<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) November 20, 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 1997-4 of Home Equity Loan
Asset-Backed Certificates, Series 1997-4. 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:
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: November 20, 1997
3
<PAGE>
EXHIBIT INDEX
Exhibit Page
- ------- ----
99.1 Computational Materials.
<PAGE>
DLJ
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DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
DERIVED INFORMATION
$400,000,000 Certificates
(Approximate)
Delta Funding Home Equity Loan Trust 1997-4
Home Equity Loan Asset-Backed Certificates, Series 1997-4
Delta Funding Corporation
As Seller and Sevicer
- --------------------------------------------------------------------------------
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 ofcertain 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
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DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
Delta Funding Home Equity Loan Trust 1997-4
Home Equity Loan Asset-Backed Certificates, Series 1997-4
$400,000,000 (Approximate, +/- 5%)
Delta Funding Home Equity Loan Trust 1997-4
Home Equity Loan Asset-Backed Certificates, Series 1997-4
<TABLE>
<CAPTION>
Approximate WAL Modified Principal Principal Proposed Expected Legal
Certificate Tranche Type (Years) Duration Window Window Rating Final
Class Balance (1F,1A) Coupon (3F,3A) (Yrs) (to Mat) (to Call) (At Least)
(1F,1A) (2F,2A) (5F,4A) (3F,3A)
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-1F $168,500,000 Adjustable 1ML + [ ]% 1.52 1.40 36 Aaa/AAA 6/25/2021
Seq.
- ---------- -------------- --------------- ----------- --------- ------------ ---------- ---------- -------------- ------------------
A-2F $26,625,000 Fixed Seq. [TBD]% 3.67 3.17 17 Aaa/AAA 7/25/2024
- ---------- -------------- --------------- ----------- --------- ------------ ---------- ---------- -------------- ------------------
A-3F $17,500,000 Fixed Seq. [TBD]% 4.99 4.13 18 Aaa/AAA 1/25/2026
- ---------- -------------- --------------- ----------- --------- ------------ ---------- ---------- -------------- ------------------
A-4F $25,200,000 Fixed Seq. [TBD]% 9.97 6.85 140 29 Aaa/AAA 12/25/2027
- ---------- -------------- --------------- ----------- --------- ------------ ---------- ---------- -------------- ------------------
A-5F(NAS)
(4F) $31,500,000 Fixed Lock [TBD]% 6.65 5.16 166 60 Aaa/AAA 12/25/2027
- ---------- -------------- --------------- ----------- --------- ------------ ---------- ---------- -------------- ------------------
M-1F $19,687,000 Fixed Mezz. [TBD]% 6.13 4.70 134 61 Aa2/AA 12/25/2027
- ---------- -------------- --------------- ----------- --------- ------------ ---------- ---------- -------------- ------------------
M-2F $14,963,000 Fixed Mezz. [TBD]% 6.03 4.61 116 61 A2/A 12/25/2027
- ---------- -------------- --------------- ----------- --------- ------------ ---------- ---------- -------------- ------------------
B-1F $11,025,000 Fixed Sub. [TBD]% 5.64 4.38 89 61 Baa3/BBB 12/25/2027
- ---------- -------------- --------------- ----------- --------- ------------ ---------- ---------- -------------- ------------------
A-IO (6F) Notional Fixed Strip 6.50% Privately Placed Aaa/AAA 12/25/2000
- ---------- -------------- --------------- ----------- --------- ------------ ---------- ---------- -------------- ------------------
A-1A $67,150,000 Adjustable 1ML + [ ]% 2.64* 2.26* 192 97 Aaa/AAA 12/25/2027
- ---------- -------------- --------------- ----------- --------- ------------ ---------- ---------- -------------- ------------------
M-1A $7,650,000 Adjustable 1ML + [ ]% 5.19* 4.25* 126 59 Aa2/AA 12/25/2027
Mezz.
- ---------- -------------- --------------- ----------- --------- ------------ ---------- ---------- -------------- ------------------
M-2A $5,525,000 Adjustable 1ML + [ ]% 5.15* 4.18* 109 60 A2/A 12/25/2027
Mezz.
- ---------- -------------- --------------- ----------- --------- ------------ ---------- ---------- -------------- ------------------
B-1A $4,675,000 Adjustable 1ML + [ ]% 5.00* 4.03* 86 61 Baa3/BBB 12/25/2027
Sub.
- ---------- -------------- --------------- ----------- --------- ------------ ---------- ---------- -------------- ------------------
Total $400,000,000
- ---------- --------------
</TABLE>
* Run to 10% call.
Certificate sizes subject to change based on the delivery of additional loans
prior to the closing date and final rating agency review. The Class A-IO
Certificate is not being offered hereby.
Fixed Rate Certificates:
(1F) Classes A-1F through A-5F, M-1F, M-2F, B-1F are collateralized by the fixed
rate loan pool. Classes A-1F through A-4F are sequential pay; Class A-5F is
concurrent pay starting in month 37. Class M-1F, M-2F and B-1F are
concurrent pay starting in month 37 subject to subordination provisions,
certain credit enhancement requirements and trigger events.
(2F) Payable monthly starting 1/25/98. Fixed Pass Through Rates (30/360) with
accrued from 12/1/97, except for the Class A-1F certificates, which will
settle flat and will pay an adjustable coupon subject to the Fixed Rate
Loan Group Available Funds Cap which is initially approximately [9.56]%.
(3F) Fixed Rate Group pricing speed: 120% of Prepayment Assumption (100%
Prepayment Assumption: 4.0% CPR in month 1, and an additional 1.455%
(precisely 16/11) in each month thereafter until month 12; on and
thereafter, 20% CPR).
(4F) Class A-5F 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.
(5F) Fixed rate classes priced to maturity.
(6F) Class A-IO Certificate will pay a fixed coupon based on a notional amount
equal to the Class Principal Balance of the Class A-5F for the first 36
distribution dates.
Adjustable Rate Certificates:
(1A) Classes A-1A, M-1A, M-2A, B-1A are collateralized by the adjustable rate
loan pool. Class M-1A, M-2A and B-1A are concurrent pay starting in month
37 subject to certain subordination provisions, credit enhancement
requirements and trigger events.
(2A) Payable monthly starting 1/25/98. Resets monthly to one month LIBOR
(Actual/360) settling flat. After 10% Call Date, margin on Class A-1
[doubles] and margin on Classes M-1A, M-2A and B-1A increases by [1.5]
times. Adjustable Rate Certificate coupons subject to the Adjustable Rate
Loan Group Available Funds Cap described herein.
(3A) Adjustable Rate Group pricing speed: 140% of Prepayment Assumption (100%
Prepayment Assumption: 4.0% CPR in month 1, and an additional 1.455%
(precisely 16/11) in each month thereafter until month 12; on and
thereafter, 20% CPR).
(4A) Adjustable rate classes 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 ofcertain 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
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DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
Delta Funding Home Equity Loan Trust 1997-4
Home Equity Loan Asset-backed Certificates, Series 1997-4
SUMMARY TERMS
<TABLE>
<S> <C>
Underwriters: Donaldson, Lufkin & Jenrette Securities Corporation (Books)
Lehman Brothers Inc.
Morgan Stanley Dean Witter
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: December [1], 1997
Pricing Date: November [__], 1997
Settlement Date: December [11], 1997
Distribution Dates: [25]th day of each month (or the next succeeding business day), commencing January [25], 1998
Optional 10% optional clean-up call (outstanding mortgage pool balance is less than 10% of the initial
Termination: 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.
Certificate Adjustable Rate Certificates. The weighted average of the net Coupon Rates (net of Servicing:
Available Funds Cap: [0.50]%, and Trustee Fee: [0.00625]%) on the loans in the Adjustable Rate Loan Group for such
Remittance Period (the "ARM Net WAC").
Class A-1F Certificates. The weighted average of the net Coupon Rates (net of Servicing:
[0.50]%, and Trustee Fee: [0.00625]%) on the loans in the Fixed Rate Loan Group for such
Remittance Period minus, for the first 36 Distribution Dates, a percentage equal to the
product of 6.50% and a fraction, the numerator of which is the Notional Amount of the Class
A-5F Certificates and the denominator of which is the Fixed Rate Loan Group balance.
Additional Loans: It is anticipated that approximately $72.6MM of additional fixed rate loans and $16.8MM of
additional adjustable rate loans will be delivered prior to the Closing Date (subject to the
delivery criteria further described herein).
</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 ofcertain 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
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DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
Delta Funding Home Equity Loan Trust 1997-4
Home Equity Loan Asset-backed Certificates, Series 1997-4
<TABLE>
<S> <C>
Subsequent Loans/ It is anticipated that approximately 25% of the proceeds from the issuance of both the Fixed
Prefunding: and Adjustable Rate Certificates will be utilized by the Trust to purchase additional fixed
rate and adjustable rate loans on or after the Closing Date.
</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 ofcertain 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
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DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
Delta Funding Home Equity Loan Trust 1997-4
Home Equity Loan Asset-Backed Certificates, Series 1997-4
OVERCOLLATERALIZATION
1. Before the Step-down date (January 2001), overcollateralization initially
builds to [1.25]% of the fixed-rate group's initial pool loan balance and
to [1.00]% of the adjustable rate group's initial pool balance.
2. On or after the Step-down date, the fixed-rate group's required
overcollateralization is [2.50]% of the then current pool's outstanding
balance and the adjustable rate group's required overcollateralization is
[2.00]% of the then current pool's outstanding balance.
3. Step-down overcollateralization is subject to a floor of 0.50% of
initial pool balance for each loan group.
CREDIT ENHANCEMENT FOR FIXED RATE CERTIFICATES
Senior Classes (Class A-1F through A-5F)
1. Excess cash;
2. Overcollateralization initially building up to [1.25]% of the Fixed
Rate Group's initial pool balance;
3. Subordination of mezzanine and subordinate classes: M-1F, M-2F, B-1F,
totaling [14.50]% of the initial pool balance.
Mezzanine and Subordinate Classes (Class M-1F, M-2F, B-1F)
1. Excess cash;
2. Class M-1F is further enhanced by [8.25]% in mezzanine and subordinate
certificates and O/C building up to [1.25]% of initial pool balance;
3. Class M-2F is further enhanced by [3.50]% in subordinate certificates
and O/C building up to [1.25]% of initial pool balance;
4. Class B-1F is further enhanced by O/C building up to [1.25]% of
initial pool balance.
CREDIT ENHANCEMENT LEVELS FOR FIXED RATE CERTIFICATES
Proposed Rating Percent of Transaction
--------------- ----------------------
Aaa/AAA [85.50]%
Aa2/AA [6.25]%
A2/A [4.75]%
Baa3/BBB [3.50]%
- --------------------------------------------------------------------------------
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 ofcertain 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
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DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
Delta Funding Home Equity Loan Trust 1997-4
Home Equity Loan Asset-Backed Certificates, Series 1997-4
CREDIT ENHANCEMENT FOR FLOATING RATE CERTIFICATES
Senior Class (Class A-1A)
1. Excess cash;
2. Overcollateralization initially building up to [1.00]% of the
Adjustable Rate Group's initial pool balance;
3. Subordination of mezzanine and subordinate classes: M-1A,
M-2A, B-1A, totaling [21.00]% of the initial pool balance.
Mezzanine and Subordinate Classes (Class M-1A, M-2A, B-1A)
1. Excess cash;
2. Class M-1A is further enhanced by [12.00]% in mezzanine and
subordinate certificates and O/C building up to [1.00]% of
initial pool balance;
3. Class M-2A is further enhanced by [5.50]% in subordinate
certificates and O/C building up to [1.00]% of initial pool balance;
4. Class B-1A is further enhanced by O/C building up to [1.00]%
of initial pool balance.
EXPECTED CREDIT ENHANCEMENT LEVELS FOR FLOATING RATE CERTIFICATES
Proposed Rating Percent of Transaction
--------------- ----------------------
Aaa/AAA [79.00]%
Aa2/AA [9.00]%
A2/A [6.50]%
Baa3/BBB [5.50]%
- --------------------------------------------------------------------------------
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 ofcertain 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
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DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
Delta Funding Home Equity Loan Trust 1997-4
Home Equity Loan Asset-Backed Certificates, Series 1997-4
SUMMARY WATERFALL
Interest Distributions.
On each Distribution Date, the Trustee will withdraw the Interest Remittance
Amount for each Loan Group from the Distribution Account and apply such amounts
in the following order of priority, in each case, to the extent of the funds
remaining therefor:
A. Fixed Rate Loan Group:
(i) to the Trustee, the Trustee fee for such Loan Group and
Distribution Date;
(ii) concurrently, to the Classes of Senior Fixed Rate Certificates,
the related Class Interest Distribution for such Distribution
Date;
(iii) sequentially, to the Class M-1F, Class M-2F and Class B-1F
Certificates, in that order, the related Class Monthly Interest
Amount;
(iv) an amount up to the amount of the Subordination Increase Amount
for such Loan Group for such Distribution Date, as part of the
related Principal Distribution Amount;
(v) to fund any amount not fully funded pursuant to clause B.(iv)
below; and
(vi) the remainder pursuant to clause C. below.
B. Adjustable Loan Group:
(i) to the Trustee, the Trustee fee for such Loan Group and
Distribution Date;
(ii) to the Class A-1A Certificates, the Class Interest Distribution
for such Distribution Date;
(iii) sequentially, to the Class M-1A, Class M-2A and Class B-1A
Certificates, in that order, the related Class Monthly Interest
Amount;
(iv) an amount up to the amount of the Subordination Increase Amount
for such Loan Group for such Distribution Date as part of the
related Principal Distribution Amount
(v) to fund any amount not fully funded pursuant to clause A. (iv)
above; and
(vi) the remainder pursuant to clause D. below.
C. Remaining Interest and Excess Overcollateralization Amount for Fixed
Rate Loan Group:
(i) sequentially, to the Class M-1F, Class M-2F and Class B-1F
Certificates, in that order, an amount equal to the sum of (a)
the related Class Interest Carryover Shortfall and (b) the
related Class Principal Carryover Shortfall;
(ii) to fund any amount listed in clause D. (i) below which was not
fully funded as provided therein; and
(iii) to the Residual Certificates, the remainder.
D. Remaining Interest and Excess Overcollateralization Amount for
Adjustable Loan Group:
(i) sequentially, to the Class M-1A, Class M-2A and Class B-1A
Certificates, in that order, an amount equal to the sum of (a)
the related Class Interest Carryover Shortfall and (b) the
related Class Principal Carryover Shortfall;
(ii) to fund any amounts listed in clause C.(i) which was not fully
funded as provided therein;
(iii) to the Residual Certificates, the remainder.
On each Distribution Date, the Class Interest Distribution for each Class of
Fixed Rate Senior Certificates will be distributed on an equal priority and any
shortfall in the amount required to be distributed as interest thereon to each
such Class will be allocated between such Classes pro rata based on the amount
that would have been distributed on each such Class in the absence of such
shortfall.
- --------------------------------------------------------------------------------
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 ofcertain 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
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DONALDSON, LUFKIN & JENRETTE SECURITIES CORPORATION
Delta Funding Home Equity Loan Trust 1997-4
Home Equity Loan Asset-Backed Certificates, Series 1997-4
SUMMARY WATERFALL
Principal Distributions.
On each Distribution Date, the Trustee will withdraw each Basic Principal Amount
and, on the first Distribution Date, each Excess Funding Amount from the
Distribution Account and apply such amount together with the amount, if any,
included in the Principal Distribution Amount from clause A.(iv) or B.(iv) above
under "--Interest Distributions," in the following order of priority, in each
case, to the extent of the funds remaining therefor:
A. Fixed Rate Loan Group:
(i) to the Fixed Rate Senior Certificates, the related Senior
Principal Distribution Amount plus, on the initial Distribution
Date, the Excess Funding Amount for such Loan Group, allocated
in the following order of priority:
(a) to the Class A-5F Certificates, the Class A-5F Principal
Distribution Amount, until the Class Principal Balance
thereof has been reduced to zero; and
(b) sequentially, to the Class A-1F, Class A-2F, Class A-3F,
Class A-4F, and Class A-5F Certificates, in that order,
until the respective Class Principal Balances thereof have
been reduced to zero; and
(ii) sequentially, to the Class M-1F, Class M-2F and Class B-1F
Certificates, in that order, on or after the related Stepdown
Date, and so long as a Trigger Event is not in effect, the
related Class Principal Distribution Amount until the respective
Class Principal Balances thereof have been reduced to zero; and
(iii) to the Residual Certificates, any remaining principal.
B. Adjustable Rate Loan Group:
(i) to the Class A-1A Certificates, the related Senior Principal
Distribution Amount plus, on the initial Distribution Date, the
related Excess Funding Amount;
(ii) sequentially, to the Class M-1A, Class M-2A and Class B-1A
Certificates, in that order, on or after the related Stepdown
Date, and so long as a Trigger Event is not in effect, the
related Class Principal Distribution Amount, until the Class
Principal Balances thereof have been reduced to zero; and
(iii) to the Residual Certificates, any remaining principal.
Notwithstanding the priority set forth in Clause A.(i) above, if the aggregate
Class Principal Balance of the Subordinate Certificates is reduced to zero, the
Senior Principal Distribution Amount will be distributed concurrently to each
Class of Senior Certificates on a pro rata basis in accordance with their
respective Class Principal Balances.
Notwithstanding the foregoing, in the event that the Class Principal Balance of
all of the Senior Certificates relating to a Certificate Group have been reduced
to zero, during the continuation of a Trigger Event for such Certificate Group
all amounts of principal that would have been distributed to such Senior
Certificates will be distributed to the related Subordinate Certificates of such
Certificate Group sequentially in the following order: Class M-1, Class M-2 and
Class B-1 Certificates. Similarly, if the Class Principal Balance of the Class
M-1 Certificates has been reduced to zero, during the continuation of a Trigger
Event for such certificate Group all amounts of principal that would have been
distributed to such Class M-1 Certificates will be distributed to the related
Class M-2 and Class B-1 Certificates in that order. If the Class Principal
Balance of the Class M-2 Certificates has been reduced to zero, during the
continuation of a Trigger Event for such Certificate Group all amounts of
principal that would have been distributed on such Class M-2 Certificates will
be distributed to the related Class B-1 Certificates.
- --------------------------------------------------------------------------------
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 ofcertain 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 1997-4
Home Equity Loan Asset-Backed Certificates, Series 1997-4
OVERCOLLATERALIZATION FLOOR
Upon reaching the overcollateralization floor and so long as the credit
enhancement levels for each class have been met (generally 50 bps times the
initial principal balance of each mortgage pool) excess principal collection
associated with the overcollateralization shall be paid in reverse sequential
order to the respective Certificate Group (i.e., to the Class B-1, M-2, M-1 and
A until each prior certificate balance has been reduced to zero).
LOSS ALLOCATIONS
Losses shall be allocated in the following priority to each Certificate Group
respectively and separately:
(i) As a reduction to the Overcollateralization Amount;
(ii) As a reduction to the Class B-1 Certificate Balance;
(iii) As a reduction to the Class M-2 Certificate Balance;
(iv) As a reduction to the Class M-1 Certificate Balance.
STEP-DOWN DATE
Step-down date occurs the earlier of the following:
1. the later of
a) three years or
b) when credit enhancement reaches its Target Level
(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 ofcertain 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 1997-4
Home Equity Loan Asset-Backed Certificates, Series 1997-4
BOND SUMMARY
<TABLE>
<CAPTION>
Class A-1F (To Maturity)
- ----------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0% PPC 50% PPC 75% PPC 100% PPC 120% PPC 150% PPC 200% PPC
- ----------------------------------------------------------------------------------------------------------------------------
Implied Seasoned CPR 0% 10% 15% 20% 24% 30% 40%
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 13.10 3.21 2.26 1.77 1.52 1.28 1.03
Modified Duration (yrs.) 8.33 2.75 2.01 1.61 1.40 1.19 0.97
First Principal Payment Date 1/25/98 1/25/98 1/25/98 1/25/98 1/25/98 1/25/98 1/25/98
Last Principal Payment Date 6/25/21 3/25/06 12/25/02 9/25/01 12/25/00 5/25/00 10/25/99
Payment Window (mos.) 282 99 60 45 36 29 22
Yield @ 100.00000 6.006 6.004 6.003 6.001 6.000 5.998 5.995
</TABLE>
<TABLE>
<CAPTION>
Class A-2F (To Maturity)
- ----------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0% PPC 50% PPC 75% PPC 100% PPC 120% PPC 150% PPC 200% PPC
- ----------------------------------------------------------------------------------------------------------------------------
Implied Seasoned CPR 0% 10% 15% 20% 24% 30% 40%
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 25.13 10.48 6.32 4.52 3.67 2.71 2.06
Modified Duration (yrs.) 11.92 7.33 5.01 3.80 3.17 2.42 1.88
First Principal Payment Date 6/25/21 3/25/06 12/25/02 9/25/01 12/25/00 5/25/00 10/25/99
Last Principal Payment Date 6/25/24 8/25/10 4/25/06 5/25/03 4/25/02 11/25/00 3/25/00
Payment Window (mos.) 37 54 41 21 17 7 6
Yield @ 100.00000 6.706 6.682 6.654 6.626 6.603 6.560 6.507
</TABLE>
<TABLE>
<CAPTION>
Class A-3F (To Maturity)
- ----------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0% PPC 50% PPC 75% PPC 100% PPC 120% PPC 150% PPC 200% PPC
- ----------------------------------------------------------------------------------------------------------------------------
Implied Seasoned CPR 0% 10% 15% 20% 24% 30% 40%
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 27.39 14.17 10.11 6.48 4.99 3.65 2.40
Modified Duration (yrs.) 12.26 8.92 7.14 5.10 4.13 3.15 2.16
First Principal Payment Date 6/25/24 8/25/10 4/25/06 5/25/03 4/25/02 11/25/00 3/25/00
Last Principal Payment Date 1/25/26 5/25/13 10/25/09 6/25/06 9/25/03 2/25/02 6/25/00
Payment Window (mos.) 20 34 43 38 18 16 4
Yield @ 100.00000 6.748 6.734 6.722 6.697 6.676 6.643 6.577
</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 ofcertain 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 1997-4
Home Equity Loan Asset-Backed Certificates, Series 1997-4
<TABLE>
<CAPTION>
Class A-4F (To Maturity)
- ----------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0% PPC 50% PPC 75% PPC 100% PPC 120% PPC 150% PPC 200% PPC
- ----------------------------------------------------------------------------------------------------------------------------
Implied Seasoned CPR 0% 10% 15% 20% 24% 30% 40%
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 29.11 20.55 15.98 12.56 9.97 6.71 2.79
Modified Duration (yrs.) 12.21 10.57 9.30 8.05 6.85 5.06 2.47
First Principal Payment Date 1/25/26 5/25/13 10/25/09 6/25/06 9/25/03 2/25/02 6/25/00
Last Principal Payment Date 11/25/27 6/25/26 11/25/22 4/25/18 4/25/15 3/25/12 12/25/00
Payment Window (mos.) 23 158 158 143 140 122 7
Yield @ 100.00000 6.993 6.987 6.981 6.974 6.963 6.940 6.844
</TABLE>
<TABLE>
<CAPTION>
Class A-5F (To Maturity)
- ----------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0% PPC 50% PPC 75% PPC 100% PPC 120% PPC 150% PPC 200% PPC
- ----------------------------------------------------------------------------------------------------------------------------
Implied Seasoned CPR 0% 10% 15% 20% 24% 30% 40%
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 12.60 8.04 7.30 6.84 6.65 6.53 5.89
Modified Duration (yrs.) 8.09 5.93 5.53 5.28 5.16 5.10 4.70
First Principal Payment Date 1/25/01 1/25/01 1/25/01 1/25/01 2/25/01 6/25/01 12/25/00
Last Principal Payment Date 9/25/27 12/25/25 1/25/22 9/25/17 11/25/14 12/25/11 5/25/08
Payment Window (mos.) 321 300 253 201 166 127 90
Yield @ 100.00000 6.678 6.658 6.653 6.649 6.647 6.646 6.638
</TABLE>
<TABLE>
<CAPTION>
Class M-1F (To Maturity)
- ----------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0% PPC 50% PPC 75% PPC 100% PPC 120% PPC 150% PPC 200% PPC
- ----------------------------------------------------------------------------------------------------------------------------
Implied Seasoned CPR 0% 10% 15% 20% 24% 30% 40%
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 24.90 12.59 9.32 7.25 6.13 5.08 4.42
Modified Duration (yrs.) 11.52 7.86 6.41 5.34 4.70 4.07 3.68
First Principal Payment Date 1/25/16 2/25/04 4/25/02 4/25/01 1/25/01 3/25/01 6/25/01
Last Principal Payment Date 9/25/27 10/25/23 6/25/18 4/25/14 2/25/12 5/25/09 3/25/06
Payment Window (mos.) 141 237 195 157 134 99 58
Yield @ 100.00000 6.970 6.952 6.938 6.924 6.912 6.897 6.885
</TABLE>
<TABLE>
<CAPTION>
Class M-2F (To Maturity)
- ----------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0% PPC 50% PPC 75% PPC 100% PPC 120% PPC 150% PPC 200% PPC
- ----------------------------------------------------------------------------------------------------------------------------
Implied Seasoned CPR 0% 10% 15% 20% 24% 30% 40%
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 24.88 12.44 9.17 7.16 6.03 4.95 4.09
Modified Duration (yrs.) 11.24 7.71 6.29 5.25 4.61 3.96 3.42
First Principal Payment Date 1/25/16 2/25/04 4/25/02 4/25/01 1/25/01 2/25/01 3/25/01
Last Principal Payment Date 7/25/27 10/25/21 5/25/16 11/25/12 8/25/10 1/25/08 4/25/05
Payment Window (mos.) 139 213 170 140 116 84 50
Yield @ 100.00000 7.235 7.216 7.202 7.187 7.174 7.158 7.138
</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 ofcertain 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 1997-4
Home Equity Loan Asset-Backed Certificates, Series 1997-4
<TABLE>
<CAPTION>
Class B-1F (To Maturity)
- ----------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0% PPC 50% PPC 75% PPC 100% PPC 120% PPC 150% PPC 200% PPC
- ----------------------------------------------------------------------------------------------------------------------------
Implied Seasoned CPR 0% 10% 15% 20% 24% 30% 40%
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 24.73 11.79 8.67 6.70 5.64 4.61 3.75
Modified Duration (yrs.) 10.92 7.41 6.03 5.00 4.38 3.74 3.16
First Principal Payment Date 1/25/16 2/25/04 4/25/02 4/25/01 1/25/01 1/25/01 1/25/01
Last Principal Payment Date 2/25/27 3/25/18 2/25/13 5/25/10 5/25/08 3/25/06 12/25/03
Payment Window (mos.) 134 170 131 110 89 63 36
Yield @ 100.00000 7.542 7.520 7.505 7.488 7.474 7.454 7.430
</TABLE>
<TABLE>
<CAPTION>
Class A-1A (To Maturity)
- ----------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0% PPC 50% PPC 75% PPC 100% PPC 140% PPC 150% PPC 200% PPC
- ----------------------------------------------------------------------------------------------------------------------------
Implied Seasoned CPR 0% 10% 15% 20% 28% 30% 40%
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 20.92 7.05 5.03 3.87 2.78 2.58 1.76
Modified Duration (yrs.) 11.13 4.91 3.79 3.08 2.34 2.19 1.57
First Principal Payment Date 1/25/98 1/25/98 1/25/98 1/25/98 1/25/98 1/25/98 1/25/98
Last Principal Payment Date 12/25/27 1/25/27 7/25/24 1/25/20 12/25/13 11/25/12 8/25/08
Payment Window (mos.) 360 349 319 265 192 179 128
Yield @ 100.00000 6.048 6.050 6.053 6.054 6.054 6.054 6.053
</TABLE>
<TABLE>
<CAPTION>
Class M-1A (To Maturity)
- ----------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0% PPC 50% PPC 75% PPC 100% PPC 140% PPC 150% PPC 200% PPC
- ----------------------------------------------------------------------------------------------------------------------------
Implied Seasoned CPR 0% 10% 15% 20% 28% 30% 40%
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 27.58 14.12 10.10 7.68 5.56 5.28 4.92
Modified Duration (yrs.) 12.82 8.74 6.95 5.69 4.44 4.27 4.10
First Principal Payment Date 6/25/22 8/25/04 7/25/02 5/25/01 3/25/01 4/25/01 9/25/01
Last Principal Payment Date 11/25/27 1/25/26 1/25/22 2/25/17 8/25/11 8/25/10 1/25/07
Payment Window (mos.) 66 258 235 190 126 113 65
Yield @ 100.00000 6.308 6.313 6.317 6.320 6.321 6.321 6.321
</TABLE>
<TABLE>
<CAPTION>
Class M-2A (To Maturity)
- ----------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0% PPC 50% PPC 75% PPC 100% PPC 140% PPC 150% PPC 200% PPC
- ----------------------------------------------------------------------------------------------------------------------------
Implied Seasoned CPR 0% 10% 15% 20% 28% 30% 40%
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 27.58 14.05 10.00 7.58 5.45 5.13 4.26
Modified Duration (yrs.) 12.48 8.58 6.84 5.60 4.34 4.14 3.58
First Principal Payment Date 6/25/22 8/25/04 7/25/02 5/25/01 2/25/01 2/25/01 4/25/01
Last Principal Payment Date 10/25/27 12/25/24 12/25/19 2/25/15 2/25/10 3/25/09 1/25/06
Payment Window (mos.) 65 245 210 166 109 98 58
Yield @ 100.00000 6.569 6.576 6.581 6.585 6.587 6.588 6.585
</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 ofcertain 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 1997-4
Home Equity Loan Asset-Backed Certificates, Series 1997-4
<TABLE>
<CAPTION>
Class B-1A (To Maturity)
- ----------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0% PPC 50% PPC 75% PPC 100% PPC 140% PPC 150% PPC 200% PPC
- ----------------------------------------------------------------------------------------------------------------------------
Implied Seasoned CPR 0% 10% 15% 20% 28% 30% 40%
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 27.50 13.41 9.39 7.09 5.08 4.77 3.84
Modified Duration (yrs.) 11.97 8.20 6.49 5.29 4.08 3.88 3.25
First Principal Payment Date 6/25/22 8/25/04 7/25/02 5/25/01 1/25/01 1/25/01 1/25/01
Last Principal Payment Date 8/25/27 7/25/22 10/25/16 5/25/12 2/25/08 5/25/07 9/25/04
Payment Window (mos.) 63 216 172 133 86 77 45
Yield @ 100.00000 6.986 6.991 6.994 6.996 6.998 6.999 6.998
</TABLE>
<TABLE>
<CAPTION>
Class A-4F (To Call)
- ----------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0% PPC 50% PPC 75% PPC 100% PPC 120% PPC 150% PPC 200% PPC
- ----------------------------------------------------------------------------------------------------------------------------
Implied Seasoned CPR 0% 10% 15% 20% 24% 30% 40%
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 28.63 17.00 12.92 9.87 7.55 5.54 2.79
Modified Duration (yrs.) 12.15 9.73 8.31 6.96 5.71 4.46 2.47
First Principal Payment Date 1/25/26 5/25/13 10/25/09 6/25/06 9/25/03 2/25/02 6/25/00
Last Principal Payment Date 8/25/26 2/25/15 12/25/10 12/25/07 1/25/06 8/25/04 12/25/00
Payment Window (mos.) 8 22 15 19 29 31 7
Yield @ 100.00000 6.993 6.983 6.975 6.965 6.950 6.927 6.844
</TABLE>
<TABLE>
<CAPTION>
Class A-5F (To Call)
- ----------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0% PPC 50% PPC 75% PPC 100% PPC 120% PPC 150% PPC 200% PPC
- ----------------------------------------------------------------------------------------------------------------------------
Implied Seasoned CPR 0% 10% 15% 20% 24% 30% 40%
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 12.60 8.03 7.28 6.78 6.43 5.87 4.72
Modified Duration (yrs.) 8.09 5.93 5.53 5.25 5.05 4.72 3.94
First Principal Payment Date 1/25/01 1/25/01 1/25/01 1/25/01 2/25/01 6/25/01 12/25/00
Last Principal Payment Date 8/25/26 2/25/15 12/25/10 12/25/07 1/25/06 8/25/04 10/25/02
Payment Window (mos.) 308 170 120 84 60 39 23
Yield @ 100.00000 6.678 6.658 6.653 6.648 6.645 6.639 6.620
</TABLE>
<TABLE>
<CAPTION>
Class M-1F (To Call)
- ----------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0% PPC 50% PPC 75% PPC 100% PPC 120% PPC 150% PPC 200% PPC
- ----------------------------------------------------------------------------------------------------------------------------
Implied Seasoned CPR 0% 10% 15% 20% 24% 30% 40%
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 24.79 11.83 8.69 6.69 5.57 4.68 4.12
Modified Duration (yrs.) 11.50 7.67 6.20 5.10 4.42 3.85 3.48
First Principal Payment Date 1/25/16 2/25/04 4/25/02 4/25/01 1/25/01 3/25/01 6/25/01
Last Principal Payment Date 8/25/26 2/25/15 12/25/10 12/25/07 1/25/06 8/25/04 10/25/02
Payment Window (mos.) 128 133 105 81 61 42 17
Yield @ 100.00000 6.970 6.950 6.936 6.920 6.906 6.891 6.878
</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 ofcertain 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 1997-4
Home Equity Loan Asset-Backed Certificates, Series 1997-4
<TABLE>
<CAPTION>
Class M-2F (To Call)
- ----------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0% PPC 50% PPC 75% PPC 100% PPC 120% PPC 150% PPC 200% PPC
- ----------------------------------------------------------------------------------------------------------------------------
Implied Seasoned CPR 0% 10% 15% 20% 24% 30% 40%
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 24.79 11.83 8.69 6.69 5.56 4.63 3.85
Modified Duration (yrs.) 11.23 7.56 6.13 5.05 4.38 3.78 3.26
First Principal Payment Date 1/25/16 2/25/04 4/25/02 4/25/01 1/25/01 2/25/01 3/25/01
Last Principal Payment Date 8/25/26 2/25/15 12/25/10 12/25/07 1/25/06 8/25/04 10/25/02
Payment Window (mos.) 128 133 105 81 61 43 20
Yield @ 100.00000 7.235 7.215 7.200 7.184 7.169 7.152 7.132
</TABLE>
<TABLE>
<CAPTION>
Class B-1F (To Call)
- ----------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0% PPC 50% PPC 75% PPC 100% PPC 120% PPC 150% PPC 200% PPC
- ----------------------------------------------------------------------------------------------------------------------------
Implied Seasoned CPR 0% 10% 15% 20% 24% 30% 40%
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 24.71 11.64 8.54 6.57 5.49 4.52 3.68
Modified Duration (yrs.) 10.92 7.37 5.98 4.94 4.30 3.68 3.11
First Principal Payment Date 1/25/16 2/25/04 4/25/02 4/25/01 1/25/01 1/25/01 1/25/01
Last Principal Payment Date 8/25/26 2/25/15 12/25/10 12/25/07 1/25/06 8/25/04 10/25/02
Payment Window (mos.) 128 133 105 81 61 44 22
Yield @ 100.00000 7.542 7.520 7.504 7.487 7.472 7.452 7.428
</TABLE>
<TABLE>
<CAPTION>
Class A-1A (To Call)
- ----------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0% PPC 50% PPC 75% PPC 100% PPC 140% PPC 150% PPC 200% PPC
- ----------------------------------------------------------------------------------------------------------------------------
Implied Seasoned CPR 0% 10% 15% 20% 28% 30% 40%
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 20.85 6.55 4.65 3.57 2.64 2.39 1.63
Modified Duration (yrs.) 11.11 4.76 3.65 2.94 2.26 2.09 1.49
First Principal Payment Date 1/25/98 1/25/98 1/25/98 1/25/98 1/25/98 1/25/98 1/25/98
Last Principal Payment Date 8/25/26 2/25/15 12/25/10 12/25/07 1/25/06 8/25/04 10/25/02
Payment Window (mos.) 344 206 156 120 97 80 58
Yield @ 100.00000 6.048 6.047 6.046 6.046 6.047 6.044 6.042
</TABLE>
<TABLE>
<CAPTION>
Class M-1A (To Call)
- ----------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0% PPC 50% PPC 75% PPC 100% PPC 140% PPC 150% PPC 200% PPC
- ----------------------------------------------------------------------------------------------------------------------------
Implied Seasoned CPR 0% 10% 15% 20% 28% 30% 40%
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 27.38 12.73 9.06 6.88 5.19 4.79 4.52
Modified Duration (yrs.) 12.78 8.36 6.58 5.34 4.25 3.99 3.83
First Principal Payment Date 6/25/22 8/25/04 7/25/02 5/25/01 3/25/01 4/25/01 9/25/01
Last Principal Payment Date 8/25/26 2/25/15 12/25/10 12/25/07 1/25/06 8/25/04 10/25/02
Payment Window (mos.) 51 127 102 80 59 41 14
Yield @ 100.00000 6.308 6.308 6.307 6.307 6.311 6.306 6.306
</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 ofcertain 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 1997-4
Home Equity Loan Asset-Backed Certificates, Series 1997-4
<TABLE>
<CAPTION>
Class M-2A (To Call)
- ----------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0% PPC 50% PPC 75% PPC 100% PPC 140% PPC 150% PPC 200% PPC
- ----------------------------------------------------------------------------------------------------------------------------
Implied Seasoned CPR 0% 10% 15% 20% 28% 30% 40%
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 27.38 12.73 9.06 6.88 5.15 4.70 3.96
Modified Duration (yrs.) 12.45 8.23 6.50 5.29 4.18 3.89 3.38
First Principal Payment Date 6/25/22 8/25/04 7/25/02 5/25/01 2/25/01 2/25/01 4/25/01
Last Principal Payment Date 8/25/26 2/25/15 12/25/10 12/25/07 1/25/06 8/25/04 10/25/02
Payment Window (mos.) 51 127 102 80 60 43 19
Yield @ 100.00000 6.569 6.568 6.568 6.567 6.575 6.567 6.566
</TABLE>
<TABLE>
<CAPTION>
Class B-1A (To Call)
- ----------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0% PPC 50% PPC 75% PPC 100% PPC 140% PPC 150% PPC 200% PPC
- ----------------------------------------------------------------------------------------------------------------------------
Implied Seasoned CPR 0% 10% 15% 20% 28% 30% 40%
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 27.36 12.64 8.94 6.78 5.00 4.59 3.72
Modified Duration (yrs.) 11.95 8.00 6.33 5.15 4.03 3.78 3.17
First Principal Payment Date 6/25/22 8/25/04 7/25/02 5/25/01 1/25/01 1/25/01 1/25/01
Last Principal Payment Date 8/25/26 2/25/15 12/25/10 12/25/07 1/25/06 8/25/04 10/25/02
Payment Window (mos.) 51 127 102 80 61 44 22
Yield @ 100.00000 6.986 6.986 6.985 6.984 6.992 6.985 6.985
</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 ofcertain 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 1997-4
Home Equity Loan Asset-Backed Certificates, Series 1997-4
<TABLE>
<CAPTION>
AVAILABLE FUNDS CAP - ADJUSTABLE RATE GROUP*
Available Available Available
Period Funds Cap Period Funds Cap Period Funds Cap
------ --------- ------ --------- ------ ---------
<S> <C> <C> <C> <C> <C>
2 10.088% 27 13.371% 52 16.505%
3 10.090% 28 13.402% 53 16.505%
4 10.103% 29 13.469% 54 16.505%
5 10.131% 30 13.775% 55 16.505%
6 10.218% 31 14.357% 56 16.505%
7 10.380% 32 14.357% 57 16.505%
8 10.380% 33 14.371% 58 16.505%
9 10.382% 34 14.402% 59 16.505%
10 10.394% 35 14.470% 60 16.505%
11 10.422% 36 14.775% 61 16.505%
12 10.507% 37 15.357% 62 16.505%
13 10.668% 38 15.357% 63 16.505%
14 10.668% 39 15.369% 64 16.505%
15 10.670% 40 15.389% 65 16.505%
16 10.683% 41 15.443% 66 16.505%
17 10.711% 42 15.713% 67 16.505%
18 10.796% 43 16.209% 68 16.505%
19 10.957% 44 16.209% 69 16.505%
20 10.957% 45 16.218% 70 16.505%
21 10.988% 46 16.219% 71 16.505%
22 11.055% 47 16.230% 72 16.505%
23 11.200% 48 16.319% 73 16.505%
24 11.942% 49 16.505% 74 16.505%
25 13.357% 50 16.505% 75 16.505%
26 13.357% 51 16.505% 76 16.505%
</TABLE>
* Achieved assuming 1 and 6 month LIBOR increases to a level beyond the highest
maximum obtainable rate on the underlying adjustable 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 ofcertain 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 1997-4
Home Equity Loan Asset-Backed Certificates, Series 1997-4
<TABLE>
<CAPTION>
AVAILABLE FUNDS CAP - ADJUSTABLE RATE GROUP*
Available Available Available
Period Funds Cap Period Funds Cap Period Funds Cap
------ --------- ------ --------- ------ ---------
<S> <C> <C> <C> <C> <C>
77 16.505% 102 16.505% 127 16.505%
78 16.505% 103 16.505% 128 16.505%
79 16.505% 104 16.505% 129 16.505%
80 16.505% 105 16.505% 130 16.505%
81 16.505% 106 16.505% 131 16.505%
82 16.505% 107 16.505% 132 16.505%
83 16.505% 108 16.505% 133 16.505%
84 16.505% 109 16.505% 134 16.505%
85 16.505% 110 16.505% 135 16.505%
86 16.505% 111 16.505% 136 16.505%
87 16.505% 112 16.505% 137 16.505%
88 16.505% 113 16.505% 138 16.505%
89 16.505% 114 16.505% 139 16.505%
90 16.505% 115 16.505% 140 16.505%
91 16.505% 116 16.505% 141 16.505%
92 16.505% 117 16.505% 142 16.505%
93 16.505% 118 16.505% 143 16.505%
94 16.505% 119 16.505% 144 16.505%
95 16.505% 120 16.505% 145 16.505%
96 16.505% 121 16.505% 146 16.505%
97 16.505% 122 16.505% 147 16.505%
98 16.505% 123 16.505% 148 16.505%
99 16.505% 124 16.505%
100 16.505% 125 16.505%
101 16.505% 126 16.505%
</TABLE>
* Achieved assuming 1 and 6 month LIBOR increases to a level beyond the highest
maximum obtainable rate on the underlying adjustable 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 ofcertain 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 1997-4
Home Equity Loan Asset-Backed Certificates, Series 1997-4
Collateral Summary - Fixed Rate Home Equity Loan Characteristics
<TABLE>
<CAPTION>
<S> <C> <C>
Total Number of Loans 2,171
Total Outstanding Loan Balance $163,637,178.85
Balloon (% of Total) 9.29%
Level Pay (% of Total) 90.71% Min Max
--------------------------------------
Average Loan Original Balance $ 75,450.37 $ 10,000.00 $ 550,000.00
Average Loan Current Balance $ 75,374.10 $ 10,000.00 $ 548,639.71
Weighted Average Combined LTV 72.81% 8.00% 90.00%
Weighted Average Coupon 10.72% 7.99% 16.65%
Weighted Average Remaining Term to Mat (months) 299.2 59 360
Weighted Average Seasoning (months) 0.7 0 11
Weighted Average Original Term (months) 299.9 60 360
Range of Original Terms (months) Level Pay 100.00% Balloons 100.00%
------------------------------------- --------------------------------------
1 to 60 0.16% 180 100.00%
61 to 120 1.65%
121 to 180 13.88%
181 to 240 14.47%
241 to 300 1.65%
301 to 360 68.20%
Lien Position
1st Lien 92.94%
2nd Lien 7.06%
Property Type
Single Family 71.42%
Multi Family 24.06%
Mixed Use 2.44%
Condo 1.85%
Mobile Home 0.23%
Occupancy Status
Owner Occupied 88.88%
Non-Owner Occupied 11.12%
Geographic Concentration
(states not listed individually account for NY 41.57% NJ 6.42%
Less than 4% of the pool balance) OH 8.56% FL 5.84%
PA 6.81% GA 4.15%
Credit Quality (per Issuer's underwriting guidelines)
A 52.81% C 16.82%
B 26.00% D 4.37%
</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 ofcertain 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 1997-4
Home Equity Loan Asset-Backed Certificates, Series 1997-4
Detailed Collateral Summary - Fixed Rate Home Equity Loan Characteristics
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
Loan Count Loan Balance Percent of Total
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Current Balance 0.00+ to 50,000.00 813 27,870,207.30 17.03
50,000.00+ to 100,000.00 862 61,483,273.42 37.57
100,000.00+ to 150,000.00 323 39,590,854.75 24.19
150,000.00+ to 200,000.00 108 18,435,362.14 11.27
200,000.00+ to 250,000.00 41 9,084,546.07 5.55
250,000.00+ to 300,000.00 18 4,902,193.18 3.00
300,000.00+ to 350,000.00 2 650,500.00 0.40
350,000.00+ to 400,000.00 3 1,071,602.28 0.65
500,000.00+ to 550,000.00 1 548,639.71 0.34
------------------------------------------------------------------------------------------
Total 2,171 163,637,178.85 100.00
Original Balance 0.00+ to 50,000.00 809 27,670,348.04 16.91
50,000.00+ to 100,000.00 866 61,683,132.68 37.70
100,000.00+ to 150,000.00 323 39,590,854.75 24.19
150,000.00+ to 200,000.00 108 18,435,362.14 11.27
200,000.00+ to 250,000.00 41 9,084,546.07 5.55
250,000.00+ to 300,000.00 18 4,902,193.18 3.00
300,000.00+ to 350,000.00 2 650,500.00 0.40
350,000.00+ to 400,000.00 3 1,071,602.28 0.65
500,000.00+ to 550,000.00 1 548,639.71 0.34
------------------------------------------------------------------------------------------
Total 2,171 163,637,178.85 100.00
Interest Rate 7.500+ to 8.00 7 833,574.34 0.51
8.000+ to 8.50 30 3,455,457.66 2.11
8.500+ to 9.00 148 13,897,842.80 8.49
9.000+ to 9.50 140 12,320,336.28 7.53
9.500+ to 10.00 336 30,349,105.95 18.55
10.000+ to 10.50 291 20,496,899.60 12.53
10.500+ to 11.00 392 27,951,618.27 17.08
11.000+ to 11.50 211 13,877,458.33 8.48
11.500+ to 12.00 211 16,145,293.93 9.87
12.000+ to 12.50 101 6,152,645.58 3.76
12.500+ to 13.00 126 8,141,043.57 4.98
13.000+ to 13.50 67 4,150,600.48 2.54
13.500+ to 14.00 66 3,793,056.52 2.32
</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 ofcertain 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 1997-4
Home Equity Loan Asset-Backed Certificates, Series 1997-4
Detailed Collateral Summary - Fixed Rate Home Equity Loan Characteristics
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
Loan Count Loan Balance Percent of Total
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Interest Rate (cont'd) 14.000+ to 14.50 17 807,599.48 0.49
14.500+ to 15.00 14 707,996.83 0.43
15.000+ to 15.50 4 135,489.43 0.08
15.500+ to 16.00 6 272,142.83 0.17
16.000+ to 16.50 3 101,766.97 0.06
16.500+ to 17.00 1 47,250.00 0.03
------------------------------------------------------------------------------------------
Total 2,171 163,637,178.85 100.00
Combined LTV 5.0+ to 10.00 2 33,157.55 0.02
10.0+ to 15.00 6 143,566.99 0.09
15.0+ to 20.00 7 246,555.64 0.15
20.0+ to 25.00 17 570,992.20 0.35
25.0+ to 30.00 23 992,931.61 0.61
30.0+ to 35.00 32 2,144,860.05 1.31
35.0+ to 40.00 33 1,726,467.94 1.06
40.0+ to 45.00 54 2,874,019.26 1.76
45.0+ to 50.00 89 5,045,701.38 3.08
50.0+ to 55.00 83 4,717,557.45 2.88
55.0+ to 60.00 114 7,815,532.23 4.78
60.0+ to 65.00 180 13,565,086.48 8.29
65.0+ to 70.00 259 18,822,767.04 11.50
70.0+ to 75.00 281 21,264,599.68 12.99
75.0+ to 80.00 552 43,570,944.35 26.63
80.0+ to 85.00 273 24,213,744.41 14.80
85.0+ to 90.00 166 15,888,694.59 9.71
------------------------------------------------------------------------------------------
Total 2,171 163,637,178.85 100.00
State AR 6 201,012.45 0.12
AZ 11 715,659.57 0.44
CA 7 491,414.54 0.30
CO 11 889,478.08 0.54
CT 28 1,614,447.50 0.99
DC 3 108,884.77 0.07
DE 8 701,512.23 0.43
FL 126 9,556,769.31 5.84
</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 ofcertain 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 1997-4
Home Equity Loan Asset-Backed Certificates, Series 1997-4
Detailed Collateral Summary - Fixed Rate Home Equity Loan Characteristics
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
Loan Count Loan Balance Percent of Total
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
State (cont'd) GA 103 6,789,417.55 4.15
IL 93 6,296,198.86 3.85
IN 79 4,272,893.29 2.61
KY 24 1,075,605.23 0.66
MA 58 4,677,835.74 2.86
MD 33 2,122,960.75 1.30
ME 18 1,039,159.48 0.64
MI 79 4,537,568.16 2.77
MN 3 148,498.68 0.09
MO 14 648,645.76 0.40
MS 8 281,871.76 0.17
NC 77 4,485,546.34 2.74
NH 9 442,307.68 0.27
NJ 116 10,508,275.53 6.42
NM 11 843,279.60 0.52
NV 6 476,162.68 0.29
NY 689 68,025,034.05 41.57
OH 221 14,005,058.15 8.56
OR 9 581,953.30 0.36
PA 203 11,142,202.31 6.81
RI 34 2,448,314.34 1.50
SC 33 1,556,436.15 0.95
TN 34 1,981,302.98 1.21
UT 3 161,640.50 0.10
VA 5 358,819.79 0.22
WA 1 59,953.31 0.04
WI 8 391,058.43 0.24
------------------------------------------------------------------------------------------
Total 2,171 163,637,178.85 100.00
Balloon Indicator Balloon Loan 182 15,198,740.77 9.29
Level Pay 1,989 148,438,438.08 90.71
------------------------------------------------------------------------------------------
Total 2,171 163,637,178.85 100.00
</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 ofcertain 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 1997-4
Home Equity Loan Asset-Backed Certificates, Series 1997-4
Detailed Collateral Summary - Fixed Rate Home Equity Loan Characteristics
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
Loan Count Loan Balance Percent of Total
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Original Term 0+ to 5 241,392.76 0.15
60+ to 120.00 63 2,442,230.50 1.49
120+ to 180.00 600 35,799,957.53 21.88
180+ to 240.00 330 21,478,041.18 13.13
240+ to 300.00 31 2,446,100.15 1.49
300+ to 360.00 1,142 101,229,456.73 61.86
------------------------------------------------------------------------------------------
Total 2,171 163,637,178.85 100.00
Remaining Term 0+ to 5 241,392.76 0.15
60+ to 120.00 63 2,442,230.50 1.49
120+ to 180.00 600 35,799,957.53 21.88
180+ to 240.00 330 21,478,041.18 13.13
240+ to 300.00 31 2,446,100.15 1.49
300+ to 360.00 1,142 101,229,456.73 61.86
------------------------------------------------------------------------------------------
Total 2,171 163,637,178.85 100.00
</TABLE>
The information presented above represents the characteristics of the Fixed Rate
mortgage loans as of a Statistical Calculation Date which are expected to be
sold to the Trust. The total outstanding principal balance of the loans expected
to be delivered prior to the Closing Date are anticipated to be no less than 75%
of the Initial Principal Balance of the Fixed Rate Group Certificates. The
remaining 25% of the mortgage loans (the "Subsequent Loans") are expected to be
delivered by the Seller within one month of closing. Following the expected
delivery of the Additional Loans prior to Closing and the Subsequent Loans
(subsequent to Closing), the Fixed Rate Loan Group is expected to have the
following characteristics:
Weighted Average Loan Rate.................... At least 10.60%
Weighted Average Remaining Term to
Stated Maturity............................. At least 280 months
Weighted Average Original Combined
Loan-to-Value Ratio......................... Not more than 75.00%
Balloon Loans................................. Not more than 25.00%
Principal Balance............................. Not more than $500,000
Maximum Individual State Concentration........ Not more than 48.00%
Zip Code Concentration........................ Not more than 3.00%
Non-Owner Occupied............................ Not more than 15.00%
Second Liens.................................. Not more than 10.00%
- --------------------------------------------------------------------------------
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 ofcertain 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 1997-4
Home Equity Loan Asset-Backed Certificates, Series 1997-4
Collateral Summary - Adjustable Rate Home Equity Loan Characteristics
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C>
Total Number of Loans 461
Total Outstanding Loan Balance $ 46,948,617.83
Level Pay (% of Total) 100.00%
Arm Adjustment Type: "2/28" "6 Month" "3/27"
----------------- --------- ------
71.01% 28.86% 0.13%
Min Max
-----------------------------------
Average Loan Original Balance $101,908.23 $ 15,000.00 $ 352,800.00
Average Loan Current Balance $101,840.82 $ 14,989.00 $ 352,800.00
Weighted Average Combined LTV 77.29% 20.15% 90.00%
Weighted Average Coupon 10.59% 6.85% 14.65%
Weighted Average Gross Margin 6.44% 3.70% 9.60%
Weighted Average Gross Life Cap 17.01% 13.85% 21.15%
Weighted Average Minimum Rate 10.10% 4.40% 14.15%
Weighted Average Periodic Cap 1.00% 1.00% 1.00%
Weighted Average First Adj. Cap 2.40% 1.00% 3.00%
Weighted Average Rem Term to Mat (months) 358.9 179 360
Weighted Average Seasoning (months) 0.8 0 6
Weighted Average Original Term (months) 359.7 180 360
Range of Original Terms Level Pay 100.00% Balloons 0%
----------------------------------- -----------------------------------
180 0.14% 0 0%
360 99.86%
Index 6 Month LIBOR 100.00%
Lien Position 1st Lien 100.00%
Property Type Single Family 82.78%
Multi Family 13.03%
Condo 4.19%
Occupancy Status Owner Occupied 92.45%
Non-Owner Occupied 7.55%
Geographic Concentration NY 19.05% MA 7.83%
(states not listed individually account for OH 10.53% PA 6.29%
Less than 5% of the pool balance) NJ 10.48% MI 6.04%
IL 10.37%
Credit Quality A 52.75% C 15.08%
(per Issuer's underwriting guidelines) B 27.68% D 4.49%
</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 ofcertain 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 1997-4
Home Equity Loan Asset-Backed Certificates, Series 1997-4
Detailed Collateral Summary - Adjustable Rate Home Equity Loan Characteristics
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
Loan Count Loan Balance Percent of Total
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Current Balance 0.00+ to 50,000.00 63 2,371,118.61 5.05
50,000.00+ to 100,000.00 201 14,822,106.50 31.57
100,000.00+ to 150,000.00 124 15,125,593.37 32.22
150,000.00+ to 200,000.00 43 7,324,502.91 15.60
200,000.00+ to 250,000.00 20 4,392,495.52 9.36
250,000.00+ to 300,000.00 6 1,582,334.43 3.37
300,000.00+ to 350,000.00 3 977,666.49 2.08
350,000.00+ to 400,000.00 1 352,800.00 0.75
----------------------------------------------------------------------------------------
Total 461 46,948,617.83 100.00
Original Balance 0.00+ to 50,000.00 63 2,371,118.61 5.05
50,000.00+ to 100,000.00 201 14,822,106.50 31.57
100,000.00+ to 150,000.00 124 15,125,593.37 32.22
150,000.00+ to 200,000.00 43 7,324,502.91 15.60
200,000.00+ to 250,000.00 20 4,392,495.52 9.36
250,000.00+ to 300,000.00 6 1,582,334.43 3.37
300,000.00+ to 350,000.00 3 977,666.49 2.08
350,000.00+ to 400,000.00 1 352,800.00 0.75
----------------------------------------------------------------------------------------
Total 461 46,948,617.83 100.00
Interest Rate 6.500+ to 7.00 1 100,885.82 0.21
7.500+ to 8.00 2 151,000.00 0.32
8.000+ to 8.50 9 1,185,719.62 2.53
8.500+ to 9.00 22 2,459,989.64 5.24
9.000+ to 9.50 40 4,670,866.70 9.95
9.500+ to 10.00 67 6,608,309.11 14.08
10.000+ to 10.50 90 9,391,650.12 20.00
10.500+ to 11.00 76 8,279,681.82 17.64
11.000+ to 11.50 60 5,878,866.43 12.52
11.500+ to 12.00 36 3,065,269.64 6.53
12.000+ to 12.50 22 2,391,516.76 5.09
12.500+ to 13.00 18 1,283,956.23 2.73
</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 ofcertain 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 1997-4
Home Equity Loan Asset-Backed Certificates, Series 1997-4
Detailed Collateral Summary - Adjustable Rate Home Equity Loan Characteristics
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
Loan Count Loan Balance Percent of Total
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Interest Rate (cont'd) 13.000+ to 13.50 7 674,821.46 1.44
13.500+ to 14.00 7 509,200.00 1.08
14.000+ to 14.50 1 30,000.00 0.06
14.500+ to 15.00 3 266,884.48 0.57
----------------------------------------------------------------------------------------
Total 461 46,948,617.83 100.00
Combined LTV 20.0+ to 25.00 1 55,000.00 0.12
25.0+ to 30.00 1 19,937.18 0.04
30.0+ to 35.00 5 310,206.26 0.66
35.0+ to 40.00 3 97,391.30 0.21
40.0+ to 45.00 6 627,746.43 1.34
45.0+ to 50.00 11 791,286.13 1.69
50.0+ to 55.00 11 750,354.85 1.60
55.0+ to 60.00 16 1,211,648.89 2.58
60.0+ to 65.00 27 2,527,659.04 5.38
65.0+ to 70.00 57 5,100,859.21 10.86
70.0+ to 75.00 61 5,445,212.01 11.60
75.0+ to 80.00 119 13,196,390.99 28.11
80.0+ to 85.00 72 8,189,585.23 17.44
85.0+ to 90.00 71 8,625,340.31 18.37
----------------------------------------------------------------------------------------
Total 461 46,948,617.83 100.00
State AZ 7 861,918.89 1.84
CO 1 50,600.00 0.11
CT 15 1,531,437.26 3.26
DC 2 211,500.00 0.45
DE 2 114,304.28 0.24
FL 9 775,147.09 1.65
GA 23 2,312,110.88 4.92
IL 51 4,868,092.07 10.37
IN 16 1,191,660.01 2.54
KY 5 585,927.73 1.25
</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 ofcertain 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 1997-4
Home Equity Loan Asset-Backed Certificates, Series 1997-4
Detailed Collateral Summary - Adjustable Rate Home Equity Loan Characteristics
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
Loan Count Loan Balance Percent of Total
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
State (cont'd) MA 30 3,675,608.51 7.83
MD 12 1,147,670.26 2.44
ME 2 159,467.23 0.34
MI 45 2,835,492.23 6.04
MN 4 374,716.47 0.80
MO 1 27,692.85 0.06
NC 10 899,970.96 1.92
NH 15 1,725,391.72 3.68
NJ 36 4,921,655.10 10.48
NY 72 8,944,260.30 19.05
OH 50 4,941,547.46 10.53
PA 34 2,954,998.37 6.29
RI 9 748,945.20 1.60
SC 1 57,586.48 0.12
TN 1 56,250.00 0.12
VA 5 711,020.42 1.51
VT 1 51,275.23 0.11
WI 1 52,500.00 0.11
WV 1 159,870.83 0.34
---------------------------------------------------------------------------------------
Total 461 46,948,617.83 100.00
Loan Type 2/28 337 33,336,378.49 71.01
3/27 1 63,000.00 0.13
6 Mo LIBOR 123 13,549,239.34 28.86
----------------------------------------------------------------------------------------
Total 461 46,948,617.83 100.00
Original Term 120+ to 180.00 1 67,844.36 0.14
300+ to 360.00 460 46,880,773.47 99.86
----------------------------------------------------------------------------------------
Total 461 46,948,617.83 100.00
</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 ofcertain 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 1997-4
Home Equity Loan Asset-Backed Certificates, Series 1997-4
Detailed Collateral Summary - Adjustable Rate Home Equity Loan Characteristics
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
Loan Count Loan Balance Percent of Total
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Remaining Term 120+ to 180.00 1 67,844.36 0.14
300+ to 360.00 460 46,880,773.47 99.86
----------------------------------------------------------------------------------------
Total 461 46,948,617.83 100.00
Gross Margin 3.500+ to 4.00 5 381,085.82 0.81
4.000+ to 4.50 8 795,956.07 1.70
4.500+ to 5.00 23 2,338,965.94 4.98
5.000+ to 5.50 59 6,629,325.59 14.12
5.500+ to 6.00 71 6,928,281.41 14.76
6.000+ to 6.50 69 6,834,975.99 14.56
6.500+ to 7.00 124 13,159,776.29 28.03
7.000+ to 7.50 36 3,520,350.31 7.50
7.500+ to 8.00 25 3,166,021.36 6.74
8.000+ to 8.50 19 1,563,076.37 3.33
8.500+ to 9.00 13 1,001,479.20 2.13
9.000+ to 9.50 8 505,723.48 1.08
9.500+ to 10.00 1 123,600.00 0.26
----------------------------------------------------------------------------------------
Total 461 46,948,617.83 100.00
Maximum Rate 13.500+ to 14.00 3 251,885.82 0.54
14.000+ to 14.50 3 412,940.46 0.88
14.500+ to 15.00 12 1,430,638.90 3.05
15.000+ to 15.50 32 4,100,168.86 8.73
15.500+ to 16.00 53 4,901,586.96 10.44
16.000+ to 16.50 70 7,416,567.52 15.80
16.500+ to 17.00 63 6,914,095.02 14.73
17.000+ to 17.50 67 6,996,561.75 14.90
17.500+ to 18.00 55 5,776,486.62 12.30
18.000+ to 18.50 38 3,026,990.20 6.45
18.500+ to 19.00 29 2,128,155.40 4.53
19.000+ to 19.50 15 2,012,652.50 4.29
19.500+ to 20.00 10 845,743.54 1.80
</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 ofcertain 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 1997-4
Home Equity Loan Asset-Backed Certificates, Series 1997-4
Detailed Collateral Summary - Adjustable Rate Home Equity Loan Characteristics
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
Loan Count Loan Balance Percent of Total
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Maximum Rate (cont'd) 20.000+ to 20.50 3 232,659.80 0.50
20.500+ to 21.00 7 471,484.48 1.00
21.000+ to 21.50 1 30,000.00 0.06
----------------------------------------------------------------------------------------
Total 461 46,948,617.83 100.00
Minimum Rate 4.000+ to 4.50 1 84,752.04 0.18
4.500+ to 5.00 1 184,697.13 0.39
5.000+ to 5.50 9 1,179,397.64 2.51
5.500+ to 6.00 6 516,700.00 1.10
6.000+ to 6.50 15 1,600,880.15 3.41
6.500+ to 7.00 14 1,384,841.55 2.95
7.500+ to 8.00 3 207,938.09 0.44
8.000+ to 8.50 11 1,229,926.84 2.62
8.500+ to 9.00 22 2,383,639.64 5.08
9.000+ to 9.50 38 4,036,136.22 8.60
9.500+ to 10.00 62 6,092,210.49 12.98
10.000+ to 10.50 76 8,137,644.83 17.33
10.500+ to 11.00 66 7,139,976.54 15.21
11.000+ to 11.50 55 5,300,168.58 11.29
11.500+ to 12.00 34 2,964,133.51 6.31
12.000+ to 12.50 18 2,041,357.72 4.35
12.500+ to 13.00 15 1,112,472.58 2.37
13.000+ to 13.50 6 616,359.80 1.31
13.500+ to 14.00 8 705,384.48 1.50
14.000+ to 14.50 1 30,000.00 0.06
----------------------------------------------------------------------------------------
Total 461 46,948,617.83 100.00
Periodic Rate Cap 1.00 461 46,948,617.83 100.00
----------------------------------------------------------------------------------------
Total 461 46,948,617.83 100.00
</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 ofcertain 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 1997-4
Home Equity Loan Asset-Backed Certificates, Series 1997-4
Detailed Collateral Summary - Adjustable Rate Home Equity Loan Characteristics
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
Loan Count Loan Balance Percent of Total
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Initial Rate Cap 1.00 124 13,547,978.92 28.86
2.00 9 914,239.19 1.95
3.00 328 32,486,399.72 69.20
----------------------------------------------------------------------------------------
Total 461 46,948,617.83 100.00
Index 6 Mo. LIBOR 461 46,948,617.83 100.00
----------------------------------------------------------------------------------------
Total 461 46,948,617.83 100.00
Rate Adjustment Frequency 6 461 46,948,617.83 100.00
----------------------------------------------------------------------------------------
Total 461 46,948,617.83 100.00
</TABLE>
The information presented above represents the characteristics of the Adjustable
Rate mortgage loans as of a Statistical Calculation Date which are expected to
be sold to the Trust. The total outstanding principal balance of the loans
expected to be delivered prior to the Closing Date are anticipated to be no less
than 75% of the Initial Principal Balance of the Adjustable Rate Group
Certificates. The remaining 25% of the mortgage loans (the "Subsequent Loans")
are expected to be delivered by the Seller within one month of closing.
Following the expected delivery of the Additional Loans prior to Closing and the
Subsequent Loans (subsequent to Closing), the Adjustable Rate Loan Group is
expected to have the following characteristics:
<TABLE>
<S> <C>
Weighted Average Loan Rate..................................... At least 10.45%
Weighted Average Remaining Term to Stated Maturity............. At least 358 months
Weighted Average Original Combined Loan-to-Value Ratio......... Not more than 79.00%
Principal Balance.............................................. Not more than $500,000
State Concentration............................................ Not more than 25.00%
Maximum Individual State Concentration......................... Not more than 2.00%
Non-Owner Occupied............................................. Not more than 12.00%
First Liens.................................................... At least 99.00%
</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 ofcertain 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.
