<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) March 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 Lehman Brothers
Inc. and distributed by Lehman Brothers Inc. and Donaldson, Lufkin & Jenrette
Securities Corporation, as the underwriters, in connection with the issuance by
Delta Funding Home Equity Loan Trust 1997-1 of Home Equity Loan Asset-Backed
Certificates, Series 1997-1. The term "Computational Materials" shall have the
meaning given in the No-Action Letter of May 20, 1994 issued by the Securities
and Exchange Commission (the "SEC") to Kidder, Peabody Acceptance Corporation I,
Kidder, Peabody & Co. Incorporated and Kidder Structured Asset Corporation, as
made applicable to other issuers and underwriters by the Commission in response
to the request of the Public Securities Association dated May 24, 1994, and the
supplemented in the No-Action Letter of February 17, 1995 issued by the SEC to
the Public Securities Association.
Also included for filing as Exhibit 23.1 attached hereto is
the Consent of Coopers & Lybrand L.L.P., independent accountants for MBIA
Insurance Corporation.
Item 7. Financial Statements, Pro Forma Financial Information and Exhibits.
(a) Not applicable.
(b) Not applicable.
(c) Exhibits:
8.1 Opinion of Stroock & Stroock & Lavan LLP regarding certain tax
matters.
23.1 Consent of Coopers & Lybrand L.L.P.
23.2 Consent of Stroock & Stroock & Lavan LLP (included in
Exhibit 8.1).
99.1 Computational Materials.
<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: March 25, 1997
<PAGE>
EXHIBIT INDEX
Exhibit Page
8.1 Opinion of Stroock & Stroock & Lavan LLP regarding certain
tax matters.
23.1 Consent of Coopers & Lybrand L.L.P.
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
March 25, 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 $235,000,000 aggregate principal amount of Delta Funding
Home Equity Loan Trust 1997-1 of Home Equity Loan Asset-Backed Certificates,
Series 1997-1 (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 March 21, 1997 and the
Prospectus Supplement dated March 21, 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 February 28, 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
<PAGE>
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.
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 23.1
CONSENT OF INDEPENDENT ACCOUNTANTS
We consent to the incorporation by reference in this Prospectus
Supplement of our report dated January 22, 1996, on our audits of the
consolidated financial statements of MBIA Insurance Corporation and Subsidiaries
as of December 31, 1995 and 1994 and for each of the three years in the period
ended December 31, 1995. We also consent to the reference to our firm under the
caption "Experts".
/s/ Coopers & Lybrand L.L.P.
-------------------------------
Coopers & Lybrand L.L.P.
March 19, 1997
New York, New York
<PAGE>
EXHIBIT 99.1
<PAGE>
LEHMAN BROTHERS
DERIVED INFORMATION
$235,000,000 Certificates
Delta Funding Home Equity Loan Trust 1997-1
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 does not purport to 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 the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. 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. Lehman Brothers Inc., 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 (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
LEHMAN BROTHERS
Securities Offered:
<TABLE>
<CAPTION>
To Maturity:
- --------------------------------------------------------------------------------------------------------------------
Approx. Estimated Estimated Expected Stated
Securities Expected Group Expected WAL/MDUR Principal Final Maturity Final
(1) (2) Size No. Benchmark Price (yrs) Pmt. Window Maturity
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-1 $83,709,000 I Curve 99.992% 1.05/0.98 25 months 4/25/99 1/25/12
Class A-2 $54,267,000 I 3 Yr Tsy 99.989% 3.07/2.67 30 months 9/25/01 5/25/15
Class A-3 $14,084,000 I 5 Yr Tsy 99.996% 5.10/4.13 18 months 2/25/03 8/25/18
Class A-4 $10,374,000 I Curve 99.982% 7.20/5.38 42 months 7/25/06 8/25/23
Class A-5 $11,966,000 I 10 Yr Tsy 99.989% 11.88/7.52 68 months 2/25/12 5/25/28
Class A-6 $23,600,000 I Curve 99.983% 6.52/4.98 142 months 1/25/12 5/25/28
Class A-7 $37,000,000 II 1 mo LIBOR 100.000% 3.56 216 months 3/25/15 5/25/28
- --------------------------------------------------------------------------------------------------------------------
<CAPTION>
To 10% Call:
- --------------------------------------------------------------------------------------------------------------------
Approx. Estimated Estimated Expected Stated
Securities Expected Group Expected WAL/MDUR Principal Final Maturity Final
(1) (2) Size No. Benchmark Price (yrs) Pmt. Window Maturity
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-1 $83,709,000 I Curve 99.992% 1.05/0.98 25 months 4/25/99 1/25/12
Class A-2 $54,267,000 I 3 Yr Tsy 99.989% 3.07/2.67 30 months 9/25/01 5/25/15
Class A-3 $14,084,000 I 5 Yr Tsy 99.996% 5.10/4.13 18 months 2/25/03 8/25/18
Class A-4 $10,374,000 I Curve 99.982% 7.05/5.30 29 months 6/25/05 8/25/23
Class A-5 $11,966,000 I 10 Yr Tsy 99.989% 8.24/5.92 1 month 6/25/05 5/25/28
Class A-6 $23,600,000 I Curve 99.983% 6.36/4.90 63 months 6/25/05 5/25/28
Class A-7 $37,000,000 II 1 mo LIBOR 100.000% 3.30 99 months 6/25/05 5/25/28
- --------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) All securities are rated AAA/Aaa by S&P and Moody's.
2) Prepayments are sized at 120% for Group I and 125% for Group II of the
prepayment assumption. A 100% prepayment assumption assumes that prepayments
start at 4% CPR in month one, increase by 1.455% each month to 20% CPR by
month 12, and remain at 20% CPR thereafter.
- --------------------------------------------------------------------------------
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 does not purport to 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 the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. 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. Lehman Brothers Inc., 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 (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
LEHMAN BROTHERS
Projected Performance
Under Varying Prepayment Assumptions
Group I Certificates to Maturity
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
% of Prepayment Assumption 50.0% 75.0% 100.0% 120.0% 150.0% 200.0%
Implied Seasoned CPR 10.0% 15.0% 20.0% 24.0% 30.0% 40.0%
Class A-1
Avg. Life (yrs) 2.12 1.52 1.21 1.05 0.89 0.72
Mod Duration (yrs) 1.88 1.39 1.12 0.98 0.83 0.68
Window (begin-end) (mths) 1 - 56 1 - 38 1 - 29 1 - 25 1 - 20 1 - 16
Expected Final Maturity 11/25/01 5/25/00 8/25/99 4/25/99 11/25/98 7/25/98
Yield @ 99.992% 6.42 6.34 6.27 6.21 6.14 6.02
Class A-2
Avg. Life (yrs) 7.94 5.07 3.71 3.07 2.43 1.81
Mod Duration (yrs) 5.83 4.11 3.16 2.67 2.17 1.65
Window (begin-end) (mths) 56 - 151 38 - 102 29 - 67 25 - 54 20 - 42 16 - 29
Expected Final Maturity 10/25/09 9/25/05 10/25/02 9/25/01 9/25/00 8/25/99
Yield @ 99.989% 6.88 6.85 6.82 6.79 6.75 6.69
Class A-3
Avg. Life (yrs) 13.95 9.98 6.54 5.10 3.90 2.73
Mod Duration (yrs) 8.53 6.89 5.04 4.13 3.29 2.40
Window (begin-end) (mths) 151 - 178 102 - 139 67 - 100 54 - 71 42 - 53 29 - 36
Expected Final Maturity 1/25/12 10/25/08 7/25/05 2/25/03 8/25/01 3/25/00
Yield @ 99.996% 7.26 7.25 7.23 7.20 7.18 7.12
Class A-4
Avg. Life (yrs) 14.83 12.96 9.82 7.20 4.91 3.32
Mod Duration (yrs) 8.72 8.06 6.75 5.38 3.98 2.85
Window (begin-end) (mths) 178 - 178 139 - 175 100 - 136 71 - 112 53 - 67 36 - 44
Expected Final Maturity 1/25/12 10/25/11 7/25/08 7/25/06 10/25/02 11/25/00
Yield @ 99.982% 7.47 7.47 7.46 7.44 7.41 7.36
Class A-5
Avg. Life (yrs) 17.85 15.56 13.63 11.88 8.68 4.35
Mod Duration (yrs) 9.39 8.81 8.19 7.52 6.03 3.58
Window (begin-end) (mths) 178 - 307 175 - 241 136 - 206 112 - 179 67 - 170 44 - 68
Expected Final Maturity 10/25/22 4/25/17 5/25/14 2/25/12 5/25/11 11/25/02
Yield @ 99.989% 7.69 7.69 7.68 7.68 7.66 7.60
Class A-6
Avg. Life (yrs) 8.18 7.37 6.83 6.52 6.16 5.68
Mod Duration (yrs) 5.88 5.46 5.16 4.98 4.76 4.46
Window (begin-end) (mths) 37 - 178 37 - 178 37 - 178 37 - 178 37 - 166 37 - 124
Expected Final Maturity 1/25/12 1/25/12 1/25/12 1/25/12 1/25/11 7/25/07
Yield @ 99.983% 7.17 7.16 7.16 7.16 7.15 7.14
------------------------------------------------------------------------------------------------------------------------
</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 does not purport to 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 the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. 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. Lehman Brothers Inc., 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 (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
LEHMAN BROTHERS
Projected Performance
Under Varying Prepayment Assumptions
<TABLE>
<CAPTION>
Group I Certificates to 10% Cleanup Call
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
% of Prepayment Assumption 50.0% 75.0% 100.0% 120.0% 150.0% 200.0%
Implied Seasoned CPR 10.0% 15.0% 20.0% 24.0% 30.0% 40.0%
Class A-1
Avg. Life (yrs) 2.12 1.52 1.21 1.05 0.89 0.72
Mod Duration (yrs) 1.88 1.39 1.12 0.98 0.83 0.68
Window (begin-end) (mths) 1 - 56 1 - 38 1 - 29 1 - 25 1 - 20 1 - 16
Expected Final Maturity 11/25/01 5/25/00 8/25/99 4/25/99 11/25/98 7/25/98
Yield @ 99.992% 6.42 6.34 6.27 6.21 6.14 6.02
Class A-2
Avg. Life (yrs) 7.94 5.07 3.71 3.07 2.43 1.81
Mod Duration (yrs) 5.83 4.11 3.16 2.67 2.17 1.65
Window (begin-end) (mths) 56 - 151 38 - 102 29 - 67 25 - 54 20 - 42 16 - 29
Expected Final Maturity 10/25/09 9/25/05 10/25/02 9/25/01 9/25/00 8/25/99
Yield @ 99.989% 6.88 6.85 6.82 6.79 6.75 6.69
Class A-3
Avg. Life (yrs) 13.95 9.98 6.54 5.10 3.90 2.73
Mod Duration (yrs) 8.53 6.89 5.04 4.13 3.29 2.40
Window (begin-end) (mths) 151 - 178 102 - 139 67 - 100 54 - 71 42 - 53 29 - 36
Expected Final Maturity 1/25/12 10/25/08 7/25/05 2/25/03 8/25/01 3/25/00
Yield @ 99.996% 7.26 7.25 7.23 7.20 7.18 7.12
Class A-4
Avg. Life (yrs) 14.83 12.52 9.50 7.05 4.91 3.32
Mod Duration (yrs) 8.72 7.90 6.60 5.30 3.98 2.85
Window (begin-end) (mths) 178 - 178 139 - 154 100 - 119 71 - 99 53 - 67 36 - 44
Expected Final Maturity 1/25/12 1/25/10 2/25/07 6/25/05 10/25/02 11/25/00
Yield @ 99.982% 7.47 7.47 7.45 7.44 7.41 7.36
Class A-5
Avg. Life (yrs) 14.83 12.83 9.91 8.24 6.39 4.29
Mod Duration (yrs) 8.61 7.93 6.73 5.92 4.89 3.53
Window (begin-end) (mths) 178 - 178 154 - 154 119 - 119 99 - 99 67 - 79 44 - 57
Expected Final Maturity 1/25/12 1/25/10 2/25/07 6/25/05 10/25/03 12/25/01
Yield @ 99.989% 7.68 7.68 7.67 7.66 7.64 7.60
Class A-6
Avg. Life (yrs) 8.18 7.35 6.76 6.36 5.62 4.44
Mod Duration (yrs) 5.88 5.45 5.13 4.90 4.46 3.68
Window (begin-end) (mths) 37 - 178 37 - 154 37 - 119 37 - 99 37 - 79 37 - 57
Expected Final Maturity 1/25/12 1/25/10 2/25/07 6/25/05 10/25/03 12/25/01
Yield @ 99.983% 7.17 7.16 7.16 7.15 7.14 7.12
-------------------------------------------------------------------------------------------------------------------------
</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 does not purport to 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 the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. 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. Lehman Brothers Inc., 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 (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
LEHMAN BROTHERS
Projected Performance
Under Varying Prepayment Assumptions
Group II Certificates
<TABLE>
<CAPTION>
To Maturity
----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
% of Prepayment Assumption 50.0% 75.0% 100.0% 125.0% 150.0% 200.0%
Implied Seasoned CPR 10.0% 15.0% 20.0% 25.0% 30.0% 40.0%
Class A-7
Avg. Life (yrs) 8.19 5.83 4.44 3.56 2.96 2.19
Window (begin-end) (mths) 1 - 346 1 - 317 1 - 265 1 - 216 1 - 178 1 - 128
Expected Final Maturity 1/25/26 8/25/23 4/25/19 3/25/15 1/25/12 11/25/07
----------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
To 10% Cleanup Call
----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
% of Prepayment Assumption 50.0% 75.0% 100.0% 125.0% 150.0% 200.0%
Implied Seasoned CPR 10.0% 15.0% 20.0% 25.0% 30.0% 40.0%
Class A-7
Avg. Life (yrs) 7.21 5.33 4.07 3.30 2.73 2.03
Window (begin-end) (mths) 1 - 178 1 - 154 1 - 119 1 - 99 1 - 79 1 - 57
Expected Final Maturity 1/25/12 1/25/10 2/25/07 6/25/05 10/25/03 12/25/01
----------------------------------------------------------------------------------------------------------------------------
</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 does not purport to 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 the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. 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. Lehman Brothers Inc., 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 (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
LEHMAN BROTHERS
Collateral Summary
Initial Group I Loans
<TABLE>
<S> <C> <C>
Total Number of Loans 2,030
Total Outstanding Scheduled Loan Balance $146,257,910
Balloon (% of Total) 44.66%
Level Pay (% of Total) 55.34%
Average Loan Principal Balance $72,048.23 $6,994 - $350,000
Weighted Average Coupon 11.43% 8.50% - 18.00%
Weighted Average Original Term (mths) 226 60 - 360
Range of Original Terms Level Pay Balloon (1)
--------- -----------
60 - 144 1.24% 180: 100.00%
180 55.91%
240 24.84%
300 0.36%
360 17.65%
Weighted Average Remaining Term (mths) 225 56 - 360
Weighted Average CLTV 70.32% 11.76% - 90.00%
Lien Position (first/second) 89.51% / 10.49%
Property Type
Single Family 65.79%
Two to Four Family 24.53%
Mixed Use 4.19%
Other 5.50%
Occupancy Status
Owner Occupied 85.17%
Investment 14.83%
Geographic Distribution
other states account individually for less than NY 50.09% PA 5.29%
4% of Group I pool balance NJ 7.68%
Origination Years 1996 58.40%
1997 41.60%
Credit Class A 42.91% C 21.11%
B 30.05% D 5.92%
Days Delinquent Current: 97.44%
30-59 days: 2.56%
</TABLE>
(1) Amortizes over a 30 year original term.
- --------------------------------------------------------------------------------
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 does not purport to 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 the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. 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. Lehman Brothers Inc., 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 (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
LEHMAN BROTHERS
Collateral Summary (continued)
<TABLE>
<CAPTION>
Initial Group II Loans
<S> <C> <C>
Total Number of Loans 249
Total Outstanding Loan Balance $26,775,810
Balloon (% of Total) 0.00%
Level Pay (% of Total) 100.00%
Average Loan Principal Balance $107,533.37 $19,000 - $421,250
Weighted Average Coupon 10.62% 8.25% - 16.35%
Weighted Average Margin 6.87% 4.50% - 11.10%
Weighted Average Original Term (mths) 357 180 - 360
Range of Original Terms 180: 0.70%
240: 1.71%
360: 97.59%
Weighted Average Remaining Term (mths) 356 176 - 360
Weighted Average Life Cap 16.69% 14.25% - 22.35%
Weighted Average Periodic Cap 1.04% 1.00% - 3.00%
Weighted Average Floor 9.88% 4.50% - 16.35%
Index 6 month LIBOR 100.00%
Weighted Average LTV 75.47% 35.38% - 90.00%
Lien Position (first/second) 100.0% / 0.0%
Property Type
Single Family 80.34%
Two to Four Family 15.95%
Other 3.71%
Occupancy Status
Owner Occupied 88.51%
Investment 11.49%
Geographic Distribution
other states account individually for less than NY 22.12% PA 6.83%
6% of Group II principal balance NJ 15.59% MI 6.49%
GA 10.79% OH 6.27%
Next Rate Adjustment Date 5/97 0.32% 10/97 2.52%
6/97 4.78% 2/99 5.12%
7/97 21.89% 3/99 8.99%
8/97 29.85% 4/99 0.62%
9/97 23.55%
Origination Years 1996 50.37%
1997 49.63%
Credit Class A 47.60% C 20.80%
B 29.01% D 2.59%
Days Delinquent Current: 99.52%
30-59 Days: 0.48%
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LEHMAN BROTHERS
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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 does not purport to 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 the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. 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. Lehman Brothers Inc., 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 (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
