<PAGE>
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
---------------
FORM 8-K
CURRENT REPORT
PURSUANT TO SECTION 13 OR 15 (d)
OF THE SECURITIES EXCHANGE ACT OF 1934
Date of Report (date of earliest event reported) November 22, 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.
This Current Report on Form 8-K is being filed to file a copy of the
Computational Materials (as defined below) prepared and distributed by Banc of
America Securities LLC., as an underwriter, in connection with the issuance by
Delta Funding Home Equity Loan Trust 1999-3 of Home Equity Loan Asset-Backed
Certificates, Series 1999-3. 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. Some or all of the Computational Materials
were also distributed by Banc of America Securities LLC, Credit Suisse First
Boston Corporation and Greenwich Capital Markets, Inc., as the other
underwriters; the legends which such underwriters placed on the Computational
Materials are attached hereto as Exhibits 99.3, 99.4 and 99.5, respectively.
Item 7. Financial Statements, Pro Forma Financial Information and Exhibits.
(a) Not applicable.
(b) Not applicable.
(c) Exhibits:
8.1 Opinion of Stroock & Stroock & Lavan LLP regarding certain tax
matters.
23.2 Consent of Stroock & Stroock & Lavan LLP (included in Exhibit
8.1).
99.1 Computational Materials.
99.2 Legend of Banc of America Securities LLC for Computational
Materials.
99.3 Legend of Credit Suisse First Boston Corporation for Computational
Materials.
99.4 Legend of Greenwich Capital Markets, Inc. for Computational
Materials.
99.5 Legend of Lehman Brothers Inc. for Computational Materials.
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934,
the registrant has duly caused this report to be signed on its behalf by the
undersigned thereunto duly authorized.
DELTA FUNDING CORPORATION
By: /s/ Dawn Ceccarini
-------------------------------
Name: Dawn Ceccarini
Title: Assistant Vice President
Dated: November 22, 1999
<PAGE>
EXHIBIT INDEX
<TABLE>
<CAPTION>
Exhibit Page
------- ----
<S> <C> <C>
8.1 Opinion of Stroock & Stroock & Lavan LLP regarding certain tax matters.
23.2 Consent of Stroock & Stroock & Lavan LLP
99.1 Computational Materials.
99.2 Legend of Banc of America Securities LLC for Computational Materials.
99.3 Legend of Credit Suisse First Boston Corporation for Computational
99.4 Legend of Greenwich Capital Markets, Inc. for Computational Materials.
99.5 Legend of Lehman Brothers Inc for Computational Materials.
</TABLE>
<PAGE>
EXHIBIT 8.1
STROOCK & STROOCK & LAVAN LLP
180 Maiden Lane
New York, NY 10038-4982
November 22, 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 $700,000,000 aggregate principal amount of Home Equity Loan
Asset-Backed Certificates, Series 1999-3 (the "Certificates"). A Registration
Statement on Form S-3 relating to the Certificates (No. 333-51545) (the
"Registration Statement") has been filed with the Securities and Exchange
Commission under the Securities Act of 1933, as amended (the "Securities Act"),
and was declared effective on June 8, 1998. As set forth in the Prospectus dated
November 22, 1999 (the "Prospectus") and the Prospectus Supplement dated
November 22, 1999 (the "Prospectus Supplement"), the Certificates will be issued
by a trust established by Delta pursuant to the provisions of a Pooling and
Servicing Agreement dated as of October 31, 1999 (the "Pooling and Servicing
Agreement"), between Delta, as seller and servicer, The First National Bank of
Chicago, as trustee and Norwest Bank Minnesota, National Association, as
securities administrator.
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. 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
<PAGE>
genuineness of all signatures, the authenticity of all documents submitted to us
as originals and the conformity to original documents of copies of documents
submitted to us.
On the basis of the foregoing, we are of the opinion that the information in the
Prospectus Supplement under the caption "Federal Income Tax Considerations," and
in the Prospectus under the caption "Federal Income Tax Considerations," to the
extent that it constitutes matters of law or legal conclusions, is correct in
all material respects.
This opinion is based on current provisions of the Internal Revenue Code of
1986, as amended, the Treasury regulations promulgated thereunder, and judicial
and administrative interpretations thereof.
Except as provided below, this opinion is solely for the benefit of the
addressee hereof and may not be relied upon in any manner by any other person or
entity.
We hereby consent to the filing of this opinion as an exhibit to the
Registration Statement, to the references to us in the Prospectus Supplement,
and to the filing of this opinion as an exhibit to an application made by or on
behalf of Delta or any dealer in connection with the registration of the
Certificates under the securities or blue sky laws of any state or jurisdiction.
In giving such permission, we do not admit hereby that we come within the
category of persons whose consent is required under Section 7 of the Securities
Act or the General Rules and Regulations of the Securities and Exchange
Commission thereunder.
Very truly yours,
/s/ Stroock & Stroock & Lavan LLP
STROOCK & STROOCK & LAVAN LLP
<PAGE>
Banc of America Securities LLC
Banc of America (Registered) [LOGO] (Service Mark)
- --------------------------------------------------------------------------------
RMBS New Issue Term Sheet
$700,000,000 (approximately)
Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset-Backed Certificates, Series 1999-3
Classes A-1F, A-2F, A-1A, IOF, M-1, M-2, and B
Delta Funding Corporation
(Seller and Servicer)
November 8, 1999
- --------------------------------------------------------------------------------
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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>
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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>
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Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset Backed Certificates, Series 1999-3
- --------------------------------------------------------------------------------
Offered Certificates:
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
Est. Final
Est. Prin. Scheduled Expected Ratings
Approx. WAL Window Distribution ------------------------------------------
Class Size Group Type (yrs) (mos) Date S&P Moody's Duff & Phelps
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-1F 418,160,000(1) F Fxd- PT 3.31 1-215 10/15/2029 AAA Aaa AAA
A-2F 32,790,000(1) F Fxd- PT 3.31 1-215 10/15/2029 AAA Aaa AAA
A-1A 150,000,000(1) A FLT - PT 2.73 1-215 10/15/2029 AAA Aaa AAA
M-1 44,450,000 F Fxd - Mez 5.96 38-171 11/15/2029 AA AA
M-2 24,850,000 F Fxd - Mez 5.86 37-150 11/15/2029 A A
B 29,750,000 F Fxd - Sub 5.53 37-131 11/15/2029 BBB- BBB-
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
Est. Final
Est. Prin. Scheduled Expected Ratings
Approx. WAL Window Distribution ------------------------------------------
Class Size Group Type (yrs) (mos) Date S&P Moody's Duff & Phelps
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-1F 418,160,000(1) F Fxd- PT 3.04 1-99 10/15/2029 AAA Aaa AAA
A-2F 32,790,000(1) F Fxd- PT 3.04 1-99 10/15/2029 AAA Aaa AAA
A-1A 150,000,000(1) A FLT - PT 2.60 1-99 10/15/2029 AAA Aaa AAA
M-1 44,450,000 F Fxd - Mez 5.44 38-99 11/15/2029 AA AA
M-2 24,850,000 F Fxd - Mez 5.43 37-99 11/15/2029 A A
B 29,750,000 F Fxd - Sub 5.37 37-99 11/15/2029 BBB- BBB-
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) Priced to call. If the Optional Clean-Up Call is not exercised, the Class
A-1F and Class A-2F Pass-Through Rates increase by 50 bp per annum and the
Class A-1A margin will double.
All Offered Certificates will be subject to either the related Group A Net WAC
Cap or the Group F Net WAC Cap. The Subordinate Certificates are priced with a
fixed 7.60% Pass-Through Rate.
Pricing Speed:
- --------------------------------------------------------------------------------
Fixed-rate 115% PPC
Mortgage Loans
100% PPC assumes that prepayments start at 4% CPR in month
one, increase by approximately 1.4545% each month to 20% CPR
in month twelve, and remain at 20% CPR thereafter.
Adjustable-rate 30% CPR
Mortgage Loans
- --------------------------------------------------------------------------------
Banc of America Securities LLC will solely offer the interest-only Class IOF
Certificate which accrue interest at a Pass-Through Rate of 6.00% per annum on
its notional amount, initially $200,200,000 (approximately). See "Class IOF
Notional Amount Schedule" for more detail.
Contact: Banc of America Securities LLC
Mortgage Trading/Syndicate (704) 386-7744 (704) 335-5904 (Fax)
Chris Hentemann (email: [email protected])
Alex Cha (email: [email protected])
Mortgage Finance
Shahid Quraishi (704) 388-9399
Michael Schoffelen (704) 386-0932
Michael Tri (704) 388-8786
Peter Faigl (704) 388-8245
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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.
3
<PAGE>
- --------------------------------------------------------------------------------
Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset Backed Certificates, Series 1999-3
- --------------------------------------------------------------------------------
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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.
4
<PAGE>
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Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset Backed Certificates, Series 1999-3
- --------------------------------------------------------------------------------
SUMMARY OF TERMS
Issuer: Delta Funding Home Equity Loan Trust
1999-3
Seller and Servicer: Delta Funding Corporation
Successor Servicer: Norwest Bank Minnesota, N.A. (and will
have the ability to appoint a Successor
Servicer other than itself)
Trustee and Custodian: Banc One, NA
Class A Certificate Insurer: MBIA Insurance Corporation
Securities Administrator: Norwest Bank Minnesota, N.A.
Rating Agencies: S&P, Duff & Phelps, Moody's (Moody's will
be rating the Class A Certificates only)
Underwriters: Banc of America Securities LLC (lead
manager)
Greenwich Capital Markets, Inc.
Lehman Brothers Inc.
Credit Suisse First Boston Corporation
Expected Settlement Date: November 30, 1999 through DTC, Euroclear
and Cedelbank
Distribution Date: 15th of each month, or the next
succeeding Business Day (First
Distribution Date: December 15, 1999)
Record Date: The last Business Day in the month
preceding the applicable Distribution
Date, or the Business Day immediately
preceding the applicable Distribution
Date in the case of the Class A-1A
Certificates
Statistic Calculation Date: The close of business September 30, 1999
Cut-Off Date: The close of business October 31, 1999,
or the origination date of a Mortgage
Loan if that date is later than October
31
Delay Days: 14 days for the Group F Certificates and
0 days in the case of the Class A-1A
Certificates
Day Count: 30/360 for the Group F Certificates and
Actual/360 in the case of the Class A-1A
Certificates
Servicing Fee: 0.50% of the Aggregate Principal Balance
of the Mortgage Loans
Optional Clean-Up Call: Any Distribution Date on or after which
the Aggregate Principal Balance of the
Mortgage Loans declines to 10% or less of
the Aggregate Principal Balance as of the
Cut-Off Date plus the Prefunding Amount
("Cut-Off Date Pool Principal Balance")
Denomination: $25,000 and multiples of $1,000 in excess
thereof
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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.
5
<PAGE>
- --------------------------------------------------------------------------------
Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset Backed Certificates, Series 1999-3
- --------------------------------------------------------------------------------
SUMMARY OF TERMS - continued
SMMEA Eligibility: The Offered Certificates will not be
SMMEA eligible
ERISA Eligibility: The Senior Certificates may be ERISA
eligible
Tax Status: The Offered Certificates will be
designated as regular interests in a
REMIC and, as such, will be treated as
debt instruments of a REMIC for federal
income tax purposes.
Initial Mortgage Loan Pool: o The collateral information presented
in the term sheet regarding the
Mortgage Pool is based on the Initial
Mortgage Loans as of the Statistic
Calculation Date
o Consists of fixed and adjustable rate
closed-end mortgage loans, which
accrue interest on an actuarial basis
and are secured by 1st and 2nd lien,
level pay and balloon mortgages on
primarily 1-4 family properties
o The Mortgage Loan Pool will be divided
into three Loan Groups:
- Loan Group F1: Consists of all
agency conforming Mortgage Loans
which accrue interest at a
fixed-rate
- Loan Group F2: Consists of all
nonconforming Mortgage Loans which
accrue interest at a fixed rate
- Loan Group A: Consists of all
Mortgage Loans which accrue
interest at an adjustable-rate
o Loan Group F will consist of Loan
Group F1 and Loan Group F2
o For collateral statistics please see
the Description of the Collateral
below
o Between the Statistic Calculation Date
and the Closing Date the Seller
expects to deposit additional Mortgage
Loans in each Loan Group
Prefunding Amount At closing the Seller will deposit up to
the difference between $700,000,000 and
the aggregate principal balances of the
Initial Mortgage Loans (including the
additional Mortgage Loans referenced in
the last paragraph under the heading
"Initial Mortgage Loan Pool") as of the
Cutoff Date into three separate
prefunding accounts to be used to acquire
additional Mortgage Loans from the Seller
during the prefunding period. At closing
the Seller will also deposit funds into
the Capitalized Interest Accounts
established for each of the Loan Groups
to cover interest shortfalls during the
prefunding period due to the prefunding
feature. The prefunding period terminates
at the latest on the close of business
December 30, 1999
Credit Enhancement: o (i) the use of excess interest to
cover losses and to create
Overcollateralization, (ii)
Crosscollateralization of the three
loan groups, (iii) subordination of
distributions on the class or classes
of certificates with lower relative
payment priorities, (iv) for the Class
A Certificates only, the financial
guaranty insurance policies from MBIA.
The Class M-1, Class M-2 and Class B
Certificates are not covered by the
financial guaranty insurance policies.
Please refer to "Credit Enhancement -
Senior/Subordinate and Wrap Structure"
Servicer Termination Test: The Servicer Termination Test is failed
if the Cumulative Net Losses for the
Mortgage Loans exceed 4.77% of the
aggregate Original Class Principal
Balance of
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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.
6
<PAGE>
- --------------------------------------------------------------------------------
Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset Backed Certificates, Series 1999-3
- --------------------------------------------------------------------------------
the Offered Certificates:
SUMMARY OF TERMS - continued
Monthly Servicer Advances: (1) the Servicer pays all "out-of-pocket"
expenses to service the loans
(2) the Servicer is required to advance
scheduled principal and interest (net
of the Servicing Fee) for any
delinquent Mortgage Loan until such
loan becomes a Liquidated Mortgage
Loan, but is not required to make any
advance which the Servicer deems to
be nonrecoverable
(3) the Servicer's right of reimbursement
for servicing advances is limited to
late collections of interest on the
Mortgage Loan, released property
proceeds, and liquidation and
insurance proceeds on the related
Mortgage Loan. The Servicer's right
to reimbursement is senior to the
rights of the Certificateholders
Compensating Interest: (1) the Servicer will be required to
remit 30 days' interest on the
Principal Balance of any mortgage
loan prepaid in full minus i) the
related Servicing Fee, and ii) any
interest actually paid in connection
with such prepayment up to the amount
of the Servicing Fee with respect to
the related due period
(2) has no right of reimbursement for
Compensating Interest
The Servicer's obligation with respect to
Compensating Interest on prepaid mortgage
loans is capped at the aggregate
Servicing Fee for the related due period
Servicer Events of Default: o (A) any failure by the Servicer to
make any required Monthly Advance or
(B) any other failure of the Servicer
to deposit in the Collection Account
or the Distribution Account any
deposit required to be made under the
Agreement, which failure continues
unremedied for three Business Days
after payment was required to be
made;
o any failure by the Servicer duly to
observe or perform in any material
respect any other of its covenants or
agreements in the Pooling and
Servicing Agreement which, in each
case, materially and adversely
affects the interests of the
Certificateholders and continues
unremedied for 30 days after
knowledge or the giving of written
notice of such failure to the
Servicer by the Trustee or the
Securities Administrator, or to the
Servicer, the Securities
Administrator and the Trustee by
Certificateholders evidencing at
least 25% of the Voting Rights;
o any failure by the Servicer to make
any required Servicing Advance, which
failure continues unremedied for a
period of 30 days after knowledge or
the giving of written notice of such
failure to the Servicer by the
Trustee or the Securities
Administrator, or the Servicer, the
Securities Administrator and the
Trustee by Certificateholders
evidencing at least 25% of the Voting
Rights;
o certain events of insolvency,
readjustment of debt, marshalling of
assets and liabilities or similar
proceedings related to the Servicer
and certain actions by the Servicer
indicating insolvency, reorganization
or inability to pay its obligations;
and
o failure of Servicer Termination Test
If any Monthly Advance is not made by
12:00 noon, New York City time, on the
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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.
7
<PAGE>
- --------------------------------------------------------------------------------
Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset Backed Certificates, Series 1999-3
- --------------------------------------------------------------------------------
second Business Day preceding the
applicable Distribution Date, the
Successor Servicer will immediately
assume the advancing obligation of the
Servicer.
Notwithstanding anything to the contrary
in the Prospectus, pursuant to the terms
of the Agreement, within ninety (90) days
of the removal of the Servicer, Norwest
Bank will be the Successor Servicer and
will assume all of the rights and
obligations of the Servicer.
INTEREST DISTRIBUTIONS
Group F Certificates and o For any Distribution Date, interest
Subordinate Certificates: accrues during the calendar month
prior to the current Distribution
Date on a 30/360 basis at the
respective fixed pass-through rate
o Interest is paid monthly on the
Distribution Date
o Any interest due but unpaid from a
prior Distribution Date will also be
due on the next Distribution Date,
together with accrued interest
thereon at the applicable
Pass-Through Rate
o The interest entitlement is reduced
by a pro rata share of interest
shortfalls due to the application of
the Soldiers' and Sailors' Civil
Relief Act of 1940 and any prepayment
interest shortfalls not covered by
Compensating Interest
Group A Certificates: o For any Distribution Date, interest
accrues from the last Distribution
Date to the day preceding the current
Distribution Date on an Actual/360
basis at the Class A-1A Pass-Through
Rate
o The Class A-1A Pass-Through Rate is
equal to the least of (a) 1 month
LIBOR plus the applicable margin, (b)
14 % and (c) the Group A Net WAC Cap.
The lesser of (a) and (b) is called
the "Formula Rate".
o Interest is paid monthly on the
Distribution Date
o Any interest due but unpaid from a
prior Distribution Date will also be
due on the next Distribution Date,
together with accrued interest
thereon at the applicable
Pass-Through Rate
o The interest entitlement is reduced
by a pro rata share of interest
shortfalls due to the application of
the Soldiers' and Sailors' Civil
Relief Act of 1940 and any prepayment
interest shortfalls not covered by
Compensating Interest
Step-up Coupons: If the Optional Clean-up Call is not
exercised, the Class A-1F and Class A-2F
Pass-Through Rates will increase by 0.50%
and the margin on the Class A-1A
Certificates will double
LIBOR Carryover: If the Class A-1A Pass-Through Rate is
reduced to the Group A Net WAC Cap, any
interest which would have accrued at the
Formula Rate but is unpaid due to the
application of the Group A Net WAC Cap
will be payable on the next Distribution
Date, together with accrued interest
thereon at the then current Class A-1A
Pass-Through Rate, to the extent of
Available Funds therefor and in the
priority specified herein. The
Certificate Insurance Policies do not
cover the payment of LIBOR Carryover.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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.
8
<PAGE>
- --------------------------------------------------------------------------------
Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset Backed Certificates, Series 1999-3
- --------------------------------------------------------------------------------
INTEREST DISTRIBUTIONS-continued
Net Rate Cap Carryover: As to any Distribution Date and the Group
F Certificates, the sum of
1. The excess, if any , of the related
current interest amount accrued
during the related accrual period,
calculated at the applicable
Pass-Through Rate (without regard to
the Available Funds Cap), over the
related current interest amount
accrued during the related accrual
period for such Distribution Date,
2. Any Net Rate Cap Carryover remaining
unpaid from prior Distribution Dates
and,
3. 30 days' interest on the amount in
clause (1) calculated at the
applicable Pass-Through Rate (without
regard to the Available Funds Cap).
The Certificate Insurance Policies do not
cover the payments of the Net Rate Cap
Carryover
Group F Net WAC Cap: The Group F Net WAC Cap for any
Distribution Date equals the lesser of:
(A) the Group F Net WAC, and (B) the
Group A Net WAC Cap
The Group F Net WAC for any Distribution
Date equals
(A) the Group F Net Loan Rate minus
(B) (i) the sum of the Class A-1F and the
Class A-2F Principal Balances,
divided by (ii) the Loan Group F
Principal Balance, multiplied by
(iii) the Certificate Insurance Fee
rate minus
(C) (x) the Class IOF Notional Balance,
divided by (y) the Loan Group F
Principal Balance, and (z) multiplied
by 6%
Group A Net WAC Cap: The Group A Net WAC Cap for any
Distribution Date equals the Group A Net
Loan Rate minus (A) (i) Class A-1A
Principal Balance, divided by (ii) the
Loan Group A Principal Balance,
multiplied by the Certificate Insurance
Fee rate
The Net Loan Rate for each Loan Group is equal to (a) the weighted average
Mortgage Rate of all loans in such Loan Group for the related Due Period minus
(b) the sum of the Securities Administrator Fee rate and the Servicing Fee rate
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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.
9
<PAGE>
- --------------------------------------------------------------------------------
Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset Backed Certificates, Series 1999-3
- --------------------------------------------------------------------------------
PRINCIPAL DISTRIBUTIONS
Group F Certificates: Class A-1F, Class A-2F and Class IOF
Certificates
Group A Certificates: Class A-1A Certificates
Senior Certificates: Class A-1F, Class A-2F, Class IOF and
Class A-1A Certificates
Subordinate Certificates: Class M-1, Class M-2 and Class B
Certificates
Principal Payments: Payments of principal to each Group of
Certificates are derived primarily from
collections of principal on the related
Loan Group
Priority of Principal Payments: Prior to month 37 (or while a Delinquency
Event is in effect):
- 100% of principal will be allocated
to the Senior Certificates
Beginning in month 37 (and while no
Delinquency Event is in effect):
- Principal will be allocated between
the Senior Certificates and the
Subordinate Certificates to maintain
the credit enhancement levels
(including overcollateralization) at
twice their respective initial target
percentages of the then current Pool
Principal Balance
Senior Principal Distribution As to (a) any Distribution Date prior to
Amount (Senior PDA): the Stepdown Date or during the
continuation of a Delinquency Event, the
lesser of (1) 100% of the Principal
Distribution Amount and (2) the aggregate
Class Principal Balance of the Senior
Certificates, and (b) any other
Distribution Date, an amount equal to the
excess, if any, of (x) the aggregate
Class Principal Balance of the Senior
Certificates immediately prior to such
Distribution Date over (y) the lesser of
(A) 69.00% of the Pool Balance as of the
last day of the related Due Period and
(B) the Pool Balance as of the last day
of the related Due Period minus the OC
Floor.
Adjusted Senior Principal As to any Distribution Date, the excess
Distribution Amount: of (a) the Senior PDA for such
Distribution Date over (b) the Group A
PDA for such Distribution Date.
Allocation of Principal The Group A Principal Distribution Amount
Among Group A Certificates: ("Group A PDA") equals the lesser of (A)
the greater of:
- The Group A Parity Amount
- The Senior PDA multiplied by the
Class A-1A Pro Rata Percentage or (B) the
Senior PDA
The Group A Parity Amount for any
Distribution Date equals (a) the Class
A-1A Principal Balance as of the
preceding Distribution Date, minus (b)
the Loan Group A Principal Balance at the
end of the related Due Period
The Class A-1A Pro Rata Percentage equals
(a) the Class A-1A Principal Balance,
divided by (b) the aggregate Principal
Balance of the Senior Certificates, each
as of the end of the preceding
Distribution Date
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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.
10
<PAGE>
- --------------------------------------------------------------------------------
Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset Backed Certificates, Series 1999-3
- --------------------------------------------------------------------------------
PRINCIPAL DISTRIBUTIONS-continued
Allocation of Principal The Class A-1F Principal Distribution
Among Group F Certificates: Amount ("Class A-1F PDA") equals the
lesser of (A) the greater of:
- The Group F1 Parity Amount
- The Adjusted Senior PDA multiplied
by the Class A-1F Pro Rata
Percentage
or (B) the Adjusted Senior PDA
The Group F1 Parity Amount for any
Distribution Date equals (a) the Class
A-1F Principal Balance as of the
preceding Distribution Date, minus (b)
the Loan Group F1 Principal Balance at
the end of the related Due Period
The Class A-1F Pro Rata Percentage equals
(a) the Class A-1F Principal Balance,
divided by (b) the aggregate Principal
Balance of the Class A-1F and Class A-2F
Certificates, each as of the end of the
preceding Distribution Date
The Class A-2F PDA equals the Adjusted
Senior PDA less the Class A-1F PDA.
Allocation of Principal Between the Senior PDA is paid concurrently as
Senior Certificates: follows:
1. The Group A PDA to the Class A-1A
2. The Class A-1F PDA to the Class A-1F
3. The Class A-2F PDA to the Class A-2F
CLASS IOF NOTIONAL AMOUNT SCHEDULE
- --------------------------------------------------------------------------------
There will be a AAAr/Aaa/AAA rated interest-only class (Class IOF), offered
solely by BAS, relating to Loan Group F Pool with a coupon of 6.0% for the first
36 months and 0.0% for months 37 and beyond. The notional amount of Class IOF is
equal to the lesser of (i) the aggregate principal balance of the mortgage loans
in Loan Group F and (ii) the following schedule:
Distribution Dates Notional Amount
------------------ ---------------
1-3 200,200,000
4-6 187,400,000
7-9 169,500,000
10-12 147,600,000
13-15 126,400,000
16-18 108,200,000
19-21 92,700,000
22-24 79,400,000
25-27 68,000,000
28-30 58,200,000
31-33 49,900,000
34-36 42,800,000
37 and thereafter 0
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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.
11
<PAGE>
- --------------------------------------------------------------------------------
Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset Backed Certificates, Series 1999-3
- --------------------------------------------------------------------------------
DISTRIBUTION PRIORITIES
On each Distribution Date the Trustee will apply the Available Funds from each
Loan Group in the following order of priority, in each case, to the extent of
funds remaining:
Loan Group F1: 1. To pay the Securities Administrator
Fee for Loan Group F1.
2. To pay the Certificate Insurer Fee on
the Class A-1F Certificates.
3. To pay all accrued and unpaid
interest amounts on the Class A-1F
Certificates.
4. The remaining amount pursuant to
"Remaining Amounts" below.
Loan Group F2: 1. To pay the Securities Administrator
Fee for Loan Group F2.
2. To pay the Certificate Insurer Fee on
the Class A-2F Certificates.
3. To pay all accrued and unpaid
interest amounts on the Class A-2F
Certificates.
4. The remaining amount pursuant to
"Remaining Amounts" below.
Loan Group A: 1. To pay the Securities Administrator
Fee for Loan Group A.
2. To pay the Certificate Insurer Fee on
the Class A-1A Certificates.
3. All accrued and unpaid interest
amounts the Class A-1A Certificates.
4. The remaining amount pursuant to
"Remaining Amounts" below.
Remaining Amounts: 1. Concurrently, to the Senior
Certificates in all Certificate
Groups, the related accrued and
unpaid interest amounts not yet paid.
2. Sequentially, to the Class M-1, Class
M-2 and Class B Certificates, the
related current interest amount
accrued during the related interest
accrual period.
3. To the Senior Certificates, the
Senior Principal Distribution Amount,
excluding any Subordination Increase
Amounts allocated as described under
"Principal Distribution" on the
previous page.
4. To the Certificate Insurer, the
amount owing under the Insurance
Agreement as reimbursement for prior
draws on the Policies with respect to
each Certificate Group.
5. Sequentially, to the Class M-1, Class
M-2 and Class B Certificates, the
related class principal distribution
amount, excluding any Subordination
Increase Amounts.
6. To the Offered Certificates, the
Subordination Increase Amount,
allocated in the same manner as the
principal distribution amount.
7. To Class M-1, any related Class
Interest Carryover Shortfall and then
any related Class Principal Carryover
Shortfall.
8. To Class M-2, any related Class
Interest Carryover Shortfall and then
any related Class Principal Carryover
Shortfall.
9. To Class B, any related Class
Interest Carryover Shortfall and then
any related Class Principal Carryover
Shortfall.
10. To the Class A-1A Certificates, the
lesser of the LIBOR Carryover and the
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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.
12
<PAGE>
- --------------------------------------------------------------------------------
Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset Backed Certificates, Series 1999-3
- --------------------------------------------------------------------------------
Available LIBOR Carryover Amount from
the LIBOR Carryover Fund.
11. Concurrently, the Class A-1F and the
Class A-2F and then sequentially to
the Subordinate Certificates, the
related Net Rate Cap Carryover from
the Net Rate Cap Fund.
12. To the Residual Certificates , any
remaining amounts.
CREDIT ENHANCEMENT - Senior/Subordinate & Wrap Structure
Overcollateralization: - Initial OC: 0.00%
- Initial Target OC: 1.35% of Cut-Off
Date Pool Principal Balance
- OC Floor: 0.50% of Cut-Off
Date Pool Principal Balance
After the Stepdown Date the Target OC
will be the lesser of 2.70% of the
outstanding Pool Principal Balance or the
Initial Target OC subject to the OC
Floor.
If a Cumulative Loss Event is in effect,
the Target OC will equal the Initial
Target OC
If a Delinquency Event is in effect, the
Target OC will equal the Target OC as of
the preceding Distribution Date
Credit Support Percentage: Initial After
Credit Stepdown
Support Date
--------------- --------
Rating Percent Rating Percent
------ ------- ------ -------
AAA 14.15% AAA 31.00%
AA 7.80% AA 18.30%
A 4.25% A 11.20%
BBB- 0% BBB- 2.70%(1)
(1) Consists of the Target OC and assumes
no Delinquency Event in effect
Cross-collateralization: (i) Interest collections on the Group
F1 loans will be available to build
OC and cover certain shortfalls on
the Class A-2F and Class A-1A
Certificates
(ii) Interest collections on the Group
F2 loans will be available to build
OC and cover certain shortfalls on
the Class A-1F and Class A-1A
Certificates
(iii) Interest collections on the Group A
loans will be available to build OC
and cover certain shortfalls on the
Class A-1F and Class A-2F
Certificates after covering certain
amounts in the related Certificate
Group.
Certificate Insurance MBIA Insurance Corporation will guarantee
Policies: the timely interest and ultimate payment
of principal on the Class A Certificates
only. The Class M-1, Class M-2 and Class
B Certificates are not covered by the
financial guaranty insurance policies.
Stepdown Date: The later to occur of (x) the earlier to
occur of (A) the Distribution Date in
December 2002 and (B) the Distribution
Date on which the aggregate Class
Principal Balance of the Senior
Certificates is reduced to zero, and (y)
the first Distribution Date on which the
Senior Enhancement Percentage is at least
equal
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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.
13
<PAGE>
- --------------------------------------------------------------------------------
Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset Backed Certificates, Series 1999-3
- --------------------------------------------------------------------------------
to 31.00%.
Senior Enhancement As to any Distribution Date, the
Percentage: percentage equivalent of a fraction, the
numerator of which is the sum of (1) the
aggregate Class Principal Balance of the
Subordinate Certificates and (2) the
Overcollateralization Amount (in each
case after taking into account the
distribution of the Principal
Distribution Amount on such Distribution
Date) and the denominator of which is the
Pool Balance as of the last day of the
related Due Period.
CREDIT ENHANCEMENT - Senior/Subordinate & Wrap Structure (continued)
Delinquency Event: In effect on any Distribution Date on
which the 3 month rolling average of the
Delinquency Percentage exceeds 50% of the
Senior Enhancement Percentage
Delinquency Percentage: The ratio of (a) the aggregate Principal
Balance of Mortgage Loans which are (1)
60 or more days delinquent or (2) in
bankruptcy or foreclosure or (3) secured
by REO properties divided by (b) the
aggregate Principal Balance of all the
Mortgage Loans
Cumulative Loss Event: In effect if the cumulative net losses
for the applicable Distribution Date
exceed the following percentages of the
Cut-Off Date Pool Principal Balance:
Distribution Cumulative
Date Net Losses
---- ----------
37 - 48 2.00%
49 - 60 2.40%
61 - 72 2.70%
73 - 84 2.85%
85 on 3.00%
Allocation of Losses: Losses not otherwise covered by the
available credit enhancement will be
allocated in reduction of the Class
Principal Balance of the most subordinate
class then outstanding (i.e. first to the
Class B, then Class M-2, and then Class
M-1)
Any such allocated losses increase the
Principal Carryover Shortfall for such
Class. Such Principal Carryover Shortfall
amounts will be paid on later
Distribution Dates to the extent of
Available Funds therefor and in the
priority set forth above
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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.
14
<PAGE>
- --------------------------------------------------------------------------------
Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset Backed Certificates, Series 1999-3
- --------------------------------------------------------------------------------
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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.
15
<PAGE>
- --------------------------------------------------------------------------------
Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset Backed Certificates, Series 1999-3
- --------------------------------------------------------------------------------
DESCRIPTION OF THE COLLATERAL
Total Mortgage Loan Pool
Summary
Total Minimum Maximum
----- ------- -------
- --------------------------------------------------------------------------------
Cut-off Date Aggregate Principal Balance 389,420,426.21
Number of Loans 4,932
Average Original Loan Balance 79,076.51 6,180.00 425,000.00
Average Current Loan Balance 78,957.91 5,962.72 424,426.61
Weighted Average Combined Original LTV 74.14% 5.05% 90.00%
Weighted Average Gross Coupon 10.386% 7.300% 16.990%
Weighted Average Remaining Term to
Maturity (months) 325 57 360
Weighted Average Original Term (months) 327 60 360
Weighted Average FICO Credit Score* 617 440 900
- --------------------------------------------------------------------------------
* Based upon FICO Credit Score available on 82.75% of Total Mortgage Loans.
- --------------------------------------------------------------------------------
Percent of Statistic
Calculation Date
Range Principal Balance
----- -----------------
Fully Amortizing Mortgage Loans 98.40%
Balloon Mortgage Loans 1.60%
Lien Position First 93.92%
Second 6.08%
Property Type Single Family 73.75%
2-4 Family 18.13%
5-8 Family 2.73%
Condominium 3.13%
Mobile Home 0.32%
Mixed Use 1.93%
Occupancy Status Owner Occupied 89.80%
Non-Owner Occupied 10.20%
Geographic Distribution New York 36.45%
Ohio 11.97%
New Jersey 9.06%
Pennsylvania 7.23%
Illinois 4.86%
Largest Zip Code Concentration 11207 0.96%
Loans with Prepayment Penalties 80.88%
Credit Grade** A 57.23%
B 20.62%
C 17.27%
D 4.88%
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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.
16
<PAGE>
- --------------------------------------------------------------------------------
Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset Backed Certificates, Series 1999-3
- --------------------------------------------------------------------------------
Delinquency 30 - 59 days 1.55%
- --------------------------------------------------------------------------------
** Credit Grade stratification above is based upon Delta's Underwriting
Guidelines and Criteria.
DESCRIPTION OF THE COLLATERAL
Loan Group F1
Summary
Total Minimum Maximum
----- ------- -------
- --------------------------------------------------------------------------------
Cut-off Date Aggregate Principal Balance 288,462,396.26
Number of Loans 3,813
Average Original Loan Balance 75,786.94 6,180.00 356,250.00
Average Current Loan Balance 75,652.35 5,962.72 355,994.23
Weighted Average Combined Original LTV 73.21% 5.05% 90.00%
Weighted Average Gross Coupon 10.354% 7.350% 16.990%
Weighted Average Remaining Term to
Maturity (months) 315 57 360
Weighted Average Original Term (months) 317 60 360
Weighted Average FICO Credit Score* 621 441 900
- --------------------------------------------------------------------------------
* Based upon FICO Credit Score available on 83.28% of Loan Group F1 mortgage
loans.
- --------------------------------------------------------------------------------
Percent of Statistic
Calculation Date
Range Principal Balance
----- -----------------
Fully Amortizing Mortgage Loans 98.26%
Balloon Mortgage Loans 1.74%
Lien Position First 92.37%
Second 7.63%
Property Type Single Family 71.52%
2-4 Family 21.78%
5-8 Family 3.70%
Condominium 2.59%
Mobile Home 0.42%
Occupancy Status Owner Occupied 89.30%
Non-Owner Occupied 10.70%
Geographic Distribution New York 44.10%
New Jersey 8.61%
Ohio 8.46%
Pennsylvania 7.18%
Illinois 3.64%
Largest Zip Code Concentration 11203 1.23%
Loans with Prepayment Penalties 78.51%
Credit Grade** A 59.82%
B 19.41%
C 16.01%
D 4.76%
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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.
17
<PAGE>
- --------------------------------------------------------------------------------
Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset Backed Certificates, Series 1999-3
- --------------------------------------------------------------------------------
Delinquency 30 - 59 days 1.36%
- --------------------------------------------------------------------------------
** Credit Grade stratification above is based upon Delta's Underwriting
Guidelines and Criteria.
DESCRIPTION OF THE COLLATERAL
Loan Group F1
Statistic Calculation Date Principal Balances
<TABLE>
<CAPTION>
Range of Number of Percentage of
Statistic Calculation Date Statistic Calculation Statistic Calculation Date Statistic Calculation Date
Principal Balances Mortgage Loans Principal Balance Principal Balance
------------------ -------------- ----------------- -----------------
<S> <C> <C> <C>
$ 0.01 - $ 25,000.00 417 $ 8,085,877.63 2.80%
$ 25,000.01 - $ 50,000.00 1,137 43,261,152.92 15.00
$ 50,000.01 - $ 75,000.00 823 51,145,708.17 17.73
$ 75,000.01 - $100,000.00 490 42,784,953.21 14.83
$100,000.01 - $125,000.00 307 34,371,866.95 11.92
$125,000.01 - $150,000.00 243 33,523,625.53 11.62
$150,000.01 - $175,000.00 151 24,530,265.98 8.50
$175,000.01 - $200,000.00 128 23,969,225.78 8.31
$200,000.01 - $225,000.00 67 14,179,767.76 4.92
$225,000.01 - $250,000.00 33 7,737,030.60 2.68
$250,000.01 - $275,000.00 10 2,627,162.17 0.91
$275,000.01 - $300,000.00 2 575,729.94 0.20
$300,000.01 - $325,000.00 2 608,736.17 0.21
$325,000.01 - $350,000.00 1 349,579.08 0.12
$350,000.01 - $375,000.00 2 711,714.37 0.25
---------------------------------------------------------------------
TOTAL 3,813 $288,462,396.26 100.00%
</TABLE>
Original Combined Loan-to-Value Ratios
<TABLE>
<CAPTION>
Number of Percentage of
Range of Original Combined Statistic Calculation Statistic Calculation Date Statistic Calculation Date
Loan-to-Value Ratios Mortgage Loans Principal Balance Principal Balance
-------------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
5.01% - 10.00% 7 $ 168,339.98 0.06%
10.01% - 15.00% 6 158,365.25 0.05
15.01% - 20.00% 28 1,150,107.24 0.40
20.01% - 25.00% 41 1,317,276.19 0.46
25.01% - 30.00% 53 2,206,749.39 0.77
30.01% - 35.00% 68 3,194,327.46 1.11
35.01% - 40.00% 68 3,667,571.54 1.27
40.01% - 45.00% 99 5,296,747.68 1.84
45.01% - 50.00% 121 6,841,925.87 2.37
50.01% - 55.00% 132 8,272,935.83 2.87
55.01% - 60.00% 219 13,567,911.60 4.70
60.01% - 65.00% 293 19,242,839.94 6.67
65.01% - 70.00% 519 35,189,348.12 12.20
</TABLE>
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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.
18
<PAGE>
- --------------------------------------------------------------------------------
Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset Backed Certificates, Series 1999-3
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C>
70.01% - 75.00% 440 35,346,027.22 12.25
75.01% - 80.00% 957 77,454,132.23 26.85
80.01% - 85.00% 451 41,497,813.49 14.39
85.01% - 90.00% 311 33,889,977.23 11.75
----------------------------------------------------------------------
TOTAL 3,813 $ 288,462,396.26 100.00%
</TABLE>
DESCRIPTION OF THE COLLATERAL
Loan Group F1
Geographic Distribution
<TABLE>
<CAPTION>
Number of Percentage of
Statistic Calculation Statistic Calculation Date Statistic Calculation Date
Geographic Distribution Mortgage Loans Principal Balance Principal Balance
- ----------------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
New York 1,243 $ 127,208,457.35 44.10%
New Jersey 251 24,850,075.13 8.61
Ohio 392 24,395,942.41 8.46
Pennsylvania 412 20,725,463.97 7.18
Illinois 143 10,487,466.96 3.64
Massachusetts 129 10,134,673.67 3.51
Georgia 161 9,245,398.17 3.21
Florida 151 8,400,829.01 2.91
Michigan 153 7,609,396.61 2.64
North Carolina 109 6,870,113.81 2.38
Indiana 91 5,625,692.92 1.95
Tennessee 86 5,213,752.76 1.81
Missouri 71 3,844,592.91 1.33
Maryland 49 2,833,907.14 0.98
Virginia 45 2,673,335.86 0.93
Connecticut 34 2,537,517.17 0.88
Louisiana 53 2,092,378.19 0.73
New Hampshire 26 1,394,038.53 0.48
Delaware 14 1,333,622.99 0.46
Arkansas 28 1,319,735.98 0.46
Maine 17 1,144,453.67 0.40
Rhode Island 17 1,122,616.11 0.39
Kentucky 21 1,112,689.91 0.39
Mississippi 23 930,495.79 0.32
South Carolina 16 900,669.61 0.31
Texas 10 608,645.27 0.21
West Virginia 9 552,555.64 0.19
Arizona 11 529,682.47 0.18
Oklahoma 10 454,512.37 0.16
Washington 6 446,985.56 0.15
Colorado 6 347,103.71 0.12
Wisconsin 6 327,584.02 0.11
California 3 297,783.36 0.10
Minnesota 3 187,077.45 0.06
Nevada 2 151,822.52 0.05
New Mexico 3 136,038.41 0.05
</TABLE>
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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.
19
<PAGE>
- --------------------------------------------------------------------------------
Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset Backed Certificates, Series 1999-3
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C>
District of Columbia 1 109,502.42 0.04
Oregon 2 108,016.75 0.04
Wyoming 3 105,614.45 0.04
Montana 1 46,963.54 0.02
Kansas 2 45,191.69 0.02
-----------------------------------------------------------------------
TOTAL 3,813 $ 288,462,396.26 100.00%
</TABLE>
DESCRIPTION OF THE COLLATERAL
Loan Group F1
Statistic Calculation Date Loan Rates
<TABLE>
<CAPTION>
Range of Number of Percentage of
Statistic Calculation Date Statistic Calculation Statistic Calculation Date Statistic Calculation Date
Loan Rates Mortgage Loans Principal Balance Principal Balance
---------- -------------- ----------------- -----------------
<S> <C> <C> <C>
7.001% - 7.500% 22 $ 2,977,096.69 1.03%
7.501% - 8.000% 174 17,666,432.43 6.12
8.001% - 8.500% 192 18,805,736.39 6.52
8.501% - 9.000% 340 30,726,742.39 10.65
9.001% - 9.500% 302 26,493,581.65 9.18
9.501% - 10.000% 481 38,730,730.38 13.43
10.001% - 10.500% 388 28,601,409.47 9.92
10.501% - 11.000% 553 38,765,391.86 13.44
11.001% - 11.500% 363 23,373,864.19 8.10
11.501% - 12.000% 331 22,333,441.16 7.74
12.001% - 12.500% 264 16,155,585.43 5.60
12.501% - 13.000% 160 10,561,474.15 3.66
13.001% - 13.500% 88 5,162,082.32 1.79
13.501% - 14.000% 84 4,425,471.40 1.53
14.001% - 14.500% 39 1,761,823.35 0.61
14.501% - 15.000% 17 1,155,219.09 0.40
15.001% - 15.500% 10 606,698.74 0.21
15.501% - 16.000% 4 94,524.98 0.03
16.501% - 17.000% 1 65,090.19 0.02
----------------------------------------------------------------------
TOTAL 3,813 $ 288,462,396.26 100.00%
</TABLE>
Original Terms to Stated Maturity
<TABLE>
<CAPTION>
Number of Percentage of
Range of Original Terms Statistic Calculation Statistic Calculation Date Statistic Calculation Date
to Stated Maturity (in months) Mortgage Loans Principal Balance Principal Balance
- ------------------------------ -------------- ----------------- -----------------
<S> <C> <C> <C>
1 - 60 16 $ 363,076.09 0.13%
61 - 120 181 7,339,085.21 2.54
121 - 180 738 40,836,171.98 14.16
181 - 240 323 21,598,712.25 7.49
241 - 300 80 6,069,144.63 2.10
301 - 360 2,475 212,256,206.10 73.58
---------------------------------------------------------------------
</TABLE>
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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.
20
<PAGE>
- --------------------------------------------------------------------------------
Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset Backed Certificates, Series 1999-3
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C>
TOTAL 3,813 $ 288,462,396.26 100.00%
</TABLE>
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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.
21
<PAGE>
- --------------------------------------------------------------------------------
Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset Backed Certificates, Series 1999-3
- --------------------------------------------------------------------------------
DESCRIPTION OF THE COLLATERAL
Loan Group F1
Remaining Terms to Stated Maturity
<TABLE>
<CAPTION>
Number of Percentage of
Range of Remaining Terms Statistic Calculation Statistic Calculation Date Statistic Calculation Date
to Stated Maturity (in months) Mortgage Loans Principal Balance Principal Balance
- ------------------------------ -------------- ----------------- -----------------
<S> <C> <C> <C>
1 - 60 16 $ 363,076.09 0.13%
61 - 120 188 7,623,344.25 2.64
121 - 180 731 40,551,912.94 14.06
181 - 240 323 21,598,712.25 7.49
241 - 300 80 6,069,144.63 2.10
301 - 360 2,475 212,256,206.10 73.58
--------------------------------------------------------------------
TOTAL 3,813 $ 288,462,396.26 100.00%
</TABLE>
Months Since Origination
<TABLE>
<CAPTION>
Number of Percentage of
Range of Months Statistic Calculation Statistic Calculation Date Statistic Calculation Date
Since Origination Mortgage Loans Principal Balance Principal Balance
- ----------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
1 - 3 3,561 $ 267,513,408.73 92.74%
4 - 6 225 18,710,968.65 6.49
7 - 12 18 1,830,686.89 0.63
13 - 24 2 123,072.95 0.04
85 - 96 7 284,259.04 0.10
------------------------------------------------------------------------
TOTAL 3,813 $ 288,462,396.26 100.00%
</TABLE>
Property Type
<TABLE>
<CAPTION>
Number of Percentage of
Statistic Calculation Statistic Calculation Date Statistic Calculation Date
Property Type Mortgage Loans Principal Balance Principal Balance
------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
Single Family 2,998 $ 206,301,328.78 71.52%
Condominium 111 7,460,689.65 2.59
Mobile Home 26 1,220,506.69 0.42
Two-to-Four Family 588 62,817,685.94 21.78
Five-to-Eight Family 90 10,662,185.20 3.70
--------------------------------------------------- -------------------
TOTAL 3,813 $ 288,462,396.26 100.00%
</TABLE>
Occupancy Type
<TABLE>
<CAPTION>
Number of Percentage of
Statistic Calculation Statistic Calculation Date Statistic Calculation Date
Occupancy Type Mortgage Loans Principal Balance Principal Balance
-------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
Owner Occupied 3,402 $ 257,588,811.08 89.30%
Non-Owner Occupied 411 30,873,585.18 10.70
------------------------------------------------------------------------
</TABLE>
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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.
22
<PAGE>
- --------------------------------------------------------------------------------
Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset Backed Certificates, Series 1999-3
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C>
TOTAL 3,813 $ 288,462,396.26 100.00%
</TABLE>
DESCRIPTION OF THE COLLATERAL
Loan Group F1
Documentation Type
<TABLE>
<CAPTION>
Number of Percentage of
Statistic Calculation Statistic Calculation Date Statistic Calculation Date
Documentation Type Mortgage Loans Principal Balance Principal Balance
------------------ -------------- ----------------- -----------------
<S> <C> <C> <C>
Full Documentation 2,989 $ 225,102,970.07 78.04%
No Income Verification (NIV) 461 37,204,045.16 12.90
NIV, No Asset Verification 69 5,637,312.19 1.95
Alternate Documentation 294 20,518,068.84 7.11
--------------------------------------------------------------------
TOTAL 3,813 $ 288,462,396.26 100.00%
</TABLE>
Purpose
<TABLE>
<CAPTION>
Number of Percentage of
Statistic Calculation Statistic Calculation Date Statistic Calculation Date
Purpose Mortgage Loans Principal Balance Principal Balance
------- -------------- ----------------- -----------------
<S> <C> <C> <C>
Purchase 304 $ 28,315,688.00 9.82%
Rate/Term Refinance 462 36,686,358.22 12.72
Cash Out Refinance 1,941 140,658,160.37 48.76
Debt Consolidation 1,106 82,802,189.67 28.70
--------------------------------------------------------------------
TOTAL 3,813 $ 288,462,396.26 100.00%
</TABLE>
FICO Credit Score Distribution
<TABLE>
<CAPTION>
Number of Percentage of
Statistic Calculation Statistic Calculation Date Statistic Calculation Date
Range of FICO Scores Mortgage Loans Principal Balance Principal Balance
- -------------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
851 to 900 1 $ 137,345.95 0.05%
801 to 850 8 676,765.78 0.23
751 to 800 103 7,625,083.50 2.64
701 to 750 272 23,571,993.96 8.17
651 to 700 570 45,870,692.34 15.90
601 to 650 864 68,872,047.23 23.88
551 to 600 778 52,956,564.10 18.36
501 to 550 526 33,450,379.06 11.60
451 to 500 104 6,653,181.08 2.31
401 to 450 6 413,724.96 0.14
N/A 581 48,234,618.30 16.72
--------------------------------------------------------------------
TOTAL 3,813 $ 288,462,396.26 100.00%
</TABLE>
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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.
23
<PAGE>
- --------------------------------------------------------------------------------
Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset Backed Certificates, Series 1999-3
- --------------------------------------------------------------------------------
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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.
24
<PAGE>
- --------------------------------------------------------------------------------
Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset Backed Certificates, Series 1999-3
- --------------------------------------------------------------------------------
DESCRIPTION OF THE COLLATERAL
Loan Group F2
Summary
Total Minimum Maximum
----- ------- -------
- --------------------------------------------------------------------------------
Cut-off Date Aggregate Principal Balance 22,482,861.36
Number of Loans 146
Average Original Loan Balance 154,130.38 13,320.00 425,000.00
Average Current Loan Balance 153,992.20 13,293.08 424,426.61
Weighted Average Combined Original LTV 71.70% 20.00% 90.00%
Weighted Average Gross Coupon 10.736% 7.450% 14.840%
Weighted Average Remaining Term to
Maturity (months) 336 58 360
Weighted Average Original Term (months) 338 60 360
Weighted Average FICO Credit Score* 624 440 784
- --------------------------------------------------------------------------------
* Based upon FICO Credit Score available on 79.95% of Loan Group F2 mortgage
loans.
- --------------------------------------------------------------------------------
Percent of Statistic
Calculation Date
Range Principal Balance
----- -----------------
Fully Amortizing Mortgage Loans 94.59%
Balloon Mortgage Loans 5.41%
Lien Position First 92.62%
Second 7.38%
Property Type Single Family 59.77%
2-4 Family 3.19%
Condominium 3.64%
Mixed Use 33.40%
Occupancy Status Owner Occupied 86.02%
Non-Owner Occupied 13.98%
Geographic Distribution New York 54.82%
New Jersey 17.49%
Pennsylvania 6.03%
Illinois 4.21%
North Carolina 3.98%
Largest Zip Code Concentration 11758 2.09%
Loans with Prepayment Penalties 72.82%
Credit Grade** A 56.64%
B 24.69%
C 17.46%
D 1.21%
Delinquency 30 - 59 days 1.15%
- --------------------------------------------------------------------------------
** Credit Grade stratification above is based upon Delta's Underwriting
Guidelines and Criteria.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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.
25
<PAGE>
- --------------------------------------------------------------------------------
Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset Backed Certificates, Series 1999-3
- --------------------------------------------------------------------------------
DESCRIPTION OF THE COLLATERAL
Loan Group F2
Statistic Calculation Date Principal Balances
<TABLE>
<CAPTION>
Range of Number of Percentage of
Statistic Calculation Date Statistic Calculation Statistic Calculation Date Statistic Calculation Date
Principal Balances Mortgage Loans Principal Balance Principal Balance
------------------ -------------- ----------------- -----------------
<S> <C> <C> <C>
$ 0.01 - $ 25,000.00 3 $ 57,590.09 0.26%
$ 25,000.01 - $ 50,000.00 16 715,835.85 3.18
$ 50,000.01 - $ 75,000.00 27 1,681,294.05 7.48
$ 75,000.01 - $100,000.00 22 1,920,153.22 8.54
$100,000.01 - $125,000.00 9 1,029,681.17 4.58
$125,000.01 - $150,000.00 8 1,144,817.02 5.09
$150,000.01 - $175,000.00 10 1,630,195.17 7.25
$175,000.01 - $200,000.00 2 385,341.02 1.71
$225,000.01 - $250,000.00 10 2,442,079.88 10.86
$250,000.01 - $275,000.00 18 4,732,979.46 21.05
$275,000.01 - $300,000.00 9 2,573,256.88 11.45
$300,000.01 - $325,000.00 4 1,283,012.39 5.71
$325,000.01 - $350,000.00 4 1,351,383.00 6.01
$350,000.01 - $375,000.00 3 1,110,815.55 4.94
$400,000.01 - $425,000.00 1 424,426.61 1.89
-----------------------------------------------------------------------
TOTAL 146 $ 22,482,861.36 100.00%
</TABLE>
Original Combined Loan-to-Value Ratios
<TABLE>
<CAPTION>
Number of Percentage of
Range of Original Combined Statistic Calculation Statistic Calculation Date Statistic Calculation Date
Loan-to-Value Ratios Mortgage Loans Principal Balance Principal Balance
-------------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
15.01% - 20.00% 1 $ 24,376.56 0.11%
20.01% - 25.00% 1 75,000.00 0.33
25.01% - 30.00% 1 48,980.11 0.22
30.01% - 35.00% 3 209,943.74 0.93
35.01% - 40.00% 2 89,920.45 0.40
40.01% - 45.00% 7 864,485.22 3.85
45.01% - 50.00% 12 1,011,891.93 4.50
50.01% - 55.00% 6 645,702.66 2.87
55.01% - 60.00% 18 1,695,331.15 7.54
60.01% - 65.00% 14 2,042,670.64 9.09
65.01% - 70.00% 23 2,718,898.16 12.09
70.01% - 75.00% 20 3,774,296.76 16.79
75.01% - 80.00% 19 4,439,474.87 19.75
80.01% - 85.00% 10 2,306,136.64 10.26
85.01% - 90.00% 9 2,535,752.47 11.28
-----------------------------------------------------------------------
TOTAL 146 $ 22,482,861.36 100.00%
</TABLE>
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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.
26
<PAGE>
- --------------------------------------------------------------------------------
Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset Backed Certificates, Series 1999-3
- --------------------------------------------------------------------------------
DESCRIPTION OF THE COLLATERAL
Loan Group F2
Geographic Distribution
<TABLE>
<CAPTION>
Number of Percentage of
Statistic Calculation Statistic Calculation Date Statistic Calculation Date
Geographic Distribution Mortgage Loans Principal Balance Principal Balance
- ----------------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
New York 71 $ 12,324,761.00 54.82%
New Jersey 27 3,933,168.67 17.49
Pennsylvania 12 1,355,035.35 6.03
Illinois 9 947,252.91 4.21
North Carolina 3 893,754.67 3.98
Massachusetts 5 824,348.46 3.67
Connecticut 4 741,211.91 3.30
Ohio 7 367,708.67 1.64
Maryland 2 320,180.77 1.42
Florida 1 318,664.50 1.42
Georgia 1 253,779.78 1.13
Rhode Island 2 113,823.17 0.51
Wisconsin 1 48,980.11 0.22
Missouri 1 40,191.39 0.18
-----------------------------------------------------------------------
TOTAL 146 $ 22,482,861.36 100.00%
</TABLE>
Statistic Calculation Date Loan Rates
<TABLE>
<CAPTION>
Range of Number of Percentage of
Statistic Calculation Date Statistic Calculation Statistic Calculation Date Statistic Calculation Date
Loan Rates Mortgage Loans Principal Balance Principal Balance
---------- -------------- ----------------- -----------------
<S> <C> <C> <C>
7.001% - 7.500% 2 $ 473,434.71 2.11%
7.501% - 8.000% 6 1,561,697.25 6.95
8.001% - 8.500% 3 748,065.18 3.33
8.501% - 9.000% 5 1,387,243.07 6.17
9.001% - 9.500% 10 2,465,670.76 10.97
9.501% - 10.000% 10 2,243,144.71 9.98
10.001% - 10.500% 5 1,000,097.47 4.45
10.501% - 11.000% 18 3,427,444.67 15.24
11.001% - 11.500% 13 1,597,258.18 7.10
11.501% - 12.000% 22 2,505,167.23 11.14
12.001% - 12.500% 14 1,432,314.76 6.37
12.501% - 13.000% 20 2,369,302.56 10.54
13.001% - 13.500% 8 572,219.03 2.55
13.501% - 14.000% 3 218,960.72 0.97
14.001% - 14.500% 5 304,364.31 1.35
14.501% - 15.000% 2 176,476.75 0.78
----------------------------------------------------------------------
</TABLE>
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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.
27
<PAGE>
- --------------------------------------------------------------------------------
Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset Backed Certificates, Series 1999-3
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C>
TOTAL 146 $ 22,482,861.36 100.00%
</TABLE>
DESCRIPTION OF THE COLLATERAL
Loan Group F2
Original Terms to Stated Maturity
<TABLE>
<CAPTION>
Number of Percentage of
Range of Original Terms Statistic Calculation Statistic Calculation Date Statistic Calculation Date
to Stated Maturity (in months) Mortgage Loans Principal Balance Principal Balance
- ------------------------------ -------------- ----------------- -----------------
<S> <C> <C> <C>
1 - 60 1 $ 24,376.56 0.11%
61 - 120 2 54,920.45 0.24
121 - 180 19 2,270,884.18 10.10
181 - 240 7 546,531.92 2.43
301 - 360 117 19,586,148.25 87.12
-----------------------------------------------------------------------
TOTAL 146 $ 22,482,861.36 100.00%
</TABLE>
Remaining Terms to Stated Maturity
<TABLE>
<CAPTION>
Number of Percentage of
Range of Remaining Terms Statistic Calculation Statistic Calculation Date Statistic Calculation Date
to Stated Maturity (in months) Mortgage Loans Principal Balance Principal Balance
- ------------------------------ -------------- ----------------- -----------------
<S> <C> <C> <C>
1 - 60 1 $ 24,376.56 0.11%
61 - 120 2 54,920.45 0.24
121 - 180 19 2,270,884.18 10.10
181 - 240 7 546,531.92 2.43
301 - 360 117 19,586,148.25 87.12
-----------------------------------------------------------------------
TOTAL 146 $ 22,482,861.36 100.00%
</TABLE>
Months Since Origination
<TABLE>
<CAPTION>
Number of Percentage of
Range of Months Statistic Calculation Statistic Calculation Date Statistic Calculation Date
Since Origination Mortgage Loans Principal Balance Principal Balance
- ----------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
1 - 3 131 $ 19,913,339.54 88.57%
4 - 6 12 2,204,877.90 9.81
7 - 12 2 254,134.31 1.13
13 - 24 1 110,509.61 0.49
----------------------------------------------------------------------
TOTAL 146 $ 22,482,861.36 100.00%
</TABLE>
Property Type
<TABLE>
<CAPTION>
Number of Percentage of
Statistic Calculation Statistic Calculation Date Statistic Calculation Date
Property Type Mortgage Loans Principal Balance Principal Balance
------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
Single Family 57 $ 13,438,056.49 59.77%
</TABLE>
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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.
28
<PAGE>
- --------------------------------------------------------------------------------
Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset Backed Certificates, Series 1999-3
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C>
Condominium 3 818,633.43 3.64
Two-to-Four Family 2 716,159.86 3.19
Mixed Use 84 7,510,011.58 33.40
---------------------------------------------------------------------------
TOTAL 146 $ 22,482,861.36 100.00%
</TABLE>
DESCRIPTION OF THE COLLATERAL
Loan Group F2
Occupancy Type
<TABLE>
<CAPTION>
Number of Percentage of
Statistic Calculation Statistic Calculation Date Statistic Calculation Date
Occupancy Type Mortgage Loans Principal Balance Principal Balance
-------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
Owner Occupied 110 $ 19,340,270.25 86.02%
Non-Owner Occupied 36 3,142,591.11 13.98
---------------------------------------------------------------------------
TOTAL 146 $ 22,482,861.36 100.00%
</TABLE>
Documentation Type
<TABLE>
<CAPTION>
Number of Percentage of
Statistic Calculation Statistic Calculation Date Statistic Calculation Date
Documentation Type Mortgage Loans Principal Balance Principal Balance
------------------ -------------- ----------------- -----------------
<S> <C> <C> <C>
Full Documentation 93 $ 14,819,868.86 65.92%
No Income Verification(NIV) 41 5,616,801.17 24.98
NIV, No Asset Verification 2 547,797.95 2.44
Alternate Documentation 10 1,498,393.38 6.66
---------------------------------------------------------------------------
TOTAL 146 $ 22,482,861.36 100.00%
</TABLE>
Purpose
<TABLE>
<CAPTION>
Number of Percentage of
Statistic Calculation Statistic Calculation Date Statistic Calculation Date
Purpose Mortgage Loans Principal Balance Principal Balance
------- -------------- ----------------- -----------------
<S> <C> <C> <C>
Purchase 28 $ 4,990,751.71 22.20%
Rate/Term Refinance 11 2,282,418.91 10.15
Cash Out Refinance 77 10,401,795.41 46.27
Debt Consolidation 30 4,807,895.33 21.38
---------------------------------------------------------------------------
TOTAL 146 $ 22,482,861.36 100.00%
</TABLE>
FICO Credit Score Distribution
<TABLE>
<CAPTION>
Number of Percentage of
Statistic Calculation Statistic Calculation Date Statistic Calculation Date
Range of FICO Scores Mortgage Loans Principal Balance Principal Balance
- -------------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
751 to 800 6 $ 746,009.67 3.32%
701 to 750 14 2,053,745.47 9.13
651 to 700 22 3,318,723.40 14.76
601 to 650 32 5,027,904.94 22.36
551 to 600 24 3,391,892.09 15.09
</TABLE>
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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.
29
<PAGE>
- --------------------------------------------------------------------------------
Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset Backed Certificates, Series 1999-3
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C>
501 to 550 16 2,710,671.38 12.06
451 to 500 4 558,601.35 2.48
401 to 450 2 167,918.55 0.75
N/A 26 4,507,394.51 20.05
---------------------------------------------------------------------------
TOTAL 146 $22,482,861.36 100.00%
</TABLE>
DESCRIPTION OF THE COLLATERAL
Loan Group A
<TABLE>
<CAPTION>
Total Minimum Maximum
Summary ----- ------- -------
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Cut-off Date Aggregate Principal Balance 78,475,168.59
Number of Loans 973
Average Original Loan Balance 80,705.76 18,200.00 326,794.00
Average Current Loan Balance 80,652.79 18,179.92 326,794.00
Weighted Average Combined Original LTV 78.25% 25.25% 90.00%
Weighted Average Gross Coupon 10.401% 7.300% 14.990%
Weighted Average Remaining Term to Maturity (months) 359 179 360
Weighted Average Original Term (months) 360 180 360
Weighted Average Gross Margin 6.297% 3.250% 10.500%
Weighted Average Lifetime Cap 17.374% 13.650% 21.990%
Weighted Average Lifetime Floor 10.191% 0.000% 14.990%
Weighted Average Periodic Cap 1.000% 1.000% 1.000%
Weighted Average First Adjustment Cap 3.000% 3.000% 3.000%
Weighted Average FICO Credit Score* 601 451 791
- -------------------------------------------------------------------------------------------------------------------------------
</TABLE>
* Based upon FICO Credit Score available on 81.62% of Loan Group A mortgage
loans.
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
Percent of Statistic Calculation
Range Date Principal Balance
----- ----------------------
<S> <C> <C>
Fully Amortizing Loans 100.00%
Product Type 2/28 Libor 15.28%
3/27 Libor 84.72%
Lien Position First 100.00%
Property Type Single Family 85.98%
2-4 Family 9.01%
Condominium 4.96%
Mobile Home 0.05%
Occupancy Status Owner Occupied 92.73%
Non-owner Occupied 7.27%
Geographic Distribution Ohio 27.86%
Illinois 9.55%
New Jersey 8.29%
Pennsylvania 7.72%
Michigan 6.31%
Largest Zip Code Concentration 07205 0.69%
Loans with Prepayment Penalties 91.88%
Credit Grade** A 47.87%
</TABLE>
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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.
30
<PAGE>
- --------------------------------------------------------------------------------
Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset Backed Certificates, Series 1999-3
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
B 23.95%
C 21.83%
D 6.35%
Delinquency 30-59 days 2.34%
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
** Credit Grade stratification above is based upon Delta's Underwriting
Guidelines and Criteria.
DESCRIPTION OF THE COLLATERAL
Loan Group A
Statistic Calculation Date Principal Balances
<TABLE>
<CAPTION>
Range of Number of Percentage of
Statistic Calculation Date Statistic Calculation Statistic Calculation Date Statistic Calculation Date
Principal Balances Mortgage Loans Principal Balance Principal Balance
------------------ -------------- ----------------- -----------------
<S> <C> <C> <C>
$ 0.01 - $ 25,000.00 26 $ 587,517.19 0.75%
$ 25,000.01 - $ 50,000.00 227 9,126,319.16 11.63
$ 50,000.01 - $ 75,000.00 304 19,103,972.53 24.34
$ 75,000.01 - $100,000.00 175 15,214,913.97 19.39
$100,000.01 - $125,000.00 116 12,923,149.66 16.47
$125,000.01 - $150,000.00 52 7,008,105.60 8.93
$150,000.01 - $175,000.00 21 3,415,398.43 4.35
$175,000.01 - $200,000.00 22 4,099,718.35 5.22
$200,000.01 - $225,000.00 16 3,414,877.98 4.35
$225,000.01 - $250,000.00 8 1,877,345.25 2.39
$250,000.01 - $275,000.00 3 784,775.28 1.00
$275,000.01 - $300,000.00 1 280,402.00 0.36
$300,000.01 - $325,000.00 1 311,879.19 0.40
$325,000.01 - $350,000.00 1 326,794.00 0.42
---------------------------------------------------------------------------
TOTAL 973 $ 78,475,168.59 100.00%
</TABLE>
Original Loan-to-Value Ratios
<TABLE>
<CAPTION>
Number of Percentage of
Range of Original Statistic Calculation Statistic Calculation Date Statistic Calculation Date
Loan-to-Value Ratios Mortgage Loans Principal Balance Principal Balance
- -------------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
25.01% - 30.00% 3 $ 104,911.74 0.13%
30.01% - 35.00% 4 205,971.18 0.26
35.01% - 40.00% 3 207,825.48 0.26
40.01% - 45.00% 10 451,175.07 0.57
45.01% - 50.00% 11 790,923.98 1.01
50.01% - 55.00% 26 1,533,542.08 1.95
55.01% - 60.00% 43 2,313,625.79 2.95
60.01% - 65.00% 58 3,553,912.82 4.53
65.01% - 70.00% 107 7,545,242.30 9.61
70.01% - 75.00% 117 8,731,803.15 11.13
75.01% - 80.00% 290 24,286,383.01 30.95
</TABLE>
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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.
31
<PAGE>
- --------------------------------------------------------------------------------
Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset Backed Certificates, Series 1999-3
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C>
80.01% - 85.00% 152 14,614,103.35 18.62
85.01% - 90.00% 149 14,135,748.64 18.01
----------------------------------------------------------------------------
TOTAL 973 $ 78,475,168.59 100.00%
</TABLE>
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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.
32
<PAGE>
- --------------------------------------------------------------------------------
Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset Backed Certificates, Series 1999-3
- --------------------------------------------------------------------------------
DESCRIPTION OF THE COLLATERAL
Loan Group A
Geographic Distribution
<TABLE>
<CAPTION>
Number of Percentage of
Statistic Calculation Statistic Calculation Date Statistic Calculation Date
Geographic Distribution Mortgage Loans Principal Balance Principal Balance
----------------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
Ohio 303 $ 21,862,260.05 27.86%
Illinois 75 7,491,372.73 9.55
New Jersey 54 6,502,377.90 8.29
Pennsylvania 91 6,058,393.78 7.72
Michigan 67 4,950,962.33 6.31
Georgia 48 3,517,724.23 4.48
Florida 45 3,488,958.42 4.45
Missouri 41 3,225,770.40 4.11
North Carolina 37 3,013,347.40 3.84
Virginia 27 2,481,917.40 3.16
Tennessee 32 2,435,530.24 3.10
New York 19 2,403,369.71 3.06
Maryland 19 1,488,822.96 1.90
Indiana 21 1,419,502.46 1.81
Massachusetts 12 1,398,097.04 1.78
Colorado 11 876,976.40 1.12
Nevada 7 701,950.54 0.89
Louisiana 10 662,928.50 0.84
Connecticut 8 569,095.79 0.73
California 2 551,879.19 0.70
New Hampshire 5 519,896.41 0.66
Kentucky 7 455,472.28 0.58
Delaware 4 407,219.36 0.52
Wyoming 3 199,957.49 0.25
Texas 2 198,544.91 0.25
Washington 1 186,715.38 0.24
Arkansas 2 182,834.08 0.23
New Mexico 2 179,812.41 0.23
West Virginia 3 152,921.56 0.19
District of Columbia 2 150,123.09 0.19
Arizona 3 131,256.75 0.17
Wisconsin 1 89,520.23 0.11
Nebraska 1 85,600.00 0.11
Minnesota 1 76,458.13 0.10
Mississippi 1 75,029.66 0.10
Utah 1 69,918.49 0.09
Maine 1 60,000.00 0.08
Oklahoma 2 52,723.33 0.07
South Carolina 1 52,142.16 0.07
Kansas 1 47,785.40 0.06
---------------------------------------------------------------------------
TOTAL 973 $ 78,475,168.59 100.00%
</TABLE>
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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.
33
<PAGE>
- --------------------------------------------------------------------------------
Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset Backed Certificates, Series 1999-3
- --------------------------------------------------------------------------------
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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.
34
<PAGE>
- --------------------------------------------------------------------------------
Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset Backed Certificates, Series 1999-3
- --------------------------------------------------------------------------------
DESCRIPTION OF THE COLLATERAL
Loan Group A
Statistic Calculation Date Loan Rates
<TABLE>
<CAPTION>
Range of Number of Percentage of
Statistic Calculation Date Statistic Calculation Statistic Calculation Date Statistic Calculation Date
Loan Rates Mortgage Loans Principal Balance Principal Balance
---------- -------------- ----------------- -----------------
<S> <C> <C> <C>
7.001% - 7.500% 5 $ 326,709.39 0.42%
7.501% - 8.000% 19 1,504,069.49 1.92
8.001% - 8.500% 27 2,332,523.01 2.97
8.501% - 9.000% 70 6,302,510.54 8.03
9.001% - 9.500% 109 10,020,047.67 12.77
9.501% - 10.000% 166 14,364,247.94 18.30
10.001% - 10.500% 133 10,343,366.58 13.18
10.501% - 11.000% 156 12,748,342.84 16.25
11.001% - 11.500% 96 7,560,229.43 9.63
11.501% - 12.000% 75 5,991,367.92 7.63
12.001% - 12.500% 43 2,646,324.23 3.37
12.501% - 13.000% 30 1,677,510.59 2.14
13.001% - 13.500% 15 974,980.83 1.24
13.501% - 14.000% 12 526,009.75 0.67
14.001% - 14.500% 10 781,074.34 1.00
14.501% - 15.000% 7 375,854.04 0.48
---------------------------------------------------------------------------
TOTAL 973 $ 78,475,168.59 100.00%
</TABLE>
Original Terms to Stated Maturity
<TABLE>
<CAPTION>
Number of Percentage of
Range of Original Terms Statistic Calculation Statistic Calculation Date Statistic Calculation Date
to Stated Maturity (in months) Mortgage Loans Principal Balance Principal Balance
- ------------------------------ -------------- ----------------- -----------------
<S> <C> <C> <C>
121 - 180 1 $ 23,937.09 0.03%
301 - 360 972 78,451,231.50 99.97
---------------------------------------------------------------------------
TOTAL 973 $ 78,475,168.59 100.00%
</TABLE>
Remaining Terms to Stated Maturity
<TABLE>
<CAPTION>
Number of Percentage of
Range of Remaining Terms Statistic Calculation Statistic Calculation Date Statistic Calculation Date
to Stated Maturity (in months) Mortgage Loans Principal Balance Principal Balance
- ------------------------------ -------------- ----------------- -----------------
<S> <C> <C> <C>
121 - 180 1 $ 23,937.09 0.03%
301 - 360 972 78,451,231.50 99.97
---------------------------------------------------------------------------
TOTAL 973 $ 78,475,168.59 100.00%
</TABLE>
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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.
35
<PAGE>
- --------------------------------------------------------------------------------
Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset Backed Certificates, Series 1999-3
- --------------------------------------------------------------------------------
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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.
36
<PAGE>
- --------------------------------------------------------------------------------
Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset Backed Certificates, Series 1999-3
- --------------------------------------------------------------------------------
DESCRIPTION OF THE COLLATERAL
Loan Group A
Months Since Origination
<TABLE>
<CAPTION>
Number of Percentage of
Range of Months Statistic Calculation Statistic Calculation Date Statistic Calculation Date
Since Origination Mortgage Loans Principal Balance Principal Balance
- ----------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
1 - 3 938 $ 75,659,781.93 96.41%
4 - 6 34 2,703,825.85 3.45
7 - 12 1 111,560.81 0.14
---------------------------------------------------------------------------
TOTAL 973 $ 78,475,168.59 100.00%
</TABLE>
Property Type
<TABLE>
<CAPTION>
Number of Percentage of
Statistic Calculation Statistic Calculation Date Statistic Calculation Date
Property Type Mortgage Loans Principal Balance Principal Balance
------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
Single Family 833 $ 67,473,689.93 85.98%
Condominium 55 3,891,790.43 4.96
Mobile Home 1 37,430.73 0.05
Two-to-Four Family 84 7,072,257.50 9.01
--------------------------------------------------------------------------
TOTAL 973 $ 78,475,168.59 100.00%
</TABLE>
Occupancy Type
<TABLE>
<CAPTION>
Number of Percentage of
Statistic Calculation Statistic Calculation Date Statistic Calculation Date
Occupancy Type Mortgage Loans Principal Balance Principal Balance
-------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
Owner Occupied 877 $ 72,768,300.64 92.73%
Non-Owner Occupied 96 5,706,867.95 7.27
---------------------------------------------------------------------------
TOTAL 973 $ 78,475,168.59 100.00%
</TABLE>
Documentation Type
<TABLE>
<CAPTION>
Number of Percentage of
Statistic Calculation Statistic Calculation Date Statistic Calculation Date
Documentation Type Mortgage Loans Principal Balance Principal Balance
------------------ -------------- ----------------- -----------------
<S> <C> <C> <C>
Full Documentation 748 $ 59,653,989.12 76.02%
No Income Verification (NIV) 107 9,713,668.25 12.38
NIV, No Asset Verification 27 2,232,592.19 2.84
Alternate Documentation 91 6,874,919.03 8.76
---------------------------------------------------------------------------
TOTAL 973 $ 78,475,168.59 100.00%
</TABLE>
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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.
37
<PAGE>
- --------------------------------------------------------------------------------
Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset Backed Certificates, Series 1999-3
- --------------------------------------------------------------------------------
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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.
38
<PAGE>
- --------------------------------------------------------------------------------
Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset Backed Certificates, Series 1999-3
- --------------------------------------------------------------------------------
DESCRIPTION OF THE COLLATERAL
Loan Group A
Purpose
<TABLE>
<CAPTION>
Number of Percentage of
Statistic Calculation Statistic Calculation Date Statistic Calculation Date
Purpose Mortgage Loans Principal Balance Principal Balance
------- -------------- ----------------- -----------------
<S> <C> <C> <C>
Purchase 118 $ 10,072,146.74 12.83%
Rate/Term Refinance 155 12,373,570.44 15.77
Cash Out Refinance 415 32,881,658.99 41.90
Debt Consolidation 285 23,147,792.42 29.50
---------------------------------------------------------------------------
TOTAL 973 $ 78,475,168.59 100.00%
</TABLE>
Month of Next Rate Change Date
<TABLE>
<CAPTION>
Number of Percentage of
Statistic Calculation Statistic Calculation Date Statistic Calculation Date
Month of Next Rate Change Date Mortgage Loans Principal Balance Principal Balance
- ------------------------------ -------------- ----------------- -----------------
<S> <C> <C> <C>
April-01 2 $ 183,548.35 0.23%
May-01 4 210,847.47 0.27
June-01 33 2,988,466.04 3.81
July-01 31 2,480,112.74 3.16
August-01 41 3,881,576.04 4.95
September-01 25 2,132,394.00 2.72
October-01 2 115,500.00 0.15
January-02 1 111,560.81 0.14
March-02 3 174,030.79 0.22
April-02 1 45,890.94 0.06
May-02 4 411,814.18 0.52
June-02 167 14,022,506.15 17.87
July-02 231 18,314,885.85 23.34
August-02 239 18,378,164.23 23.42
September-02 188 14,914,071.00 19.00
October-02 1 109,800.00 0.14
-------------------------------------------------------------------------
TOTAL 973 $ 78,475,168.59 100.00%
</TABLE>
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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.
39
<PAGE>
- --------------------------------------------------------------------------------
Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset Backed Certificates, Series 1999-3
- --------------------------------------------------------------------------------
DESCRIPTION OF THE COLLATERAL
Loan Group A
Gross Margin
<TABLE>
<CAPTION>
Number of Percentage of
Statistic Calculation Statistic Calculation Date Statistic Calculation Date
Range of Gross Margins Mortgage Loans Principal Balance Principal Balance
- ---------------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
3.001% - 3.500% 3 $ 205,573.98 0.26%
3.501% - 4.000% 14 950,236.71 1.21
4.001% - 4.500% 24 1,993,245.73 2.54
4.501% - 5.000% 78 6,434,315.90 8.20
5.001% - 5.500% 110 9,910,332.12 12.63
5.501% - 6.000% 163 14,223,423.64 18.12
6.001% - 6.500% 158 12,059,113.74 15.37
6.501% - 7.000% 164 13,554,782.28 17.27
7.001% - 7.500% 119 9,111,960.51 11.61
7.501% - 8.000% 65 5,332,207.09 6.79
8.001% - 8.500% 31 1,941,918.28 2.47
8.501% - 9.000% 22 1,290,867.20 1.64
9.001% - 9.500% 12 634,190.38 0.81
9.501% - 10.000% 7 674,481.81 0.86
10.001% - 10.500% 3 158,519.22 0.20
---------------------------------------------------------------------------
TOTAL 973 $ 78,475,168.59 100.00%
</TABLE>
Lifetime Floor
<TABLE>
<CAPTION>
Number of Percentage of
Statistic Calculation Statistic Calculation Date Statistic Calculation Date
Range of Lifetime Floors Mortgage Loans Principal Balance Principal Balance
- ------------------------ -------------- ----------------- -----------------
<S> <C> <C> <C>
0.000% 14 $ 1,499,497.14 1.91%
7.001% - 7.500% 5 326,709.39 0.42
7.501% - 8.000% 19 1,504,069.49 1.92
8.001% - 8.500% 27 2,332,523.01 2.97
8.501% - 9.000% 69 6,237,026.97 7.95
9.001% - 9.500% 109 10,020,047.67 12.77
9.501% - 10.000% 165 14,305,931.22 18.23
10.001% - 10.500% 132 10,239,209.81 13.05
10.501% - 11.000% 151 12,122,457.71 15.45
11.001% - 11.500% 93 7,058,459.64 8.99
11.501% - 12.000% 75 5,991,367.92 7.63
12.001% - 12.500% 41 2,525,433.57 3.22
12.501% - 13.000% 29 1,654,516.09 2.11
13.001% - 13.500% 15 974,980.83 1.24
13.501% - 14.000% 12 526,009.75 0.67
14.001% - 14.500% 10 781,074.34 1.00
</TABLE>
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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.
40
<PAGE>
- --------------------------------------------------------------------------------
Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset Backed Certificates, Series 1999-3
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C>
14.501% - 15.000% 7 375,854.04 0.48
-------------------------------------------------------------------------
TOTAL 973 $ 78,475,168.59 100.00%
</TABLE>
DESCRIPTION OF THE COLLATERAL
Loan Group A
Lifetime Cap
<TABLE>
<CAPTION>
Number of Percentage of
Statistic Calculation Statistic Calculation Date Statistic Calculation Date
Range of Lifetime Caps Mortgage Loans Principal Balance Principal Balance
- ---------------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
13.501% - 14.000% 1 $ 99,941.26 0.13%
14.001% - 14.500% 5 326,709.39 0.42
14.501% - 15.000% 21 1,606,534.45 2.05
15.001% - 15.500% 29 2,639,238.39 3.36
15.501% - 16.000% 72 6,400,015.68 8.16
16.001% - 16.500% 109 10,034,229.30 12.79
16.501% - 17.000% 165 14,648,117.42 18.67
17.001% - 17.500% 133 10,136,244.39 12.92
17.501% - 18.000% 153 12,260,473.07 15.62
18.001% - 18.500% 96 7,567,345.27 9.64
18.501% - 19.000% 74 5,895,456.85 7.51
19.001% - 19.500% 41 2,525,433.57 3.22
19.501% - 20.000% 30 1,677,510.59 2.14
20.001% - 20.500% 15 974,980.83 1.24
20.501% - 21.000% 12 526,009.75 0.67
21.001% - 21.500% 10 781,074.34 1.00
21.501% - 22.000% 7 375,854.04 0.48
-------------------------------------------------------------------------
TOTAL 973 $ 78,475,168.59 100.00%
</TABLE>
FICO Credit Score Distribution
<TABLE>
<CAPTION>
Number of Percentage of
Statistic Calculation Statistic Calculation Date Statistic Calculation Date
Range of FICO Scores Mortgage Loans Principal Balance Principal Balance
- -------------------- -------------- ----------------- -----------------
<S> <C> <C> <C>
751 to 800 12 $ 1,447,507.49 1.84%
701 to 750 39 3,117,725.95 3.97
651 to 700 104 8,177,917.71 10.42
601 to 650 235 19,585,364.09 24.96
551 to 600 207 16,497,499.95 21.02
501 to 550 171 12,190,399.74 15.53
451 to 500 47 3,035,310.91 3.87
N/A 158 14,423,442.75 18.38
--------------------------------------------------------------------------
TOTAL 973 $ 78,475,168.59 100.00%
</TABLE>
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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.
41
<PAGE>
- --------------------------------------------------------------------------------
Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset Backed Certificates, Series 1999-3
- --------------------------------------------------------------------------------
BOND SUMMARY (to Maturity)
The following tables are based on assumed mortgage loan pools with different
characteristics from the characteristics described in the collateral summary and
tables on the preceding pages. The yield tables below assume higher coupons on
the additional loans to be delivered (based on Delta Financial Corporation's
expectations).
<TABLE>
<CAPTION>
A-1F (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR (Group A Loans) 10% 15% 20% 30% 32% 35% 40%
PPC (Group F Loans) 50% 75% 100% 115% 160% 175% 200%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield @ 100.0% 7.45 7.44 7.43 7.42 7.39 7.37 7.35
Average Life (yrs.) 6.93 5.02 3.87 3.31 2.41 2.17 1.83
Modified Duration (yrs.) 4.52 3.57 2.94 2.59 1.99 1.82 1.57
First Principal Payment Date 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999
Last Principal Payment Date 08/15/2028 08/15/2025 12/15/2020 10/15/2017 03/15/2013 12/15/2011 03/15/2010
Payment Windows (mos.) 345 309 253 215 160 145 124
<CAPTION>
A-2F (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR (Group A Loans) 10% 15% 20% 30% 32% 35% 40%
PPC (Group F Loans) 50% 75% 100% 115% 160% 175% 200%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield 100.0% 7.52 7.51 7.50 7.49 7.46 7.44 7.42
Average Life (yrs.) 6.93 5.02 3.87 3.31 2.41 2.17 1.83
Modified Duration (yrs.) 4.51 3.56 2.93 2.59 1.99 1.82 1.57
First Principal Payment Date 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999
Last Principal Payment Date 08/15/2028 08/15/2025 12/15/2020 10/15/2017 03/15/2013 12/15/2011 03/15/2010
Payment Windows (mos.) 345 309 253 215 160 145 124
<CAPTION>
M-1 (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR (Group A Loans) 10% 15% 20% 30% 32% 35% 40%
PPC (Group F Loans) 50% 75% 100% 115% 160% 175% 200%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield @ 97.13548% 8.07 8.15 8.23 8.31 8.41 8.44 8.46
Average Life (yrs.) 12.95 9.37 7.18 5.96 4.75 4.52 4.35
Modified Duration (yrs.) 7.46 6.07 5.03 4.39 3.72 3.59 3.51
First Principal Payment Date 01/15/2006 02/15/2004 02/15/2003 01/15/2003 03/15/2003 04/15/2003 06/15/2003
Last Principal Payment Date 06/15/2026 05/15/2021 10/15/2016 02/15/2014 06/15/2010 06/15/2009 01/15/2008
Payment Windows (mos.) 246 208 165 134 88 75 56
<CAPTION>
M-2 (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR (Group A Loans) 10% 15% 20% 30% 32% 35% 40%
PPC (Group F Loans) 50% 75% 100% 115% 160% 175% 200%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield @ 93.03723% 8.65 8.86 9.10 9.31 9.62 9.72 9.83
Average Life (yrs.) 12.84 9.24 7.07 5.86 4.60 4.32 4.01
Modified Duration (yrs.) 7.28 5.92 4.91 4.27 3.57 3.41 3.23
First Principal Payment Date 01/15/2006 02/15/2004 02/15/2003 12/15/2002 01/15/2003 02/15/2003 03/15/2003
Last Principal Payment Date 08/15/2024 01/15/2019 10/15/2014 05/15/2012 02/15/2009 04/15/2008 01/15/2007
Payment Windows (mos.) 224 180 141 114 74 63 47
</TABLE>
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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.
42
<PAGE>
- --------------------------------------------------------------------------------
Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset Backed Certificates, Series 1999-3
- --------------------------------------------------------------------------------
BOND SUMMARY (to Maturity)
The following tables are based on assumed mortgage loan pools with different
characteristics from the characteristics described in the collateral summary and
tables on the preceding pages. The yield tables below assume higher coupons on
the additional loans to be delivered (based on Delta Financial Corporation's
expectations).
<TABLE>
<CAPTION>
B (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR (Group A Loans) 10% 15% 20% 30% 32% 35% 40%
PPC (Group F Loans) 50% 75% 100% 115% 160% 175% 200%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield @ 84.50936% 10.02 10.58 11.18 11.72 12.56 12.82 13.18
Average Life (yrs.) 12.27 8.76 6.69 5.53 4.31 4.03 3.70
Modified Duration (yrs.) 6.85 5.55 4.58 3.97 3.30 3.13 2.94
First Principal Payment Date 01/15/2006 02/15/2004 02/15/2003 12/15/2002 12/15/2002 12/15/2002 12/15/2002
Last Principal Payment Date 06/15/2022 09/15/2016 12/15/2012 10/15/2010 12/15/2007 03/15/2007 02/15/2006
Payment Windows (mos.) 198 152 119 95 61 52 39
<CAPTION>
A-1A (To Maturity)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR (Group A Loans) 10% 15% 20% 30% 32% 35% 40%
PPC (Group F Loans) 50% 75% 100% 115% 160% 175% 200%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 6.86 4.90 3.73 2.73 2.23 1.99 1.65
First Principal Payment Date 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999
Last Principal Payment Date 08/15/2028 08/15/2025 12/15/2020 10/15/2017 03/15/2013 12/15/2011 03/15/2010
Payment Windows (mos.) 345 309 253 215 160 145 124
</TABLE>
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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.
43
<PAGE>
- --------------------------------------------------------------------------------
Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset Backed Certificates, Series 1999-3
- --------------------------------------------------------------------------------
BOND SUMMARY (to Call)
The following tables are based on assumed mortgage loan pools with different
characteristics from the characteristics described in the collateral summary and
tables on the preceding pages. The yield tables below assume higher coupons on
the additional loans to be delivered (based on Delta Financial Corporation's
expectations).
<TABLE>
<CAPTION>
A-1F (To Call)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR (Group A Loans) 10% 15% 20% 30% 32% 35% 40%
PPC (Group F Loans) 50% 75% 100% 115% 160% 175% 200%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield @ 100.0% 7.44 7.42 7.40 7.39 7.35 7.34 7.31
Average Life (yrs.) 6.55 4.67 3.59 3.04 2.22 2.00 1.69
Modified Duration (yrs.) 4.44 3.46 2.82 2.47 1.89 1.73 1.48
First Principal Payment Date 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999
Last Principal Payment Date 09/15/2017 10/15/2012 10/15/2009 02/15/2008 12/15/2005 05/15/2005 08/15/2004
Payment Windows (mos.) 214 155 119 99 73 66 57
<CAPTION>
A-2F (To Call)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR (Group A Loans) 10% 15% 20% 30% 32% 35% 40%
PPC (Group F Loans) 50% 75% 100% 115% 160% 175% 200%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield @ 100.0% 7.51 7.49 7.47 7.46 7.42 7.41 7.38
Average Life (yrs.) 6.55 4.67 3.59 3.04 2.22 2.00 1.69
Modified Duration (yrs.) 4.42 3.46 2.82 2.46 1.89 1.72 1.48
First Principal Payment Date 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999
Last Principal Payment Date 09/15/2017 10/15/2012 10/15/2009 02/15/2008 12/15/2005 05/15/2005 08/15/2004
Payment Windows (mos.) 214 155 119 99 73 66 57
<CAPTION>
M-1 (To Call)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR (Group A Loans) 10% 15% 20% 30% 32% 35% 40%
PPC (Group F Loans) 50% 75% 100% 115% 160% 175% 200%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield @ 97.13548% 8.07 8.16 8.26 8.34 8.46 8.48 8.50
Average Life (yrs.) 12.09 8.60 6.56 5.44 4.36 4.16 4.05
Modified Duration (yrs.) 7.30 5.85 4.81 4.17 3.52 3.40 3.33
First Principal Payment Date 01/15/2006 02/15/2004 02/15/2003 01/15/2003 03/15/2003 04/15/2003 06/15/2003
Last Principal Payment Date 09/15/2017 10/15/2012 10/15/2009 02/15/2008 12/15/2005 05/15/2005 08/15/2004
Payment Windows (mos.) 141 105 81 62 34 26 15
<CAPTION>
M-2 (To Call)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR (Group A Loans) 10% 15% 20% 30% 32% 35% 40%
PPC (Group F Loans) 50% 75% 100% 115% 160% 175% 200%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield @ 93.03723% 8.67 8.90 9.16 9.38 9.72 9.82 9.93
Average Life (yrs.) 12.09 8.60 6.56 5.43 4.27 4.02 3.77
Modified Duration (yrs.) 7.16 5.75 4.73 4.09 3.41 3.25 3.09
First Principal Payment Date 01/15/2006 02/15/2004 02/15/2003 12/15/2002 01/15/2003 02/15/2003 03/15/2003
Last Principal Payment Date 09/15/2017 10/15/2012 10/15/2009 02/15/2008 12/15/2005 05/15/2005 08/15/2004
</TABLE>
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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.
44
<PAGE>
- --------------------------------------------------------------------------------
Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset Backed Certificates, Series 1999-3
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
Payment Windows (mos.) 141 105 81 63 36 28 18
</TABLE>
BOND SUMMARY (to Call)
The following tables are based on assumed mortgage loan pools with different
characteristics from the characteristics described in the collateral summary and
tables on the preceding pages. The yield tables below assume higher coupons on
the additional loans to be delivered (based on Delta Financial Corporation's
expectations).
<TABLE>
<CAPTION>
B (To Call)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR (Group A Loans) 10% 15% 20% 30% 32% 35% 40%
PPC (Group F Loans) 50% 75% 100% 115% 160% 175% 200%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Yield @ 84.50936% 10.04 10.61 11.24 11.79 12.66 12.93 13.28
Average Life (yrs.) 11.96 8.51 6.48 5.37 4.18 3.91 3.60
Modified Duration (yrs.) 6.81 5.49 4.52 3.91 3.24 3.08 2.89
First Principal Payment Date 01/15/2006 02/15/2004 02/15/2003 12/15/2002 12/15/2002 12/15/2002 12/15/2002
Last Principal Payment Date 09/15/2017 10/15/2012 10/15/2009 02/15/2008 12/15/2005 05/15/2005 08/15/2004
Payment Windows (mos.) 141 105 81 63 37 30 21
<CAPTION>
A-1A (To Call)
- ------------------------------------------------------------------------------------------------------------------------------------
CPR (Group A Loans) 10% 15% 20% 30% 32% 35% 40%
PPC (Group F Loans) 50% 75% 100% 115% 160% 175% 200%
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Average Life (yrs.) 6.49 4.56 3.46 2.60 2.06 1.84 1.52
First Principal Payment Date 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999 12/15/1999
Last Principal Payment Date 09/15/2017 10/15/2012 10/15/2009 02/15/2008 12/15/2005 05/15/2005 08/15/2004
Payment Windows (mos.) 214 155 119 99 73 66 57
</TABLE>
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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.
45
<PAGE>
- --------------------------------------------------------------------------------
Delta Funding Home Equity Loan Trust 1999-3
Home Equity Loan Asset Backed Certificates, Series 1999-3
- --------------------------------------------------------------------------------
GROUP A Net WAC CAP*
<TABLE>
<CAPTION>
- ------------------------------------------- ------------------------------------------ ------------------------------------------
Period Pay Date Scenario I Scenario II Period Pay Date Scenario I Scenario II Period Pay Date Scenario I Scenario II
=========================================== ========================================== ==========================================
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
1 12/15/99 9.87 9.87 36 11/15/02 11.04 11.89 71 10/15/05 11.79 14.00
2 1/15/00 9.87 9.87 37 12/15/02 11.79 13.18 72 11/15/05 11.79 14.00
3 2/15/00 9.87 9.87 38 1/15/03 11.79 13.18 73 12/15/05 11.79 14.00
4 3/15/00 9.87 9.87 39 2/15/03 11.79 13.18 74 1/15/06 11.79 14.00
5 4/15/00 9.87 9.87 40 3/15/03 11.79 13.25 75 2/15/06 11.79 14.00
6 5/15/00 9.87 9.87 41 4/15/03 11.79 13.25 76 3/15/06 11.79 14.00
7 6/15/00 9.87 9.87 42 5/15/03 11.79 13.70 77 4/15/06 11.79 14.00
8 7/15/00 9.87 9.87 43 6/15/03 11.79 14.00 78 5/15/06 11.79 14.00
9 8/15/00 9.87 9.87 44 7/15/03 11.79 14.00 79 6/15/06 11.79 14.00
10 9/15/00 9.87 9.87 45 8/15/03 11.79 14.00 80 7/15/06 11.79 14.00
11 10/15/00 9.87 9.87 46 9/15/03 11.79 14.00 81 8/15/06 11.79 14.00
12 11/15/00 9.87 9.87 47 10/15/03 11.79 14.00 82 9/15/06 11.79 14.00
13 12/15/00 9.87 9.87 48 11/15/03 11.79 14.00 83 10/15/06 11.79 14.00
14 1/15/01 9.87 9.87 49 12/15/03 11.79 14.00 84 11/15/06 11.79 14.00
15 2/15/01 9.87 9.87 50 1/15/04 11.79 14.00 85 12/15/06 11.79 14.00
16 3/15/01 9.87 9.87 51 2/15/04 11.79 14.00 86 1/15/07 11.79 14.00
17 4/15/01 9.87 9.87 52 3/15/04 11.79 14.00 87 2/15/07 11.79 14.00
18 5/15/01 9.87 9.87 53 4/15/04 11.79 14.00 88 3/15/07 11.79 14.00
19 6/15/01 9.87 9.87 54 5/15/04 11.79 14.00 89 4/15/07 11.79 14.00
20 7/15/01 9.87 9.87 55 6/15/04 11.79 14.00 90 5/15/07 11.79 14.00
21 8/15/01 9.87 9.87 56 7/15/04 11.79 14.00 91 6/15/07 11.79 14.00
22 9/15/01 9.90 9.91 57 8/15/04 11.79 14.00 92 7/15/07 11.79 14.00
23 10/15/01 9.90 9.91 58 9/15/04 11.79 14.00 93 8/15/07 11.79 14.00
24 11/15/01 10.03 10.11 59 10/15/04 11.79 14.00 94 9/15/07 11.79 14.00
25 12/15/01 10.16 10.33 60 11/15/04 11.79 14.00 95 10/15/07 11.79 14.00
26 1/15/02 10.16 10.33 61 12/15/04 11.79 14.00 96 11/15/07 11.79 14.00
27 2/15/02 10.16 10.33 62 1/15/05 11.79 14.00 97 12/15/07 11.79 14.00
28 3/15/02 10.16 10.34 63 2/15/05 11.79 14.00 98 1/15/08 11.79 14.00
29 4/15/02 10.16 10.34 64 3/15/05 11.79 14.00 99 2/15/08 11.79 14.00
------------------------------------------
30 5/15/02 10.17 10.41 65 4/15/05 11.79 14.00
31 6/15/02 10.17 10.49 66 5/15/05 11.79 14.00
32 7/15/02 10.17 10.49 67 6/15/05 11.79 14.00
33 8/15/02 10.17 10.49 68 7/15/05 11.79 14.00
34 9/15/02 10.31 10.69 69 8/15/05 11.79 14.00
35 10/15/02 10.31 10.69 70 9/15/05 11.79 14.00
- ------------------------------------------- ------------------------------------------
</TABLE>
* Group A Net WAC Cap in Scenario I is calculated assuming 6 month LIBOR stays
constant at 6.07625% and run at the pricing speed to call.
Group A Net WAC Cap in Scenario II 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.
Banc of America Securities LLC
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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.
46
<PAGE>
Banc of America Securities LLC Scenario Table
- --------------------------------------------------------------------------------
IO Price/Yield
Bond Class: IOF
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------
Settle Date Call % Run To Description First Accrual Next Pay Actual Delay Issue Balance
Date Date
- ----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
11/30/1999 10.0 Call IO 11/01/1999 12/15/1999 14 200,200,000.00
- ----------------------------------------------------------------------------------------------------------------
<CAPTION>
Balance Principal Coupon Interest Index Margin
Type Type Type Accrued Interest
- ------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
200,200,000.00 Notional 6.00000 Fixed None 0.0000 967,633.33
- ------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
PP=25.0 PP=50.0 PP=53.0 PP=54.0 PP=55.0 PP=60.0 PP=61.0 PP=62.0 PP=65.0
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
8.71765 7.60000 7.60000 7.60000 7.60000 6.66260 0.80178 0.71218 -0.96608 -5.37065
- ------------------------------------------------------------------------------------------------------------------------------------
WAL 1.61955 1.61955 1.61955 1.61955 1.60173 1.50379 1.50244 1.47780 1.41828
- ------------------------------------------------------------------------------------------------------------------------------------
Mod Dur 1.01110 1.01110 1.01110 1.01110 1.00339 0.96499 0.96455 0.95608 0.93819
- ------------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 02/15/2000 02/15/2000 02/15/2000 02/15/2000 02/15/2000 02/15/2000 02/15/2000 02/15/2000 02/15/2000
- ------------------------------------------------------------------------------------------------------------------------------------
Maturity 11/15/2002 11/15/2002 11/15/2002 11/15/2002 10/15/2002 05/15/2002 05/15/2002 04/15/2002 02/15/2002
- ------------------------------------------------------------------------------------------------------------------------------------
Prin Window 34 34 34 34 33 28 28 27 25
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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 1 of 1
<PAGE>
Banc of America Securities LLC Scenario Table
- --------------------------------------------------------------------------------
M1 (to Call - Deal does not Stepdown)
Bond Class: M1
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
Settle Date Call % Run To Description First Accrual Next Pay Actual Delay Issue Balance
Date Date
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
11/30/1999 10.0 Call MEZ 11/01/1999 12/15/1999 14 44,450,000.00
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
Balance Principal Coupon Interest Index Type Margin
Type Type Accrued Interest
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
44,450,000.00 Normal 7.6000 Fixed None 0.0000 272,132.78
- ----------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
PP=50.0;10.0;50.0 PP=75.0;15.0;75.0 PP=100.0;20.0;100.0 PP=115.0;30.0;115.0 PP=160.0;32.0;160.0
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
97.13548 8.01 8.07 8.13 8.20 8.32
- ---------------------------------------------------------------------------------------------------------------------------------
WAL 16.38 11.86 9.06 7.48 5.55
- ---------------------------------------------------------------------------------------------------------------------------------
Mod Dur 8.92 7.46 6.25 5.46 4.33
- ---------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 09/15/2014 07/15/2010 01/15/2008 08/15/2006 11/15/2004
- ---------------------------------------------------------------------------------------------------------------------------------
Maturity 09/15/2017 10/15/2012 10/15/2009 02/15/2008 12/15/2005
- ---------------------------------------------------------------------------------------------------------------------------------
Prin Window 37 28 22 19 14
- ---------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ----------------------------------------------------------------
PP=175.0;35.0;175.0 PP=200.0;40.0;200.0
- ----------------------------------------------------------------
<S> <C> <C>
97.13548 8.37 8.46
- ----------------------------------------------------------------
WAL 5.02 4.31
- ----------------------------------------------------------------
Mod Dur 3.99 3.52
- ----------------------------------------------------------------
FirstPrinPay 05/15/2004 10/15/2003
- ----------------------------------------------------------------
Maturity 05/15/2005 08/15/2004
- ----------------------------------------------------------------
Prin Window 13 11
- ----------------------------------------------------------------
</TABLE>
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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 1 of 1
<PAGE>
Banc of America Securities LLC Scenario Table
- --------------------------------------------------------------------------------
M1 (to Mat - Deal does not Stepdown)
Bond Class: M1
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
Settle Date Call % Run To Description First Accrual Next Pay Actual Delay Issue Balance
Date Date
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
11/30/1999 10.0 Maturity MEZ 11/01/1999 12/15/1999 14 44,450,000.00
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
Balance Principal Coupon Interest Index Type Margin
Type Type Accrued Interest
- ----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
44,450,000.00 Normal 7.6000 Fixed None 0.0000 272,132.78
- ----------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
PP=50.0;10.0;50.0 PP=75.0;15.0;75.0 PP=100.0;20.0;100.0 PP=115.0;30.0;115.0 PP=160.0;32.0;160.0
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
97.13548 8.01 8.07 8.13 8.19 8.32
- ---------------------------------------------------------------------------------------------------------------------------------
WAL 16.41 11.89 9.08 7.50 5.57
- ---------------------------------------------------------------------------------------------------------------------------------
Mod Dur 8.93 7.47 6.26 5.46 4.34
- ---------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 09/15/2014 07/15/2010 01/15/2008 08/15/2006 11/15/2004
- ---------------------------------------------------------------------------------------------------------------------------------
Maturity 04/15/2018 04/15/2013 02/15/2010 05/15/2008 03/15/2006
- ---------------------------------------------------------------------------------------------------------------------------------
Prin Window 44 34 26 22 17
- ---------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ----------------------------------------------------------------
PP=175.0;35.0;175.0 PP=200.0;40.0;200.0
- ----------------------------------------------------------------
<S> <C> <C>
97.13548 8.37 8.45
- ----------------------------------------------------------------
WAL 5.04 4.32
- ----------------------------------------------------------------
Mod Dur 4.00 3.52
- ----------------------------------------------------------------
FirstPrinPay 05/15/2004 10/15/2003
- ----------------------------------------------------------------
Maturity 08/15/2005 10/15/2004
- ----------------------------------------------------------------
Prin Window 16 13
- ----------------------------------------------------------------
</TABLE>
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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 1 of 1
<PAGE>
Banc of America Securities LLC Scenario Table
- --------------------------------------------------------------------------------
Delta
Bond Class: B
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------
Settle Date Call % Run To Description First Accrual Next Pay Actual Delay Issue Balance
Date Date
- --------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
11/30/1999 10.0 Maturity SUB 11/01/1999 12/15/1999 14 29,750,000.00
- --------------------------------------------------------------------------------------------------------------
<CAPTION>
Balance Principal Type Coupon Interest Index Type Margin Loss
Type Accrued Interest Sev. Delay
- ---------------------------------------------------------------------------------------------- ------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
29,750,000.00 Normal 7.6000 Fixed None 0.0000 182,136.11 50% 12
- ---------------------------------------------------------------------------------------------- ------------
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------
PP=50.0;10.0;50.0 PP=75.0;15.0;75.0 PP=100.0;20.0;100.0
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
DD=0.0;0.0;0.0 81.82042 10.50 11.17 11.90
- --------------------------------------------------------------------------------------------------------------------------
WAL 12.27 8.76 6.69
- --------------------------------------------------------------------------------------------------------------------------
Mod Dur 6.74 5.47 4.52
- --------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 01/15/2006 02/15/2004 02/15/2003
- --------------------------------------------------------------------------------------------------------------------------
Maturity 06/15/2022 09/15/2016 12/15/2012
- --------------------------------------------------------------------------------------------------------------------------
CollLossPercent 0.00 0.00 0.00
- --------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------
DD=1.0;1.0;1.0 81.82042 10.61 11.27 12.00
- --------------------------------------------------------------------------------------------------------------------------
WAL 11.53 8.37 6.46
- --------------------------------------------------------------------------------------------------------------------------
Mod Dur 6.50 5.30 4.41
- --------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 08/15/2005 12/15/2003 01/15/2003
- --------------------------------------------------------------------------------------------------------------------------
Maturity 04/15/2021 12/15/2015 07/15/2012
- --------------------------------------------------------------------------------------------------------------------------
CollLossPercent 3.75 2.77 2.16
- --------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------
DD=3.0;3.0;3.0 81.82042 10.82 11.49 12.21
- --------------------------------------------------------------------------------------------------------------------------
WAL 10.26 7.68 6.06
- --------------------------------------------------------------------------------------------------------------------------
Mod Dur 6.06 5.00 4.21
- --------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 01/15/2005 09/15/2003 12/15/2002
- --------------------------------------------------------------------------------------------------------------------------
Maturity 03/15/2019 09/15/2014 09/15/2011
- --------------------------------------------------------------------------------------------------------------------------
CollLossPercent 10.03 7.61 6.06
- --------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------
DD=5.0;5.0;5.0 81.82042 10.99 10.85 9.20
- --------------------------------------------------------------------------------------------------------------------------
WAL 9.37 7.65 7.73
- --------------------------------------------------------------------------------------------------------------------------
Mod Dur 5.77 5.29 5.16
- --------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 04/15/2005 09/15/2004 02/15/2004
- --------------------------------------------------------------------------------------------------------------------------
Maturity 05/15/2017 12/15/2013 11/15/2029
- --------------------------------------------------------------------------------------------------------------------------
CollLossPercent 15.04 11.69 9.47
- --------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
PP=115.0;30.0;115.0 PP=160.0;32.0;160.0 PP=175.0;35.0;175.0
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
DD=0.0;0.0;0.0 81.82042 12.54 13.55 13.86
- ------------------------------------------------------------------------------------------------------------------------------
WAL 5.53 4.31 4.03
- ------------------------------------------------------------------------------------------------------------------------------
Mod Dur 3.92 3.26 3.10
- ------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 12/15/2002 12/15/2002 12/15/2002
- ------------------------------------------------------------------------------------------------------------------------------
Maturity 10/15/2010 12/15/2007 03/15/2007
- ------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 0.00 0.00 0.00
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
DD=1.0;1.0;1.0 81.82042 12.64 13.61 13.92
- ------------------------------------------------------------------------------------------------------------------------------
WAL 5.39 4.25 3.98
- ------------------------------------------------------------------------------------------------------------------------------
Mod Dur 3.85 3.23 3.07
- ------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 12/15/2002 12/15/2002 12/15/2002
- ------------------------------------------------------------------------------------------------------------------------------
Maturity 06/15/2010 10/15/2007 01/15/2007
- ------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 1.80 1.38 1.26
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
DD=3.0;3.0;3.0 81.82042 12.82 13.74 14.01
- ------------------------------------------------------------------------------------------------------------------------------
WAL 5.14 4.14 3.90
- ------------------------------------------------------------------------------------------------------------------------------
Mod Dur 3.71 3.16 3.03
- ------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 12/15/2002 12/15/2002 12/15/2002
- ------------------------------------------------------------------------------------------------------------------------------
Maturity 11/15/2009 06/15/2007 10/15/2006
- ------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 5.11 3.98 3.65
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
DD=5.0;5.0;5.0 81.82042 6.55 4.45 3.28
- ------------------------------------------------------------------------------------------------------------------------------
WAL 6.51 5.10 4.69
- ------------------------------------------------------------------------------------------------------------------------------
Mod Dur 5.00 4.51 4.37
- ------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 10/15/2003 02/15/2003 12/15/2002
- ------------------------------------------------------------------------------------------------------------------------------
Maturity 11/15/2029 11/15/2029 11/15/2029
- ------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 8.08 6.38 5.87
- ------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ------------------------------------------------------------------
PP=200.0;40.0;200.0
- ------------------------------------------------------------------
<S> <C> <C>
DD=0.0;0.0;0.0 81.82042 14.29
- ------------------------------------------------------------------
WAL 3.70
- ------------------------------------------------------------------
Mod Dur 2.91
- ------------------------------------------------------------------
FirstPrinPay 12/15/2002
- ------------------------------------------------------------------
Maturity 02/15/2006
- ------------------------------------------------------------------
CollLossPercent 0.00
- ------------------------------------------------------------------
- ------------------------------------------------------------------
DD=1.0;1.0;1.0 81.82042 14.32
- ------------------------------------------------------------------
WAL 3.67
- ------------------------------------------------------------------
Mod Dur 2.89
- ------------------------------------------------------------------
FirstPrinPay 12/15/2002
- ------------------------------------------------------------------
Maturity 01/15/2006
- ------------------------------------------------------------------
CollLossPercent 1.10
- ------------------------------------------------------------------
- ------------------------------------------------------------------
DD=3.0;3.0;3.0 81.82042 14.05
- ------------------------------------------------------------------
WAL 3.95
- ------------------------------------------------------------------
Mod Dur 3.01
- ------------------------------------------------------------------
FirstPrinPay 12/15/2002
- ------------------------------------------------------------------
Maturity 03/15/2010
- ------------------------------------------------------------------
CollLossPercent 3.20
- ------------------------------------------------------------------
- ------------------------------------------------------------------
DD=5.0;5.0;5.0 81.82042 1.32
- ------------------------------------------------------------------
WAL 4.14
- ------------------------------------------------------------------
Mod Dur 4.15
- ------------------------------------------------------------------
FirstPrinPay 12/15/2002
- ------------------------------------------------------------------
Maturity 11/15/2029
- ------------------------------------------------------------------
CollLossPercent 5.18
- ------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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 1 of 2
<PAGE>
Banc of America Securities LLC Scenario Table
- --------------------------------------------------------------------------------
Bond Class: B
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------
Settle Date Call % Run To Description First Accrual Next Pay Actual Delay Issue Balance
Date Date
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
11/30/1999 10.0 Maturity SUB 11/01/1999 12/15/1999 14 29,750,000.00
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
Balance Principal Coupon Interest Index Type Margin Loss
Type Type Accrued Interest Sev. Delay
- ---------------------------------------------------------------------------------------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
29,750,000.00 Normal 7.6000 Fixed None 0.0000 182,136.11 50% 12
- ---------------------------------------------------------------------------------------------- -------------
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
PP=50.0;10.0;50.0 PP=75.0;15.0;75.0 PP=100.0;20.0;100.0
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
DD=7.0;7.0;7.0 81.82042 -16.25 -19.98 -21.88
- ----------------------------------------------------------------------------------------------------------------------------------
WAL 5.03 4.50 4.16
- ----------------------------------------------------------------------------------------------------------------------------------
Mod Dur 5.98 5.80 6.03
- ----------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay
- ----------------------------------------------------------------------------------------------------------------------------------
Maturity 02/15/2014 03/15/2013 07/15/2014
- ----------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 19.10 15.17 12.48
- ----------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------
DD=9.0;9.0;9.0 81.82042 -74.82 -77.60 -80.18
- ----------------------------------------------------------------------------------------------------------------------------------
WAL 2.36 2.29 2.23
- ----------------------------------------------------------------------------------------------------------------------------------
Mod Dur 3.12 3.11 3.10
- ----------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay
- ----------------------------------------------------------------------------------------------------------------------------------
Maturity 07/15/2003 06/15/2003 05/15/2003
- ----------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 22.44 18.16 15.15
- ----------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------
DD=11.0;11.0;11.0 81.82042 -97.33 -99.00 -100.58
- ----------------------------------------------------------------------------------------------------------------------------------
WAL 1.92 1.89 1.86
- ----------------------------------------------------------------------------------------------------------------------------------
Mod Dur 3.00 3.01 3.02
- ----------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay
- ----------------------------------------------------------------------------------------------------------------------------------
Maturity 07/15/2002 06/15/2002 06/15/2002
- ----------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 25.22 20.76 17.54
- ----------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------
DD=100.0;100.0;100.0 81.82042 0.44 -1.10 -4.05
- ----------------------------------------------------------------------------------------------------------------------------------
WAL 5.40 4.20 4.66
- ----------------------------------------------------------------------------------------------------------------------------------
Mod Dur 11.34 11.24 12.45
- ----------------------------------------------------------------------------------------------------------------------------------
Def Curve is 11% first FirstPrinPay 05/15/2010 11/15/2008 01/15/2009
12 months and 5% thereafter
- ----------------------------------------------------------------------------------------------------------------------------------
Maturity 01/15/2017 07/15/2014 11/15/2029
- ----------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 17.14 13.96 11.83
- ----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
PP=115.0;30.0;115.0 PP=160.0;32.0;160.0 PP=175.0;35.0;175.0
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
DD=7.0;7.0;7.0 81.82042 -29.85 -11.50 -12.13
- -----------------------------------------------------------------------------------------------------------------------------
WAL 3.65 3.89 3.74
- -----------------------------------------------------------------------------------------------------------------------------
Mod Dur 5.12 9.98 9.25
- -----------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 12/15/2012 02/15/2012
- -----------------------------------------------------------------------------------------------------------------------------
Maturity 06/15/2010 11/15/2029 11/15/2029
- -----------------------------------------------------------------------------------------------------------------------------
CollLossPercent 10.75 8.60 7.96
- -----------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------
DD=9.0;9.0;9.0 81.82042 -82.81 -85.56 -86.77
- -----------------------------------------------------------------------------------------------------------------------------
WAL 2.17 2.11 2.08
- -----------------------------------------------------------------------------------------------------------------------------
Mod Dur 3.09 3.09 3.09
- -----------------------------------------------------------------------------------------------------------------------------
FirstPrinPay
- -----------------------------------------------------------------------------------------------------------------------------
Maturity 03/15/2003 02/15/2003 02/15/2003
- -----------------------------------------------------------------------------------------------------------------------------
CollLossPercent 13.17 10.67 9.90
- -----------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------
DD=11.0;11.0;11.0 81.82042 -102.30 -104.21 -105.11
- -----------------------------------------------------------------------------------------------------------------------------
WAL 1.83 1.79 1.78
- -----------------------------------------------------------------------------------------------------------------------------
Mod Dur 3.02 3.04 3.05
- -----------------------------------------------------------------------------------------------------------------------------
FirstPrinPay
- -----------------------------------------------------------------------------------------------------------------------------
Maturity 05/15/2002 05/15/2002 05/15/2002
- -----------------------------------------------------------------------------------------------------------------------------
CollLossPercent 15.37 12.60 11.73
- -----------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------
DD=100.0;100.0;100.0 81.82042 -10.98 -48.61 -68.34
- -----------------------------------------------------------------------------------------------------------------------------
WAL 3.11 2.20 2.03
- -----------------------------------------------------------------------------------------------------------------------------
Mod Dur 15.14 6.35 4.63
- -----------------------------------------------------------------------------------------------------------------------------
Def Curve is 11% first FirstPrinPay 12/15/2018
12 months and 5% thereafter
- -----------------------------------------------------------------------------------------------------------------------------
Maturity 11/15/2029 07/15/2010 04/15/2006
- -----------------------------------------------------------------------------------------------------------------------------
CollLossPercent 10.48 8.82 8.32
- -----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- -----------------------------------------------------------------------------
PP=200.0;40.0;200.0
- -----------------------------------------------------------------------------
<S> <C> <C>
DD=7.0;7.0;7.0 81.82042 -13.80
- -----------------------------------------------------------------------------
WAL 3.45
- -----------------------------------------------------------------------------
Mod Dur 8.17
- -----------------------------------------------------------------------------
FirstPrinPay 11/15/2004
- -----------------------------------------------------------------------------
Maturity 11/15/2029
- -----------------------------------------------------------------------------
CollLossPercent 7.05
- -----------------------------------------------------------------------------
- -----------------------------------------------------------------------------
DD=9.0;9.0;9.0 81.82042 -88.67
- -----------------------------------------------------------------------------
WAL 2.04
- -----------------------------------------------------------------------------
Mod Dur 3.10
- -----------------------------------------------------------------------------
FirstPrinPay
- -----------------------------------------------------------------------------
Maturity 01/15/2003
- -----------------------------------------------------------------------------
CollLossPercent 8.82
- -----------------------------------------------------------------------------
- -----------------------------------------------------------------------------
DD=11.0;11.0;11.0 81.82042 -106.57
- -----------------------------------------------------------------------------
WAL 1.75
- -----------------------------------------------------------------------------
Mod Dur 3.06
- -----------------------------------------------------------------------------
FirstPrinPay
- -----------------------------------------------------------------------------
Maturity 04/15/2002
- -----------------------------------------------------------------------------
CollLossPercent 10.50
- -----------------------------------------------------------------------------
- -----------------------------------------------------------------------------
DD=100.0;100.0;100.0 81.82042 -86.75
- -----------------------------------------------------------------------------
WAL 1.89
- -----------------------------------------------------------------------------
Mod Dur 3.70
- -----------------------------------------------------------------------------
Def Curve is 11% first FirstPrinPay
12 months and 5% thereafter
- -----------------------------------------------------------------------------
Maturity 06/15/2004
- -----------------------------------------------------------------------------
CollLossPercent 7.61
- -----------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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 2 of 2
<PAGE>
Banc of America Securities LLC Scenario Table
- --------------------------------------------------------------------------------
Delta
Bond Class: M2
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
Settle Date Call % Run To Description First Accrual Next Pay Actual Delay Issue Balance
Date Date
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
11/30/1999 10.0 Maturity MEZ 11/01/1999 12/15/1999 14 24,850,000.00
- --------------------------------------------------------------------------------------------------------------------
<CAPTION>
Balance Principal Type Coupon Interest Index Type Margin Loss
Type Accrued Interest Sev. Delay
- ------------------------------------------------------------------------------------------------- -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
24,850,000.00 Normal 7.6000 Fixed None 0.0000 152,137.22 50% 12
- ------------------------------------------------------------------------------------------------- -------------
</TABLE>
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------------------
PP=50.0;10.0;50.0 PP=75.0;15.0;75.0 PP=100.0;20.0;100.0
- --------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
DD=0.0;0.0;0.0 92.24007 8.78 9.03 9.30
- --------------------------------------------------------------------------------------------------------------------------------
WAL 12.84 9.24 7.07
- --------------------------------------------------------------------------------------------------------------------------------
Mod Dur 7.26 5.90 4.89
- --------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 01/15/2006 02/15/2004 02/15/2003
- --------------------------------------------------------------------------------------------------------------------------------
Maturity 08/15/2024 01/15/2019 10/15/2014
- --------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 0.00 0.00 0.00
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
DD=1.0;1.0;1.0 92.24007 8.82 9.07 9.33
- --------------------------------------------------------------------------------------------------------------------------------
WAL 12.09 8.83 6.84
- --------------------------------------------------------------------------------------------------------------------------------
Mod Dur 7.00 5.72 4.77
- --------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 08/15/2005 12/15/2003 01/15/2003
- --------------------------------------------------------------------------------------------------------------------------------
Maturity 09/15/2023 03/15/2018 04/15/2014
- --------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 3.75 2.77 2.16
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
DD=3.0;3.0;3.0 92.24007 8.90 9.15 9.41
- --------------------------------------------------------------------------------------------------------------------------------
WAL 10.79 8.11 6.41
- --------------------------------------------------------------------------------------------------------------------------------
Mod Dur 6.53 5.40 4.55
- --------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 01/15/2005 09/15/2003 12/15/2002
- --------------------------------------------------------------------------------------------------------------------------------
Maturity 08/15/2021 10/15/2016 05/15/2013
- --------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 10.03 7.61 6.06
- --------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------------------------------------------------------
DD=5.0;5.0;5.0 92.24007 8.97 9.21 9.45
- --------------------------------------------------------------------------------------------------------------------------------
WAL 9.75 7.59 6.22
- --------------------------------------------------------------------------------------------------------------------------------
Mod Dur 6.14 5.19 4.47
- --------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 01/15/2005 03/15/2004 07/15/2003
- --------------------------------------------------------------------------------------------------------------------------------
Maturity 09/15/2019 06/15/2015 05/15/2018
- --------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 15.04 11.69 9.47
- --------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------
PP=115.0;30.0;115.0 PP=160.0;32.0;160.0 PP=175.0;35.0;175.0
- ------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
DD=0.0;0.0;0.0 92.24007 9.53 9.89 9.99
- ------------------------------------------------------------------------------------------------------------------------------
WAL 5.86 4.60 4.32
- ------------------------------------------------------------------------------------------------------------------------------
Mod Dur 4.25 3.56 3.40
- ------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 12/15/2002 01/15/2003 02/15/2003
- ------------------------------------------------------------------------------------------------------------------------------
Maturity 05/15/2012 02/15/2009 04/15/2008
- ------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 0.00 0.00 0.00
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
DD=1.0;1.0;1.0 92.24007 9.57 9.91 10.01
- ------------------------------------------------------------------------------------------------------------------------------
WAL 5.71 4.54 4.27
- ------------------------------------------------------------------------------------------------------------------------------
Mod Dur 4.17 3.52 3.37
- ------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 12/15/2002 01/15/2003 02/15/2003
- ------------------------------------------------------------------------------------------------------------------------------
Maturity 01/15/2012 12/15/2008 02/15/2008
- ------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 1.80 1.38 1.26
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
DD=3.0;3.0;3.0 92.24007 9.64 9.97 10.07
- ------------------------------------------------------------------------------------------------------------------------------
WAL 5.44 4.39 4.14
- ------------------------------------------------------------------------------------------------------------------------------
Mod Dur 4.02 3.43 3.29
- ------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 12/15/2002 01/15/2003 01/15/2003
- ------------------------------------------------------------------------------------------------------------------------------
Maturity 05/15/2011 08/15/2008 10/15/2007
- ------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 5.11 3.98 3.65
- ------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------
DD=5.0;5.0;5.0 92.24007 9.65 10.02 10.12
- ------------------------------------------------------------------------------------------------------------------------------
WAL 5.38 4.29 4.05
- ------------------------------------------------------------------------------------------------------------------------------
Mod Dur 3.99 3.35 3.21
- ------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 02/15/2003 12/15/2002 12/15/2002
- ------------------------------------------------------------------------------------------------------------------------------
Maturity 03/15/2016 05/15/2012 05/15/2011
- ------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 8.08 6.38 5.87
- ------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ---------------------------------------------------------------------
PP=200.0;40.0;200.0
- ---------------------------------------------------------------------
<S> <C> <C>
DD=0.0;0.0;0.0 92.24007 10.11
- ---------------------------------------------------------------------
WAL 4.01
- ---------------------------------------------------------------------
Mod Dur 3.22
- ---------------------------------------------------------------------
FirstPrinPay 03/15/2003
- ---------------------------------------------------------------------
Maturity 01/15/2007
- ---------------------------------------------------------------------
CollLossPercent 0.00
- ---------------------------------------------------------------------
- ---------------------------------------------------------------------
DD=1.0;1.0;1.0 92.24007 10.13
- ---------------------------------------------------------------------
WAL 3.99
- ---------------------------------------------------------------------
Mod Dur 3.21
- ---------------------------------------------------------------------
FirstPrinPay 03/15/2003
- ---------------------------------------------------------------------
Maturity 12/15/2006
- ---------------------------------------------------------------------
CollLossPercent 1.10
- ---------------------------------------------------------------------
- ---------------------------------------------------------------------
DD=3.0;3.0;3.0 92.24007 10.19
- ---------------------------------------------------------------------
WAL 3.86
- ---------------------------------------------------------------------
Mod Dur 3.12
- ---------------------------------------------------------------------
FirstPrinPay 01/15/2003
- ---------------------------------------------------------------------
Maturity 09/15/2006
- ---------------------------------------------------------------------
CollLossPercent 3.20
- ---------------------------------------------------------------------
- ---------------------------------------------------------------------
DD=5.0;5.0;5.0 92.24007 10.26
- ---------------------------------------------------------------------
WAL 3.77
- ---------------------------------------------------------------------
Mod Dur 3.05
- ---------------------------------------------------------------------
FirstPrinPay 12/15/2002
- ---------------------------------------------------------------------
Maturity 11/15/2009
- ---------------------------------------------------------------------
CollLossPercent 5.18
- ---------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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 1 of 2
<PAGE>
Banc of America Securities LLC Scenario Table
- --------------------------------------------------------------------------------
Bond Class: M2
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------
Settle Date Call % Run To Description First Accrual Next Pay Actual Delay Issue Balance
Date Date
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
11/30/1999 10.0 Maturity MEZ 11/01/1999 12/15/1999 14 24,850,000.00
- -------------------------------------------------------------------------------------------------------------------
<CAPTION>
Balance Principal Coupon Interest Type Index Type Margin Loss
Type Accrued Interest Sev. Delay
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
24,850,000.00 Normal 7.6000 Fixed None 0.0000 152,137.22 50% 12
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------------------------
PP=50.0;10.0;50.0 PP=75.0;15.0;75.0 PP=100.0;20.0;100.0
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
DD=7.0;7.0;7.0 92.24007 8.42 8.70 9.07
- -------------------------------------------------------------------------------------------------------------------------------
WAL 13.62 10.75 8.56
- -------------------------------------------------------------------------------------------------------------------------------
Mod Dur 7.41 6.38 5.50
- -------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 11/15/2007 12/15/2005 09/15/2004
- -------------------------------------------------------------------------------------------------------------------------------
Maturity 11/15/2029 11/15/2029 11/15/2029
- -------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 19.10 15.17 12.48
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
DD=9.0;9.0;9.0 92.24007 -18.73 -15.85 -4.23
- -------------------------------------------------------------------------------------------------------------------------------
WAL 5.93 6.24 7.52
- -------------------------------------------------------------------------------------------------------------------------------
Mod Dur 4.53 4.97 9.11
- -------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 08/15/2010
- -------------------------------------------------------------------------------------------------------------------------------
Maturity 03/15/2009 04/15/2011 11/15/2029
- -------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 22.44 18.16 15.15
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
DD=11.0;11.0;11.0 92.24007 -49.79 -49.47 -48.68
- -------------------------------------------------------------------------------------------------------------------------------
WAL 3.49 3.49 3.51
- -------------------------------------------------------------------------------------------------------------------------------
Mod Dur 3.36 3.38 3.43
- -------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay
- -------------------------------------------------------------------------------------------------------------------------------
Maturity 07/15/2004 08/15/2004 11/15/2004
- -------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 25.22 20.76 17.54
- -------------------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------------------
DD=100.0;100.0;100.0 92.24007 8.91 9.06 9.20
- -------------------------------------------------------------------------------------------------------------------------------
WAL 10.30 8.53 7.40
- -------------------------------------------------------------------------------------------------------------------------------
Mod Dur 6.50 5.78 5.23
- -------------------------------------------------------------------------------------------------------------------------------
Def Curve is 11% first 12 FirstPrinPay 11/15/2006 11/15/2005 01/15/2005
months and 5% thereafter
- -------------------------------------------------------------------------------------------------------------------------------
Maturity 05/15/2019 03/15/2015 02/15/2018
- -------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 17.14 13.96 11.83
- -------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------------
PP=115.0;30.0;115.0 PP=160.0;32.0;160.0 PP=175.0;35.0;175.0
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
DD=7.0;7.0;7.0 92.24007 8.99 9.78 9.95
- ---------------------------------------------------------------------------------------------------------------------------------
WAL 7.44 4.92 4.44
- ---------------------------------------------------------------------------------------------------------------------------------
Mod Dur 4.93 3.77 3.47
- ---------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 01/15/2004 01/15/2003 12/15/2002
- ---------------------------------------------------------------------------------------------------------------------------------
Maturity 11/15/2029 12/15/2012 09/15/2011
- ---------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 10.75 8.60 7.96
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
DD=9.0;9.0;9.0 92.24007 -3.60 -0.72 -0.16
- ---------------------------------------------------------------------------------------------------------------------------------
WAL 7.06 6.04 5.61
- ---------------------------------------------------------------------------------------------------------------------------------
Mod Dur 7.66 5.43 4.91
- ---------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 02/15/2007 03/15/2004 08/15/2003
- ---------------------------------------------------------------------------------------------------------------------------------
Maturity 11/15/2029 11/15/2029 11/15/2029
- ---------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 13.17 10.67 9.90
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
DD=11.0;11.0;11.0 92.24007 -48.29 -42.86 -39.24
- ---------------------------------------------------------------------------------------------------------------------------------
WAL 3.51 3.69 3.80
- ---------------------------------------------------------------------------------------------------------------------------------
Mod Dur 3.46 3.75 3.99
- ---------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay
- ---------------------------------------------------------------------------------------------------------------------------------
Maturity 12/15/2004 01/15/2006 02/15/2007
- ---------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 15.37 12.60 11.73
- ---------------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------------
DD=100.0;100.0;100.0 92.24007 9.27 9.45 9.18
- ---------------------------------------------------------------------------------------------------------------------------------
WAL 7.42 6.31 5.88
- ---------------------------------------------------------------------------------------------------------------------------------
Mod Dur 5.11 4.45 4.21
- ---------------------------------------------------------------------------------------------------------------------------------
Def Curve is 11% first 12 FirstPrinPay 06/15/2004 07/15/2003 04/15/2003
months and 5% thereafter
- ---------------------------------------------------------------------------------------------------------------------------------
Maturity 12/15/2018 11/15/2029 11/15/2029
- ---------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 10.48 8.82 8.32
- ---------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ----------------------------------------------------------------------------
PP=200.0;40.0;200.0
- ----------------------------------------------------------------------------
<S> <C> <C>
DD=7.0;7.0;7.0 92.24007 10.18
- ----------------------------------------------------------------------------
WAL 3.92
- ----------------------------------------------------------------------------
Mod Dur 3.14
- ----------------------------------------------------------------------------
FirstPrinPay 12/15/2002
- ----------------------------------------------------------------------------
Maturity 03/15/2010
- ----------------------------------------------------------------------------
CollLossPercent 7.05
- ----------------------------------------------------------------------------
- ----------------------------------------------------------------------------
DD=9.0;9.0;9.0 92.24007 0.74
- ----------------------------------------------------------------------------
WAL 4.97
- ----------------------------------------------------------------------------
Mod Dur 4.20
- ----------------------------------------------------------------------------
FirstPrinPay 12/15/2002
- ----------------------------------------------------------------------------
Maturity 11/15/2029
- ----------------------------------------------------------------------------
CollLossPercent 8.82
- ----------------------------------------------------------------------------
- ----------------------------------------------------------------------------
DD=11.0;11.0;11.0 92.24007 -14.46
- ----------------------------------------------------------------------------
WAL 4.35
- ----------------------------------------------------------------------------
Mod Dur 7.42
- ----------------------------------------------------------------------------
FirstPrinPay 08/15/2005
- ----------------------------------------------------------------------------
Maturity 11/15/2029
- ----------------------------------------------------------------------------
CollLossPercent 10.50
- ----------------------------------------------------------------------------
- ----------------------------------------------------------------------------
DD=100.0;100.0;100.0 92.24007 8.66
- ----------------------------------------------------------------------------
WAL 5.17
- ----------------------------------------------------------------------------
Mod Dur 3.83
- ----------------------------------------------------------------------------
Def Curve is 11% first 12 FirstPrinPay 12/15/2002
months and 5% thereafter
- ----------------------------------------------------------------------------
Maturity 11/15/2029
- ----------------------------------------------------------------------------
CollLossPercent 7.61
- ----------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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 2 of 2
<PAGE>
Banc of America Securities LLC Scenario Table
- --------------------------------------------------------------------------------
Delta
Bond Class: B
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------
Settle Date Call % Run To Description First Accrual Next Pay Actual Delay Issue Balance
Date Date
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
11/30/1999 10.0 Maturity SUB 11/01/1999 12/15/1999 14 29,750,000.00
- -----------------------------------------------------------------------------------------------------------------
<CAPTION>
Balance Principal Coupon Interest Index Type Margin Loss
Type Type Accrued Interest Sev. Delay
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
29,750,000.00 Normal 7.6000 Fixed None 0.0000 182,136.11 40% 12
- -----------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------------------
PP=50.0;10.0;50.0 PP=75.0;15.0;75.0 PP=100.0;20.0;100.0
- ---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
DD=0.0;0.0;0.0 81.82042 10.50 11.17 11.90
- ---------------------------------------------------------------------------------------------------------------------------
WAL 12.27 8.76 6.69
- ---------------------------------------------------------------------------------------------------------------------------
Mod Dur 6.74 5.47 4.52
- ---------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 01/15/2006 02/15/2004 02/15/2003
- ---------------------------------------------------------------------------------------------------------------------------
Maturity 06/15/2022 09/15/2016 12/15/2012
- ---------------------------------------------------------------------------------------------------------------------------
CollLossPercent 0.00 0.00 0.00
- ---------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------
DD=1.0;1.0;1.0 81.82042 10.61 11.27 12.00
- ---------------------------------------------------------------------------------------------------------------------------
WAL 11.53 8.37 6.46
- ---------------------------------------------------------------------------------------------------------------------------
Mod Dur 6.50 5.30 4.41
- ---------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 08/15/2005 12/15/2003 01/15/2003
- ---------------------------------------------------------------------------------------------------------------------------
Maturity 04/15/2021 12/15/2015 07/15/2012
- ---------------------------------------------------------------------------------------------------------------------------
CollLossPercent 3.00 2.22 1.73
- ---------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------
DD=3.0;3.0;3.0 81.82042 10.82 11.49 12.21
- ---------------------------------------------------------------------------------------------------------------------------
WAL 10.26 7.68 6.06
- ---------------------------------------------------------------------------------------------------------------------------
Mod Dur 6.06 5.00 4.21
- ---------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 01/15/2005 09/15/2003 12/15/2002
- ---------------------------------------------------------------------------------------------------------------------------
Maturity 03/15/2019 09/15/2014 09/15/2011
- ---------------------------------------------------------------------------------------------------------------------------
CollLossPercent 8.03 6.09 4.85
- ---------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------------------------------------------
DD=5.0;5.0;5.0 81.82042 11.04 11.70 12.32
- ---------------------------------------------------------------------------------------------------------------------------
WAL 9.23 7.11 5.82
- ---------------------------------------------------------------------------------------------------------------------------
Mod Dur 5.67 4.74 4.12
- ---------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 07/15/2004 08/15/2003 04/15/2003
- ---------------------------------------------------------------------------------------------------------------------------
Maturity 05/15/2017 07/15/2013 12/15/2010
- ---------------------------------------------------------------------------------------------------------------------------
CollLossPercent 12.04 9.35 7.58
- ---------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
PP=115.0;30.0;115.0 PP=160.0;32.0;160.0 PP=175.0;35.0;175.0
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
DD=0.0;0.0;0.0 81.82042 12.54 13.55 13.86
- ----------------------------------------------------------------------------------------------------------------------------
WAL 5.53 4.31 4.03
- ----------------------------------------------------------------------------------------------------------------------------
Mod Dur 3.92 3.26 3.10
- ----------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 12/15/2002 12/15/2002 12/15/2002
- ----------------------------------------------------------------------------------------------------------------------------
Maturity 10/15/2010 12/15/2007 03/15/2007
- ----------------------------------------------------------------------------------------------------------------------------
CollLossPercent 0.00 0.00 0.00
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
DD=1.0;1.0;1.0 81.82042 12.64 13.61 13.92
- ----------------------------------------------------------------------------------------------------------------------------
WAL 5.39 4.25 3.98
- ----------------------------------------------------------------------------------------------------------------------------
Mod Dur 3.85 3.23 3.07
- ----------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 12/15/2002 12/15/2002 12/15/2002
- ----------------------------------------------------------------------------------------------------------------------------
Maturity 06/15/2010 10/15/2007 01/15/2007
- ----------------------------------------------------------------------------------------------------------------------------
CollLossPercent 1.44 1.10 1.01
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
DD=3.0;3.0;3.0 81.82042 12.82 13.74 14.04
- ----------------------------------------------------------------------------------------------------------------------------
WAL 5.13 4.13 3.88
- ----------------------------------------------------------------------------------------------------------------------------
Mod Dur 3.71 3.16 3.01
- ----------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 12/15/2002 12/15/2002 12/15/2002
- ----------------------------------------------------------------------------------------------------------------------------
Maturity 11/15/2009 06/15/2007 10/15/2006
- ----------------------------------------------------------------------------------------------------------------------------
CollLossPercent 4.09 3.18 2.92
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
DD=5.0;5.0;5.0 81.82042 12.72 11.48 10.31
- ----------------------------------------------------------------------------------------------------------------------------
WAL 5.19 5.26 4.89
- ----------------------------------------------------------------------------------------------------------------------------
Mod Dur 3.80 3.70 3.61
- ----------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 01/15/2003 12/15/2002 12/15/2002
- ----------------------------------------------------------------------------------------------------------------------------
Maturity 05/15/2009 11/15/2029 11/15/2029
- ----------------------------------------------------------------------------------------------------------------------------
CollLossPercent 6.47 5.10 4.70
- ----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- -------------------------------------------------------------------
PP=200.0;40.0;200.0
- -------------------------------------------------------------------
<S> <C> <C>
DD=0.0;0.0;0.0 81.82042 14.29
- -------------------------------------------------------------------
WAL 3.70
- -------------------------------------------------------------------
Mod Dur 2.91
- -------------------------------------------------------------------
FirstPrinPay 12/15/2002
- -------------------------------------------------------------------
Maturity 02/15/2006
- -------------------------------------------------------------------
CollLossPercent 0.00
- -------------------------------------------------------------------
- -------------------------------------------------------------------
DD=1.0;1.0;1.0 81.82042 14.32
- -------------------------------------------------------------------
WAL 3.67
- -------------------------------------------------------------------
Mod Dur 2.89
- -------------------------------------------------------------------
FirstPrinPay 12/15/2002
- -------------------------------------------------------------------
Maturity 01/15/2006
- -------------------------------------------------------------------
CollLossPercent 0.88
- -------------------------------------------------------------------
- -------------------------------------------------------------------
DD=3.0;3.0;3.0 81.82042 14.45
- -------------------------------------------------------------------
WAL 3.59
- -------------------------------------------------------------------
Mod Dur 2.84
- -------------------------------------------------------------------
FirstPrinPay 12/15/2002
- -------------------------------------------------------------------
Maturity 11/15/2005
- -------------------------------------------------------------------
CollLossPercent 2.56
- -------------------------------------------------------------------
- -------------------------------------------------------------------
DD=5.0;5.0;5.0 81.82042 8.35
- -------------------------------------------------------------------
WAL 4.35
- -------------------------------------------------------------------
Mod Dur 3.48
- -------------------------------------------------------------------
FirstPrinPay 12/15/2002
- -------------------------------------------------------------------
Maturity 11/15/2029
- -------------------------------------------------------------------
CollLossPercent 4.14
- -------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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 1 of 2
<PAGE>
Banc of America Securities LLC Scenario Table
- --------------------------------------------------------------------------------
Bond Class: B
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------
Settle Date Call % Run To Description First Accrual Next Pay Actual Delay Issue Balance
Date Date
- ---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
11/30/1999 10.0 Maturity SUB 11/01/1999 12/15/1999 14 29,750,000.00
- ---------------------------------------------------------------------------------------------------------------
<CAPTION>
- ---------------------------------------------------------------------------------------------------------------
Balance Principal Coupon Interest Index Type Margin Loss
Type Type Accrued Interest Sev. Delay
- ------------------------------------------------------------------------------------------ -------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
29,750,000.00 Normal 7.6000 Fixed None 0.0000 182,136.11 40% 12
- ------------------------------------------------------------------------------------------ -------------
</TABLE>
<TABLE>
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------------
PP=50.0;10.0;50.0 PP=75.0;15.0;75.0 PP=100.0;20.0;100.0
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
DD=7.0;7.0;7.0 81.82042 8.74 6.64 4.64
- ----------------------------------------------------------------------------------------------------------------------------------
WAL 10.74 8.51 6.96
- ----------------------------------------------------------------------------------------------------------------------------------
Mod Dur 6.55 6.18 5.87
- ----------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 03/15/2006 05/15/2005 09/15/2004
- ----------------------------------------------------------------------------------------------------------------------------------
Maturity 11/15/2029 11/15/2029 11/15/2029
- ----------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 15.28 12.13 9.98
- ----------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------
DD=9.0;9.0;9.0 81.82042 -24.08 -27.67 -30.43
- ----------------------------------------------------------------------------------------------------------------------------------
WAL 4.26 3.91 3.66
- ----------------------------------------------------------------------------------------------------------------------------------
Mod Dur 5.11 5.02 5.00
- ----------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay
- ----------------------------------------------------------------------------------------------------------------------------------
Maturity 11/15/2010 02/15/2010 12/15/2009
- ----------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 17.95 14.53 12.12
- ----------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------
DD=11.0;11.0;11.0 81.82042 -71.32 -74.25 -76.92
- ----------------------------------------------------------------------------------------------------------------------------------
WAL 2.43 2.36 2.29
- ----------------------------------------------------------------------------------------------------------------------------------
Mod Dur 3.18 3.16 3.15
- ----------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay
- ----------------------------------------------------------------------------------------------------------------------------------
Maturity 10/15/2003 09/15/2003 07/15/2003
- ----------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 20.18 16.61 14.03
- ----------------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------------
DD=100.0;100.0;100.0 81.82042 6.34 4.67 3.31
- ----------------------------------------------------------------------------------------------------------------------------------
WAL 7.63 5.82 4.68
- ----------------------------------------------------------------------------------------------------------------------------------
Mod Dur 7.38 6.99 6.58
- ----------------------------------------------------------------------------------------------------------------------------------
Def Curve is 11% first 12 FirstPrinPay 07/15/2005 05/15/2005 12/15/2004
- ----------------------------------------------------------------------------------------------------------------------------------
months and 5% thereafter
- ----------------------------------------------------------------------------------------------------------------------------------
Maturity 01/15/2017 04/15/2013 09/15/2010
- ----------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 13.72 11.17 9.46
- ----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------
PP=115.0;30.0;115.0 PP=160.0;32.0;160.0
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
DD=7.0;7.0;7.0 81.82042 2.01 0.06
- ------------------------------------------------------------------------------------------------------------------
WAL 5.95 4.77
- ------------------------------------------------------------------------------------------------------------------
Mod Dur 5.79 5.17
- ------------------------------------------------------------------------------------------------------------------
FirstPrinPay 04/15/2004 06/15/2003
- ------------------------------------------------------------------------------------------------------------------
Maturity 11/15/2029 11/15/2029
- ------------------------------------------------------------------------------------------------------------------
CollLossPercent 8.60 6.88
- ------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------
DD=9.0;9.0;9.0 81.82042 -36.87 -15.77
- ------------------------------------------------------------------------------------------------------------------
WAL 3.33 3.46
- ------------------------------------------------------------------------------------------------------------------
Mod Dur 4.58 10.72
- ------------------------------------------------------------------------------------------------------------------
FirstPrinPay 03/15/2014
- ------------------------------------------------------------------------------------------------------------------
Maturity 06/15/2008 11/15/2029
- ------------------------------------------------------------------------------------------------------------------
CollLossPercent 10.54 8.54
- ------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------
DD=11.0;11.0;11.0 81.82042 -79.72 -82.50
- ------------------------------------------------------------------------------------------------------------------
WAL 2.22 2.16
- ------------------------------------------------------------------------------------------------------------------
Mod Dur 3.13 3.13
- ------------------------------------------------------------------------------------------------------------------
FirstPrinPay
- ------------------------------------------------------------------------------------------------------------------
Maturity 06/15/2003 05/15/2003
- ------------------------------------------------------------------------------------------------------------------
CollLossPercent 12.30 10.08
- ------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------
DD=100.0;100.0;100.0 81.82042 2.11 -1.66
- ------------------------------------------------------------------------------------------------------------------
WAL 4.34 4.27
- ------------------------------------------------------------------------------------------------------------------
Mod Dur 6.68 6.43
- ------------------------------------------------------------------------------------------------------------------
Def Curve is 11% first 12 FirstPrinPay 10/15/2004 03/15/2004
- ------------------------------------------------------------------------------------------------------------------
months and 5% thereafter
- ------------------------------------------------------------------------------------------------------------------
Maturity 04/15/2015 11/15/2029
- ------------------------------------------------------------------------------------------------------------------
CollLossPercent 8.38 7.06
- ------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ------------------------------------------------------------------------------------------------------------
PP=175.0;35.0;175.0 PP=200.0;40.0;200.0
- ------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
DD=7.0;7.0;7.0 81.82042 -1.08 -3.01
- ------------------------------------------------------------------------------------------------------------
WAL 4.41 3.93
- ------------------------------------------------------------------------------------------------------------
Mod Dur 4.99 4.71
- ------------------------------------------------------------------------------------------------------------
FirstPrinPay 03/15/2003 12/15/2002
- ------------------------------------------------------------------------------------------------------------
Maturity 11/15/2029 11/15/2029
- ------------------------------------------------------------------------------------------------------------
CollLossPercent 6.36 5.64
- ------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------
DD=9.0;9.0;9.0 81.82042 -15.29 -15.52
- ------------------------------------------------------------------------------------------------------------
WAL 3.41 3.29
- ------------------------------------------------------------------------------------------------------------
Mod Dur 9.79 8.59
- ------------------------------------------------------------------------------------------------------------
FirstPrinPay 02/15/2012 11/15/2009
- ------------------------------------------------------------------------------------------------------------
Maturity 11/15/2029 11/15/2029
- ------------------------------------------------------------------------------------------------------------
CollLossPercent 7.92 7.06
- ------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------
DD=11.0;11.0;11.0 81.82042 -83.76 -85.72
- ------------------------------------------------------------------------------------------------------------
WAL 2.13 2.08
- ------------------------------------------------------------------------------------------------------------
Mod Dur 3.13 3.13
- ------------------------------------------------------------------------------------------------------------
FirstPrinPay
- ------------------------------------------------------------------------------------------------------------
Maturity 04/15/2003 04/15/2003
- ------------------------------------------------------------------------------------------------------------
CollLossPercent 9.39 8.40
- ------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------
DD=100.0;100.0;100.0 81.82042 -3.47 -6.49
- ------------------------------------------------------------------------------------------------------------
WAL 3.96 3.49
- ------------------------------------------------------------------------------------------------------------
Mod Dur 6.40 6.30
- ------------------------------------------------------------------------------------------------------------
Def Curve is 11% first 12 FirstPrinPay 01/15/2004 10/15/2003
- ------------------------------------------------------------------------------------------------------------
months and 5% thereafter
- ------------------------------------------------------------------------------------------------------------
Maturity 11/15/2029 11/15/2029
- ------------------------------------------------------------------------------------------------------------
CollLossPercent 6.66 6.09
- ------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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 2 of 2
<PAGE>
Banc of America Securities LLC Scenario Table
- --------------------------------------------------------------------------------
Delta
Bond Class: M2
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------------------
Settle Date Call % Run To Description First Accrual Next Pay Actual Delay Issue Balance
Date Date
- -------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
11/30/1999 10.0 Maturity MEZ 11/01/1999 12/15/1999 14 24,850,000.00
- -------------------------------------------------------------------------------------------------------------
<CAPTION>
Balance Principal Coupon Interest Index Type Margin Loss
Type Type Accrued Interest Sev. Delay
- --------------------------------------------------------------------------------------------- ------ -----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
24,850,000.00 Normal 7.6000 Fixed None 0.0000 152,137.22 40% 12
- --------------------------------------------------------------------------------------------- ------ -----
</TABLE>
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------
PP=50.0;10.0;50.0 PP=75.0;15.0;75.0 PP=100.0;20.0;100.0
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
DD=0.0;0.0;0.0 92.24007 8.78 9.03 9.30
- -----------------------------------------------------------------------------------------------------------------------
WAL 12.84 9.24 7.07
- -----------------------------------------------------------------------------------------------------------------------
Mod Dur 7.26 5.90 4.89
- -----------------------------------------------------------------------------------------------------------------------
FirstPrinPay 01/15/2006 02/15/2004 02/15/2003
- -----------------------------------------------------------------------------------------------------------------------
Maturity 08/15/2024 01/15/2019 10/15/2014
- -----------------------------------------------------------------------------------------------------------------------
CollLossPercent 0.00 0.00 0.00
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
DD=1.0;1.0;1.0 92.24007 8.82 9.07 9.33
- -----------------------------------------------------------------------------------------------------------------------
WAL 12.09 8.83 6.84
- -----------------------------------------------------------------------------------------------------------------------
Mod Dur 7.00 5.72 4.77
- -----------------------------------------------------------------------------------------------------------------------
FirstPrinPay 08/15/2005 12/15/2003 01/15/2003
- -----------------------------------------------------------------------------------------------------------------------
Maturity 09/15/2023 03/15/2018 04/15/2014
- -----------------------------------------------------------------------------------------------------------------------
CollLossPercent 3.00 2.22 1.73
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
DD=3.0;3.0;3.0 92.24007 8.90 9.15 9.41
- -----------------------------------------------------------------------------------------------------------------------
WAL 10.79 8.11 6.41
- -----------------------------------------------------------------------------------------------------------------------
Mod Dur 6.53 5.40 4.55
- -----------------------------------------------------------------------------------------------------------------------
FirstPrinPay 01/15/2005 09/15/2003 12/15/2002
- -----------------------------------------------------------------------------------------------------------------------
Maturity 08/15/2021 10/15/2016 05/15/2013
- -----------------------------------------------------------------------------------------------------------------------
CollLossPercent 8.03 6.09 4.85
- -----------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------
DD=5.0;5.0;5.0 92.24007 8.98 9.23 9.48
- -----------------------------------------------------------------------------------------------------------------------
WAL 9.72 7.50 6.05
- -----------------------------------------------------------------------------------------------------------------------
Mod Dur 6.11 5.12 4.37
- -----------------------------------------------------------------------------------------------------------------------
FirstPrinPay 07/15/2004 07/15/2003 02/15/2003
- -----------------------------------------------------------------------------------------------------------------------
Maturity 09/15/2019 06/15/2015 07/15/2012
- -----------------------------------------------------------------------------------------------------------------------
CollLossPercent 12.04 9.35 7.58
- -----------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------
PP=115.0;30.0;115.0 PP=160.0;32.0;160.0 PP=175.0;35.0;175.0
- ------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
DD=0.0;0.0;0.0 92.24007 9.53 9.89 9.99
- ------------------------------------------------------------------------------------------------------------------------
WAL 5.86 4.60 4.32
- ------------------------------------------------------------------------------------------------------------------------
Mod Dur 4.25 3.56 3.40
- ------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 12/15/2002 01/15/2003 02/15/2003
- ------------------------------------------------------------------------------------------------------------------------
Maturity 05/15/2012 02/15/2009 04/15/2008
- ------------------------------------------------------------------------------------------------------------------------
CollLossPercent 0.00 0.00 0.00
- ------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------
DD=1.0;1.0;1.0 92.24007 9.57 9.91 10.01
- ------------------------------------------------------------------------------------------------------------------------
WAL 5.71 4.54 4.27
- ------------------------------------------------------------------------------------------------------------------------
Mod Dur 4.17 3.52 3.37
- ------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 12/15/2002 01/15/2003 02/15/2003
- ------------------------------------------------------------------------------------------------------------------------
Maturity 01/15/2012 12/15/2008 02/15/2008
- ------------------------------------------------------------------------------------------------------------------------
CollLossPercent 1.44 1.10 1.01
- ------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------
DD=3.0;3.0;3.0 92.24007 9.63 9.96 10.05
- ------------------------------------------------------------------------------------------------------------------------
WAL 5.44 4.41 4.17
- ------------------------------------------------------------------------------------------------------------------------
Mod Dur 4.03 3.45 3.31
- ------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 12/15/2002 01/15/2003 01/15/2003
- ------------------------------------------------------------------------------------------------------------------------
Maturity 05/15/2011 08/15/2008 10/15/2007
- ------------------------------------------------------------------------------------------------------------------------
CollLossPercent 4.09 3.18 2.92
- ------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------
DD=5.0;5.0;5.0 92.24007 9.70 10.02 10.11
- ------------------------------------------------------------------------------------------------------------------------
WAL 5.19 4.27 4.05
- ------------------------------------------------------------------------------------------------------------------------
Mod Dur 3.89 3.35 3.22
- ------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 12/15/2002 12/15/2002 12/15/2002
- ------------------------------------------------------------------------------------------------------------------------
Maturity 09/15/2010 01/15/2012 01/15/2011
- ------------------------------------------------------------------------------------------------------------------------
CollLossPercent 6.47 5.10 4.70
- ------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- -------------------------------------------------------------------
PP=200.0;40.0;200.0
- -------------------------------------------------------------------
<S> <C> <C>
DD=0.0;0.0;0.0 92.24007 10.11
- -------------------------------------------------------------------
WAL 4.01
- -------------------------------------------------------------------
Mod Dur 3.22
- -------------------------------------------------------------------
FirstPrinPay 03/15/2003
- -------------------------------------------------------------------
Maturity 01/15/2007
- -------------------------------------------------------------------
CollLossPercent 0.00
- -------------------------------------------------------------------
- -------------------------------------------------------------------
DD=1.0;1.0;1.0 92.24007 10.13
- -------------------------------------------------------------------
WAL 3.99
- -------------------------------------------------------------------
Mod Dur 3.21
- -------------------------------------------------------------------
FirstPrinPay 03/15/2003
- -------------------------------------------------------------------
Maturity 12/15/2006
- -------------------------------------------------------------------
CollLossPercent 0.88
- -------------------------------------------------------------------
- -------------------------------------------------------------------
DD=3.0;3.0;3.0 92.24007 10.18
- -------------------------------------------------------------------
WAL 3.89
- -------------------------------------------------------------------
Mod Dur 3.14
- -------------------------------------------------------------------
FirstPrinPay 02/15/2003
- -------------------------------------------------------------------
Maturity 09/15/2006
- -------------------------------------------------------------------
CollLossPercent 2.56
- -------------------------------------------------------------------
- -------------------------------------------------------------------
DD=5.0;5.0;5.0 92.24007 10.24
- -------------------------------------------------------------------
WAL 3.79
- -------------------------------------------------------------------
Mod Dur 3.07
- -------------------------------------------------------------------
FirstPrinPay 01/15/2003
- -------------------------------------------------------------------
Maturity 08/15/2009
- -------------------------------------------------------------------
CollLossPercent 4.14
- -------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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 1 of 2
<PAGE>
Banc of America Securities LLC Scenario Table
- --------------------------------------------------------------------------------
Bond Class: M2
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------
Settle Date Call % Run To Description First Accrual Next Pay Actual Delay Issue Balance
Date Date
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
11/30/1999 10.0 Maturity MEZ 11/01/1999 12/15/1999 14 24,850,000.00
- ---------------------------------------------------------------------------------------------------------
<CAPTION>
Balance Principal Coupon Interest Index Type Margin Accrued Interest Loss Delay
Type Type Sev.
- -------------------------------------------------------------------------------------- ---- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C>
24,850,000.00 Normal 7.6000 Fixed None 0.0000 152,137.22 40% 12
- -------------------------------------------------------------------------------------- ----- -----
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
PP=50.0;10.0;50.0 PP=75.0;15.0;75.0 PP=100.0;20.0;100.0
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
DD=7.0;7.0;7.0 92.24007 9.03 9.25 9.48
- ------------------------------------------------------------------------------------------------------------------------------------
WAL 9.14 7.33 6.06
- ------------------------------------------------------------------------------------------------------------------------------------
Mod Dur 5.90 5.06 4.40
- ------------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 04/15/2005 05/15/2004 08/15/2003
- ------------------------------------------------------------------------------------------------------------------------------------
Maturity 03/15/2025 02/15/2021 08/15/2017
- ------------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 15.28 12.13 9.98
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
DD=9.0;9.0;9.0 92.24007 7.99 8.30 8.72
- ------------------------------------------------------------------------------------------------------------------------------------
WAL 12.86 10.33 8.40
- ------------------------------------------------------------------------------------------------------------------------------------
Mod Dur 7.16 6.21 5.39
- ------------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 06/15/2007 10/15/2005 08/15/2004
- ------------------------------------------------------------------------------------------------------------------------------------
Maturity 11/15/2029 11/15/2029 11/15/2029
- ------------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 17.95 14.53 12.12
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
DD=11.0;11.0;11.0 92.24007 -12.16 -2.76 -0.94
- ------------------------------------------------------------------------------------------------------------------------------------
WAL 6.97 8.40 7.85
- ------------------------------------------------------------------------------------------------------------------------------------
Mod Dur 5.26 9.17 7.33
- ------------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 11/15/2011 01/15/2007
- ------------------------------------------------------------------------------------------------------------------------------------
Maturity 09/15/2012 11/15/2029 11/15/2029
- ------------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 20.18 16.61 14.03
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
DD=100.0;100.0;100.0 92.24007 8.99 9.21 9.43
- ------------------------------------------------------------------------------------------------------------------------------------
WAL 9.51 7.52 6.22
- ------------------------------------------------------------------------------------------------------------------------------------
Mod Dur 6.04 5.18 4.53
- ------------------------------------------------------------------------------------------------------------------------------------
Def Curve is 11% first 12 months and
5% thereafter FirstPrinPay 03/15/2005 07/15/2004 12/15/2003
- ------------------------------------------------------------------------------------------------------------------------------------
Maturity 05/15/2019 03/15/2015 05/15/2012
- ------------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 13.72 11.17 9.46
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ----------------------------------------------------------------------------------------------------------------------------
PP=115.0;30.0;115.0 PP=160.0;32.0;160.0 PP=175.0;35.0;175.0 PP=200.0;40.0;200.0
- ----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
DD=7.0;7.0;7.0 9.67 10.05 10.15 10.29
- ----------------------------------------------------------------------------------------------------------------------------
5.29 4.23 4.00 3.72
- ----------------------------------------------------------------------------------------------------------------------------
3.96 3.32 3.17 3.01
- ----------------------------------------------------------------------------------------------------------------------------
03/15/2003 12/15/2002 12/15/2002 12/15/2002
- ----------------------------------------------------------------------------------------------------------------------------
08/15/2015 01/15/2012 02/15/2011 09/15/2009
- ----------------------------------------------------------------------------------------------------------------------------
8.60 6.88 6.36 5.64
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
DD=9.0;9.0;9.0 8.62 9.76 9.93 10.19
- ----------------------------------------------------------------------------------------------------------------------------
7.27 5.12 4.56 3.92
- ----------------------------------------------------------------------------------------------------------------------------
4.84 3.83 3.52 3.14
- ----------------------------------------------------------------------------------------------------------------------------
11/15/2003 12/15/2002 12/15/2002 12/15/2002
- ----------------------------------------------------------------------------------------------------------------------------
11/15/2029 03/15/2014 02/15/2012 11/15/2009
- ----------------------------------------------------------------------------------------------------------------------------
10.54 8.54 7.92 7.06
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
DD=11.0;11.0;11.0 -0.85 1.41 1.91 2.77
- ----------------------------------------------------------------------------------------------------------------------------
7.10 5.89 5.47 4.83
- ----------------------------------------------------------------------------------------------------------------------------
6.43 4.88 4.47 3.90
- ----------------------------------------------------------------------------------------------------------------------------
07/15/2005 09/15/2003 04/15/2003 12/15/2002
- ----------------------------------------------------------------------------------------------------------------------------
11/15/2029 11/15/2029 11/15/2029 11/15/2029
- ----------------------------------------------------------------------------------------------------------------------------
12.30 10.08 9.39 18.40
- ----------------------------------------------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------------------------------------
DD=100.0;100.0;100.0 9.61 9.96 10.09 10.26
- ----------------------------------------------------------------------------------------------------------------------------
5.45 4.39 4.10 3.74
- ----------------------------------------------------------------------------------------------------------------------------
4.10 3.45 3.27 3.04
- ----------------------------------------------------------------------------------------------------------------------------
Def Curve is 11% first 12 months and
5% thereafter 07/15/2003 12/15/2002 12/15/2002 12/15/2002
- ----------------------------------------------------------------------------------------------------------------------------
07/15/2010 11/15/2011 11/15/2010 07/15/2009
- ----------------------------------------------------------------------------------------------------------------------------
8.38 7.06 6.66 6.09
- ----------------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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 2 of 2
<PAGE>
Banc of America Securities LLC Scenario Table
- --------------------------------------------------------------------------------
Delta_SS_PT_SubStUp_B_RePrice_Nov10
Bond Class: B
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------
Settle Date Call % Run To Description First Accrual Next Pay Actual Delay Issue Balance
Date Date
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
11/30/1999 10.0 Maturity SUB 11/01/1999 12/15/1999 14 29,750,000.00
- ---------------------------------------------------------------------------------------------------------
<CAPTION>
Balance Principal Coupon Interest Index Type Margin Accrued Interest Dlqcy
Type Type
- -------------------------------------------------------------------------------------- -----
<S> <C> <C> <C> <C> <C> <C> <C>
29,750,000.00 Normal 7.6000 Fixed None 0.0000 182,136.11 35%
- -------------------------------------------------------------------------------------- -----
</TABLE>
----------
CPR
- --------------------------------------------------------------------------------
PP=20.0 PP=25.0 PP=30.0 PP=35.0 PP=40.0
- --------------------------------------------------------------------------------
81.82042 11.34 12.06 12.84 13.68 14.36
- --------------------------------------------------------------------------------
WAL 7.78 6.11 4.97 4.14 3.62
- --------------------------------------------------------------------------------
FirstPrinPay 04/15/2006 12/15/2004 01/15/2004 03/15/2003 12/15/2002
- --------------------------------------------------------------------------------
Maturity 10/15/2012 02/15/2010 05/15/2008 12/15/2006 11/15/2005
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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>
Banc of America Securities LLC Scenario Table
- --------------------------------------------------------------------------------
Delta_SS_PT_SubStUp_B_RePrice_Nov10
Bond Class: B
<TABLE>
<CAPTION>
- ---------------------------------------------------------------------------------------------------------
Settle Date Call % Run To Description First Accrual Next Pay Actual Delay Issue Balance
Date Date
- ---------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
11/30/1999 10.0 Maturity SUB 11/01/1999 12/15/1999 14 29,750,000.00
- ---------------------------------------------------------------------------------------------------------
<CAPTION>
Balance Principal Coupon Interest Index Type Margin Accrued Interest Dlqcy Loss Lag
Type Type Sev.
- -------------------------------------------------------------------------------------- ------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
29,750,000.00 Normal 7.6000 Fixed None 0.0000 182,136.11 20% 40% 12
- -------------------------------------------------------------------------------------- ------------------
</TABLE>
<TABLE>
<CAPTION>
- -------------------------------------------------------------------------------------------------
CDR PP=50.0;10.0;50.0 PP=75.0;15.0;75.0 PP=100.0;20.0;100.0
- -------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
DD=0.0;0.0;0.0 81.82042 10.44 11.09 11.80
- -------------------------------------------------------------------------------------------------
WAL 12.59 8.98 6.85
- -------------------------------------------------------------------------------------------------
FirstPrinPay 11/15/2007 05/15/2005 01/15/2004
- -------------------------------------------------------------------------------------------------
Maturity 06/15/2022 09/15/2016 01/15/2013
- -------------------------------------------------------------------------------------------------
CollLossPercent 0.00 0.00 0.00
- -------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------
DD=2.0;2.0;2.0 81.82042 10.65 11.31 12.01
- -------------------------------------------------------------------------------------------------
WAL 11.11 8.19 6.40
- -------------------------------------------------------------------------------------------------
FirstPrinPay 11/15/2006 11/15/2004 10/15/2003
- -------------------------------------------------------------------------------------------------
Maturity 03/15/2020 06/15/2015 03/15/2012
- -------------------------------------------------------------------------------------------------
CollLossPercent 5.66 4.24 3.34
- -------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------
DD=4.0;4.0;4.0 81.82042 10.86 11.52 12.22
- -------------------------------------------------------------------------------------------------
WAL 9.95 7.54 6.00
- -------------------------------------------------------------------------------------------------
FirstPrinPay 02/15/2006 07/15/2004 07/15/2003
- -------------------------------------------------------------------------------------------------
Maturity 05/15/2018 03/15/2014 05/15/2011
- -------------------------------------------------------------------------------------------------
CollLossPercent 10.14 7.79 6.26
- -------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------
DD=6.0;6.0;6.0 81.82042 11.07 11.54 10.41
- -------------------------------------------------------------------------------------------------
WAL 9.00 7.33 7.58
- -------------------------------------------------------------------------------------------------
FirstPrinPay 08/15/2005 07/15/2004 12/15/2003
- -------------------------------------------------------------------------------------------------
Maturity 07/15/2016 01/15/2013 11/15/2029
- -------------------------------------------------------------------------------------------------
CollLossPercent 13.74 10.80 8.82
- -------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------
DD=8.0;8.0;8.0 81.82042 1.83 -0.10 -1.86
- -------------------------------------------------------------------------------------------------
WAL 8.83 7.22 6.08
- -------------------------------------------------------------------------------------------------
FirstPrinPay 03/15/2009 09/15/2007 05/15/2006
- -------------------------------------------------------------------------------------------------
Maturity 11/15/2029 11/15/2029 11/15/2029
- -------------------------------------------------------------------------------------------------
CollLossPercent 16.68 13.37 11.08
- -------------------------------------------------------------------------------------------------
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------
CDR PP=115;30.0;115.0 PP=160.0;32.0;160.0 PP=175.0;35.0;175.0 PP=200.0;40.0;200.0 CBass Fix&2/28 wPP
- -----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
DD=0.0;0.0;0.0 12.47 13.50 13.82 14.26 13.96
- -----------------------------------------------------------------------------------------------------------------------------
5.63 4.36 4.06 3.72 3.95
- -----------------------------------------------------------------------------------------------------------------------------
03/15/2003 12/15/2002 12/15/2002 12/15/2002 12/15/2002
- -----------------------------------------------------------------------------------------------------------------------------
10/15/2010 12/15/2007 05/15/2007 04/15/2006 05/15/2007
- -----------------------------------------------------------------------------------------------------------------------------
0.00 0.00 0.00 0.00 0.00
- -----------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------
DD=2.0;2.0;2.0 12.67 13.63 13.93 14.35 14.06
- -----------------------------------------------------------------------------------------------------------------------------
5.34 4.24 3.98 3.65 3.87
- -----------------------------------------------------------------------------------------------------------------------------
01/15/2003 12/15/2002 12/15/2002 12/15/2002 12/15/2002
- -----------------------------------------------------------------------------------------------------------------------------
03/15/2010 08/15/2007 12/15/2006 02/15/2006 01/15/2007
- -----------------------------------------------------------------------------------------------------------------------------
2.80 2.16 1.98 1.73 1.92
- -----------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------
DD=4.0;4.0;4.0 12.83 13.71 13.94 13.44 13.95
- -----------------------------------------------------------------------------------------------------------------------------
5.10 4.15 3.96 4.31 3.98
- -----------------------------------------------------------------------------------------------------------------------------
01/15/2003 12/15/2002 12/15/2002 12/15/2002 12/15/2002
- -----------------------------------------------------------------------------------------------------------------------------
08/15/2009 05/15/2007 11/15/2006 01/15/2012 11/15/2008
- -----------------------------------------------------------------------------------------------------------------------------
5.31 4.16 3.82 3.36 3.70
- -----------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------
DD=6.0;6.0;6.0 7.94 5.85 4.71 2.78 4.49
- -----------------------------------------------------------------------------------------------------------------------------
6.50 5.11 4.70 4.16 4.72
- -----------------------------------------------------------------------------------------------------------------------------
08/15/2003 12/15/2002 12/15/2002 12/15/2002 12/15/2002
- -----------------------------------------------------------------------------------------------------------------------------
11/15/2029 11/15/2029 11/15/2029 11/15/2029 05/15/2027
- -----------------------------------------------------------------------------------------------------------------------------
7.56 6.01 5.55 4.90 5.37
- -----------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------
DD=8.0;8.0;8.0 -4.34 -5.94 -7.02 -8.86 -6.06
- -----------------------------------------------------------------------------------------------------------------------------
5.27 4.39 4.10 3.70 4.16
- -----------------------------------------------------------------------------------------------------------------------------
11/15/2005 05/15/2004 01/15/2004 06/15/2003 11/15/2003
- -----------------------------------------------------------------------------------------------------------------------------
11/15/2029 11/15/2029 11/15/2029 11/15/2029 11/15/2029
- -----------------------------------------------------------------------------------------------------------------------------
9.59 7.72 7.16 6.36 6.93
- -----------------------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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 1 of 2
<PAGE>
Banc of America Securities LLC Scenario Table
- --------------------------------------------------------------------------------
Delta_SS_PT_SubStUp_B_RePrice_Nov10
Bond Class: B
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
Settle Date Call % Run To Description First Accrual Next Pay Actual Delay Issue Balance
Date Date
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
11/30/1999 10.0 Maturity SUB 11/01/1999 12/15/1999 14 29,750,000.00
- --------------------------------------------------------------------------------------------------------------------
<CAPTION>
Balance Principal Coupon Interest Index Type Margin Loss
Type Type Accrued Interest Dlqcy Sev. Lag
- ------------------------------------------------------------------------------------------- ------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
29,750,000.00 Normal 7.6000 Fixed None 0.0000 182,136.11 25% 40% 12
- ------------------------------------------------------------------------------------------- ------------------
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
CDR PP=50.0;10.0;50.0 PP=75.0;15.0;75.0 PP=100.0;20.0;100.0
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
DD=0.0;0.0;0.0 81.82042 10.32 10.92 11.61
- ------------------------------------------------------------------------------------------------------------------------------------
WAL 13.27 9.46 7.18
- ------------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 11/15/2009 11/15/2006 12/15/2004
- ------------------------------------------------------------------------------------------------------------------------------------
Maturity 07/15/2022 09/15/2016 12/15/2012
- ------------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 0.00 0.00 0.00
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
DD=2.0;2.0;2.0 81.82042 10.51 11.13 11.81
- ------------------------------------------------------------------------------------------------------------------------------------
WAL 11.74 8.63 6.72
- ------------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 08/15/2008 01/15/2006 09/15/2004
- ------------------------------------------------------------------------------------------------------------------------------------
Maturity 03/15/2020 04/15/2015 03/15/2012
- ------------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 5.66 4.24 3.34
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
DD=4.0;4.0;4.0 81.82042 10.72 11.33 12.02
- ------------------------------------------------------------------------------------------------------------------------------------
WAL 10.48 7.94 6.28
- ------------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 09/15/2007 08/15/2005 05/15/2004
- ------------------------------------------------------------------------------------------------------------------------------------
Maturity 04/15/2018 03/15/2014 05/15/2011
- ------------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 10.14 7.79 6.26
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
DD=6.0;6.0;6.0 81.82042 10.92 11.45 10.24
- ------------------------------------------------------------------------------------------------------------------------------------
WAL 9.47 7.51 7.66
- ------------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 10/15/2006 06/15/2005 07/15/2004
- ------------------------------------------------------------------------------------------------------------------------------------
Maturity 07/15/2016 02/15/2013 11/15/2029
- ------------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 13.74 10.80 8.82
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
DD=8.0;8.0;8.0 81.82042 1.63 -0.31 -2.07
- ------------------------------------------------------------------------------------------------------------------------------------
WAL 8.79 7.19 6.06
- ------------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 05/15/2009 11/15/2007 06/15/2006
- ------------------------------------------------------------------------------------------------------------------------------------
Maturity 11/15/2029 11/15/2029 11/15/2029
- ------------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 16.68 13.37 11.08
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
CDR PP=115.0;30.0;115.0 PP=160.0;32.0;160.0 PP=175.0;35.0;175.0
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
DD=0.0;0.0;0.0 81.82042 12.25 13.49 13.83
- ------------------------------------------------------------------------------------------------------------------------------------
WAL 5.89 4.37 4.06
- ------------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 01/15/2004 12/15/2002 12/15/2002
- ------------------------------------------------------------------------------------------------------------------------------------
Maturity 11/15/2010 12/15/2007 04/15/2007
- ------------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 0.00 0.00 0.00
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
DD=2.0;2.0;2.0 81.82042 12.43 13.64 13.93
- ------------------------------------------------------------------------------------------------------------------------------------
WAL 5.59 4.23 3.97
- ------------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 11/15/2003 12/15/2002 12/15/2002
- ------------------------------------------------------------------------------------------------------------------------------------
Maturity 02/15/2010 09/15/2007 01/15/2007
- ------------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 2.80 2.16 1.98
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
DD=4.0;4.0;4.0 81.82042 12.64 13.72 13.94
- ------------------------------------------------------------------------------------------------------------------------------------
WAL 5.30 4.15 3.96
- ------------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 09/15/2003 12/15/2002 12/15/2002
- ------------------------------------------------------------------------------------------------------------------------------------
Maturity 08/15/2009 04/15/2007 09/15/2006
- ------------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 5.31 4.16 3.82
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
DD=6.0;6.0;6.0 81.82042 7.83 5.70 4.60
- ------------------------------------------------------------------------------------------------------------------------------------
WAL 6.48 5.09 4.69
- ------------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 11/15/2003 01/15/2003 12/15/2002
- ------------------------------------------------------------------------------------------------------------------------------------
Maturity 11/15/2029 11/15/2029 11/15/2029
- ------------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 7.56 6.01 5.55
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
DD=8.0;8.0;8.0 81.82042 -4.49 -6.12 -7.14
- ------------------------------------------------------------------------------------------------------------------------------------
WAL 5.25 4.38 4.10
- ------------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 12/15/2005 05/15/2004 02/15/2004
- ------------------------------------------------------------------------------------------------------------------------------------
Maturity 11/15/2029 11/15/2029 11/15/2029
- ------------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 9.59 7.72 7.16
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------
CDR PP=200.0;40.0;200.0 CBass Fix&2/28 wPP
- -----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
DD=0.0;0.0;0.0 81.82042 14.26 13.96
- -----------------------------------------------------------------------------------------------------------------
WAL 3.71 3.95
- -----------------------------------------------------------------------------------------------------------------
FirstPrinPay 12/15/2002 12/15/2002
- -----------------------------------------------------------------------------------------------------------------
Maturity 02/15/2006 03/15/2007
- -----------------------------------------------------------------------------------------------------------------
CollLossPercent 0.00 0.00
- -----------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------
DD=2.0;2.0;2.0 81.82042 14.35 14.06
- -----------------------------------------------------------------------------------------------------------------
WAL 3.65 3.87
- -----------------------------------------------------------------------------------------------------------------
FirstPrinPay 12/15/2002 12/15/2002
- -----------------------------------------------------------------------------------------------------------------
Maturity 01/15/2006 01/15/2007
- -----------------------------------------------------------------------------------------------------------------
CollLossPercent 1.73 1.92
- -----------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------
DD=4.0;4.0;4.0 81.82042 13.42 13.94
- -----------------------------------------------------------------------------------------------------------------
WAL 4.33 3.99
- -----------------------------------------------------------------------------------------------------------------
FirstPrinPay 12/15/2002 12/15/2002
- -----------------------------------------------------------------------------------------------------------------
Maturity 03/15/2012 05/15/2009
- -----------------------------------------------------------------------------------------------------------------
CollLossPercent 3.36 3.70
- -----------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------
DD=6.0;6.0;6.0 81.82042 2.71 4.40
- -----------------------------------------------------------------------------------------------------------------
WAL 4.15 4.72
- -----------------------------------------------------------------------------------------------------------------
FirstPrinPay 12/15/2002 12/15/2002
- -----------------------------------------------------------------------------------------------------------------
Maturity 11/15/2029 05/15/2027
- -----------------------------------------------------------------------------------------------------------------
CollLossPercent 4.90 5.37
- -----------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------
DD=8.0;8.0;8.0 81.82042 -8.95 -6.19
- -----------------------------------------------------------------------------------------------------------------
WAL 3.69 4.14
- -----------------------------------------------------------------------------------------------------------------
FirstPrinPay 08/15/2003 11/15/2003
- -----------------------------------------------------------------------------------------------------------------
Maturity 11/15/2029 11/15/2029
- -----------------------------------------------------------------------------------------------------------------
CollLossPercent 6.36 6.93
- -----------------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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>
Banc of America Securities LLC Scenario Table
- --------------------------------------------------------------------------------
Delta_CB(30%Del,40%Loss,12Lag)
Bond Class: B
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------------------------------------------
Settle Date Call % Run To Description First Accrual Next Pay Actual Delay Issue Balance
Date Date
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
11/30/1999 10.0 Maturity SUB 11/01/1999 12/15/1999 14 29,750,000.00
- --------------------------------------------------------------------------------------------------------------------
<CAPTION>
Balance Principal Coupon Interest Index Type Margin Loss
Type Type Accrued Interest Dlqcy Sev. Lag
- ------------------------------------------------------------------------------------------- ------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
29,750,000.00 Normal 7.6000 Fixed None 0.0000 182,136.11 30% 40% 12
- ------------------------------------------------------------------------------------------- ------------------
</TABLE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
CDR PP=50.0;10.0;50.0 PP=75.0;15.0;75.0 PP=100.0;20.0;100.0
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
DD=0.0;0.0;0.0 81.82042 10.22 10.78 11.42
- ------------------------------------------------------------------------------------------------------------------------------------
WAL 14.04 10.00 7.61
- ------------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 05/15/2011 10/15/2007 12/15/2005
- ------------------------------------------------------------------------------------------------------------------------------------
Maturity 06/15/2022 09/15/2016 12/15/2012
- ------------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 0.00 0.00 0.00
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
DD=2.0;2.0;2.0 81.82042 10.40 10.97 11.61
- ------------------------------------------------------------------------------------------------------------------------------------
WAL 12.41 9.13 7.09
- ------------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 12/15/2009 02/15/2007 07/15/2005
- ------------------------------------------------------------------------------------------------------------------------------------
Maturity 03/15/2020 04/15/2015 02/15/2012
- ------------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 5.66 4.24 3.34
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
DD=4.0;4.0;4.0 81.82042 10.59 11.17 11.80
- ------------------------------------------------------------------------------------------------------------------------------------
WAL 11.09 8.38 6.65
- ------------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 10/15/2008 07/15/2006 01/15/2005
- ------------------------------------------------------------------------------------------------------------------------------------
Maturity 05/15/2018 02/15/2014 05/15/2011
- ------------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 10.14 7.79 6.26
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
DD=6.0;6.0;6.0 81.82042 10.78 11.31 10.07
- ------------------------------------------------------------------------------------------------------------------------------------
WAL 10.00 7.85 7.83
- ------------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 11/15/2007 03/15/2006 02/15/2005
- ------------------------------------------------------------------------------------------------------------------------------------
Maturity 08/15/2016 01/15/2013 11/15/2029
- ------------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 13.74 10.80 8.82
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
DD=8.0;8.0;8.0 81.82042 1.48 -0.46 -2.25
- ------------------------------------------------------------------------------------------------------------------------------------
WAL 8.77 7.18 6.04
- ------------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 05/15/2009 10/15/2007 06/15/2006
- ------------------------------------------------------------------------------------------------------------------------------------
Maturity 11/15/2029 11/15/2029 11/15/2029
- ------------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 16.68 13.37 11.08
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
CDR PP=115.0;30.0;115.0 PP=160.0;32.0;160.0 PP=175.0;35.0;175.0
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
DD=0.0;0.0;0.0 81.82042 12.01 13.16 13.64
- ------------------------------------------------------------------------------------------------------------------------------------
WAL 6.24 4.63 4.19
- ------------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 09/15/2004 06/15/2003 02/15/2003
- ------------------------------------------------------------------------------------------------------------------------------------
Maturity 10/15/2010 01/15/2008 04/15/2007
- ------------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 0.00 0.00 0.00
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
DD=2.0;2.0;2.0 81.82042 12.19 13.36 13.80
- ------------------------------------------------------------------------------------------------------------------------------------
WAL 5.91 4.44 4.06
- ------------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 06/15/2004 05/15/2003 01/15/2003
- ------------------------------------------------------------------------------------------------------------------------------------
Maturity 02/15/2010 08/15/2007 01/15/2007
- ------------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 2.80 2.16 1.98
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
DD=4.0;4.0;4.0 81.82042 12.39 13.48 13.82
- ------------------------------------------------------------------------------------------------------------------------------------
WAL 5.60 4.32 4.03
- ------------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 03/15/2004 05/15/2003 02/15/2003
- ------------------------------------------------------------------------------------------------------------------------------------
Maturity 08/15/2009 04/15/2007 10/15/2006
- ------------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 5.31 4.16 3.82
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
DD=6.0;6.0;6.0 81.82042 7.72 5.58 4.48
- ------------------------------------------------------------------------------------------------------------------------------------
WAL 6.57 5.11 4.70
- ------------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 06/15/2004 06/15/2003 03/15/2003
- ------------------------------------------------------------------------------------------------------------------------------------
Maturity 11/15/2029 11/15/2029 11/15/2029
- ------------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 7.56 6.01 5.55
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
DD=8.0;8.0;8.0 81.82042 -4.62 -6.29 -7.34
- ------------------------------------------------------------------------------------------------------------------------------------
WAL 5.24 4.37 4.08
- ------------------------------------------------------------------------------------------------------------------------------------
FirstPrinPay 11/15/2005 05/15/2004 02/15/2004
- ------------------------------------------------------------------------------------------------------------------------------------
Maturity 11/15/2029 11/15/2029 11/15/2029
- ------------------------------------------------------------------------------------------------------------------------------------
CollLossPercent 9.59 7.72 7.16
- ------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
- -----------------------------------------------------------------------------------------------------------
CDR PP=200.0;40.0;200.0 CBass Fix&2/28 wPP
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
DD=0.0;0.0;0.0 81.82042 14.27 13.97
- -----------------------------------------------------------------------------------------------------------
WAL 3.71 3.95
- -----------------------------------------------------------------------------------------------------------
FirstPrinPay 12/15/2002 12/15/2002
- -----------------------------------------------------------------------------------------------------------
Maturity 03/15/2006 04/15/2007
- -----------------------------------------------------------------------------------------------------------
CollLossPercent 0.00 0.00
- -----------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------
DD=2.0;2.0;2.0 81.82042 14.35 14.07
- -----------------------------------------------------------------------------------------------------------
WAL 3.65 3.87
- -----------------------------------------------------------------------------------------------------------
FirstPrinPay 12/15/2002 12/15/2002
- -----------------------------------------------------------------------------------------------------------
Maturity 12/15/2005 01/15/2007
- -----------------------------------------------------------------------------------------------------------
CollLossPercent 1.73 1.92
- -----------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------
DD=4.0;4.0;4.0 81.82042 13.40 13.92
- -----------------------------------------------------------------------------------------------------------
WAL 4.36 4.01
- -----------------------------------------------------------------------------------------------------------
FirstPrinPay 12/15/2002 12/15/2002
- -----------------------------------------------------------------------------------------------------------
Maturity 08/15/2012 11/15/2009
- -----------------------------------------------------------------------------------------------------------
CollLossPercent 3.36 3.70
- -----------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------
DD=6.0;6.0;6.0 81.82042 2.63 4.29
- -----------------------------------------------------------------------------------------------------------
WAL 4.15 4.71
- -----------------------------------------------------------------------------------------------------------
FirstPrinPay 12/15/2002 12/15/2002
- -----------------------------------------------------------------------------------------------------------
Maturity 11/15/2029 05/15/2027
- -----------------------------------------------------------------------------------------------------------
CollLossPercent 4.90 5.37
- -----------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------
DD=8.0;8.0;8.0 81.82042 -9.10 -6.33
- -----------------------------------------------------------------------------------------------------------
WAL 3.69 4.13
- -----------------------------------------------------------------------------------------------------------
FirstPrinPay 07/15/2003 10/15/2003
- -----------------------------------------------------------------------------------------------------------
Maturity 11/15/2029 11/15/2029
- -----------------------------------------------------------------------------------------------------------
CollLossPercent 6.36 6.93
- -----------------------------------------------------------------------------------------------------------
</TABLE>
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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 1 of 2
<PAGE>
EXHIBIT 99.2
Banc of America Securities LLC
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is for your private information and Banc of
America 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>
EXHIBIT 99.3
Credit Suisse First Boston Corporation
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no
circumstances shall the information presented constitute an offer to sell or
the solicitation of an offer to buy nor shall there be any sale of the
securities in any jurisdiction in which such offer, solicitation or sale would
be unlawful prior to registration or qualification under the securities laws of
such jurisdiction. The securities may not be sold nor may an offer to buy be
accepted prior to the delivery of a final prospectus relating to the
securities. The above preliminary description of the underlying assets has been
provided by the issuer and has not been independently verified by Credit Suisse
First Boston. All information described above is preliminary, limited in nature
and subject to completion or amendment. Credit Suisse First Boston makes no
representations that the above referenced security will actually perform as
described in any scenario presented.
<PAGE>
EXHIBIT 99.4
Greenwich Capital Markets, Inc.
The above analysis is not intended to be a prospectus and any investment
decision with respect to the security should be made by you based solely upon
all of the information contained in the final prospectus. Under no
circumstances shall the information presented constitute an offer to sell or
the solicitation of an offer to buy nor shall there be any sale of the
securities in any jurisdiction in which such offer, solicitation or sale would
be unlawful prior to registration or qualification under the securities laws of
such jurisdiction. The securities may not be sold nor may an offer to buy be
accepted prior to the delivery of a final prospectus relating to the
securities. The above preliminary description of the underlying assets has been
provided by the issuer and has not been independently verified by Greenwich
Capital Markets. All information described above is preliminary, limited in
nature and subject to completion or amendment and will be superseded by the
terms of the final prospectus supplement. Greenwich Capital Markets makes no
representations that the above referenced security will actually perform as
described in any scenario presented.
<PAGE>
EXHIBIT 99.5
Lehman Brothers Inc.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by , and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same
qualifications and assumptions, and should be considered by investors only in
the light of the same warnings, lack of assurances and representations and
other precautionary matters, as disclosed in the Offering Document. Information
regarding the underlying assets has been provided by the issuer of the
securities or an affiliate thereof and has not been independently verified by
Lehman Brothers Inc. or any affiliate. The analyses contained herein have been
prepared on the basis of certain assumptions (including, in certain cases,
assumptions specified by the recipient hereof) regarding payments, interest
rates, losses and other matters, including, but not limited to, the assumptions
described in the Offering Document. Lehman Brothers Inc., and any of its
affiliates, make no representation or warranty as to the actual rate or timing
of payments on any of the underlying assets or the payments or yield on the
securities. This information supersedes any prior versions hereof and will be
deemed to be superseded by any subsequent versions (including, with respect to
any description of the securities or underlying assets, the information
contained in the Offering Document).
