<PAGE>
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
-------------------
FORM 8-K
CURRENT REPORT
PURSUANT TO SECTION 13 OR 15 (d)
OF THE SECURITIES EXCHANGE ACT OF 1934
Date of Report (date of earliest event reported) March 25, 1999
--------------
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
- -----------------------------------------------------------------------------=
(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 NationsBanc
Montgomery Securities LLC, as an underwriter, in connection with the issuance
by Delta Funding Home Equity Loan Trust 1999-1 of Home Equity Loan
Asset-Backed Certificates, Series 1999-1. The term "Computational Materials"
shall have the meaning given in the No-Action Letter of May 20, 1994 issued by
the Securities and Exchange Commission (the "SEC") to Kidder, Peabody
Acceptance Corporation I, Kidder, Peabody & Co. Incorporated and Kidder
Structured Asset Corporation, as made applicable to other issuers and
underwriters by the Commission in response to the request of the Public
Securities Association dated May 24, 1994, and the supplemented in the
No-Action Letter of February 17, 1995 issued by the SEC to the Public
Securities Association.
Also included for filing as Exhibit 23.1 attached hereto is
the Consent of PricewaterhouseCoopers LLP, independent accountants for MBIA
Insurance Corporation.
Item 7. Financial Statements, Pro Forma Financial Information and Exhibits.
(a) Not applicable.
(b) Not applicable.
(c) Exhibits:
8.1 Opinion of Stroock & Stroock & Lavan LLP regarding certain
tax matters.
23.1 Consent of PricewaterhouseCoopers LLP
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: March 25, 1999
3
<PAGE>
EXHIBIT INDEX
Exhibit Page
8.1 Opinion of Stroock & Stroock & Lavan LLP regarding certain
tax matters.
23.1 Consent of PricewaterhouseCoopers LLP
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, NY 10038-4982
March 25, 1999
Delta Funding Corporation
1000 Woodbury Road
Woodbury, New York 11797
Re: Delta Funding Corporation
Registration Statement on Form S-3
(No. 333-51545)
----------------------------------
Ladies and Gentlemen:
We have acted as counsel for Delta Funding Corporation ("Delta") in connection
with the issuance of $375,000,000 aggregate principal amount of Home Equity
Loan Asset-Backed Certificates, Series 1999-1 (the "Certificates"). A
Registration Statement on FormS-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 March 25, 1999 and the Prospectus Supplement dated March
25, 1999, the Certificates will be issued by a trust established by Delta
pursuant to the provisions of a Pooling and Servicing Agreement dated as of
February 28, 1999 (the "Pooling and Servicing Agreement") between Delta, as
Seller and Servicer, and Norwest Bank Minnesota, National Association, 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
<PAGE>
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>
EXHIBIT 23.1
CONSENT OF INDEPENDENT ACCOUNTANTS
We consent to the incorporation by reference in the Prospectus Supplement
of Delta Funding Corporation relating to Delta Funding Home Equity Loan Trust
1999-1, of our report dated February 3, 1999, on our audits of the
consolidated financial statements of MBIA Insurance Corporation and
Subsidiaries as of December 31, 1997 and 1996 and for each of the three years
in the period ended December 31, 1997. We also consent to the reference to our
firm under the caption "Experts".
/s/ PricewaterhouseCoopers LLP
----------------------------------------
PricewaterhouseCoopers LLP
March 25, 1999
<PAGE>
EXHIBIT 99.1
<PAGE>
Delta Funding Home Equity Loan Trust 1999-1
Home Equity Loan Asset-Backed Certificates, Series 1999-1
BANK OF AMERICA
[LOGO]
NATIONSBANC MONTGOMERY SECURITIES
NationsBanc Montgomery Securities LLC
- -------------------------------------------------------------------------------
RMBS New Issue Term Sheet
$375,000,000
Delta Funding Home Equity Loan Trust 1999-1
Home Equity Loan Asset-Backed Certificates, Series 1999-1
Classes A-1F, A-2F, A-3F, A-4F, A-5F, A-6F, IOF, B, A-1A and A-2A
Delta Funding Corporation
(Seller and Servicer)
NationsBanc Montgomery Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and NationsBanc
Montgomery Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
1
<PAGE>
March 16, 1999
- -------------------------------------------------------------------------------
NationsBanc Montgomery Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and NationsBanc
Montgomery Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
2
<PAGE>
Delta Funding Home Equity Loan Trust 1999-1
Home Equity Loan Asset-Backed Certificates, Series 1999-1
Offered Certificates:
To Maturity:
<TABLE>
<CAPTION>
Est.
Estimated Principal Expected
Class Class Loan WAL/MDUR Pmt. Win. Final Ratings (S&P/
Class Description Expected Size Size (%) Group (yrs) (mos) Maturity Moody's)
<S> <C> <C> <C> <C> <C> <C> <C> <C>
A-1F (1) SEQ 92,400,000 24.64 F 0.80/0.76 1-18 11/15/15 AAA/Aaa
A-2F (1) SEQ 71,700,000 19.12 F 2.00/1.83 18-32 2/15/23 AAA/Aaa
A-3F (1) SEQ 34,800,000 9.28 F 3.10/2.73 32-44 6/15/25 AAA/Aaa
A-4F (1) SEQ 52,100,000 13.89 F 4.90/4.05 44-83 2/15/28 AAA/Aaa
A-5F (1) SEQ 25,750,000 6.87 F 10.46/7.13 83-188 2/15/29 AAA/Aaa
A-6F (1) NAS 32,000,000 8.53 F 6.42/5.02 37-186 12/15/28 AAA/Aaa
B (1) SUB 11,250,000 3.00 F 4.98/3.82 37-101 3/15/28 BBB-/Baa3
IOF (1) Notional IO NA NA F 1.65/0.98 NA 3/15/02 AAAr/Aaa
A-1A (2) Floater 44,000,000 11.73 A 2.87/NA 1-188 2/15/29 AAA/Aaa
A-2A (2) NAS 11,000,000 2.93 A 2.22/2.01 20-36 10/15/12 AAA/Aaa
</TABLE>
To 10% Clean-up Call:
<TABLE>
<CAPTION>
Est. Expected
Estimated Principal Ratings (S&P/
Class Class Loan WAL/MDUR Pmt. Win Final Moody's)
Class Description Expected Size Size (%) Group (yrs) (mos) Maturity
<S> <C> <C> <C> <C> <C> <C> <C> <C>
A-1F (1) SEQ 92,400,000 24.64 F 0.80/0.76 1-18 11/15/15 AAA/Aaa
A-2F (1) SEQ 71,700,000 19.12 F 2.00/1.83 18-32 2/15/23 AAA/Aaa
A-3F (1) SEQ 34,800,000 9.28 F 3.10/2.73 32-44 6/15/25 AAA/Aaa
A-4F (1) SEQ 52,100,000 13.89 F 4.90/4.05 44-83 12/15/27 AAA/Aaa
A-5F (1) SEQ 25,750,000 6.87 F 7.75/5.80 83-94 12/15/27 AAA/Aaa
A-6F (1) NAS 32,000,000 8.53 F 6.22/4.91 37-94 12/15/27 AAA/Aaa
B (1) SUB 11,250,000 3.00 F 4.97/3.82 37-94 12/15/27 BBB-/Baa3
IOF (1) Notional IO NA NA F 1.65/0.98 NA 3/15/02 AAAr/Aaa
A-1A (2) Floater 44,000,000 11.73 A 2.69/NA 1-94 12/15/27 AAA/Aaa
A-2A (2) NAS 11,000,000 2.93 A 2.22/2.01 20-36 10/15/12 AAA/Aaa
</TABLE>
The Class IOF Certificates are offered solely by NationsBanc Montgomery
Securities LLC.
NationsBanc Montgomery Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and NationsBanc
Montgomery Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
<PAGE>
Delta Funding Home Equity Loan Trust 1999-1
Home Equity Loan Asset-Backed Certificates, Series 1999-1
SUMMARY OF TERMS
Seller & Servicer: Delta Funding Corporation ("Delta") , a
New York corporation and a wholly owned subsidiary of
Delta Financial Corporation. The mortgage loans were
originated or acquired by Delta. On or prior to the
date the Certificates are issued, Delta will convey
its interest in each Mortgage Loan to the Trust and
will act as Servicer of the Mortgage Loans.
Trustee: Norwest Bank Minnesota, N.A.
Custodian: Bankers Trust Company of California, N.A.
Offering: Public; subject to a variance of plus or minus 5.0%.
Lead Manager: NationsBanc Montgomery Securities LLC (Lead and Book
Manager)
Co-managers: Lehman Brothers Inc.
Credit Suisse First Boston Corporation.
First Union Capital Markets Corp.
Cut-off Date: The close of business on February 28, 1999,
except that the Cut-off Date for any Mortgage Loan
originated after March 1, 1999 will be the date of
the origination of that Mortgage Loan.
Expected
Closing Date: March 30, 1999
Registration: Certificates will be available in book-entry form
through DTC, Euroclear or Cedelbank.
Distribution
Date: The 15th day of each month (or next succeeding
business day), beginning April 15, 1999.
Interest
Calculation: Classes A-1F through A-6F Certificates, the Class
A-2A Certificates and the Class B Certificates are
payable monthly from available funds starting 4/15/99
at their respective pass-through rates and calculated
on a 30/360 basis and accruing from 3/1/99. The Class
A-1F through Class A-6F Certificates are subject to
the Loan Group F Cap.
The Class A-1A Certificates are payable monthly from
available funds starting 4/15/99 and accrue from the
Closing Date. The Class A-1A Certificates reset
monthly to One-Month LIBOR plus [ ]% in the case of
each Distribution Date through and including the
Distribution Date on which the aggregate principal
balance of the Mortgage Loans in the Mortgage Pool is
less than 10% of the sum of such balances as of the
Cut-off Date and the additional mortgage loan
principal balances, or One-Month LIBOR plus [ ]%, in
the case of any Distribution Date thereafter, in each
case subject to the Available Funds Cap. Interest on
the Class A-1A is calculated on an (Actual/360)
basis.
Optional
Termination: The servicer may, at its option, terminate the trust
on any distribution date when the aggregate principal
balance of the mortgage loans is less than 10% of the
sum of the principal balances of the mortgage loans
delivered on the closing date and the additional
mortgage loans.
Denominations: $25,000 and integral multiples of $1,000 in excess of
$25,000.
Tax Status: REMIC Election
ERISA: Subject to satisfaction of certain conditions, ERISA
plans may purchase the offered certificates except
for the Class B. Prospective investors that are
pension plans should consult their own counsel with
respect to an investment in the offered certificates.
NationsBanc Montgomery Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and NationsBanc
Montgomery Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
<PAGE>
Delta Funding Home Equity Loan Trust 1999-1
Home Equity Loan Asset-Backed Certificates, Series 1999-1
SMMEA: The Offered Certificates will not constitute
"mortgage related securities" for purposes of SMMEA.
Certificate
Insurer: MBIA Insurance Corporation. MBIA financial strength
is rated "AAA" by Standard & Poor's Ratings Service,
"Aaa" by Moody's Investors Service, Inc. and "AAA"
by Fitch IBCA, Inc.
Certificate
Insurance Policy: MBIA Insurance Corporation will guarantee the timely
interest and ultimate payment of principal on the
Offered Certificates, excluding the Class B
Certificates. The Class B Certificates are not
insured.
Rating
Agencies: Standard & Poor's Ratings Service, and Moody's
Investors Service, Inc.
Initial Mortgage
Loans: The statistical information presented in the Term
Sheet regarding the Mortgage Pool is based on the
Statistical Mortgage Loans as of the Cut-off Date.
The Mortgage Pool consists primarily of
conventional, fully-amortizing and balloon, first
and second lien, fixed and adjustable rate closed
end, one-to four-family residential mortgage loans.
As of the Cut-off Date, the Statistical Mortgage
Pool consisted of a total of 2,961 loans of which
2,557 are fixed rate Mortgage Loans and 404 are
adjustable rate Mortgage Loans. As of the Cut-off
Date, the Statistical Mortgage Loans in the Fixed
Rate Group (Loan Group F) had an Aggregate Principal
Balance of approximately $212,288,029.28 and the
Statistical Mortgage Loans in the Adjustable Rate
Group (Loan Group A) has an Aggregate Principal
Balance of approximately $34,929,024.88.
Additional Loans: It is anticipated that certain additional
fixed and adjustable rate Mortgage Loans, in the
amount of approximately $107,711,971 for the Fixed
Rate Group and approximately $20,070,976 for the
Adjustable Rate Group, will be delivered on or prior
to the Closing Date.
Available
Funds Cap: As to any Distribution Date, (A) in the case of
Loan Group F, Certificate Group F and the Class B
Certificates, the lesser of the Loan Group F Cap and
the Loan Group A Cap and (B) in the case of the Class
A-1A Certificates, the Loan Group A Cap.
Loan Group A Cap: The weighted average Net Loan Rate of the Mortgage
Loans in Loan Group A minus, for any Distribution
Date after the 12th Distribution Date, 0.50% per
annum.
LIBOR Carryover
(Class A-1A only): As to the Class A-1A Certificates and any
Distribution Date, the sum of (i) the excess, if
any, of the related Class Monthly Interest Amount
calculated on the basis of the lesser of (x) 1-Month
LIBOR plus the applicable Certificate Margin and (y)
14% per annum over the related Class Monthly
Interest Amount for such Distribution Date, (ii) any
LIBOR Carryover remaining unpaid from prior
Distribution Dates and (iii) 30 days interest on the
amount in clause (ii) calculated on the basis of the
lesser of (x) 1-Month LIBOR plus the applicable
Certificate Margin and (y) 14% per annum.
Loan Group F Cap: A rate per annum equal to (i) the weighted average
Net Loan Rate of the Mortgage Loans in Loan Group F
minus, (ii) the product of (x) the Certificate Rate
on the Class IOF Certificates and (y) a fraction,
the numerator of which is the Notional Amount of the
Class IOF Certificates and the denominator of which
is the Loan Group Balance of Loan Group F as of the
first day of the related Due Period.
Class B Cap
NationsBanc Montgomery Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and NationsBanc
Montgomery Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
<PAGE>
Delta Funding Home Equity Loan Trust 1999-1
Home Equity Loan Asset-Backed Certificates, Series 1999-1
Carryover: As to any Distribution Date, the sum of (i) the
excess, if any, of the related Class Monthly Interest
Amount, calculated at [ ]% per annum, over the Class
Monthly Interest Amount for such Distribution Date,
and (ii) any Class B Cap Carryover remaining unpaid
from prior Distribution Dates and (iii) 30 days'
interest on the amount in clause (i) calculated at
the rate of [ ]% per annum.
Available LIBOR
Carryover Amount: As to any Distribution Date, the lesser of (x) the
amounts remaining after distributions (i) to the
Senior Certificates and Class B Certificates of the
related Class Interest Distribution Amount, (ii) to
the Senior Certificates and Class B Certificates of
the related Class Principal Distribution Amounts
(excluding any Subordination Increase Amount
included therein), (iii) to the Offered Certificates
of the Subordination Increase Amount for such
Distribution Date, (iv) to the Class B Certificates
of the Class B Interest Carryover Shortfall, (v) to
the Class B Certificates of the Class B Principal
Carryover Shortfall and (y) the excess, if any, of
(x) the Interest Remittance Amount for Loan Group A
for such Distribution Date over (y) the sum of the
Trustee Fee for Loan Group A, the Certificate
Insurer premium for the Group A Certificates, the
Class A-1A and Class A-2A Interest Distribution
Amounts and the Group A Subordination Increase
Amount.
Class Interest
Carryover Shortfall: As to any Class of Certificates and any Distribution
Date, an amount equal to the sum of (i) the excess
of the related Class Monthly Interest Amount for the
preceding Distribution Date and any outstanding
Class Interest Carryover Shortfall with respect to
such Class on such preceding Distribution Date, over
the amount in respect of interest that is actually
distributed to the Holders of such Class on such
preceding Distribution Date plus (ii) one month's
interest on such excess, to the extent permitted by
law, at the related Pass-Through Rate.
Contact: NationsBanc Montgomery Securities LLC
<TABLE>
<S> <C>
Mortgage Trading/Syndicate (704) 386-7744 (704) 335-5904 (Fax)
Chris Hentemann (email: [email protected])
Bill Hale (email: [email protected])
Alex Cha (email: [email protected])
</TABLE>
NationsBanc Montgomery Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and NationsBanc
Montgomery Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
<PAGE>
Delta Funding Home Equity Loan Trust 1999-1
Home Equity Loan Asset-Backed Certificates, Series 1999-1
DISTRIBUTION PRIORITIES
Available funds (net of Service Fee of 50 basis points) relating to the fixed
rate group (Loan Group F) and the adjustable rate group (Loan Group A) will be
used to first pay the Trustee fee and the Certificate Insurer premium, each for
the related group, and then the Senior Class Interest Distribution Amount for
the related group. Any remaining funds will be combined from both groups to pay
the Class B Certificate Interest Distribution Amount. The principal distribution
amount from the fixed rate group and the adjustable rate group will then be
applied as described below.
1. Concurrently, to the Group A Certificates, the Group A Principal
Distribution Amount and to the Group F Certificates, the Adjusted
Principal Distribution Amount;
2. The Group A Principal Distribution Amount is the lesser of (A) the greater
of (i) the product of (x) the Senior Principal Distribution Amount for
such Distribution Date and (y) a fraction, the numerator of which is the
aggregate principal balance of the Group A Certificates immediately prior
to such Distribution Date, and the denominator of which is the aggregate
principal balance of all Senior Certificates immediately prior to such
Distribution Date, and (ii) the excess, if any, of (x) the aggregate
principal balance of the Group A Certificates immediately prior to such
Distribution Date over (y) the aggregate principal balance of all loans in
Loan Group A as of the last day of the related due period or (B) Senior
Principal Distribution Amount. The Adjusted Principal Distribution Amount
is the excess of the Senior Principal Distribution Amount over the Group A
Principal Distribution Amount.
Fixed Rate Classes:
1. The Adjusted Principal Distribution Amount will be allocated in the
following order of priority:
a) To the Class A-6F Certificate, the product of (x) the applicable Class
A-6F Percentage and (y) the product of (i) a fraction, the numerator of
which is the principal balance of the Class A-6F Certificates and the
denominator which is the aggregate principal balances of all Fixed Rate
Offered Certificates and (ii) the Adjusted Principal Distribution
Amount. The Class A-6F Percentage for each Distribution Date is as
follows: 0% for Distribution Dates up to month 36; 45% for Distribution
Dates in months 37 to 60; 80% for Distribution Dates in months 61 to
72; 100% for Distribution Dates in months 73 to 84; and 300%
thereafter.
b) Sequentially to Class A-1F, A-2F, A-3F, A-4F, A-5F and A-6F
Certificates, in that order until the respective class principal
balances thereof have been reduced to zero.
c) To the Class B Certificate, the Class B Principal Distribution Amount
2. The Class B Certificates provides credit enhancement for the Senior
Certificates in both Certificate Groups and may absorb losses on the
Mortgage Loans in either Loan Group.
3. Classes A-1F through A-6F Certificates and the Class B Certificates are
payable monthly from available funds starting 4/15/99 with fixed
pass-through rates calculated on a (30/360) basis accruing from 3/1/99,
subject to an available funds cap. If the Optional Termination is not
exercised, the Class A-5F pass-through rate will step up 0.50%.
4. Fixed Rate Mortgage Loan Group ("Loan Group F") pricing speed: 125%
Prepayment Assumption (100% Prepayment assumption assumes 4% CPR in month
1, and an additional 1.454545% in each month thereafter until month 12;
on and thereafter, a constant 20% CPR).
5. Fixed rate classes priced to maturity except for the Class A-5F which is
priced to call.
Adjustable Rate Classes:
1. The Class A-2A Certificates are entitled to receive 90% of the Group A
Principal Distribution Amount starting on the 20th Distribution Date.
2. The remaining Group A Principal Distribution Amount will be distributed
to the Class A-1A and A-2A Certificates sequentially until their
respective principal balances are reduced to zero.
3. Class A-1A Certificates are payable monthly from available funds starting
4/15/99 with an adjustable pass-through rate calculated on an
(Actual/360) basis accruing from the Closing Date. The Class A-1A
Certificates reset monthly to one month LIBOR plus [ ]% and, if the
Optional Termination is not exercised, the margin will increase by a
multiple of two. The Class A-2A Certificates are payable monthly from
available funds starting 4/15/99 with a fixed pass-through rate
calculated on a (30/360) basis accruing from 3/1/99.
4. Adjustable Rate Mortgage Loan Group ("Loan Group A") pricing speed:
constant 30% CPR.
NationsBanc Montgomery Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and NationsBanc
Montgomery Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
<PAGE>
Delta Funding Home Equity Loan Trust 1999-1
Home Equity Loan Asset-Backed Certificates, Series 1999-1
5. Class A-1A Certificates are priced to call and the Class A-2A
Certificates are priced to maturity.
Interest Only Class (Offered solely by NMS):
There will be a AAAr/Aaa rated interest-only class (Class IOF) relating
to the Loan Group F with a coupon of 6.0% for the first 36 months and
0.0% for months 37 and beyond. The notional balance of Class IOF is
equal to the lesser of (i) the aggregate principal balance of the loans
in Loan Group F and (ii) the schedule listed below.
Class IOF (Offered solely by NMS):
There will be a AAAr/Aaa rated interest-only class (Class IOF) relating to the
Loan Group F (Fixed Rate) Pool with a coupon of 6.0% for the first 36 months and
0.0% for months 37 and beyond. The notional balance of Class IOF is equal to the
lesser of (i) the aggregate principal balance of the loans in Loan Group F and
(ii) the following schedule:
Month Notional Balance
----- ----------------
1-3 $ 118,800,000
4-6 $ 116,200,000
7-9 $ 106,900,000
10-12 $ 97,500,000
13-15 $ 81,400,000
16-18 $ 68,300,000
19-21 $ 57,400,000
22-24 $ 47,900,000
25-27 $ 36,800,000
28-30 $ 33,500,000
31-33 $ 21,100,000
34-36 $ 19,600,000
(1) Prepayments for the Group F loans are sized at 125% of the Prepayment
Assumption. A 100% Prepayment Assumption assumes that prepayments start at
4% CPR in month one, increase by approximately 1.455% each month to 20% CPR
by month 12, and remain at 20% CPR thereafter.
(2) Prepayments for the Group A loans are sized at 30% CPR
Credit Enhancement
Credit enhancement for the structure is provided by excess interest,
overcollateralization, cross-collateralization and the MBIA Insurance Policy on
both the Fixed and Adjustable Rate Certificates (excluding the Class B
Certificates) and the subordination of the Class B Certificate. The initial
overcollateralization amount is zero. Excess interest is used to accelerate the
principal payments of the bonds until the Required Overcollateralization Amount
is reached. After the Stepdown Date, extra principal is released to keep the
Required Overcollateralization Amount at a constant percentage of the mortgage
loan balances. The mortgage loan groups are cross-collateralized such that no
cash will be released until the Required Overcollateralization Amount has been
reached.
Step Down Date
For each mortgage loan group, the later to occur of the 36th Distribution Date
or the date upon which 50% of the original principal balance of the Mortgage
Loans has been received by the Class A Certificateholders.
NationsBanc Montgomery Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and NationsBanc
Montgomery Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
<PAGE>
Delta Funding Home Equity Loan Trust 1999-1
Home Equity Loan Asset-Backed Certificates, Series 1999-1
DESCRIPTION OF THE COLLATERAL
Loan Group F
Summary
<TABLE>
<CAPTION>
Total Minimum Maximum
<S> <C> <C> <C>
Cut-off Date Aggregate Principal Balance $212,288,029.28
Number of Loans 2,557
Average Original Loan Balance $83,111.99 $5,000.00 $385,000.00
Average Current Loan Balance $83,022.30 $4,976.05 $384,862.42
Weighted Average Combined Original LTV 73.53% 8.00% 90.00%
Weighted Average Gross Coupon 10.304% 7.450% 15.550%
Weighted Average Remaining Term to Maturity (months) 322.3 58 360
Weighted Average Original Term (months) 323.3 60 360
</TABLE>
<TABLE>
<CAPTION>
Percent of Cut-off Date
Range Principal Balance
<S> <C> <C>
Range of Original Terms (in months) 1-60 0.17%
61-120 1.46%
121-180 12.81%
181-240 7.12%
241-300 1.41%
301-360 77.03%
Fully Amortizing Mortgage Loans 96.61%
Balloon Mortgage Loans 3.39%
Lien Position First 95.66%
Second 4.34%
Property Type Single Family 68.02%
2-4 Family 20.54%
Condominium 3.72%
Occupancy Status Owner Occupied 87.24%
Non-owner Occupied 12.76%
Geographic Distribution New York 47.98%
New Jersey 7.07%
Illinois 5.88%
Pennsylvania 5.43%
Ohio 5.27%
Other 28.36%
Largest Zip Code Concentration 11221 1.40%
Credit Grade* A 57.20%
B 21.98%
C 17.30%
D 3.51%
</TABLE>
*Credit Grade stratification above is based upon Delta's
Underwriting Guidelines and Criteria.
NationsBanc Montgomery Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and NationsBanc
Montgomery Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
<PAGE>
Delta Funding Home Equity Loan Trust 1999-1
Home Equity Loan Asset-Backed Certificates, Series 1999-1
DESCRIPTION OF THE COLLATERAL
Loan Group F
<TABLE>
<CAPTION>
Cut-off Date Principal Balances
Range of Cut-off Date Principal Number of Statistic Cut-off Date Statistic % of Cut-off Date
Balances Calculation Mortgage Calculation Principal Statistic Calculation
Loans Balance Principal Balance
<S> <C> <C> <C>
$0.01 to 25,000.00 205 3,864,206.64 1.82
25,000.01 to 50,000.00 681 26,056,248.16 12.27
50,000.01 to 75,000.00 532 33,025,016.28 15.56
75,000.01 to 100,000.00 373 32,714,464.70 15.41
100,000.01 to 125,000.00 250 28,278,290.67 13.32
125,000.01 to 150,000.00 198 27,058,387.85 12.75
150,000.01 to 175,000.00 133 21,425,895.08 10.09
175,000.01 to 200,000.00 93 17,292,754.19 8.15
200,000.01 to 225,000.00 40 8,503,222.74 4.01
225,000.01 to 250,000.00 23 5,545,266.43 2.61
250,000.01 to 275,000.00 12 3,153,746.84 1.49
275,000.01 to 300,000.00 6 1,733,738.65 0.82
300,000.01 to 325,000.00 7 2,196,531.57 1.03
325,000.01 to 350,000.00 1 344,250.00 0.16
350,000.01 to 375,000.00 2 711,147.06 0.33
375,000.01 to 400,000.00 1 384,862.42 0.18
----- --------------- ------
Total 2,557 $212,288,029.28 100.00%
===== =============== ======
</TABLE>
Original Principal Balances
<TABLE>
<CAPTION>
Range of Original Principal Number of Statistic Cut-off Date Statistic % of Cut-off Date
Balances Calculation Mortgage Calculation Principal Statistic Calculation
Loans Balance Principal Balance
<S> <C> <C> <C>
$0.01 to 25,000.00 205 3,864,206.64 1.82
25,000.01 to 50,000.00 681 26,056,248.16 12.27
50,000.01 to 75,000.00 530 32,875,037.52 15.49
75,000.01 to 100,000.00 374 32,764,670.57 15.43
100,000.01 to 125,000.00 250 28,253,783.38 13.31
125,000.01 to 150,000.00 199 27,182,668.03 12.80
150,000.01 to 175,000.00 133 21,425,895.08 10.09
175,000.01 to 200,000.00 93 17,292,754.19 8.15
200,000.01 to 225,000.00 39 8,278,280.09 3.90
225,000.01 to 250,000.00 23 5,520,333.35 2.60
250,000.01 to 275,000.00 13 3,403,622.57 1.60
275,000.01 to 300,000.00 6 1,733,738.65 0.82
300,000.01 to 325,000.00 7 2,196,531.57 1.03
325,000.01 to 350,000.00 1 344,250.00 0.16
350,000.01 to 375,000.00 2 711,147.06 0.33
375,000.01 to 400,000.00 1 384,862.42 0.18
----- --------------- ------
Total 2,557 $212,288,029.28 100.00%
===== =============== ======
</TABLE>
NationsBanc Montgomery Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and NationsBanc
Montgomery Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
<PAGE>
Delta Funding Home Equity Loan Trust 1999-1
Home Equity Loan Asset-Backed Certificates, Series 1999-1
DESCRIPTION OF THE COLLATERAL
Loan Group F
Geographic Distribution
<TABLE>
<CAPTION>
Geographic Distribution Number of Statistic Cut-off Date % of Cut-off Date
Calculation Mortgage Statistic Calculation Statistic Calculation
Loans Principal Balance Principal Balance
<S> <C> <C> <C>
Arizona 4 179,084.62 0.08
Arkansas 8 353,729.09 0.17
California 1 25,600.00 0.01
Colorado 8 755,333.74 0.36
Connecticut 31 2,618,709.12 1.23
Delaware 14 955,577.58 0.45
District of Columbia 4 380,273.78 0.18
Florida 124 7,656,748.97 3.61
Georgia 119 7,582,665.07 3.57
Illinois 156 12,486,661.56 5.88
Indiana 61 3,853,902.08 1.82
Kansas 1 32,145.38 0.02
Kentucky 18 792,337.74 0.37
Louisiana 10 545,797.41 0.26
Maine 11 683,161.39 0.32
Maryland 32 2,160,010.48 1.02
Massachusetts 69 6,677,360.06 3.15
Michigan 107 5,499,171.00 2.59
Minnesota 2 170,665.78 0.08
Mississippi 15 552,266.32 0.26
Missouri 32 1,883,097.04 0.89
Montana 1 29,907.71 0.01
Nebraska 2 105,357.87 0.05
New Hampshire 13 986,560.32 0.46
New Jersey 161 14,998,429.76 7.07
New Mexico 1 89,507.01 0.04
New York 900 101,863,754.39 47.98
North Carolina 74 4,546,338.10 2.14
Ohio 181 11,195,081.13 5.27
Oklahoma 4 91,661.67 0.04
Pennsylvania 219 11,534,872.84 5.43
Rhode Island 11 685,158.04 0.32
South Carolina 23 1,036,815.79 0.49
Tennessee 77 5,393,572.19 2.54
Texas 21 977,464.87 0.46
Utah 2 173,099.02 0.08
Vermont 1 63,733.41 0.03
Virginia 14 1,082,391.03 0.51
Washington 2 181,285.29 0.09
West Virginia 3 151,651.73 0.07
Wisconsin 20 1,257,088.90 0.59
----- --------------- ------
Total 2,557 $212,288,029.28 100.00%
===== =============== ======
</TABLE>
NationsBanc Montgomery Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and NationsBanc
Montgomery Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
<PAGE>
Delta Funding Home Equity Loan Trust 1999-1
Home Equity Loan Asset-Backed Certificates, Series 1999-1
DESCRIPTION OF THE COLLATERAL
Loan Group F
Original Combined Loan-to-Value Ratios
<TABLE>
<CAPTION>
Range of Original Combined Number of Statistic Cut-off Date Statistic % of Cut-off Date
Loan-to-Value Ratios Calculation Mortgage Calculation Principal Statistic Calculation
Loans Balance Principal Balance
<S> <C> <C> <C>
5.01% to 10.00% 2 115,869.26 0.05
10.01% to 15.00% 7 230,510.75 0.11
15.01% to 20.00% 14 409,643.93 0.19
20.01% to 25.00% 26 901,802.50 0.42
25.01% to 30.00% 29 1,325,469.22 0.62
30.01% to 35.00% 35 1,473,587.83 0.69
35.01% to 40.00% 43 2,002,058.68 0.94
40.01% to 45.00% 51 2,739,567.00 1.29
45.01% to 50.00% 105 5,952,915.31 2.80
50.01% to 55.00% 91 5,770,283.27 2.72
55.01% to 60.00% 154 11,305,735.94 5.33
60.01% to 65.00% 216 16,073,120.49 7.57
65.01% to 70.00% 355 28,540,277.95 13.44
70.01% to 75.00% 318 26,176,993.74 12.33
75.01% to 80.00% 620 55,078,158.38 25.95
80.01% to 85.00% 278 28,209,514.48 13.29
85.01% to 90.00% 213 25,982,520.55 12.24
----- --------------- ------
Total 2,557 $212,288,029.28 100.00%
===== =============== ======
</TABLE>
Lien Position
<TABLE>
<CAPTION>
Lien Number of Statistic Cut-off Date Statistic % of Cut-off Date
Calculation Mortgage Calculation Principal Statistic Calculation
Loans Balance Principal Balance
<S> <C> <C> <C>
First 2,325 203,073,096.27 95.66
Second 232 9,214,933.01 4.34
----- --------------- ------
Total 2,557 $212,288,029.28 100.00%
===== =============== ======
</TABLE>
NationsBanc Montgomery Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and NationsBanc
Montgomery Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
<PAGE>
Delta Funding Home Equity Loan Trust 1999-1
Home Equity Loan Asset-Backed Certificates, Series 1999-1
DESCRIPTION OF THE COLLATERAL
Loan Group F
Cut-Off Date Loan Rates
<TABLE>
<CAPTION>
Range of Cut-off Date Number of Statistic Cut-off Date Statistic % of Cut-off Date
Loan Rates Calculation Mortgage Calculation Principal Statistic Calculation
Loans Balance Principal Balance
<S> <C> <C> <C>
7.001% to 7.500% 10 990,387.26 0.47
7.501% to 8.000% 123 12,190,349.27 5.74
8.001% to 8.500% 115 12,018,266.33 5.66
8.501% to 9.000% 226 22,726,589.98 10.71
9.001% to 9.500% 185 17,357,648.27 8.18
9.501% to 10.000% 405 37,284,288.24 17.56
10.001% to 10.500% 263 22,496,616.25 10.60
10.501% to 11.000% 382 31,377,444.16 14.78
11.001% to 11.500% 242 17,219,907.72 8.11
11.501% to 12.000% 230 16,658,815.57 7.85
12.001% to 12.500% 129 8,383,222.89 3.95
12.501% to 13.000% 115 7,030,549.73 3.31
13.001% to 13.500% 41 2,140,976.82 1.01
13.501% to 14.000% 59 2,953,894.66 1.39
14.001% to 14.500% 17 756,361.02 0.36
14.501% to 15.000% 9 433,556.60 0.20
15.001% to 15.500% 5 231,426.50 0.11
15.501% to 16.000% 1 37,728.01 0.02
----- --------------- -------
Total 2,557 $212,288,029.28 100.00%
===== =============== =======
</TABLE>
Original Terms to Stated Maturity
<TABLE>
<CAPTION>
Range of Original Number of Statistic Cut-off Date Statistic % of Cut-off Date
Terms to Stated Calculation Mortgage Calculation Principal Statistic Calculation
Maturity (Months) Loans Balance Principal Balance
<S> <C> <C> <C>
1 - 60 11 359,193.45 0.17
61 - 120 67 3,099,802.93 1.46
121 - 180 473 27,194,867.89 12.81
181 - 240 211 15,124,145.87 7.12
241 - 300 34 2,986,721.96 1.41
301 - 360 1,761 163,523,297.18 77.03
----- --------------- -------
Total 2,557 $212,288,029.28 100.00%
===== =============== =======
</TABLE>
NationsBanc Montgomery Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and NationsBanc
Montgomery Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
<PAGE>
Delta Funding Home Equity Loan Trust 1999-1
Home Equity Loan Asset-Backed Certificates, Series 1999-1
DESCRIPTION OF THE COLLATERAL
Loan Group F
<TABLE>
<CAPTION>
Remaining Months to Stated Maturity
Range of Remaining Number of Statistic Cut-off Date Statistic % of Cut-off Date
Months to Stated Maturity Calculation Mortgage Calculation Principal Statistic Calculation
Loans Balance Principal Balance
<S> <C> <C> <C>
1 - 60 11 359,193.45 0.17
61 - 120 67 3,099,802.93 1.46
121 - 180 473 27,194,867.89 12.81
181 - 240 211 15,124,145.87 7.12
241 - 300 34 2,986,721.96 1.41
301 - 360 1,761 163,523,297.18 77.03
----- --------------- ------
Total 2,557 $212,288,029.28 100.00%
===== =============== ======
<CAPTION>
Months Since Origination
Range of Months Since Number of Statistic Cut-off Date Statistic % of Cut-off Date
Origination Calculation Mortgage Calculation Principal Statistic Calculation
Loans Balance Principal Balance
<S> <C> <C> <C>
0 929 82,061,113.41 38.66
1 - 3 1,524 121,791,742.44 57.37
4 - 6 95 7,233,333.15 3.41
7 - 12 9 1,201,840.28 0.57
----- --------------- -------
Total 2,557 $212,288,029.28 100.00%
===== =============== =======
<CAPTION>
Property Type
Property Type Number of Statistic Cut-off Date Statistic % of Cut-off Date
Calculation Mortgage Calculation Principal Statistic Calculation
Loans Balance Principal Balance
<S> <C> <C> <C>
Single Family 1,903 144,401,353.98 68.02
Condominium 93 7,888,253.63 3.72
Two-to-Four Family 399 43,604,642.68 20.54
Five-to-Eight Family 69 7,744,964.46 3.65
Mixed Use 73 7,646,471.77 3.60
Mobile Home 20 1,002,342.76 0.47
----- --------------- ------
Total 2,557 $212,288,029.28 100.00%
===== =============== ======
</TABLE>
NationsBanc Montgomery Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and NationsBanc
Montgomery Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
<PAGE>
Delta Funding Home Equity Loan Trust 1999-1
Home Equity Loan Asset-Backed Certificates, Series 1999-1
DESCRIPTION OF THE COLLATERAL
Loan Group F
<TABLE>
<CAPTION>
Occupancy Type
Occupancy Type Number of Statistic Cut-off Date Statistic % of Cut-off Date
Calculation Mortgage Calculation Principal Statistic Calculation
Loans Balance Principal Balance
<S> <C> <C> <C>
Owner Occupied 2,198 185,193,900.25 87.24
Non-Owner Occupied 359 27,094,129.03 12.76
----- --------------- ------
Total 2,557 $212,288,029.28 100.00%
===== =============== ======
</TABLE>
[CAPTION]
Documentation Type
<TABLE>
<CAPTION>
Documentation Type Number of Statistic Cut-off Date Statistic % of Cut-off Date
Calculation Mortgage Calculation Principal Statistic Calculation
Loans Balance Principal Balance
<S> <C> <C> <C>
Full 1,889 156,689,268.53 73.81
Alternate 377 33,021,336.45 15.55
Limited 215 17,053,650.37 8.03
No Documentation 76 5,523,773.93 2.60
----- --------------- ------
Total 2,557 $212,288,029.28 100.00%
===== =============== ======
<CAPTION>
Loan Type
Loan Type Number of Statistic Cut-off Date Statistic % of Cut-off Date
Calculation Mortgage Calculation Principal Statistic Calculation
Loans Balance Principal Balance
<S> <C> <C> <C>
Balloon 100 7,189,781.26 3.39
Fixed Rate 2,457 205,098,248.02 96.61
----- --------------- ------
Total 2,557 $212,288,029.28 100.00%
===== =============== ======
<CAPTION>
Purpose
Purpose Number of Statistic Cut-off Date Statistic % of Cut-off Date
Calculation Mortgage Calculation Principal Statistic Calculation
Loans Balance Principal Balance
<S> <C> <C> <C>
Purchase 275 27,981,065.55 13.18
Refinance (Rate/Term) 247 20,869,799.04 9.83
Refinance (Cash Out) 1,196 91,966,100.75 43.32
Refinance (Debt Consolidation) 839 71,471,063.94 33.67
----- --------------- ------
Total 2,557 $212,288,029.28 100.00%
===== =============== ======
</TABLE>
NationsBanc Montgomery Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and NationsBanc
Montgomery Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
<PAGE>
Delta Funding Home Equity Loan Trust 1999-1
Home Equity Loan Asset-Backed Certificates, Series 1999-1
DESCRIPTION OF THE COLLATERAL
Loan Group F
<TABLE>
<CAPTION>
Months Delinquent
Delinquency (Months) Number of Statistic Cut-off Date Statistic % of Cut-off Date
Calculation Mortgage Calculation Principal Statistic Calculation
Loans Balance Principal Balance
<S> <C> <C> <C>
0 2,520 209,350,259.91 98.62
1 37 2,937,769.37 1.38
----- --------------- ------
Total 2,557 $212,288,029.28 100.00%
===== =============== ======
<CAPTION>
Credit Grade
Credit Grade Number of Statistic Cut-off Date Statistic % of Cut-off Date
Calculation Calculation Statistic Calculation
Mortgage Loans Principal Balance Principal Balance
<S> <C> <C> <C>
A 1,314 121,424,831.90 57.20
B 594 46,669,670.77 21.98
C 506 36,732,006.51 17.30
D 143 7,461,520.10 3.51
----- --------------- ------
Total 2,557 $212,288,029.28 100.00%
===== =============== ======
</TABLE>
NationsBanc Montgomery Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and NationsBanc
Montgomery Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
<PAGE>
Delta Funding Home Equity Loan Trust 1999-1
Home Equity Loan Asset-Backed Certificates, Series 1999-1
DESCRIPTION OF THE COLLATERAL
Loan Group A
<TABLE>
<CAPTION>
Summary
Total Minimum Maximum
<S> <C> <C> <C>
Cut-off Date Aggregate Principal Balance $34,929,024.88
Number of Loans 404
Average Original Loan Balance $86,521.73 $22,750.00 $297,000.00
Average Current Loan Balance $86,457.98 $22,750.00 $296,735.55
Weighted Average Combined Original LTV 78.48% 31.19% 90.00%
Weighted Average Gross Coupon 10.422% 7.200% 15.600%
Weighted Average Remaining Term to Maturity (months) 358.7 179 360
Weighted Average Original Term (months) 359.8 180 360
Weighted Average Gross Margin 6.602% 3.550% 11.200%
Weighted Average Lifetime Cap 17.284% 14.200% 22.600%
Weighted Average Lifetime Floor 10.420% 7.200% 15.600%
Weighted Average Periodic Cap 0.998% 0.000% 1.000%
Weighted Average First Adjustment Cap 2.983% 1.000% 5.700%
</TABLE>
<TABLE>
<CAPTION>
Percent of
Cut-off Date
Range Principal Balance
<S> <C> <C>
Range of Original Terms (in months) 180 0.12%
360 99.88%
Fully Amortizing Loans 100.00%
Index 6 Month LIBOR 100.00%
Lien Position First 100.00%
Property Type Single Family 81.51%
2-4 Family 14.76%
Condominium 3.74%
Occupancy Status Owner Occupied 90.00%
Non-owner Occupied 10.00%
Geographic Distribution Ohio 29.37%
Illinois 15.34%
New Jersey 11.21%
Michigan 8.12%
Pennsylvania 4.76%
Other 31.20%
Largest Zip Code Concentration 60103 1.10%
Credit Grade* A 53.67%
B 22.06%
C 18.69%
D 5.58%
</TABLE>
*Credit Grade stratification above is based upon Deltas' Underwriting
Guidelines and Criteria.
NationsBanc Montgomery Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and NationsBanc
Montgomery Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
<PAGE>
Delta Funding Home Equity Loan Trust 1999-1
Home Equity Loan Asset-Backed Certificates, Series 1999-1
DESCRIPTION OF THE COLLATERAL
Loan Group A
<TABLE>
<CAPTION>
Month of Next Change Date
Month of Next % of Cut-off Date Weighted Weighted Weighted Weighted Weighted
Change Date Statistic Calculation Average Loan Average Margin Average Average Average
Principal Balance Rate Initial Cap Periodic Cap Lifetime Cap
<S> <C> <C> <C> <C> <C> <C>
1999/04 0.35% 8.975% 5.463% 1.000% 1.000% 14.975%
1999/05 0.59% 10.497% 6.848% 1.000% 0.697% 17.497%
2000/07 0.60% 10.850% 8.100% 3.000% 1.000% 16.850%
2000/08 0.09% 10.750% 6.500% 3.000% 1.000% 17.750%
2000/09 1.14% 10.269% 6.594% 3.000% 1.000% 16.367%
2000/10 4.23% 10.017% 6.201% 3.000% 1.000% 16.341%
2000/11 4.92% 10.774% 7.185% 2.951% 1.000% 17.087%
2000/12 6.79% 10.901% 7.132% 3.077% 1.000% 17.576%
2001/01 7.56% 10.849% 6.975% 3.000% 1.000% 17.577%
2001/02 7.20% 10.946% 6.887% 2.980% 1.000% 17.719%
2001/07 0.57% 10.750% 7.300% 3.000% 1.000% 16.750%
2001/11 0.54% 12.026% 7.878% 3.000% 1.000% 19.026%
2001/12 10.30% 10.366% 6.407% 3.000% 1.000% 17.349%
2002/01 23.82% 10.344% 6.530% 3.000% 1.000% 17.344%
2002/02 31.31% 10.149% 6.359% 3.000% 1.000% 17.183%
------ ------ ----- ----- ----- ------
Total/W.A. 100.00% 10.422% 6.602% 2.983% 0.998% 17.284%
====== ====== ===== ===== ===== ======
<CAPTION>
Product Type
Product Type % of Cut-off Date Weighted Weighted Weighted Weighted Weighted Average
Statistic Calculation Average Loan Average Average Average Lifetime Cap
Principal Balance Rate Margin Initial Cap Periodic Cap
<S> <C> <C> <C> <C> <C> <C>
3/27 6M Libor 66.54% 10.273% 6.448% 3.000% 1.000% 17.278%
2/28 6M Libor 32.52% 10.741% 6.926% 3.004% 1.000% 17.318%
6M Libor 0.94% 9.935% 6.337% 1.000% 0.809% 16.565%
------ ------ ----- ----- ----- ------
Total/W.A. 100.00% 10.422% 6.602% 2.983% 0.998% 17.284%
====== ====== ===== ===== ===== ======
</TABLE>
NationsBanc Montgomery Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and NationsBanc
Montgomery Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
<PAGE>
Delta Funding Home Equity Loan Trust 1999-1
Home Equity Loan Asset-Backed Certificates, Series 1999-1
DESCRIPTION OF THE COLLATERAL
Loan Group A
<TABLE>
<CAPTION>
Cut-off Date Principal Balances
Range of Cut-off Date Number of Statistic Cut-off Date Statistic % of Cut-off Date
Principal Balances Calculation Mortgage Calculation Principal Statistic Calculation
Loans Balance Principal Balance
<S> <C> <C> <C>
$0.01 to 25,000.00 7 169,496.83 0.49
25,000.01 to 50,000.00 77 3,021,283.39 8.65
50,000.01 to 75,000.00 112 7,004,922.77 20.05
75,000.01 to 100,000.00 88 7,559,762.80 21.64
100,000.01 to 125,000.00 57 6,434,526.00 18.42
125,000.01 to 150,000.00 26 3,546,517.51 10.15
150,000.01 to 175,000.00 16 2,567,575.93 7.35
175,000.01 to 200,000.00 9 1,719,745.33 4.92
200,000.01 to 225,000.00 6 1,272,555.49 3.64
225,000.01 to 250,000.00 1 234,500.00 0.67
250,000.01 to 275,000.00 2 541,903.28 1.55
275,000.01 to 300,000.00 3 856,235.55 2.45
--- -------------- ------
Total 404 $34,929,024.88 100.00%
=== ============== ======
<CAPTION>
Original Principal Balances
Range of Original Principal Number of Statistic Cut-off Date Statistic % of Cut-off Date
Balances Calculation Mortgage Calculation Principal Statistic Calculation
Loans Balance Principal Balance
<S> <C> <C> <C>
$0.01 to 25,000.00 7 169,496.83 0.49
25,000.01 to 50,000.00 77 3,021,283.39 8.65
50,000.01 to 75,000.00 112 7,004,922.77 20.05
75,000.01 to 100,000.00 88 7,559,762.80 21.64
100,000.01 to 125,000.00 57 6,434,526.00 18.42
125,000.01 to 150,000.00 26 3,546,517.51 10.15
150,000.01 to 175,000.00 16 2,567,575.93 7.35
175,000.01 to 200,000.00 9 1,719,745.33 4.92
200,000.01 to 225,000.00 6 1,272,555.49 3.64
225,000.01 to 250,000.00 1 234,500.00 0.67
250,000.01 to 275,000.00 2 541,903.28 1.55
275,000.01 to 300,000.00 3 856,235.55 2.45
--- -------------- ------
Total 404 $34,929,024.88 100.00%
=== ============== ======
</TABLE>
NationsBanc Montgomery Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and NationsBanc
Montgomery Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
<PAGE>
Delta Funding Home Equity Loan Trust 1999-1
Home Equity Loan Asset-Backed Certificates, Series 1999-1
DESCRIPTION OF THE COLLATERAL
Loan Group A
Geographic Distribution
<TABLE>
<CAPTION>
Geographic Distribution Number of Statistic Cut-off Date Statistic % of Cut-off Date
Calculation Mortgage Calculation Principal Statistic Calculation
Loans Balance Principal Balance
<S> <C> <C> <C>
Arkansas 1 131,250.00 0.38
California 2 227,691.27 0.65
Colorado 10 1,167,749.73 3.34
Connecticut 5 352,411.95 1.01
Delaware 3 269,050.00 0.77
Florida 19 1,500,913.65 4.30
Georgia 16 1,299,971.37 3.72
Illinois 46 5,359,352.52 15.34
Indiana 5 581,033.22 1.66
Kentucky 1 79,177.52 0.23
Maine 2 92,766.11 0.27
Maryland 4 306,488.71 0.88
Massachusetts 3 350,174.32 1.00
Michigan 43 2,834,869.36 8.12
Mississippi 1 30,375.15 0.09
Missouri 6 508,566.74 1.46
Montana 2 168,100.00 0.48
Nevada 1 123,399.24 0.35
New Hampshire 6 563,884.78 1.61
New Jersey 34 3,916,552.45 11.21
New Mexico 2 114,167.25 0.33
New York 3 352,805.93 1.01
North Carolina 18 1,350,685.65 3.87
Ohio 132 10,259,373.39 29.37
Oklahoma 4 128,896.31 0.37
Pennsylvania 21 1,661,054.66 4.76
Rhode Island 1 70,035.70 0.20
South Carolina 1 99,500.00 0.28
Tennessee 7 475,355.40 1.36
Texas 1 108,689.57 0.31
Utah 2 303,000.00 0.87
Virginia 1 35,700.00 0.10
Washington 1 105,982.93 0.30
--- -------------- ------
Total 404 $34,929,024.88 100.00%
=== ============== ======
</TABLE>
NationsBanc Montgomery Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and NationsBanc
Montgomery Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
<PAGE>
Delta Funding Home Equity Loan Trust 1999-1
Home Equity Loan Asset-Backed Certificates, Series 1999-1
DESCRIPTION OF THE COLLATERAL
Loan Group A
<TABLE>
<CAPTION>
Original Combined Loan-to-Value Ratios
Range of Original Combined Number of Statistic Cut-off Date Statistic % of Cut-off Date
Loan-to-Value Ratios Calculation Mortgage Calculation Principal Statistic Calculation
Loans Balance Principal Balance
<S> <C> <C> <C>
30.01% to 35.00% 3 97,016.60 0.28
35.01% to 40.00% 5 319,616.03 0.92
40.01% to 45.00% 2 80,576.63 0.23
45.01% to 50.00% 8 350,693.37 1.00
50.01% to 55.00% 9 607,867.57 1.74
55.01% to 60.00% 21 1,208,244.01 3.46
60.01% to 65.00% 16 879,775.26 2.52
65.01% to 70.00% 42 3,030,781.45 8.68
70.01% to 75.00% 65 5,432,550.55 15.55
75.01% to 80.00% 110 10,333,213.27 29.58
80.01% to 85.00% 54 5,151,841.46 14.75
85.01% to 90.00% 69 7,436,848.68 21.29
--- -------------- ------
Total 404 $34,929,024.88 100.00%
=== ============== ======
<CAPTION>
Lien Position
Lien Number of Statistic Cut-off Date Statistic % of Cut-off Date
Calculation Mortgage Calculation Principal Statistic Calculation
Loans Balance Principal Balance
<S> <C> <C> <C>
First 404 34,929,024.88 100.00
--- -------------- ------
Total 404 $34,929,024.88 100.00%
=== ============== ======
</TABLE>
NationsBanc Montgomery Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and NationsBanc
Montgomery Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
<PAGE>
Delta Funding Home Equity Loan Trust 1999-1
Home Equity Loan Asset-Backed Certificates, Series 1999-1
DESCRIPTION OF THE COLLATERAL
Loan Group A
<TABLE>
<CAPTION>
Cut-Off Date Loan Rates
Range of Cut-off Date Number of Statistic Cut-off Date Statistic % of Cut-off Date
Loan Rates Calculation Mortgage Calculation Principal Statistic Calculation
Loans Balance Principal Balance
<S> <C> <C> <C>
7.001% to 7.500% 3 326,274.34 0.93
7.501% to 8.000% 6 426,729.14 1.22
8.001% to 8.500% 8 627,745.87 1.80
8.501% to 9.000% 20 1,994,349.47 5.71
9.001% to 9.500% 54 5,470,492.88 15.66
9.501% to 10.000% 68 6,104,078.02 17.48
10.001% to 10.500% 60 5,329,537.20 15.26
10.501% to 11.000% 69 6,176,296.25 17.68
11.001% to 11.500% 36 3,033,457.78 8.68
11.501% to 12.000% 31 2,495,444.19 7.14
12.001% to 12.500% 15 1,185,844.70 3.40
12.501% to 13.000% 9 534,004.83 1.53
13.001% to 13.500% 10 458,417.04 1.31
13.501% to 14.000% 6 241,510.20 0.69
14.001% to 14.500% 1 40,792.97 0.12
14.501% to 15.000% 5 273,700.00 0.78
15.001% to 15.500% 2 157,850.00 0.45
15.501% to 16.000% 1 52,500.00 0.15
--- -------------- ------
Total 404 $34,929,024.88 100.00%
=== ============== ======
<CAPTION>
Original Term to Stated Maturity
Range of Original Terms Number of Statistic Cut-off Date Statistic % of Cut-off Date
to Stated Maturity Calculation Mortgage Calculation Principal Statistic Calculation
Loans Balance Principal Balance
180 1 41,403.77 0.12
360 403 34,887,621.11 99.88
--- ------------- -----
Total 404 $34,929,024.88 100.00%
=== ============== ======
</TABLE>
NationsBanc Montgomery Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and NationsBanc
Montgomery Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
<PAGE>
Delta Funding Home Equity Loan Trust 1999-1
Home Equity Loan Asset-Backed Certificates, Series 1999-1
DESCRIPTION OF THE COLLATERAL
Loan Group A
<TABLE>
<CAPTION>
Remaining Months to Stated Maturity
Range of Remaining Number of Statistic Cut-off Date Statistic % of Cut-off Date
Months to Stated Calculation Mortgage Calculation Principal Statistic Calculation
Maturity Loans Balance Principal Balance
<S> <C> <C> <C>
121 - 180 1 41,403.77 0.12
301 - 360 403 34,887,621.11 99.88
--- -------------- ------
Total 404 $34,929,024.88 100.00%
=== ============== ======
<CAPTION>
Months Since Origination
Range of Months Number of Statistic Cut-off Date Statistic % of Cut-off Date
since Origination Calculation Mortgage Calculation Principal Statistic Calculation
Loans Balance Principal Balance
<S> <C> <C> <C>
0 174 14,978,437.86 42.88
1 - 3 212 18,144,589.23 51.95
4 - 6 15 1,368,109.15 3.92
7 - 12 3 437,888.64 1.25
--- -------------- ------
Total 404 $34,929,024.88 100.00%
=== ============== ======
<CAPTION>
Property Type
Property Type Number of Statistic Cut-off Date Statistic % of Cut-off Date
Calculation Mortgage Calculation Principal Statistic Calculation
Loans Balance Principal Balance
Single Family 336 28,469,852.04 81.51
Condominium 19 1,304,606.70 3.74
Two-to-Four Family 49 5,154,566.14 14.76
--- -------------- ------
Total 404 $34,929,024.88 100.00%
=== ============== ======
</TABLE>
NationsBanc Montgomery Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and NationsBanc
Montgomery Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
<PAGE>
Delta Funding Home Equity Loan Trust 1999-1
Home Equity Loan Asset-Backed Certificates, Series 1999-1
DESCRIPTION OF THE COLLATERAL
Loan Group A
<TABLE>
<CAPTION>
Occupancy Type
Occupancy Type Number of Statistic Cut-off Date Statistic % of Cut-off Date
Calculation Mortgage Calculation Principal Statistic Calculation
Loans Balance Principal Balance
<S> <C> <C> <C>
Owner Occupied 357 31,435,215.09 90.00
Non-Owner Occupied 47 3,493,809.79 10.00
--- -------------- ------
Total 404 $34,929,024.88 100.00%
=== ============== ======
<CAPTION>
Documentation Type
Documentation Type Number of Statistic Cut-off Date Statistic % of Cut-off Date
Calculation Mortgage Calculation Principal Statistic Calculation
Loans Balance Principal Balance
<S> <C> <C> <C>
Full 281 24,571,851.75 70.35
Alternate 55 5,133,098.51 14.70
Limited 47 3,583,491.32 10.26
No Documentation 21 1,640,583.30 4.70
--- -------------- ------
Total 404 $34,929,024.88 100.00%
=== ============== ======
<CAPTION>
Purpose
Purpose Number of Statistic Cut-off Date Statistic % of Cut-off Date
Calculation Mortgage Calculation Principal Statistic Calculation
Loans Balance Principal Balance
<S> <C> <C> <C>
Purchase 66 6,891,882.69 19.73
Refinance (Rate/Term) 60 5,248,861.30 15.03
Refinance (Cash Out) 141 11,502,391.00 32.93
Refinance (Debt Consolidation) 137 11,285,889.89 32.31
--- -------------- ------
Total 404 $34,929,024.88 100.00%
=== ============== ======
<CAPTION>
Months Delinquent
Delinquency (Months) Number of Statistic Cut-off Date Statistic % of Cut-off Date
Calculation Mortgage Calculation Principal Statistic Calculation
Loans Balance Principal Balance
0 398 34,585,327.02 99.02
1 6 343,697.86 0.98
--- -------------- ------
Total 404 $34,929,024.88 100.00%
=== ============== ======
</TABLE>
NationsBanc Montgomery Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and NationsBanc
Montgomery Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
<PAGE>
DESCRIPTION OF THE COLLATERAL
Loan Group A
<TABLE>
<CAPTION>
Credit Grade
Credit Grade Number of Statistic Cut-off Date Statistic % of Cut-off Date
Calculation Mortgage Calculation Principal Statistic Calculation
Loans Balance Principal Balance
<S> <C> <C> <C>
A 194 18,747,345.52 53.67
B 90 7,705,625.32 22.06
C 85 6,528,660.93 18.69
D 35 1,947,393.11 5.58
--- -------------- ------
Total 404 $34,929,024.88 100.00%
=== ============== ======
<CAPTION>
Product Type
Product Type Number of Statistic Cut-off Date Statistic % of Cut-off Date
Calculation Mortgage Calculation Principal Statistic Calculation
Loans Balance Principal Balance
<S> <C> <C> <C>
2/28 6M Libor 124 11,359,010.37 32.52
3/27 6M Libor 277 23,241,425.30 66.54
6M Libor 3 328,589.21 0.94
--- -------------- ------
Total 404 $34,929,024.88 100.00%
=== ============== ======
</TABLE>
NationsBanc Montgomery Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and NationsBanc
Montgomery Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
<PAGE>
Delta Funding Home Equity Loan Trust 1999-1
Home Equity Loan Asset-Backed Certificates, Series 1999-1
DESCRIPTION OF THE COLLATERAL
Loan Group A
<TABLE>
<CAPTION>
Month of Next Change Date
Month of Next Change Number of Statistic Cut-off Date Statistic % of Cut-off Date
Calculation Mortgage Calculation Principal Statistic Calculation
Loans Balance Principal Balance
<S> <C> <C> <C>
1999/04 1 121,372.90 0.35
1999/05 2 207,216.31 0.59
2000/07 1 209,644.48 0.60
2000/08 1 29,876.18 0.09
2000/09 4 397,407.83 1.14
2000/10 12 1,477,777.56 4.23
2000/11 19 1,717,387.26 4.92
2000/12 24 2,370,068.45 6.79
2001/01 32 2,640,253.18 7.56
2001/02 31 2,516,595.43 7.20
2001/07 1 198,367.98 0.57
2001/11 3 188,040.08 0.54
2001/12 47 3,597,922.49 10.30
2002/01 98 8,319,307.89 23.82
2002/02 128 10,937,786.86 31.31
--- -------------- ------
Total 404 $34,929,024.88 100.00%
=== ============== ======
<CAPTION>
Gross Margin
Range of Gross Margins Number of Statistic Cut-off Date Statistic % of Cut-off Date
Calculation Mortgage Calculation Principal Statistic Calculation
Loans Balance Principal Balance
3.501% to 4.000% 4 388,714.34 1.11
4.001% to 4.500% 7 642,090.85 1.84
4.501% to 5.000% 6 405,283.55 1.16
5.001% to 5.500% 41 3,977,462.40 11.39
5.501% to 6.000% 56 5,423,987.79 15.53
6.001% to 6.500% 76 6,605,879.97 18.91
6.501% to 7.000% 73 6,496,646.02 18.60
7.001% to 7.500% 57 4,671,741.35 13.37
7.501% to 8.000% 37 3,240,192.61 9.28
8.001% to 8.500% 13 1,252,288.83 3.59
8.501% to 9.000% 15 734,992.23 2.10
9.001% to 9.500% 9 525,944.10 1.51
9.501% to 10.000% 3 154,750.84 0.44
10.001% to 10.500% 4 198,700.00 0.57
10.501% to 11.000% 2 157,850.00 0.45
11.001% to 11.500% 1 52,500.00 0.15
--- -------------- ------
Total 404 $34,929,024.88 100.00%
=== ============== ======
</TABLE>
NationsBanc Montgomery Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and NationsBanc
Montgomery Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
<PAGE>
Delta Funding Home Equity Loan Trust 1999-1
Home Equity Loan Asset-Backed Certificates, Series 1999-1
DESCRIPTION OF THE COLLATERAL
Loan Group A
<TABLE>
<CAPTION>
Lifetime Floor
Range of Lifetime Floors Number of Statistic Cut-off Date Statistic % of Cut-off Date
Calculation Mortgage Calculation Principal Statistic Calculation
Loans Balance Principal Balance
<S> <C> <C> <C>
7.001% to 7.500% 3 326,274.34 0.93
7.501% to 8.000% 6 426,729.14 1.22
8.001% to 8.500% 8 627,745.87 1.80
8.501% to 9.000% 20 1,994,349.47 5.71
9.001% to 9.500% 54 5,470,492.88 15.66
9.501% to 10.000% 69 6,133,954.20 17.56
10.001% to 10.500% 60 5,329,537.20 15.26
10.501% to 11.000% 68 6,146,420.07 17.60
11.001% to 11.500% 36 3,033,457.78 8.68
11.501% to 12.000% 31 2,495,444.19 7.14
12.001% to 12.500% 15 1,185,844.70 3.40
12.501% to 13.000% 9 534,004.83 1.53
13.001% to 13.500% 10 458,417.04 1.31
13.501% to 14.000% 6 241,510.20 0.69
14.001% to 14.500% 1 40,792.97 0.12
14.501% to 15.000% 5 273,700.00 0.78
15.001% to 15.500% 2 157,850.00 0.45
15.501% to 16.000% 1 52,500.00 0.15
--- -------------- ------
Total 404 $34,929,024.88 100.00%
=== ============== ======
<CAPTION>
Lifetime Cap
Number of Statistic Cut-off Date Statistic % of Cut-off Date
Calculation Mortgage Calculation Principal Statistic Calculation
Range of Lifetime Caps Loans Balance Principal Balance
<S> <C> <C> <C>
14.001% to 14.500% 4 445,965.61 1.28
14.501% to 15.000% 7 548,102.04 1.57
15.001% to 15.500% 14 1,006,840.78 2.88
15.501% to 16.000% 33 3,216,018.74 9.21
16.001% to 16.500% 60 6,053,311.91 17.33
16.501% to 17.000% 65 6,034,335.74 17.28
17.001% to 17.500% 48 4,151,719.46 11.89
17.501% to 18.000% 60 5,097,816.36 14.59
18.001% to 18.500% 37 3,362,409.41 9.63
18.501% to 19.000% 29 2,300,624.19 6.59
19.001% to 19.500% 13 953,105.60 2.73
19.501% to 20.000% 9 534,004.83 1.53
20.001% to 20.500% 11 499,210.01 1.43
20.501% to 21.000% 6 241,510.20 0.69
21.501% to 22.000% 5 273,700.00 0.78
22.001% to 22.500% 2 157,850.00 0.45
22.501% to 23.000% 1 52,500.00 0.15
--- -------------- ------
Total 404 $34,929,024.88 100.00%
=== ============== ======
</TABLE>
NationsBanc Montgomery Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and NationsBanc
Montgomery Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
<PAGE>
Delta Funding Home Equity Loan Trust 1999-1
Home Equity Loan Asset-Backed Certificates, Series 1999-1
BOND SUMMARY (to Maturity)
<TABLE>
<CAPTION>
A1F (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
CPR (Group A Loans) 0% 10% 20% 30% 35% 40% 50%
PPC (Group F Loans) 0% 50% 100% 125% 175% 200% 250%
- ------------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000 6.13 6.00 5.89 5.85 5.78 5.74 5.68
Average Life (yrs.) 9.49 1.55 0.93 0.80 0.64 0.59 0.51
Modified Duration (yrs.) 6.56 1.42 0.88 0.76 0.61 0.56 0.49
First Principal Payment Date 4/15/99 4/15/99 4/15/99 4/15/99 4/15/99 4/15/99 4/15/99
Last Principal Payment Date 11/15/15 5/15/02 12/15/00 9/15/00 5/15/00 4/15/00 2/15/00
Payment Windows (mos.) 200 38 21 18 14 13 11
A2F (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR (Group A Loans) 0% 10% 20% 30% 35% 40% 50%
PPC (Group F Loans) 0% 50% 100% 125% 175% 200% 250%
- ------------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000 6.05 6.01 5.97 5.95 5.91 5.89 5.85
Average Life (yrs.) 20.51 4.71 2.47 2.00 1.50 1.33 1.11
Modified Duration (yrs.) 11.44 3.96 2.22 1.83 1.39 1.25 1.04
First Principal Payment Date 11/15/15 5/15/02 12/15/00 9/15/00 5/15/00 4/15/00 2/15/00
Last Principal Payment Date 2/15/23 12/15/05 8/15/02 11/15/01 3/15/01 12/15/00 8/15/00
Payment Windows (mos.) 88 44 21 15 11 9 7
A3F (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR (Group A Loans) 0% 10% 20% 30% 35% 40% 50%
PPC (Group F Loans) 0% 50% 100% 125% 175% 200% 250%
- ------------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000 6.29 6.27 6.24 6.22 6.19 6.17 6.14
Average Life (yrs.) 25.09 8.53 3.98 3.10 2.21 1.94 1.55
Modified Duration (yrs.) 12.33 6.40 3.41 2.73 2.00 1.77 1.43
First Principal Payment Date 2/15/23 12/15/05 8/15/02 11/15/01 3/15/01 12/15/00 8/15/00
Last Principal Payment Date 6/15/25 10/15/09 12/15/03 11/15/02 9/15/01 6/15/01 12/15/00
Payment Windows (mos.) 29 47 17 13 7 7 5
A4F (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR (Group A Loans) 0% 10% 20% 30% 35% 40% 50%
PPC (Group F Loans) 0% 50% 100% 125% 175% 200% 250%
- ------------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000 6.52 6.52 6.50 6.48 6.45 6.44 6.41
Average Life (yrs.) 27.61 13.96 6.72 4.90 3.22 2.70 2.08
Modified Duration (yrs.) 12.51 8.87 5.23 4.05 2.81 2.40 1.89
First Principal Payment Date 6/15/25 10/15/09 12/15/03 11/15/02 9/15/01 6/15/01 12/15/00
Last Principal Payment Date 2/15/28 9/15/17 6/15/09 2/15/06 7/15/03 10/15/02 9/15/01
Payment Windows (mos.) 33 96 67 40 23 17 10
</TABLE>
NationsBanc Montgomery Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and NationsBanc
Montgomery Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
<PAGE>
Delta Funding Home Equity Loan Trust 1999-1
Home Equity Loan Asset-Backed Certificates, Series 1999-1
BOND SUMMARY (to Maturity)
<TABLE>
<CAPTION>
A5F (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
CPR (Group A Loans) 0% 10% 20% 30% 35% 40% 50%
PPC (Group F Loans) 0% 50% 100% 125% 175% 200% 250%
- ------------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000 7.02 7.06 7.09 7.09 7.04 6.99 6.93
Average Life (yrs.) 29.38 22.46 13.37 10.46 6.08 4.53 2.86
Modified Duration (yrs.) 12.16 10.99 8.37 7.13 4.72 3.74 2.50
First Principal Payment Date 2/15/28 9/15/17 6/15/09 2/15/06 7/15/03 10/15/02 9/15/01
Last Principal Payment Date 2/15/29 6/15/27 11/15/18 11/15/14 7/15/10 11/15/08 11/15/02
Payment Windows (mos.) 13 118 114 106 85 74 15
A6F (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR (Group A Loans) 0% 10% 20% 30% 35% 40% 50%
PPC (Group F Loans) 0% 50% 100% 125% 175% 200% 250%
- ------------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000 6.60 6.59 6.58 6.58 6.57 6.57 6.56
Average Life (yrs.) 14.69 8.28 6.82 6.42 5.91 5.70 4.68
Modified Duration (yrs.) 8.81 6.06 5.25 5.02 4.69 4.56 3.88
First Principal Payment Date 4/15/02 4/15/02 4/15/02 4/15/02 5/15/02 6/15/02 8/15/02
Last Principal Payment Date 12/15/28 3/15/27 9/15/18 9/15/14 4/15/10 9/15/08 7/15/06
Payment Windows (mos.) 321 300 198 150 96 76 48
B (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR (Group A Loans) 0% 10% 20% 30% 35% 40% 50%
PPC (Group F Loans) 0% 50% 100% 125% 175% 200% 250%
- ------------------------------------------------------------------------------------------------------------------------------------
Yield @ 86.78874 8.35 8.99 10.01 10.63 11.47 11.79 12.09
Average Life (yrs.) 26.04 11.71 6.35 4.98 3.83 3.52 3.27
Modified Duration (yrs.) 10.61 7.10 4.63 3.82 3.10 2.89 2.72
First Principal Payment Date 9/15/20 6/15/05 7/15/02 4/15/02 4/15/02 4/15/02 4/15/02
Last Principal Payment Date 3/15/28 3/15/18 1/15/10 8/15/07 3/15/05 5/15/04 2/15/03
Payment Windows (mos.) 91 154 91 65 36 26 11
</TABLE>
NationsBanc Montgomery Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and NationsBanc
Montgomery Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
<PAGE>
Delta Funding Home Equity Loan Trust 1999-1
Home Equity Loan Asset-Backed Certificates, Series 1999-1
BOND SUMMARY (to Maturity)
<TABLE>
<CAPTION>
IOF (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
CPR (Group A Loans) 0% 10% 20% 30% 35% 40% 50%
PPC (Group F Loans) 0% 50% 100% 125% 175% 200% 250%
- ------------------------------------------------------------------------------------------------------------------------------------
Yield @ 8.96418 7.25 7.25 7.25 7.25 7.25 7.25 7.25
Average Life (yrs.) 1.65 1.65 1.65 1.65 1.65 1.65 1.65
Modified Duration (yrs.) 0.98 0.98 0.98 0.98 0.98 0.98 0.98
First Principal Payment Date 6/15/99 6/15/99 6/15/99 6/15/99 6/15/99 6/15/99 6/15/99
Last Principal Payment Date 3/15/02 3/15/02 3/15/02 3/15/02 3/15/02 3/15/02 3/15/02
Payment Windows (mos.) 34 34 34 34 34 34 34
A1A (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR (Group A Loans) 0% 10% 20% 30% 35% 40% 50%
PPC (Group F Loans) 0% 50% 100% 125% 175% 200% 250%
- ------------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000 5.40 5.41 5.42 5.42 5.43 5.43 5.44
Average Life (yrs.) 21.69 8.65 4.46 2.87 2.18 1.76 1.14
Modified Duration (yrs.) 12.09 6.08 3.56 2.41 1.89 1.55 1.04
First Principal Payment Date 4/15/99 4/15/99 4/15/99 4/15/99 4/15/99 4/15/99 4/15/99
Last Principal Payment Date 2/15/29 6/15/27 11/15/18 11/15/14 7/15/10 11/15/08 7/15/06
Payment Windows (mos.) 359 339 236 188 136 116 88
A2A (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR (Group A Loans) 0% 10% 20% 30% 35% 40% 50%
PPC (Group F Loans) 0% 50% 100% 125% 175% 200% 250%
- ------------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000 5.99 5.93 5.92 5.91 5.91 5.91 5.91
Average Life (yrs.) 8.56 2.78 2.31 2.22 2.15 2.14 2.18
Modified Duration (yrs.) 6.32 2.48 2.10 2.01 1.95 1.95 1.98
First Principal Payment Date 11/15/00 11/15/00 11/15/00 11/15/00 11/15/00 11/15/00 11/15/00
Last Principal Payment Date 10/15/12 5/15/03 5/15/02 3/15/02 1/15/02 1/15/02 8/15/02
Payment Windows (mos.) 144 31 19 17 15 15 22
</TABLE>
NationsBanc Montgomery Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and NationsBanc
Montgomery Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
<PAGE>
Delta Funding Home Equity Loan Trust 1999-1
Home Equity Loan Asset-Backed Certificates, Series 1999-1
BOND SUMMARY (to Call)
<TABLE>
<CAPTION>
A1F (To Call)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
CPR (Group A Loans) 0% 10% 20% 30% 35% 40% 50%
PPC (Group F Loans) 0% 50% 100% 125% 175% 200% 250%
- ------------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000 6.13 6.00 5.89 5.85 5.78 5.74 5.68
Average Life (yrs.) 9.49 1.55 0.93 0.80 0.64 0.59 0.51
Modified Duration (yrs.) 6.56 1.42 0.88 0.76 0.61 0.56 0.49
First Principal Payment Date 4/15/99 4/15/99 4/15/99 4/15/99 4/15/99 4/15/99 4/15/99
Last Principal Payment Date 11/15/15 5/15/02 12/15/00 9/15/00 5/15/00 4/15/00 2/15/00
Payment Windows (mos.) 200 38 21 18 14 13 11
A2F (To Call)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR (Group A Loans) 0% 10% 20% 30% 35% 40% 50%
PPC (Group F Loans) 0% 50% 100% 125% 175% 200% 250%
- ------------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000 6.05 6.01 5.97 5.95 5.91 5.89 5.85
Average Life (yrs.) 20.51 4.71 2.47 2.00 1.50 1.33 1.11
Modified Duration (yrs.) 11.44 3.96 2.22 1.83 1.39 1.25 1.04
First Principal Payment Date 11/15/15 5/15/02 12/15/00 9/15/00 5/15/00 4/15/00 2/15/00
Last Principal Payment Date 2/15/23 12/15/05 8/15/02 11/15/01 3/15/01 12/15/00 8/15/00
Payment Windows (mos.) 88 44 21 15 11 9 7
A3F (To Call)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR (Group A Loans) 0% 10% 20% 30% 35% 40% 50%
PPC (Group F Loans) 0% 50% 100% 125% 175% 200% 250%
- ------------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000 6.29 6.27 6.24 6.22 6.19 6.17 6.14
Average Life (yrs.) 25.09 8.53 3.98 3.10 2.21 1.94 1.55
Modified Duration (yrs.) 12.33 6.40 3.41 2.73 2.00 1.77 1.43
First Principal Payment Date 2/15/23 12/15/05 8/15/02 11/15/01 3/15/01 12/15/00 8/15/00
Last Principal Payment Date 6/15/25 10/15/09 12/15/03 11/15/02 9/15/01 6/15/01 12/15/00
Payment Windows (mos.) 29 47 17 13 7 7 5
A4F (To Call)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR (Group A Loans) 0% 10% 20% 30% 35% 40% 50%
PPC (Group F Loans) 0% 50% 100% 125% 175% 200% 250%
- ------------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000 6.52 6.52 6.50 6.48 6.45 6.44 6.41
Average Life (yrs.) 27.61 13.94 6.71 4.90 3.22 2.70 2.08
Modified Duration (yrs.) 12.51 8.86 5.23 4.05 2.81 2.40 1.89
First Principal Payment Date 6/15/25 10/15/09 12/15/03 11/15/02 9/15/01 6/15/01 12/15/00
Last Principal Payment Date 12/15/27 12/15/16 3/15/09 2/15/06 7/15/03 10/15/02 9/15/01
Payment Windows (mos.) 31 87 64 40 23 17 10
</TABLE>
NationsBanc Montgomery Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and NationsBanc
Montgomery Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
<PAGE>
Delta Funding Home Equity Loan Trust 1999-1
Home Equity Loan Asset-Backed Certificates, Series 1999-1
BOND SUMMARY (to Call)
<TABLE>
<CAPTION>
A5F (To Call)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
CPR (Group A Loans) 0% 10% 20% 30% 35% 40% 50%
PPC (Group F Loans) 0% 50% 100% 125% 175% 200% 250%
- ------------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000 7.01 7.01 7.00 6.99 6.97 6.96 6.93
Average Life (yrs.) 28.71 17.71 9.96 7.75 5.12 4.26 2.86
Modified Duration (yrs.) 12.07 9.88 6.96 5.80 4.16 3.56 2.50
First Principal Payment Date 12/15/27 12/15/16 3/15/09 2/15/06 7/15/03 10/15/02 9/15/01
Last Principal Payment Date 12/15/27 12/15/16 3/15/09 1/15/07 10/15/04 12/15/03 11/15/02
Payment Windows (mos.) 1 1 1 12 16 15 15
A6F (To Call)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR (Group A Loans) 0% 10% 20% 30% 35% 40% 50%
PPC (Group F Loans) 0% 50% 100% 125% 175% 200% 250%
- ------------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000 6.60 6.59 6.58 6.58 6.57 6.56 6.55
Average Life (yrs.) 14.69 8.27 6.75 6.22 5.04 4.47 3.61
Modified Duration (yrs.) 8.81 6.05 5.22 4.91 4.15 3.75 3.12
First Principal Payment Date 4/15/02 4/15/02 4/15/02 4/15/02 5/15/02 6/15/02 8/15/02
Last Principal Payment Date 12/15/27 12/15/16 3/15/09 1/15/07 10/15/04 12/15/03 11/15/02
Payment Windows (mos.) 309 177 84 58 30 19 4
B (To Call)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR (Group A Loans) 0% 10% 20% 30% 35% 40% 50%
PPC (Group F Loans) 0% 50% 100% 125% 175% 200% 250%
- ------------------------------------------------------------------------------------------------------------------------------------
Yield @ 86.78874 8.35 8.99 10.02 10.64 11.48 11.80 12.10
Average Life (yrs.) 26.03 11.67 6.33 4.97 3.82 3.51 3.26
Modified Duration (yrs.) 10.61 7.10 4.62 3.82 3.09 2.89 2.72
First Principal Payment Date 9/15/20 6/15/05 7/15/02 4/15/02 4/15/02 4/15/02 4/15/02
Last Principal Payment Date 12/15/27 12/15/16 3/15/09 1/15/07 10/15/04 12/15/03 11/15/02
Payment Windows (mos.) 88 139 81 58 31 21 8
</TABLE>
NationsBanc Montgomery Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and NationsBanc
Montgomery Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
<PAGE>
Delta Funding Home Equity Loan Trust 1999-1
Home Equity Loan Asset-Backed Certificates, Series 1999-1
BOND SUMMARY (to Call)
<TABLE>
<CAPTION>
IOF (To Call)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
CPR (Group A Loans) 0% 10% 20% 30% 35% 40% 50%
PPC (Group F Loans) 0% 50% 100% 125% 175% 200% 250%
- ------------------------------------------------------------------------------------------------------------------------------------
Yield @ 8.96418 7.25 7.25 7.25 7.25 7.25 7.25 7.25
Average Life (yrs.) 1.65 1.65 1.65 1.65 1.65 1.65 1.65
Modified Duration (yrs.) 0.98 0.98 0.98 0.98 0.98 0.98 0.98
First Principal Payment Date 6/15/99 6/15/99 6/15/99 6/15/99 6/15/99 6/15/99 6/15/99
Last Principal Payment Date 3/15/02 3/15/02 3/15/02 3/15/02 3/15/02 3/15/02 3/15/02
Payment Windows (mos.) 34 34 34 34 34 34 34
A1A (To Call)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR (Group A Loans) 0% 10% 20% 30% 35% 40% 50%
PPC (Group F Loans) 0% 50% 100% 125% 175% 200% 250%
- ------------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000 5.40 5.40 5.40 5.40 5.41 5.41 5.41
Average Life (yrs.) 21.62 8.16 4.12 2.69 1.99 1.60 1.04
Modified Duration (yrs.) 12.07 5.92 3.38 2.31 1.76 1.44 0.96
First Principal Payment Date 4/15/99 4/15/99 4/15/99 4/15/99 4/15/99 4/15/99 4/15/99
Last Principal Payment Date 12/15/27 12/15/16 3/15/09 1/15/07 10/15/04 12/15/03 11/15/02
Payment Windows (mos.) 345 213 120 94 67 57 44
A2A (To Call)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR (Group A Loans) 0% 10% 20% 30% 35% 40% 50%
PPC (Group F Loans) 0% 50% 100% 125% 175% 200% 250%
- ------------------------------------------------------------------------------------------------------------------------------------
Yield @ 100.000 5.99 5.93 5.92 5.91 5.91 5.91 5.91
Average Life (yrs.) 8.56 2.78 2.31 2.22 2.15 2.14 2.18
Modified Duration (yrs.) 6.32 2.48 2.10 2.01 1.95 1.95 1.98
First Principal Payment Date 11/15/00 11/15/00 11/15/00 11/15/00 11/15/00 11/15/00 11/15/00
Last Principal Payment Date 10/15/12 5/15/03 5/15/02 3/15/02 1/15/02 1/15/02 8/15/02
Payment Windows (mos.) 144 31 19 17 15 15 22
</TABLE>
NationsBanc Montgomery Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and NationsBanc
Montgomery Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
<PAGE>
Delta Funding Home Equity Loan Trust 1999-1
Home Equity Loan Asset-Backed Certificates, Series 1999-1
ADJUSTABLE AVAILABLE FUNDS CAP ("AFC")*
<TABLE>
<CAPTION>
Period Pay Date AFC Period Pay Date AFC Period Pay Date AFC
------ -------- --- ------ -------- --- ------ -------- ---
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1 4/15/99 9.76 33 12/15/01 9.69 65 8/15/04 10.49
2 5/15/99 9.76 34 1/15/02 9.74 66 9/15/04 10.49
3 6/15/99 9.76 35 2/15/02 9.74 67 10/15/04 10.49
4 7/15/99 9.76 36 3/15/02 9.94 68 11/15/04 10.49
5 8/15/99 9.76 37 4/15/02 10.49 69 12/15/04 10.49
6 9/15/99 9.76 38 5/15/02 10.49 70 1/15/05 10.49
7 10/15/99 9.76 39 6/15/02 10.49 71 2/15/05 10.49
8 11/15/99 9.76 40 7/15/02 10.49 72 3/15/05 10.49
9 12/15/99 9.76 41 8/15/02 10.49 73 4/15/05 10.49
10 1/15/00 9.76 42 9/15/02 10.49 74 5/15/05 10.49
11 2/15/00 9.76 43 10/15/02 10.49 75 6/15/05 10.49
12 3/15/00 9.76 44 11/15/02 10.49 76 7/15/05 10.49
13 4/15/00 9.26 45 12/15/02 10.49 77 8/15/05 10.49
14 5/15/00 9.26 46 1/15/03 10.49 78 9/15/05 10.49
15 6/15/00 9.26 47 2/15/03 10.49 79 10/15/05 10.49
16 7/15/00 9.26 48 3/15/03 10.49 80 11/15/05 10.49
17 8/15/00 9.30 49 4/15/03 10.49 81 12/15/05 10.49
18 9/15/00 9.30 50 5/15/03 10.49 82 1/15/06 10.49
19 10/15/00 9.30 51 6/15/03 10.49 83 2/15/06 10.49
20 11/15/00 9.30 52 7/15/03 10.49 84 3/15/06 10.49
21 12/15/00 9.30 53 8/15/03 10.49 85 4/15/06 10.49
22 1/15/01 9.30 54 9/15/03 10.49 86 5/15/06 10.49
23 2/15/01 9.30 55 10/15/03 10.49 87 6/15/06 10.49
24 3/15/01 9.52 56 11/15/03 10.49 88 7/15/06 10.49
25 4/15/01 9.69 57 12/15/03 10.49 89 8/15/06 10.49
26 5/15/01 9.69 58 1/15/04 10.49 90 9/15/06 10.49
27 6/15/01 9.69 59 2/15/04 10.49 91 10/15/06 10.49
28 7/15/01 9.69 60 3/15/04 10.49 92 11/15/06 10.49
29 8/15/01 9.69 61 4/15/04 10.49 93 12/15/06 10.49
30 9/15/01 9.69 62 5/15/04 10.49 94 1/15/07 10.49
31 10/15/01 9.69 63 6/15/04 10.49
32 11/15/01 9.69 64 7/15/04 10.49
</TABLE>
o Available Funds Cap is calculated assuming 6 month LIBOR stays constant at
5.06406% and run at the pricing speed to call.
NationsBanc Montgomery Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and NationsBanc
Montgomery Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
<PAGE>
Delta Funding Home Equity Loan Trust 1999-1
Home Equity Loan Asset-Backed Certificates, Series 1999-1
ADJUSTABLE AVAILABLE FUNDS CAP ("AFC")**
<TABLE>
<CAPTION>
Period Pay Date AFC Period Pay Date AFC Period Pay Date AFC
------ -------- --- ------ -------- --- ------ -------- ---
<S> <C> <C> <C> <C> <C> <C> <C> <C>
1 4/15/99 9.76 33 12/15/01 10.61 65 8/15/04 14.00
2 5/15/99 9.76 34 1/15/02 10.72 66 9/15/04 14.00
3 6/15/99 9.76 35 2/15/02 10.75 67 10/15/04 14.00
4 7/15/99 9.76 36 3/15/02 11.42 68 11/15/04 14.00
5 8/15/99 9.76 37 4/15/02 12.94 69 12/15/04 14.00
6 9/15/99 9.76 38 5/15/02 12.94 70 1/15/05 14.00
7 10/15/99 9.76 39 6/15/02 12.94 71 2/15/05 14.00
8 11/15/99 9.76 40 7/15/02 12.98 72 3/15/05 14.00
9 12/15/99 9.76 41 8/15/02 13.01 73 4/15/05 14.00
10 1/15/00 9.76 42 9/15/02 13.35 74 5/15/05 14.00
11 2/15/00 9.76 43 10/15/02 13.93 75 6/15/05 14.00
12 3/15/00 9.76 44 11/15/02 13.93 76 7/15/05 14.00
13 4/15/00 9.26 45 12/15/02 13.93 77 8/15/05 14.00
14 5/15/00 9.26 46 1/15/03 13.97 78 9/15/05 14.00
15 6/15/00 9.26 47 2/15/03 13.97 79 10/15/05 14.00
16 7/15/00 9.26 48 3/15/03 14.00 80 11/15/05 14.00
17 8/15/00 9.34 49 4/15/03 14.00 81 12/15/05 14.00
18 9/15/00 9.34 50 5/15/03 14.00 82 1/15/06 14.00
19 10/15/00 9.34 51 6/15/03 14.00 83 2/15/06 14.00
20 11/15/00 9.34 52 7/15/03 14.00 84 3/15/06 14.00
21 12/15/00 9.34 53 8/15/03 14.00 85 4/15/06 14.00
22 1/15/01 9.34 54 9/15/03 14.00 86 5/15/06 14.00
23 2/15/01 9.37 55 10/15/03 14.00 87 6/15/06 14.00
24 3/15/01 9.91 56 11/15/03 14.00 88 7/15/06 14.00
25 4/15/01 10.27 57 12/15/03 14.00 89 8/15/06 14.00
26 5/15/01 10.27 58 1/15/04 14.00 90 9/15/06 14.00
27 6/15/01 10.27 59 2/15/04 14.00 91 10/15/06 14.00
28 7/15/01 10.27 60 3/15/04 14.00 92 11/15/06 14.00
29 8/15/01 10.31 61 4/15/04 14.00 93 12/15/06 14.00
30 9/15/01 10.49 62 5/15/04 14.00 94 1/15/07 14.00
31 10/15/01 10.61 63 6/15/04 14.00
32 11/15/01 10.61 64 7/15/04 14.00
</TABLE>
** Available Funds Cap is calculated assuming 6 month LIBOR instantaneously
increases to a level beyond the highest maximum obtainable rate on the
adjustable rate mortgage loans and run at the pricing speed to call.
NationsBanc Montgomery Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and NationsBanc
Montgomery Securities LLC (the "Underwriter") is not soliciting any action based
upon it. This material is not to be construed as an offer to sell or the
solicitation of any offer to buy any security in any jurisdiction where such an
offer or solicitation would be illegal. This material is based on information
that the Underwriter considers reliable, but the Underwriter does not represent
that it is accurate or complete and it should not be relied upon as such. By
accepting this material the recipient agrees that it will not distribute or
provide the material to any other person. The information contained in this
material may pertain to securities that ultimately are not sold. The information
contained in this material may be based on assumptions regarding market
conditions and other matters as reflected herein. The Underwriter makes no
representation regarding the reasonableness of such assumptions or the
likelihood that any of such assumptions will coincide with actual market
conditions or events, and this material should not be relied upon for such
purposes. The Underwriter and its affiliates, officers, directors, partners and
employees, including persons involved in the preparation or issuance of this
material may, from time to time, have long or short positions in, and buy and
sell, the securities mentioned therein or derivatives thereof (including
options). This material may be filed with the Securities and Exchange Commission
(the "SEC") and incorporated by reference into an effective registration
statement previously filed with the SEC under Rule 415 of the Securities Act of
1933, including all cases where the material does not pertain to securities that
are ultimately offered for sale pursuant to such registration statement.
Information contained in this material is current as of the date appearing on
this material only. Information in this material regarding any assets backing
any securities discussed herein supersedes all prior information regarding such
assets. Any information in the material, whether regarding the assets backing
any securities discussed herein or otherwise, will be superseded by the
information contained in any final prospectus for any securities actually sold
to you. This material is furnished solely by the Underwriter and not by the
issuer of the securities. The issuer of the securities has not prepared,
reviewed or participated in the preparation of this material, is not responsible
for the accuracy of this material and has not authorized the dissemination of
this material. The Underwriter is acting as underwriter and not acting as agent
for the issuer in connection with the proposed transaction.
<PAGE>
<TABLE>
<CAPTION>
NationsBanc Montgomery Securities LLC
Delta 99-1 to Maturity
Price to Yield Table
- --------------------------------------------------------------------------------
Bond Class: A1F
Settle Date Call % Description First Accrual Date Next Pay Date Actual Delay Issue Balance
<S> <C> <C> <C> <C> <C> <C>
03/30/1999 0.00 SEQ 03/01/1999 04/15/1999 14 92,400,000.00
<CAPTION>
Balance Principal Type Coupon Interest Type Index Type Margin Accrued Interest
<S> <C> <C> <C> <C> <C> <C>
92,400,000.00 Normal 5.8100 Fixed None 0.0000 432,457.67
</TABLE>
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI Scenario VII
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
99-17.0 5.917 6.052 6.157 6.201 6.277 6.312 6.377
99-18.0 5.913 6.029 6.121 6.160 6.226 6.256 6.313
99-19.0 5.908 6.007 6.085 6.119 6.175 6.200 6.249
99-20.0 5.903 5.985 6.050 6.077 6.123 6.145 6.185
99-21.0 5.898 5.963 6.014 6.036 6.072 6.089 6.121
99-22.0 5.894 5.941 5.979 5.995 6.021 6.034 6.057
99-23.0 5.889 5.919 5.943 5.953 5.970 5.978 5.993
99-24.0 5.884 5.897 5.908 5.912 5.919 5.923 5.929
99-25.0 5.880 5.876 5.872 5.871 5.869 5.868 5.866
99-26.0 5.875 5.854 5.837 5.830 5.818 5.812 5.802
99-27.0 5.870 5.832 5.801 5.789 5.767 5.757 5.738
99-28.0 5.866 5.810 5.766 5.747 5.716 5.702 5.674
99-29.0 5.861 5.788 5.731 5.706 5.665 5.646 5.611
99-30.0 5.856 5.766 5.695 5.665 5.614 5.591 5.547
99-31.0 5.852 5.744 5.660 5.624 5.564 5.536 5.484
100-0.0 5.847 5.722 5.625 5.583 5.513 5.481 5.420
100-1.0 5.842 5.700 5.589 5.542 5.462 5.426 5.357
100-2.0 5.838 5.678 5.554 5.501 5.412 5.371 5.294
100-3.0 5.833 5.657 5.519 5.460 5.361 5.316 5.230
100-4.0 5.828 5.635 5.483 5.419 5.311 5.261 5.167
100-5.0 5.824 5.613 5.448 5.378 5.260 5.206 5.104
100-6.0 5.819 5.591 5.413 5.337 5.210 5.151 5.040
100-7.0 5.814 5.569 5.378 5.296 5.159 5.096 4.977
100-8.0 5.810 5.547 5.343 5.255 5.109 5.041 4.914
100-9.0 5.805 5.526 5.307 5.214 5.058 4.986 4.851
100-10.0 5.800 5.504 5.272 5.174 5.008 4.931 4.788
100-11.0 5.796 5.482 5.237 5.133 4.958 4.876 4.725
100-12.0 5.791 5.460 5.202 5.092 4.907 4.822 4.662
100-13.0 5.786 5.439 5.167 5.051 4.857 4.767 4.599
100-14.0 5.782 5.417 5.132 5.011 4.807 4.712 4.536
100-15.0 5.777 5.395 5.097 4.970 4.757 4.658 4.474
WAL 9.49 1.55 0.94 0.80 0.64 0.59 0.51
Mod Dur 6.66 1.42 0.88 0.76 0.61 0.56 0.49
FirstPrinPay 04/15/1999 04/15/1999 04/15/1999 04/15/1999 04/15/1999 04/15/1999 04/15/1999
Maturity 11/15/2015 05/15/2002 12/15/2000 09/15/2000 05/15/2000 04/15/2000 02/15/2000
Prin Window 200 38 21 18 14 13 11
</TABLE>
- --------------------------------------------------------------------------------
This document is for informative purposes only. Under no circumstances is it to
be used or considered as an offer to sell, or a solicitation of an offer to buy
any security. Additional information is available upon request. Results based on
hypothetical projections or past performance have created inherent limitations.
There is no certainty that the parameters and assumptions used can be duplicated
with actual trades. This document may not be reproduced in whole or in part or
otherwise made available without our written consent.
MASTER Version 3.54.3
Copyright (C) 1999 NationsBanc Montgomery Securities LLC
<PAGE>
<TABLE>
<CAPTION>
NationsBanc Montgomery Securities LLC
Delta 99-1 to Maturity
Price to Yield Table
- --------------------------------------------------------------------------------
Bond Class: A2F
Settle Date Call % Description First Accrual Date Next Pay Date Actual Delay Issue Balance
<S> <C> <C> <C> <C> <C> <C>
03/30/1999 0.00 SEQ 03/01/1999 04/15/1999 14 71,700,000.00
<CAPTION>
Balance Principal Type Coupon Interest Type Index Type Margin Accrued Interest
<S> <C> <C> <C> <C> <C> <C>
71,700,000.00 Normal 5.9800 Fixed None 0.0000 345,394.83
</TABLE>
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI Scenario VII
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
99-17.0 6.076 6.114 6.161 6.184 6.225 6.244 6.281
99-18.0 6.073 6.107 6.147 6.167 6.202 6.219 6.251
99-19.0 6.070 6.099 6.133 6.150 6.180 6.194 6.221
99-20.0 6.067 6.091 6.119 6.133 6.157 6.169 6.191
99-21.0 6.065 6.083 6.105 6.116 6.135 6.144 6.161
99-22.0 6.062 6.075 6.091 6.099 6.112 6.119 6.131
99-23.0 6.059 6.067 6.077 6.081 6.090 6.094 6.101
99-24.0 6.056 6.059 6.063 6.064 6.067 6.069 6.071
99-25.0 6.054 6.051 6.049 6.047 6.045 6.044 6.041
99-26.0 6.051 6.044 6.035 6.030 6.022 6.019 6.012
99-27.0 6.048 6.036 6.021 6.013 6.000 5.994 5.982
99-28.0 6.046 6.028 6.007 5.996 5.978 5.969 5.952
99-29.0 6.043 6.020 5.993 5.979 5.955 5.944 5.922
99-30.0 6.040 6.012 5.979 5.962 5.933 5.919 5.892
99-31.0 6.037 6.004 5.965 5.945 5.910 5.894 5.862
100-0.0 6.035 5.996 5.951 5.928 5.888 5.869 5.833
100-1.0 6.032 5.989 5.937 5.911 5.866 5.844 5.803
100-2.0 6.029 5.981 5.923 5.894 5.843 5.819 5.773
100-3.0 6.027 5.973 5.909 5.877 5.821 5.794 5.743
100-4.0 6.024 5.965 5.895 5.860 5.798 5.769 5.713
100-5.0 6.021 5.957 5.881 5.843 5.776 5.744 5.684
100-6.0 6.018 5.949 5.867 5.826 5.754 5.719 5.654
100-7.0 6.016 5.942 5.853 5.809 5.731 5.694 5.624
100-8.0 6.013 5.934 5.839 5.792 5.709 5.669 5.595
100-9.0 6.010 5.926 5.825 5.775 5.687 5.644 5.565
100-10.0 6.008 5.918 5.811 5.758 5.665 5.619 5.535
100-11.0 6.005 5.910 5.797 5.741 5.642 5.595 5.506
100-12.0 6.002 5.903 5.783 5.724 5.620 5.570 5.476
100-13.0 6.000 5.895 5.769 5.708 5.598 5.545 5.446
100-14.0 5.997 5.887 5.755 5.691 5.575 5.520 5.417
100-15.0 5.994 5.879 5.741 5.674 5.553 5.495 5.387
WAL 20.51 4.71 2.47 2.00 1.50 1.33 1.11
Mod Dur 11.46 3.96 2.22 1.83 1.39 1.25 1.04
FirstPrinPay 11/15/2015 05/15/2002 12/15/2000 09/15/2000 05/15/2000 04/15/2000 02/15/2000
Maturity 02/15/2023 12/15/2005 08/15/2002 11/15/2001 03/15/2001 12/15/2000 08/15/2000
Prin Window 88 44 21 15 11 9 7
</TABLE>
- --------------------------------------------------------------------------------
This document is for informative purposes only. Under no circumstances is it to
be used or considered as an offer to sell, or a solicitation of an offer to buy
any security. Additional information is available upon request. Results based on
hypothetical projections or past performance have created inherent limitations.
There is no certainty that the parameters and assumptions used can be duplicated
with actual trades. This document may not be reproduced in whole or in part or
otherwise made available without our written consent.
MASTER Version 3.54.3
Copyright (C) 1999 NationsBanc Montgomery Securities LLC
<PAGE>
<TABLE>
<CAPTION>
NationsBanc Montgomery Securities LLC
Delta 99-1 to Maturity
Price to Yield Table
- --------------------------------------------------------------------------------
Bond Class: A3F
Settle Date Call % Description First Accrual Date Next Pay Date Actual Delay Issue Balance
<S> <C> <C> <C> <C> <C> <C>
03/30/1999 0.00 SEQ 03/01/1999 04/15/1999 14 34,800,000.00
<CAPTION>
Balance Principal Type Coupon Interest Type Index Type Margin Accrued Interest
<S> <C> <C> <C> <C> <C> <C>
34,800,000.00 Normal 6.1300 Fixed None 0.0000 171,844.33
</TABLE>
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI Scenario VII
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
99-17.0 6.227 6.245 6.276 6.293 6.324 6.339 6.369
99-18.0 6.225 6.240 6.267 6.281 6.308 6.321 6.347
99-19.0 6.222 6.235 6.258 6.270 6.292 6.303 6.325
99-20.0 6.220 6.230 6.249 6.259 6.277 6.286 6.304
99-21.0 6.217 6.225 6.239 6.247 6.261 6.268 6.282
99-22.0 6.215 6.220 6.230 6.236 6.246 6.250 6.260
99-23.0 6.212 6.215 6.221 6.224 6.230 6.233 6.238
99-24.0 6.210 6.211 6.212 6.213 6.214 6.215 6.217
99-25.0 6.207 6.206 6.203 6.202 6.199 6.198 6.195
99-26.0 6.205 6.201 6.194 6.190 6.183 6.180 6.173
99-27.0 6.202 6.196 6.185 6.179 6.168 6.162 6.152
99-28.0 6.200 6.191 6.176 6.167 6.152 6.145 6.130
99-29.0 6.197 6.186 6.167 6.156 6.137 6.127 6.108
99-30.0 6.195 6.182 6.157 6.145 6.121 6.110 6.086
99-31.0 6.192 6.177 6.148 6.133 6.106 6.092 6.065
100-0.0 6.190 6.172 6.139 6.122 6.090 6.075 6.043
100-1.0 6.187 6.167 6.130 6.111 6.075 6.057 6.022
100-2.0 6.185 6.162 6.121 6.099 6.059 6.039 6.000
100-3.0 6.182 6.157 6.112 6.088 6.044 6.022 5.978
100-4.0 6.180 6.152 6.103 6.077 6.028 6.004 5.957
100-5.0 6.177 6.148 6.094 6.065 6.013 5.987 5.935
100-6.0 6.175 6.143 6.085 6.054 5.997 5.969 5.913
100-7.0 6.172 6.138 6.076 6.043 5.982 5.952 5.892
100-8.0 6.170 6.133 6.067 6.031 5.966 5.934 5.870
100-9.0 6.167 6.128 6.058 6.020 5.951 5.917 5.849
100-10.0 6.165 6.124 6.049 6.009 5.935 5.899 5.827
100-11.0 6.162 6.119 6.040 5.997 5.920 5.882 5.806
100-12.0 6.160 6.114 6.031 5.986 5.904 5.864 5.784
100-13.0 6.157 6.109 6.021 5.975 5.889 5.847 5.763
100-14.0 6.155 6.104 6.012 5.963 5.874 5.829 5.741
100-15.0 6.152 6.100 6.003 5.952 5.858 5.812 5.719
WAL 25.09 8.53 3.98 3.10 2.21 1.94 1.55
Mod Dur 12.45 6.43 3.42 2.74 2.00 1.77 1.44
FirstPrinPay 02/15/2023 12/15/2005 08/15/2002 11/15/2001 03/15/2001 12/15/2000 08/15/2000
Maturity 06/15/2025 10/15/2009 12/15/2003 11/15/2002 09/15/2001 06/15/2001 12/15/2000
Prin Window 29 47 17 13 7 7 5
</TABLE>
- --------------------------------------------------------------------------------
This document is for informative purposes only. Under no circumstances is it to
be used or considered as an offer to sell, or a solicitation of an offer to buy
any security. Additional information is available upon request. Results based on
hypothetical projections or past performance have created inherent limitations.
There is no certainty that the parameters and assumptions used can be duplicated
with actual trades. This document may not be reproduced in whole or in part or
otherwise made available without our written consent.
MASTER Version 3.54.3
Copyright (C) 1999 NationsBanc Montgomery Securities LLC
<PAGE>
<TABLE>
<CAPTION>
NationsBanc Montgomery Securities LLC
Delta 99-1 to Call
Price to Yield Table
- --------------------------------------------------------------------------------
Bond Class: A4F
Settle Date Call % Description First Accrual Date Next Pay Date Actual Delay Issue Balance
<S> <C> <C> <C> <C> <C> <C>
03/30/1999 10.00 SEQ 03/01/1999 04/15/1999 14 52,100,000.00
<CAPTION>
Balance Principal Type Coupon Interest Type Index Type Margin Accrued Interest
<S> <C> <C> <C> <C> <C> <C>
52,100,000.00 Normal 6.3900 Fixed None 0.0000 268,184.75
</TABLE>
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI Scenario VII
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
99-17.0 6.493 6.500 6.518 6.530 6.554 6.567 6.592
99-18.0 6.491 6.497 6.512 6.522 6.543 6.554 6.575
99-19.0 6.488 6.493 6.506 6.514 6.531 6.541 6.559
99-20.0 6.486 6.490 6.500 6.507 6.520 6.528 6.542
99-21.0 6.483 6.486 6.494 6.499 6.509 6.515 6.526
99-22.0 6.481 6.483 6.488 6.491 6.498 6.502 6.509
99-23.0 6.478 6.479 6.482 6.484 6.487 6.489 6.493
99-24.0 6.476 6.476 6.476 6.476 6.476 6.476 6.476
99-25.0 6.473 6.472 6.470 6.468 6.465 6.463 6.460
99-26.0 6.471 6.469 6.464 6.461 6.454 6.450 6.443
99-27.0 6.468 6.465 6.458 6.453 6.443 6.437 6.427
99-28.0 6.466 6.462 6.452 6.445 6.432 6.424 6.410
99-29.0 6.463 6.458 6.446 6.438 6.421 6.411 6.394
99-30.0 6.461 6.455 6.440 6.430 6.410 6.398 6.377
99-31.0 6.458 6.451 6.434 6.422 6.399 6.385 6.361
100-0.0 6.456 6.448 6.428 6.415 6.388 6.372 6.344
100-1.0 6.454 6.444 6.422 6.407 6.377 6.359 6.328
100-2.0 6.451 6.441 6.417 6.399 6.366 6.346 6.311
100-3.0 6.449 6.437 6.411 6.392 6.355 6.333 6.295
100-4.0 6.446 6.434 6.405 6.384 6.344 6.320 6.279
100-5.0 6.444 6.430 6.399 6.376 6.333 6.308 6.262
100-6.0 6.441 6.427 6.393 6.369 6.322 6.295 6.246
100-7.0 6.439 6.423 6.387 6.361 6.311 6.282 6.229
100-8.0 6.436 6.420 6.381 6.354 6.300 6.269 6.213
100-9.0 6.434 6.416 6.375 6.346 6.289 6.256 6.197
100-10.0 6.431 6.413 6.369 6.338 6.278 6.243 6.180
100-11.0 6.429 6.409 6.363 6.331 6.267 6.230 6.164
100-12.0 6.426 6.406 6.357 6.323 6.256 6.217 6.147
100-13.0 6.424 6.402 6.352 6.315 6.245 6.204 6.131
100-14.0 6.422 6.399 6.346 6.308 6.234 6.191 6.115
100-15.0 6.419 6.396 6.340 6.300 6.223 6.178 6.098
WAL 27.61 13.94 6.71 4.90 3.23 2.70 2.08
Mod Dur 12.60 8.90 5.24 4.06 2.82 2.40 1.89
FirstPrinPay 06/15/2025 10/15/2009 12/15/2003 11/15/2002 09/15/2001 06/15/2001 12/15/2000
Maturity 12/15/2027 12/15/2016 03/15/2009 02/15/2006 07/15/2003 10/15/2002 09/15/2001
Prin Window 31 87 64 40 23 17 10
</TABLE>
- --------------------------------------------------------------------------------
This document is for informative purposes only. Under no circumstances is it to
be used or considered as an offer to sell, or a solicitation of an offer to buy
any security. Additional information is available upon request. Results based on
hypothetical projections or past performance have created inherent limitations.
There is no certainty that the parameters and assumptions used can be duplicated
with actual trades. This document may not be reproduced in whole or in part or
otherwise made available without our written consent.
MASTER Version 3.54.3
Copyright (C) 1999 NationsBanc Montgomery Securities LLC
<PAGE>
<TABLE>
<CAPTION>
NationsBanc Montgomery Securities LLC
Delta 99-1 to Maturity
Price to Yield Table
- --------------------------------------------------------------------------------
Bond Class: A4F
Settle Date Call % Description First Accrual Date Next Pay Date Actual Delay Issue Balance
<S> <C> <C> <C> <C> <C> <C>
03/30/1999 0.00 SEQ 03/01/1999 04/15/1999 14 52,100,000.00
<CAPTION>
Balance Principal Type Coupon Interest Type Index Type Margin Accrued Interest
<S> <C> <C> <C> <C> <C> <C>
52,100,000.00 Normal 6.3900 Fixed None 0.0000 268,184.75
</TABLE>
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI Scenario VII
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
99-17.0 6.493 6.500 6.518 6.530 6.554 6.567 6.592
99-18.0 6.491 6.497 6.512 6.522 6.543 6.554 6.575
99-19.0 6.488 6.493 6.506 6.514 6.531 6.541 6.559
99-20.0 6.486 6.490 6.500 6.507 6.520 6.528 6.542
99-21.0 6.483 6.486 6.494 6.499 6.509 6.515 6.526
99-22.0 6.481 6.483 6.488 6.491 6.498 6.502 6.509
99-23.0 6.478 6.479 6.482 6.484 6.487 6.489 6.493
99-24.0 6.476 6.476 6.476 6.476 6.476 6.476 6.476
99-25.0 6.473 6.472 6.470 6.468 6.465 6.463 6.460
99-26.0 6.471 6.469 6.464 6.461 6.454 6.450 6.443
99-27.0 6.468 6.465 6.458 6.453 6.443 6.437 6.427
99-28.0 6.466 6.462 6.452 6.445 6.432 6.424 6.410
99-29.0 6.463 6.458 6.446 6.438 6.421 6.411 6.394
99-30.0 6.461 6.455 6.440 6.430 6.410 6.398 6.377
99-31.0 6.458 6.451 6.434 6.422 6.399 6.385 6.361
100-0.0 6.456 6.448 6.428 6.415 6.388 6.372 6.344
100-1.0 6.454 6.444 6.422 6.407 6.377 6.359 6.328
100-2.0 6.451 6.441 6.417 6.399 6.366 6.346 6.311
100-3.0 6.449 6.437 6.411 6.392 6.355 6.333 6.295
100-4.0 6.446 6.434 6.405 6.384 6.344 6.320 6.279
100-5.0 6.444 6.430 6.399 6.376 6.333 6.308 6.262
100-6.0 6.441 6.427 6.393 6.369 6.322 6.295 6.246
100-7.0 6.439 6.423 6.387 6.361 6.311 6.282 6.229
100-8.0 6.436 6.420 6.381 6.354 6.300 6.269 6.213
100-9.0 6.434 6.416 6.375 6.346 6.289 6.256 6.197
100-10.0 6.431 6.413 6.369 6.338 6.278 6.243 6.180
100-11.0 6.429 6.409 6.363 6.331 6.267 6.230 6.164
100-12.0 6.426 6.406 6.357 6.323 6.256 6.217 6.147
100-13.0 6.424 6.403 6.352 6.315 6.245 6.204 6.131
100-14.0 6.422 6.399 6.346 6.308 6.234 6.191 6.115
100-15.0 6.419 6.396 6.340 6.300 6.223 6.178 6.098
WAL 27.61 13.96 6.72 4.90 3.23 2.70 2.08
Mod Dur 12.60 8.90 5.25 4.06 2.82 2.40 1.89
FirstPrinPay 06/15/2025 10/15/2009 12/15/2003 11/15/2002 09/15/2001 06/15/2001 12/15/2000
Maturity 02/15/2028 09/15/2017 06/15/2009 02/15/2006 07/15/2003 10/15/2002 09/15/2001
Prin Window 33 96 67 40 23 17 10
</TABLE>
- --------------------------------------------------------------------------------
This document is for informative purposes only. Under no circumstances is it to
be used or considered as an offer to sell, or a solicitation of an offer to buy
any security. Additional information is available upon request. Results based on
hypothetical projections or past performance have created inherent limitations.
There is no certainty that the parameters and assumptions used can be duplicated
with actual trades. This document may not be reproduced in whole or in part or
otherwise made available without our written consent.
MASTER Version 3.54.3
Copyright (C) 1999 NationsBanc Montgomery Securities LLC
<PAGE>
<TABLE>
<CAPTION>
NationsBanc Montgomery Securities LLC
Delta 99-1 to Call
Price to Yield Table
- --------------------------------------------------------------------------------
Bond Class: A5F
Settle Date Call % Description First Accrual Date Next Pay Date Actual Delay Issue Balance
<S> <C> <C> <C> <C> <C> <C>
03/30/1999 10.00 SEQ 03/01/1999 04/15/1999 14 25,750,000.00
<CAPTION>
Balance Principal Type Coupon Interest Type Index Type Margin Accrued Interest
<S> <C> <C> <C> <C> <C> <C>
25,750,000.00 Normal 6.8100 Fixed None 0.0000 141,260.21
</TABLE>
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI Scenario VII
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
99-17.0 6.924 6.928 6.936 6.942 6.956 6.964 6.988
99-18.0 6.921 6.925 6.932 6.937 6.949 6.956 6.976
99-19.0 6.919 6.921 6.927 6.932 6.941 6.947 6.963
99-20.0 6.916 6.918 6.923 6.926 6.934 6.938 6.951
99-21.0 6.914 6.915 6.919 6.921 6.926 6.929 6.939
99-22.0 6.911 6.912 6.914 6.915 6.919 6.921 6.926
99-23.0 6.909 6.909 6.910 6.910 6.911 6.912 6.914
99-24.0 6.906 6.906 6.905 6.905 6.904 6.903 6.901
99-25.0 6.904 6.903 6.901 6.899 6.896 6.894 6.889
99-26.0 6.901 6.900 6.896 6.894 6.889 6.886 6.876
99-27.0 6.898 6.896 6.892 6.889 6.881 6.877 6.864
99-28.0 6.896 6.893 6.887 6.883 6.874 6.868 6.852
99-29.0 6.893 6.890 6.883 6.878 6.866 6.859 6.839
99-30.0 6.891 6.887 6.878 6.873 6.859 6.851 6.827
99-31.0 6.888 6.884 6.874 6.867 6.852 6.842 6.814
100-0.0 6.886 6.881 6.870 6.862 6.844 6.833 6.802
100-1.0 6.883 6.878 6.865 6.857 6.837 6.825 6.790
100-2.0 6.881 6.875 6.861 6.851 6.829 6.816 6.777
100-3.0 6.878 6.871 6.856 6.846 6.822 6.807 6.765
100-4.0 6.876 6.868 6.852 6.841 6.814 6.799 6.753
100-5.0 6.873 6.865 6.847 6.835 6.807 6.790 6.740
100-6.0 6.871 6.862 6.843 6.830 6.800 6.781 6.728
100-7.0 6.868 6.859 6.839 6.825 6.792 6.773 6.715
100-8.0 6.865 6.856 6.834 6.819 6.785 6.764 6.703
100-9.0 6.863 6.853 6.830 6.814 6.777 6.755 6.691
100-10.0 6.860 6.850 6.825 6.809 6.770 6.747 6.678
100-11.0 6.858 6.847 6.821 6.803 6.762 6.738 6.666
100-12.0 6.855 6.844 6.816 6.798 6.755 6.729 6.654
100-13.0 6.853 6.840 6.812 6.793 6.748 6.721 6.641
100-14.0 6.850 6.837 6.808 6.788 6.740 6.712 6.629
100-15.0 6.848 6.834 6.803 6.782 6.733 6.703 6.617
WAL 28.71 17.71 9.96 7.75 5.12 4.26 2.86
Mod Dur 12.23 9.97 7.00 5.83 4.18 3.57 2.51
FirstPrinPay 12/15/2027 12/15/2016 03/15/2009 02/15/2006 07/15/2003 10/15/2002 09/15/2001
Maturity 12/15/2027 12/15/2016 03/15/2009 01/15/2007 10/15/2004 12/15/2003 11/15/2002
Prin Window 1 1 1 12 16 15 15
</TABLE>
- --------------------------------------------------------------------------------
This document is for informative purposes only. Under no circumstances is it to
be used or considered as an offer to sell, or a solicitation of an offer to buy
any security. Additional information is available upon request. Results based on
hypothetical projections or past performance have created inherent limitations.
There is no certainty that the parameters and assumptions used can be duplicated
with actual trades. This document may not be reproduced in whole or in part or
otherwise made available without our written consent.
MASTER Version 3.54.3
Copyright (C) 1999 NationsBanc Montgomery Securities LLC
<PAGE>
<TABLE>
<CAPTION>
NationsBanc Montgomery Securities LLC
Delta 99-1 to Maturity
Price to Yield Table
- --------------------------------------------------------------------------------
Bond Class: A5F
Settle Date Call % Description First Accrual Date Next Pay Date Actual Delay Issue Balance
<S> <C> <C> <C> <C> <C> <C>
03/30/1999 0.00 SEQ 03/01/1999 04/15/1999 14 25,750,000.00
<CAPTION>
Balance Principal Type Coupon Interest Type Index Type Margin Accrued Interest
<S> <C> <C> <C> <C> <C> <C>
25,750,000.00 Normal 6.8100 Fixed None 0.0000 141,260.21
</TABLE>
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI Scenario VII
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
99-17.0 6.928 6.978 7.018 7.032 7.011 6.986 6.988
99-18.0 6.925 6.975 7.014 7.028 7.004 6.978 6.976
99-19.0 6.923 6.972 7.011 7.023 6.998 6.969 6.963
99-20.0 6.920 6.969 7.007 7.019 6.991 6.961 6.951
99-21.0 6.917 6.966 7.003 7.014 6.985 6.953 6.939
99-22.0 6.915 6.964 7.000 7.010 6.978 6.944 6.926
99-23.0 6.912 6.961 6.996 7.006 6.971 6.936 6.914
99-24.0 6.910 6.958 6.992 7.001 6.965 6.928 6.901
99-25.0 6.907 6.955 6.989 6.997 6.958 6.919 6.889
99-26.0 6.905 6.952 6.985 6.993 6.952 6.911 6.876
99-27.0 6.902 6.950 6.981 6.988 6.945 6.903 6.864
99-28.0 6.900 6.947 6.977 6.984 6.939 6.894 6.852
99-29.0 6.897 6.944 6.974 6.980 6.932 6.886 6.839
99-30.0 6.895 6.941 6.970 6.975 6.925 6.878 6.827
99-31.0 6.892 6.938 6.966 6.971 6.919 6.869 6.814
100-0.0 6.890 6.936 6.963 6.967 6.912 6.861 6.802
100-1.0 6.887 6.933 6.959 6.962 6.906 6.853 6.790
100-2.0 6.885 6.930 6.955 6.958 6.899 6.845 6.777
100-3.0 6.882 6.927 6.952 6.954 6.893 6.836 6.765
100-4.0 6.880 6.924 6.948 6.949 6.886 6.828 6.753
100-5.0 6.877 6.922 6.944 6.945 6.880 6.820 6.740
100-6.0 6.875 6.919 6.941 6.941 6.873 6.811 6.728
100-7.0 6.872 6.916 6.937 6.936 6.867 6.803 6.715
100-8.0 6.870 6.913 6.933 6.932 6.860 6.795 6.703
100-9.0 6.867 6.910 6.930 6.928 6.853 6.787 6.691
100-10.0 6.864 6.908 6.926 6.923 6.847 6.778 6.678
100-11.0 6.862 6.905 6.922 6.919 6.840 6.770 6.666
100-12.0 6.859 6.902 6.919 6.915 6.834 6.762 6.654
100-13.0 6.857 6.899 6.915 6.910 6.827 6.754 6.641
100-14.0 6.854 6.897 6.911 6.906 6.821 6.745 6.629
100-15.0 6.852 6.894 6.908 6.902 6.814 6.737 6.617
WAL 29.38 22.46 13.37 10.46 6.08 4.53 2.86
Mod Dur 12.32 11.12 8.43 7.17 4.74 3.75 2.51
FirstPrinPay 02/15/2028 09/15/2017 06/15/2009 02/15/2006 07/15/2003 10/15/2002 09/15/2001
Maturity 02/15/2029 06/15/2027 11/15/2018 11/15/2014 07/15/2010 11/15/2008 11/15/2002
Prin Window 13 118 114 106 85 74 15
</TABLE>
- --------------------------------------------------------------------------------
This document is for informative purposes only. Under no circumstances is it to
be used or considered as an offer to sell, or a solicitation of an offer to buy
any security. Additional information is available upon request. Results based on
hypothetical projections or past performance have created inherent limitations.
There is no certainty that the parameters and assumptions used can be duplicated
with actual trades. This document may not be reproduced in whole or in part or
otherwise made available without our written consent.
MASTER Version 3.54.3
Copyright (C) 1999 NationsBanc Montgomery Securities LLC
<PAGE>
<TABLE>
<CAPTION>
NationsBanc Montgomery Securities LLC
Delta 99-1 to Call
Price to Yield Table
- --------------------------------------------------------------------------------
Bond Class: A6F
Settle Date Call % Description First Accrual Date Next Pay Date Actual Delay Issue Balance
<S> <C> <C> <C> <C> <C> <C>
03/30/1999 10.00 NAS 03/01/1999 04/15/1999 14 32,000,000.00
<CAPTION>
Balance Principal Type Coupon Interest Type Index Type Margin Accrued Interest
<S> <C> <C> <C> <C> <C> <C>
32,000,000.00 Normal 6.3400 Fixed None 0.0000 163,431.11
</TABLE>
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI Scenario VII
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
99-17.0 6.449 6.461 6.466 6.469 6.477 6.483 6.495
99-18.0 6.446 6.456 6.461 6.463 6.470 6.475 6.485
99-19.0 6.442 6.450 6.455 6.457 6.462 6.467 6.475
99-20.0 6.439 6.445 6.449 6.450 6.455 6.458 6.465
99-21.0 6.435 6.440 6.443 6.444 6.448 6.450 6.455
99-22.0 6.432 6.435 6.437 6.438 6.440 6.442 6.445
99-23.0 6.428 6.430 6.431 6.431 6.433 6.433 6.435
99-24.0 6.425 6.425 6.425 6.425 6.425 6.425 6.425
99-25.0 6.421 6.420 6.419 6.419 6.418 6.417 6.415
99-26.0 6.418 6.415 6.413 6.412 6.410 6.409 6.405
99-27.0 6.414 6.410 6.407 6.406 6.403 6.400 6.395
99-28.0 6.411 6.404 6.401 6.400 6.395 6.392 6.386
99-29.0 6.407 6.399 6.395 6.393 6.388 6.384 6.376
99-30.0 6.404 6.394 6.389 6.387 6.380 6.376 6.366
99-31.0 6.400 6.389 6.383 6.381 6.373 6.367 6.356
100-0.0 6.397 6.384 6.378 6.375 6.365 6.359 6.346
100-1.0 6.393 6.379 6.372 6.368 6.358 6.351 6.336
100-2.0 6.390 6.374 6.366 6.362 6.350 6.343 6.326
100-3.0 6.386 6.369 6.360 6.356 6.343 6.334 6.316
100-4.0 6.383 6.364 6.354 6.349 6.336 6.326 6.306
100-5.0 6.379 6.359 6.348 6.343 6.328 6.318 6.296
100-6.0 6.376 6.354 6.342 6.337 6.321 6.310 6.286
100-7.0 6.372 6.348 6.336 6.331 6.313 6.302 6.276
100-8.0 6.369 6.343 6.330 6.324 6.306 6.293 6.267
100-9.0 6.366 6.338 6.324 6.318 6.298 6.285 6.257
100-10.0 6.362 6.333 6.319 6.312 6.291 6.277 6.247
100-11.0 6.359 6.328 6.313 6.305 6.284 6.269 6.237
100-12.0 6.355 6.323 6.307 6.299 6.276 6.260 6.227
100-13.0 6.352 6.318 6.301 6.293 6.269 6.252 6.217
100-14.0 6.348 6.313 6.295 6.287 6.261 6.244 6.207
100-15.0 6.345 6.308 6.289 6.280 6.254 6.236 6.197
WAL 14.69 8.27 6.75 6.22 5.04 4.47 3.61
Mod Dur 8.93 6.11 5.26 4.94 4.17 3.77 3.13
FirstPrinPay 04/15/2002 04/15/2002 04/15/2002 04/15/2002 05/15/2002 06/15/2002 08/15/2002
Maturity 12/15/2027 12/15/2016 03/15/2009 01/15/2007 10/15/2004 12/15/2003 11/15/2002
Prin Window 309 177 84 58 30 19 4
</TABLE>
- --------------------------------------------------------------------------------
This document is for informative purposes only. Under no circumstances is it to
be used or considered as an offer to sell, or a solicitation of an offer to buy
any security. Additional information is available upon request. Results based on
hypothetical projections or past performance have created inherent limitations.
There is no certainty that the parameters and assumptions used can be duplicated
with actual trades. This document may not be reproduced in whole or in part or
otherwise made available without our written consent.
MASTER Version 3.54.3
Copyright (C) 1999 NationsBanc Montgomery Securities LLC
<PAGE>
<TABLE>
<CAPTION>
NationsBanc Montgomery Securities LLC
Delta 99-1 to Maturity
Price to Yield Table
- --------------------------------------------------------------------------------
Bond Class: A6F
Settle Date Call % Description First Accrual Date Next Pay Date Actual Delay Issue Balance
<S> <C> <C> <C> <C> <C> <C>
03/30/1999 0.00 NAS 03/01/1999 04/15/1999 14 32,000,000.00
<CAPTION>
Balance Principal Type Coupon Interest Type Index Type Margin Accrued Interest
<S> <C> <C> <C> <C> <C> <C>
32,000,000.00 Normal 6.3400 Fixed None 0.0000 163,431.11
</TABLE>
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI Scenario VII
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
99-17.0 6.449 6.461 6.466 6.468 6.471 6.473 6.481
99-18.0 6.446 6.456 6.460 6.462 6.465 6.466 6.473
99-19.0 6.442 6.450 6.454 6.456 6.458 6.459 6.465
99-20.0 6.439 6.445 6.449 6.450 6.451 6.452 6.457
99-21.0 6.435 6.440 6.443 6.443 6.445 6.445 6.449
99-22.0 6.432 6.435 6.437 6.437 6.438 6.439 6.441
99-23.0 6.428 6.430 6.431 6.431 6.432 6.432 6.433
99-24.0 6.425 6.425 6.425 6.425 6.425 6.425 6.425
99-25.0 6.421 6.420 6.419 6.419 6.418 6.418 6.417
99-26.0 6.418 6.415 6.413 6.413 6.412 6.411 6.409
99-27.0 6.414 6.410 6.407 6.406 6.405 6.405 6.401
99-28.0 6.411 6.404 6.401 6.400 6.399 6.398 6.393
99-29.0 6.407 6.399 6.395 6.394 6.392 6.391 6.385
99-30.0 6.404 6.394 6.390 6.388 6.385 6.384 6.377
99-31.0 6.400 6.389 6.384 6.382 6.379 6.377 6.369
100-0.0 6.397 6.384 6.378 6.376 6.372 6.371 6.361
100-1.0 6.393 6.379 6.372 6.370 6.366 6.364 6.353
100-2.0 6.390 6.374 6.366 6.363 6.359 6.357 6.345
100-3.0 6.386 6.369 6.360 6.357 6.353 6.350 6.337
100-4.0 6.383 6.364 6.354 6.351 6.346 6.344 6.330
100-5.0 6.379 6.359 6.349 6.345 6.339 6.337 6.322
100-6.0 6.376 6.354 6.343 6.339 6.333 6.330 6.314
100-7.0 6.372 6.348 6.337 6.333 6.326 6.323 6.306
100-8.0 6.369 6.343 6.331 6.327 6.320 6.317 6.298
100-9.0 6.366 6.338 6.325 6.320 6.313 6.310 6.290
100-10.0 6.362 6.333 6.319 6.314 6.307 6.303 6.282
100-11.0 6.359 6.328 6.313 6.308 6.300 6.296 6.274
100-12.0 6.355 6.323 6.308 6.302 6.293 6.290 6.266
100-13.0 6.352 6.318 6.302 6.296 6.287 6.283 6.258
100-14.0 6.348 6.313 6.296 6.290 6.280 6.276 6.250
100-15.0 6.345 6.308 6.290 6.284 6.274 6.269 6.242
WAL 14.69 8.28 6.82 6.42 5.91 5.70 4.68
Mod Dur 8.93 6.11 5.29 5.05 4.73 4.59 3.91
FirstPrinPay 04/15/2002 04/15/2002 04/15/2002 04/15/2002 05/15/2002 06/15/2002 08/15/2002
Maturity 12/15/2028 03/15/2027 09/15/2018 09/15/2014 04/15/2010 09/15/2008 07/15/2006
Prin Window 321 300 198 150 96 76 48
</TABLE>
- --------------------------------------------------------------------------------
This document is for informative purposes only. Under no circumstances is it to
be used or considered as an offer to sell, or a solicitation of an offer to buy
any security. Additional information is available upon request. Results based on
hypothetical projections or past performance have created inherent limitations.
There is no certainty that the parameters and assumptions used can be duplicated
with actual trades. This document may not be reproduced in whole or in part or
otherwise made available without our written consent.
MASTER Version 3.54.3
Copyright (C) 1999 NationsBanc Montgomery Securities LLC
<PAGE>
<TABLE>
<CAPTION>
NationsBanc Montgomery Securities LLC
Delta 99-1 to Call
Price to Yield Table
- --------------------------------------------------------------------------------
Bond Class: IOF
Settle Date Call % Description First Accrual Date Next Pay Date Actual Delay Issue Balance
<S> <C> <C> <C> <C> <C> <C>
03/30/1999 10.00 IO 03/01/1999 04/15/1999 14 129,700,000.00
<CAPTION>
Balance Principal Type Coupon Interest Type Index Type Margin Accrued Interest
<S> <C> <C> <C> <C> <C> <C>
129,700,000.00 Notional 6.0000 Fixed None 0.0000 626,883.33
</TABLE>
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI Scenario VII
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
8-12.0 9.607 9.607 9.607 9.607 9.607 9.607 9.607
8-12.5 9.422 9.422 9.422 9.422 9.422 9.422 9.422
8-13.0 9.238 9.238 9.238 9.238 9.238 9.238 9.238
8-13.5 9.054 9.054 9.054 9.054 9.054 9.054 9.054
8-14.0 8.871 8.871 8.871 8.871 8.871 8.871 8.871
8-14.5 8.689 8.689 8.689 8.689 8.689 8.689 8.689
8-15.0 8.507 8.507 8.507 8.507 8.507 8.507 8.507
8-15.5 8.326 8.326 8.326 8.326 8.326 8.326 8.326
8-16.0 8.145 8.145 8.145 8.145 8.145 8.145 8.145
8-16.5 7.966 7.966 7.966 7.966 7.966 7.966 7.966
8-17.0 7.786 7.786 7.786 7.786 7.786 7.786 7.786
8-17.5 7.608 7.608 7.608 7.608 7.608 7.608 7.608
8-18.0 7.430 7.430 7.430 7.430 7.430 7.430 7.430
8-18.5 7.253 7.253 7.253 7.253 7.253 7.253 7.253
8-19.0 7.076 7.076 7.076 7.076 7.076 7.076 7.076
8-19.5 6.900 6.900 6.900 6.900 6.900 6.900 6.900
8-20.0 6.725 6.725 6.725 6.725 6.725 6.725 6.725
8-20.5 6.550 6.550 6.550 6.550 6.550 6.550 6.550
8-21.0 6.376 6.376 6.376 6.376 6.376 6.376 6.376
8-21.5 6.202 6.202 6.202 6.202 6.202 6.202 6.202
8-22.0 6.029 6.029 6.029 6.029 6.029 6.029 6.029
8-22.5 5.857 5.857 5.857 5.857 5.857 5.857 5.857
8-23.0 5.685 5.685 5.685 5.685 5.685 5.685 5.685
8-23.5 5.514 5.514 5.514 5.514 5.514 5.514 5.514
8-24.0 5.343 5.343 5.343 5.343 5.343 5.343 5.343
8-24.5 5.173 5.173 5.173 5.173 5.173 5.173 5.173
8-25.0 5.004 5.004 5.004 5.004 5.004 5.004 5.004
8-25.5 4.835 4.835 4.835 4.835 4.835 4.835 4.835
8-26.0 4.667 4.667 4.667 4.667 4.667 4.667 4.667
8-26.5 4.499 4.499 4.499 4.499 4.499 4.499 4.499
8-27.0 4.332 4.332 4.332 4.332 4.332 4.332 4.332
WAL 1.58 1.58 1.58 1.58 1.58 1.58 1.58
Mod Dur 0.98 0.98 0.98 0.98 0.98 0.98 0.98
FirstPrinPay 06/15/1999 06/15/1999 06/15/1999 06/15/1999 06/15/1999 06/15/1999 06/15/1999
Maturity 03/15/2002 03/15/2002 03/15/2002 03/15/2002 03/15/2002 03/15/2002 03/15/2002
Prin Window 34 34 34 34 34 34 34
</TABLE>
- --------------------------------------------------------------------------------
This document is for informative purposes only. Under no circumstances is it to
be used or considered as an offer to sell, or a solicitation of an offer to buy
any security. Additional information is available upon request. Results based on
hypothetical projections or past performance have created inherent limitations.
There is no certainty that the parameters and assumptions used can be duplicated
with actual trades. This document may not be reproduced in whole or in part or
otherwise made available without our written consent.
MASTER Version 3.54.3
Copyright (C) 1999 NationsBanc Montgomery Securities LLC
<PAGE>
<TABLE>
<CAPTION>
NationsBanc Montgomery Securities LLC
Delta 99-1 to Call
Price to Discount Margin Table
- --------------------------------------------------------------------------------
Bond Class: A1A
Settle Date Call % Description First Accrual Date Next Pay Date Actual Delay Issue Balance
<S> <C> <C> <C> <C> <C> <C>
03/30/1999 10.00 Float 03/30/1999 04/15/1999 0 44,000,000.00
<CAPTION>
Balance Principal Type Coupon Interest Type Index Type Margin Accrued Interest
<S> <C> <C> <C> <C> <C> <C>
44,000,000.00 Normal 5.2144 Float LIBOR1M 0.2800 0.00
</TABLE>
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI Scenario VII
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
99-24.5 0.299 0.318 0.347 0.378 0.408 0.437 0.515
99-25.0 0.297 0.316 0.342 0.371 0.399 0.426 0.500
99-25.5 0.296 0.313 0.338 0.365 0.391 0.416 0.484
99-26.0 0.295 0.310 0.333 0.358 0.382 0.405 0.468
99-26.5 0.294 0.308 0.329 0.352 0.374 0.395 0.452
99-27.0 0.292 0.305 0.325 0.345 0.365 0.384 0.437
99-27.5 0.291 0.303 0.320 0.339 0.357 0.374 0.421
99-28.0 0.290 0.300 0.316 0.332 0.348 0.363 0.405
99-28.5 0.289 0.298 0.311 0.326 0.340 0.353 0.390
99-29.0 0.287 0.295 0.307 0.319 0.331 0.343 0.374
99-29.5 0.286 0.293 0.302 0.313 0.323 0.332 0.358
99-30.0 0.285 0.290 0.298 0.306 0.314 0.322 0.343
99-30.5 0.284 0.288 0.293 0.300 0.306 0.311 0.327
99-31.0 0.282 0.285 0.289 0.293 0.297 0.301 0.311
99-31.5 0.281 0.283 0.284 0.287 0.289 0.290 0.296
100-0.0 0.280 0.280 0.280 0.280 0.280 0.280 0.280
100-0.5 0.279 0.277 0.276 0.273 0.271 0.270 0.264
100-1.0 0.278 0.275 0.271 0.267 0.263 0.259 0.249
100-1.5 0.276 0.272 0.267 0.261 0.254 0.249 0.233
100-2.0 0.275 0.270 0.262 0.254 0.246 0.238 0.217
100-2.5 0.274 0.267 0.258 0.248 0.237 0.228 0.202
100-3.0 0.273 0.265 0.253 0.241 0.229 0.218 0.186
100-3.5 0.271 0.262 0.249 0.235 0.220 0.207 0.171
100-4.0 0.270 0.260 0.244 0.228 0.212 0.197 0.155
100-4.5 0.269 0.257 0.240 0.222 0.203 0.186 0.139
100-5.0 0.268 0.255 0.236 0.215 0.195 0.176 0.124
100-5.5 0.266 0.252 0.231 0.209 0.187 0.166 0.108
100-6.0 0.265 0.250 0.227 0.202 0.178 0.155 0.093
100-6.5 0.264 0.247 0.222 0.196 0.170 0.145 0.077
100-7.0 0.263 0.245 0.218 0.189 0.161 0.135 0.061
100-7.5 0.261 0.242 0.213 0.183 0.153 0.124 0.046
WAL 21.62 8.16 4.11 2.69 1.99 1.60 1.04
Mod Dur 12.12 5.93 3.38 2.31 1.77 1.44 0.96
FirstPrinPay 04/15/1999 04/15/1999 04/15/1999 04/15/1999 04/15/1999 04/15/1999 04/15/1999
Maturity 12/15/2027 12/15/2016 03/15/2009 01/15/2007 10/15/2004 12/15/2003 11/15/2002
Prin Window 345 213 120 94 67 57 44
</TABLE>
- --------------------------------------------------------------------------------
This document is for informative purposes only. Under no circumstances is it to
be used or considered as an offer to sell, or a solicitation of an offer to buy
any security. Additional information is available upon request. Results based on
hypothetical projections or past performance have created inherent limitations.
There is no certainty that the parameters and assumptions used can be duplicated
with actual trades. This document may not be reproduced in whole or in part or
otherwise made available without our written consent.
MASTER Version 3.54.3
Copyright (C) 1999 NationsBanc Montgomery Securities LLC
<PAGE>
<TABLE>
<CAPTION>
NationsBanc Montgomery Securities LLC
Delta 99-1 to Maturity
Price to Discount Margin Table
- --------------------------------------------------------------------------------
Bond Class: A1A
Settle Date Call % Description First Accrual Date Next Pay Date Actual Delay Issue Balance
<S> <C> <C> <C> <C> <C> <C>
03/30/1999 0.00 Float 03/30/1999 04/15/1999 0 44,000,000.00
<CAPTION>
Balance Principal Type Coupon Interest Type Index Type Margin Accrued Interest
<S> <C> <C> <C> <C> <C> <C>
44,000,000.00 Normal 5.2144 Float LIBOR1M 0.2800 0.00
</TABLE>
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI Scenario VII
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
99-24.5 0.299 0.325 0.357 0.386 0.418 0.445 0.519
99-25.0 0.298 0.322 0.353 0.379 0.410 0.436 0.504
99-25.5 0.296 0.320 0.349 0.373 0.402 0.426 0.490
99-26.0 0.295 0.317 0.345 0.367 0.394 0.416 0.475
99-26.5 0.294 0.315 0.340 0.361 0.386 0.407 0.461
99-27.0 0.293 0.312 0.336 0.354 0.378 0.397 0.446
99-27.5 0.292 0.310 0.332 0.348 0.370 0.387 0.432
99-28.0 0.290 0.307 0.328 0.342 0.362 0.378 0.417
99-28.5 0.289 0.305 0.323 0.336 0.354 0.368 0.403
99-29.0 0.288 0.302 0.319 0.329 0.346 0.358 0.389
99-29.5 0.287 0.300 0.315 0.323 0.338 0.349 0.374
99-30.0 0.285 0.297 0.311 0.317 0.330 0.339 0.360
99-30.5 0.284 0.295 0.306 0.311 0.322 0.329 0.345
99-31.0 0.283 0.292 0.302 0.304 0.314 0.320 0.331
99-31.5 0.282 0.290 0.298 0.298 0.306 0.310 0.316
100-0.0 0.280 0.287 0.294 0.292 0.298 0.300 0.302
100-0.5 0.279 0.285 0.290 0.286 0.290 0.291 0.288
100-1.0 0.278 0.282 0.285 0.280 0.283 0.281 0.273
100-1.5 0.277 0.280 0.281 0.273 0.275 0.271 0.259
100-2.0 0.275 0.278 0.277 0.267 0.267 0.262 0.244
100-2.5 0.274 0.275 0.273 0.261 0.259 0.252 0.230
100-3.0 0.273 0.273 0.268 0.255 0.251 0.242 0.216
100-3.5 0.272 0.270 0.264 0.249 0.243 0.233 0.201
100-4.0 0.270 0.268 0.260 0.242 0.235 0.223 0.187
100-4.5 0.269 0.265 0.256 0.236 0.227 0.213 0.173
100-5.0 0.268 0.263 0.252 0.230 0.219 0.204 0.158
100-5.5 0.267 0.260 0.247 0.224 0.211 0.194 0.144
100-6.0 0.265 0.258 0.243 0.218 0.203 0.185 0.129
100-6.5 0.264 0.255 0.239 0.211 0.195 0.175 0.115
100-7.0 0.263 0.253 0.235 0.205 0.187 0.165 0.101
100-7.5 0.262 0.250 0.231 0.199 0.180 0.156 0.086
WAL 21.69 8.65 4.46 2.87 2.18 1.76 1.14
Mod Dur 12.14 6.10 3.56 2.42 1.89 1.56 1.04
FirstPrinPay 04/15/1999 04/15/1999 04/15/1999 04/15/1999 04/15/1999 04/15/1999 04/15/1999
Maturity 02/15/2029 06/15/2027 11/15/2018 11/15/2014 07/15/2010 11/15/2008 07/15/2006
Prin Window 359 339 236 188 136 116 88
</TABLE>
- --------------------------------------------------------------------------------
This document is for informative purposes only. Under no circumstances is it to
be used or considered as an offer to sell, or a solicitation of an offer to buy
any security. Additional information is available upon request. Results based on
hypothetical projections or past performance have created inherent limitations.
There is no certainty that the parameters and assumptions used can be duplicated
with actual trades. This document may not be reproduced in whole or in part or
otherwise made available without our written consent.
MASTER Version 3.54.3
Copyright (C) 1999 NationsBanc Montgomery Securities LLC
<PAGE>
<TABLE>
<CAPTION>
NationsBanc Montgomery Securities LLC
Delta 99-1 to Maturity
Price to Yield Table
- --------------------------------------------------------------------------------
Bond Class: A2A
Settle Date Call % Description First Accrual Date Next Pay Date Actual Delay Issue Balance
<S> <C> <C> <C> <C> <C> <C>
03/30/1999 0.00 NAS 03/01/1999 04/15/1999 14 11,000,000.00
<CAPTION>
Balance Principal Type Coupon Interest Type Index Type Margin Accrued Interest
<S> <C> <C> <C> <C> <C> <C>
11,000,000.00 Normal 5.9500 Fixed None 0.0000 52,723.61
</TABLE>
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI Scenario VII
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
99-17.0 6.062 6.120 6.137 6.142 6.145 6.146 6.144
99-18.0 6.057 6.107 6.122 6.126 6.129 6.130 6.128
99-19.0 6.052 6.095 6.108 6.111 6.113 6.114 6.112
99-20.0 6.047 6.082 6.093 6.095 6.097 6.098 6.096
99-21.0 6.042 6.069 6.078 6.080 6.082 6.082 6.081
99-22.0 6.037 6.057 6.063 6.064 6.066 6.066 6.065
99-23.0 6.032 6.044 6.048 6.049 6.050 6.050 6.049
99-24.0 6.027 6.032 6.033 6.033 6.034 6.034 6.033
99-25.0 6.022 6.019 6.018 6.018 6.018 6.018 6.018
99-26.0 6.017 6.006 6.003 6.002 6.002 6.002 6.002
99-27.0 6.012 5.994 5.988 5.987 5.986 5.986 5.986
99-28.0 6.007 5.981 5.973 5.971 5.970 5.970 5.971
99-29.0 6.002 5.969 5.959 5.956 5.954 5.954 5.955
99-30.0 5.998 5.956 5.944 5.941 5.938 5.938 5.939
99-31.0 5.993 5.944 5.929 5.925 5.922 5.922 5.924
100-0.0 5.988 5.931 5.914 5.910 5.906 5.906 5.908
100-1.0 5.983 5.918 5.899 5.894 5.890 5.890 5.892
100-2.0 5.978 5.906 5.884 5.879 5.874 5.874 5.876
100-3.0 5.973 5.893 5.870 5.863 5.858 5.858 5.861
100-4.0 5.968 5.881 5.855 5.848 5.843 5.842 5.845
100-5.0 5.963 5.868 5.840 5.833 5.827 5.826 5.830
100-6.0 5.958 5.856 5.825 5.817 5.811 5.810 5.814
100-7.0 5.953 5.843 5.810 5.802 5.795 5.794 5.798
100-8.0 5.948 5.831 5.795 5.786 5.779 5.778 5.783
100-9.0 5.944 5.818 5.781 5.771 5.763 5.762 5.767
100-10.0 5.939 5.806 5.766 5.756 5.747 5.746 5.751
100-11.0 5.934 5.793 5.751 5.740 5.731 5.730 5.736
100-12.0 5.929 5.781 5.736 5.725 5.716 5.715 5.720
100-13.0 5.924 5.768 5.722 5.709 5.700 5.699 5.705
100-14.0 5.919 5.756 5.707 5.694 5.684 5.683 5.689
100-15.0 5.914 5.743 5.692 5.679 5.668 5.667 5.673
WAL 8.56 2.78 2.31 2.22 2.15 2.14 2.18
Mod Dur 6.32 2.48 2.10 2.01 1.95 1.95 1.98
FirstPrinPay 11/15/2000 11/15/2000 11/15/2000 11/15/2000 11/15/2000 11/15/2000 11/15/2000
Maturity 10/15/2012 05/15/2003 05/15/2002 03/15/2002 01/15/2002 01/15/2002 08/15/2002
Prin Window 144 31 19 17 15 15 22
</TABLE>
- --------------------------------------------------------------------------------
This document is for informative purposes only. Under no circumstances is it to
be used or considered as an offer to sell, or a solicitation of an offer to buy
any security. Additional information is available upon request. Results based on
hypothetical projections or past performance have created inherent limitations.
There is no certainty that the parameters and assumptions used can be duplicated
with actual trades. This document may not be reproduced in whole or in part or
otherwise made available without our written consent.
MASTER Version 3.54.3
Copyright (C) 1999 NationsBanc Montgomery Securities LLC
<PAGE>
<TABLE>
<CAPTION>
NationsBanc Montgomery Securities LLC
Delta 99-1 to Call
Price to Yield Table
- --------------------------------------------------------------------------------
Bond Class: B
Settle Date Call % Description First Accrual Date Next Pay Date Actual Delay Issue Balance
<S> <C> <C> <C> <C> <C> <C>
03/30/1999 10.00 Sub 03/01/1999 04/15/1999 14 11,250,000.00
<CAPTION>
Balance Principal Type Coupon Interest Type Index Type Margin Accrued Interest
<S> <C> <C> <C> <C> <C> <C>
11,250,000.00 Normal 6.8000 Fixed None 0.0000 61,625.00
</TABLE>
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI Scenario VII
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
85-30.5 8.208 8.900 10.000 10.665 11.565 11.907 12.228
86-2.5 8.195 8.880 9.969 10.627 11.519 11.858 12.175
86-6.5 8.182 8.860 9.938 10.589 11.472 11.808 12.122
86-10.5 8.168 8.839 9.907 10.552 11.426 11.758 12.069
86-14.5 8.155 8.819 9.876 10.514 11.380 11.708 12.016
86-18.5 8.142 8.799 9.845 10.477 11.333 11.659 11.964
86-22.5 8.128 8.779 9.815 10.439 11.287 11.609 11.911
86-26.5 8.115 8.760 9.784 10.402 11.241 11.560 11.859
86-30.5 8.102 8.740 9.753 10.365 11.195 11.511 11.806
87-2.5 8.089 8.720 9.723 10.328 11.149 11.462 11.754
87-6.5 8.076 8.700 9.692 10.291 11.104 11.412 11.702
87-10.5 8.063 8.680 9.662 10.254 11.058 11.363 11.650
87-14.5 8.050 8.661 9.631 10.217 11.012 11.315 11.598
87-18.5 8.037 8.641 9.601 10.180 10.967 11.266 11.546
87-22.5 8.024 8.621 9.570 10.143 10.921 11.217 11.494
87-26.5 8.011 8.602 9.540 10.106 10.876 11.168 11.442
87-30.5 7.998 8.582 9.510 10.070 10.831 11.120 11.391
88-2.5 7.985 8.562 9.480 10.033 10.785 11.071 11.339
88-6.5 7.972 8.543 9.450 9.997 10.740 11.023 11.288
88-10.5 7.959 8.524 9.420 9.960 10.695 10.975 11.236
88-14.5 7.946 8.504 9.390 9.924 10.650 10.926 11.185
88-18.5 7.933 8.485 9.360 9.888 10.605 10.878 11.134
88-22.5 7.921 8.465 9.330 9.851 10.561 10.830 11.083
88-26.5 7.908 8.446 9.300 9.815 10.516 10.782 11.032
88-30.5 7.895 8.427 9.270 9.779 10.471 10.734 10.981
89-2.5 7.883 8.408 9.241 9.743 10.427 10.686 10.930
89-6.5 7.870 8.389 9.211 9.707 10.382 10.639 10.879
89-10.5 7.857 8.369 9.181 9.671 10.338 10.591 10.829
89-14.5 7.845 8.350 9.152 9.635 10.293 10.544 10.778
89-18.5 7.832 8.331 9.122 9.600 10.249 10.496 10.728
89-22.5 7.820 8.312 9.093 9.564 10.205 10.449 10.677
WAL 26.03 11.67 6.33 4.97 3.82 3.51 3.26
Mod Dur 10.92 7.22 4.68 3.86 3.12 2.91 2.74
FirstPrinPay 09/15/2020 06/15/2005 07/15/2002 04/15/2002 04/15/2002 04/15/2002 04/15/2002
Maturity 12/15/2027 12/15/2016 03/15/2009 01/15/2007 10/15/2004 12/15/2003 11/15/2002
Prin Window 88 139 81 58 31 21 8
</TABLE>
- --------------------------------------------------------------------------------
This document is for informative purposes only. Under no circumstances is it to
be used or considered as an offer to sell, or a solicitation of an offer to buy
any security. Additional information is available upon request. Results based on
hypothetical projections or past performance have created inherent limitations.
There is no certainty that the parameters and assumptions used can be duplicated
with actual trades. This document may not be reproduced in whole or in part or
otherwise made available without our written consent.
MASTER Version 3.54.3
Copyright (C) 1999 NationsBanc Montgomery Securities LLC
<PAGE>
<TABLE>
<CAPTION>
NationsBanc Montgomery Securities LLC
Delta 99-1
Price to Yield Table
- --------------------------------------------------------------------------------
Bond Class: B
Settle Date Call % Description First Accrual Date Next Pay Date Actual Delay Issue Balance
<S> <C> <C> <C> <C> <C> <C>
03/30/1999 0.00 Sub 03/01/1999 04/15/1999 14 11,250,000.00
<CAPTION>
Balance Principal Type Coupon Interest Type Index Type Margin Accrued Interest
<S> <C> <C> <C> <C> <C> <C>
11,250,000.00 Normal 6.8000 Fixed None 0.0000 61,625.00
</TABLE>
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI Scenario VII
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
86.81250 8.12 8.76 9.78 10.40 11.24 11.55 11.85
86.87500 8.11 8.75 9.77 10.38 11.21 11.53 11.83
86.93750 8.10 8.74 9.75 10.36 11.19 11.50 11.80
87.00000 8.10 8.73 9.74 10.34 11.17 11.48 11.78
87.06250 8.09 8.72 9.72 10.33 11.15 11.45 11.75
87.12500 8.08 8.71 9.71 10.31 11.12 11.43 11.72
87.18750 8.08 8.70 9.69 10.29 11.10 11.41 11.70
87.25000 8.07 8.69 9.68 10.27 11.08 11.38 11.67
87.31250 8.06 8.68 9.66 10.25 11.05 11.36 11.65
87.37500 8.06 8.67 9.64 10.23 11.03 11.33 11.62
87.43750 8.05 8.66 9.63 10.21 11.01 11.31 11.59
87.50000 8.04 8.65 9.61 10.20 10.99 11.28 11.57
87.56250 8.04 8.64 9.60 10.18 10.96 11.26 11.54
87.62500 8.03 8.63 9.58 10.16 10.94 11.23 11.52
87.68750 8.03 8.62 9.57 10.14 10.92 11.21 11.49
87.75000 8.02 8.61 9.55 10.12 10.90 11.19 11.47
87.81250 8.01 8.60 9.54 10.10 10.87 11.16 11.44
87.87500 8.01 8.59 9.52 10.09 10.85 11.14 11.41
87.93750 8.00 8.58 9.51 10.07 10.83 11.11 11.39
88.00000 7.99 8.57 9.49 10.05 10.80 11.09 11.36
88.06250 7.99 8.56 9.48 10.03 10.78 11.07 11.34
88.12500 7.98 8.55 9.46 10.01 10.76 11.04 11.31
88.18750 7.97 8.54 9.45 9.99 10.74 11.02 11.28
88.25000 7.97 8.53 9.43 9.98 10.71 10.99 11.26
88.31250 7.96 8.52 9.42 9.96 10.69 10.97 11.23
88.37500 7.95 8.51 9.40 9.94 10.67 10.94 11.21
88.43750 7.95 8.50 9.39 9.92 10.65 10.92 11.18
88.50000 7.94 8.49 9.37 9.90 10.62 10.90 11.16
88.56250 7.93 8.49 9.36 9.89 10.60 10.87 11.13
88.62500 7.93 8.48 9.34 9.87 10.58 10.85 11.11
88.68750 7.92 8.47 9.33 9.85 10.56 10.82 11.08
WAL 26.04 11.71 6.35 4.98 3.83 3.52 3.27
Mod Dur 10.91 7.23 4.68 3.86 3.13 2.92 2.74
FirstPrinPay 09/15/2020 06/15/2005 07/15/2002 04/15/2002 04/15/2002 04/15/2002 04/15/2002
Maturity 03/15/2028 03/15/2018 01/15/2010 08/15/2007 03/15/2005 05/15/2004 02/15/2003
Prin Window 91 154 91 65 36 26 11
</TABLE>
- --------------------------------------------------------------------------------
This document is for informative purposes only. Under no circumstances is it to
be used or considered as an offer to sell, or a solicitation of an offer to buy
any security. Additional information is available upon request. Results based on
hypothetical projections or past performance have created inherent limitations.
There is no certainty that the parameters and assumptions used can be duplicated
with actual trades. This document may not be reproduced in whole or in part or
otherwise made available without our written consent.
MASTER Version 3.54.3
Copyright (C) 1999 NationsBanc Montgomery Securities LLC
<PAGE>
<TABLE>
<CAPTION>
NationsBanc Montgomery Securities LLC
Delta 99-1
Price to Yield Table
- --------------------------------------------------------------------------------
Bond Class: IOF
Settle Date Call % Description First Accrual Date Next Pay Date Actual Delay Issue Balance
<S> <C> <C> <C> <C> <C> <C>
03/30/1999 10.00 IO 03/01/1999 04/15/1999 14 118,800,000.00
<CAPTION>
Balance Principal Type Coupon Interest Type Index Type Margin Accrued Interest
<S> <C> <C> <C> <C> <C> <C>
118,800,000.00 Notional 6.0000 Fixed None 0.0000 574,200.00
</TABLE>
<TABLE>
<CAPTION>
PP=0.0 PP=10.0 PP=20.0 PP=30.0 PP=40.0 PP=50.0 PP=55.0 PP=60.0 PP=65.0
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
8.98735 7.00 7.00 7.00 7.00 7.00 7.00 6.27 2.02 -3.67
WAL 1.65 1.65 1.65 1.65 1.65 1.65 1.64 1.57 1.49
Mod Dur 0.98 0.98 0.98 0.98 0.98 0.98 0.97 0.95 0.92
Maturity 03/15/2002 03/15/2002 03/15/2002 03/15/2002 03/15/2002 03/15/2002 02/15/2002 09/15/2001 06/15/2001
</TABLE>
- --------------------------------------------------------------------------------
MASTER Version 3.54.3
Copyright (C) 1999 NationsBanc Montgomery Securities LLC
<PAGE>
<TABLE>
<CAPTION>
NationsBanc Montgomery Securities LLC
Delta 99-1
Price to Yield Table
- --------------------------------------------------------------------------------
Bond Class: IOF
Settle Date Call % Description First Accrual Date Next Pay Date Actual Delay Issue Balance
<S> <C> <C> <C> <C> <C> <C>
03/30/1999 0.00 IO 03/01/1999 04/15/1999 14 118,800,000.00
<CAPTION>
Balance Principal Type Coupon Interest Type Index Type Margin Accrued Interest
<S> <C> <C> <C> <C> <C> <C>
118,800,000.00 Notional 6.0000 Fixed None 0.0000 574,200.00
</TABLE>
<TABLE>
<CAPTION>
PP=0.0 PP=10.0 PP=20.0 PP=30.0 PP=40.0 PP=50.0 PP=55.0 PP=60.0 PP=65.0
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
8.98735 7.00 7.00 7.00 7.00 7.00 7.00 7.00 7.00 5.02
WAL 1.65 1.65 1.65 1.65 1.65 1.65 1.65 1.65 1.62
Mod Dur 0.98 0.98 0.98 0.98 0.98 0.98 0.98 0.98 0.97
Maturity 03/15/2002 03/15/2002 03/15/2002 03/15/2002 03/15/2002 03/15/2002 03/15/2002 03/15/2002 03/15/2002
</TABLE>
- --------------------------------------------------------------------------------
This document is for informative purposes only. Under no circumstances is it to
be used or considered as an offer to sell, or a solicitation of an offer to buy
any security. Additional information is available upon request. Results based on
hypothetical projections or past performance have created inherent limitations.
There is no certainty that the parameters and assumptions used can be duplicated
with actual trades. This document may not be reproduced in whole or in part or
otherwise made available without our written consent.
MASTER Version 3.54.3
Copyright (C) 1999 NationsBanc Montgomery Securities LLC
<PAGE>
<TABLE>
<CAPTION>
NationsBanc Montgomery Securities LLC
Delta 99-1
Price to Yield Table
- --------------------------------------------------------------------------------
Bond Class: IOF
Settle Date Call % Description First Accrual Date Next Pay Date Actual Delay Issue Balance
<S> <C> <C> <C> <C> <C> <C>
03/30/1999 0.00 IO 03/01/1999 04/15/1999 14 118,800,000.00
<CAPTION>
Balance Principal Type Coupon Interest Type Index Type Margin Accrued Interest
<S> <C> <C> <C> <C> <C> <C>
118,800,000.00 Notional 6.0000 Fixed None 0.0000 574,200.00
</TABLE>
<TABLE>
<CAPTION>
PP=0.0 PP=10.0 PP=20.0 PP=30.0 PP=40.0 PP=50.0 PP=55.0 PP=60.0 PP=65.0
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
8.98735 7.00 7.00 7.00 7.00 7.00 7.00 7.00 7.00 5.02
WAL 1.65 1.65 1.65 1.65 1.65 1.65 1.65 1.65 1.62
Mod Dur 0.98 0.98 0.98 0.98 0.98 0.98 0.98 0.98 0.97
Maturity 03/15/2002 03/15/2002 03/15/2002 03/15/2002 03/15/2002 03/15/2002 03/15/2002 03/15/2002 03/15/2002
</TABLE>
- --------------------------------------------------------------------------------
This document is for informative purposes only. Under no circumstances is it to
be used or considered as an offer to sell, or a solicitation of an offer to buy
any security. Additional information is available upon request. Results based on
hypothetical projections or past performance have created inherent limitations.
There is no certainty that the parameters and assumptions used can be duplicated
with actual trades. This document may not be reproduced in whole or in part or
otherwise made available without our written consent.
MASTER Version 3.54.3
Copyright (C) 1999 NationsBanc Montgomery Securities LLC
<PAGE>
<TABLE>
<CAPTION>
NationsBanc Montgomery Securities LLC
Delta 99-1 to Maturity
Price to Yield Table
- --------------------------------------------------------------------------------
Bond Class: IOF
Settle Date Call % Description First Accrual Date Next Pay Date Actual Delay Issue Balance
<S> <C> <C> <C> <C> <C> <C>
03/30/1999 10.00 IO 03/01/1999 04/15/1999 14 129,700,000.00
<CAPTION>
Balance Principal Type Coupon Interest Type Index Type Margin Accrued Interest
<S> <C> <C> <C> <C> <C> <C>
129,700,000.00 Notional 6.0000 Fixed None 0.0000 626,883.33
</TABLE>
<TABLE>
<CAPTION>
PP=0.0 PP=10.0 PP=20.0 PP=30.0 PP=40.0 PP=50.0 PP=54.0 PP=55.0 PP=60.0
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
8-19.5 6.900 6.900 6.900 6.900 6.900 6.900 6.900 6.090 1.350
WAL 1.58 1.58 1.58 1.58 1.58 1.58 1.58 1.57 1.49
Mod Dur 0.98 0.98 0.98 0.98 0.98 0.98 0.98 0.97 0.94
Maturity 03/15/2002 03/15/2002 03/15/2002 03/15/2002 03/15/2002 03/15/2002 03/15/2002 02/15/2002 09/15/2001
</TABLE>
This document is for informative purposes only. Under no circumstances is it to
be used or considered as an offer to sell, or a solicitation of an offer to buy
any security. Additional information is available upon request. Results based on
hypothetical projections or past performance have created inherent limitations.
There is no certainty that the parameters and assumptions used can be duplicated
with actual trades. This document may not be reproduced in whole or in part or
otherwise made available without our written consent.
MASTER Version 3.54.3
Copyright (C) 1999 NationsBanc Montgomery Securities LLC
<PAGE>
<TABLE>
<CAPTION>
NationsBanc Montgomery Securities LLC
Delta 99-1 to Maturity
Price to Yield Table
- --------------------------------------------------------------------------------
Bond Class: IOF
Settle Date Call % Description First Accrual Date Next Pay Date Actual Delay Issue Balance
<S> <C> <C> <C> <C> <C> <C>
03/30/1999 0.00 IO 03/01/1999 04/15/1999 14 129,700,000.00
<CAPTION>
Balance Principal Type Coupon Interest Type Index Type Margin Accrued Interest
<S> <C> <C> <C> <C> <C> <C>
129,700,000.00 Notional 6.0000 Fixed None 0.0000 626,883.33
</TABLE>
<TABLE>
<CAPTION>
PP=0.0 PP=10.0 PP=20.0 PP=30.0 PP=40.0 PP=50.0 PP=55.0 PP=60.0 PP=65.0
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
8-19.5 6.900 6.900 6.900 6.900 6.900 6.900 6.900 6.854 3.871
WAL 1.58 1.58 1.58 1.58 1.58 1.58 1.58 1.58 1.53
Mod Dur 0.98 0.98 0.98 0.98 0.98 0.98 0.98 0.98 0.97
Maturity 03/15/2002 03/15/2002 03/15/2002 03/15/2002 03/15/2002 03/15/2002 03/15/2002 03/15/2002 03/15/2002
</TABLE>
- --------------------------------------------------------------------------------
This document is for informative purposes only. Under no circumstances is it to
be used or considered as an offer to sell, or a solicitation of an offer to buy
any security. Additional information is available upon request. Results based on
hypothetical projections or past performance have created inherent limitations.
There is no certainty that the parameters and assumptions used can be duplicated
with actual trades. This document may not be reproduced in whole or in part or
otherwise made available without our written consent.
MASTER Version 3.54.3
Copyright (C) 1999 NationsBanc Montgomery Securities LLC
<PAGE>
<TABLE>
<CAPTION>
NationsBanc Montgomery Securities LLC
Delta 99-1
Price to Yield Table
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Bond Class: B
Settle Date Call % Description First Accrual Date Next Pay Date Actual Delay Issue Balance
<S> <C> <C> <C> <C> <C> <C>
03/30/1999 0.00 Sub 03/01/1999 04/15/1999 14 11,250,000.00
<CAPTION>
Balance Principal Type Coupon Interest Type Index Type Margin Accrued Interest
<S> <C> <C> <C> <C> <C> <C>
11,250,000.00 Normal 6.8000 Fixed None 0.0000 61,625.00
</TABLE>
<TABLE>
<CAPTION>
Scenario I Scenario II Scenario III Scenario IV Scenario V Scenario VI Scenario VII
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<S> <C> <C> <C> <C> <C> <C> <C>
86.81250 8.12 8.76 9.78 10.40 11.24 11.55 11.85
86.87500 8.11 8.75 9.77 10.38 11.21 11.53 11.83
86.93750 8.10 8.74 9.75 10.36 11.19 11.50 11.80
87.00000 8.10 8.73 9.74 10.34 11.17 11.48 11.78
87.06250 8.09 8.72 9.72 10.33 11.15 11.45 11.75
87.12500 8.08 8.71 9.71 10.31 11.12 11.43 11.72
87.18750 8.08 8.70 9.69 10.29 11.10 11.41 11.70
87.25000 8.07 8.69 9.68 10.27 11.08 11.38 11.67
87.31250 8.06 8.68 9.66 10.25 11.05 11.36 11.65
87.37500 8.06 8.67 9.64 10.23 11.03 11.33 11.62
87.43750 8.05 8.66 9.63 10.21 11.01 11.31 11.59
87.50000 8.04 8.65 9.61 10.20 10.99 11.28 11.57
87.56250 8.04 8.64 9.60 10.18 10.96 11.26 11.54
87.62500 8.03 8.63 9.58 10.16 10.94 11.23 11.52
87.68750 8.03 8.62 9.57 10.14 10.92 11.21 11.49
87.75000 8.02 8.61 9.55 10.12 10.90 11.19 11.47
87.81250 8.01 8.60 9.54 10.10 10.87 11.16 11.44
87.87500 8.01 8.59 9.52 10.09 10.85 11.14 11.41
87.93750 8.00 8.58 9.51 10.07 10.83 11.11 11.39
88.00000 7.99 8.57 9.49 10.05 10.80 11.09 11.36
88.06250 7.99 8.56 9.48 10.03 10.78 11.07 11.34
88.12500 7.98 8.55 9.46 10.01 10.76 11.04 11.31
88.18750 7.97 8.54 9.45 9.99 10.74 11.02 11.28
88.25000 7.97 8.53 9.43 9.98 10.71 10.99 11.26
88.31250 7.96 8.52 9.42 9.96 10.69 10.97 11.23
88.37500 7.95 8.51 9.40 9.94 10.67 10.94 11.21
88.43750 7.95 8.50 9.39 9.92 10.65 10.92 11.18
88.50000 7.94 8.49 9.37 9.90 10.62 10.90 11.16
88.56250 7.93 8.49 9.36 9.89 10.60 10.87 11.13
88.62500 7.93 8.48 9.34 9.87 10.58 10.85 11.11
88.68750 7.92 8.47 9.33 9.85 10.56 10.82 11.08
WAL 26.04 11.71 6.35 4.98 3.83 3.52 3.27
Mod Dur 10.91 7.23 4.68 3.86 3.13 2.92 2.74
FirstPrinPay 09/15/2020 06/15/2005 07/15/2002 04/15/2002 04/15/2002 04/15/2002 04/15/2002
Maturity 03/15/2028 03/15/2018 01/15/2010 08/15/2007 03/15/2005 05/15/2004 02/15/2003
Prin Window 91 154 91 65 36 26 11
</TABLE>
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This document is for informative purposes only. Under no circumstances is it to
be used or considered as an offer to sell, or a solicitation of an offer to buy
any security. Additional information is available upon request. Results based on
hypothetical projections or past performance have created inherent limitations.
There is no certainty that the parameters and assumptions used can be duplicated
with actual trades. This document may not be reproduced in whole or in part or
otherwise made available without our written consent.
MASTER Version 3.54.3
Copyright (C) 1999 NationsBanc Montgomery Securities LLC
