.53 $531,767.48
8.25% < Life Floor <= 8.50% 4 1.63 $343,100.00
8.50% < Life Floor <= 8.75% 5 1.48 $311,981.67
8.75% < Life Floor <= 9.00% 7 5.02 $1,055,487.02
9.00% < Life Floor <= 9.25% 6 2.23 $469,146.01
9.25% < Life Floor <= 9.50% 13 5.64 $1,184,416.59
9.50% < Life Floor <= 9.75% 13 5.10 $1,071,678.72
9.75% < Life Floor <= 10.00% 15 9.84 $2,067,449.70
10.00% < Life Floor <= 10.25% 8 4.34 $912,423.73
10.25% < Life Floor <= 10.50% 15 7.11 $1,494,195.43
10.50% < Life Floor <= 10.75% 10 5.58 $1,171,855.53
10.75% < Life Floor <= 11.00% 11 7.57 $1,590,059.02
11.00% < Life Floor <= 11.25% 8 4.20 $881,893.82
11.25% < Life Floor <= 11.50% 8 4.29 $901,606.75
11.50% < Life Floor <= 11.75% 5 2.57 $539,184.42
11.75% < Life Floor <= 12.00% 4 1.71 $359,451.41
12.25% < Life Floor <= 12.50% 4 1.04 $217,717.23
12.50% < Life Floor <= 12.75% 1 .24 $50,451.73
12.75% < Life Floor <= 13.00% 2 .49 $103,466.23
13.00% < Life Floor <= 13.25% 2 .48 $100,800.00
13.25% < Life Floor <= 13.50% 2 .94 $196,500.00
13.50% < Life Floor <= 13.75% 1 .25 $51,981.60
- -----------------------------------------------------------------
Total..... 199 100.00% $21,010,045.27
=================================================================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE>
COMBINED LTV RANGE
- ----------------------------------------------------------------
Total
LTV # % Current
RANGE Loan Pool Balance
5.000% < LTV <= 10.000 2 .02 $25.986.77
10.000% < LTV <= 15.000 4 .07 $85,956.18
15.000% < LTV <= 20.000 16 .38 $431,293.45
20.000% < LTV <= 25.000 23 .80 $912,744.53
25.000% < LTV <= 30.000 26 .75 $855,216.25
30.000% < LTV <= 35.000 37 1.38 $1,577,913.12
35.000% < LTV <= 40.000 47 2.00 $2,289,563.40
40.000% < LTV <= 45.000 46 2.18 $2,504,971.10
45.000% < LTV <= 50.000 78 3.89 $4,468,374.05
50.000% < LTV <= 55.000 94 4.96 $5,694,593.53
55.000% < LTV <= 60.000 113 6.56 $7,531,810.67
60.000% < LTV <= 65.000 158 10.37 $11,896,691.51
65.000% < LTV <= 70.000 185 11.65 $13,363,956.07
70.000% < LTV <= 75.000 225 16.36 $18,771,378.89
75.000% < LTV <= 80.000 353 28.04 $32,177,759.53
80.000% < LTV <= 85.000 80 6.21 $7,127,403.83
85.000% < LTV <= 90.000 42 4.39 $5,032,585.79
- ----------------------------------------------------------------
Total..... 1,529 100.00% $114,748,198.67
================================================================
GROSS COUPON
- ------------------------------------------------------------------------
Total
Gross # % Current
Coupon Loan Pool Balance
8.00% < Gross Coupon <= 8.25% 1 .05 $61,924.00
8.25% < Gross Coupon <= 8.50% 2 .13 $147,000.00
8.75% < Gross Coupon <= 9.00% 5 .34 $391,069.03
9.00% < Gross Coupon <= 9.25% 5 .31 $354,938.21
9.25% < Gross Coupon <= 9.50% 21 1.71 $1,958,031.71
9.50% < Gross Coupon <= 9.75% 30 2.58 $2,957,563.56
9.75% < Gross Coupon <= 10.00% 112 9.32 $10,690,464.57
10.00% < Gross Coupon <= 10.25% 33 2.23 $2,557,729.71
10.25% < Gross Coupon <= 10.50% 82 6.21 $7,121,995.53
10.50% < Gross Coupon <= 10.75% 77 5.04 $5,778,296.09
10.75% < Gross Coupon <= 11.00% 151 10.64 $12,207,721.53
11.00% < Gross Coupon <= 11.25% 40 2.84 $3,263,933.03
11.25% < Gross Coupon <= 11.50% 102 6.60 $7,575,216.20
11.50% < Gross Coupon <= 11.75% 73 5.49 $6,297,746.14
11.75% < Gross Coupon <= 12.00% 167 11.73 $13,460,438.85
12.00% < Gross Coupon <= 12.25% 43 2.74 $3,145,737.43
12.25% < Gross Coupon <= 12.50% 95 5.44 $6,241,489.81
12.50% < Gross Coupon <= 12.75% 62 3.32 $3,804,410.95
12.75% < Gross Coupon <= 13.00% 136 8.87 $10,178,927.15
13.00% < Gross Coupon <= 13.25% 44 2.62 $3,009,288.91
13.25% < Gross Coupon <= 13.50% 66 3.47 $3,980,047.46
13.50% < Gross Coupon <= 13.75% 20 .85 $970,570.68
13.75% < Gross Coupon <= 14.00% 49 2.16 $2,480,421.53
14.00% < Gross Coupon <= 14.25% 25 1.18 $1,348,348.69
14.25% < Gross Coupon <= 14.50% 26 1.24 $1,423,145.08
14.50% < Gross Coupon <= 14.75% 8 .33 $380,675.32
14.75% < Gross Coupon <= 15.00% 21 1.03 $1,186,087.58
15.00% < Gross Coupon <= 15.25% 6 .30 $347,734.98
15.25% < Gross Coupon <= 15.50% 8 .45 $519,224.68
15.50% < Gross Coupon <= 15.75% 6 .26 $295,619.08
15.75% < Gross Coupon <= 16.00% 9 .35 $403,607.15
16.25% < Gross Coupon <= 16.50% 1 .01 $14,943.94
16.75% < Gross Coupon <= 17.00% 1 .03 $34,930.89
17.00% < Gross Coupon <= 17.25% 1 .07 $76,941.98
18.25% < Gross Coupon <= 18.50% 1 .07 $81,977.22
- ------------------------------------------------------------------------
Total..... 1,529 100.00% $114,748,198.67
========================================================================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
<PAGE>
PROPERTY
- ------------------------------------------------------------------
Total
# % Current
Loan Feature Loan Pool Balance
1 Family 164 81.97 $17,222,109.68
2-4 Family 31 16.08 $3,377,989.37
Condo 4 1.95 $409,946.22
- ------------------------------------------------------------------
Total..... 199 100.00% $21,010,045.27
==================================================================
OCCUPANCY
- ------------------------------------------------------------------
Total
# % Current
Loan Pool Balance
Owner Occ. 173 87.73 $18,432,628.25
Non Owner Occ. 26 12.27 $2,577,417.02
- -------------------------------------------------------------------
Total..... 199 100.00% $21,010,045.27
===================================================================
GROSS MARGIN
- ---------------------------------------------------------------
Total
Gross # % Current
Margin Loan Pool Balance
4.25% < Gross Margin <= 4.50% 2 1.07 $225,051.17
4.50% < Gross Margin <= 4.75% 1 .20 $41,300.00
4.75% < Gross Margin <= 5.00% 9 4.09 $859,902.23
5.00% < Gross Margin <= 5.25% 3 1.01 $212,523.87
5.25% < Gross Margin <= 5.50% 15 5.60 $1,177,493.41
5.50% < Gross Margin <= 5.75% 12 6.89 $1,446,810.51
5.75% < Gross Margin <= 6.00% 16 7.29 $1,532,320.27
6.00% < Gross Margin <= 7.00% 63 35.20 $7,395,087.13
7.00% < Gross Margin <= 8.00% 52 30.04 $6,312,250.95
8.00% < Gross Margin <= 9.00% 19 6.21 $1,304,266.01
9.00% < Gross Margin <= 10.00% 7 2.39 $503,039.72
- ----------------------------------------------------------------
Total..... 199 100.00% $21,010,045.27
================================================================
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PRUDENTIAL SECURITIES INCORPORATED FINANCIAL
ADVISOR IMMEDIATELY.
THIS STRUCTURAL TERMSHEET SUPERSEDES ANY PREVIOUS STRUCTURAL TERMSHEETS, AND
WILL BE SUPERSEDED BY THE STRUCTURAL INFORMATION IN THE PROSPECTUS SUPPLEMENT.
