<PAGE>
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
-----
FORM 8-K
CURRENT REPORT
PURSUANT TO SECTION 13 OR 15 (d)
OF THE SECURITIES EXCHANGE ACT OF 1934
Date of Report (date of earliest event reported) March 27, 1998
--------------
Delta Funding Corporation
-------------------------------------
(Exact name of registrant as specified in its charter)
New York 333-3418 11-2609517
- --------------------------- ------------ --------------
(State or other jurisdiction (Commission (IRS Employer
of incorporation) File Number) ID Number)
1000 Woodbury Road, Woodbury, New York 11797
- --------------------------------------------------------------------------------
(Address of principal executive offices) (Zip Code)
Registrant's Telephone Number,
including area code: (516) 364-8500
--------------
N/A
- --------------------------------------------------------------------------------
(Former name or former address, if changed since last report)
<PAGE>
Item 5. Other Events
Filing of Computational Materials and Consent of Independent Accountants.
This Current Report on Form 8-K is being filed to file a copy
of the Computational Materials (as defined below) prepared by Lehman Brothers
Inc., as an underwriter, in connection with the issuance by Delta Funding Home
Equity Loan Trust 1998-1 of Home Equity Loan Asset-Backed Certificates,
Series 1998-1. The term "Computational Materials" shall have the meaning given
in the No-Action Letter of May 20, 1994 issued by the Securities and Exchange
Commission (the "SEC") to Kidder, Peabody Acceptance Corporation I, Kidder,
Peabody & Co. Incorporated and Kidder Structured Asset Corporation, as made
applicable to other issuers and underwriters by the Commission in response to
the request of the Public Securities Association dated May 24, 1994, and the
supplemented in the No-Action Letter of February 17, 1995 issued by the SEC to
the Public Securities Association.
Item 7. Financial Statements, Pro Forma Financial Information and
Exhibits.
(a) Not applicable.
(b) Not applicable.
(c) Exhibits:
8.1 Opinion of Stroock & Stroock & Lavan LLP regarding certain tax
matters.
23.2 Consent of Stroock & Stroock & Lavan (included in Exhibit 8.1)
99.1 Computational Materials.
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934,
the registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
DELTA FUNDING CORPORATION
By: /s/ Richard Blass
---------------------------------
Name: Richard Blass
Title: Senior Vice President
Dated: March 27, 1998
<PAGE>
EXHIBIT INDEX
Exhibit Page
8.1 Opinion of Stroock & Stroock & Lavan LLP regarding certain
tax matters.
23.2 Consent of Stroock & Stroock & Lavan LLP (included in
Exhibit 8.1).
99.1 Computational Materials.
<PAGE>
Exhibit 8.1
Stroock & Stroock & Lavan LLP
180 Maiden Lane
New York, New York 10038-4982
March 27, 1998
Delta Funding Corporation
1000 Woodbury Road
Woodbury, New York 11797
Re: Delta Funding Corporation
Registration Statement on Form S-3
(No. 333-3418)
-----------------------------------
Ladies and Gentlemen:
We have acted as counsel for Delta Funding Corporation ("Delta") in connection
with the issuance of $400,000,000 aggregate principal amount of Home Equity Loan
Asset-Backed Certificates, Series 1998-1 (the "Certificates"). A Registration
Statement on Form S-3 relating to the Certificates (No. 333-3418) (the
"Registration Statement") has been filed with the Securities and Exchange
Commission under the Securities Act of 1933, as amended (the "Securities Act"),
and was declared effective on January 17, 1997. As set forth in the Prospectus
dated March 26, 1998 and the Prospectus Supplement dated March 26, 1998, the
Certificates will be issued by a trust established by Delta pursuant to the
provisions of a Pooling and Servicing Agreement dated as of February 28, 1998
(the "Pooling and Servicing Agreement") between Delta, as Seller and Servicer,
and The First National Bank of Chicago, as Trustee.
We have examined a form of the Pooling and Servicing Agreement, a form of the
Certificates, and a form of the Prospectus and Prospectus Supplement referred to
above. We also have examined such other documents, papers, statutes and
authorities as we have deemed necessary to form the basis for the opinions
hereinafter expressed. In our examination of such material, we have assumed the
genuineness of all signatures, the authenticity of all documents submitted to us
as originals and the conformity to original documents of copies of documents
submitted to us.
On the basis of the foregoing, we are of the opinion that the information in the
Prospectus Supplement under the caption "Federal Income Tax Considerations," and
in the Prospectus under the caption "Federal Income Tax Considerations," to the
extent that it constitutes matters of law or legal conclusions, is correct in
all material respects.
This opinion is based on current provisions of the Internal Revenue Code of
1986, as amended, the Treasury regulations promulgated thereunder, and judicial
and administrative interpretations thereof.
Except as provided below, this opinion is solely for the benefit of the
addressee hereof and may not be relied upon in any manner by any other person or
entity.
<PAGE>
We hereby consent to the filing of this opinion as an exhibit to the
Registration Statement, to the references to us in the Prospectus Supplement,
and to the filing of this opinion as an exhibit to an application made by or on
behalf of Delta or any dealer in connection with the registration of the
Certificates under the securities or blue sky laws of any state or jurisdiction.
In giving such permission, we do not admit hereby that we come within the
category of persons whose consent is required under Section 7 of the Securities
Act or the General Rules and Regulations of the Securities and Exchange
Commission thereunder.
Very truly yours,
/s/ Stroock & Stroock & Lavan LLP
STROOCK & STROOCK & LAVAN LLP
<PAGE>
EXHIBIT 99.1
- --------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to 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 the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
delivered by Lehman Brothers Inc. and the contents and accuracy thereof have not
been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives,
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or underlying assets, the
information contained in the Offering Document).
- --------------------------------------------------------------------------------
<PAGE>
DERIVED INFORMATION
$400,000,000 Certificates
Delta Funding Home Equity Loan Trust
1998-1
Home Equity Loan Asset-Backed Certificates
Delta Funding Corporation
as Seller and Servicer
<PAGE>
Securities Offered:
To Maturity:
<TABLE>
<CAPTION>
Est. Expected
Class Estimated Principal Expected Legal Ratings
Expected Size Group WAL/MDUR Pmt. Win. Final Final (S&P/
Securities Size (%) No. Benchmark (yrs) (mos) Maturity Maturity Fitch)
- ------------------ ------------- --------- -------- ------------- --------------- ------------- ----------- ----------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-1F (1) $116,613,000 37.86% F 1 mo LIBOR 1.00 1-22 1/25/00 10/25/17 AAA/AAA
Class A-2F (1) $15,438,000 5.01% F 2 yr Tsy 2.00/1.83 22-26 5/25/00 8/25/19 AAA/AAA
Class A-3F (1) $65,278,000 21.19% F 3 yr Tsy 3.00/2.65 26-54 9/25/02 6/25/26 AAA/AAA
Class A-4F (1) $10,220,000 3.32% F 5 yr Tsy 5.00/4.14 54-68 11/25/03 3/25/27 AAA/AAA
Class A-5F (1) $13,441,000 4.36% F Curve 10.70/7.08 68-211 10/25/15 5/25/30 AAA/AAA
Class A-6F (1) $46,200,000 15.00% F Curve 6.85/5.28 38-207 6/25/15 5/25/30 AAA/AAA
Class M-1F (1) $17,710,000 5.75% F 1 mo LIBOR 6.03 37-169 4/25/12 5/25/30 AA/AA+
Class M-2F (1) $10,010,000 3.25% F 1 mo LIBOR 5.97 37-153 12/25/10 5/25/30 A/A+
Class B-1F (1) $13,090,000 4.25% F 1 mo LIBOR 5.82 37-140 11/25/09 5/25/30 BBB-/BBB
Class A-1A (2) $19,050,000 20.71% A Curve 2.32/2.09 21-36 3/25/01 12/25/16 AAA/AAA
Class A-2A (2) $56,620,000 61.54% A 1 mo LIBOR 2.68 1-192 3/25/14 5/25/30 AAA/AAA
Class M-1A (2) $4,232,000 4.60% A 1 mo LIBOR 6.02 38-168 3/25/12 5/25/30 AA/AA+
Class M-2A (2) $4,094,000 4.45% A 1 mo LIBOR 5.99 38-159 6/25/11 5/25/30 A/A+
Class B-1A (2) $8,004,000 8.70% A 1 mo LIBOR 5.84 38-147 6/25/10 5/25/30 BBB-/BBB
- ------------------ ------------- --------- -------- ------------- --------------- ------------- ----------- ----------- ------------
</TABLE>
Class F-IO:
- --------------------------------------------------------------------------------
There will be a AAA/AAA rated interest-only class (Class F-IO) off the
Group F Fixed Rate Pool with a coupon of 7.0% for the
first 36 months and a notional balance equal to the sum of the balance
of Class A-6F and $3.85 MM of the balance of Class M-1F.
- --------------------------------------------------------------------------------
Class A-IO:
- --------------------------------------------------------------------------------
There will be a AAA/AAA rated interest-only class (Class A-IO) off the
Group A Adjustable Rate Pool with a coupon of 6.80%
for the first 36 months and a notional balance equal to the sum of the
balance of the Class B-1A Certificates and $2.116 MM of the balance of
the Class M-2A Certificates.
- --------------------------------------------------------------------------------
(1) Prepayments are sized at 120% of the Prepayment Assumption. A 100%
Prepayment Assumption assumes that prepayments start at 4% CPR in
month one, increase by approximately 1.455% each month to 20% CPR by
month 12, and remain at 20% CPR thereafter.
(2) Prepayments are sized at 140% of the Prepayment Assumption. A 100%
Prepayment Assumption assumes that prepayments start at 4% CPR in
month one, increase by approximately 1.455% each month to 20% CPR by
month 12, and remain at 20% CPR thereafter.
<PAGE>
Securities Offered (Cont'd):
To 10% Clean-up Call:
<TABLE>
<CAPTION>
Est. Expected
Class Estimated Principal Expected Legal Ratings
Expected Size Group WAL/MDUR Pmt. Win Final Final (S&P/
Securities Size (%) No. Benchmark (yrs) (mos) Maturity Maturity Fitch)
- ------------------ ------------- --------- -------- ------------- --------------- ------------- ----------- ----------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-4F (1) $10,220,000 3.32% F 5 yr Tsy 5.00/4.14 54-68 11/25/03 3/25/27 AAA/AAA
Class A-5F (1) $13,441,000 4.36% F Curve 7.34/5.55 68-96 3/25/06 5/25/30 AAA/AAA
Class A-6F (1) $46,200,000 15.00% F Curve 6.42/5.05 38-96 3/25/06 5/25/30 AAA/AAA
Class M-1F (1) $17,710,000 5.75% F 1 mo LIBOR 5.47 37-96 3/25/06 5/25/30 AA/AA+
Class M-2F (1) $10,010,000 3.25% F 1 mo LIBOR 5.46 37-96 3/25/06 5/25/30 A/A+
Class B-1F (1) $13,090,000 4.25% F 1 mo LIBOR 5.46 37-96 3/25/06 5/25/30 BBB-/BBB
Class A-2A (2) $56,620,000 61.54% A 1 mo LIBOR 2.52 1-96 3/25/06 5/25/30 AAA/AAA
Class M-1A (2) $ 4,232,000 4.60% A 1 mo LIBOR 5.53 38-96 3/25/06 5/25/30 AA/AA+
Class M-2A (2) $ 4,094,000 4.45% A 1 mo LIBOR 5.53 38-96 3/25/06 5/25/30 A/A+
Class B-1A (2) $ 8,004,000 8.70% A 1 mo LIBOR 5.53 38-96 3/25/06 5/25/30 BBB-/BBB
- ------------------ ------------- --------- -------- ------------- --------------- ------------- ----------- ----------- ------------
</TABLE>
(1) Prepayments are sized at 120% of the Prepayment Assumption. A 100%
Prepayment Assumption assumes that prepayments start at 4% CPR in
month one, increase by approximately 1.455% each month to 20% CPR by
month 12, and remain at 20% CPR thereafter.
(2) Prepayments are sized at 140% of the Prepayment Assumption. A 100%
Prepayment Assumption assumes that prepayments start at 4% CPR in
month one, increase by approximately 1.455% each month to 20% CPR by
month 12, and remain at 20% CPR thereafter.
<PAGE>
Sensitivity Analysis
Projected Performance
Under Varying Prepayment Assumptions
<TABLE>
<CAPTION>
Group F Loans
- -------------
To Maturity
<S> <C> <C> <C> <C> <C> <C> <C>
% Prepay Assumption 50% PPC 75% PPC 100% PPC 120% PPC 150% PPC 200% PPC 250% PPC
Class A-1F
- ----------
Avg. Life (yrs.) 1.90 1.40 1.14 1.00 0.86 0.71 0.62
Window (begin-end) (mths) 1-49 1-33 1-26 1-22 1-19 1-15 1-12
Expected Final Maturity 4/25/02 12/25/00 5/25/00 1/25/00 10/25/99 6/25/99 3/25/99
Class A-2F
- ----------
Avg. Life (yrs.) 4.43 3.02 2.34 2.00 1.65 1.30 1.10
Mod Duration (yrs) 3.75 2.67 2.12 1.83 1.52 1.21 1.03
Window (begin-end) (mths) 49-58 33-39 26-30 22-26 19-21 15-17 12-14
Expected Final Maturity 1/25/03 6/25/01 9/25/00 5/25/00 12/25/99 8/25/99 5/25/99
Yield @ 100.00000% 6.292 6.246 6.205 6.174 6.128 6.057 5.997
Class A-3F
- ----------
Avg. Life (yrs.) 9.23 5.61 3.71 3.00 2.30 1.75 1.43
Mod Duration (yrs) 6.60 4.48 3.19 2.65 2.08 1.61 1.33
Window (begin-end) (mths) 58-191 39-139 30-72 26-54 21-35 17-26 14-21
Expected Final Maturity 2/25/14 10/25/09 3/25/04 9/25/02 2/25/01 5/25/00 12/25/99
Yield @ 100.00000% 6.360 6.330 6.292 6.265 6.221 6.163 6.107
Class A-4F
- ----------
Avg. Life (yrs.) 17.63 12.92 8.11 5.00 3.35 2.28 1.82
Mod Duration (yrs) 10.17 8.48 6.06 4.14 2.92 2.06 1.66
Window (begin-end) (mths) 191-234 139-173 72-133 54-68 35-46 26-28 21-23
Expected Final Maturity 9/25/17 8/25/12 4/25/09 11/25/03 1/25/02 7/25/00 2/25/00
Yield @ 100.00000% 6.587 6.578 6.558 6.525 6.481 6.418 6.368
</TABLE>
<PAGE>
Sensitivity Analysis (continued)
Projected Performance
Under Varying Prepayment Assumptions
<TABLE>
<CAPTION>
Group F Loans
- -------------
To Maturity
<S> <C> <C> <C> <C> <C> <C> <C>
% Prepay Assumption 50% PPC 75% PPC 100% PPC 120% PPC 150% PPC 200% PPC 250% PPC
Class A-5F
- ----------
Avg. Life (yrs.) 23.59 18.43 14.49 10.70 4.45 2.49 1.98
Mod Duration (yrs) 11.18 9.98 8.77 7.08 3.70 2.21 1.79
Window (begin-end) (mths) 234-342 173-302 133-247 68-211 46-64 28-31 23-25
Expected Final Maturity 9/25/26 5/25/23 10/25/18 10/25/15 7/25/03 10/25/00 4/25/00
Yield @ 100.00000% 7.061 7.056 7.050 7.037 6.977 6.892 6.842
Class A-6F (NAS)
- ----------------
Avg. Life (yrs.) 7.94 7.29 6.95 6.85 6.83 4.69 2.48
Mod Duration (yrs) 5.89 5.53 5.34 5.28 5.25 3.85 2.22
Window (begin-end) (mths) 37-338 37-296 37-242 38-207 42-169 31-124 25-36
Expected Final Maturity 5/25/26 11/25/22 5/25/18 6/25/15 4/25/12 7/25/08 3/25/01
Yield @ 100.00000% 6.536 6.531 6.528 6.527 6.527 6.496 6.414
Class M-1F
- ----------
Avg. Life (yrs.) 12.51 9.21 7.15 6.03 5.02 4.44 5.19
Window (begin-end) (mths) 72-314 51-252 39-200 37-169 40-136 44-99 36-94
Expected Final Maturity 5/25/24 3/25/19 11/25/14 4/25/12 7/25/09 6/25/06 1/25/06
Class M-2F
- ----------
Avg. Life (yrs.) 12.44 9.12 7.08 5.97 4.92 4.13 4.11
Window (begin-end) (mths) 72-296 51-230 39-180 37-153 38-123 41-90 44-68
Expected Final Maturity 11/25/22 5/25/17 3/25/13 12/25/10 6/25/08 9/25/05 11/25/03
Class B-1F
- ----------
Avg. Life (yrs.) 12.19 8.91 6.91 5.82 4.77 3.91 3.64
Window (begin-end) (mths) 72-276 51-210 39-165 37-140 37-112 38-81 39-62
Expected Final Maturity 3/25/21 9/25/15 12/25/11 11/25/09 7/25/07 12/25/04 5/25/03
</TABLE>
<PAGE>
Sensitivity Analysis (continued)
Projected Performance
Under Varying Prepayment Assumptions
<TABLE>
<CAPTION>
Group F Loans
- -------------
To Call
<S> <C> <C> <C> <C> <C> <C> <C>
% Prepay Assumption 50% PPC 75% PPC 100% PPC 120% PPC 150% PPC 200% PPC 250% PPC
Class A-4F
- ----------
Avg. Life (yrs.) 17.16 12.52 7.94 5.00 3.35 2.28 1.82
Mod Duration (yrs) 10.04 8.31 5.97 4.14 2.92 2.06 1.66
Window (begin-end) (mths) 191-211 139-154 72-119 54-68 35-46 26-28 21-23
Expected Final Maturity 10/25/15 1/25/11 2/25/08 11/25/03 1/25/02 7/25/00 2/25/00
Yield @ 100.00000% 6.586 6.577 6.557 6.525 6.481 6.418 6.368
Class A-5F
- ----------
Avg. Life (yrs.) 17.58 12.83 9.91 7.34 4.45 2.49 1.98
Mod Duration (yrs) 9.83 8.22 6.94 5.55 3.70 2.21 1.79
Window (begin-end) (mths) 211-211 154-154 119-119 68-96 46-64 28-31 23-25
Expected Final Maturity 10/25/15 1/25/11 2/25/08 3/25/06 7/25/03 10/25/00 4/25/00
Yield @ 100.00000% 7.055 7.046 7.036 7.019 6.977 6.892 6.842
Class A-6F (NAS)
- ----------------
Avg. Life (yrs.) 7.93 7.26 6.86 6.42 5.79 3.95 2.48
Mod Duration (yrs) 5.89 5.52 5.30 5.05 4.66 3.36 2.22
Window (begin-end) (mths) 37-211 37-154 37-119 38-96 42-79 31-58 25-36
Expected Final Maturity 10/25/15 1/25/11 2/25/08 3/25/06 10/25/04 1/25/03 3/25/01
Yield @ 100.00000% 6.535 6.531 6.527 6.523 6.516 6.480 6.414
</TABLE>
<PAGE>
Sensitivity Analysis (continued)
Projected Performance
Under Varying Prepayment Assumptions
<TABLE>
<CAPTION>
Group F Loans
- -------------
To Call
<S> <C> <C> <C> <C> <C> <C> <C>
% Prepay Assumption 50% PPC 75% PPC 100% PPC 120% PPC 150% PPC 200% PPC 250% PPC
Class M-1F
- ----------
Avg. Life (yrs.) 11.74 8.52 6.57 5.47 4.61 4.15 3.59
Window (begin-end) (mths) 72-211 51-154 39-119 37-96 40-79 44-58 36-44
Expected Final Maturity 10/25/15 1/25/11 2/25/08 3/25/06 10/25/04 1/25/03 11/25/01
Class M-2F
- ----------
Avg. Life (yrs.) 11.74 8.52 6.57 5.46 4.56 3.88 3.66
Window (begin-end) (mths) 72-211 51-154 39-119 37-96 38-79 41-58 44-44
Expected Final Maturity 10/25/15 1/25/11 2/25/08 3/25/06 10/25/04 1/25/03 11/25/01
Class B-1F
- ----------
Avg. Life (yrs.) 11.74 8.52 6.57 5.46 4.53 3.74 3.50
Window (begin-end) (mths) 72-211 51-154 39-119 37-96 37-79 38-58 39-44
Expected Final Maturity 10/25/15 1/25/11 2/25/08 3/25/06 10/25/04 1/25/03 11/25/01
</TABLE>
<PAGE>
Sensitivity Analysis (continued)
Projected Performance
Under Varying Prepayment Assumptions
<TABLE>
<CAPTION>
Group A Loans
- -------------
To Maturity
<S> <C> <C> <C> <C> <C> <C> <C>
% Prepay Assumption 50% PPC 75% PPC 100% PPC 140% PPC 150% PPC 200% PPC 250% PPC
Class A-1A
- ----------
Avg. Life (yrs.) 3.04 2.67 2.48 2.32 2.30 2.23 2.15
Mod Duration (yrs) 2.67 2.37 2.22 2.09 2.07 2.02 1.95
Window (begin-end) (mths) 21-54 21-45 21-40 21-36 21-36 21-35 20-33
Expected Final Maturity 9/25/02 12/25/01 7/25/01 3/25/01 3/25/01 2/25/01 12/25/00
Yield @ 100.00000% 6.396 6.376 6.364 6.352 6.350 6.344 6.337
Class A-2A
- ----------
Avg. Life (yrs.) 7.84 5.39 3.98 2.68 2.46 1.54 0.89
Window (begin-end) (mths) 1-349 1-318 1-265 1-192 1-178 1-127 1-20
Expected Final Maturity 4/25/27 9/25/24 4/25/20 3/25/14 1/25/13 10/25/08 11/25/99
Class M-1A
- ----------
Avg. Life (yrs.) 15.65 11.26 8.54 6.02 5.60 4.84 3.43
Window (begin-end) (mths) 103-339 70-293 53-235 38-168 37-156 47-112 33-96
Expected Final Maturity 6/25/26 8/25/22 10/25/17 3/25/12 3/25/11 7/25/07 3/25/06
Class M-2A
- ----------
Avg. Life (yrs.) 15.63 11.22 8.50 5.99 5.57 4.49 5.24
Window (begin-end) (mths) 103-334 70-282 53-224 38-159 37-147 42-106 51-83
Expected Final Maturity 1/25/26 9/25/21 11/25/16 6/25/11 6/25/10 1/25/07 2/25/05
Class B-1A
- ----------
Avg. Life (yrs.) 15.44 10.97 8.29 5.84 5.42 4.20 3.86
Window (begin-end) (mths) 103-324 70-266 53-208 38-147 37-136 37-98 38-74
Expected Final Maturity 3/25/25 5/25/20 7/25/15 6/25/10 7/25/09 5/25/06 5/25/04
</TABLE>
<PAGE>
Sensitivity Analysis (continued)
Projected Performance
Under Varying Prepayment Assumptions
<TABLE>
<CAPTION>
Group A Loans
- -------------
To Call
<S> <C> <C> <C> <C> <C> <C> <C>
% Prepay Assumption 50% PPC 75% PPC 100% PPC 140% PPC 150% PPC 200% PPC 250% PPC
Class A-2A
- ----------
Avg. Life (yrs.) 7.32 4.94 3.63 2.52 2.24 1.39 0.89
Window (begin-end) (mths) 1-211 1-154 1-119 1-96 1-79 1-58 1-20
Expected Final Maturity 10/25/15 1/25/11 2/25/08 3/25/06 10/25/04 1/25/03 11/25/99
Class M-1A
- ----------
Avg. Life (yrs.) 14.07 9.90 7.51 5.53 4.95 4.40 2.97
Window (begin-end) (mths) 103-211 70-154 53-119 38-96 37-79 47-58 33-44
Expected Final Maturity 10/25/15 1/25/11 2/25/08 3/25/06 10/25/04 1/25/03 11/25/01
Class M-2A
- ----------
Avg. Life (yrs.) 14.07 9.90 7.51 5.53 4.95 4.08 3.66
Window (begin-end) (mths) 103-211 70-154 53-119 38-96 37-79 42-58 44-44
Expected Final Maturity 10/25/15 1/25/11 2/25/08 3/25/06 10/25/04 1/25/03 11/25/01
Class B-1A
- ----------
Avg. Life (yrs.) 14.07 9.90 7.51 5.53 4.95 3.88 3.55
Window (begin-end) (mths) 103-211 70-154 53-119 38-96 37-79 37-58 38-44
Expected Final Maturity 10/25/15 1/25/11 2/25/08 3/25/06 10/25/04 1/25/03 11/25/01
</TABLE>
<PAGE>
Collateral Summary
Initial Group F Fixed Rate Loans
<TABLE>
<S> <C> <C> <C>
Number of Loans 2,407
Total Outstanding Principal Balance $190,858,753.07
Balloon (% of Total) 0.00%
Level Pay (% of Total) 100.00%
Average Principal Balance $79,293 $9,898 - $680,000
Weighted Average Loan Rate 10.54% 7.50% - 16.99%
Weighted Average Original Term (mos.) 309 60 - 360
Range of Original Terms (mos.)
1 - 60 0.1%
61 - 120 2.1%
121 - 180 17.6%
181 - 240 10.5%
241 - 300 1.5%
301 - 360 68.2%
Weighted Average Remaining Term (mos.) 308 57 - 360
Weighted Average CLTV 72.75% 8.20% - 90.45%
Lien Position (first/second) 93.6%/6.4%
Property Type
Single Family 68.9%
2-4 Family 22.6%
Mixed Use 2.3%
Condo 2.0%
Other 4.2%
Occupancy Status
Owner Occupied 88.0%
Investor Owner 12.0%
<CAPTION>
<S> <C> <C> <C> <C>
Geographic Distribution
other states account individually for less than NY 45.4% PA 4.9%
4% of Group F pool balance NJ 8.0% FL 4.6%
OH 7.5% GA 4.0%
Credit Class A 54.1% C 15.4%
B 26.2% D 4.2%
</TABLE>
<PAGE>
Collateral Summary (continued)
Initial Group A Adjustable Rate Loans
<TABLE>
<S> <C> <C> <C>
Number of Loans 718
Total Outstanding Principal Balance $63,451,347.10
Balloon (% of Total) 0.00%
Level Pay (% of Total) 100.00%
Average Principal Balance $88,372 $13,470 - $660,000
Weighted Average Loan Rate 10.50% 7.30% - 15.55%
Weighted Average Margin 6.50% 3.50% - 12.00%
Weighted Average Original Term (mos.) 360 180 - 360
Range of Original Terms (mos.)
180 - 0.0%
240 - 0.1%
360 - 99.9%
Weighted Average Remaining Term (mos.) 358.5 179 - 360
Weighted Average Life Cap 17.02% 13.30% - 22.55%
Weighted Average Periodic Rate Cap 1.00% 1.00% - 1.00%
Weighted Average First Period Rate Cap 2.27% 1.00% - 3.00%
Weighted Average Floor 10.48% 7.30% - 15.55%
Index 6 month LIBOR 100.00%
Product Mix
2/28 (6 Month Libor) 64.5%
3/27 (6 Month Libor) 0.5%
6 Month Libor 35.0%
Weighted Average LTV 77.22% 14.46% - 90.00%
First Lien Position 100.0%
Property Type
Single Family 83.4%
2-4 Family 14.8%
Condo 1.7%
Occupancy Status
Owner Occupied / Investor Owned 93.6%/6.4%
<CAPTION>
<S> <C> <C> <C> <C>
Geographic Distribution
other states account individually for less than MI 22.0% IL 8.8%
4% of Group A principal balance NY 13.0% MA 7.3%
NJ 11.8% PA 6.5%
OH 10.0%
Credit Class A 46.2% C 17.9%
B 31.6% D 4.3%
</TABLE>
<PAGE>
Collateral Summary (continued)
Detailed Collateral Summary - Fixed Rate Home Equity Loan Characteristics
---------------------------------------------------------------
Total
No. of Current
Current Balance Loans Balance %
---------------------------------------------------------------
1 - 25,000 158 3,097,719.88 1.6
25,001 - 50,000 680 26,441,796.14 13.9
50,001 - 75,000 551 34,215,442.84 17.9
75,001 - 100,000 372 32,484,198.99 17.0
100,001 - 125,000 272 30,782,000.24 16.1
125,001 - 150,000 168 22,876,951.61 12.0
150,001 - 175,000 91 14,695,976.92 7.7
175,001 - 200,000 55 10,304,224.92 5.4
200,001 - 225,000 20 4,274,268.59 2.2
225,001 - 250,000 14 3,315,752.95 1.7
250,001 - 275,000 6 1,577,190.53 0.8
275,001 - 300,000 9 2,612,324.57 1.4
300,001 - 325,000 4 1,258,864.12 0.7
325,001 - 350,000 2 694,400.00 0.4
350,001 - 375,000 2 728,000.00 0.4
375,001 - 400,000 1 380,000.00 0.2
425,001 - 450,000 1 439,640.77 0.2
675,001 - 700,000 1 680,000.00 0.4
---------------------------------------------------------------
Total: 2,407 190,858,753.07 100.0
---------------------------------------------------------------
Min.: 9,898
Max: 680,000
Avg.: 79,293
---------------------------------------------------------------
<PAGE>
Collateral Summary (continued)
Detailed Collateral Summary - Fixed Rate Home Equity Loan Characteristics
(Cont'd)
---------------------------------------------------------------
Total
No. of Current
Gross Coupon Loans Balance %
---------------------------------------------------------------
7.001 - 7.500 3 324,600.00 0.2
7.501 - 8.000 48 5,104,628.70 2.7
8.001 - 8.500 60 5,236,258.47 2.7
8.501 - 9.000 200 18,504,219.51 9.7
9.001 - 9.500 216 18,772,259.05 9.8
9.501 - 10.000 336 30,698,945.92 16.1
10.001 - 10.500 321 26,473,640.06 13.9
10.501 - 11.000 360 27,723,120.20 14.5
11.001 - 11.500 204 14,361,808.29 7.5
11.501 - 12.000 228 16,244,438.06 8.5
12.001 - 12.500 123 9,351,620.58 4.9
12.501 - 13.000 146 9,426,907.76 4.9
13.001 - 13.500 53 3,128,816.33 1.6
13.501 - 14.000 57 2,937,047.77 1.5
14.001 - 14.500 20 801,716.28 0.4
14.501 - 15.000 18 1,116,101.51 0.6
15.001 >= 14 652,624.58 0.3
---------------------------------------------------------------
Total: 2,407 190,858,753.07 100.0
---------------------------------------------------------------
Min.: 7.500
Max: 16.990
WA: 10.544
---------------------------------------------------------------
---------------------------------------------------------------
Total
No. of Current
Original Term Loans Balance %
---------------------------------------------------------------
1 - 60 6 143,031.18 0.1
61 - 120 93 4,017,644.13 2.1
121 - 180 531 33,657,091.33 17.6
181 - 240 291 20,045,843.26 10.5
241 - 300 31 2,865,322.12 1.5
301 - 360 1,455 130,129,821.05 68.2
---------------------------------------------------------------
Total: 2,407 190,858,753.07 100.0
---------------------------------------------------------------
Min.: 60.00
Max: 360.00
WA: 309.34
---------------------------------------------------------------
Collateral Summary (continued)
Detailed Collateral Summary - Fixed Rate Home Equity Loan Characteristics
(Cont'd)
---------------------------------------------------------------
Total
No. of Current
Stated Remaining Term Loans Balance %
---------------------------------------------------------------
1 - 60 6 143,031.18 0.1
61 - 120 93 4,017,644.13 2.1
121 - 180 531 33,657,091.33 17.6
181 - 240 291 20,045,843.26 10.5
241 - 300 31 2,865,322.12 1.5
301 - 360 1,455 130,129,821.05 68.2
---------------------------------------------------------------
Total: 2,407 190,858,753.07 100.0
---------------------------------------------------------------
Min.: 57.00
Max: 360.00
WA: 308.28
---------------------------------------------------------------
---------------------------------------------------------------
Total
No. of Current
Seasoning Loans Balance %
---------------------------------------------------------------
=< 0 808 69,248,876.02 36.3
1 - 6 1,588 120,740,567.60 63.3
7 - 12 8 692,406.05 0.4
13 - 18 2 164,484.56 0.1
19 - 24 1 12,418.84 0.0
---------------------------------------------------------------
Total: 2,407 190,858,753.07 100.0
---------------------------------------------------------------
Min.: 0.00
Max: 24.00
WA: 1.09
---------------------------------------------------------------
<PAGE>
Collateral Summary (continued)
Detailed Collateral Summary - Fixed Rate Home Equity Loan Characteristics
(Cont'd)
---------------------------------------------------------------
Total
No. of Current
Combined LTV Loans Balance %
---------------------------------------------------------------
5.01 - 10.00 2 49,746.36 0.0
10.01 - 15.00 5 172,914.20 0.1
15.01 - 20.00 16 438,776.64 0.2
20.01 - 25.00 25 942,931.31 0.5
25.01 - 30.00 23 1,015,614.32 0.5
30.01 - 35.00 30 1,484,305.37 0.8
35.01 - 40.00 45 2,559,910.79 1.3
40.01 - 45.00 50 2,821,933.33 1.5
45.01 - 50.00 88 5,594,643.17 2.9
50.01 - 55.00 113 8,048,561.74 4.2
55.01 - 60.00 143 9,760,082.52 5.1
60.01 - 65.00 168 12,944,992.61 6.8
65.01 - 70.00 334 25,938,481.86 13.6
70.01 - 75.00 295 22,479,018.04 11.8
75.01 - 80.00 594 48,737,959.57 25.5
80.01 - 85.00 270 26,643,507.91 14.0
85.01 - 90.00 205 21,083,605.82 11.0
90.01 - 95.00 1 141,767.51 0.1
---------------------------------------------------------------
Total: 2,407 190,858,753.07 100.0
---------------------------------------------------------------
Min.: 8.20
Max: 90.45
WA: 72.75
---------------------------------------------------------------
<PAGE>
Collateral Summary (continued)
Detailed Collateral Summary - Fixed Rate Home Equity Loan Characteristics
(Cont'd)
---------------------------------------------------------------
Total
No. of Current
Credit Grade Loans Balance %
---------------------------------------------------------------
A1 595 46,999,449.91 24.6
A2 598 56,403,573.11 29.6
B1 364 27,789,175.06 14.6
B2 302 22,144,791.17 11.6
C1 259 19,556,696.14 10.2
C2 148 9,914,485.61 5.2
D1 73 3,706,780.55 1.9
D2 34 2,440,747.23 1.3
D3 34 1,903,054.29 1.0
---------------------------------------------------------------
Total: 2,407 190,858,753.07 100.0
---------------------------------------------------------------
---------------------------------------------------------------
Total
No. of Current
Loan Documentation Loans Balance %
---------------------------------------------------------------
Full 1,771 139,609,182.36 73.1
Alternat 415 34,272,677.00 18.0
Limited 194 15,309,931.54 8.0
No Doc 27 1,666,962.17 0.9
---------------------------------------------------------------
Total: 2,407 190,858,753.07 100.0
---------------------------------------------------------------
<PAGE>
Collateral Summary (continued)
Detailed Collateral Summary - Fixed Rate Home Equity Loan Characteristics
(Cont'd)
---------------------------------------------------------------
Total
No. of Current
State Loans Balance %
---------------------------------------------------------------
AR 18 884,467.92 0.5
AZ 12 830,549.85 0.4
CO 6 388,844.75 0.2
CT 32 2,627,556.10 1.4
DC 3 132,017.66 0.1
DE 6 528,391.39 0.3
FL 118 8,776,483.48 4.6
GA 119 7,728,378.99 4.0
IL 100 7,632,762.30 4.0
IN 114 6,213,673.40 3.3
KY 24 1,153,575.75 0.6
MA 52 3,835,791.83 2.0
MD 39 2,739,684.79 1.4
ME 9 425,848.95 0.2
MI 103 5,829,773.80 3.1
MN 1 81,750.00 0.0
MO 7 296,858.95 0.2
MS 19 843,007.09 0.4
NC 71 4,992,028.92 2.6
NE 1 17,688.41 0.0
NH 11 791,345.73 0.4
NJ 175 15,332,595.51 8.0
NM 5 302,928.02 0.2
NV 4 258,473.23 0.1
NY 853 86,695,086.79 45.4
OH 225 14,379,775.97 7.5
OK 3 140,483.53 0.1
OR 3 368,315.08 0.2
PA 164 9,440,378.49 4.9
RI 27 1,806,977.14 0.9
SC 10 495,481.36 0.3
TN 40 2,545,275.29 1.3
UT 2 153,362.03 0.1
VA 8 506,494.29 0.3
VT 4 278,122.02 0.1
WA 4 301,535.63 0.2
WI 11 925,683.35 0.5
WV 4 177,305.28 0.1
---------------------------------------------------------------
Total: 2,407 190,858,753.07 100.0
---------------------------------------------------------------
<PAGE>
Collateral Summary (continued)
Detailed Collateral Summary - Adjustable Rate Home Equity Loan Characteristics
-----------------------------------------------------------------
Total
No. of Current
Current Balance Loans Balance %
-----------------------------------------------------------------
1 - 25,000 30 639,518.82 1.0
25,001 - 50,000 165 6,459,574.61 10.2
50,001 - 75,000 171 10,726,297.99 16.9
75,001 - 100,000 128 11,255,465.41 17.7
100,001 - 125,000 75 8,440,298.26 13.3
125,001 - 150,000 68 9,290,421.33 14.6
150,001 - 175,000 27 4,339,450.61 6.8
175,001 - 200,000 22 4,093,732.89 6.5
200,001 - 225,000 13 2,699,458.94 4.3
225,001 - 250,000 7 1,696,834.41 2.7
250,001 - 275,000 6 1,593,433.47 2.5
275,001 - 300,000 1 280,000.00 0.4
300,001 - 325,000 3 948,860.36 1.5
325,001 - 350,000 1 328,000.00 0.5
650,001 - 675,000 1 660,000.00 1.0
-----------------------------------------------------------------
Total: 718 63,451,347.10 100.0
-----------------------------------------------------------------
Min.: 13,470
Max: 660,000
Avg.: 88,372
-----------------------------------------------------------------
<PAGE>
Collateral Summary (continued)
Detailed Collateral Summary - Adjustable Rate Home Equity Loan Characteristics
(Cont'd)
-----------------------------------------------------------------
Total
No. of Current
Gross Coupon Loans Balance %
-----------------------------------------------------------------
7.001 - 7.500 2 83,934.34 0.1
7.501 - 8.000 9 1,968,535.58 3.1
8.001 - 8.500 15 1,776,894.37 2.8
8.501 - 9.000 37 4,129,908.44 6.5
9.001 - 9.500 61 5,776,342.56 9.1
9.501 - 10.000 103 10,872,436.45 17.1
10.001 - 10.500 97 9,832,908.35 15.5
10.501 - 11.000 122 10,713,870.06 16.9
11.001 - 11.500 72 5,410,569.51 8.5
11.501 - 12.000 78 6,407,423.27 10.1
12.001 - 12.500 40 2,513,167.01 4.0
12.501 - 13.000 35 1,835,424.92 2.9
13.001 - 13.500 14 494,423.76 0.8
13.501 - 14.000 22 1,057,604.41 1.7
14.001 - 14.500 5 172,530.88 0.3
14.501 - 15.000 1 101,500.00 0.2
15.001 >= 5 303,873.19 0.5
-----------------------------------------------------------------
Total: 718 63,451,347.10 100.0
-----------------------------------------------------------------
Min.: 7.300
Max: 15.550
WA: 10.499
-----------------------------------------------------------------
-----------------------------------------------------------------
Total
No. of Current
Original Term Loans Balance %
-----------------------------------------------------------------
180 1 19,979.47 0.0
240 1 51,000.00 0.1
360 716 63,380,367.63 99.9
-----------------------------------------------------------------
Total: 718 63,451,347.10 100.0
-----------------------------------------------------------------
Min.: 180.00
Max: 360.00
WA: 359.85
-----------------------------------------------------------------
<PAGE>
Collateral Summary (continued)
Detailed Collateral Summary - Adjustable Rate Home Equity Loan Characteristics
(Cont'd)
-----------------------------------------------------------------
Total
No. of Current
Stated Remaining Term Loans Balance %
-----------------------------------------------------------------
121 - 180 1 19,979.47 0.0
181 - 240 1 51,000.00 0.1
301 - 360 716 63,380,367.63 99.9
-----------------------------------------------------------------
Total: 718 63,451,347.10 100.0
-----------------------------------------------------------------
Min.: 179.00
Max: 360.00
WA: 358.47
-----------------------------------------------------------------
-----------------------------------------------------------------
Total
No. of Current
Seasoning Loans Balance %
-----------------------------------------------------------------
=< 0 123 11,527,658.49 18.2
1 - 6 593 51,728,686.58 81.5
7 - 12 2 195,002.03 0.3
-----------------------------------------------------------------
Total: 718 63,451,347.10 100.0
-----------------------------------------------------------------
Min.: 0.00
Max: 12.00
WA: 1.39
-----------------------------------------------------------------
-----------------------------------------------------------------
Total
No. of Current
Product Type Loans Balance %
-----------------------------------------------------------------
2/28 6 Month Libor 493 40,918,407.37 64.5
3/27 6 Month Libor 6 334,482.35 0.5
6 Month Libor 219 22,198,457.38 35.0
-----------------------------------------------------------------
Total: 718 63,451,347.10 100.0
-----------------------------------------------------------------
<PAGE>
Collateral Summary (continued)
Detailed Collateral Summary - Adjustable Rate Home Equity Loan Characteristics
(Cont'd)
-----------------------------------------------------------------
Total
No. of Current
Original LTV Loans Balance %
-----------------------------------------------------------------
10.01 - 15.00 1 59,000.00 0.1
20.01 - 25.00 3 110,212.14 0.2
25.01 - 30.00 2 128,639.29 0.2
35.01 - 40.00 4 200,694.26 0.3
40.01 - 45.00 4 229,692.04 0.4
45.01 - 50.00 20 771,729.68 1.2
50.01 - 55.00 20 1,660,400.52 2.6
55.01 - 60.00 35 2,048,223.44 3.2
60.01 - 65.00 44 2,819,087.94 4.4
65.01 - 70.00 92 7,109,492.60 11.2
70.01 - 75.00 85 7,829,490.41 12.3
75.01 - 80.00 214 19,931,830.60 31.4
80.01 - 85.00 101 10,712,262.11 16.9
85.01 - 90.00 93 9,840,592.07 15.5
-----------------------------------------------------------------
Total: 718 63,451,347.10 100.0
-----------------------------------------------------------------
Min.: 14.46
Max: 90.00
WA: 77.22
-----------------------------------------------------------------
-----------------------------------------------------------------
<PAGE>
Collateral Summary (continued)
Detailed Collateral Summary - Adjustable Rate Home Equity Loan Characteristics
(Cont'd)
-----------------------------------------------------------------
Total
No. of Current
Credit Grade Loans Balance %
-----------------------------------------------------------------
A1 85 9,192,171.54 14.5
A2 198 20,102,435.31 31.7
B1 138 11,574,554.07 18.2
B2 91 8,503,324.63 13.4
C1 106 7,894,219.88 12.4
C2 57 3,456,512.77 5.4
D1 27 1,705,282.19 2.7
D2 5 277,092.27 0.4
D3 11 745,754.44 1.2
-----------------------------------------------------------------
Total: 718 63,451,347.10 100.0
-----------------------------------------------------------------
-----------------------------------------------------------------
Total
No. of Current
Loan Documentation Loans Balance %
-----------------------------------------------------------------
Full 511 44,364,931.06 69.9
Alternate 146 14,432,995.90 22.7
Limited 48 4,001,021.88 6.3
No Doc 13 652,398.26 1.0
-----------------------------------------------------------------
Total: 718 63,451,347.10 100.0
-----------------------------------------------------------------
<PAGE>
Collateral Summary (continued)
Detailed Collateral Summary - Adjustable Rate Home Equity Loan Characteristics
(Cont'd)
-----------------------------------------------------------------
Total
No. of Current
Lifecap Loans Balance %
-----------------------------------------------------------------
12.001 - 14.000 4 549,800.49 0.9
14.001 - 16.000 141 16,357,653.02 25.8
16.001 - 18.000 363 33,753,399.04 53.2
18.001 - 20.000 170 10,903,967.05 17.2
20.001 - 22.000 35 1,582,654.31 2.5
22.001 >= 5 303,873.19 0.5
-----------------------------------------------------------------
Total: 718 63,451,347.10 100.0
-----------------------------------------------------------------
Min: 13.30
Max: 22.55
WA: 17.02
-----------------------------------------------------------------
-----------------------------------------------------------------
Total
No. of Current
Floor Loans Balance %
-----------------------------------------------------------------
6.001 - 8.000 12 2,222,281.56 3.5
8.001 - 10.000 219 22,789,481.53 35.9
10.001 - 12.000 367 32,060,061.87 50.5
12.001 - 14.000 109 5,801,618.07 9.1
14.001 - 16.000 11 577,904.07 0.9
-----------------------------------------------------------------
Total: 718 63,451,347.10 100.0
-----------------------------------------------------------------
Min: 7.30
Max: 15.55
WA: 10.48
-----------------------------------------------------------------
-----------------------------------------------------------------
Total
No. of Current
Margin Loans Balance %
-----------------------------------------------------------------
2.001 - 4.000 4 369,605.60 0.6
4.001 - 6.000 231 22,240,833.88 35.1
6.001 - 8.000 386 35,378,098.93 55.8
8.001 - 10.000 91 5,142,711.69 8.1
10.001 - 12.000 6 320,097.00 0.5
-----------------------------------------------------------------
Total: 718 63,451,347.10 100.0
-----------------------------------------------------------------
Min: 3.50
Max: 12.00
WA: 6.50
-----------------------------------------------------------------
<PAGE>
Collateral Summary (continued)
Detailed Collateral Summary - Adjustable Rate Home Equity Loan Characteristics
(Cont'd)
-----------------------------------------------------------------
Total
No. of Current
State Loans Balance %
-----------------------------------------------------------------
AR 1 26,550.00 0.0
AZ 7 751,433.34 1.2
CO 2 178,836.20 0.3
CT 9 739,930.23 1.2
DC 1 43,047.55 0.1
DE 3 224,887.06 0.4
FL 25 1,992,563.20 3.1
GA 20 2,099,788.19 3.3
IL 56 5,612,699.05 8.8
IN 13 907,047.97 1.4
KY 6 516,363.28 0.8
MA 37 4,649,565.75 7.3
MD 19 2,245,826.34 3.5
ME 1 28,030.00 0.0
MI 215 13,951,986.21 22.0
MN 1 119,850.00 0.2
MO 1 53,499.79 0.1
NC 8 596,488.18 0.9
NH 12 1,100,999.94 1.7
NJ 63 7,510,701.19 11.8
NY 63 8,254,013.47 13.0
OH 90 6,352,351.86 10.0
PA 52 4,113,800.59 6.5
RI 7 616,065.80 1.0
SC 1 60,000.00 0.1
TN 2 148,150.00 0.2
VA 3 556,871.91 0.9
-----------------------------------------------------------------
Total: 718 63,451,347.10 100.0
-----------------------------------------------------------------
<PAGE>
Collateral Summary (continued)
Detailed Collateral Summary - Adjustable Rate Home Equity Loan Characteristics
(Cont'd)
-----------------------------------------------------------------
Total
No. of Current
First Periodic Rate Cap Loans Balance %
-----------------------------------------------------------------
1.000 223 22,439,004.89 35.4
2.000 12 1,324,020.83 2.1
3.000 483 39,688,321.38 62.5
-----------------------------------------------------------------
Total: 718 63,451,347.10 100.0
-----------------------------------------------------------------
Min: 1.00
Max: 3.00
WA: 2.27
-----------------------------------------------------------------
-----------------------------------------------------------------
Total
Subsequent No. of Current
Periodic Rate Cap Loans Balance %
-----------------------------------------------------------------
1.000 718 63,451,347.10 100.0
-----------------------------------------------------------------
Total: 718 63,451,347.10 100.0
-----------------------------------------------------------------
Min: 1.00
Max: 1.00
WA: 1.00
-----------------------------------------------------------------
-----------------------------------------------------------------
Total
No. of Current
Next Rate Adjustment Date Loans Balance %
-----------------------------------------------------------------
1998-05 4 341,166.27 0.5
1998-06 18 1,476,373.69 2.3
1998-07 75 7,490,289.89 11.8
1998-08 85 8,726,635.17 13.8
1998-09 34 3,746,530.44 5.9
1998-10 3 417,461.92 0.7
1999-04 1 160,000.00 0.3
1999-09 3 221,665.23 0.3
1999-10 5 456,839.94 0.7
1999-11 7 485,588.84 0.8
1999-12 15 1,226,999.66 1.9
2000-01 160 13,415,773.22 21.1
2000-02 208 16,781,902.82 26.4
2000-03 83 7,051,797.91 11.1
2000-04 5 499,150.00 0.8
2000-12 3 453,775.31 0.7
2001-01 9 499,396.79 0.8
-----------------------------------------------------------------
Total: 718 63,451,347.10 100.0
-----------------------------------------------------------------
<PAGE>
ASSET BACKED SECURITIES TERM SHEET
$400,000,000 Certificates (approximate)
DELTA FUNDING HOME EQUITY LOAN TRUST 1998-1
Delta Funding Corporation (Seller and Servicer)
<TABLE>
<CAPTION>
Securities Offered:
To Maturity:
Est. Expected
Class Estimated Principal Expected Legal Ratings
Expected Size Group WAL/MDUR Pmt. Win. Final Final (S&P/
Securities Size (%) No. Benchmark (yrs) (mos) Maturity Maturity Fitch)
- ------------------ ------------- --------- -------- ------------- ---------------- ------------ ----------- ----------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-1F (1) $116,613,000 37.86% F 1 mo LIBOR 1.00 1-22 1/25/00 10/25/17 AAA/AAA
Class A-2F (1) $15,438,000 5.01% F 2 yr Tsy 2.00/1.83 22-26 5/25/00 8/25/19 AAA/AAA
Class A-3F (1) $65,278,000 21.19% F 3 yr Tsy 3.00/2.65 26-54 9/25/02 6/25/26 AAA/AAA
Class A-4F (1) $10,220,000 3.32% F 5 yr Tsy 5.00/4.14 54-68 11/25/03 3/25/27 AAA/AAA
Class A-5F (1) $13,441,000 4.36% F Curve 10.70/7.08 68-211 10/25/15 5/25/30 AAA/AAA
Class A-6F (1) $46,200,000 15.00% F Curve 6.85/5.28 38-207 6/25/15 5/25/30 AAA/AAA
Class M-1F (1) $17,710,000 5.75% F 1 mo LIBOR 6.03 37-169 4/25/12 5/25/30 AA/AA+
Class M-2F (1) $10,010,000 3.25% F 1 mo LIBOR 5.97 37-153 12/25/10 5/25/30 A/A+
Class B-1F (1) $13,090,000 4.25% F 1 mo LIBOR 5.82 37-140 11/25/09 5/25/30 BBB-/BBB
Class A-1A (2) $19,050,000 20.71% A Curve 2.32/2.09 21-36 3/25/01 12/25/16 AAA/AAA
Class A-2A (2) $56,620,000 61.54% A 1 mo LIBOR 2.68 1-192 3/25/14 5/25/30 AAA/AAA
Class M-1A (2) $4,232,000 4.60% A 1 mo LIBOR 6.02 38-168 3/25/12 5/25/30 AA/AA+
Class M-2A (2) $4,094,000 4.45% A 1 mo LIBOR 5.99 38-159 6/25/11 5/25/30 A/A+
Class B-1A (2) $8,004,000 8.70% A 1 mo LIBOR 5.84 38-147 6/25/10 5/25/30 BBB-/BBB
- ------------------ ------------- --------- -------- ------------- ---------------- ------------ ----------- ----------- ------------
</TABLE>
Class F-IO:
- --------------------------------------------------------------------------------
There will be a AAA/AAA rated interest-only class (Class F-IO) off the Group F
Fixed Rate Pool with a coupon of 7.0% for the first 36 months and a notional
balance equal to the sum of the balance of Class A-6F and the last $3.85 MM
outstanding of the balance of Class M-1F.
- --------------------------------------------------------------------------------
Class A-IO:
- --------------------------------------------------------------------------------
There will be a AAA/AAA rated interest-only class (Class A-IO) off the Group A
Adjustable Rate Pool with a coupon of 6.80% for the first 36 months and a
notional balance equal to the sum of the balance of Class B-1A and the last
$2.116 MM outstanding of the balance of the Class M-2A Certificates.
- --------------------------------------------------------------------------------
(1) Prepayments are sized at 120% PPC. 100% PPC assumes that prepayments
start at 4% CPR in month one, increase by approximately 1.455% each
month to 20% CPR by month 12, and remain at 20% CPR thereafter.
<PAGE>
(2) Prepayments are sized at 140% PPC.
<TABLE>
<CAPTION>
Securities Offered (Cont'd):
To 10% Clean-up Call:
- ------------------ ------------- --------- -------- ------------- --------------- ------------- ----------- ----------- ------------
Est. Expected
Class Estimated Principal Expected Legal Ratings
Expected Size Group WAL/MDUR Pmt. Win Final Final (S&P/
Securities Size (%) No. Benchmark (yrs) (mos) Maturity Maturity Fitch)
- ------------------ ------------- --------- -------- ------------- --------------- ------------- ----------- ----------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Class A-4F (1) $10,220,000 3.32% F 5 yr Tsy 5.00/4.14 54-68 11/25/03 3/25/27 AAA/AAA
Class A-5F (1) $13,441,000 4.36% F Curve 7.34/5.55 68-96 3/25/06 5/25/30 AAA/AAA
Class A-6F (1) $46,200,000 15.00% F Curve 6.42/5.05 38-96 3/25/06 5/25/30 AAA/AAA
Class M-1F (1) $17,710,000 5.75% F 1 mo LIBOR 5.47 37-96 3/25/06 5/25/30 AA/AA+
Class M-2F (1) $10,010,000 3.25% F 1 mo LIBOR 5.46 37-96 3/25/06 5/25/30 A/A+
Class B-1F (1) $13,090,000 4.25% F 1 mo LIBOR 5.46 37-96 3/25/06 5/25/30 BBB-/BBB
Class A-2A (2) $56,620,000 61.54% A 1 mo LIBOR 2.52 1-96 3/25/06 5/25/30 AAA/AAA
Class M-1A (2) $4,232,000 4.60% A 1 mo LIBOR 5.53 38-96 3/25/06 5/25/30 AA/AA+
Class M-2A (2) $4,094,000 4.45% A 1 mo LIBOR 5.53 38-96 3/25/06 5/25/30 A/A+
Class B-1A (2) $8,004,000 8.70% A 1 mo LIBOR 5.53 38-96 3/25/06 5/25/30 BBB-/BBB
- ------------------ ------------- --------- -------- ------------- --------------- ------------- ----------- ----------- ------------
</TABLE>
(1) Prepayments are sized at 120% PPC.
(2) Prepayments are sized at 140% PPC.
Credit Priority
(for Each Group)
-----------------------------
Class A
-----------------------------
Class M-1
-----------------------------
Class M-2
-----------------------------
Class B-1
-----------------------------
Overcollateralization
-----------------------------
Excess Interest
-----------------------------
<PAGE>
Securities Offered (Cont'd):
Payment Priority & Credit Enhancement
Group F Loans
- ------------------------------------------------------
|
A-1-F (Floater) |
|
- ------------------------------------------------------
|
A-2-F |
|
- ------------------------------------------------------
| | | | |
A-3-F | | | | |
| A-6-F | | | |
- --------------| (NAS) | | | |
| | M-1-F | | |
A-4-F | |(Floater)| M-2-F | |
| | |(Floater)| B-1-F |
- --------------| | | |(Floater)|
| | | ---------|
A-5-F | | |-------------------|
| | -------------------|
- ------------------------------------------------------
- ------------------------------------------------------
Overcollateralization (3.00%)
- ------------------------------------------------------
Excess Interest (approx. 2.67% p.a. at Cutoff)
- ------------------------------------------------------
<PAGE>
Securities Offered (Cont'd):
Payment Priority & Credit Enhancement
Group A Loans
- ---------------------------------------------
|
- ------------- |
| |
A-1A | A-2A |
| |
- ------------- |
|
-------------------------------
| | | |
| | | |
| | | |
| M-1A | M-2A | B-1A |
| | | |
| | | |
| | | |
- ---------------------------------------------
- ---------------------------------------------
Overcollateralization (2.25%)
- ---------------------------------------------
- ---------------------------------------------
Excess Interest (approx 3.10% p.a. at Cutoff)
- ---------------------------------------------
<PAGE>
II. Terms of the Offering
<TABLE>
<S> <C>
Managers: Lehman Brothers (Books)
Donaldson Lufkin & Jenrette
Morgan Stanley Dean Witter
Seller/Servicer: Delta Funding Corporation
Servicing Fee: 0.50% of the Pool Balance
Cut-Off Date: February 28, 1998
Expected Closing / Settlement: March 31, 1998
Delay on Certificates: 24 days on the fixed rate certificates; 0 days on the adjustable rate certificates.
Prepayment Assumption: Group F: Prepayments are sized at 120% PPC.
-------
Group A: Prepayments are sized at 140% PPC.
100% PPC assumes that prepayments
start at 4% CPR in month 1, increase
approximately 1.455% per month over
the first 12 months to 20% CPR, and
remain at 20% CPR after the 12th
month.
Collateral Pool: On the Closing Date, the collateral will consist of two groups of loans, Group F and
Group A.
The Group F Initial Loans are fixed
rate closed-end mortgage loans
secured by first and second level
pay and balloon mortgages on
substantially 1-4 family detached
properties located in 37 states and
the District of Columbia. The
aggregate principal balance of the
Group F loans is $190,858,735.07
(the "Initial Group F Pool Balance")
as of February 28, 1998 (the "Cutoff
Date"). The weighted average coupon
is approximately 10.54% and the
weighted average CLTV at origination
is approximately 72.75%.
Approximately 45.4% of the
properties are located in New York
State.
The Group A Initial Loans consist
primarily of 6 month LIBOR and 2/28
loans, secured primarily by first
level pay mortgages on 1-4 family
detached properties located in 26
states and the District of Columbia.
The aggregate principal balance of
the loans is $63,451,347.10 (the
"Initial Group A Pool Balance") as
of the Cut-off Date. Approximately
64.5% of the loans are 2/28 hybrids.
The weighted average LTV at
origination is approximately 77.22%.
The weighted average coupon is
approximately 10.50%, and the
weighted average margin is
approximately 6.50%. The weighted
average life cap and floor are
approximately 17.02% and 10.48%,
respectively.
<CAPTION>
II. Terms of the Offering (cont'd)
<PAGE>
<S> <C>
A substantial majority of the
difference between the Initial Pool
Balance as of the Cut-off Date and
the total transaction balance of
$400 million (approximately $145.7
million) is expected be delivered to
the Trust by the Closing Date. The
characteristics of these loans is
expected to be substantially similar
to the loans as of the Cut-off Date.
Structure: Sixteen Certificates are being offered:
The Class A Certificates Group
------------------------ -----
Class A-1F $116,613,000 F
Class A-2F $15,438,000 F
Class A-3F $65,278,000 F
Class A-4F $10,220,000 F
Class A-5F $13,441,000 F
Class A-6F (NAS) $46,200,000 F
Class F-IO (Notional) ($50,050,000) F
Class M-1F $17,710,000 F
Class M-2F $10,010,000 F
Class B-1F $13,090,000 F
Class A-1A $19,050,000 A
Class A-2A $56,620,000 A
Class A-IO (Notional) ($10,120,000) A
Class M-1A $4,232,000 A
Class M-2A $4,094,000 A
Class B-1A $8,004,000 A
</TABLE>
<PAGE>
II. Terms of the Offering (cont'd)
o Group F Certificate Structure
The Class A-6F Certificates will be a Non Accelerated
Senior security ("NAS"), otherwise referred to as a
Lockout Bond. This class will be locked out from all
principal payments for the first three years and
afterward will receive scheduled percentages of the
amount of principal available for distribution each
month (See "Terms of the Offering - Principal").
The Class A-1F, M-1F, M-2F and B-1F Certificates (the
"Group F Floating Rate Certificates") are floating
rate certificates based off 1 month LIBOR that pay
interest on an actual/360 day basis and accrue from
Payment Date to Payment Date (or from the Closing Date
in the case of the first Payment Date).
The Group F Floating Rate Certificates are subject to
an available funds cap (the "Group F Available Funds
Cap") equal to the weighted average Loan Rate on the
Group F loans minus the sum of (i) the servicing and
trustee fee rates (0.50625%) and (ii) the Class F-IO
coupon expressed as a percentage of the Group F loans.
The Group F Available Funds Cap equals approximately
8.90% initially, declines though month 36 and
thereafter equals approximately 10.04%. See
Sensitivity of Group F Available Funds Cap herein. The
Group F Floating Rate Subordinate Certificates are
also subject to a stated cap of 12%.
If the optional termination is not exercised when the
combined Group F and Group A pool balance falls below
10% of the combined Group F and Group A Original
Collateral Amount (as defined below), the margins on
the Class M-1F, M-2F and B-1F Certificates (the "Group
F Subordinate Floating Rate Certificates") will step
up to one and a half times the respective initial
margin on such Class.
The Group F Subordinate Floating Rate Certificates
have a catch-up feature that reimburses investors for
unpaid interest due to Available Funds Cap limitations
("LIBOR Carryover Shortfalls"), with accrued interest
thereon, on future Distribution Dates from the Group F
remaining excess interest. The catch-up feature will
not reimburse interest above the stated cap.
o Group F Credit Enhancement
Senior/subordinate structure with credit enhancement
at each rating level as shown below. The credit
enhancement levels at each rating level will step down
after month 36 such that the targeted enhancement
level at each rating level is maintained.
Monthly Subordination of Excess Interest
(approximately 2.67% per annum at Cutoff Date). Build
up of Overcollateralization ("OC") through
distributions of excess interest as principal to
Certificateholders to achieve a target of 3.00% of the
sum of the Closing Date Group F Pool Balance and the
original amount on deposit in the Prefunding Account
allocated to Group F (such sum, the "Group F Original
Collateral Amount").
As with credit enhancement levels, the Group F OC
will step down after month 36 to 6.00% of the
outstanding pool balance subject to a floor of 0.50%
of the Group F Original Collateral Amount.
<PAGE>
II. Terms of the Offering (cont'd)
o Group F Credit Enhancement (cont'd)
<TABLE>
<CAPTION>
------------- ---------------------------------- -------------------------------
CE (before Step-down) (1) CE (after Step-down) (1)
(S&P/Fitch) (% of Orig Collateral Amount) (% of current pool balance)
------------- ---------------------------------- -------------------------------
------------- ---------------------------------- -------------------------------
<S> <C> <C>
AAA/AAA 16.25% 32.50%
------------- ---------------------------------- -------------------------------
------------- ---------------------------------- -------------------------------
AA/AA+ 10.50% 21.00%
------------- ---------------------------------- -------------------------------
------------- ---------------------------------- -------------------------------
A/A+ 7.25% 14.50%
------------- ---------------------------------- -------------------------------
------------- ---------------------------------- -------------------------------
BBB-/BBB 3.00% 6.00%
------------- ---------------------------------- -------------------------------
</TABLE>
(1) Includes overcollateralization.
Cross-collateralization between the two Groups:
excess interest in either group, after covering any
shortfalls in that group (which shortfalls do not
inlcude LIBOR Carryover Shortfalls), can be used to
cover shortfalls in interest in the other group (which
shortfalls do not inlcude LIBOR Carryover Shortfalls).
<PAGE>
II. Terms of the Offering (cont'd)
o Sensitivity of Group F Available Funds Cap
The table below shows the Group F Available Funds Cap for the
first 36 periods at varying PPC:
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------
PPC
---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Period 80% 100% 120% 140% 160% 180% 200%
1 8.90 8.90 8.90 8.90 8.90 8.90 8.90
2 8.89 8.89 8.89 8.89 8.89 8.89 8.89
3 8.89 8.89 8.88 8.88 8.88 8.87 8.87
4 8.88 8.88 8.87 8.87 8.86 8.86 8.85
5 8.87 8.86 8.86 8.85 8.84 8.84 8.83
6 8.86 8.85 8.84 8.83 8.82 8.81 8.80
7 8.85 8.84 8.82 8.81 8.80 8.78 8.77
8 8.83 8.82 8.80 8.78 8.77 8.75 8.73
9 8.82 8.80 8.78 8.76 8.73 8.71 8.68
10 8.80 8.78 8.75 8.73 8.70 8.67 8.63
11 8.78 8.75 8.72 8.69 8.65 8.62 8.58
12 8.76 8.73 8.69 8.65 8.61 8.56 8.51
13 8.74 8.70 8.66 8.61 8.56 8.50 8.44
14 8.72 8.68 8.63 8.57 8.51 8.44 8.37
15 8.70 8.65 8.59 8.53 8.46 8.38 8.30
16 8.68 8.62 8.56 8.48 8.40 8.32 8.22
17 8.66 8.59 8.52 8.44 8.35 8.25 8.14
18 8.64 8.57 8.48 8.39 8.29 8.18 8.05
19 8.62 8.54 8.45 8.35 8.23 8.11 7.97
20 8.60 8.51 8.41 8.30 8.17 8.03 7.87
21 8.57 8.48 8.37 8.25 8.11 7.95 7.78
22 8.55 8.44 8.33 8.19 8.04 7.87 7.68
23 8.53 8.41 8.29 8.14 7.98 7.79 7.57
24 8.50 8.38 8.24 8.09 7.91 7.70 7.46
25 8.48 8.35 8.20 8.03 7.84 7.61 7.35
26 8.45 8.31 8.15 7.97 7.76 7.51 7.23
27 8.43 8.28 8.11 7.91 7.68 7.42 7.10
28 8.40 8.24 8.06 7.85 7.60 7.31 6.97
29 8.38 8.21 8.01 7.79 7.52 7.21 6.83
30 8.35 8.17 7.96 7.72 7.44 7.10 6.69
31 8.32 8.13 7.91 7.65 7.35 6.98 6.54
32 8.30 8.10 7.86 7.59 7.26 6.86 6.41
33 8.27 8.06 7.81 7.51 7.16 6.74 6.56
34 8.24 8.02 7.75 7.44 7.06 6.61 6.72
35 8.21 7.98 7.70 7.37 6.96 6.47 6.89
36 8.18 7.94 7.64 7.29 6.86 6.46 7.06
------------------------------------------------------------------------------------------------------
</TABLE>
II. Terms of the Offering (cont'd)
o Group A Certificate Structure
The Class A-1A Certificates are fixed rate
Certificates which are not scheduled to receive
principal payments for the 20 months. Thereafter, they
receive 90% of the Group A senior principal payments
until retired.
The Class A-2A, M-1A, M-2A and B-1A Certificates (the
"Group A Floating Rate Certificates") are floating
rate certificates based off 1 month LIBOR that pay
interest on an actual/360 day basis.
The Group A Floating Rate Certificates are subject to
an available funds cap (the "Group A Available Funds
Cap") equal to the weighted average Loan Rate on the
Group A loans minus the sum of (i) the servicing and
trustee fee rates (0.50625%) and (ii) the Class A-IO
coupon expressed as a percentage of the Group A loans.
The Group A Available Funds Cap equals approximately
9.25% at the Cutoff Date. The Group A Floating Rate
Certificates are also subject to a stated cap equal to
15%.
The weighted average loan rate on the Group A loans
is approximately 10.50%. at the Cutoff Date. The
weighted average lifetime cap is approximately 17.02%
at the Cutoff Date. The lifetime maximum Group A
Available Funds Cap is approximately 16.51% after
month 36, based on the weighted average lifetime cap
as of the Cutoff Date.
The Group A Floating Rate Certificates have a
catch-up feature that reimburses investors for unpaid
interest due to Available Funds Cap limitations
("LIBOR Carryover Shortfalls") with accrued interest
thereon, on future Distribution Dates from the Group A
remaining excess interest. The catch-up feature will
not reimburse interest above the stated cap.
If the optional termination is not exercised when the
combined Group F and Group A pool balance falls below
10% of the combined Group F and Group A Original
Collateral Amount, the margins on the Group A Floating
Rate Certificates will step up to:
i) two times the initial margin on the Group A Senior
Certificates (Class A-2A)
ii) one and a half times the initial margin on the
Group A Subordinate Certificates (Classes M-1A,
M-2A and B-1A).
<PAGE>
II. Terms of the Offering (cont'd)
o Group A Credit Enhancement
Senior/subordinate structure with credit enhancement
at each rating level as shown below. The credit
enhancement levels at each rating level will step down
after month 36 such that the targeted enhancement
level at each rating level is maintained.
Monthly Subordination of Excess Interest
(approximately equal to 3.10% per annum at Cutoff).
Build up of Overcollateralization ("OC") through
distributions of excess interest as principal to
Certificateholders to achieve a target 2.25% of the
sum of the Closing Date Group A Pool Balance and the
original amount on deposit in the Prefunding Account
allocated to Group A (such sum, the "Group A Original
Collateral Amount").
As with credit enhancement levels, the Group A OC
will step down after month 36 to 5.625% of the
outstanding pool balance subject to a floor of 0.50%
of the Group A Original Collateral Amount.
<TABLE>
<CAPTION>
CE (before Step-down) (1) CE (after Step-down) (1)
(S&P/Fitch) (% of Orig Collateral Amount) (% of current pool balance)
<S> <C> <C>
AAA/AAA 20.00% 50.000%
-------------
AA/AA+ 15.40% 38.050%
-------------
A/A+ 10.95% 27.375%
-------------
BBB-/BBB 2.25% 5.625%
</TABLE>
(1) Includes overcollateralization.
Cross-collateralization between the two Groups:
excess interest in either group, after covering any
shortfalls in that group (which shortfalls do not
inlcude LIBOR Carryover Shortfalls), can be used to
cover shortfalls in interest in the other group (which
shortfalls do not inlcude LIBOR Carryover Shortfalls).
<PAGE>
II. Terms of the Offering (cont'd)
o Group A Available Funds Cap
The following table shows the Group A Available Funds Cap each
month assuming the Group A Loans prepay at 140% PPC and 6 month
LIBOR remains constant at 5.6875%.
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------------
Month Available Funds Month Available Funds Month Available Funds
Cap (%) Cap (%) Cap (%)
----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
1 9.25 33 10.05 65 11.68
2 9.24 34 10.00 66 11.68
3 9.23 35 9.96 67 11.68
4 9.25 36 9.91 68 11.68
5 9.36 37 11.68 69 11.68
6 9.48 38 11.68 70 11.68
7 9.54 39 11.68 71 11.68
8 9.52 40 11.68 72 11.68
9 9.51 41 11.68 73 11.68
10 9.51 42 11.68 74 11.68
11 9.60 43 11.68 75 11.68
12 9.72 44 11.68 76 11.68
13 9.76 45 11.68 77 11.68
14 9.73 46 11.68 78 11.68
15 9.70 47 11.68 79 11.68
16 9.68 48 11.68 80 11.68
17 9.65 49 11.68 81 11.68
18 9.63 50 11.68 82 11.68
19 9.61 51 11.68 83 11.68
20 9.58 52 11.68 84 11.68
21 9.61 53 11.68 85 11.68
22 9.57 54 11.68 86 11.68
23 9.85 55 11.68 87 11.68
24 10.20 56 11.68 88 11.68
25 10.16 57 11.68 89 11.68
26 10.34 58 11.68 90 11.68
27 10.30 59 11.68 91 11.68
28 10.26 60 11.68 92 11.68
29 10.22 61 11.68 93 11.68
30 10.18 62 11.68 94 11.68
31 10.14 63 11.68 95 11.68
32 10.10 64 11.68 96 11.68
----------------------------------------------------------------------------------------------------------
</TABLE>
II. Terms of the Offering (cont'd)
Advances: - Monthly Advances. Delta, as
servicer, is required to advance
interest for delinquent loans ("Monthly
Advances") unless the Servicer
determines that the delinquency advances
are not recoverable from collections
on these loans. The Servicer will be
reimbursed for these advances from
future collections on these loans.
- Servicer Advances. The Servicer is
also required to pay all customary
"out-of-pocket" expenses associated
with servicing the loans ("Servicer
Advances"). The Servicer's right of
reimbursement for Servicing Advances
is limited to late collections of on
the related mortgage loans, released
mortgaged property proceeds, etc.
- Compensating Interest. The
Servicer will be required to remit
to the Trustee any interest
shortfalls due to the receipt of
less than 30 days of accrued
interest with a full prepayment
("Compensating Interest") up to the
Servicing Fee for the related
period, without any right of
reimbursement.
Certificate Ratings: See Cover
Trustee: First Chicago National Bank
Payment Date: The Payment Date for the
Certificates will be on the 25th of
each month or if such date is not a
Business Date, the next succeeding
Business Date commencing April 25,
1998.
Principal: Principal collections from each Loan Group
are allocated to the Certificates in each
respective Group.
Allocation of Principal Among Classes of Different Ratings
Prior to month 37 principal for a
Loan Group will be paid to Class
A's, M-1, M-2 and B-1 sequentially
in that order. Commencing on the
37th Distribution Date, and so long
as a Trigger Event has not occurred,
principal payments will be allocated
concurrently to classes of all
rating levels such that the credit
enhancement level at each rating is
double or 2.5 times the initial
credit enhancement for the Group F
and Group A Certificates,
respectively at that rating.
Although principal will be allocated
concurrently, priority of payments
will be given to the A's, M-1, M-2
and B-1 classes in that order.
Group F Class A Certificates
Principal allocated to the Group F
Class A Certificates will be paid
among these certificates as follows:
<PAGE>
II. Terms of the Offering (cont'd)
Principal will be paid to Classes
A-1F through A-5F (the "Sequential
Classes") sequentially from the
amount received on the Group F
loans. Class A-6F (the NAS Class)
will commence paying in month 37 and
will thereafter pay concurrently
with the Sequential Classes.
Principal allocation between the NAS
Class and the Sequential Classes is
determined by the following formula:
A-6F Principal = Shifting Percent
x
(Pro rata Alloc. of Group F Principal Pmt.);
where the Pro rata Allocation is
determined by the outstanding
balances of the NAS Class and the
Sequential Classes each month, and
the Shifting Percent is as follows:
Months Shifting Percent
37 - 60 45%
61 - 72 80%
73 - 84 100%
85 onward 300%
Group A Class A Certificates
Prior to month 21, all principal
allocated to the Group A Class A
Certificates will be paid to Class
A-2A. Commencing in month 21, 90% of
principal collections allocated to
Class A will be paid to Class A-1A
and 10% to Class A-2A until Class
A-1A is paid off. Thereafter, all
principal cashflow allocated to
Class A will again be paid to Class
A-2A.
Trigger Event: A trigger event will be in effect for the
respective Certificate Group if the related
three month average 90+ delinquency
percentages exceed two times the sum of (i)
the three month average OC amount as a
percentage of the related outstanding
pool balance and (ii) the three month
average related annualized excess spread
percentage. If a trigger event is in
effect, OC will not step down and all
principal will be paid sequentially, from
the highest to the lowest ratings.
Optional Cleanup Call: 10% Clean Up Call based on aggregate Group F
and Group A loan balances
Legal Final Maturity: See Cover
Delivery: Class A Certificates: Denominations of
$25,000 and integral multiples of $1,000
in excess sthereof. Book-entry through DTC,
Euroclear and CEDEL.
Tax Status: REMIC for Federal income tax purposes.
SMMEA: The Group F Certificates are not SMMEA
eligible. After the Funding Period, the
Group A Class A Certificates and Class M-1
Certificates are SMMEA eligible.
II. Terms of the Offering (cont'd)
ERISA: The Class A Certificates and the IO
Certificates are expected to be ERISA
eligible.
All other Certificates are not ERISA
eligible.
