<PAGE>
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
-----
FORM 8-K
CURRENT REPORT
PURSUANT TO SECTION 13 OR 15 (d)
OF THE SECURITIES EXCHANGE ACT OF 1934
Date of Report (date of earliest event reported) June 24, 1998
-------------
Delta Funding Corporation
------------------------------------------------------
(Exact name of registrant as specified in its charter)
New York 333-51545 11-2609517
- ---------------------------- ----------- -------------
(State or other jurisdiction (Commission (IRS Employer
of incorporation) File Number) ID Number)
1000 Woodbury Road, Woodbury, New York 11797
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(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 1998-2 of Home Equity Loan
Asset-Backed Certificates, Series 1998-2. The term "Computational Materials"
shall have the meaning given in the No-Action Letter of May 20, 1994 issued by
the Securities and Exchange Commission (the "SEC") to Kidder, Peabody Acceptance
Corporation I, Kidder, Peabody & Co. Incorporated and Kidder Structured Asset
Corporation, as made applicable to other issuers and underwriters by the
Commission in response to the request of the Public Securities Association dated
May 24, 1994, and the supplemented in the No-Action Letter of February 17, 1995
issued by the SEC to the Public Securities Association.
Item 7. Financial Statements, Pro Forma Financial Information and
Exhibits.
---------------------------------------------------------
(a) Not applicable.
(b) Not applicable.
(c) Exhibits:
8.1 Opinion of Stroock & Stroock & Lavan LLP regarding certain tax
matters.
23.2 Consent of Stroock & Stroock & Lavan (included in Exhibit 8.1)
99.1 Computational Materials.
2
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934,
the registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
DELTA FUNDING CORPORATION
By: /s/ Richard Blass
-----------------------
Name: Richard Blass
Title: Senior Vice President
Dated: June 24, 1998
3
<PAGE>
EXHIBIT INDEX
-------------
Exhibit Page
------- ----
8.1 Opinion of Stroock & Stroock & Lavan LLP regarding
certain tax matters.
23.2 Consent of Stroock & Stroock & Lavan LLP (included
in Exhibit 8.1).
99.1 Computational Materials.
<PAGE>
Exhibit 8.1
Stroock & Stroock & Lavan LLP
180 Maiden Lane
New York, New York 10038-4982
June 24, 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 $445,000,000 aggregate principal amount of Home Equity Loan
Asset-Backed Certificates, Series 1998-2 (the "Certificates"). A Registration
Statement on Form S-3 relating to the Certificates (No. 333-51545) (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 June 8, 1998. As set forth in the Prospectus dated
June 24, 1998 and the Prospectus Supplement dated June 24, 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 May 31, 1998 (the
"Pooling and Servicing Agreement") between Delta, as Seller and Servicer, and
Bankers Trust Company of California, N.A., as Trustee.
We have examined a form of the Pooling and Servicing Agreement, a form of the
Certificates, and a form of the Prospectus and Prospectus Supplement referred to
above. We also have examined such other documents, papers, statutes and
authorities as we have deemed necessary to form the basis for the opinions
hereinafter expressed. In our examination of such material, we have assumed the
genuineness of all signatures, the authenticity of all documents submitted to us
as originals and the conformity to original documents of copies of documents
submitted to us.
On the basis of the foregoing, we are of the opinion that the information in the
Prospectus Supplement under the caption "Federal Income Tax Considerations," and
in the Prospectus under the caption "Federal Income Tax Considerations," to the
extent that it constitutes matters of law or legal conclusions, is correct in
all material respects.
This opinion is based on current provisions of the Internal Revenue Code of
1986, as amended, the Treasury regulations promulgated thereunder, and judicial
and administrative interpretations thereof.
Except as provided below, this opinion is solely for the benefit of the
addressee hereof and may not be relied upon in any manner by any other person or
entity.
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>
DLJ
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Donaldson, Lufkin & Jenrette Securities Corporation
DERIVED INFORMATION
$445,000,000 Certificates
DELTA FUNDING HOME EQUITY LOAN TRUST 1998-2
HOME EQUITY LOAN ASSET-BACKED CERTIFICATES, SERIES 1998-2
Delta Funding Corporation
as Seller and Servicer
- -------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a
solicitation of an offer to buy any of the securities referred to herein.
Offers to sell and solicitations of offers to buy the securities are made
only by, and this information must be read in
conjunction with, the final Prospectus Supplement and the related Prospectus
or, if not registered under the securities laws, the final Offering
Memorandum (the "Offering Document"). Information contained herein is
preliminary, does not purport to be complete and is
subject to the same qualifications and assumptions, and should be considered
by investors only in the light of the same warnings, lack of assurances and
representations and other precautionary matters, as disclosed in the
Offering Document. Information regarding the
underlying assets has been provided by third parties and has not been
independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been
prepared on the basis of certain assumptions (including, in
certain cases, assumptions specified by the recipient hereof) regarding
payments, interest rates, losses and other matters, including,
but not limited to, the assumptions described in the Offering Document.
Donaldson, Lufkin & Jenrette Securities Corporation, and any of
its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof
including, with respect to any description of the securities or
underlying assets, the information contained in the Offering Document.
<PAGE>
DLJ
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Donaldson, Lufkin & Jenrette Securities Corporation
Delta Funding Home Equity Loan Trust 1998-2
Home Equity Loan Asset-Backed Certificates, Series 1998-2
$445,000,000 (Approximate, +/- 5%)
Delta Funding Home Equity Loan Trust 1998-2
<TABLE>
<CAPTION>
WAL Modified
Approximate (Years) Duration
Class Certificate Tranche Type Coupon (3F,3A) (Yrs) Principal Proposed Expected Legal
(1F,1A) Balance (1F,1A) (2F,2A) (5F,5A) (3F,3A) Window Rating (1) Final
------- ------- ------- ------- ------- ------- ------ ---------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
A-1F $131,000,000 Fixed Seq. [TBD]% 1.00 0.93 23 AAA/AAA 10/2016
A-2F 17,000,000 Fixed Seq. [TBD]% 2.00 1.83 4 AAA/AAA 3/2018
A-3F 79,800,000 Fixed Seq. [TBD]% 3.00 2.65 28 AAA/AAA 5/2025
A-4F 21,000,000 Fixed Seq. [TBD]% 4.98 4.15 18 AAA/AAA 9/2026
A-5F 32,000,000 Fixed Seq. [TBD]% 9.91 6.88 143 AAA/AAA 7/2028
A-6F(NAS)(4F) 36,000,000 Fixed Lock [TBD]% 6.55 5.16 171 AAA/AAA 7/2028
M-1F 19,800,000 Adjustable 1ML + [ ]% 5.49* 4.46* 61* AA/AA 7/2028
Mezz.
M-2F 10,800,000 Adjustable 1ML + [ ]% 5.49* 4.43* 61* A/A 7/2028
Mezz.
B-1F 12,600,000 Adjustable Sub. 1ML + [ ]% 5.44* 4.31* 61* BBB-/BBB 7/2028
F-IO (6F) Fixed Strip 10.00% Underwritten Underwritten Underwritten
by DLJ by DLJ by DLJ AAAr/AAA 6/2001
A-1A(NAS)(4A) 15,000,000 Fixed Lock [TBD]% 2.25 2.04 16 Aaa/AAA 1/2016
A-2A 54,062,500 Adjustable Sr. 1ML + [ ]% 2.25* 1.90* 97* Aaa/AAA 7/2028
M-1A 7,012,500 Adjustable 1ML + [ ]% 4.98* 4.12* 57* Aa2/AA 7/2028
Mezz.
M-2A 4,887,500 Adjustable 1ML + [ ]% 4.86* 4.00* 60* A2/A 7/2028
Mezz.
B-1A 4,037,500 Adjustable Sub. 1ML + [ ]% 4.64* 3.78* 61* Baa3/BBB 7/2028
Total $445,000,000
</TABLE>
* Run to 10% call.
Certificate sizes subject to change based on the delivery of additional loans
prior to the closing date, the delivery of subsequent loans on or after the
closing date and final rating agency review. The Class F-IO Certificate is not
being offered hereby.
Group F & Group A Certificates:
- -------------------------------
(1) The Group F Certificates will be rated by S&P and Fitch, respectively, and
the Group A Certificates will be rated by Moody's and Fitch, respectively.
Group F Certificates:
- ---------------------
(1F) Classes A-1F through A-6F, M-1F, M-2F, B-1F are collateralized by the
fixed rate loan pool. Classes A-1F through A-5F are sequential pay; Class
A-6F is concurrent pay starting in month 37. Classes 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 7/15/98. Fixed Pass Through Rates (30/360)
subject to the Group F Certificates Available Funds Cap with accrued
interest from 6/1/98, except for the Class M-1F, M-2F, and B-1F
Certificates, which will settle flat and will pay an adjustable coupon.
After the 10% Call Date, margin on Classes M-1F, M-2F and B-1F increases
by 1.5 times. Class A-4F, A-5F, A-6F, M-1F, M-2F, and B-1F Certificate
coupons are subject to the Group F Certificates Available Funds Cap
described herein.
(3F) Group F Certificates 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-6F NAS allocation of related 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% in month 85 and thereafter.
(5F) Group F Certificates priced to maturity, except for Classes M-1F, M-2F and
B-1F Certificates, which are priced to call.
(6F) Class F-IO Certificate will pay a fixed coupon based on a notional amount
equal to the Principal Balance of the Class A-6F Certificates for the
first 36 distribution dates.
Group A Certificates:
- ---------------------
(1A) Classes A-1A, A-2A, M-1A, M-2A, B-1A are collateralized by the adjustable
rate loan pool. Classes 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.
- -------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a
solicitation of an offer to buy any of the securities referred to herein.
Offers to sell and solicitations of offers to buy the securities are made
only by, and this information must be read in
conjunction with, the final Prospectus Supplement and the related Prospectus
or, if not registered under the securities laws, the final Offering
Memorandum (the "Offering Document"). Information contained herein is
preliminary, does not purport to be complete and is
subject to the same qualifications and assumptions, and should be considered
by investors only in the light of the same warnings, lack of assurances and
representations and other precautionary matters, as disclosed in the
Offering Document. Information regarding the
underlying assets has been provided by third parties and has not been
independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been
prepared on the basis of certain assumptions (including, in
certain cases, assumptions specified by the recipient hereof) regarding
payments, interest rates, losses and other matters, including,
but not limited to, the assumptions described in the Offering Document.
Donaldson, Lufkin & Jenrette Securities Corporation, and any of
its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof
including, with respect to any description of the securities or
underlying assets, the information contained in the Offering Document.
<PAGE>
DLJ
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Donaldson, Lufkin & Jenrette Securities Corporation
Delta Funding Home Equity Loan Trust 1998-2
Home Equity Loan Asset-Backed Certificates, Series 1998-2
(2A) Payable monthly starting 7/15/98. The Class A-2A, M-1A, M-2A and B-1A
Certificate coupons reset monthly to one month LIBOR (Actual/360) settling
flat. After the 10% Call Date, margin on Class A-2A doubles and margin on
Classes M-1A, M-2A and B-1A increases by 1.5 times. Class A-2A, M-1A, M-2A
and B-1A Certificate coupons are subject to the Group A Certificates
Available Funds Cap described herein. The Class A-1A coupon pays a fixed
pass through rate (30/360) with accrued interest from 6/1/98.
(3A) Group A Certificates pricing speed: 28% CPR.
(4A) Class A-1A NAS allocation of related senior principal distributions:
0% to month 20 and 90% in month 21 and
thereafter.
(5A) Group A Certificates priced to 10% call, except for the Class A-1A
Certificates, which are priced to maturity.
- -------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a
solicitation of an offer to buy any of the securities referred to herein.
Offers to sell and solicitations of offers to buy the securities are made
only by, and this information must be read in
conjunction with, the final Prospectus Supplement and the related Prospectus
or, if not registered under the securities laws, the final Offering
Memorandum (the "Offering Document"). Information contained herein is
preliminary, does not purport to be complete and is
subject to the same qualifications and assumptions, and should be considered
by investors only in the light of the same warnings, lack of assurances and
representations and other precautionary matters, as disclosed in the
Offering Document. Information regarding the
underlying assets has been provided by third parties and has not been
independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been
prepared on the basis of certain assumptions (including, in
certain cases, assumptions specified by the recipient hereof) regarding
payments, interest rates, losses and other matters, including,
but not limited to, the assumptions described in the Offering Document.
Donaldson, Lufkin & Jenrette Securities Corporation, and any of
its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof
including, with respect to any description of the securities or
underlying assets, the information contained in the Offering Document.
<PAGE>
DLJ
- -------------------------------------------------------------------------------
Donaldson, Lufkin & Jenrette Securities Corporation
Delta Funding Home Equity Loan Trust 1998-2
Home Equity Loan Asset-Backed Certificates, Series 1998-2
SUMMARY TERMS
Underwriters: Donaldson, Lufkin & Jenrette Securities Corporation (Books)
Lehman Brothers
NationsBanc Montgomery Securities LLC
Seller and Servicer: Delta Funding Corporation
Registration: The Class A, M and B Certificates will be available
in book-entry form through DTC, Cedel &
Euroclear.
Cut-off Date: June 1, 1998
Pricing Date: June [ ], 1998
Settlement Date: June [29], 1998
Distribution Dates: [15]th day of each month (or the next succeeding business
day), commencing July [15], 1998.
Optional 10% optional clean-up call (outstanding mortgage pool
Termination: balance is less than 10% of the sum of (i) initial
mortgage pool balance as of the Cut-off Date plus (ii)
any subsequent loans).
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 Class A-1A, Class A-2A, and Class M-1A
Certificates will constitute "mortgage related
securities" for purposes of SMMEA.
The Group F Certificates, the Class M-2A Certificates,
and the Class B-1A Certificates will not constitute
"mortgage related securities" for purposes of SMMEA.
Taxation: REMIC Election.
Class A-6F With regard to principal allocations, the Class A-6F
Principal Payment Certificates will receive the following percentage of its
Percentage: pro rata share of the related senior principal
distribution amount:
0 - 36 months: 0%
37 - 60 months: 45%
61 - 72 months: 80%
73 - 84 months: 100%
85 months and thereafter: 300%
Class A-1A With regard to principal allocations, the Class A-1A
Principal Payment Certificates will receive the following percentage of its
Percentage: pro rata share of the related senior principal
distribution amount:
0 - 20 months: 0%
21 months and thereafter: 90%
- -------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a
solicitation of an offer to buy any of the securities referred to herein.
Offers to sell and solicitations of offers to buy the securities are made
only by, and this information must be read in
conjunction with, the final Prospectus Supplement and the related Prospectus
or, if not registered under the securities laws, the final Offering
Memorandum (the "Offering Document"). Information contained herein is
preliminary, does not purport to be complete and is
subject to the same qualifications and assumptions, and should be considered
by investors only in the light of the same warnings, lack of assurances and
representations and other precautionary matters, as disclosed in the
Offering Document. Information regarding the
underlying assets has been provided by third parties and has not been
independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been
prepared on the basis of certain assumptions (including, in
certain cases, assumptions specified by the recipient hereof) regarding
payments, interest rates, losses and other matters, including,
but not limited to, the assumptions described in the Offering Document.
Donaldson, Lufkin & Jenrette Securities Corporation, and any of
its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof
including, with respect to any description of the securities or
underlying assets, the information contained in the Offering Document.
<PAGE>
DLJ
- -------------------------------------------------------------------------------
Donaldson, Lufkin & Jenrette Securities Corporation
Delta Funding Home Equity Loan Trust 1998-2
Home Equity Loan Asset-Backed Certificates, Series 1998-2
SUMMARY TERMS (CONTINUED)
Group A Class A-1A, A-2A, M-1A, M-2A and B-1A Certificates.
Certificates The weighted average of the net Loan Rates (net of
Available Funds Cap: Servicing: [0.50]%, and Trustee Fee: [0.0028]%) on the
loans in the Adjustable Rate Loan Group calculated on a
(30/360) basis.
Group F Class A-4F, A-5F, A-6F, M-1F, M-2F and B-1F
Certificates Certificates. The weighted average of the net Loan
Available Funds Cap: Rates (net of Servicing: [0.50]%, and Trustee Fee:
[0.0028]%) 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
(i) 10.00% and (ii) a fraction, the numerator of which is
the Notional Amount of the Class A-6F Certificates and
the denominator of which is the Fixed Rate Loan Group
balance calculated on a (30/360) basis.
Available Funds Cap To the extent interest distributions on the Class M-1F,
LIBOR Carryover: M-2F, B-1F, A-2A, M-1A, M-2A, or B-1A Certificates are
limited by the applicable Available Funds Cap, any
resulting Available Funds shortfalls (the "Available
Funds Cap LIBOR Carryover") shall be carried forward with
interest thereon and be paid to the extent of related
Available Funds in future periods, subject to certain
limitations described in the Prospectus Supplement.
Additional Loans/ It is anticipated that certain additional fixed rate and
Subsequent adjustable rate loans will be delivered prior to the
Prefunding Closing Date. In addition, it is anticipated that a
Loans: portion of the proceeds from the issuance of both the
Fixed and Adjustable Rate Certificates (not to exceed 25%
thereof, respectively) will be utilized by the Trust to
purchase additional fixed rate and adjustable rate loans
on or after the Closing Date. As to either Loan Group,
the assumed pool balance will equal the sum of the
related principal balances of the loans as of the Cut-Off
Date and included therein as of the Closing Date and any
subsequent loans added to such loan group during the
funding period.
Cross- It is anticipated that the Fixed Rate Pool and Adjustable
collateralization: Rate Pool will be crosscollateralized with respect to
Realized Losses and Interest Shortfalls (excluding
Available Funds Cap LIBOR Carryover) only.
- -------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a
solicitation of an offer to buy any of the securities referred to herein.
Offers to sell and solicitations of offers to buy the securities are made
only by, and this information must be read in
conjunction with, the final Prospectus Supplement and the related Prospectus
or, if not registered under the securities laws, the final Offering
Memorandum (the "Offering Document"). Information contained herein is
preliminary, does not purport to be complete and is
subject to the same qualifications and assumptions, and should be considered
by investors only in the light of the same warnings, lack of assurances and
representations and other precautionary matters, as disclosed in the
Offering Document. Information regarding the
underlying assets has been provided by third parties and has not been
independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been
prepared on the basis of certain assumptions (including, in
certain cases, assumptions specified by the recipient hereof) regarding
payments, interest rates, losses and other matters, including,
but not limited to, the assumptions described in the Offering Document.
Donaldson, Lufkin & Jenrette Securities Corporation, and any of
its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof
including, with respect to any description of the securities or
underlying assets, the information contained in the Offering Document.
<PAGE>
DLJ
- -------------------------------------------------------------------------------
Donaldson, Lufkin & Jenrette Securities Corporation
Delta Funding Home Equity Loan Trust 1998-2
Home Equity Loan Asset-Backed Certificates, Series 1998-2
OVERCOLLATERALIZATION
1. Before the Step-down date (July 2001), overcollateralization initially
builds to [1.40]% of the fixed-rate group's assumed pool loan balance and
to [1.00]% of the adjustable rate group's assumed pool balance.
2. On or after the Step-down date, the fixed-rate group's required
overcollateralization is [2.80]% 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
assumed pool balance for each loan group.
CREDIT ENHANCEMENT FOR GROUP F CERTIFICATES
Senior Classes (Class A-1F through A-6F)
1. Excess cash;
2. Overcollateralization initially building up to [1.40]% of the Fixed
Rate Group's assumed pool balance;
3. Subordination of mezzanine and subordinate classes: M-1F, M-2F, B-1F,
totaling [12.00]% of the assumed pool balance.
Mezzanine and Subordinate Classes (Class M-1F, M-2F, B-1F)
1. Excess cash;
2. Overcollateralization initially building up to [1.40]% of the Fixed
Rate Group's assumed pool balance;
3. Class M-1F is further enhanced by [6.50]% in mezzanine and subordinate
certificates and O/C building up to [1.40]% of assumed pool balance;
4. Class M-2F is further enhanced by [3.50]% in subordinate certificates
and O/C building up to [1.40]% of assumed pool balance;
5. Class B-1F is further enhanced by O/C building up to [1.40]% of
assumed pool balance.
EXPECTED CREDIT ENHANCEMENT LEVELS FOR GROUP F CERTIFICATES
Proposed Rating (S&P/Fitch) Percent of Transaction
--------------------------- ----------------------
AAA/AAA [88.00]%
AA/AA [5.50]%
A/A [3.00]%
BBB-/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 of certain assumptions (including, in
certain cases, assumptions specified by the recipient hereof) regarding
payments, interest rates, losses and other matters, including,
but not limited to, the assumptions described in the Offering Document.
Donaldson, Lufkin & Jenrette Securities Corporation, and any of
its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof
including, with respect to any description of the securities or
underlying assets, the information contained in the Offering Document.
<PAGE>
DLJ
- -------------------------------------------------------------------------------
Donaldson, Lufkin & Jenrette Securities Corporation
Delta Funding Home Equity Loan Trust 1998-2
Home Equity Loan Asset-Backed Certificates, Series 1998-2
CREDIT ENHANCEMENT FOR GROUP A CERTIFICATES
Senior Classes (Class A-1A and A-2A)
1. Excess cash;
2. Overcollateralization initially building up to [1.00]% of the
Adjustable Rate Group's assumed pool balance;
3. Subordination of mezzanine and subordinate classes: M-1A, M-2A, B-1A,
totaling [18.75]% of the assumed pool balance.
Mezzanine and Subordinate Classes (Class M-1A, M-2A, B-1A)
1. Excess cash;
2. Class M-1A is further enhanced by [10.50]% in mezzanine and
subordinate certificates and O/C building up to [1.00]% of assumed
pool balance;
3. Class M-2A is further enhanced by [4.75]% in subordinate certificates
and O/C building up to [1.00]% of assumed pool balance;
4. Class B-1A is further enhanced by O/C building up to [1.00]% of
assumed pool balance.
EXPECTED CREDIT ENHANCEMENT LEVELS FOR GROUP A CERTIFICATES
Proposed Rating (MDY/FTC) Percent of Transaction
------------------------- ----------------------
Aaa/AAA [81.25]%
Aa2/AA [8.25]%
A2/A [5.75]%
Baa3/BBB [4.75]%
- -------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a
solicitation of an offer to buy any of the securities referred to herein.
Offers to sell and solicitations of offers to buy the securities are made
only by, and this information must be read in
conjunction with, the final Prospectus Supplement and the related Prospectus
or, if not registered under the securities laws, the final Offering
Memorandum (the "Offering Document"). Information contained herein is
preliminary, does not purport to be complete and is
subject to the same qualifications and assumptions, and should be considered
by investors only in the light of the same warnings, lack of assurances and
representations and other precautionary matters, as disclosed in the
Offering Document. Information regarding the
underlying assets has been provided by third parties and has not been
independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been
prepared on the basis of certain assumptions (including, in
certain cases, assumptions specified by the recipient hereof) regarding
payments, interest rates, losses and other matters, including,
but not limited to, the assumptions described in the Offering Document.
Donaldson, Lufkin & Jenrette Securities Corporation, and any of
its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof
including, with respect to any description of the securities or
underlying assets, the information contained in the Offering Document.
<PAGE>
DLJ
- -------------------------------------------------------------------------------
Donaldson, Lufkin & Jenrette Securities Corporation
Delta Funding Home Equity Loan Trust 1998-2
Home Equity Loan Asset-Backed Certificates, Series 1998-2
AVAILABLE FUNDS CAP -- FIXED RATE GROUP
<TABLE>
<CAPTION>
Available Available Available Available Available
Period Funds Cap Period Funds Cap Period Funds Cap Period Funds Cap Period Funds Cap
- ------ --------- ------ --------- ------ --------- ------ --------- ------ ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
2 8.707% 27 8.041% 52 9.723% 77 9.730% 102 9.739%
3 8.699% 28 8.001% 53 9.723% 78 9.730% 103 9.740%
4 8.690% 29 7.959% 54 9.723% 79 9.730% 104 9.740%
5 8.679% 30 7.917% 55 9.723% 80 9.731% 105 9.741%
6 8.666% 31 7.874% 56 9.724% 81 9.731% 106 9.741%
7 8.651% 32 7.829% 57 9.724% 82 9.732% 107 9.742%
8 8.634% 33 7.784% 58 9.724% 83 9.732% 108 9.742%
9 8.614% 34 7.737% 59 9.724% 84 9.732% 109 9.743%
10 8.593% 35 7.689% 60 9.725% 85 9.733% 110 9.743%
11 8.569% 36 9.719% 61 9.725% 86 9.733% 111 9.744%
12 8.542% 37 9.719% 62 9.725% 87 9.733% 112 9.744%
13 8.514% 38 9.719% 63 9.726% 88 9.734% 113 9.745%
14 8.485% 39 9.719% 64 9.726% 89 9.734% 114 9.745%
15 8.456% 40 9.720% 65 9.726% 90 9.734% 115 9.746%
16 8.426% 41 9.720% 66 9.726% 91 9.735% 116 9.746%
17 8.395% 42 9.720% 67 9.727% 92 9.735% 117 9.747%
18 8.363% 43 9.720% 68 9.727% 93 9.736% 118 9.747%
19 8.331% 44 9.721% 69 9.727% 94 9.736% 119 9.748%
20 8.297% 45 9.721% 70 9.728% 95 9.736% 120 9.748%
21 8.263% 46 9.721% 71 9.728% 96 9.737% 121 9.748%
22 8.229% 47 9.721% 72 9.728% 97 9.737% 122 9.749%
23 8.193% 48 9.722% 73 9.729% 98 9.738% 123 9.749%
24 8.156% 49 9.722% 74 9.729% 99 9.738% 124 9.749%
25 8.119% 50 9.722% 75 9.729% 100 9.739% 125 9.750%
26 8.080% 51 9.722% 76 9.729% 101 9.739% 126 9.750%
</TABLE>
- -------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a
solicitation of an offer to buy any of the securities referred to herein.
Offers to sell and solicitations of offers to buy the securities are made
only by, and this information must be read in
conjunction with, the final Prospectus Supplement and the related Prospectus
or, if not registered under the securities laws, the final Offering
Memorandum (the "Offering Document"). Information contained herein is
preliminary, does not purport to be complete and is
subject to the same qualifications and assumptions, and should be considered
by investors only in the light of the same warnings, lack of assurances and
representations and other precautionary matters, as disclosed in the
Offering Document. Information regarding the
underlying assets has been provided by third parties and has not been
independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been
prepared on the basis of certain assumptions (including, in
certain cases, assumptions specified by the recipient hereof) regarding
payments, interest rates, losses and other matters, including,
but not limited to, the assumptions described in the Offering Document.
Donaldson, Lufkin & Jenrette Securities Corporation, and any of
its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof
including, with respect to any description of the securities or
underlying assets, the information contained in the Offering Document.
<PAGE>
DLJ
- -------------------------------------------------------------------------------
Donaldson, Lufkin & Jenrette Securities Corporation
Delta Funding Home Equity Loan Trust 1998-2
Home Equity Loan Asset-Backed Certificates, Series 1998-2
AVAILABLE FUNDS CAP -- ADJUSTABLE RATE GROUP*
<TABLE>
<CAPTION>
Available Available Available Available Available
Period Funds Cap Period Funds Cap Period Funds Cap Period Funds Cap Period Funds Cap
- ------ --------- ------ --------- ------ --------- ------ --------- ------ ---------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
2 9.590% 27 12.850% 52 16.188% 77 16.188% 102 16.188%
3 9.590% 28 12.887% 53 16.188% 78 16.188% 103 16.188%
4 9.590% 29 13.061% 54 16.188% 79 16.188% 104 16.188%
5 9.642% 30 13.376% 55 16.188% 80 16.188% 105 16.188%
6 9.709% 31 13.837% 56 16.188% 81 16.188% 106 16.188%
7 9.839% 32 13.837% 57 16.188% 82 16.188% 107 16.188%
8 9.839% 33 13.854% 58 16.188% 83 16.188% 108 16.188%
9 9.839% 34 13.892% 59 16.188% 84 16.188% 109 16.188%
10 9.839% 35 14.066% 60 16.188% 85 16.188% 110 16.188%
11 9.890% 36 14.380% 61 16.188% 86 16.188% 111 16.188%
12 9.957% 37 14.841% 62 16.188% 87 16.188% 112 16.188%
13 10.086% 38 14.841% 63 16.188% 88 16.188% 113 16.188%
14 10.086% 39 14.859% 64 16.188% 89 16.188% 114 16.188%
15 10.086% 40 14.887% 65 16.188% 90 16.188% 115 16.188%
16 10.136% 41 15.030% 66 16.188% 91 16.188% 116 16.188%
17 10.187% 42 15.315% 67 16.188% 92 16.188% 117 16.188%
18 10.254% 43 15.727% 68 16.188% 93 16.188% 118 16.188%
19 10.384% 44 15.727% 69 16.188% 94 16.188% 119 16.188%
20 10.384% 45 15.733% 70 16.188% 95 16.188% 120 16.188%
21 10.430% 46 15.740% 71 16.188% 96 16.188% 121 16.188%
22 10.506% 47 15.831% 72 16.188% 97 16.188% 122 16.188%
23 10.922% 48 15.997% 73 16.188% 98 16.188% 123 16.188%
24 11.722% 49 16.188% 74 16.188% 99 16.188% 124 16.188%
25 12.832% 50 16.188% 75 16.188% 100 16.188% 125 16.188%
26 12.832% 51 16.188% 76 16.188% 101 16.188% 126 16.188%
</TABLE>
*Achieved assuming 1 and 6 month LIBOR increase to a level beyond the highest
maximum obtainable rate on the underlying adjustable rate home equity loans
(beginning month 2); run at the pricing speed.
- -------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a
solicitation of an offer to buy any of the securities referred to herein.
Offers to sell and solicitations of offers to buy the securities are made
only by, and this information must be read in
conjunction with, the final Prospectus Supplement and the related Prospectus
or, if not registered under the securities laws, the final Offering
Memorandum (the "Offering Document"). Information contained herein is
preliminary, does not purport to be complete and is
subject to the same qualifications and assumptions, and should be considered
by investors only in the light of the same warnings, lack of assurances and
representations and other precautionary matters, as disclosed in the
Offering Document. Information regarding the
underlying assets has been provided by third parties and has not been
independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been
prepared on the basis of certain assumptions (including, in
certain cases, assumptions specified by the recipient hereof) regarding
payments, interest rates, losses and other matters, including,
but not limited to, the assumptions described in the Offering Document.
Donaldson, Lufkin & Jenrette Securities Corporation, and any of
its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof
including, with respect to any description of the securities or
underlying assets, the information contained in the Offering Document.
<PAGE>
DLJ
- -------------------------------------------------------------------------------
Donaldson, Lufkin & Jenrette Securities Corporation
Delta Funding Home Equity Loan Trust 1998-2
Home Equity Loan Asset-Backed Certificates, Series 1998-2
BOND SUMMARY
<TABLE>
<CAPTION>
Class A-1F (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0.0% PPC 50.0% PPC 75.0% PPC 120.0% PPC 150.0% PPC 175.0% PPC 200.0% PPC
Implied Seasoned CPR 0.0% CPR 10.0% CPR 15.0% CPR 24.0% CPR 30.0% CPR 35.0% CPR 40.0% CPR
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 10.40 1.97 1.43 1.00 0.85 0.76 0.69
Modified Duration (yrs.) 7.02 1.77 1.31 0.93 0.80 0.72 0.66
First Principal Payment Date 7/15/98 7/15/98 7/15/98 7/15/98 7/15/98 7/15/98 7/15/98
Last Principal Payment Date 4/15/16 7/15/02 4/15/01 5/15/00 1/15/00 11/15/99 9/15/99
Payment Window (mos.) 214 49 34 23 19 17 15
Yield @ 100.00000 6.144 6.044 5.998 5.925 5.881 5.848 5.816
----------------
<CAPTION>
Class A-2F (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0.0% PPC 50.0% PPC 75.0% PPC 120.0% PPC 150.0% PPC 175.0% PPC 200.0% PPC
Implied Seasoned CPR 0.0% CPR 10.0% CPR 15.0% CPR 24.0% CPR 30.0% CPR 35.0% CPR 40.0% CPR
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 18.60 4.42 3.04 2.00 1.64 1.44 1.28
Modified Duration (yrs.) 10.88 3.77 2.70 1.83 1.52 1.34 1.20
First Principal Payment Date 4/15/16 7/15/02 4/15/01 5/15/00 1/15/00 11/15/99 9/15/99
Last Principal Payment Date 11/15/17 4/15/03 10/15/01 8/15/00 3/15/00 1/15/00 11/15/99
Payment Window (mos.) 20 10 7 4 3 3 3
Yield @ 100.00000 6.075 6.034 6.009 5.968 5.942 5.921 5.901
----------------
<CAPTION>
Class A-3F (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0.0% PPC 50.0% PPC 75.0% PPC 120.0% PPC 150.0% PPC 175.0% PPC 200.0% PPC
Implied Seasoned CPR 0.0% CPR 10.0% CPR 15.0% CPR 24.0% CPR 30.0% CPR 35.0% CPR 40.0% CPR
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 23.50 7.86 4.98 3.00 2.32 2.00 1.76
Modified Duration (yrs.) 12.06 5.95 4.13 2.65 2.10 1.83 1.62
First Principal Payment Date 11/15/17 4/15/03 10/15/01 8/15/00 3/15/00 1/15/00 11/15/99
Last Principal Payment Date 5/15/25 2/15/11 11/15/06 11/15/02 6/15/01 1/15/01 9/15/00
Payment Window (mos.) 91 95 62 28 16 13 11
Yield @ 100.00000 6.199 6.179 6.161 6.129 6.105 6.089 6.072
----------------
<CAPTION>
Class A-4F (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0.0% PPC 50.0% PPC 75.0% PPC 120.0% PPC 150.0% PPC 175.0% PPC 200.0% PPC
Implied Seasoned CPR 0.0% CPR 10.0% CPR 15.0% CPR 24.0% CPR 30.0% CPR 35.0% CPR 40.0% CPR
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 27.54 14.17 9.97 4.98 3.74 2.74 2.39
Modified Duration (yrs.) 12.74 9.10 7.18 4.15 3.23 2.44 2.15
First Principal Payment Date 5/15/25 2/15/11 11/15/06 11/15/02 6/15/01 1/15/01 9/15/00
Last Principal Payment Date 9/15/26 4/15/14 2/15/10 4/15/04 9/15/02 6/15/01 1/15/01
Payment Window (mos.) 17 39 40 18 16 6 5
Yield @ 100.00000 6.344 6.336 6.329 6.304 6.287 6.263 6.249
----------------
</TABLE>
- -------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a
solicitation of an offer to buy any of the securities referred to herein.
Offers to sell and solicitations of offers to buy the securities are made
only by, and this information must be read in
conjunction with, the final Prospectus Supplement and the related Prospectus
or, if not registered under the securities laws, the final Offering
Memorandum (the "Offering Document"). Information contained herein is
preliminary, does not purport to be complete and is
subject to the same qualifications and assumptions, and should be considered
by investors only in the light of the same warnings, lack of assurances and
representations and other precautionary matters, as disclosed in the
Offering Document. Information regarding the
underlying assets has been provided by third parties and has not been
independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been
prepared on the basis of certain assumptions (including, in
certain cases, assumptions specified by the recipient hereof) regarding
payments, interest rates, losses and other matters, including,
but not limited to, the assumptions described in the Offering Document.
Donaldson, Lufkin & Jenrette Securities Corporation, and any of
its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof
including, with respect to any description of the securities or
underlying assets, the information contained in the Offering Document.
<PAGE>
DLJ
- -------------------------------------------------------------------------------
Donaldson, Lufkin & Jenrette Securities Corporation
Delta Funding Home Equity Loan Trust 1998-2
Home Equity Loan Asset-Backed Certificates, Series 1998-2
BOND SUMMARY (CONTINUED)
<TABLE>
<CAPTION>
Class A-5F (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0.0% PPC 50.0% PPC 75.0% PPC 120.0% PPC 150.0% PPC 175.0% PPC 200.0% PPC
Implied Seasoned CPR 0.0% CPR 10.0% CPR 15.0% CPR 24.0% CPR 30.0% CPR 35.0% CPR 40.0% CPR
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 29.03 20.87 16.02 9.91 6.81 4.67 3.09
Modified Duration (yrs.) 12.52 10.87 9.45 6.88 5.16 3.82 2.70
First Principal Payment Date 9/15/26 4/15/14 2/15/10 4/15/04 9/15/02 6/15/01 1/15/01
Last Principal Payment Date 4/15/28 1/15/27 10/15/23 2/15/16 10/15/12 8/15/10 12/15/02
Payment Window (mos.) 20 154 165 143 122 111 24
Yield @ 100.00000 6.691 6.688 6.685 6.675 6.662 6.645 6.617
----------------
<CAPTION>
Class A-6F (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0.0% PPC 50.0% PPC 75.0% PPC 120.0% PPC 150.0% PPC 175.0% PPC 200.0% PPC
Implied Seasoned CPR 0.0% CPR 10.0% CPR 15.0% CPR 24.0% CPR 30.0% CPR 35.0% CPR 40.0% CPR
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 13.27 8.06 7.27 6.55 6.37 6.36 5.93
Modified Duration (yrs.) 8.50 6.02 5.58 5.16 5.05 5.04 4.77
First Principal Payment Date 7/15/01 7/15/01 7/15/01 7/15/01 11/15/01 1/15/02 4/15/02
Last Principal Payment Date 2/15/28 8/15/26 1/15/23 9/15/15 7/15/12 6/15/10 11/15/08
Payment Window (mos.) 320 302 259 171 129 102 80
Yield @ 100.00000 6.252 6.241 6.238 6.234 6.233 6.233 6.230
----------------
<CAPTION>
Class M-1F (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0.0% PPC 50.0% PPC 75.0% PPC 120.0% PPC 150.0% PPC 175.0% PPC 200.0% PPC
Implied Seasoned CPR 0.0% CPR 10.0% CPR 15.0% CPR 24.0% CPR 30.0% CPR 35.0% CPR 40.0% CPR
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 25.61 12.71 9.30 6.04 4.97 4.47 4.21
Modified Duration (yrs.) 12.45 8.21 6.60 4.75 4.07 3.74 3.57
First Principal Payment Date 3/15/18 8/15/04 10/15/02 7/15/01 8/15/01 10/15/01 11/15/01
Last Principal Payment Date 2/15/28 2/15/24 11/15/18 3/15/12 6/15/09 10/15/07 6/15/06
Payment Window (mos.) 120 235 194 129 95 73 56
Yield @ 100.00000 6.273 6.280 6.282 6.286 6.288 6.289 6.288
----------------
<CAPTION>
Class M-2F (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
% of Prepay Assumption 0.0% PPC 50.0% PPC 75.0% PPC 120.0% PPC 150.0% PPC 175.0% PPC 200.0% PPC
Implied Seasoned CPR 0.0% CPR 10.0% CPR 15.0% CPR 24.0% CPR 30.0% CPR 35.0% CPR 40.0% CPR
- ------------------------------------------------------------------------------------------------------------------------------------
Average Life (yrs.) 25.59 12.57 9.15 5.94 4.85 4.31 3.97
Modified Duration (yrs.) 12.20 8.08 6.49 4.67 3.97 3.61 3.38
First Principal Payment Date 3/15/18 8/15/04 10/15/02 7/15/01 8/15/01 8/15/01 9/15/01
Last Principal Payment Date 12/15/27 1/15/22 7/15/16 7/15/10 2/15/08 8/15/06 6/15/05
Payment Window (mos.) 118 210 166 109 79 61 46
Yield @ 100.00000 6.481 6.490 6.492 6.497 6.499 6.500 6.499
----------------
</TABLE>
- -------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a
solicitation of an offer to buy any of the securities referred to herein.
Offers to sell and solicitations of offers to buy the securities are made
only by, and this information must be read in
conjunction with, the final Prospectus Supplement and the related Prospectus
or, if not registered under the securities laws, the final Offering
Memorandum (the "Offering Document"). Information contained herein is
preliminary, does not purport to be complete and is
subject to the same qualifications and assumptions, and should be considered
by investors only in the light of the same warnings, lack of assurances and
representations and other precautionary matters, as disclosed in the
Offering Document. Information regarding the
underlying assets has been provided by third parties and has not been
independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been
prepared on the basis of certain assumptions (including, in
certain cases, assumptions specified by the recipient hereof) regarding
payments, interest rates, losses and other matters, including,
but not limited to, the assumptions described in the Offering Document.
Donaldson, Lufkin & Jenrette Securities Corporation, and any of
its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof
including, with respect to any description of the securities or
underlying assets, the information contained in the Offering Document.
<PAGE>
DLJ
- -------------------------------------------------------------------------------
Donaldson, Lufkin & Jenrette Securities Corporation
Delta Funding Home Equity Loan Trust 1998-2
Home Equity Loan Asset-Backed Certificates, Series 1998-2
BOND SUMMARY (CONTINUED)
<TABLE>
<CAPTION>
Class B-1F (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0.0% PPC 50.0% PPC 75.0% PPC 120.0% PPC 150.0% PPC 175.0% PPC 200.0% PPC
Implied Seasoned CPR 0.0% CPR 10.0% CPR 15.0% CPR 24.0% CPR 30.0% CPR 35.0% CPR 40.0% CPR
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 25.49 11.99 8.70 5.61 4.57 4.04 3.70
Modified Duration (yrs.) 11.48 7.63 6.13 4.40 3.73 3.38 3.14
First Principal Payment Date 3/15/18 8/15/04 10/15/02 7/15/01 7/15/01 7/15/01 7/15/01
Last Principal Payment Date 9/15/27 8/15/19 4/15/14 1/15/09 11/15/06 7/15/05 7/15/04
Payment Window (mos.) 115 181 139 91 65 49 37
Yield @ 100.00000 7.107 7.113 7.115 7.119 7.120 7.120 7.120
----------------
<CAPTION>
Class A-5F (To Call)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0.0% PPC 50.0% PPC 75.0% PPC 120.0% PPC 150.0% PPC 175.0% PPC 200.0% PPC
Implied Seasoned CPR 0.0% CPR 10.0% CPR 15.0% CPR 24.0% CPR 30.0% CPR 35.0% CPR 40.0% CPR
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 28.57 16.58 12.26 7.51 5.49 4.28 3.09
Modified Duration (yrs.) 12.45 9.76 8.14 5.72 4.45 3.60 2.70
First Principal Payment Date 9/15/26 4/15/14 2/15/10 4/15/04 9/15/02 6/15/01 1/15/01
Last Principal Payment Date 2/15/27 2/15/15 10/15/10 7/15/06 11/15/04 10/15/03 12/15/02
Payment Window (mos.) 6 11 9 28 27 29 24
Yield @ 100.00000 6.691 6.686 6.680 6.667 6.654 6.641 6.617
----------------
<CAPTION>
Class A-6F (To Call)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0.0% PPC 50.0% PPC 75.0% PPC 120.0% PPC 150.0% PPC 175.0% PPC 200.0% PPC
Implied Seasoned CPR 0.0% CPR 10.0% CPR 15.0% CPR 24.0% CPR 30.0% CPR 35.0% CPR 40.0% CPR
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 13.27 8.04 7.23 6.34 5.65 5.02 4.49
Modified Duration (yrs.) 8.50 6.01 5.56 5.04 4.60 4.18 3.80
First Principal Payment Date 7/15/01 7/15/01 7/15/01 7/15/01 11/15/01 1/15/02 4/15/02
Last Principal Payment Date 2/15/27 2/15/15 10/15/10 7/15/06 11/15/04 10/15/03 1/15/03
Payment Window (mos.) 308 164 112 61 37 22 10
Yield @ 100.00000 6.252 6.241 6.237 6.233 6.228 6.223 6.217
----------------
<CAPTION>
Class M-1F (To Call)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0.0% PPC 50.0% PPC 75.0% PPC 120.0% PPC 150.0% PPC 175.0% PPC 200.0% PPC
Implied Seasoned CPR 0.0% CPR 10.0% CPR 15.0% CPR 24.0% CPR 30.0% CPR 35.0% CPR 40.0% CPR
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 25.50 11.76 8.50 5.49 4.53 4.07 3.87
Modified Duration (yrs.) 12.43 7.93 6.29 4.46 3.80 3.49 3.34
First Principal Payment Date 3/15/18 8/15/04 10/15/02 7/15/01 8/15/01 10/15/01 11/15/01
Last Principal Payment Date 2/15/27 2/15/15 10/15/10 7/15/06 11/15/04 10/15/03 1/15/03
Payment Window (mos.) 108 127 97 61 40 25 15
Yield @ 100.00000 6.273 6.273 6.273 6.273 6.275 6.275 6.276
----------------
</TABLE>
- -------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a
solicitation of an offer to buy any of the securities referred to herein.
Offers to sell and solicitations of offers to buy the securities are made
only by, and this information must be read in
conjunction with, the final Prospectus Supplement and the related Prospectus
or, if not registered under the securities laws, the final Offering
Memorandum (the "Offering Document"). Information contained herein is
preliminary, does not purport to be complete and is
subject to the same qualifications and assumptions, and should be considered
by investors only in the light of the same warnings, lack of assurances and
representations and other precautionary matters, as disclosed in the
Offering Document. Information regarding the
underlying assets has been provided by third parties and has not been
independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been
prepared on the basis of certain assumptions (including, in
certain cases, assumptions specified by the recipient hereof) regarding
payments, interest rates, losses and other matters, including,
but not limited to, the assumptions described in the Offering Document.
Donaldson, Lufkin & Jenrette Securities Corporation, and any of
its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof
including, with respect to any description of the securities or
underlying assets, the information contained in the Offering Document.
<PAGE>
DLJ
- -------------------------------------------------------------------------------
Donaldson, Lufkin & Jenrette Securities Corporation
Delta Funding Home Equity Loan Trust 1998-2
Home Equity Loan Asset-Backed Certificates, Series 1998-2
BOND SUMMARY (CONTINUED)
<TABLE>
<CAPTION>
Class M-2F (To Call)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0.0% PPC 50.0% PPC 75.0% PPC 120.0% PPC 150.0% PPC 175.0% PPC 200.0% PPC
Implied Seasoned CPR 0.0% CPR 10.0% CPR 15.0% CPR 24.0% CPR 30.0% CPR 35.0% CPR 40.0% CPR
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 25.50 11.76 8.50 5.49 4.49 3.99 3.70
Modified Duration (yrs.) 12.19 7.84 6.23 4.43 3.75 3.40 3.19
First Principal Payment Date 3/15/18 8/15/04 10/15/02 7/15/01 8/15/01 8/15/01 9/15/01
Last Principal Payment Date 2/15/27 2/15/15 10/15/10 7/15/06 11/15/04 10/15/03 1/15/03
Payment Window (mos.) 108 127 97 61 40 27 17
Yield @ 100.00000 6.481 6.482 6.482 6.482 6.483 6.483 6.485
----------------
<CAPTION>
Class B-1F (To Call)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0.0% PPC 50.0% PPC 75.0% PPC 120.0% PPC 150.0% PPC 175.0% PPC 200.0% PPC
Implied Seasoned CPR 0.0% CPR 10.0% CPR 15.0% CPR 24.0% CPR 30.0% CPR 35.0% CPR 40.0% CPR
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 25.46 11.67 8.43 5.44 4.43 3.91 3.58
Modified Duration (yrs.) 11.48 7.54 6.03 4.31 3.65 3.29 3.06
First Principal Payment Date 3/15/18 8/15/04 10/15/02 7/15/01 7/15/01 7/15/01 7/15/01
Last Principal Payment Date 2/15/27 2/15/15 10/15/10 7/15/06 11/15/04 10/15/03 1/15/03
Payment Window (mos.) 108 127 97 61 41 28 19
Yield @ 100.00000 7.107 7.108 7.108 7.108 7.109 7.109 7.110
----------------
<CAPTION>
Class A-1A (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0.0% PPC 50.0% PPC 75.0% PPC 100.0% PPC 125.0% PPC 150.0% PPC 175.0% PPC
Implied Seasoned CPR 0.0% CPR 14.0% CPR 21.0% CPR 28.0% CPR 35.0% CPR 42.0% CPR 49.0% CPR
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 11.96 2.57 2.36 2.25 2.22 2.22 1.87
Modified Duration (yrs.) 8.02 2.30 2.13 2.04 2.01 2.01 1.72
First Principal Payment Date 3/15/00 3/15/00 3/15/00 3/15/00 3/15/00 3/15/00 12/15/99
Last Principal Payment Date 1/15/16 1/15/02 10/15/01 6/15/01 5/15/01 5/15/01 11/15/00
Payment Window (mos.) 191 23 20 16 15 15 12
Yield @ 100.00000 6.067 5.995 5.986 5.982 5.980 5.980 5.960
----------------
<CAPTION>
Class A-2A (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0.0% PPC 50.0% PPC 75.0% PPC 100.0% PPC 125.0% PPC 150.0% PPC 175.0% PPC
Implied Seasoned CPR 0.0% CPR 14.0% CPR 21.0% CPR 28.0% CPR 35.0% CPR 42.0% CPR 49.0% CPR
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 23.36 5.76 3.63 2.42 1.55 0.77 0.60
Modified Duration (yrs.) 12.05 4.16 2.85 1.99 1.33 0.72 0.57
First Principal Payment Date 7/15/98 7/15/98 7/15/98 7/15/98 7/15/98 7/15/98 7/15/98
Last Principal Payment Date 5/15/28 7/15/25 5/15/19 2/15/14 7/15/10 6/15/01 12/15/99
Payment Window (mos.) 359 325 251 188 145 36 18
Yield @ 100.00000 5.960 5.967 5.971 5.975 5.980 5.969 5.970
----------------
</TABLE>
- -------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a
solicitation of an offer to buy any of the securities referred to herein.
Offers to sell and solicitations of offers to buy the securities are made
only by, and this information must be read in
conjunction with, the final Prospectus Supplement and the related Prospectus
or, if not registered under the securities laws, the final Offering
Memorandum (the "Offering Document"). Information contained herein is
preliminary, does not purport to be complete and is
subject to the same qualifications and assumptions, and should be considered
by investors only in the light of the same warnings, lack of assurances and
representations and other precautionary matters, as disclosed in the
Offering Document. Information regarding the
underlying assets has been provided by third parties and has not been
independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been
prepared on the basis of certain assumptions (including, in
certain cases, assumptions specified by the recipient hereof) regarding
payments, interest rates, losses and other matters, including,
but not limited to, the assumptions described in the Offering Document.
Donaldson, Lufkin & Jenrette Securities Corporation, and any of
its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof
including, with respect to any description of the securities or
underlying assets, the information contained in the Offering Document.
<PAGE>
DLJ
- -------------------------------------------------------------------------------
Donaldson, Lufkin & Jenrette Securities Corporation
Delta Funding Home Equity Loan Trust 1998-2
Home Equity Loan Asset-Backed Certificates, Series 1998-2
BOND SUMMARY (CONTINUED)
<TABLE>
<CAPTION>
Class M-1A (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0.0% PPC 50.0% PPC 75.0% PPC 100.0% PPC 125.0% PPC 150.0% PPC 175.0% PPC
Implied Seasoned CPR 0.0% CPR 14.0% CPR 21.0% CPR 28.0% CPR 35.0% CPR 42.0% CPR 49.0% CPR
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 27.45 10.30 6.85 5.28 4.84 5.64 3.40
Modified Duration (yrs.) 12.97 7.08 5.22 4.28 4.04 4.60 2.94
First Principal Payment Date 11/15/22 12/15/02 7/15/01 11/15/01 3/15/02 6/15/01 11/15/00
Last Principal Payment Date 4/15/28 11/15/22 1/15/16 6/15/11 6/15/08 2/15/08 4/15/06
Payment Window (mos.) 66 240 175 116 76 81 66
Yield @ 100.00000 6.169 6.177 6.180 6.182 6.180 6.211 6.199
----------------
<CAPTION>
Class M-2A (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0.0% PPC 50.0% PPC 75.0% PPC 100.0% PPC 125.0% PPC 150.0% PPC 175.0% PPC
Implied Seasoned CPR 0.0% CPR 14.0% CPR 21.0% CPR 28.0% CPR 35.0% CPR 42.0% CPR 49.0% CPR
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 27.44 10.17 6.74 5.08 4.33 4.12 4.50
Modified Duration (yrs.) 12.70 6.97 5.14 4.13 3.64 3.51 3.80
First Principal Payment Date 11/15/22 12/15/02 7/15/01 8/15/01 10/15/01 12/15/01 3/15/02
Last Principal Payment Date 3/15/28 9/15/20 1/15/14 11/15/09 4/15/07 6/15/05 3/15/04
Payment Window (mos.) 65 214 151 100 67 43 25
Yield @ 100.00000 6.377 6.388 6.393 6.395 6.396 6.393 6.441
----------------
<CAPTION>
Class B-1A (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0.0% PPC 50.0% PPC 75.0% PPC 100.0% PPC 125.0% PPC 150.0% PPC 175.0% PPC
Implied Seasoned CPR 0.0% CPR 14.0% CPR 21.0% CPR 28.0% CPR 35.0% CPR 42.0% CPR 49.0% CPR
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 27.35 9.50 6.24 4.67 3.89 3.52 3.42
Modified Duration (yrs.) 11.92 6.52 4.78 3.80 3.28 3.02 2.95
First Principal Payment Date 11/15/22 12/15/02 7/15/01 7/15/01 7/15/01 7/15/01 7/15/01
Last Principal Payment Date 1/15/28 5/15/17 4/15/11 11/15/07 9/15/05 3/15/04 2/15/03
Payment Window (mos.) 63 174 118 77 51 33 20
Yield @ 100.00000 7.003 7.012 7.016 7.017 7.018 7.018 7.026
----------------
<CAPTION>
Class A-2A (To Call)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0.0% PPC 50.0% PPC 75.0% PPC 100.0% PPC 125.0% PPC 150.0% PPC 175.0% PPC
Implied Seasoned CPR 0.0% CPR 14.0% CPR 21.0% CPR 28.0% CPR 35.0% CPR 42.0% CPR 49.0% CPR
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 23.27 5.50 3.48 2.25 1.43 0.77 0.60
Modified Duration (yrs.) 12.03 4.08 2.78 1.90 1.26 0.72 0.57
First Principal Payment Date 7/15/98 7/15/98 7/15/98 7/15/98 7/15/98 7/15/98 7/15/98
Last Principal Payment Date 2/15/27 2/15/15 10/15/10 7/15/06 11/15/04 6/15/01 12/15/99
Payment Window (mos.) 344 200 148 97 77 36 18
Yield @ 100.00000 5.960 5.964 5.968 5.968 5.973 5.969 5.970
----------------
</TABLE>
- -------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a
solicitation of an offer to buy any of the securities referred to herein.
Offers to sell and solicitations of offers to buy the securities are made
only by, and this information must be read in
conjunction with, the final Prospectus Supplement and the related Prospectus
or, if not registered under the securities laws, the final Offering
Memorandum (the "Offering Document"). Information contained herein is
preliminary, does not purport to be complete and is
subject to the same qualifications and assumptions, and should be considered
by investors only in the light of the same warnings, lack of assurances and
representations and other precautionary matters, as disclosed in the
Offering Document. Information regarding the
underlying assets has been provided by third parties and has not been
independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been
prepared on the basis of certain assumptions (including, in
certain cases, assumptions specified by the recipient hereof) regarding
payments, interest rates, losses and other matters, including,
but not limited to, the assumptions described in the Offering Document.
Donaldson, Lufkin & Jenrette Securities Corporation, and any of
its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof
including, with respect to any description of the securities or
underlying assets, the information contained in the Offering Document.
<PAGE>
DLJ
- -------------------------------------------------------------------------------
Donaldson, Lufkin & Jenrette Securities Corporation
Delta Funding Home Equity Loan Trust 1998-2
Home Equity Loan Asset-Backed Certificates, Series 1998-2
BOND SUMMARY (CONTINUED)
<TABLE>
<CAPTION>
Class M-1A (To Call)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0.0% PPC 50.0% PPC 75.0% PPC 100.0% PPC 125.0% PPC 150.0% PPC 175.0% PPC
Implied Seasoned CPR 0.0% CPR 14.0% CPR 21.0% CPR 28.0% CPR 35.0% CPR 42.0% CPR 49.0% CPR
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 27.25 9.80 6.59 4.98 4.64 4.88 3.03
Modified Duration (yrs.) 12.94 6.92 5.11 4.12 3.91 4.10 2.68
First Principal Payment Date 11/15/22 12/15/02 7/15/01 11/15/01 3/15/02 6/15/01 11/15/00
Last Principal Payment Date 2/15/27 2/15/15 10/15/10 7/15/06 11/15/04 10/15/03 1/15/03
Payment Window (mos.) 52 147 112 57 33 29 27
Yield @ 100.00000 6.168 6.173 6.177 6.171 6.175 6.194 6.185
----------------
<CAPTION>
Class M-2A (To Call)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0.0% PPC 50.0% PPC 75.0% PPC 100.0% PPC 125.0% PPC 150.0% PPC 175.0% PPC
Implied Seasoned CPR 0.0% CPR 14.0% CPR 21.0% CPR 28.0% CPR 35.0% CPR 42.0% CPR 49.0% CPR
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 27.25 9.80 6.59 4.86 4.19 4.03 4.28
Modified Duration (yrs.) 12.67 6.85 5.07 4.00 3.55 3.45 3.64
First Principal Payment Date 11/15/22 12/15/02 7/15/01 8/15/01 10/15/01 12/15/01 3/15/02
Last Principal Payment Date 2/15/27 2/15/15 10/15/10 7/15/06 11/15/04 10/15/03 1/15/03
Payment Window (mos.) 52 147 112 60 38 23 11
Yield @ 100.00000 6.377 6.383 6.389 6.387 6.390 6.388 6.432
----------------
<CAPTION>
Class B-1A (To Call)
- ------------------------------------------------------------------------------------------------------------------------------------
% of Prepay Assumption 0.0% PPC 50.0% PPC 75.0% PPC 100.0% PPC 125.0% PPC 150.0% PPC 175.0% PPC
Implied Seasoned CPR 0.0% CPR 14.0% CPR 21.0% CPR 28.0% CPR 35.0% CPR 42.0% CPR 49.0% CPR
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 27.23 9.43 6.24 4.64 3.87 3.52 3.42
Modified Duration (yrs.) 11.91 6.50 4.78 3.78 3.27 3.02 2.95
First Principal Payment Date 11/15/22 12/15/02 7/15/01 7/15/01 7/15/01 7/15/01 7/15/01
Last Principal Payment Date 2/15/27 2/15/15 10/15/10 7/15/06 11/15/04 10/15/03 1/15/03
Payment Window (mos.) 52 147 112 61 41 28 19
Yield @ 100.00000 7.003 7.010 7.016 7.014 7.017 7.017 7.026
----------------
</TABLE>
- -------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a
solicitation of an offer to buy any of the securities referred to herein.
Offers to sell and solicitations of offers to buy the securities are made
only by, and this information must be read in
conjunction with, the final Prospectus Supplement and the related Prospectus
or, if not registered under the securities laws, the final Offering
Memorandum (the "Offering Document"). Information contained herein is
preliminary, does not purport to be complete and is
subject to the same qualifications and assumptions, and should be considered
by investors only in the light of the same warnings, lack of assurances and
representations and other precautionary matters, as disclosed in the
Offering Document. Information regarding the
underlying assets has been provided by third parties and has not been
independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been
prepared on the basis of certain assumptions (including, in
certain cases, assumptions specified by the recipient hereof) regarding
payments, interest rates, losses and other matters, including,
but not limited to, the assumptions described in the Offering Document.
Donaldson, Lufkin & Jenrette Securities Corporation, and any of
its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof
including, with respect to any description of the securities or
underlying assets, the information contained in the Offering Document.
<PAGE>
DLJ
- -------------------------------------------------------------------------------
Donaldson, Lufkin & Jenrette Securities Corporation
DELTA FUNDING HOME EQUITY LOAN TRUST 1998-2
HOME EQUITY LOAN ASSET-BACKED CERTIFICATES, SERIES 1998-2
COLLATERAL SUMMARY
<TABLE>
Fixed Rate Loans
<S> <C> <C> <C> <C>
Total Number of Loans 3,457
Total Outstanding Loan Balance $283,302,160.69
Balloon (% of Total) 4.99%
Level Pay (% of Total) 95.01% Min Max
-------------------------
Average Loan Original Balance $82,056.57 $5,000.00 $635,000.00
Average Loan Current Balance $81,950.29 $5,000.00 $635,000.00
Weighted Average Combined LTV 72.76% 6.03% 95.00%
Weighted Average Coupon 10.2153% 6.500% 16.9500%
Weighted Average Remaining Term to Mat (months) 315.43 55.00 360.00
Weighted Average Seasoning (months) 0.78 0.00 124.00
Weighted Average Original Term (months) 316.22 60.00 360.00
Range of Original Terms (months) 1 to 60 0.10%
61 to 120 1.44%
121 to 180 15.56%
181 to 240 9.30%
241 to 300 1.17%
301 to 360 72.44%
Lien Position
1st Lien 94.56%
2nd Lien 5.44%
Property Type
Single Family 70.64%
Multi Family 24.57%
Mixed Use 2.36%
Condo 2.35%
Mobile Home 0.09%
Occupancy Status
Owner Occupied 87.93%
Non-Owner Occupied 12.07%
Geographic Concentration
(states not listed individually account for NY 44.95% FL 5.62%
less than or equal to 4% of the pool NJ 7.47% PA 5.57%
balance) OH 6.14%
Credit Quality (per Issuer's underwriting guidelines)
A 57.87% C 14.72%
B 23.31% D 4.11%
</TABLE>
- -------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a
solicitation of an offer to buy any of the securities referred to herein.
Offers to sell and solicitations of offers to buy the securities are made
only by, and this information must be read in
conjunction with, the final Prospectus Supplement and the related Prospectus
or, if not registered under the securities laws, the final Offering
Memorandum (the "Offering Document"). Information contained herein is
preliminary, does not purport to be complete and is
subject to the same qualifications and assumptions, and should be considered
by investors only in the light of the same warnings, lack of assurances and
representations and other precautionary matters, as disclosed in the
Offering Document. Information regarding the
underlying assets has been provided by third parties and has not been
independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been
prepared on the basis of certain assumptions (including, in
certain cases, assumptions specified by the recipient hereof) regarding
payments, interest rates, losses and other matters, including,
but not limited to, the assumptions described in the Offering Document.
Donaldson, Lufkin & Jenrette Securities Corporation, and any of
its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof
including, with respect to any description of the securities or
underlying assets, the information contained in the Offering Document.
<PAGE>
DLJ
- -------------------------------------------------------------------------------
Donaldson, Lufkin & Jenrette Securities Corporation
Delta Funding Home Equity Loan Trust 1998-2
Home Equity Loan Asset-Backed Certificates, Series 1998-2
DETAILED COLLATERAL SUMMARY
Fixed Rate Loans
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------------
Loan Count Loan Balance Percent of Total
----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Original Balance 0.00+ to 25,000.00 257 5,095,501.59 1.80
25,000.00+ to 50,000.00 850 32,508,839.73 11.47
50,000.00+ to 75,000.00 810 50,443,400.32 17.81
75,000.00+ to 100,000.00 549 48,193,016.66 17.01
100,000.00+ to 125,000.00 404 45,462,557.96 16.05
125,000.00+ to 150,000.00 252 34,509,052.09 12.18
150,000.00+ to 175,000.00 142 22,926,560.95 8.09
175,000.00+ to 200,000.00 81 15,224,781.63 5.37
200,000.00+ to 225,000.00 43 9,076,276.46 3.20
225,000.00+ to 250,000.00 27 6,373,740.32 2.25
250,000.00+ to 275,000.00 11 2,899,436.39 1.02
275,000.00+ to 300,000.00 16 4,671,000.51 1.65
300,000.00+ to 325,000.00 2 631,911.44 0.22
325,000.00+ to 350,000.00 6 2,039,479.39 0.72
350,000.00+ to 375,000.00 4 1,449,605.25 0.51
525,000.00+ to 550,000.00 1 550,000.00 0.19
600,000.00+ to 625,000.00 1 612,000.00 0.22
625,000.00+ to 650,000.00 1 635,000.00 0.22
----------------------------------------------------------------------------------------------------------
Total 3,457 283,302,160.69 100.00
<CAPTION>
----------------------------------------------------------------------------------------------------------
Loan Count Loan Balance Percent of Total
----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Current Balance 0.00+ to 25,000.00 260 5,153,259.65 1.82
25,000.00+ to 50,000.00 849 32,550,079.79 11.49
50,000.00+ to 75,000.00 810 50,493,653.11 17.82
75,000.00+ to 100,000.00 547 48,043,765.75 16.96
100,000.00+ to 125,000.00 404 45,462,557.96 16.05
125,000.00+ to 150,000.00 252 34,509,052.09 12.18
150,000.00+ to 175,000.00 142 22,926,560.95 8.09
175,000.00+ to 200,000.00 81 15,224,781.63 5.37
200,000.00+ to 225,000.00 43 9,076,276.46 3.20
225,000.00+ to 250,000.00 27 6,373,740.32 2.25
250,000.00+ to 275,000.00 11 2,899,436.39 1.02
275,000.00+ to 300,000.00 16 4,671,000.51 1.65
300,000.00+ to 325,000.00 2 631,911.44 0.22
325,000.00+ to 350,000.00 6 2,039,479.39 0.72
350,000.00+ to 375,000.00 4 1,449,605.25 0.51
525,000.00+ to 550,000.00 1 550,000.00 0.19
600,000.00+ to 625,000.00 1 612,000.00 0.22
625,000.00+ to 650,000.00 1 635,000.00 0.22
----------------------------------------------------------------------------------------------------------
Total 3,457 283,302,160.69 100.00
</TABLE>
- -------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a
solicitation of an offer to buy any of the securities referred to herein.
Offers to sell and solicitations of offers to buy the securities are made
only by, and this information must be read in
conjunction with, the final Prospectus Supplement and the related Prospectus
or, if not registered under the securities laws, the final Offering
Memorandum (the "Offering Document"). Information contained herein is
preliminary, does not purport to be complete and is
subject to the same qualifications and assumptions, and should be considered
by investors only in the light of the same warnings, lack of assurances and
representations and other precautionary matters, as disclosed in the
Offering Document. Information regarding the
underlying assets has been provided by third parties and has not been
independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been
prepared on the basis of certain assumptions (including, in
certain cases, assumptions specified by the recipient hereof) regarding
payments, interest rates, losses and other matters, including,
but not limited to, the assumptions described in the Offering Document.
Donaldson, Lufkin & Jenrette Securities Corporation, and any of
its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof
including, with respect to any description of the securities or
underlying assets, the information contained in the Offering Document.
<PAGE>
DLJ
- -------------------------------------------------------------------------------
Donaldson, Lufkin & Jenrette Securities Corporation
Delta Funding Home Equity Loan Trust 1998-2
Home Equity Loan Asset-Backed Certificates, Series 1998-2
DETAILED COLLATERAL SUMMARY (CONTINUED)
Fixed Rate Loans
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------
Loan Count Loan Balance Percent of Total
--------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Interest Rate 6.000+ to 6.500 1 64,327.35 0.02
6.500+ to 7.000 2 450,000.00 0.16
7.000+ to 7.500 29 3,174,096.35 1.12
7.500+ to 8.000 134 14,734,400.04 5.20
8.000+ to 8.500 165 16,527,099.96 5.83
8.500+ to 9.000 383 36,043,320.68 12.72
9.000+ to 9.500 313 27,215,815.20 9.61
9.500+ to 10.000 579 50,083,062.49 17.68
10.000+ to 10.500 341 27,135,137.10 9.58
10.500+ to 11.000 472 38,719,151.45 13.67
11.000+ to 11.500 289 20,568,338.99 7.26
11.500+ to 12.000 291 21,534,987.04 7.60
12.000+ to 12.500 117 7,300,467.13 2.58
12.500+ to 13.000 129 8,761,815.24 3.09
13.000+ to 13.500 63 3,592,088.40 1.27
13.500+ to 14.000 54 3,033,918.41 1.07
14.000+ to 14.500 37 1,784,357.72 0.63
14.500+ to 15.000 30 1,584,203.16 0.56
15.000+ to 15.500 5 250,140.03 0.09
15.500+ to 16.000 8 251,227.56 0.09
16.000+ to 16.500 12 327,227.89 0.12
16.500+ to 17.000 3 166,978.50 0.06
--------------------------------------------------------------------------------------------------
Total 3,457 283,302,160.69 100.00
</TABLE>
- -------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a
solicitation of an offer to buy any of the securities referred to herein.
Offers to sell and solicitations of offers to buy the securities are made
only by, and this information must be read in
conjunction with, the final Prospectus Supplement and the related Prospectus
or, if not registered under the securities laws, the final Offering
Memorandum (the "Offering Document"). Information contained herein is
preliminary, does not purport to be complete and is
subject to the same qualifications and assumptions, and should be considered
by investors only in the light of the same warnings, lack of assurances and
representations and other precautionary matters, as disclosed in the
Offering Document. Information regarding the
underlying assets has been provided by third parties and has not been
independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been
prepared on the basis of certain assumptions (including, in
certain cases, assumptions specified by the recipient hereof) regarding
payments, interest rates, losses and other matters, including,
but not limited to, the assumptions described in the Offering Document.
Donaldson, Lufkin & Jenrette Securities Corporation, and any of
its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof
including, with respect to any description of the securities or
underlying assets, the information contained in the Offering Document.
<PAGE>
DLJ
- -------------------------------------------------------------------------------
Donaldson, Lufkin & Jenrette Securities Corporation
Delta Funding Home Equity Loan Trust 1998-2
Home Equity Loan Asset-Backed Certificates, Series 1998-2
DETAILED COLLATERAL SUMMARY (CONTINUED)
Fixed Rate Loans
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------
Loan Count Loan Balance Percent of Total
-----------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Combined LTV 5.0+ to 10.0 3 59,000.00 0.02
10.0+ to 15.0 8 186,027.68 0.07
15.0+ to 20.0 16 511,525.71 0.18
20.0+ to 25.0 25 1,056,786.32 0.37
25.0+ to 30.0 28 1,060,141.45 0.37
30.0+ to 35.0 52 3,538,394.23 1.25
35.0+ to 40.0 61 3,468,410.68 1.22
40.0+ to 45.0 86 5,254,193.84 1.85
45.0+ to 50.0 148 11,195,437.90 3.95
50.0+ to 55.0 144 9,196,831.58 3.25
55.0+ to 60.0 205 15,376,219.45 5.43
60.0+ to 65.0 279 21,587,356.81 7.62
65.0+ to 70.0 420 32,086,082.49 11.33
70.0+ to 75.0 427 32,870,271.07 11.60
75.0+ to 80.0 827 71,317,474.48 25.17
80.0+ to 85.0 408 41,336,179.16 14.59
85.0+ to 90.0 315 32,561,071.80 11.49
90.0+ to 95.0 5 640,756.04 0.23
-----------------------------------------------------------------------------------------------------
Total 3,457 283,302,160.69 100.00
<CAPTION>
-----------------------------------------------------------------------------------------------------
Loan Count Loan Balance Percent of Total
-----------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
State AR 18 656,528.54 0.23
AZ 8 534,539.83 0.19
CA 2 317,601.39 0.11
CO 14 1,223,967.59 0.43
CT 53 4,378,869.28 1.55
DC 13 891,280.69 0.31
DE 13 894,115.78 0.32
FL 207 15,910,511.84 5.62
GA 168 11,228,866.30 3.96
IL 121 9,096,784.91 3.21
IN 103 6,798,841.56 2.40
KY 29 2,001,943.49 0.71
MA 107 9,302,923.55 3.28
MD 47 3,275,691.39 1.16
ME 26 1,766,897.91 0.62
MI 169 9,895,928.54 3.49
MN 1 114,400.00 0.04
MO 22 1,250,572.07 0.44
</TABLE>
- -------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a
solicitation of an offer to buy any of the securities referred to herein.
Offers to sell and solicitations of offers to buy the securities are made
only by, and this information must be read in
conjunction with, the final Prospectus Supplement and the related Prospectus
or, if not registered under the securities laws, the final Offering
Memorandum (the "Offering Document"). Information contained herein is
preliminary, does not purport to be complete and is
subject to the same qualifications and assumptions, and should be considered
by investors only in the light of the same warnings, lack of assurances and
representations and other precautionary matters, as disclosed in the
Offering Document. Information regarding the
underlying assets has been provided by third parties and has not been
independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been
prepared on the basis of certain assumptions (including, in
certain cases, assumptions specified by the recipient hereof) regarding
payments, interest rates, losses and other matters, including,
but not limited to, the assumptions described in the Offering Document.
Donaldson, Lufkin & Jenrette Securities Corporation, and any of
its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof
including, with respect to any description of the securities or
underlying assets, the information contained in the Offering Document.
<PAGE>
DLJ
- -------------------------------------------------------------------------------
Donaldson, Lufkin & Jenrette Securities Corporation
Delta Funding Home Equity Loan Trust 1998-2
Home Equity Loan Asset-Backed Certificates, Series 1998-2
DETAILED COLLATERAL SUMMARY (CONTINUED)
Fixed Rate Loans
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------
Loan Count Loan Balance Percent of Total
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
State (continued) MS 49 2,729,725.03 0.96
NC 67 4,159,493.77 1.47
NE 5 207,283.00 0.07
NH 20 1,632,255.41 0.58
NJ 220 21,160,482.43 7.47
NM 3 175,982.94 0.06
NV 2 146,978.50 0.05
NY 1,238 127,349,383.08 44.95
OH 276 17,402,540.43 6.14
OK 1 188,000.00 0.07
OR 3 268,369.56 0.09
PA 259 15,773,079.08 5.57
RI 27 1,609,236.93 0.57
SC 26 1,517,810.73 0.54
TN 95 6,411,172.50 2.26
TX 19 900,828.97 0.32
UT 1 120,000.00 0.04
VA 8 488,311.70 0.17
VT 3 237,572.77 0.08
WA 4 476,595.06 0.17
WI 8 653,141.19 0.23
WV 2 153,652.95 0.05
-----------------------------------------------------------------------------------------------------------
Total 3,457 283,302,160.69 100.00
<CAPTION>
-----------------------------------------------------------------------------------------------------------
Loan Count Loan Balance Percent of Total
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Balloon Indicator Balloon Loan 161 14,148,273.29 4.99
Level Pay 3,296 269,153,887.40 95.01
-----------------------------------------------------------------------------------------------------------
Total 3,457 283,302,160.69 100.00
<CAPTION>
-----------------------------------------------------------------------------------------------------------
Loan Count Loan Balance Percent of Total
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Original Term 1 to 60 11 275,907.48 0.10
61 to 120 94 4,072,562.78 1.44
121 to 180 671 44,078,208.21 15.56
181 to 240 367 26,335,102.96 9.30
241 to 300 46 3,325,119.66 1.17
301 to 360 2,268 205,215,259.60 72.44
-----------------------------------------------------------------------------------------------------------
Total 3,457 283,302,160.69 100.00
</TABLE>
- -------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a
solicitation of an offer to buy any of the securities referred to herein.
Offers to sell and solicitations of offers to buy the securities are made
only by, and this information must be read in
conjunction with, the final Prospectus Supplement and the related Prospectus
or, if not registered under the securities laws, the final Offering
Memorandum (the "Offering Document"). Information contained herein is
preliminary, does not purport to be complete and is
subject to the same qualifications and assumptions, and should be considered
by investors only in the light of the same warnings, lack of assurances and
representations and other precautionary matters, as disclosed in the
Offering Document. Information regarding the
underlying assets has been provided by third parties and has not been
independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been
prepared on the basis of certain assumptions (including, in
certain cases, assumptions specified by the recipient hereof) regarding
payments, interest rates, losses and other matters, including,
but not limited to, the assumptions described in the Offering Document.
Donaldson, Lufkin & Jenrette Securities Corporation, and any of
its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof
including, with respect to any description of the securities or
underlying assets, the information contained in the Offering Document.
<PAGE>
DLJ
- -------------------------------------------------------------------------------
Donaldson, Lufkin & Jenrette Securities Corporation
Delta Funding Home Equity Loan Trust 1998-2
Home Equity Loan Asset-Backed Certificates, Series 1998-2
DETAILED COLLATERAL SUMMARY (CONTINUED)
Fixed Rate Loans
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------
Loan Count Loan Balance Percent of Total
---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Remaining Term 1 to 60 14 333,665.54 0.12
61 to 120 94 4,072,562.78 1.44
121 to 180 668 44,020,450.15 15.54
181 to 240 367 26,335,102.96 9.30
241 to 300 46 3,325,119.66 1.17
301 to 360 2,268 205,215,259.60 72.44
---------------------------------------------------------------------------------------------------------
Total 3,457 283,302,160.69 100.00
<CAPTION>
---------------------------------------------------------------------------------------------------------
Loan Count Loan Balance Percent of Total
---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Lien Position 1st Lien 3,108 267,897,531.26 94.56
2nd Lien 349 15,404,629.43 5.44
---------------------------------------------------------------------------------------------------------
Total 3,457 283,302,160.69 100.00
</TABLE>
- -------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a
solicitation of an offer to buy any of the securities referred to herein.
Offers to sell and solicitations of offers to buy the securities are made
only by, and this information must be read in
conjunction with, the final Prospectus Supplement and the related Prospectus
or, if not registered under the securities laws, the final Offering
Memorandum (the "Offering Document"). Information contained herein is
preliminary, does not purport to be complete and is
subject to the same qualifications and assumptions, and should be considered
by investors only in the light of the same warnings, lack of assurances and
representations and other precautionary matters, as disclosed in the
Offering Document. Information regarding the
underlying assets has been provided by third parties and has not been
independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been
prepared on the basis of certain assumptions (including, in
certain cases, assumptions specified by the recipient hereof) regarding
payments, interest rates, losses and other matters, including,
but not limited to, the assumptions described in the Offering Document.
Donaldson, Lufkin & Jenrette Securities Corporation, and any of
its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof
including, with respect to any description of the securities or
underlying assets, the information contained in the Offering Document.
<PAGE>
DLJ
- -------------------------------------------------------------------------------
Donaldson, Lufkin & Jenrette Securities Corporation
DELTA FUNDING HOME EQUITY LOAN TRUST 1998-2
HOME EQUITY LOAN ASSET-BACKED CERTIFICATES, SERIES 1998-2
COLLATERAL SUMMARY
Adjustable Rate Loans
<TABLE>
<S> <C> <C> <C> <C> <C>
Total Number of Loans 650
Total Outstanding Loan Balance $65,998,983.41
Level Pay (% of Total) 100.00%
Arm Adjustment Type: "2/28" "6 Month"
------ ---------
75.30% 24.70%
Min Max
---------------------------
Average Loan Original Balance $101,617.60 $10,000.00 $350,000.00
Average Loan Current Balance $101,536.90 $10,000.00 $349,654.32
Weighted Average Combined LTV 78.98% 15.63% 95.00%
Weighted Average Coupon 10.0928% 7.5500% 16.0000%
Weighted Average Gross Margin 6.4071% 3.2600% 11.6000%
Weighted Average Gross Life Cap 16.6910% 13.6000% 23.0000%
Weighted Average Minimum Rate 9.5498% 4.1500% 16.0000%
Weighted Average Periodic Cap 1.0045% 1.0000% 3.0000%
Weighted Average First Adj. Cap 2.4824% 1.0000% 3.0000%
Weighted Average Rem Term to Mat (months) 358.67 179.00 360.00
Weighted Average Seasoning (months) 1.23 0.00 11.00
Weighted Average Original Term (months) 359.90 180.00 360.00
Range of Original Terms
121 to 180 0.05%
301 to 360 99.95%
Index 6 Month LIBOR 100.00%
Lien Position 1st Lien 100.00%
Property Type Single Family 85.11%
Multi Family 11.15%
Condo 3.74%
Occupancy Status Owner Occupied 94.08%
Non-Owner Occupied 5.92%
Geographic Concentration IL 14.62% NY 8.21%
(states not listed individually account for OH 10.58% GA 7.00%
less than or equal to 5% of the pool NJ 10.26% MI 5.23%
balance) MA 8.88%
Credit Quality A 55.12% C 15.77%
(per Issuer's underwriting guidelines) B 25.27% D 3.85%
</TABLE>
- -------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a
solicitation of an offer to buy any of the securities referred to herein.
Offers to sell and solicitations of offers to buy the securities are made
only by, and this information must be read in
conjunction with, the final Prospectus Supplement and the related Prospectus
or, if not registered under the securities laws, the final Offering
Memorandum (the "Offering Document"). Information contained herein is
preliminary, does not purport to be complete and is
subject to the same qualifications and assumptions, and should be considered
by investors only in the light of the same warnings, lack of assurances and
representations and other precautionary matters, as disclosed in the
Offering Document. Information regarding the
underlying assets has been provided by third parties and has not been
independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been
prepared on the basis of certain assumptions (including, in
certain cases, assumptions specified by the recipient hereof) regarding
payments, interest rates, losses and other matters, including,
but not limited to, the assumptions described in the Offering Document.
Donaldson, Lufkin & Jenrette Securities Corporation, and any of
its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof
including, with respect to any description of the securities or
underlying assets, the information contained in the Offering Document.
<PAGE>
DLJ
- -------------------------------------------------------------------------------
Donaldson, Lufkin & Jenrette Securities Corporation
Delta Funding Home Equity Loan Trust 1998-2
Home Equity Loan Asset-Backed Certificates, Series 1998-2
DETAILED COLLATERAL SUMMARY
Adjustable Rate Loans
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------
Loan Count Loan Balance Percent of Total
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Original Balance 0.00+ to 25,000.00 11 230,411.67 0.35
25,000.00+ to 50,000.00 95 3,889,070.95 5.89
50,000.00+ to 75,000.00 142 8,836,495.52 13.39
75,000.00+ to 100,000.00 123 10,779,642.66 16.33
100,000.00+ to 125,000.00 108 12,129,824.03 18.38
125,000.00+ to 150,000.00 61 8,291,872.38 12.56
150,000.00+ to 175,000.00 46 7,467,107.17 11.31
175,000.00+ to 200,000.00 20 3,747,691.20 5.68
200,000.00+ to 225,000.00 22 4,670,653.07 7.08
225,000.00+ to 250,000.00 9 2,151,129.68 3.26
250,000.00+ to 275,000.00 5 1,293,685.34 1.96
275,000.00+ to 300,000.00 3 872,624.93 1.32
300,000.00+ to 325,000.00 3 940,000.00 1.42
325,000.00+ to 350,000.00 2 698,774.81 1.06
-----------------------------------------------------------------------------------------------------------
Total 650 65,998,983.41 100.00
<CAPTION>
-----------------------------------------------------------------------------------------------------------
Loan Count Loan Balance Percent of Total
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Current Balance 0.00+ to 25,000.00 11 230,411.67 0.35
25,000.00+ to 50,000.00 95 3,889,070.95 5.89
50,000.00+ to 75,000.00 142 8,836,495.52 13.39
75,000.00+ to 100,000.00 123 10,779,642.66 16.33
100,000.00+ to 125,000.00 108 12,129,824.03 18.38
125,000.00+ to 150,000.00 61 8,291,872.38 12.56
150,000.00+ to 175,000.00 46 7,467,107.17 11.31
175,000.00+ to 200,000.00 20 3,747,691.20 5.68
200,000.00+ to 225,000.00 22 4,670,653.07 7.08
225,000.00+ to 250,000.00 9 2,151,129.68 3.26
250,000.00+ to 275,000.00 5 1,293,685.34 1.96
275,000.00+ to 300,000.00 3 872,624.93 1.32
300,000.00+ to 325,000.00 3 940,000.00 1.42
325,000.00+ to 350,000.00 2 698,774.81 1.06
---------------------------------------------------------------------------------------------------------
Total 650 65,998,983.41 100.00
</TABLE>
- -------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a
solicitation of an offer to buy any of the securities referred to herein.
Offers to sell and solicitations of offers to buy the securities are made
only by, and this information must be read in
conjunction with, the final Prospectus Supplement and the related Prospectus
or, if not registered under the securities laws, the final Offering
Memorandum (the "Offering Document"). Information contained herein is
preliminary, does not purport to be complete and is
subject to the same qualifications and assumptions, and should be considered
by investors only in the light of the same warnings, lack of assurances and
representations and other precautionary matters, as disclosed in the
Offering Document. Information regarding the
underlying assets has been provided by third parties and has not been
independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been
prepared on the basis of certain assumptions (including, in
certain cases, assumptions specified by the recipient hereof) regarding
payments, interest rates, losses and other matters, including,
but not limited to, the assumptions described in the Offering Document.
Donaldson, Lufkin & Jenrette Securities Corporation, and any of
its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof
including, with respect to any description of the securities or
underlying assets, the information contained in the Offering Document.
<PAGE>
DLJ
- -------------------------------------------------------------------------------
Donaldson, Lufkin & Jenrette Securities Corporation
Delta Funding Home Equity Loan Trust 1998-2
Home Equity Loan Asset-Backed Certificates, Series 1998-2
DETAILED COLLATERAL SUMMARY (CONTINUED)
Adjustable Rate Loans
<TABLE>
<CAPTION>
-------------------------------------------------------------------------------------------------------
Loan Count Loan Balance Percent of Total
-------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Interest Rate 7.500+ to 8.000 19 2,317,159.72 3.51
8.000+ to 8.500 17 2,327,116.37 3.53
8.500+ to 9.000 57 6,505,387.93 9.86
9.000+ to 9.500 76 8,582,269.08 13.00
9.500+ to 10.000 136 14,418,508.38 21.85
10.000+ to 10.500 115 11,916,556.10 18.06
10.500+ to 11.000 97 9,691,145.19 14.68
11.000+ to 11.500 50 4,791,466.25 7.26
11.500+ to 12.000 41 3,070,588.94 4.65
12.000+ to 12.500 17 1,132,379.41 1.72
12.500+ to 13.000 12 641,179.25 0.97
13.000+ to 13.500 2 107,763.12 0.16
13.500+ to 14.000 6 238,183.99 0.36
14.000+ to 14.500 3 96,220.04 0.15
15.500+ to 16.000 2 163,059.64 0.25
-------------------------------------------------------------------------------------------------------
Total 650 65,998,983.41 100.00
<CAPTION>
-------------------------------------------------------------------------------------------------------
Loan Count Loan Balance Percent of Total
-------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Combined LTV 15.0+ to 20.0 1 10,000.00 0.02
20.0+ to 25.0 1 49,799.04 0.08
25.0+ to 30.0 2 114,963.70 0.17
30.0+ to 35.0 4 120,290.39 0.18
35.0+ to 40.0 8 473,429.48 0.72
40.0+ to 45.0 8 618,363.05 0.94
45.0+ to 50.0 9 564,832.51 0.86
50.0+ to 55.0 11 955,217.00 1.45
55.0+ to 60.0 25 1,879,615.93 2.85
60.0+ to 65.0 27 2,082,772.19 3.16
65.0+ to 70.0 57 4,290,047.49 6.50
70.0+ to 75.0 86 8,139,147.57 12.33
75.0+ to 80.0 169 18,065,450.18 27.37
80.0+ to 85.0 105 12,439,738.48 18.85
85.0+ to 90.0 136 16,082,468.11 24.37
90.0+ to 95.0 1 112,848.29 0.17
-------------------------------------------------------------------------------------------------------
Total 650 65,998,983.41 100.00
</TABLE>
- -------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a
solicitation of an offer to buy any of the securities referred to herein.
Offers to sell and solicitations of offers to buy the securities are made
only by, and this information must be read in
conjunction with, the final Prospectus Supplement and the related Prospectus
or, if not registered under the securities laws, the final Offering
Memorandum (the "Offering Document"). Information contained herein is
preliminary, does not purport to be complete and is
subject to the same qualifications and assumptions, and should be considered
by investors only in the light of the same warnings, lack of assurances and
representations and other precautionary matters, as disclosed in the
Offering Document. Information regarding the
underlying assets has been provided by third parties and has not been
independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been
prepared on the basis of certain assumptions (including, in
certain cases, assumptions specified by the recipient hereof) regarding
payments, interest rates, losses and other matters, including,
but not limited to, the assumptions described in the Offering Document.
Donaldson, Lufkin & Jenrette Securities Corporation, and any of
its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof
including, with respect to any description of the securities or
underlying assets, the information contained in the Offering Document.
<PAGE>
DLJ
- -------------------------------------------------------------------------------
Donaldson, Lufkin & Jenrette Securities Corporation
Delta Funding Home Equity Loan Trust 1998-2
Home Equity Loan Asset-Backed Certificates, Series 1998-2
DETAILED COLLATERAL SUMMARY (CONTINUED)
Adjustable Rate Loans
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------
Loan Count Loan Balance Percent of Total
---------------------------------------------------------------------------------------------
<S> <C> <C> <C>
State AZ 15 1,322,625.40 2.00
CO 8 790,599.05 1.20
CT 7 993,144.81 1.50
DC 2 189,826.51 0.29
FL 33 3,302,613.39 5.00
GA 37 4,621,494.95 7.00
IL 81 9,646,920.54 14.62
IN 12 837,031.15 1.27
KY 16 1,237,640.16 1.88
MA 48 5,857,768.04 8.88
MD 22 2,399,255.24 3.64
ME 2 167,979.89 0.25
MI 55 3,454,406.19 5.23
MO 10 721,290.60 1.09
MS 1 28,778.27 0.04
NC 15 1,375,436.61 2.08
NH 17 1,545,894.50 2.34
NJ 52 6,770,139.63 10.26
NM 10 767,759.71 1.16
NV 1 108,846.43 0.16
NY 41 5,418,924.02 8.21
OH 84 6,983,364.32 10.58
PA 36 2,560,144.05 3.88
RI 6 372,585.90 0.56
SC 4 482,098.90 0.73
TN 16 2,018,093.73 3.06
UT 3 317,888.68 0.48
VA 5 850,552.60 1.29
VT 1 56,230.69 0.09
WI 10 799,649.45 1.21
---------------------------------------------------------------------------------------------
Total 650 65,998,983.41 100.00
</TABLE>
- -------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a
solicitation of an offer to buy any of the securities referred to herein.
Offers to sell and solicitations of offers to buy the securities are made
only by, and this information must be read in
conjunction with, the final Prospectus Supplement and the related Prospectus
or, if not registered under the securities laws, the final Offering
Memorandum (the "Offering Document"). Information contained herein is
preliminary, does not purport to be complete and is
subject to the same qualifications and assumptions, and should be considered
by investors only in the light of the same warnings, lack of assurances and
representations and other precautionary matters, as disclosed in the
Offering Document. Information regarding the
underlying assets has been provided by third parties and has not been
independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been
prepared on the basis of certain assumptions (including, in
certain cases, assumptions specified by the recipient hereof) regarding
payments, interest rates, losses and other matters, including,
but not limited to, the assumptions described in the Offering Document.
Donaldson, Lufkin & Jenrette Securities Corporation, and any of
its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof
including, with respect to any description of the securities or
underlying assets, the information contained in the Offering Document.
<PAGE>
DLJ
- -------------------------------------------------------------------------------
Donaldson, Lufkin & Jenrette Securities Corporation
Delta Funding Home Equity Loan Trust 1998-2
Home Equity Loan Asset-Backed Certificates, Series 1998-2
DETAILED COLLATERAL SUMMARY (CONTINUED)
Adjustable Rate Loans
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------
Loan Count Loan Balance Percent of Total
---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Original Term 121 to 180 1 35,939.84 0.05
301 to 360 649 65,963,043.57 99.95
---------------------------------------------------------------------------------------------------------
Total 650 65,998,983.41 100.00
<CAPTION>
---------------------------------------------------------------------------------------------------------
Loan Count Loan Balance Percent of Total
---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Remaining Term 121 to 180 1 35,939.84 0.05
301 to 360 649 65,963,043.57 99.95
-------------------------------------------------------------------------------------------------------
Total 650 65,998,983.41 100.00
<CAPTION>
---------------------------------------------------------------------------------------------------------
Loan Count Loan Balance Percent of Total
---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Lien Position 1st Lien 650 65,998,983.41 100.00
-------------------------------------------------------------------------------------------------------
Total 650 65,998,983.41 100.00
<CAPTION>
---------------------------------------------------------------------------------------------------------
Loan Count Loan Balance Percent of Total
---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Gross Margin 3.000+ to 3.500 1 107,736.15 0.16
3.500+ to 4.000 3 292,650.00 0.44
4.000+ to 4.500 16 1,990,084.84 3.02
4.500+ to 5.000 23 2,538,267.11 3.85
5.000+ to 5.500 66 7,181,379.03 10.88
5.500+ to 6.000 108 11,857,454.89 17.97
6.000+ to 6.500 108 10,668,716.44 16.16
6.500+ to 7.000 140 14,704,813.80 22.28
7.000+ to 7.500 96 9,399,714.85 14.24
7.500+ to 8.000 45 4,628,542.08 7.01
8.000+ to 8.500 21 1,566,864.19 2.37
8.500+ to 9.000 14 610,188.15 0.92
9.000+ to 9.500 6 238,186.55 0.36
9.500+ to 10.000 1 51,325.69 0.08
11.000+ to 11.500 1 69,991.98 0.11
11.500+ to 12.000 1 93,067.66 0.14
-------------------------------------------------------------------------------------------------------
Total 650 65,998,983.41 100.00
</TABLE>
- -------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a
solicitation of an offer to buy any of the securities referred to herein.
Offers to sell and solicitations of offers to buy the securities are made
only by, and this information must be read in
conjunction with, the final Prospectus Supplement and the related Prospectus
or, if not registered under the securities laws, the final Offering
Memorandum (the "Offering Document"). Information contained herein is
preliminary, does not purport to be complete and is
subject to the same qualifications and assumptions, and should be considered
by investors only in the light of the same warnings, lack of assurances and
representations and other precautionary matters, as disclosed in the
Offering Document. Information regarding the
underlying assets has been provided by third parties and has not been
independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been
prepared on the basis of certain assumptions (including, in
certain cases, assumptions specified by the recipient hereof) regarding
payments, interest rates, losses and other matters, including,
but not limited to, the assumptions described in the Offering Document.
Donaldson, Lufkin & Jenrette Securities Corporation, and any of
its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof
including, with respect to any description of the securities or
underlying assets, the information contained in the Offering Document.
<PAGE>
DLJ
- -------------------------------------------------------------------------------
Donaldson, Lufkin & Jenrette Securities Corporation
Delta Funding Home Equity Loan Trust 1998-2
Home Equity Loan Asset-Backed Certificates, Series 1998-2
DETAILED COLLATERAL SUMMARY (CONTINUED)
Adjustable Rate Loans
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------
Loan Count Loan Balance Percent of Total
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Maximum Rate 13.500+ to 14.000 6 749,450.00 1.14
14.000+ to 14.500 2 224,300.00 0.34
14.500+ to 15.000 34 4,307,632.27 6.53
15.000+ to 15.500 35 4,708,360.81 7.13
15.500+ to 16.000 93 10,232,943.04 15.50
16.000+ to 16.500 115 12,389,986.55 18.77
16.500+ to 17.000 116 11,926,557.01 18.07
17.000+ to 17.500 77 7,379,315.41 11.18
17.500+ to 18.000 71 6,346,576.96 9.62
18.000+ to 18.500 31 3,057,187.77 4.63
18.500+ to 19.000 41 2,930,904.95 4.44
19.000+ to 19.500 14 944,801.80 1.43
19.500+ to 20.000 7 429,217.17 0.65
20.000+ to 20.500 2 65,284.98 0.10
20.500+ to 21.000 3 112,469.99 0.17
21.000+ to 21.500 1 30,935.06 0.05
22.500+ to 23.000 2 163,059.64 0.25
----------------------------------------------------------------------------------------------------
Total 650 65,998,983.41 100.00
</TABLE>
- -------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a
solicitation of an offer to buy any of the securities referred to herein.
Offers to sell and solicitations of offers to buy the securities are made
only by, and this information must be read in
conjunction with, the final Prospectus Supplement and the related Prospectus
or, if not registered under the securities laws, the final Offering
Memorandum (the "Offering Document"). Information contained herein is
preliminary, does not purport to be complete and is
subject to the same qualifications and assumptions, and should be considered
by investors only in the light of the same warnings, lack of assurances and
representations and other precautionary matters, as disclosed in the
Offering Document. Information regarding the
underlying assets has been provided by third parties and has not been
independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been
prepared on the basis of certain assumptions (including, in
certain cases, assumptions specified by the recipient hereof) regarding
payments, interest rates, losses and other matters, including,
but not limited to, the assumptions described in the Offering Document.
Donaldson, Lufkin & Jenrette Securities Corporation, and any of
its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof
including, with respect to any description of the securities or
underlying assets, the information contained in the Offering Document.
<PAGE>
DLJ
- -------------------------------------------------------------------------------
Donaldson, Lufkin & Jenrette Securities Corporation
Delta Funding Home Equity Loan Trust 1998-2
Home Equity Loan Asset-Backed Certificates, Series 1998-2
DETAILED COLLATERAL SUMMARY (CONTINUED)
Adjustable Rate Loans
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------
Loan Count Loan Balance Percent of Total
------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Minimum Rate 4.000+ to 4.500 2 160,681.17 0.24
4.500+ to 5.000 3 233,363.79 0.35
5.000+ to 5.500 5 838,332.91 1.27
5.500+ to 6.000 15 2,022,797.25 3.06
6.000+ to 6.500 7 810,869.36 1.23
6.500+ to 7.000 12 1,655,828.62 2.51
7.000+ to 7.500 15 1,922,032.37 2.91
7.500+ to 8.000 28 3,346,481.45 5.07
8.000+ to 8.500 21 2,677,241.98 4.06
8.500+ to 9.000 54 5,853,506.61 8.87
9.000+ to 9.500 68 7,440,384.27 11.27
9.500+ to 10.000 125 12,836,416.25 19.45
10.000+ to 10.500 104 10,644,094.03 16.13
10.500+ to 11.000 84 8,234,494.65 12.48
11.000+ to 11.500 37 2,904,146.57 4.40
11.500+ to 12.000 34 2,283,680.72 3.46
12.000+ to 12.500 15 1,051,332.06 1.59
12.500+ to 13.000 11 611,179.25 0.93
13.000+ to 13.500 2 107,763.12 0.16
13.500+ to 14.000 4 147,569.99 0.22
14.000+ to 14.500 2 53,727.35 0.08
15.500+ to 16.000 2 163,059.64 0.25
------------------------------------------------------------------------------------------------------------
Total 650 65,998,983.41 100.00
<CAPTION>
------------------------------------------------------------------------------------------------------------
Loan Count Loan Balance Percent of Total
------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Periodic Rate Cap 1.000 647 65,850,348.55 99.77
3.000 3 148,634.86 0.23
------------------------------------------------------------------------------------------------------------
Total 650 65,998,983.41 100.00
<CAPTION>
------------------------------------------------------------------------------------------------------------
Loan Count Loan Balance Percent of Total
------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Interest Rate Cap 1.000 137 16,156,633.07 24.48
1.500 2 224,548.41 0.34
2.000 13 1,510,575.39 2.29
3.000 498 48,107,226.54 72.89
------------------------------------------------------------------------------------------------------------
Total 650 65,998,983.41 100.00
</TABLE>
- -------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a
solicitation of an offer to buy any of the securities referred to herein.
Offers to sell and solicitations of offers to buy the securities are made
only by, and this information must be read in
conjunction with, the final Prospectus Supplement and the related Prospectus
or, if not registered under the securities laws, the final Offering
Memorandum (the "Offering Document"). Information contained herein is
preliminary, does not purport to be complete and is
subject to the same qualifications and assumptions, and should be considered
by investors only in the light of the same warnings, lack of assurances and
representations and other precautionary matters, as disclosed in the
Offering Document. Information regarding the
underlying assets has been provided by third parties and has not been
independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been
prepared on the basis of certain assumptions (including, in
certain cases, assumptions specified by the recipient hereof) regarding
payments, interest rates, losses and other matters, including,
but not limited to, the assumptions described in the Offering Document.
Donaldson, Lufkin & Jenrette Securities Corporation, and any of
its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof
including, with respect to any description of the securities or
underlying assets, the information contained in the Offering Document.
<PAGE>
DLJ
- -------------------------------------------------------------------------------
Donaldson, Lufkin & Jenrette Securities Corporation
Delta Funding Home Equity Loan Trust 1998-2
Home Equity Loan Asset-Backed Certificates, Series 1998-2
DETAILED COLLATERAL SUMMARY (CONTINUED)
Adjustable Rate Loans
<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------
Loan Count Loan Balance Percent of Total
--------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Index 6 Mo. LIBOR 650 65,998,983.41 100.00
--------------------------------------------------------------------------------------------------
Total 650 65,998,983.41 100.00
<CAPTION>
--------------------------------------------------------------------------------------------------
Loan Count Loan Balance Percent of Total
--------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Rate Adjustment Frequency 6 months 650 65,998,983.41 100.00
--------------------------------------------------------------------------------------------------
Total 650 65,998,983.41 100.00
</TABLE>
- -------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a
solicitation of an offer to buy any of the securities referred to herein.
Offers to sell and solicitations of offers to buy the securities are made
only by, and this information must be read in
conjunction with, the final Prospectus Supplement and the related Prospectus
or, if not registered under the securities laws, the final Offering
Memorandum (the "Offering Document"). Information contained herein is
preliminary, does not purport to be complete and is
subject to the same qualifications and assumptions, and should be considered
by investors only in the light of the same warnings, lack of assurances and
representations and other precautionary matters, as disclosed in the
Offering Document. Information regarding the
underlying assets has been provided by third parties and has not been
independently verified by Donaldson, Lufkin & Jenrette Securities
Corporation or any affiliate. The analyses contained herein have been
prepared on the basis of certain assumptions (including, in
certain cases, assumptions specified by the recipient hereof) regarding
payments, interest rates, losses and other matters, including,
but not limited to, the assumptions described in the Offering Document.
Donaldson, Lufkin & Jenrette Securities Corporation, and any of
its affiliates, make no representation or warranty as to the actual rate or
timing of payments on any of the underlying assets or the payments or yield
on the securities. This information supersedes any prior versions hereof and
will be deemed to be superseded by any subsequent versions hereof
including, with respect to any description of the securities or
underlying assets, the information contained in the Offering Document.
