<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) June 25, 1997
Delta Funding Corporation
(Exact name of registrant as specified in its charter)
New York 333-3418 11-2609517
(State or other jurisdiction (Commission (IRS Employer
of incorporation) File Number) ID Number)
1000 Woodbury Road, Woodbury, New York 11797
(Address of principal executive offices) (Zip Code)
Registrant's Telephone Number,
including area code: (516) 364-8500
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) prepared by Donaldson, Lufkin
& Jenrette Securities Corporation, as an underwriter, in connection with the
issuance by Delta Funding Home Equity Loan Trust 1997-2 of Home Equity Loan
Asset-Backed Certificates, Series 1997-2. 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.
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 LLP regarding certain
tax matters.
23.2 Consent of Stroock & Stroock & Lavan LLP (included in
Exhibit 8.1).
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.
DELTA FUNDING CORPORATION
By: /s/ Richard Blass
-----------------------
Name: Richard Blass
Title: Senior Vice President
Dated: June 24, 1997
3
<PAGE>
EXHIBIT INDEX
Exhibit Page
8.1 Opinion of Stroock & Stroock & Lavan LLP regarding certain
tax matters.
23.2 Consent of Stroock & Stroock & Lavan LLP (included in
Exhibit 8.1).
99.1 Computational Materials.
<PAGE>
Exhibit 8.1
Stroock & Stroock & Lavan LLP
180 Maiden Lane
New York, New York 10038-4982
June 24, 1997
Delta Funding Corporation
1000 Woodbury Road
Woodbury, New York 11797
Re: Delta Funding Corporation
Registration Statement on Form S-3
(No. 333-3418)
-----------------------------------
Ladies and Gentlemen:
We have acted as counsel for Delta Funding Corporation ("Delta") in connection
with the issuance of $260,000,000 aggregate principal amount of Home Equity Loan
Asset-Backed Certificates, Series 1997-2 (the "Certificates"). A Registration
Statement on Form S-3 relating to the Certificates (No. 333-3418) (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 January 17, 1997. As set forth in the Prospectus
dated June 23, 1997 and the Prospectus Supplement dated June 23, 1997, the
Certificates will be issued by a trust established by Delta pursuant to the
provisions of a Pooling and Servicing Agreement dated as of May 31, 1997 (the
"Pooling and Servicing Agreement") between Delta, 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 "Federal Income Tax Considerations," and
in the Prospectus under the caption "Federal Income Tax Considerations," to the
extent that it constitutes matters of law or legal conclusions, is correct in
all material respects.
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.
<PAGE>
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 Delta 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 LLP
STROOCK & STROOCK & LAVAN LLP
<PAGE>
EXHIBIT 99.1
<PAGE>
DLJ
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DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
Delta Funding Home Equity Loan Trust 1997-2
Home Equity Loan Asset-Backed Certificates, Series 1997-2
DERIVED INFORMATION
$260,000,000 Certificates
Delta Funding Home Equity Loan Trust 1997-2
Home Equity Loan Asset-Backed Certificates, Series 1997-2
Delta Funding Corporation
as Seller and Servicer
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a
solicitation of an offer to buy any of the securities referred to herein.
Offers to sell and solicitations of offers to buy the securities are made
only by, and this information must be read in conjunction with, the final
Prospectus Supplement and the related Prospectus or, if not registered
under the securities laws, the final Offering Memorandum (the "Offering
Document"). Information contained herein is preliminary, does not purport
to be complete and is subject to the same qualifications and assumptions,
and should be considered by investors only in the light of the same
warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by third parties and has not been
independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been
prepared on the basis of certain assumptions (including, in certain cases,
assumptions specified by the recipient hereof) regarding payments, interest
rates, losses and other matters, including, but not limited to, the
assumptions described in the Offering Document. Donaldson, Lufkin &
Jenrette Securities Corporation, and any of its affiliates, make no
representation or warranty as to the actual rate or timing of payments on
any of the underlying assets or the payments or yield on the securities.
This information supersedes any prior versions hereof and will be deemed to
be superseded by any subsequent versions hereof including, with respect to
any description of the securities or underlying assets, the information
contained in the Offering Document.
<PAGE>
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
Delta Funding Home Equity Loan Trust 1997-2
Home Equity Loan Asset-Backed Certificates, Series 1997-2
$260,000,000
Delta Funding Home Equity Loan Trust 1997-2
Home Equity Loan Asset-Backed Certificates, Series 1997-2
<TABLE>
<CAPTION>
Bond Structure: Ratings S&P/FTC
WAL Modified
Approximate Tranche Mat./Call Duration Principal Principal Proposed Expected
Certificate Type Coupon (years) (yrs to Window Window Rating Legal
Class(1) Balance (1) (2,3) (4, 5,6) Mat.) (to (to S&P/FTC Final
(2,3,4) Maturity) Call)
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 71,000,000 Fixed Seq [TBD]% 1.0 0.94 22 22 AAA/AAA 5/25/12
A-2 24,000,000 Fixed Seq [TBD]% 2.17 1.96 9 9 AAA/AAA 6/25/12
A-3 30,000,000 Fixed Seq [TBD]% 3.18 2.77 20 20 AAA/AAA 9/25/20
A-4 18,375,000 Fixed Seq [TBD]% 4.97 4.05 25 25 AAA/AAA 12/25/24
A-5 16,625,000 Fixed Seq [TBD]% 9.99/7.80 6.69 119 28 AAA/AAA 6/25/29
A-6 NAS 17,500,000 Fixed Lock [TBD]% 7.01/6.71 5.27 142 63 AAA/AAA 6/25/29
A-7 (5) 50,000,000 Adjustable 1ML+[]% 3.37/*3.14 2.77 191 100 AAA/AAA 6/25/29
M-1 13,650,000 Fixed Mezz [TBD]% 6.07/5.58 4.59 129 64 AA/AA 6/25/29
M-2 7,150,000 Fixed Mezz [TBD]% 5.98/5.57 4.51 110 64 A/A+ 6/25/29
B-1 11,700,000 Fixed Sub [TBD]% 5.60/5.45 4.27 95 64 BBB/BBB 6/25/29
A-IO** -------------- Fixed Strip [TBD]% DLJ Sole Managed AAAr/AAA 6/25/29
Total 260,000,000
</TABLE>
*To Call ** Certificate not being offered hereby.
Fixed Rate Certificates:
(1) Classes A-1 through A-7, M-1, M-2, B-1 are collateralized
by both the fixed rate and adjustable rate loan pools.
Class A-1 through A-5 sequential pay; Class A-6 concurrent
pay starting month 37; Class M-1, M-2 and B-1 concurrent pay
starting in month 37 subject to subordination provisions,
certain credit enhancement requirements and trigger events.
Class A-7 concurrent pay starting month 1.
(2) Fixed Rate Certificates payable monthly starting 7/25/97. Fixed
Pass Through Rates (30/360) with accrued from [6/1/97].
(3) Adjustable Rate Certificate resets to one month LIBOR
(Actual/360) settling flat. After 10% Call Date, margin on Class
A-7 [doubles]. All coupon payments on the Class A-7 are subject
to Available Funds Cap on the Adjustable Rate Group.
(4) Fixed Rate Group 120% of Prepayment Assumption; Adjustable Rate
Group 125% Prepayment Assumption (100% Prepayment Assumption: 4%
CPR in month 1, and an additional 1.455% (precisely 16%/11) in
each month thereafter until month 12; on and thereafter, 20%
CPR).
(5) Class A-6 NAS allocation of senior principal distributions:
0% to month 36; 45% month 37 to month 60; 80% month 61 to
month 72; 100% month 73 to month 84; and 300% thereafter.
(6) Fixed rate classes priced to maturity; Adjustable rate class
priced to call.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE>
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
Delta Funding Home Equity Loan Trust 1997-2
Home Equity Loan Asset-Backed Certificates, Series 1997-2
<TABLE>
<CAPTION>
SUMMARY TERMS
<S> <C>
Underwriters: Donaldson, Lufkin & Jenrette Securities Corporation (Books)
Lehman Brothers
Prudential Securities Inc.
Seller and Servicer: Delta Funding Corporation
Trustee: Bankers Trust Company of California, N.A., a national banking association
Registration: Certificates will be available in book-entry form through DTC, Cedel & Euroclear
Cut-off Date: June [1], 1997
Pricing Date: June [12], 1997
Settlement Date: June [26], 1997
Distribution Dates: [25]th day of each month (or the next succeeding business day), commencing July [25], 1997
Optional Termination: 10% optional clean-up call (outstanding mortgage pool balance is less than 10% of the
initial mortgage pool balance as of the Cut-off Date).
Mortgage Loans: Fixed and adjustable rate (closed-end) home equity mortgage loans.
ERISA Eligibility: Subject to the considerations and conditions described in the Prospectus Supplement, it is
expected that the Class A Certificates may be purchased under certain conditions by employee
benefit plans that are subject to ERISA.
SMMEA Treatment: The Certificates will not constitute "mortgage related securities" for purposes of SMMEA.
Taxation: REMIC Election.
Adjustable Rate The weighted average of the net Coupon Rates (net of Servicing: 0.50%, Trustee Fee:
Certificate Available 0.00625%, and credit enhancement carveout: 0.50%) on the loans in the Adjustable Rate Loan
Funds Cap: Group for such Remittance Period (the "ARM Net WAC").
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE>
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
Delta Funding Home Equity Loan Trust 1997-2
Home Equity Loan Asset-Backed Certificates, Series 1997-2
CREDIT ENHANCEMENT:
Senior Classes (Class A-1 through A-7)
1. Excess spread;
2. Overcollateralization initially building to [1.35]% of
the total initial pool balances (i.e. the sum of the
initial Fixed Rate Group and initial Adjustable Rate
Group);
3. Subordination of mezzanine and subordinate classes: M-1,
M-2, B-1, totaling [12.50]% of the initial pool
balance.
Mezzanine and Subordinate Classes (Class M-1, M-2, B-1)
1. Excess spread;
2. Class M-1 is further enhanced by an initial [7.25]% in
subordinate certificates and O/C building to [1.35]% of
initial pool balance;
3. Class M-2 is further enhanced by an initial [4.50]% in
subordinate certificates and O/C building to [1.35]% of
initial pool balance;
4. Class B-1 is further enhanced by O/C building to [1.35]%
of initial pool balance.
EXPECTED CREDIT ENHANCEMENT LEVELS:
Bond Rating (S&P/FTC) Percent of Transaction
AAA/AAA [87.5%]
AA/AA [5.25%]
A/A+ [2.75%]
BBB/BBB [4.50%]
OVERCOLLATERALIZATION:
1. Before the Step-down date (on or after July 2000) and prior to month 37,
overcollateralization initially builds to [1.35]% of the initial pool loan
balance (subject to step-up upon certain performance related events);
starting month 37 and prior to the Step-down date, if applicable, the
overcollateralization target decreases to [1.00]% of the total initial pool
balances (i.e., the sum of the initial Fixed Rate Group and initial
Adjustable Rate Group).
2. On or after the Step-down date, the required overcollateralization is [2.0]%
of the then current pool's outstanding balance subject to certain performance
triggers.
3. Step-down overcollateralization is subject to a floor of 0.50% of
initial pool balance for the combined Loan Groups.
SUMMARY WATERFALL:
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE>
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
Delta Funding Home Equity Loan Trust 1997-2
Home Equity Loan Asset-Backed Certificates, Series 1997-2
<TABLE>
<S> <C>
Interest The total interest collections (net of the Servicing Fee) shall be allocated in the following
Allocations: priority to the extent of amounts available
(i) Payment of Trustee Fee;
(ii) Current Interest and Overdue Interest on the Class AIO Certificates
(iii) Current Interest and Overdue Interest on the Class A Certificates, pro-rata without any
priority;
(iv) Current Interest on the Class M-1 Certificates;
(v) Current Interest on the Class M-2 Certificates;
(vi) Current Interest on the Class B Certificates;
(vii) As accelerated distribution of principal on the Class A Certificates, Class M-1
Certificates, Class M-2 Certificates, and Class B Certificates in such priority as
required to reach and maintain the targeted overcollateralization amount;
(viii) Overdue Interest, to the extent there is any due to the Class M-1 Certificates;
(ix) Reimbursement of Realized Loss Amount, to the extent there is any, to the Class M-1
Certificates;
(x) Overdue Interest, to the extent there is any due to the Class M-2 Certificates;
(xi) Reimbursement of Realized Loss Amount, to the extent there is any, to the Class M-2
Certificates;
(xii) Overdue Interest, to the extent there is any due to the Class B Certificates;
(xiii) Reimbursement of Realized Loss Amount, to the extent there is any, to the Class B
Certificates;
(xiv) Servicer advancing reimbursement; and
(xv) Remaining amounts to the owner of the Class C-IO/R Certificates (not being offered hereby).
Principal Principal collections shall be allocated in the following priority to the extent of amounts
Allocations: available:
For periods prior to the Step-Down Date (on or after July 2000) or upon a Trigger Event:
(i) To the Class A Certificates:
First: to the Class A-7 Adjustable Rate Certificates, the greater of (a) the pro-rata share
of the Class A Principal Distribution Amount (i.e., pro-rata defined as the Class A-7
Adjustable Rate Certificate balance divided by the sum of the outstanding balance of all
Class A Certificates), and (b) the amount by which the outstanding balance of the Class A-7
Adjustable Rate Certificates exceeds the Adjustable Rate Loan Group's outstanding pool
balance as of the end of the due period;
SUMMARY WATERFALL CONTINUED:
Second: to the Class A-6 Fixed Rate Certificates, according to the following Lockout
</TABLE>
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This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE>
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
Delta Funding Home Equity Loan Trust 1997-2
Home Equity Loan Asset-Backed Certificates, Series 1997-2
<TABLE>
<S> <C>
Percentage the applicable percentage of the Class A Principal Distribution Amount
remaining after clause First (above):
Window Lockout Percentage
July 1997 -- June 2000 0%
July 2000 -- June 2002 45%
July 2002 -- June 2003 80%
July 2003 -- June 2004 100%
July 2004 -- to maturity 300%
Third: to the Class A-1 to A-6 Fixed Rate Certificates sequentially, the remaining Class A
Principal Distribution Amount after clause First and Second above until such Certificate
principal balances are equal to zero;
(ii) To the Class M-1 Certificates, all principal collections until such Class is equal to
zero;
(iii) To the Class M-2 Certificates, all principal collections until such Class is equal to
zero, and
(iv) To the Class B Certificates, all principal collections until such Class is equal to zero;
For periods on and after the Step-Down Date and no Trigger Event:
(i) To the Class A Certificates, pursuant to paragraph (i) above under Principal
Allocations ;
(ii) To the Class M-1 Certificates, the lesser of (a) the remaining Principal Distribution
Amount and (b) the Class M-1 Principal Distribution Amount (an amount required to
maintain 2 times initial credit support);
(iii) To the Class M-2 Certificates, the lesser of (a) the remaining Principal
Distribution Amount and (b) the Class M-2 Principal Distribution Amount (an amount
required to maintain 2 times initial credit support);
(iv) To the Class B Certificates, the lesser of (a) the remaining Principal Distribution
Amount and (b) the Class B Principal Distribution Amount (an amount required to maintain
2 times initial credit support);
(v) Any remaining amounts shall be paid to the Class C-IO/R Certificate (not being offered
hereby)
O/C Floor: Upon reaching the overcollateralization floor, (generally 50bp times the initial principal
balance of the combined mortgage pool) excess principal collection associated with the
overcollateralization shall be paid in reverse sequential order (i.e. to the Class B, M-2, M-1,
and A until each prior certificate balance has been reduced to zero).
</TABLE>
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This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE>
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
Delta Funding Home Equity Loan Trust 1997-2
Home Equity Loan Asset-Backed Certificates, Series 1997-2
SUMMARY WATERFALL CONTINUED:
<TABLE>
<S> <C>
Loss Allocations: Losses shall be allocated in the following priority:
(i) as a reduction to current period excess spread;
(ii) as a reduction to the Overcollateralization Amount;
(iii) as a reduction to the Class B Certificate Balance;
(iv) as a reduction to the Class M-2 Certificate Balance;
(v) as a reduction to the Class M-1 Certificate Balance; and
(vi) as a reduction to the Class A Certificate Balances (pro-rata).
<CAPTION>
CREDIT ENHANCEMENT:
Targeted Percent of Pool Target Credit Enhancement
(as a % of Outstanding Pool (as a % of Outstanding Pool
Balance) Balance)
<S> <C> <C>
Class A [73.0%] [27.0%]
Class M-1 [10.5%] [16.5%]
Class M-1 [5.5%] [11.0%]
Class B-1 [9.0%] [2.0%]
Overcollateralization [2.0%]
------
100%
</TABLE>
STEP-DOWN DATE:
Step-down date occurs the earlier of the following:
1. the later of
a) three years (July 2000) or
b) when credit enhancement reaches its Target Credit Enhancement
(described above) and
2. when the Class A certificates are retired in full.
TRIGGER EVENTS:
Trigger Events are to be finalized with the rating agencies and are expected to
include certain performance events which restrict the overcollateralization
Step-down in certain delinquency and/or loss scenarios thereby increasing credit
support for all Classes and/or certain restrictions associated with the
allocation of periodic principal payments.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE>
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
Delta Funding Home Equity Loan Trust 1997-2
Home Equity Loan Asset-Backed Certificates, Series 1997-2
AVAILABLE FUNDS CAP*
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
Period Avail Funds Cap Period Avail Funds Cap Period Avail Funds Cap
2 9.759% 27 13.678% 52 15.757%
3 9.766% 28 13.705% 53 15.757%
4 9.788% 29 13.815% 54 15.757%
5 9.843% 30 14.144% 55 15.759%
6 10.004% 31 14.653% 56 15.759%
7 10.709% 32 14.657% 57 15.759%
8 10.711% 33 14.661% 58 15.759%
9 10.716% 34 14.687% 59 15.759%
10 10.738% 35 14.797% 60 15.759%
11 10.793% 36 15.117% 61 15.759%
12 10.938% 37 15.349% 62 15.759%
13 11.339% 38 15.353% 63 15.759%
14 11.341% 39 15.355% 64 15.759%
15 11.345% 40 15.358% 65 15.759%
16 11.366% 41 15.421% 66 15.759%
17 11.420% 42 15.607% 67 15.759%
18 11.565% 43 15.731% 68 15.759%
19 11.966% 44 15.733% 69 15.759%
20 11.968% 45 15.733% 70 15.759%
21 11.978% 46 15.733% 71 15.759%
22 12.012% 47 15.735% 72 15.759%
23 12.226% 48 15.754% 73 15.759%
24 12.906% 49 15.756% 74 15.759%
25 13.665% 50 15.757% 75 15.759%
26 13.672% 51 15.757% 76 15.759%
</TABLE>
* Achieved assuming 1 and 6 month LIBOR increase to a level beyond the highest
maximum obtainable rate on the underlying adjustable rate mortgage loans
(beginning month 2); run at the pricing speed.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE>
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
Delta Funding Home Equity Loan Trust 1997-2
Home Equity Loan Asset-Backed Certificates, Series 1997-2
AVAILABLE FUNDS CAP*
<TABLE>
<CAPTION>
Period Avail Funds Cap Period Avail Funds Cap Period Avail Funds Cap
<S> <C> <C> <C> <C> <C>
77 15.759% 101 15.759% 125 15.759%
78 15.759% 102 15.759% 126 15.759%
79 15.759% 103 15.759% 127 15.759%
80 15.759% 104 15.759% 128 15.759%
81 15.759% 105 15.759% 129 15.759%
82 15.759% 106 15.759% 130 15.759%
83 15.759% 107 15.759% 131 15.759%
84 15.759% 108 15.759% 132 15.759%
85 15.759% 109 15.759% 133 15.759%
86 15.759% 110 15.759% 134 15.759%
87 15.759% 111 15.759% 135 15.759%
88 15.759% 112 15.759% 136 15.759%
89 15.759% 113 15.759% 137 15.759%
90 15.759% 114 15.759% 138 15.759%
91 15.759% 115 15.759% 139 15.759%
92 15.759% 116 15.759% 140 15.759%
93 15.759% 117 15.759% 141 15.759%
94 15.759% 118 15.759% 142 15.759%
95 15.759% 119 15.759% 143 15.759%
96 15.759% 120 15.759% 144 15.759%
97 15.759% 121 15.759% 145 15.759%
98 15.759% 122 15.759% 146 15.759%
99 15.759% 123 15.759% 147 15.759%
100 15.759% 124 15.759% 148 15.759%
</TABLE>
* Achieved assuming 1 and 6 month LIBOR increase to a level beyond the highest
maximum obtainable rate on the underlying adjustable rate mortgage loans
(beginning month 2); run at the pricing speed.
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE>
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
Delta Funding Home Equity Loan Trust 1997-2
Home Equity Loan Asset-Backed Certificates, Series 1997-2
<TABLE>
<CAPTION>
Bond Summary:
<S> <C> <C> <C> <C> <C> <C> <C>
Class A-1 (to Maturity):
% of Prepayment Assumption on Fixed Rate 0% 75% 100% 120% 150% 175% 200%
% of Prepayment Assumption on Adjustable Rate 0% 75% 100% 125% 150% 175% 200%
Implied Seasoned CPR 0% 15% 20% 24/25% 30% 35% 40%
Average Life (yrs.) 10.24 1.43 1.15 1.00 0.86 0.78 0.71
Modified Duration (yrs.) 6.82 1.31 1.07 0.94 0.81 0.73 0.67
First Principal Payment Date 7/25/97 7/25/97 7/25/97 7/25/97 7/25/97 7/25/97 7/25/97
Last Principal Payment Date 5/25/12 3/25/00 8/25/99 4/25/99 12/25/98 10/25/98 9/25/98
Payment Window (mos.) 179 33 26 22 18 16 15
Yield @ 100 6.668 6.395 6.319 6.261 6.188 6.130 6.076
Class A-2 (to Maturity):
% of Prepayment Assumption on Fixed Rate 0% 75% 100% 120% 150% 175% 200%
% of Prepayment Assumption on Adjustable Rate 0% 75% 100% 125% 150% 175% 200%
Implied Seasoned CPR 0% 15% 20% 24/25% 30% 35% 40%
Average Life (yrs.) 14.93 3.36 2.57 2.17 1.79 1.57 1.40
Modified Duration (yrs.) 9.17 2.92 2.29 1.96 1.64 1.45 1.30
First Principal Payment Date 5/25/12 3/25/00 8/25/99 4/25/99 12/25/98 10/25/98 9/25/98
Last Principal Payment Date 6/25/12 6/25/01 6/25/00 12/25/99 7/25/99 4/25/99 1/25/99
Payment Window (mos.) 2 16 11 9 8 7 5
Yield @ 100 6.766 6.661 6.619 6.586 6.542 6.505 6.470
Class A-3(to Maturity):
% of Prepayment Assumption on Fixed Rate 0% 75% 100% 120% 150% 175% 200%
% of Prepayment Assumption on Adjustable Rate 0% 75% 100% 125% 150% 175% 200%
Implied Seasoned CPR 0% 15% 20% 24/25% 30% 35% 40%
Average Life (yrs.) 17.73 5.23 3.90 3.18 2.48 2.14 1.88
Modified Duration (yrs.) 9.93 4.25 3.31 2.77 2.21 1.93 1.71
First Principal Payment Date 6/25/12 6/25/01 6/25/00 12/25/99 7/25/99 4/25/99 1/25/99
Last Principal Payment Date 6/25/19 5/25/04 7/25/02 7/25/01 5/25/00 12/25/99 8/25/99
Payment Window (mos.) 85 36 26 20 11 9 8
Yield @ 100 6.903 6.841 6.811 6.784 6.742 6.712 6.682
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE>
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
Delta Funding Home Equity Loan Trust 1997-2
Home Equity Loan Asset-Backed Certificates, Series 1997-2
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
Class A-4(to Maturity):
% of Prepayment Assumption on Fixed Rate 0% 75% 100% 120% 150% 175% 200%
% of Prepayment Assumption on Adjustable Rate 0% 75% 100% 125% 150% 175% 200%
Implied Seasoned CPR 0% 15% 20% 24/25% 30% 35% 40%
Average Life (yrs.) 24.78 9.37 6.34 4.97 3.79 2.85 2.44
Modified Duration (yrs.) 11.28 6.59 4.92 4.05 3.21 2.50 2.17
First Principal Payment Date 6/25/19 5/25/04 7/25/02 7/25/01 5/25/00 12/25/99 8/25/99
Last Principal Payment Date 6/25/24 6/25/09 2/25/06 7/25/03 1/25/02 3/25/01 2/25/00
Payment Window (mos.) 61 62 44 25 21 16 7
Yield @ 100 7.205 7.175 7.151 7.130 7.099 7.057 7.028
Class A-5(to Maturity):
% of Prepayment Assumption on Fixed Rate 0% 75% 100% 120% 150% 175% 200%
% of Prepayment Assumption on Adjustable Rate 0% 75% 100% 125% 150% 175% 200%
Implied Seasoned CPR 0% 15% 20% 24/25% 30% 35% 40%
Average Life (yrs.) 28.54 15.38 12.39 9.99 7.06 4.89 3.44
Modified Duration (yrs.) 11.49 8.81 7.76 6.69 5.17 3.93 2.92
First Principal Payment Date 6/25/24 6/25/09 2/25/06 7/25/03 1/25/02 3/25/01 2/25/00
Last Principal Payment Date 4/25/27 11/25/20 4/25/16 5/25/13 10/25/11 8/25/09 4/25/02
Payment Window (mos.) 35 138 123 119 118 102 27
Yield @ 100 7.513 7.500 7.492 7.482 7.461 7.430 7.387
Class A-6(to Maturity):
% of Prepayment Assumption on Fixed Rate 0% 75% 100% 120% 150% 175% 200%
% of Prepayment Assumption on Adjustable Rate 0% 75% 100% 125% 150% 175% 200%
Implied Seasoned CPR 0% 15% 20% 24/25% 30% 35% 40%
Average Life (yrs.) 12.87 7.91 7.34 7.01 6.80 6.85 6.22
Modified Duration (yrs.) 8.05 5.74 5.45 5.27 5.16 5.18 4.83
First Principal Payment Date 10/25/00 7/25/00 7/25/00 8/25/00 11/25/00 2/25/01 5/25/01
Last Principal Payment Date 2/25/27 7/25/20 2/25/16 5/25/12 9/25/11 7/25/09 12/25/07
Payment Window (mos.) 317 241 188 142 131 102 80
Yield @ 100 7.147 7.124 7.119 7.116 7.114 7.115 7.108
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE>
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
Delta Funding Home Equity Loan Trust 1997-2
Home Equity Loan Asset-Backed Certificates, Series 1997-2
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
Class A-7(to Maturity):
% of Prepayment Assumption on Fixed Rate 0% 75% 100% 120% 150% 175% 200%
% of Prepayment Assumption on Adjustable Rate 0% 75% 100% 125% 150% 175% 200%
Implied Seasoned CPR 0% 15% 20% 24/25% 30% 35% 40%
Average Life (yrs.) 15.62 5.10 4.01 3.37 2.73 2.31 1.98
Modified Duration (yrs.) 9.31 3.89 3.19 2.77 2.31 2.00 1.74
First Principal Payment Date 7/25/97 7/25/97 7/25/97 7/25/97 7/25/97 7/25/97 7/25/97
Last Principal Payment Date 4/25/27 11/25/20 4/25/16 5/25/13 10/25/11 8/25/09 12/25/07
Payment Window (mos.) 358 281 226 191 172 146 126
Yield @ 100 6.070 6.075 6.078 6.080 6.081 6.082 6.082
Class M-1(to Maturity):
% of Prepayment Assumption on Fixed Rate 0% 75% 100% 120% 150% 175% 200%
% of Prepayment Assumption on Adjustable Rate 0% 75% 100% 125% 150% 175% 200%
Implied Seasoned CPR 0% 15% 20% 24/25% 30% 35% 40%
Average Life (yrs.) 21.60 9.18 7.25 6.07 5.04 4.54 4.29
Modified Duration (yrs.) 10.34 6.24 5.24 4.59 3.98 3.68 3.54
First Principal Payment Date 5/25/12 11/25/01 10/25/00 7/25/00 9/25/00 10/25/00 12/25/00
Last Principal Payment Date 12/25/26 7/25/15 6/25/12 3/25/11 7/25/08 10/25/06 6/25/05
Payment Window (mos.) 176 165 141 129 95 73 55
Yield @ 100 7.385 7.354 7.340 7.326 7.310 7.300 7.295
Class M-2(to Maturity):
% of Prepayment Assumption on Fixed Rate 0% 75% 100% 120% 150% 175% 200%
% of Prepayment Assumption on Adjustable Rate 0% 75% 100% 125% 150% 175% 200%
Implied Seasoned CPR 0% 15% 20% 24/25% 30% 35% 40%
Average Life (yrs.) 21.58 9.08 7.19 5.98 4.94 4.39 4.06
Modified Duration (yrs.) 10.12 6.14 5.17 4.51 3.90 3.56 3.35
First Principal Payment Date 5/25/12 11/25/01 10/25/00 7/25/00 8/25/00 9/25/00 10/25/00
Last Principal Payment Date 9/25/26 6/25/13 1/25/12 8/25/09 4/25/07 9/25/05 7/25/04
Payment Window (mos.) 173 140 136 110 81 61 46
Yield @ 100 7.641 7.608 7.593 7.579 7.561 7.549 7.540
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE>
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
Delta Funding Home Equity Loan Trust 1997-2
Home Equity Loan Asset-Backed Certificates, Series 1997-2
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
Class B-1(to Maturity):
% of Prepayment Assumption on Fixed Rate 0% 75% 100% 120% 150% 175% 200%
% of Prepayment Assumption on Adjustable Rate 0% 75% 100% 125% 150% 175% 200%
Implied Seasoned CPR 0% 15% 20% 24/25% 30% 35% 40%
Average Life (yrs.) 21.27 8.72 6.73 5.60 4.61 4.08 3.74
Modified Duration (yrs.) 9.81 5.92 4.91 4.27 3.67 3.34 3.11
First Principal Payment Date 5/25/12 11/25/01 10/25/00 7/25/00 7/25/00 7/25/00 7/25/00
Last Principal Payment Date 4/25/26 6/25/12 7/25/10 5/25/08 3/25/06 11/25/04 10/25/03
Payment Window (mos.) 168 128 118 95 69 53 40
Yield @ 100 7.978 7.942 7.924 7.908 7.888 7.874 7.862
Class A-5(to Call):
% of Prepayment Assumption on Fixed Rate 0% 75% 100% 120% 150% 175% 200%
% of Prepayment Assumption on Adjustable Rate 0% 75% 100% 125% 150% 175% 200%
Implied Seasoned CPR 0% 15% 20% 24/25% 30% 35% 40%
Average Life (yrs.) 27.39 12.92 9.85 7.80 5.82 4.68 3.44
Modified Duration (yrs.) 11.36 8.05 6.76 5.72 4.56 3.82 2.92
First Principal Payment Date 6/25/24 6/25/09 2/25/06 7/25/03 1/25/02 3/25/01 2/25/00
Last Principal Payment Date 11/25/24 6/25/10 6/25/07 10/25/05 2/25/04 1/25/03 4/25/02
Payment Window (mos.) 6 13 17 28 26 23 27
Yield @ 100 7.513 7.495 7.483 7.470 7.448 7.427 7.387
Class A-6(to Call):
% of Prepayment Assumption on Fixed Rate 0% 75% 100% 120% 150% 175% 200%
% of Prepayment Assumption on Adjustable Rate 0% 75% 100% 125% 150% 175% 200%
Implied Seasoned CPR 0% 15% 20% 24/25% 30% 35% 40%
Average Life (yrs.) 12.87 7.85 7.17 6.71 5.97 5.30 4.76
Modified Duration (yrs.) 8.05 5.72 5.37 5.12 4.70 4.28 3.91
First Principal Payment Date 10/25/00 7/25/00 7/25/00 8/25/00 11/25/00 2/25/01 5/25/01
Last Principal Payment Date 11/25/24 6/25/10 6/25/07 10/25/05 2/25/04 1/25/03 4/25/02
Payment Window (mos.) 290 120 84 63 40 24 12
Yield @ 100 7.147 7.123 7.118 7.114 7.105 7.095 7.085
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE>
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
Delta Funding Home Equity Loan Trust 1997-2
Home Equity Loan Asset-Backed Certificates, Series 1997-2
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
Class A-7(to Call):
% of Prepayment Assumption on Fixed Rate 0% 75% 100% 120% 150% 175% 200%
% of Prepayment Assumption on Adjustable Rate 0% 75% 100% 125% 150% 175% 200%
Implied Seasoned CPR 0% 15% 20% 24/25% 30% 35% 40%
Average Life (yrs.) 15.51 4.86 3.75 3.14 2.53 2.14 1.84
Modified Duration (yrs.) 9.29 3.79 3.07 2.64 2.20 1.89 1.65
First Principal Payment Date 7/25/97 7/25/97 7/25/97 7/25/97 7/25/97 7/25/97 7/25/97
Last Principal Payment Date 11/25/24 6/25/10 6/25/07 10/25/05 2/25/04 1/25/03 4/25/02
Payment Window (mos.) 329 156 120 100 80 67 58
Yield @ 100 6.069 6.069 6.069 6.070 6.070 6.070 6.069
Class M-1(to Call):
% of Prepayment Assumption on Fixed Rate 0% 75% 100% 120% 150% 175% 200%
% of Prepayment Assumption on Adjustable Rate 0% 75% 100% 125% 150% 175% 200%
Implied Seasoned CPR 0% 15% 20% 24/25% 30% 35% 40%
Average Life (yrs.) 21.35 8.73 6.69 5.58 4.64 4.19 4.00
Modified Duration (yrs.) 10.31 6.09 5.01 4.36 3.77 3.48 3.35
First Principal Payment Date 5/25/12 11/25/01 10/25/00 7/25/00 9/25/00 10/25/00 12/25/00
Last Principal Payment Date 11/25/24 6/25/10 6/25/07 10/25/05 2/25/04 1/25/03 4/25/02
Payment Window (mos.) 151 104 81 64 42 28 17
Yield @ 100 7.385 7.353 7.335 7.321 7.303 7.292 7.287
Class M-2(to Call):
% of Prepayment Assumption on Fixed Rate 0% 75% 100% 120% 150% 175% 200%
% of Prepayment Assumption on Adjustable Rate 0% 75% 100% 125% 150% 175% 200%
Implied Seasoned CPR 0% 15% 20% 24/25% 30% 35% 40%
Average Life (yrs.) 21.35 8.73 6.69 5.57 4.61 4.10 3.82
Modified Duration (yrs.) 10.10 6.02 4.97 4.32 3.72 3.39 3.20
First Principal Payment Date 5/25/12 11/25/01 10/25/00 7/25/00 8/25/00 9/25/00 10/25/00
Last Principal Payment Date 11/25/24 6/25/10 6/25/07 10/25/05 2/25/04 1/25/03 4/25/02
Payment Window (mos.) 151 104 81 64 43 29 19
Yield @ 100 7.640 7.607 7.589 7.574 7.555 7.542 7.533
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE>
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
Delta Funding Home Equity Loan Trust 1997-2
Home Equity Loan Asset-Backed Certificates, Series 1997-2
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
Class B-1(to Call):
% of Prepayment Assumption on Fixed Rate 0% 75% 100% 120% 150% 175% 200%
% of Prepayment Assumption on Adjustable Rate 0% 75% 100% 125% 150% 175% 200%
Implied Seasoned CPR 0% 15% 20% 24/25% 30% 35% 40%
Average Life (yrs.) 21.17 8.55 6.55 5.45 4.49 3.97 3.65
Modified Duration (yrs.) 9.80 5.86 4.84 4.20 3.61 3.27 3.05
First Principal Payment Date 5/25/12 11/25/01 10/25/00 7/25/00 7/25/00 7/25/00 7/25/00
Last Principal Payment Date 11/25/24 6/25/10 6/25/07 10/25/05 2/25/04 1/25/03 4/25/02
Payment Window (mos.) 151 104 81 64 44 31 22
Yield @ 100 7.978 7.941 7.923 7.906 7.885 7.870 7.859
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE>
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
Delta Funding Home Equity Loan Trust 1997-2
Home Equity Loan Asset-Backed Certificates, Series 1997-2
Collateral Summary - Fixed Rate Home Equity Loan
Characteristics as of 6/1/97
<TABLE>
<CAPTION>
Fixed Rate Home Equity Loan Characteristics as of 6/1/97
<S> <C> <C> <C>
Total Number of Loans 2,053
Total Outstanding Loan Balance $152,163,541.58
Balloon (% of Total) 42.79%
Level Pay (% of Total) 57.21% Min Max
Average Loan Original Balance $74,244.52 $10,000.00 $ 360,000.00
Average Loan Current Balance $74,117.65 $9,763.84 $ 359,610.58
Weighted Average Combined LTV 70.49% 5.42% 90.00%
Weighted Average Coupon 11.36% 8.25% 17.45%
Weighted Average Remaining Term to 232.2 56 360
Maturity (months)
Weighted Average Seasoning (months) 1.2 0 8
Weighted Average Original Term (months) 233.4 60 360
Range of Original Terms Level Pay 100.00% Balloons 100%
0+ to 60 0.22% 84 0.09%
60+ to 120 1.79% 180 99.91%
120+ to 180 21.47%
180+ to 240 35.19%
240+ to 300 1.16%
300+ to 360 40.17%
Lien Position
1st Lien 90.88%
2nd Lien 9.12%
Property Type
Single Family 65.90%
Multi Family 28.65%
Mixed Use 3.76%
Condo 1.65%
Mobile Home 0.04%
Occupancy Status
Owner Occupied 85.58%
Non-Owner Occupied 14.42%
Geographic Concentration
(states not listed individually account for NY 45.25%
less than 4% of the pool balance) NJ 9.04%
OH 8.85%
FL 4.89%
PA 4.17%
Credit Quality (per Delta's
underwriting guidelines)
A 48.78%
B 28.17%
C 17.50%
D 5.55%
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE>
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
Delta Funding Home Equity Loan Trust 1997-2
Home Equity Loan Asset-Backed Certificates, Series 1997-2
Detailed Collateral Summary -- Fixed Rate Home Equity Loan
Characteristics as of 6/1/97
<TABLE>
<CAPTION>
Loan Count Loan Balance Percent of Total
<S> <C> <C> <C> <C> <C> <C>
Current Balance 0.00+ to 50,000.00 785 26,647,120.94 17.51
50,000.00+ to 100,000.00 804 57,067,693.83 37.50
100,000.00+ to 150,000.00 301 36,713,301.65 24.13
150,000.00+ to 200,000.00 117 20,392,081.10 13.40
200,000.00+ to 250,000.00 30 6,662,669.33 4.38
250,000.00+ to 300,000.00 9 2,385,955.59 1.57
300,000.00+ to 350,000.00 6 1,935,108.56 1.27
350,000.00+ to 400,000.00 1 359,610.58 0.24
Total 2,053 152,163,541.58 100.00
Original Balance 0.00+ to 50,000.00 782 26,497,328.42 17.41
50,000.00+ to 100,000.00 806 57,117,524.37 37.54
100,000.00+ to 150,000.00 302 36,813,263.63 24.19
150,000.00+ to 200,000.00 117 20,392,081.10 13.40
200,000.00+ to 250,000.00 30 6,662,669.33 4.38
250,000.00+ to 300,000.00 9 2,385,955.59 1.57
300,000.00+ to 350,000.00 6 1,935,108.56 1.27
350,000.00+ to 400,000.00 1 359,610.58 0.24
Total 2,053 152,163,541.58 100.00
Interest Rate(Gross) 8.000+ to 8.500 14 1,263,301.01 0.83
8.500+ to 9.000 69 6,225,118.40 4.09
9.000+ to 9.500 87 7,081,772.54 4.65
9.500+ to 10.000 213 17,331,804.10 11.39
10.000+ to 10.500 188 16,145,044.63 10.61
10.500+ to 11.000 319 24,187,572.49 15.90
11.000+ to 11.500 238 17,244,265.50 11.33
11.500+ to 12.000 264 18,858,685.07 12.39
12.000+ to 12.500 168 12,248,791.97 8.05
12.500+ to 13.000 201 14,063,428.05 9.24
13.000+ to 13.500 99 6,564,244.41 4.31
13.500+ to 14.000 81 5,255,078.13 3.45
14.000+ to 14.500 36 2,018,222.49 1.33
14.500+ to 15.000 36 1,653,045.63 1.09
15.000+ to 15.500 14 550,581.85 0.36
15.500+ to 16.000 18 1,163,300.79 0.76
16.000+ to 16.500 2 30,982.21 0.02
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE>
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
Delta Funding Home Equity Loan Trust 1997-2
Home Equity Loan Asset-Backed Certificates, Series 1997-2
Detailed Collateral -- Summary Fixed Rate Home Equity Loan
Characteristics as of 6/1/97
<TABLE>
<CAPTION>
Loan Count Loan Balance Percent of Total
<S> <C> <C> <C> <C> <C> <C>
Interest Rate (Gross)16.500+ to 17.000 3 153,321.77 0.10
(cont'd) 17.000+ to 17.500 3 124,980.54 0.08
Total 2,053 152,163,541.58 100.00
Combined LTV 5.0+ to 10.0 3 40,623.04 0.03
10.0+ to 15.0 3 69,873.42 0.05
15.0+ to 20.0 20 517,462.06 0.34
20.0+ to 25.0 22 684,571.73 0.45
25.0+ to 30.0 22 1,078,701.13 0.71
30.0+ to 35.0 30 1,299,286.04 0.85
35.0+ to 40.0 55 2,711,874.74 1.78
40.0+ to 45.0 50 2,784,813.90 1.83
45.0+ to 50.0 91 5,680,900.46 3.73
50.0+ to 55.0 101 6,324,705.92 4.16
55.0+ to 60.0 143 10,830,511.40 7.12
60.0+ to 65.0 174 15,353,883.50 10.09
65.0+ to 70.0 287 21,223,357.27 13.95
70.0+ to 75.0 278 19,211,438.55 12.63
75.0+ to 80.0 463 36,716,237.73 24.13
80.0+ to 85.0 185 15,705,708.83 10.32
85.0+ to 90.0 126 11,929,591.86 7.84
Total 2,053 152,163,541.58 100.00
State AR 4 154,035.82 0.10
AZ 10 484,787.07 0.32
CA 2 171,766.59 0.11
CO 16 999,966.30 0.66
CT 35 2,638,404.02 1.73
DC 9 1,000,269.92 0.66
DE 5 408,532.81 0.27
FL 97 7,447,276.69 4.89
GA 69 3,736,636.80 2.46
IL 74 5,075,568.82 3.34
IN 56 3,075,394.03 2.02
KS 3 86,892.77 0.06
KY 23 1,000,647.10 0.66
MA 38 2,716,088.75 1.78
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE>
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
Delta Funding Home Equity Loan Trust 1997-2
Home Equity Loan Asset-Backed Certificates, Series 1997-2
Detailed Collateral Summary -- Fixed Rate Home Equity Loan
Characteristics as of 6/1/97
<TABLE>
<CAPTION>
Loan Count Loan Balance Percent of Total
<S> <C> <C> <C> <C> <C> <C>
State (cont'd) MD 30 2,553,516.70 1.68
ME 13 654,159.22 0.43
MI 79 3,993,016.35 2.62
MN 6 410,197.09 0.27
MO 12 449,497.34 0.30
MS 28 1,208,271.51 0.79
NC 44 2,608,212.74 1.71
ND 1 53,550.00 0.04
NE 3 99,921.64 0.07
NH 8 544,313.62 0.36
NJ 154 13,756,285.17 9.04
NM 4 188,750.23 0.12
NV 7 729,773.27 0.48
NY 746 68,848,872.25 45.25
OH 239 13,466,070.70 8.85
OR 13 748,838.11 0.49
PA 109 6,340,525.59 4.17
RI 11 603,920.73 0.40
SC 21 1,052,984.77 0.69
SD 1 44,467.40 0.03
TN 38 2,026,330.12 1.33
UT 4 284,841.67 0.19
VA 13 931,982.49 0.61
WA 8 423,899.91 0.28
WI 20 1,145,075.47 0.75
Total 2,053 152,163,541.58 100.00
Balloon Indicator Fully Amortizing 1,248 87,048,683.86 57.21
Balloon 805 65,114,857.72 42.79
Total 2,053 152,163,541.58 100.00
Original Term 0+ to 60 8 191,891.04 0.13
60+ to 120 51 1,619,753.24 1.06
120+ to 180 1,148 83,741,875.30 55.03
180+ to 240 467 30,630,444.72 20.13
240+ to 300 9 1,010,679.22 0.66
300+ to 360 370 34,968,898.06 22.98
Total 2,053 152,163,541.58 100.00
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE>
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
Delta Funding Home Equity Loan Trust 1997-2
Home Equity Loan Asset-Backed Certificates, Series 1997-2
Detailed Collateral -- Summary Fixed Rate Home Equity Loan
Characteristics as of 6/1/97
<TABLE>
<CAPTION>
Loan Count Loan Balance Percent of Total
<S> <C> <C> <C> <C> <C> <C>
Remaining Term 0+ to 60 8 191,891.04 0.13
60+ to 120 51 1,619,753.24 1.06
120+ to 180 1,148 83,741,875.30 55.03
180+ to 240 467 30,630,444.72 20.13
240+ to 300 9 1,010,679.22 0.66
300+ to 360 370 34,968,898.06 22.98
Total 2,053 152,163,541.58 100.00
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE>
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
Delta Funding Home Equity Loan Trust
Home Equity Loan Asset-Backed Certificates, Series 1997-2
Collateral Summary -- Adjustable Rate Home Equity
Loan Characteristics as of 6/1/97
<TABLE>
<S> <C> <C> <C> <C> <C>
Total Number of Loans 334
Total Outstanding Loan Balance $35,257,383.28
Balloon (% of Total) 0.00%
Level Pay (% of Total) 100.00%
Adjustable (% of Total) 100.00%
Arm Adjustment Type: "2/28" "6 MONTH" "3/27"
52.84% 46.79% 0.37%
Min Max
Average Loan Original Balance $ 105,656.22 $ 24,000.00 $ 324,000.00
Average Loan Current Balance $ 105,561.03 $ 24,000.00 $ 324,000.00
Weighted Average Combined LTV 76.68% 18.30% 90.00%
Weighted Average Coupon 10.77% 8.00% 15.60%
Weighted Average Gross Margin 6.61% 3.99% 10.35%
Weighted Average Gross Life Cap 16.77% 10.05% 21.60%
Weighted Average Minimum Rate 10.22% 5.05% 15.60%
Weighted Average Periodic Cap 1.00% 1.00% 3.00%
Weighted Average First Adj. Cap 2.04% 1.00% 3.00%
Weighted Average Remaining Term to 358.9 240 360
Maturity (months)
Weighted Average Seasoning (months) 0.9 0 5
Weighted Average Original Term (months) 359.8 240 360
Range of Original Terms Level Pay 100.00% Balloons 0%
240 0.16% 0 0%
360 99.84%
Index
6 Month LIBOR 100.00%
Lien Position
1st Lien 100.00%
Property Type
Single Family 78.41%
Multi Family 16.65%
Condo 4.94%
Occupancy Status
Owner Occupied 88.86%
Non-Owner Occupied 11.14%
Geographic Concentration
(states not listed individually account for NY 22.66% MI 8.70%
Less than 4% of the pool balance) NJ 15.20% PA 7.25%
OH 13.69% GA 6.54%
IL 10.57%
Credit Quality (per Delta's
underwriting guidelines)
A 54.02%
B 29.23%
C 13.54%
D 3.21%
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE>
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
Delta Funding Home Equity Loan Trust
Home Equity Loan Asset-Backed Certificates, Series 1997-2
Detailed Collateral Summary -- Adjustable Rate Home Equity Loan
Characteristics as of 6/1/97
<TABLE>
<CAPTION>
Loan Count Loan Balance Percent of Total
<S> <C> <C> <C> <C> <C> <C>
Current Balance 0.00+ to 50,000.00 61 2,412,928.76 6.84
50,000.00+ to 100,000.00 129 9,423,784.94 26.73
100,000.00+ to 150,000.00 77 9,511,198.18 26.98
150,000.00+ to 200,000.00 39 6,644,387.48 18.85
200,000.00+ to 250,000.00 13 2,952,376.70 8.37
250,000.00+ to 300,000.00 13 3,673,507.08 10.42
300,000.00+ to 350,000.00 2 639,200.14 1.81
Total 334 35,257,383.28 100.00
Original Balance 0.00+ to 50,000.00 61 2,412,928.76 6.84
50,000.00+ to 100,000.00 129 9,423,784.94 26.73
100,000.00+ to 150,000.00 77 9,511,198.18 26.98
150,000.00+ to 200,000.00 39 6,644,387.48 18.85
200,000.00+ to 250,000.00 13 2,952,376.70 8.37
250,000.00+ to 300,000.00 13 3,673,507.08 10.42
300,000.00+ to 350,000.00 2 639,200.14 1.81
Total 334 35,257,383.28 100.00
Interest Rate (Gross) 7.500+ to 8.000 1 200,000.00 0.57
8.000+ to 8.500 2 233,759.75 0.66
8.500+ to 9.000 13 1,555,463.53 4.41
9.000+ to 9.500 23 2,745,953.74 7.79
9.500+ to 10.000 54 6,630,486.76 18.81
10.000+ to 10.500 42 3,998,363.42 11.34
10.500+ to 11.000 75 8,005,570.56 22.71
11.000+ to 11.500 29 3,317,893.65 9.41
11.500+ to 12.000 36 3,752,255.89 10.64
12.000+ to 12.500 21 1,939,084.11 5.50
12.500+ to 13.000 15 1,312,951.69 3.72
13.000+ to 13.500 5 646,184.53 1.83
13.500+ to 14.000 6 322,456.30 0.91
14.000+ to 14.500 7 380,000.71 1.08
14.500+ to 15.000 2 83,431.75 0.24
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE>
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
Delta Funding Home Equity Loan Trust
Home Equity Loan Asset-Backed Certificates, Series 1997-2
Detailed Collateral Summary -- Adjustable Rate Home Equity Loan
Characteristics as of 6/1/97
<TABLE>
<CAPTION>
Loan Count Loan Balance Percent of Total
<S> <C> <C> <C> <C> <C> <C>
Interest Rate 15.000+ to 15.500 2 67,990.41 0.19
(Gross) (cont'd) 15.500+ to 16.000 1 65,536.48 0.19
Total 334 35,257,383.28 100.00
Combined LTV 15.0+ to 20.0 1 28,000.00 0.08
25.0+ to 30.0 1 78,073.60 0.22
40.0+ to 45.0 3 192,931.30 0.55
45.0+ to 50.0 7 499,864.64 1.42
50.0+ to 55.0 10 411,549.49 1.17
55.0+ to 60.0 11 1,201,704.00 3.41
60.0+ to 65.0 15 1,270,587.27 3.60
65.0+ to 70.0 54 5,560,043.52 15.77
70.0+ to 75.0 43 4,077,887.46 11.57
75.0+ to 80.0 110 12,406,440.62 35.19
80.0+ to 85.0 43 4,797,246.58 13.61
85.0+ to 90.0 36 4,733,054.80 13.42
Total 334 35,257,383.28 100.00
State CT 9 697,446.90 1.98
DC 1 160,000.00 0.45
FL 8 976,628.03 2.77
GA 20 2,306,588.26 6.54
IL 34 3,725,032.53 10.57
IN 2 126,400.00 0.36
KY 5 472,470.08 1.34
MA 5 564,788.21 1.60
MD 2 138,961.98 0.39
MI 35 3,067,926.91 8.70
MN 6 406,537.80 1.15
MO 1 202,090.48 0.57
MS 2 87,812.87 0.25
NC 3 155,721.42 0.44
NJ 40 5,360,486.89 15.20
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE>
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
Delta Funding Home Equity Loan Trust
Home Equity Loan Asset-Backed Certificates, Series 1997-2
Detailed Collateral Summary -- Adjustable Rate Home Equity Loan
Characteristics as of 6/1/97
<TABLE>
<CAPTION>
Loan Count Loan Balance Percent of Total
<S> <C> <C> <C> <C> <C> <C>
State (cont'd) NY 61 7,989,125.47 22.66
OH 57 4,828,217.67 13.69
OR 2 275,877.90 0.78
PA 25 2,557,768.43 7.25
RI 10 811,382.75 2.30
SC 2 54,000.00 0.15
TN 1 44,800.00 0.13
WA 2 195,979.53 0.56
WI 1 51,339.17 0.15
Total 334 35,257,383.28 100.00
Loan Type 2/28 197 18,630,851.66 52.84
3/27 2 130,961.98 0.37
6 month 135 16,495,569.64 46.79
Total 334 35,257,383.28 100.00
Original Term 180+ to 240 1 56,950.00 0.16
300+ to 360 333 35,200,433.28 99.84
Total 334 35,257,383.28 100.00
Remaining Term 180+ to 240 1 56,950.00 0.16
300+ to 360 333 35,200,433.28 99.84
Total 334 35,257,383.28 100.00
Gross Margin 3.500+ to 4.000 1 93,192.55 0.26
4.000+ to 4.500 3 346,524.41 0.98
4.500+ to 5.000 8 1,107,841.56 3.14
5.000+ to 5.500 42 4,364,829.69 12.38
5.500+ to 6.000 48 5,103,193.20 14.47
6.000+ to 6.500 63 6,860,023.71 19.46
6.500+ to 7.000 58 6,089,045.36 17.27
7.000+ to 7.500 45 4,660,861.30 13.22
7.500+ to 8.000 31 3,798,976.85 10.77
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE>
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
Delta Funding Home Equity Loan Trust
Home Equity Loan Asset-Backed Certificates, Series 1997-2
Detailed Collateral Summary -- Adjustable Rate Home Equity Loan
Characteristics as of 6/1/97
<TABLE>
<CAPTION>
Loan Count Loan Balance Percent of Total
<S> <C> <C> <C> <C> <C> <C>
Gross Margin 3.500+ to 4.000 1 93,192.55 0.26
4.000+ to 4.500 3 346,524.41 0.98
4.500+ to 5.000 8 1,107,841.56 3.14
5.000+ to 5.500 42 4,364,829.69 12.38
5.500+ to 6.000 48 5,103,193.20 14.47
6.000+ to 6.500 63 6,860,023.71 19.46
6.500+ to 7.000 58 6,089,045.36 17.27
7.000+ to 7.500 45 4,660,861.30 13.22
7.500+ to 8.000 31 3,798,976.85 10.77
Gross Margin(cont'd) 8.000+ to 8.500 13 1,236,973.13 3.51
8.500+ to 9.000 6 434,550.53 1.23
9.000+ to 9.500 10 870,336.35 2.47
9.500+ to 10.000 1 36,089.93 0.10
10.000+ to 10.500 5 254,944.71 0.72
Total 334 35,257,383.28 100.00
Gross Life Cap 10.000+ to 10.500 1 69,700.00 0.20
13.000+ to 13.500 1 123,064.76 0.35
13.500+ to 14.000 1 200,000.00 0.57
14.000+ to 14.500 3 345,359.75 0.98
14.500+ to 15.000 12 1,456,518.75 4.13
15.000+ to 15.500 22 2,693,383.82 7.64
15.500+ to 16.000 54 6,561,131.54 18.61
16.000+ to 16.500 41 3,858,168.58 10.94
16.500+ to 17.000 74 8,080,805.61 22.92
17.000+ to 17.500 25 2,808,627.65 7.97
17.500+ to 18.000 35 3,524,320.84 10.00
18.000+ to 18.500 25 2,438,000.11 6.91
18.500+ to 19.000 17 1,532,701.69 4.35
19.000+ to 19.500 5 646,184.53 1.83
19.500+ to 20.000 6 322,456.30 0.91
20.000+ to 20.500 7 380,000.71 1.08
20.500+ to 21.000 2 83,431.75 0.24
21.000+ to 21.500 2 67,990.41 0.19
21.500+ to 22.000 1 65,536.48 0.19
Total 334 35,257,383.28 100.00
Minimum Rate 5.000+ to 5.500 3 415,998.15 1.18
5.500+ to 6.000 6 753,367.93 2.14
6.000+ to 6.500 11 1,222,949.87 3.47
6.500+ to 7.000 4 708,711.99 2.01
7.000+ to 7.500 5 709,238.53 2.01
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
<PAGE>
DLJ
- --------------------------------------------------------------------------------
DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
Delta Funding Home Equity Loan Trust
Home Equity Loan Asset-Backed Certificates, Series 1997-2
Detailed Collateral Summary -- Adjustable Rate Home Equity Loan
Characteristics as of 6/1/97
<TABLE>
<CAPTION>
Loan Count Loan Balance Percent of Total
<S> <C> <C> <C> <C> <C> <C>
Minimum Rate 7.500+ to 8.000 4 683,750.00 1.94
(cont'd) 8.000+ to 8.500 3 280,259.75 0.79
8.500+ to 9.000 13 1,743,269.46 4.94
9.000+ to 9.500 20 2,269,688.70 6.44
9.500+ to 10.000 49 5,655,058.21 16.04
10.000+ to 10.500 38 3,518,622.84 9.98
10.500+ to 11.000 66 6,770,672.15 19.20
11.000+ to 11.500 26 2,922,943.18 8.29
11.500+ to 12.000 34 3,584,793.51 10.17
12.000+ to 12.500 19 1,614,098.93 4.58
12.500+ to 13.000 12 900,850.31 2.56
13.000+ to 13.500 5 646,184.53 1.83
13.500+ to 14.000 5 287,956.30 0.82
14.000+ to 14.500 7 380,000.71 1.08
14.500+ to 15.000 2 83,431.75 0.24
15.000+ to 15.500 1 40,000.00 0.11
15.500+ to 16.000 1 65,536.48 0.19
Total 334 35,257,383.28 100.00
Periodic Cap 1.000 332 35,150,941.91 99.70
2.000 1 56,441.37 0.16
3.000 1 50,000.00 0.14
Total 334 35,257,383.28 100.00
Index 6 Mo. LIBOR 334 35,257,383.28 100.00
Total 334 35,257,383.28 100.00
Rate Adjustment 6 334 35,257,383.28 100.00
Frequency Total 334 35,257,383.28 100.00
</TABLE>
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein is preliminary, does not purport to be complete and is subject to the
same qualifications and assumptions, and should be considered by investors only
in the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by third parties and has not
been independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been prepared
on the basis of certain assumptions (including, in certain cases, assumptions
specified by the recipient hereof) regarding payments, interest rates, losses
and other matters, including, but not limited to, the assumptions described in
the Offering Document. Donaldson, Lufkin & Jenrette Securities Corporation, and
any of its affiliates, make no representation or warranty as to the actual rate
or timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof including,
with respect to any description of the securities or underlying assets, the
information contained in the Offering Document.
