<PAGE>
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
----------
FORM 8-K
CURRENT REPORT
PURSUANT TO SECTION 13 OR 15 (d)
OF THE SECURITIES EXCHANGE ACT OF 1934
Date of Report (date of earliest event reported) March 28, 2000
Delta Funding Corporation
-----------------------------------
(Exact name of registrant as specified in its charter)
New York 333-96001 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
Greenwich Capital Markets, Inc., as an underwriter, in connection with the
issuance by Delta Funding Home Equity Loan Trust 2000-1 of Home Equity Loan
Asset-Backed Certificates, Series 2000-1. The term "Computational Materials"
shall have the meaning given in the No-Action Letter of May 20, 1994 issued by
the Securities and Exchange Commission (the "SEC") to Kidder, Peabody Acceptance
Corporation I, Kidder, Peabody & Co. Incorporated and Kidder Structured Asset
Corporation, as made applicable to other issuers and underwriters by the
Commission in response to the request of the Public Securities Association dated
May 24, 1994, and the supplemented in the No-Action Letter of February 17, 1995
issued by the SEC to the Public Securities Association. Some or all of the
Computational Materials were also distributed by Lehman Brothers, First Union
Securities, Inc., Banc of America Securities LLC and Credit Suisse First Boston
as the other underwriters; the legends which such underwriters placed on the
Computational Materials are attached hereto as Exhibits 99.3, 99.4, 99.5 and
99.6, 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.
23.1 Consent of PriceWaterhouse Coopers
23.2 Consent of Stroock & Stroock & Lavan LLP (included in Exhibit
8.1).
99.1 Computational Materials.
99.2 Legend of Greenwich Capital Markets, Inc. for Computational
Materials (included in exhibit 99.1).
99.3 Legend of Lehman Brothers for Computational Materials.
99.4 Legend of First Union Securities, Inc. for Computational
Materials.
99.5 Legend of Banc of America Securities LLC for Computational
Materials.
99.6 Legend of Credit Suisse First Boston 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: March 28, 2000
<PAGE>
EXHIBIT INDEX
-------------
Exhibit
-------
8.1 Opinion of Stroock & Stroock & Lavan LLP regarding
certain tax matters.
23.1 Consent of PriceWaterhouse Coopers
23.2 Consent of Stroock & Stroock & Lavan LLP
99.1 Computational Materials.
99.2 Legend of Greenwich Capital Markets, Inc. for
Computational Materials
99.3 Legend of Lehman Brothers for Computational Materials.
99.4 Legend of First Union Securities, Inc. for
Computational Materials.
99.5 Legend of Banc of America Securities LLC for
Computational Materials.
99.6 Legend of Credit Suisse First Boston for Computational
Materials
<PAGE>
EXHIBIT 8.1
STROOCK & STROOCK & LAVAN LLP
180 Maiden Lane
New York, NY 10038-4982
March 28, 2000
Delta Funding Corporation
1000 Woodbury Road
Woodbury, New York 11797
Re: Delta Funding Corporation
Registration Statement on Form S-3
(No. 333-96001)
----------------------------------
Ladies and Gentlemen:
We have acted as counsel for Delta Funding Corporation ("Delta") in connection
with the issuance of $250,000,000 aggregate principal amount of Home Equity Loan
Asset-Backed Certificates, Series 2000-1 (the "Certificates"). A Registration
Statement on Form S-3 relating to the Certificates (No. 333-96001) (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 March 8, 2000. As set forth in the Prospectus
dated March 27, 2000 (the "Prospectus") and the Prospectus Supplement dated
March 27, 2000 (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 March 1, 2000 (the "Pooling and Servicing
Agreement"), between Delta, as seller and servicer, and Norwest Bank Minnesota,
National Association, as trustee.
We have examined a form of the Pooling and Servicing Agreement, a form of the
Certificates, and a form of the Prospectus and Prospectus Supplement. We also
have examined such other documents, papers, statutes and authorities as we have
deemed necessary to form the basis for the opinions hereinafter expressed. In
our examination of such material, we have assumed the genuineness of all
signatures, the authenticity of all documents submitted to us as originals and
the conformity to original documents of copies of documents submitted to us.
<PAGE>
On the basis of the foregoing, we are of the opinion that the information in the
Prospectus Supplement under the caption "Federal Income Tax Considerations," and
in the Prospectus under the caption "Federal Income Tax Considerations," to the
extent that it constitutes matters of law or legal conclusions, is correct in
all material respects.
This opinion is based on current provisions of the Internal Revenue Code of
1986, as amended, the Treasury regulations promulgated thereunder, and judicial
and administrative interpretations thereof.
Except as provided below, this opinion is solely for the benefit of the
addressee hereof and may not be relied upon in any manner by any other person or
entity.
We hereby consent to the filing of this opinion as an exhibit to the
Registration Statement, to the references to us in the Prospectus Supplement,
and to the filing of this opinion as an exhibit to an application made by or on
behalf of Delta or any dealer in connection with the registration of the
Certificates under the securities or blue sky laws of any state or jurisdiction.
In giving such permission, we do not admit hereby that we come within the
category of persons whose consent is required under Section 7 of the Securities
Act or the General Rules and Regulations of the Securities and Exchange
Commission thereunder.
Very truly yours,
/s/ Stroock & Stroock & Lavan LLP
STROOCK & STROOCK & LAVAN LLP
<PAGE>
EXHIBIT 23.1
CONSENT OF INDEPENDENT ACCOUNTANTS
We consent to the incorporation by reference in the Prospectus Supplement of
Delta Funding Corporation relating to Delta Funding Home Equity Loan Trust
2000-1 of our report dated January 25, 2000, except for Note 18, as to which the
date is March 14, 2000, on our audits of the consolidated financial statements
of Financial Security Assurance Inc. and Subsidiaries as of December 31, 1999
and 1998, and for each of the three years in the period ended December 31, 1999.
We also consent to the reference to our Firm under the caption "Experts".
/s/ PricewaterhouseCoopers LLP
PricewaterhouseCoopers LLP
March 27, 2000
<PAGE>
FOR INTERNAL USE ONLY
ALL AMOUNTS SUBJECT TO CHANGE
PRELIMINARY INFORMATION SHEET
03/14/00
DELTA FUNDING HOME EQUITY LOAN TRUST 2000-1
Scheduled Balance 02/29/00
PRODUCT: 2/28& 3/27
TOTAL CURRENT BALANCE: $ 34,806,138.38
TOTAL ORIGINAL BALANCE: $ 34,823,569.00
NUMBER OF LOANS: 425
WEIGHTED AVERAGE PREPAYMENT TERM: 40 months RANGE: 0 - 60 months
<TABLE>
<CAPTION>
CURRENT
PRINCIPAL BALANCE PCT($) # OF LOANS PCT(#)
----------------- ------ ---------- ------
<S> <C> <C> <C> <C>
PREPAYMENT TERM: 0 2,599,097.40 7.47 29 6.82
12 526,563.57 1.51 4 0.94
24 532,602.44 1.53 8 1.88
36 24,562,591.28 70.57 284 66.82
60 6,585,283.69 18.92 100 25.53
PREPAY PENALTY: Prepayment Penalty 32,294,302.28 92.78 397 93.41
No Prepayment Penalty 2,511,836.10 7.22 28 6.59
</TABLE>
The information contained herein has been prepared solely for the use of
Greenwich Capital Markets, Inc. and has not been independently verified by
Greenwich Capital Markets, Inc. Accordingly, Greenwich Capital Markets, Inc.
makes no express or implied representations or warranties of any kind and
expressly disclaims all liability for any use or misuse of the contents hereof.
Greenwich Capital Markets, Inc. assumes no responsibility for the accuracy of
any material contained herein.
The information contained herein will be superseded by the description of the
mortgage loans contained in the prospectus supplement. Such information
supersedes the information in all prior collateral term sheets, if any.
<PAGE>
FOR INTERNAL USE ONLY
ALL AMOUNTS SUBJECT TO CHANGE
PRELIMINARY INFORMATION SHEET
03/14/00
DELTA FUNDING HOME EQUITY LOAN TRUST 2000-1
Scheduled Balance 02/29/00
PRODUCT: Fixed
TOTAL CURRENT BALANCE: $ 92,662,670.66
TOTAL ORIGINAL BALANCE: $ 92,773,303.28
NUMBER OF LOANS: 1,252
WEIGHTED AVERAGE PREPAYMENT TERM: 27 months RANGE: 0 - 60 months
<TABLE>
<CAPTION>
CURRENT
PRINCIPAL BALANCE PCT($) # OF LOANS PCT(#)
----------------- ------ ---------- ------
<S> <C> <C> <C> <C>
PREPAYMENT TERM: 0 20,749,406.37 22.39 342 27.32
12 36.889,253.06 39.81 350 27.96
24 2,677,687.23 2.89 45 3.59
36 22,094,909.16 23.84 345 27.56
60 10,251,414.64 11.06 170 13.58
PREPAY PENALTY: Prepayment Penalty 71,913,264.09 77.61 910 72.68
No Prepayment Penalty 20,749,406.37 22.39 342 27.32
</TABLE>
The information contained herein has been prepared solely for the use of
Greenwich Capital Markets, Inc. and has not been independently verified by
Greenwich Capital Markets, Inc. Accordingly, Greenwich Capital Markets, Inc.
makes no express or implied representations or warranties of any kind and
expressly disclaims all liability for any use or misuse of the contents hereof.
Greenwich Capital Markets, Inc. assumes no responsibility for the accuracy of
any material contained herein.
The information contained herein will be superseded by the description of the
mortgage loans contained in the prospectus supplement. Such information
supersedes the information in all prior collateral term sheets, if any.
<PAGE>
FOR INTERNAL USE ONLY
ALL AMOUNTS SUBJECT TO CHANGE
PRELIMINARY INFORMATION SHEET
03/14/00
DELTA FUNDING HOME EQUITY LOAN TRUST 2000-1
Scheduled Balance 02/29/00
PRODUCT: 2/28& 3/27
TOTAL CURRENT BALANCE: $ 34,806,138.38
TOTAL ORIGINAL BALANCE: $ 34,823,569.00
NUMBER OF LOANS: 425
<TABLE>
<CAPTION>
CURRENT
PRINCIPAL BALANCE PCT($) # OF LOANS PCT(#)
----------------- ------ ---------- ------
<S> <C> <C> <C> <C>
SECTION 32: No 32,463,567.97 93.27 377 88.71
Yes 2,342,570.41 6.73 48 11.29
</TABLE>
The information contained herein has been prepared solely for the use of
Greenwich Capital Markets, Inc. and has not been independently verified by
Greenwich Capital Markets, Inc. Accordingly, Greenwich Capital Markets, Inc.
makes no express or implied representations or warranties of any kind and
expressly disclaims all liability for any use or misuse of the contents hereof.
Greenwich Capital Markets, Inc. assumes no responsibility for the accuracy of
any material contained herein.
The information contained herein will be superseded by the description of the
mortgage loans contained in the prospectus supplement. Such information
supersedes the information in all prior collateral term sheets, if any.
<PAGE>
FOR INTERNAL USE ONLY
ALL AMOUNTS SUBJECT TO CHANGE
PRELIMINARY INFORMATION SHEET
03/14/00
DELTA FUNDING HOME EQUITY LOAN TRUST 2000-1
Scheduled Balance 02/29/00
PRODUCT: 2/28& 3/27
TOTAL CURRENT BALANCE: $ 34,806,138.38
TOTAL ORIGINAL BALANCE: $ 34,823,569.00
NUMBER OF LOANS: 425
<TABLE>
<CAPTION>
CURRENT
PRINCIPAL BALANCE PCT($) # OF LOANS PCT(#)
----------------- ------ ---------- ------
<S> <C> <C> <C> <C>
SECTION 32: No 32,463,567.97 93.27 377 88.71
Yes 2,342,570.41 6.73 48 11.29
</TABLE>
The information contained herein has been prepared solely for the use of
Greenwich Capital Markets, Inc. and has not been independently verified by
Greenwich Capital Markets, Inc. Accordingly, Greenwich Capital Markets, Inc.
makes no express or implied representations or warranties of any kind and
expressly disclaims all liability for any use or misuse of the contents hereof.
Greenwich Capital Markets, Inc. assumes no responsibility for the accuracy of
any material contained herein.
The information contained herein will be superseded by the description of the
mortgage loans contained in the prospectus supplement. Such information
supersedes the information in all prior collateral term sheets, if any.
<PAGE>
<TABLE>
<CAPTION>
50 PPC 75 PPC
Class Class Class Class
A-5F (AAA) F1 A-6F NAS (AAA) F1 A-5F (AAA) F1 A-6F NAS (AAA) F1
PAYMENT End End End End
DATE Balance Balance Balance Balance
---- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
03/30/00 14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
04/15/00 14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
05/15/00 14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
06/15/00 14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
[LINE 07/15/00 14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
GRAPH 08/15/00 14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
APPEARS 09/15/00 14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
HERE] 10/15/00 14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
11/15/00 14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
12/15/00 14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
01/15/01 14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
02/15/01 14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
03/15/01 14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
04/15/01 14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
[LINE 05/15/01 14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
GRAPH 06/15/01 14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
APPEARS 07/15/01 14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
HERE] 08/15/01 14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
09/15/01 14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
10/15/01 14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
11/15/01 14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
12/15/01 14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
01/15/02 14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
02/15/02 14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
03/15/02 14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
04/15/02 14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
05/15/02 14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
06/15/02 14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
07/15/02 14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
08/15/02 14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
09/15/02 14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
10/15/02 14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
11/15/02 14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
12/15/02 14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
01/15/03 14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
02/15/03 14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
03/15/03 14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
04/15/03 14,900,000.00 9,940,060.24 14,900,000.00 9,907,578.60
05/15/03 14,900,000.00 9,880,240.78 14,900,000.00 9,815,444.86
06/15/03 14,900,000.00 9,820,539.54 14,900,000.00 9,723,591.44
07/15/03 14,900,000.00 9,760,954.41 14,900,000.00 9,632,010.87
08/15/03 14,900,000.00 9,701,483.28 14,900,000.00 9,540,695.56
09/15/03 14,900,000.00 9,642,123.99 14,900,000.00 9,449,637.80
10/15/03 14,900,000.00 9,582,874.37 14,900,000.00 9,358,829.74
11/15/03 14,900,000.00 9,523,732.23 14,900,000.00 9,268,263.37
12/15/03 14,900,000.00 9,464,695.36 14,900,000.00 9,177,930.55
01/15/04 14,900,000.00 9,405,761.51 14,900,000.00 9,087,822.97
02/15/04 14,900,000.00 9,346,928.40 14,900,000.00 8,997,932.16
03/15/04 14,900,000.00 9,288,193.75 14,900,000.00 8,908,249.45
04/15/04 14,900,000.00 9,229,555.22 14,900,000.00 8,818,766.01
05/15/04 14,900,000.00 9,171,010.47 14,900,000.00 8,729,472.78
06/15/04 14,900,000.00 9,112,557.10 14,900,000.00 8,640,360.51
07/15/04 14,900,000.00 9,054,192.70 14,900,000.00 8,551,419.73
08/15/04 14,900,000.00 8,995,914.82 14,900,000.00 8,483,646.75
09/15/04 14,900,000.00 8,937,720.99 14,900,000.00 8,425,598.48
10/15/04 14,900,000.00 8,879,608.67 14,900,000.00 8,367,906.81
11/15/04 14,900,000.00 8,821,575.31 14,900,000.00 8,310,569.35
12/15/04 14,900,000.00 8,763,618.33 14,900,000.00 8,253,583.71
01/15/05 14,900,000.00 8,705,735.09 14,900,000.00 8,196,947.52
02/15/05 14,900,000.00 8,647,922.91 14,900,000.00 8,140,658.41
03/15/05 14,900,000.00 8,590,179.09 14,900,000.00 8,084,714.04
04/15/05 14,900,000.00 8,487,640.01 14,900,000.00 7,985,866.12
05/15/05 14,900,000.00 8,385,751.08 14,900,000.00 7,888,151.98
06/15/05 14,900,000.00 8,284,506.33 14,900,000.00 7,791,558.64
07/15/05 14,900,000.00 8,183,899.83 14,900,000.00 7,696,073.24
08/15/05 14,900,000.00 8,083,925.64 14,900,000.00 7,601,683.10
09/15/05 14,900,000.00 7,984,577.87 14,900,000.00 7,508,375.69
10/15/05 14,900,000.00 7,885,850.64 14,900,000.00 7,416,138.59
11/15/05 14,900,000.00 7,787,738.09 14,900,000.00 7,324,959.56
12/15/05 14,900,000.00 7,690,234.40 14,900,000.00 7,234,826.46
01/15/06 14,900,000.00 7,593,333.73 14,900,000.00 7,145,727.34
02/15/06 14,900,000.00 7,497,030.29 14,900,000.00 7,057,650.35
03/15/06 14,900,000.00 7,401,318.30 14,900,000.00 6,970,583.78
04/15/06 14,900,000.00 7,282,410.40 14,900,000.00 6,862,999.14
05/15/06 14,900,000.00 7,193,707.94 14,900,000.00 6,756,981.17
06/15/06 14,900,000.00 7,117,036.57 14,900,000.00 6,652,507.36
07/15/06 14,900,000.00 7,041,080.52 14,900,000.00 6,549,555.57
08/15/06 14,900,000.00 6,965,833.06 14,900,000.00 6,448,103.92
09/15/06 14,900,000.00 6,891,287.51 14,900,000.00 6,348,130.90
10/15/06 14,900,000.00 6,817,437.27 14,900,000.00 6,249,615.27
11/15/06 14,900,000.00 6,744,275.78 14,900,000.00 6,152,536.10
12/15/06 14,900,000.00 6,671,796.57 14,900,000.00 6,056,872.77
01/15/07 14,900,000.00 6,599,993.20 14,900,000.00 5,962,604.97
02/15/07 14,900,000.00 6,528,859.32 14,900,000.00 5,869,712.64
03/15/07 14,900,000.00 6,458,388.63 14,900,000.00 5,778,176.05
04/15/07 14,900,000.00 6,248,947.38 14,900,000.00 5,507,575.07
05/15/07 14,900,000.00 6,045,993.25 14,900,000.00 5,249,382.44
06/15/07 14,900,000.00 5,849,331.84 14,900,000.00 5,003,038.48
07/15/07 14,900,000.00 5,658,774.44 14,900,000.00 4,768,008.43
08/15/07 14,900,000.00 5,474,137.88 14,900,000.00 4,543,781.38
09/15/07 14,900,000.00 5,295,244.37 14,900,000.00 4,329,869.19
10/15/07 14,900,000.00 5,121,921.33 14,900,000.00 4,125,805.47
11/15/07 14,900,000.00 4,954,001.26 14,900,000.00 3,931,144.67
12/15/07 14,900,000.00 4,791,321.58 14,900,000.00 3,745,461.12
01/15/08 14,900,000.00 4,633,724.49 14,900,000.00 3,568,348.16
02/15/08 14,900,000.00 4,481,056.83 14,900,000.00 3,399,417.30
03/15/08 14,900,000.00 4,333,169.95 14,900,000.00 3,238,297.41
04/15/08 14,900,000.00 4,189,919.57 14,900,000.00 3,084,633.97
05/15/08 14,900,000.00 4,051,165.67 14,900,000.00 2,938,088.33
06/15/08 14,900,000.00 3,916,772.35 14,900,000.00 2,798,336.99
07/15/08 14,900,000.00 3,786,607.71 14,900,000.00 2,665,070.93
08/15/08 14,900,000.00 3,660,543.75 14,900,000.00 2,537,995.00
09/15/08 14,900,000.00 3,538,456.24 14,900,000.00 2,416,827.28
10/15/08 14,900,000.00 3,420,224.63 14,900,000.00 2,301,298.49
11/15/08 14,900,000.00 3,305,731.90 14,900,000.00 2,191,151.43
12/15/08 14,900,000.00 3,194,864.52 14,900,000.00 2,086,140.48
01/15/09 14,900,000.00 3,087,512.31 14,900,000.00 1,986,031.01
02/15/09 14,900,000.00 2,983,568.33 14,900,000.00 1,890,598.99
03/15/09 14,900,000.00 2,882,928.83 14,900,000.00 1,799,630.44
04/15/09 14,900,000.00 2,785,493.11 14,900,000.00 1,712,921.00
05/15/09 14,900,000.00 2,691,163.47 14,900,000.00 1,630,275.54
06/15/09 14,900,000.00 2,599,845.09 14,900,000.00 1,551,507.70
07/15/09 14,900,000.00 2,511,445.98 14,900,000.00 1,476,439.55
08/15/09 14,900,000.00 2,425,876.86 14,900,000.00 1,404,901.15
09/15/09 14,900,000.00 2,343,051.12 14,900,000.00 1,336,730.27
10/15/09 14,900,000.00 2,262,884.70 14,900,000.00 1,271,771.98
11/15/09 14,900,000.00 2,187,626.76 14,900,000.00 1,211,180.79
12/15/09 14,900,000.00 2,114,739.71 14,900,000.00 1,153,404.19
01/15/10 14,900,000.00 2,044,151.78 14,900,000.00 1,098,314.01
02/15/10 14,900,000.00 1,975,793.28 14,900,000.00 1,045,787.83
03/15/10 14,900,000.00 1,909,596.59 14,900,000.00 995,708.74
04/15/10 14,900,000.00 1,845,496.09 14,900,000.00 947,965.05
05/15/10 14,900,000.00 1,783,428.10 14,900,000.00 902,450.10
06/15/10 14,900,000.00 1,723,330.82 14,900,000.00 859,062.05
07/15/10 14,900,000.00 1,665,144.27 14,900,000.00 817,703.59
08/15/10 14,900,000.00 1,608,810.26 14,900,000.00 778,281.82
09/15/10 14,900,000.00 1,554,272.31 14,900,000.00 740,708.03
10/15/10 14,900,000.00 1,501,475.63 14,900,000.00 704,897.48
11/15/10 14,900,000.00 1,450,367.02 14,900,000.00 670,769.26
12/15/10 14,900,000.00 1,400,894.89 14,900,000.00 638,246.12
01/15/11 14,900,000.00 1,353,009.17 14,900,000.00 607,254.29
02/15/11 14,900,000.00 1,306,661.29 14,900,000.00 577,723.32
03/15/11 14,900,000.00 1,261,804.08 14,900,000.00 549,585.96
04/15/11 14,900,000.00 1,218,391.83 14,900,000.00 522,777.99
05/15/11 14,900,000.00 1,176,380.14 14,900,000.00 497,238.10
06/15/11 14,900,000.00 1,135,725.95 14,844,422.37 472,907.75
07/15/11 14,900,000.00 1,096,387.50 14,617,370.52 449,731.05
08/15/11 14,900,000.00 1,058,324.25 14,392,909.08 427,654.67
09/15/11 14,900,000.00 1,021,496.88 14,171,035.95 406,627.66
10/15/11 14,900,000.00 985,867.22 13,951,747.47 386,601.41
11/15/11 14,900,000.00 951,398.28 13,735,038.53 367,529.50
12/15/11 14,900,000.00 918,054.14 13,520,902.62 349,367.64
01/15/12 14,900,000.00 885,799.97 13,309,331.97 332,073.55
02/15/12 14,900,000.00 854,601.97 13,100,317.59 315,606.85
03/15/12 14,900,000.00 824,427.37 12,893,849.35 299,929.03
04/15/12 14,900,000.00 795,244.35 12,689,916.09 285,003.32
05/15/12 14,900,000.00 767,022.09 12,488,505.61 270,794.64
06/15/12 14,900,000.00 739,730.64 12,289,604.83 257,269.49
07/15/12 14,900,000.00 713,341.00 12,093,199.79 244,395.92
08/15/12 14,900,000.00 687,824.99 11,899,275.70 232,143.45
09/15/12 14,900,000.00 663,155.33 11,707,817.07 220,482.95
10/15/12 14,900,000.00 639,305.51 11,518,807.67 209,386.68
11/15/12 14,900,000.00 616,249.85 11,332,230.66 198,828.13
12/15/12 14,900,000.00 593,963.44 11,148,068.58 188,782.04
01/15/13 14,900,000.00 572,422.11 10,966,303.44 179,224.27
02/15/13 14,900,000.00 551,602.42 10,786,916.74 170,131.82
03/15/13 14,900,000.00 531,481.64 10,609,889.49 161,482.75
04/15/13 14,900,000.00 512,037.72 10,435,202.31 153,256.10
05/15/13 14,900,000.00 493,249.31 10,262,835.42 145,431.90
06/15/13 14,900,000.00 475,095.65 10,092,768.68 137,991.11
07/15/13 14,900,000.00 457,556.66 9,924,981.63 130,915.54
08/15/13 14,900,000.00 440,612.83 9,759,453.53 124,187.86
09/15/13 14,900,000.00 424,245.27 9,596,163.39 117,791.53
10/15/13 14,900,000.00 408,435.65 9,435,089.97 111,710.79
11/15/13 14,900,000.00 393,166.19 9,276,211.85 105,930.60
12/15/13 14,900,000.00 378,419.67 9,119,507.42 100,436.62
01/15/14 14,900,000.00 364,179.37 8,964,954.93 95,215.17
02/15/14 14,900,000.00 350,429.10 8,812,532.48 90,253.22
03/15/14 14,900,000.00 337,153.16 8,662,218.09 85,538.32
04/15/14 14,900,000.00 324,336.32 8,513,989.67 81,058.64
05/15/14 14,900,000.00 311,963.82 8,367,825.07 76,802.86
06/15/14 14,900,000.00 300,021.35 8,223,702.11 72,760.22
07/15/14 14,900,000.00 274,922.05 7,961,814.07 65,683.74
08/15/14 14,900,000.00 264,296.40 7,823,457.79 62,202.04
09/15/14 14,900,000.00 254,043.72 7,687,057.59 58,896.03
10/15/14 14,900,000.00 244,151.92 7,552,591.22 55,757.21
11/15/14 14,900,000.00 234,609.24 7,420,036.48 52,777.44
12/15/14 14,900,000.00 225,404.32 7,289,371.22 49,949.01
01/15/15 14,900,000.00 216,526.13 7,160,573.36 47,264.53
02/15/15 14,900,000.00 207,963.97 7,033,620.87 44,716.99
03/15/15 14,900,000.00 199,707.50 6,908,491.83 42,299.69
04/15/15 14,900,000.00 192,622.39 6,795,141.88 40,191.80
05/15/15 14,900,000.00 185,771.01 6,683,401.85 38,185.31
06/15/15 14,900,000.00 179,146.06 6,573,251.81 36,275.47
07/15/15 14,900,000.00 172,740.47 6,464,671.97 34,457.77
08/15/15 14,900,000.00 166,547.37 6,357,642.70 32,727.88
09/15/15 14,855,947.38 160,560.11 6,252,144.51 31,081.68
10/15/15 14,681,296.68 154,772.23 6,148,158.04 29,515.24
11/15/15 14,508,125.11 149,177.48 6,045,664.11 28,024.81
12/15/15 14,336,422.99 143,769.77 5,944,643.68 26,606.82
01/15/16 14,166,180.63 138,543.23 5,845,077.86 25,257.84
02/15/16 13,997,388.30 133,492.13 5,746,947.96 23,974.63
03/15/16 13,830,036.21 128,610.96 5,650,235.42 22,754.08
04/15/16 13,664,114.61 123,894.32 5,554,921.86 21,593.22
05/15/16 13,499,613.68 119,337.02 5,460,989.07 20,489.22
06/15/16 13,336,523.62 114,934.01 5,368,419.00 19,439.39
07/15/16 13,174,834.58 110,680.39 5,277,193.80 18,441.17
08/15/16 13,014,536.74 106,571.42 5,187,295.76 17,492.09
09/15/16 12,855,620.26 102,602.49 5,098,707.38 16,589.82
10/15/16 12,698,075.28 98,769.13 5,011,411.30 15,732.12
11/15/16 12,541,891.96 95,067.03 4,925,390.37 14,916.88
12/15/16 12,387,060.46 91,491.98 4,840,627.59 14,142.05
01/15/17 12,233,570.95 88,039.93 4,757,106.16 13,405.72
02/15/17 12,081,413.59 84,706.91 4,674,809.44 12,706.03
03/15/17 11,930,578.56 81,489.12 4,593,720.99 12,041.23
04/15/17 11,781,056.07 78,382.85 4,513,824.54 11,409.63
05/15/17 11,632,836.31 75,384.50 4,435,103.99 10,809.65
06/15/17 11,485,909.51 72,490.60 4,357,543.42 10,239.76
07/15/17 11,340,265.92 69,697.76 4,281,127.11 9,698.51
08/15/17 11,195,895.80 67,002.72 4,205,839.50 9,184.50
09/15/17 11,052,789.45 64,402.30 4,131,665.20 8,696.44
10/15/17 10,910,937.17 61,893.43 4,058,589.02 8,233.05
11/15/17 10,770,329.31 59,473.14 3,986,595.93 7,793.14
12/15/17 10,630,956.23 57,138.52 3,915,671.08 7,375.57
01/15/18 10,492,808.33 54,886.79 3,845,799.79 6,979.25
02/15/18 10,355,876.05 52,715.24 3,776,967.58 6,603.14
03/15/18 10,220,149.83 50,621.23 3,709,160.12 6,246.25
04/15/18 10,085,620.18 48,602.22 3,642,363.25 5,907.65
05/15/18 9,952,277.63 46,655.74 3,576,562.99 5,586.44
06/15/18 9,820,112.74 44,779.41 3,511,745.53 5,281.76
07/15/18 9,689,116.13 42,970.89 3,447,897.24 4,992.81
08/15/18 9,559,278.43 41,227.95 3,385,004.64 4,718.79
09/15/18 9,430,590.33 39,548.42 3,323,054.43 4,458.99
10/15/18 9,303,042.56 37,930.18 3,262,033.47 4,212.69
11/15/18 9,176,625.88 36,371.20 3,201,928.78 3,979.22
12/15/18 9,051,331.10 34,869.49 3,142,727.56 3,757.95
01/15/19 8,927,149.08 33,423.15 3,084,417.16 3,548.27
02/15/19 8,804,070.73 32,030.30 3,026,985.09 3,349.61
03/15/19 8,682,086.97 30,689.17 2,970,419.03 3,161.41
04/15/19 8,561,188.81 29,398.00 2,914,706.80 2,983.15
05/15/19 8,441,367.29 28,155.11 2,859,836.39 2,814.32
06/15/19 8,322,613.49 26,958.87 2,805,795.94 2,654.47
07/15/19 8,204,918.54 25,807.69 2,752,573.76 2,503.13
08/15/19 8,088,273.63 24,700.04 2,700,158.29 2,359.87
09/15/19 7,972,670.00 23,634.43 2,648,538.12 2,224.29
10/15/19 7,858,098.92 22,609.44 2,597,702.01 2,095.99
11/15/19 7,744,551.73 21,623.67 2,547,638.86 1,974.62
12/15/19 7,632,019.81 20,675.77 2,498,337.71 1,859.80
01/15/20 7,520,494.61 19,764.44 2,449,787.74 1,751.22
02/15/20 7,409,967.61 18,888.42 2,401,978.29 1,648.54
03/15/20 7,308,215.08 18,106.31 2,357,445.81 1,556.72
04/15/20 7,207,380.00 17,353.11 2,313,587.19 1,469.72
05/15/20 7,107,454.42 16,627.85 2,270,392.84 1,387.30
06/15/20 7,008,430.47 15,929.59 2,227,853.28 1,309.22
07/15/20 6,910,300.32 15,257.41 2,185,959.17 1,235.28
08/15/20 6,813,056.20 14,610.43 2,144,701.28 1,165.25
09/15/20 6,716,690.39 13,987.79 2,104,070.52 1,098.96
10/15/20 6,621,195.23 13,388.68 2,064,057.92 1,036.20
11/15/20 6,526,563.11 12,812.28 2,024,654.64 976.79
12/15/20 6,432,786.47 12,257.83 1,985,851.94 920.58
01/15/21 6,339,857.82 11,724.56 1,947,641.22 867.39
02/15/21 6,247,769.71 11,211.76 1,910,014.00 817.07
03/15/21 6,156,514.75 10,718.71 1,872,961.90 769.48
04/15/21 6,066,085.61 10,244.74 1,836,476.65 724.47
05/15/21 5,976,475.00 9,789.18 1,800,550.13 681.92
06/15/21 5,887,675.69 9,351.40 1,765,174.29 641.70
07/15/21 5,799,680.51 8,930.78 1,730,341.22 603.68
08/15/21 5,712,482.35 8,526.71 1,696,043.11 567.76
09/15/21 5,626,074.13 8,138.62 1,662,272.24 533.82
10/15/21 5,540,448.84 7,765.95 1,613,921.35 487.21
11/15/21 5,455,599.54 7,408.15 1,564,089.33 442.05
12/15/21 5,371,519.31 7,064.70 1,515,024.66 400.43
01/15/22 5,288,201.30 6,735.09 1,466,716.36 362.10
02/15/22 5,205,638.72 6,418.83 1,419,153.58 326.86
03/15/22 5,123,824.82 6,115.44 1,372,325.64 294.49
04/15/22 5,042,752.91 5,824.46 1,326,221.97 264.79
05/15/22 4,962,416.36 5,545.44 1,280,832.19 237.60
06/15/22 4,882,808.58 5,277.96 1,236,146.01 212.72
07/15/22 4,803,923.03 5,021.60 1,192,153.33 190.00
08/15/22 4,725,753.23 4,775.95 1,148,844.14 169.29
09/15/22 4,648,292.76 4,540.63 1,106,208.60 150.43
10/15/22 4,571,535.24 4,315.25 1,064,236.99 133.31
11/15/22 4,495,474.35 4,099.45 1,022,919.73 117.78
12/15/22 4,420,103.80 3,892.88 982,247.38 103.72
01/15/23 4,345,417.38 3,695.20 942,210.60 91.04
02/15/23 4,271,408.92 3,506.07 902,800.20 79.61
03/15/23 4,198,072.29 3,325.19 864,007.13 69.35
04/15/23 4,125,401.42 3,152.23 825,822.44 60.15
05/15/23 4,053,390.30 2,986.91 788,237.32 51.94
06/15/23 3,982,032.94 2,828.93 751,243.06 44.62
07/15/23 3,911,323.44 2,678.01 714,831.10 38.13
08/15/23 3,841,255.91 2,533.89 678,992.99 32.40
09/15/23 3,771,824.54 2,396.31 643,720.39 27.35
10/15/23 3,703,023.55 2,265.01 609,005.07 22.92
11/15/23 3,634,847.21 2,139.75 574,838.94 19.07
12/15/23 3,567,289.85 2,020.30 541,214.00 15.72
01/15/24 3,500,345.85 1,906.44 508,122.37 12.84
02/15/24 3,434,009.60 1,797.93 475,556.28 10.37
03/15/24 3,368,275.59 1,694.57 443,508.07 8.27
04/15/24 3,303,138.33 1,596.16 411,970.20 6.51
05/15/24 3,238,592.37 1,502.50 380,935.20 5.04
06/15/24 3,174,632.33 1,413.40 350,395.74 3.82
07/15/24 3,111,252.84 1,328.67 320,344.59 2.84
08/15/24 3,048,448.63 1,248.14 290,774.60 2.05
09/15/24 2,986,214.41 1,171.63 261,678.73 1.44
10/15/24 2,924,545.00 1,098.99 233,050.06 0.97
11/15/24 2,863,435.21 1,030.05 204,881.74 0.62
12/15/24 2,802,879.93 964.65 177,167.03 0.37
01/15/25 2,742,874.09 902.65 149,899.28 0.20
02/15/25 2,683,412.65 843.91 123,071.94 0.09
03/15/25 2,624,490.62 788.28 96,678.55 0.03
04/15/25 2,566,103.06 735.64 70,712.74 0.01
05/15/25 2,508,245.06 685.85 45,168.23 0.00
06/15/25 2,450,911.77 638.79 20,038.84 0.00
07/15/25 2,394,098.37 594.35 0.00 0.00
08/15/25 2,337,800.09 552.40 0.00 0.00
09/15/25 2,282,012.20 512.83 0.00 0.00
10/15/25 2,226,730.00 475.55 0.00 0.00
11/15/25 2,171,948.85 440.43 0.00 0.00
12/15/25 2,117,664.13 407.40 0.00 0.00
01/15/26 2,063,871.29 376.34 0.00 0.00
02/15/26 2,010,565.80 347.17 0.00 0.00
03/15/26 1,957,743.16 319.79 0.00 0.00
04/15/26 1,905,398.94 294.14 0.00 0.00
05/15/26 1,853,528.72 270.11 0.00 0.00
06/15/26 1,802,128.14 247.63 0.00 0.00
07/15/26 1,751,192.87 226.63 0.00 0.00
08/15/26 1,700,718.63 207.03 0.00 0.00
09/15/26 1,646,743.47 187.31 0.00 0.00
10/15/26 1,571,302.05 161.56 0.00 0.00
11/15/26 1,496,542.23 138.50 0.00 0.00
12/15/26 1,422,457.82 117.92 0.00 0.00
01/15/27 1,349,042.65 99.66 0.00 0.00
02/15/27 1,276,290.64 83.54 0.00 0.00
03/15/27 1,204,195.72 69.38 0.00 0.00
04/15/27 1,132,751.92 57.03 0.00 0.00
05/15/27 1,061,953.27 46.33 0.00 0.00
06/15/27 991,793.89 37.15 0.00 0.00
07/15/27 922,267.93 29.34 0.00 0.00
08/15/27 853,369.59 22.76 0.00 0.00
09/15/27 785,093.13 17.30 0.00 0.00
10/15/27 717,432.85 12.83 0.00 0.00
11/15/27 650,383.11 9.23 0.00 0.00
12/15/27 583,938.30 6.40 0.00 0.00
01/15/28 518,092.88 4.24 0.00 0.00
02/15/28 452,841.35 2.64 0.00 0.00
03/15/28 388,178.24 1.51 0.00 0.00
04/15/28 324,098.16 0.76 0.00 0.00
05/15/28 260,595.74 0.31 0.00 0.00
06/15/28 197,665.67 0.09 0.00 0.00
07/15/28 135,302.68 0.00 0.00 0.00
08/15/28 73,501.55 0.00 0.00 0.00
09/15/28 12,257.11 0.00 0.00 0.00
10/15/28 0.00 0.00 0.00 0.00
11/15/28 0.00 0.00 0.00 0.00
12/15/28 0.00 0.00 0.00 0.00
01/15/29 0.00 0.00 0.00 0.00
02/15/29 0.00 0.00 0.00 0.00
03/15/29 0.00 0.00 0.00 0.00
04/15/29 0.00 0.00 0.00 0.00
05/15/29 0.00 0.00 0.00 0.00
06/15/29 0.00 0.00 0.00 0.00
07/15/29 0.00 0.00 0.00 0.00
08/15/29 0.00 0.00 0.00 0.00
09/15/29 0.00 0.00 0.00 0.00
10/15/29 0.00 0.00 0.00 0.00
11/15/29 0.00 0.00 0.00 0.00
12/15/29 0.00 0.00 0.00 0.00
01/15/30 0.00 0.00 0.00 0.00
02/15/30 0.00 0.00 0.00 0.00
03/15/30 0.00 0.00 0.00 0.00
04/15/30 0.00 0.00 0.00 0.00
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
100 PPC Pricing
Class Class Class Class
A-5F (AAA) F1 A-6F NAS (AAA) F1 A-5F (AAA)F1 A-6F NAS (AAA) F1
End End End End
Balance Balance Balance Balance
------- ------- ------- -------
<S> <C> <C> <C> <C>
14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
[LINE 14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
GRAPH 14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
APPEARS 14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
HERE] 14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
14,900,000.00 10,000,000.00 14,900,000.00 10,000,000.00
14,900,000.00 9,860,708.73 14,900,000.00 10,000,000.00
14,900,000.00 9,721,946.63 14,900,000.00 9,907,066.17
14,900,000.00 9,583,685.74 14,900,000.00 9,792,236.37
14,900,000.00 9,467,904.55 14,900,000.00 9,678,832.29
14,900,000.00 9,377,932.52 14,900,000.00 9,566,833.55
14,900,000.00 9,288,803.05 14,900,000.00 9,456,220.11
14,900,000.00 9,200,507.74 14,900,000.00 9,346,972.24
14,900,000.00 9,113,038.24 14,900,000.00 9,239,070.54
14,900,000.00 9,026,386.33 14,900,000.00 9,132,495.90
14,900,000.00 8,940,543.85 14,900,000.00 9,027,229.53
14,900,000.00 8,855,502.72 14,900,000.00 8,923,252.94
14,900,000.00 8,771,254.98 14,900,000.00 8,820,547.92
14,900,000.00 8,687,792.72 14,900,000.00 8,719,096.56
14,900,000.00 8,605,108.11 14,900,000.00 8,618,881.24
14,900,000.00 8,523,193.43 14,900,000.00 8,519,884.62
14,900,000.00 8,442,041.02 14,900,000.00 8,422,089.61
14,900,000.00 8,361,643.30 14,900,000.00 8,325,479.43
14,900,000.00 8,281,992.77 14,900,000.00 8,235,611.15
14,900,000.00 8,203,082.01 14,900,000.00 8,157,998.44
14,900,000.00 8,124,903.68 14,900,000.00 8,080,955.08
14,900,000.00 8,047,450.52 14,900,000.00 8,004,480.16
14,900,000.00 7,970,715.33 14,900,000.00 7,928,572.66
14,900,000.00 7,894,690.99 14,900,000.00 7,853,231.44
14,900,000.00 7,819,370.47 14,900,000.00 7,778,455.26
14,900,000.00 7,686,706.14 14,900,000.00 7,646,521.95
14,900,000.00 7,556,253.41 14,900,000.00 7,516,569.18
14,900,000.00 7,427,974.89 14,900,000.00 7,388,573.92
14,900,000.00 7,301,833.90 14,900,000.00 7,262,513.19
14,900,000.00 7,177,794.34 14,900,000.00 7,138,364.04
14,900,000.00 7,055,820.75 14,900,000.00 7,016,103.54
14,900,000.00 6,935,878.31 14,900,000.00 6,895,708.88
14,900,000.00 6,817,932.77 14,900,000.00 6,777,157.26
14,900,000.00 6,701,950.47 14,900,000.00 6,660,426.00
14,900,000.00 6,587,898.35 14,900,000.00 6,545,492.49
14,900,000.00 6,475,743.91 14,900,000.00 6,432,334.21
14,900,000.00 6,365,455.21 14,900,000.00 6,320,928.77
14,900,000.00 6,229,887.28 14,900,000.00 6,183,835.13
14,900,000.00 6,097,151.40 14,900,000.00 6,049,472.69
14,900,000.00 5,967,188.27 14,900,000.00 5,917,793.75
14,900,000.00 5,839,939.80 14,900,000.00 5,788,751.23
14,900,000.00 5,715,349.17 14,830,973.30 5,662,298.62
14,900,000.00 5,593,360.73 14,506,425.70 5,538,390.00
14,900,000.00 5,473,920.04 14,188,422.79 5,416,980.07
14,900,000.00 5,356,973.80 13,876,847.45 5,298,024.11
14,900,000.00 5,242,469.84 13,571,584.17 5,181,478.03
14,900,000.00 5,130,357.11 13,272,518.97 5,067,298.30
14,900,000.00 5,020,585.63 12,979,539.49 4,955,442.04
14,900,000.00 4,913,106.46 12,692,534.90 4,845,866.92
14,900,000.00 4,597,402.28 12,626,067.33 4,523,859.90
14,900,000.00 4,301,822.44 12,546,671.86 4,222,737.11
14,900,000.00 4,025,091.26 12,455,520.68 3,941,179.75
14,900,000.00 3,766,013.64 12,353,707.41 3,677,949.74
14,900,000.00 3,523,469.98 12,242,251.80 3,431,884.98
14,900,000.00 3,296,411.43 12,122,104.26 3,201,894.88
14,900,000.00 3,083,855.42 11,994,150.07 2,986,956.09
14,900,000.00 2,884,881.49 11,859,213.35 2,786,108.52
14,900,000.00 2,698,627.34 11,718,060.84 2,598,451.56
14,900,000.00 2,524,285.22 11,571,405.44 2,423,140.53
14,889,685.25 2,361,098.42 11,419,909.53 2,259,383.31
14,670,439.09 2,208,358.11 11,264,188.14 2,106,437.21
14,449,181.21 2,065,400.29 11,104,811.91 1,963,605.95
14,226,371.81 1,931,602.96 10,942,309.88 1,830,236.87
14,002,435.12 1,806,383.47 10,777,172.08 1,705,718.30
13,790,230.97 1,695,699.84 10,609,852.09 1,589,477.04
13,584,204.30 1,594,911.77 10,440,769.27 1,480,976.05
13,377,941.87 1,499,965.16 10,270,311.00 1,379,712.20
13,171,677.96 1,410,529.34 10,098,834.76 1,285,214.22
12,965,630.10 1,326,291.90 9,926,670.00 1,197,040.74
12,760,000.04 1,246,957.78 9,754,120.01 1,114,778.44
12,554,974.65 1,172,248.28 9,581,463.64 1,038,040.32
12,350,726.78 1,101,900.19 9,408,956.87 966,464.10
12,147,416.13 1,035,664.95 9,236,834.31 899,710.64
11,945,189.96 973,307.83 9,065,310.69 837,462.53
11,744,183.88 914,607.23 8,894,582.11 779,422.75
11,544,522.50 859,353.88 8,724,827.34 725,313.36
11,346,320.11 807,350.26 8,556,208.98 674,874.36
11,149,681.29 758,409.87 8,388,874.55 627,862.49
10,954,701.53 712,356.71 8,222,957.52 584,050.25
10,761,467.70 669,024.63 8,058,578.32 543,224.89
10,574,956.34 629,299.97 7,899,220.85 505,976.46
10,390,283.84 591,877.27 7,741,561.11 471,228.81
10,207,509.05 556,626.12 7,585,679.89 438,817.60
10,026,684.72 523,423.34 7,431,648.90 408,589.04
9,847,857.89 492,152.57 7,279,531.42 380,399.24
9,671,070.30 462,703.95 7,129,382.91 354,113.59
9,496,358.66 434,973.71 6,981,251.55 329,606.17
9,323,755.00 408,863.88 6,835,178.78 306,759.20
9,153,286.97 384,281.94 6,691,199.81 285,462.53
8,984,978.10 361,140.55 6,549,344.05 265,613.17
8,818,848.09 339,357.24 6,409,635.56 247,114.82
8,654,913.06 318,854.18 6,272,093.48 229,877.45
8,493,185.78 299,557.90 6,136,732.36 213,816.89
8,333,675.88 281,399.04 6,003,562.54 198,854.48
8,176,390.10 264,312.14 5,872,590.51 184,916.71
8,021,332.45 248,235.43 5,743,819.16 171,934.86
7,868,504.42 233,110.64 5,617,248.10 159,844.76
7,717,905.16 218,882.75 5,492,873.96 148,586.43
7,569,531.63 205,499.87 5,370,690.59 138,103.85
7,423,378.77 192,913.05 5,250,689.32 128,344.68
7,279,439.64 181,076.09 5,132,859.18 119,260.06
7,137,705.59 169,945.43 5,017,187.10 110,804.33
6,998,166.33 159,479.99 4,903,658.12 102,934.90
6,860,810.13 149,640.99 4,792,255.52 95,611.95
6,725,623.86 140,391.89 4,682,961.05 88,798.35
6,592,593.18 131,698.22 4,575,755.03 82,459.43
6,461,702.56 123,527.49 4,470,616.51 76,562.82
6,332,935.45 115,849.04 4,367,523.44 71,078.32
6,206,274.31 108,634.00 4,266,452.73 65,977.74
6,081,700.76 101,855.11 4,167,380.40 61,234.79
5,959,195.60 95,486.73 4,070,281.69 56,824.94
5,838,738.92 89,504.63 3,975,131.16 52,725.30
5,720,310.16 83,886.03 3,881,902.77 48,914.52
5,603,888.19 78,609.43 3,790,569.96 45,372.71
5,489,451.34 73,654.58 3,701,105.75 42,081.28
5,376,977.49 69,002.39 3,613,482.80 39,022.94
5,266,444.13 64,634.89 3,527,673.47 36,181.53
5,157,828.38 60,535.15 3,443,649.89 33,542.03
5,051,107.05 56,687.20 3,361,384.03 31,090.40
4,946,256.69 53,076.03 3,280,847.74 28,813.57
4,843,253.66 49,687.47 3,202,012.79 26,699.37
4,742,074.10 46,508.20 3,124,850.93 24,736.43
4,642,694.02 43,525.67 3,049,333.92 22,914.20
4,545,089.34 40,728.05 2,975,433.59 21,222.81
4,449,235.88 38,104.23 2,903,121.82 19,653.09
4,355,109.41 35,643.73 2,832,370.65 18,196.48
4,262,685.71 33,336.68 2,763,152.25 16,845.04
4,171,940.53 31,173.81 2,695,438.96 15,591.35
4,082,849.67 29,146.38 2,629,203.31 14,428.51
3,995,388.98 27,246.18 2,564,418.07 13,350.09
3,909,534.37 25,465.46 2,501,056.23 12,350.12
3,825,261.85 23,796.95 2,439,091.04 11,423.01
3,742,547.53 22,233.80 2,378,496.02 10,563.61
3,661,367.67 20,769.58 2,319,244.98 9,767.08
3,581,698.63 19,398.22 2,261,312.03 9,028.94
3,503,516.95 18,114.03 2,204,671.56 8,345.02
3,366,332.94 15,963.98 2,066,356.12 6,762.40
3,288,756.96 14,849.76 1,982,304.67 5,931.76
3,212,775.61 13,811.14 1,900,253.01 5,190.74
3,138,359.44 12,843.11 1,820,159.16 4,530.78
3,066,147.16 11,949.25 1,741,981.62 3,944.06
2,997,769.30 11,143.54 1,665,679.42 3,423.43
2,930,695.80 10,389.94 1,591,212.15 2,962.38
2,864,905.08 9,685.22 1,518,539.94 2,554.98
2,800,375.79 9,026.31 1,447,623.55 2,195.81
2,743,040.38 8,468.29 1,383,184.51 1,901.69
2,686,760.88 7,943.82 1,320,264.10 1,641.45
2,631,519.85 7,450.92 1,258,828.60 1,411.74
2,577,300.05 6,987.74 1,198,844.87 1,209.48
2,524,084.45 6,552.54 1,140,280.39 1,031.87
2,471,856.28 6,143.66 1,083,103.25 876.36
2,420,598.94 5,759.56 1,027,282.15 740.64
2,370,296.09 5,398.77 972,786.39 622.60
2,320,931.57 5,059.92 919,585.88 520.32
2,272,489.48 4,741.70 867,651.13 432.07
2,224,954.12 4,442.90 816,953.23 356.25
2,178,310.00 4,162.35 767,463.88 291.45
2,132,541.87 3,898.98 719,155.35 236.37
2,087,634.68 3,651.76 672,000.49 189.85
2,043,573.61 3,419.73 625,972.73 150.81
2,000,344.04 3,201.98 581,046.03 118.33
1,957,931.57 2,997.66 537,194.95 91.53
1,916,322.02 2,805.95 494,394.56 69.64
1,859,715.50 2,556.57 452,620.49 51.98
1,795,345.98 2,290.37 411,848.89 37.93
1,732,307.21 2,048.49 372,056.44 26.94
1,670,573.41 1,828.97 333,220.32 18.50
1,610,119.19 1,629.97 295,318.23 12.19
1,550,919.62 1,449.82 258,328.35 7.61
1,492,950.14 1,286.94 222,229.36 4.42
1,436,186.66 1,139.90 187,000.42 2.32
1,380,605.48 1,007.34 152,621.13 1.04
1,326,183.30 888.04 119,071.59 0.35
1,272,897.26 780.85 86,332.31 0.06
1,220,724.87 684.72 54,384.26 0.00
1,169,644.06 598.67 23,208.87 0.00
1,119,633.15 521.80 0.00 0.00
1,070,670.86 453.28 0.00 0.00
1,022,736.29 392.35 0.00 0.00
975,808.91 338.30 0.00 0.00
929,868.60 290.48 0.00 0.00
884,895.57 248.31 0.00 0.00
840,870.44 211.23 0.00 0.00
797,774.16 178.73 0.00 0.00
755,588.06 150.37 0.00 0.00
714,293.80 125.70 0.00 0.00
673,873.42 104.36 0.00 0.00
634,309.26 85.97 0.00 0.00
595,584.04 70.22 0.00 0.00
557,680.77 56.81 0.00 0.00
520,582.83 45.47 0.00 0.00
484,273.87 35.95 0.00 0.00
448,737.90 28.04 0.00 0.00
413,959.21 21.52 0.00 0.00
379,922.43 16.21 0.00 0.00
346,612.44 11.95 0.00 0.00
314,014.47 8.58 0.00 0.00
282,113.99 5.96 0.00 0.00
250,896.79 3.98 0.00 0.00
220,348.92 2.53 0.00 0.00
190,456.72 1.50 0.00 0.00
161,206.78 0.81 0.00 0.00
132,585.97 0.38 0.00 0.00
104,581.41 0.14 0.00 0.00
78,535.04 0.03 0.00 0.00
53,041.87 0.00 0.00 0.00
28,090.61 0.00 0.00 0.00
3,670.17 0.00 0.00 0.00
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</TABLE>
<PAGE>
This information is furnished to you solely by Greenwich Capital Markets, Inc.
and not by the Issuer of the securities or any of its affiliates. Greenwich
Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the
Issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does
not constitute an offer to sell, nor a solicitation of an offer to buy, the
referenced securities. It does not purport to be all-inclusive or to contain all
of the information that a prospective investor may require to make a full
analysis of the transaction. All amounts are approximate and subject to change.
The information contained herein supersedes information contained in any prior
term sheet for this transaction. In addition, the information contained herein
will be superseded by information contained in term sheets circulated after the
date hereof and by information contained in the Prospectus and Prospectus
Supplement for this transaction. An offering may be made only through the
delivery of the Prospectus and Prospectus Supplement.
COPY #:
Preliminary Term Sheet Date Prepared: March 7, 2000
Delta Funding Home Equity Loan Trust 2000-1
Home Equity Loan Asset-Backed Certificates, Series 2000-1
<TABLE>
<CAPTION>
- -----------------------------------------------------------------------------------------------------------------------------------
Approx Tranche Certificate WAL (Yrs) Pymt Window Expected Ratings (6)
Class(1) Class Size Type Coupon (2) Call/Mat (3) (Mos) Call/Mat S&P Moody's Fitch DCR
(3)
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A-1F Fixed Rate TBD AAA Aaa AAA AAA
A-1A Floater (4) AAA Aaa AAA AAA
IOF (5) IO TBD AAAr Aaa AAA AAA
M1 Fixed-Mez TBD AA AA AA
M2 Fixed-Mez TBD A A A
B 10,625,000 Fixed-Sub TBD See Yield Table See Yield Table BBB- BBB- BBB-
Total $250,000,000
- -----------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(1) The Class A-1F Certificates are backed primarily by the cash flow from a
pool of fixed rate mortgage loans (the "Loan Group F Mortgage Loans"). The
Class A-1A Certificates are backed primarily by the cash flows from a pool
of adjustable rate mortgage loans (the "Loan Group A Mortgage Loans"). The
Class M-1, Class M-2 and Class B Certificates are backed by the cash flows
from both the Loan Group A and the Loan Group F Mortgage Loans. The Class
Sizes are subject to a +/- 5% variance.
(2) The Class A-1F, Class A-1A, Class M-1, Class M-2 and Class B Certificates
are all subject to an available funds cap. The coupon on the Class A-1F
Certificates will increase by 0.50% and the margin on the Class A-1A
Certificates will double after the first date on which the Clean-up Call is
exercisable.
(3) See "Pricing Prepayment Speed" herein.
(4) The Class A-1A Certificates will accrue interest at a variable rate equal to
the least of (i) One-Month LIBOR plus ___ bps (__ bps after the first date
on which the Clean-up Call is exercisable); (ii) [14%]; and (iii) the Loan
Group A Cap.
(5) The Class IOF Certificates will not receive any principal payments, but will
accrue interest on its notional balance, initially $_____________.
(6) The Seller contemplates only S&P and one other rating agency to rate the
Class M-1, Class M-2 and Class B Certificates.
Seller/Servicer: Delta Funding Corporation
Underwriter: Greenwich Capital Markets, Inc.
Trustee: Norwest Bank Minnesota, N.A. ("Norwest")
Custodian: Bank One, N.A. ("Bank One")
Class A Certificate Insurer: Monoline Insurer to be decided (the "Insurer")
Rating Agencies: S&P, Moody's, Fitch and DCR (Moody's rates only
the Class A Certificates)
Cut-off Date: The close of business on February 29, 2000, or
the origination date of a Mortgage Loan if such
date is after February 29, 2000.
Pricing Date: On or about March [10], 2000.
Closing Date: On or about March 30, 2000.
1
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<PAGE>
This information is furnished to you solely by Greenwich Capital Markets, Inc.
and not by the Issuer of the securities or any of its affiliates. Greenwich
Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the
Issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does
not constitute an offer to sell, nor a solicitation of an offer to buy, the
referenced securities. It does not purport to be all-inclusive or to contain all
of the information that a prospective investor may require to make a full
analysis of the transaction. All amounts are approximate and subject to change.
The information contained herein supersedes information contained in any prior
term sheet for this transaction. In addition, the information contained herein
will be superseded by information contained in term sheets circulated after the
date hereof and by information contained in the Prospectus and Prospectus
Supplement for this transaction. An offering may be made only through the
delivery of the Prospectus and Prospectus Supplement.
Settlement Date: On or about March 30, 2000 through DTC, Euroclear
or Clearstream, Luxembourg.
Distribution Date: The 15th day of each month (or the next
succeeding business day) commencing in April
2000.
Certificates Offered: The "Senior Certificates" (or the "Class A
Certificates") will consist of (i) the Class A-1F
and Class IOF Certificates (the "Group F
Certificates") and (ii) the Class A-1A
Certificates (the "Group A Certificates"). The
"Subordinate Certificates" will consist of the
Class M-1, Class M-2 and Class B Certificates.
The Senior Certificates and the Subordinate
Certificates are collectively referred to herein
as the "Certificates".
Accrued Interest: The Class A-1A Certificates will settle flat. The
price to be paid by investors for the
Certificates (other than the Class A-1A
Certificates) will include accrued interest from
March 1, 1999 up to, but not including, the
Settlement Date (29 days).
Interest Accrual Period: The interest accrual period with respect to the
Class A-1A Certificates for a given Distribution
Date will be the period beginning with the
previous Distribution Date (or, in the case of
the first Distribution Date, the Closing Date)
and ending on the day prior to such Distribution
Date (on an Actual/360 basis). The interest
accrual period for the Certificates (other than
the Class A-1A Certificates) with respect to any
Distribution Date will be the calendar month
preceding such Distribution Date (based on a
360-day year consisting of twelve 30-day months).
Federal Tax Status: It is anticipated that the Certificates will be
treated as REMIC regular interests for tax
purposes.
Registration: The Certificates will be available in book-entry
form through DTC, Clearstream, Luxembourg and the
Euroclear system.
ERISA Eligibility: The Senior Certificates are expected to be ERISA
eligible.
SMMEA Eligibility: The Certificates will NOT constitute "mortgage
related securities" for purposes of SMMEA.
Mortgage Loans: As of the Cut-Off Date, the aggregate principal
balance of the Mortgage Loans described herein
was approximately $127,468,809, (the "Statistic
Calculation Mortgage Loans"). See attached
collateral descriptions for more information. On
or prior to the Closing Date, additional mortgage
loans having similar characteristics to the
Statistic Calculation Mortgage Loans will be
added to the trust (the "Additional Mortgage
Loans", and together with the Statistic
Calculation Mortgage Loans, the "Initial Mortgage
Loans"). A deposit of approximately $__________
(the initial "Pre-Funded Amount") will be made to
a pre-funding account on the Closing Date. On or
prior to __________, 2000, (the "Pre-Funding
Period"), the Pre-Funded Amount on deposit in the
pre-funding account will be used to purchase
subsequent Mortgage Loans (to the extent funds
are available) having similar characteristics to
the Initial Mortgage Loans (with any unused
portion of such deposit amount to be distributed
as principal on the Certificates).
Loan Group F
Mortgage Loans: Approximately $92,662,670 of the Statistic
Calculation Mortgage Loans consists of fixed rate
mortgage loans. Approximately $_________ of the
initial Pre-Funded Amount will be used to
purchase subsequent Loan Group F Mortgage Loans.
2
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<PAGE>
This information is furnished to you solely by Greenwich Capital Markets, Inc.
and not by the Issuer of the securities or any of its affiliates. Greenwich
Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the
Issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does
not constitute an offer to sell, nor a solicitation of an offer to buy, the
referenced securities. It does not purport to be all-inclusive or to contain all
of the information that a prospective investor may require to make a full
analysis of the transaction. All amounts are approximate and subject to change.
The information contained herein supersedes information contained in any prior
term sheet for this transaction. In addition, the information contained herein
will be superseded by information contained in term sheets circulated after the
date hereof and by information contained in the Prospectus and Prospectus
Supplement for this transaction. An offering may be made only through the
delivery of the Prospectus and Prospectus Supplement.
Loan Group A
Mortgage Loans: Approximately $34,806,138 of the Statistic
Calculation Mortgage Loans consists of adjustable
rate mortgage loans which adjust based on the
Six-Month LIBOR index. The Statistic Calculation
Mortgage Loans in Loan Group A consist of
approximately $5,170,263 of 2/28 adjustable rate
mortgage loans and approximately $29,635,876 of
3/27 adjustable rate mortgage loans.
Approximately $_________ of the initial
Pre-Funded Amount will be used to purchase
subsequent Loan Group A Mortgage Loans.
Pricing Prepayment Speed: The Certificates were priced based on the
following prepayment assumptions:
[Loan Group F Mortgage Loans: 115% of PPC-F (100%
PPC-F is equal to 4% - 20% CPR over 12 months)
Loan Group A Mortgage Loans: 100% of PPC-A (100%
PPC-A is equal to 4% - 35% CPR over 30 months)]
Optional Termination: The terms of the transaction allow for a clean-up
call (the "Clean-up Call") which may be exercised
once the current aggregate principal balance of
the Mortgage Loans is less than or equal to 10%
of the sum of the initial aggregate principal
balance of the Mortgage Loans and the initial
Pre-Funded Amount.
Available Funds Cap: As to any Distribution Date, (i) in the case of
the Class A-1F and Subordinate Certificates, the
lesser of the Loan Group F Cap and the Loan Group
A Cap and (ii) in the case of the Class A-1A
Certificates, the Loan Group A Cap.
Loan Group F Cap: As to any Distribution Date, a per annum rate
equal to
(i) the weighted average gross rate of the
Loan Group F Mortgage Loans less servicing
and trustee fee rates; minus
(ii) the insurer premium payable to the Insurer
on the Group F Certificates; minus
(iii) the certificate rate on the Class IOF
Certificates multiplied by a fraction
equal to
(a) the notional balance of the Class IOF
Certificates prior to such
Distribution Date divided by
(b) the balance of the Loan Group F
Mortgage Loans plus the related
Pre-Funded Amount as of the beginning
of the related due period.
Loan Group A Cap: A per annum rate equal to
(i) the weighted average gross rate of the
Loan Group A Mortgage Loans less servicing
and trustee fee rates; minus
(ii) the insurer premium payable to the Insurer
on the Group A Certificates.
Net Rate Cap Carryover: As to any Distribution Date and the Class A-1F
and Subordinate Certificates, the sum of
(i) the excess, if any, of interest due such
Certificates (without regard to the
Available Funds Cap) over interest due
such Certificates at a rate equal to the
Available Funds Cap;
3
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<PAGE>
This information is furnished to you solely by Greenwich Capital Markets, Inc.
and not by the Issuer of the securities or any of its affiliates. Greenwich
Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the
Issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does
not constitute an offer to sell, nor a solicitation of an offer to buy, the
referenced securities. It does not purport to be all-inclusive or to contain all
of the information that a prospective investor may require to make a full
analysis of the transaction. All amounts are approximate and subject to change.
The information contained herein supersedes information contained in any prior
term sheet for this transaction. In addition, the information contained herein
will be superseded by information contained in term sheets circulated after the
date hereof and by information contained in the Prospectus and Prospectus
Supplement for this transaction. An offering may be made only through the
delivery of the Prospectus and Prospectus Supplement.
(ii) any Net Rate Cap Carryover remaining
unpaid from prior Distribution Dates; and
(iii) interest on the amount in clause (ii) at
the related certificate rate (without
regard to the Available Funds Cap);
LIBOR Carryover: As to any Distribution Date and the Class A-1A
Certificates, the sum of
(i) the excess, if any, of interest due such
Certificates (without regard to the
Available Funds Cap, but giving effect to
the hard cap of [14%]) over interest due
such Certificates at a rate equal to the
Available Funds Cap;
(ii) any LIBOR Carryover remaining unpaid from
prior Distribution Dates; and
(iii) interest on the amount in clause (ii) at
the related certificate rate (without
regard to the Available Funds Cap, but
giving effect to the hard cap of [14%]);
Credit Enhancement: Credit enhancement for the Certificates will
consist of (i) for the Class A Certificates only,
an Monoline Insurance Policy (the "Policy"), (ii)
Excess Interest Collections (defined below),
(iii) overcollateralization and (iv) the
subordination of Certificates with lower payment
priorities.
Credit Enhancement
Percentages:
Target Credit Enh.
Initial Credit Enh. After Stepdown Date
------------------- -------------------
Rating Percent Rating Percent
------ ------- ------ -------
AAA AAA
AA AA
A A
BBB- 0.00% BBB- [3.50%]
Insurance Policy: The Policy will guarantee the timely payment of
interest and ultimate payment of principal on the
Class A Certificates. The Policy does not cover
the payment of any LIBOR Carryover or Net Rate
Cap Carryover and does not cover the Class M-1,
Class M-2 or Class B Certificates.
Excess
Interest Collections: For each Distribution Date, the interest
collections from the Mortgage Loans minus the sum
of (i) the interest paid on the Certificates;
(ii) the servicing and trustee fees paid in
respect of the Mortgage Loans; (iii) the insurer
premium paid and any unreimbursed draws on the
Policy.
Overcollateralization
Amount: The Certificateholders will be entitled to
receive distributions of Excess Interest
Collections as principal until the
Overcollateralization Amount equals the Required
Overcollateralization Amount. This distribution
of interest as principal will have the effect of
accelerating the Certificates relative to the
underlying Mortgage Loans. On any Distribution
Date, the Overcollateralization Amount will be
the amount by which the balance of the Mortgage
Loans and the Pre-Funded Amount, if any, (the
"Mortgage Loan Balance") exceeds the balance of
the Certificates (the "Certificate Principal
Balance"). On
4
[GREENWICH CAPITAL LOGO OMITTED]
<PAGE>
This information is furnished to you solely by Greenwich Capital Markets, Inc.
and not by the Issuer of the securities or any of its affiliates. Greenwich
Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the
Issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does
not constitute an offer to sell, nor a solicitation of an offer to buy, the
referenced securities. It does not purport to be all-inclusive or to contain all
of the information that a prospective investor may require to make a full
analysis of the transaction. All amounts are approximate and subject to change.
The information contained herein supersedes information contained in any prior
term sheet for this transaction. In addition, the information contained herein
will be superseded by information contained in term sheets circulated after the
date hereof and by information contained in the Prospectus and Prospectus
Supplement for this transaction. An offering may be made only through the
delivery of the Prospectus and Prospectus Supplement.
any Distribution Date on which the Mortgage Loan
Balance does not exceed the Certificate Principal
Balance by the Required Overcollateralization
Amount, Excess Interest Collections will be
distributed as principal to the
Certificateholders to increase the
Overcollateralization Amount to the Required
Overcollateralization Amount.
Required
Overcollateralization
Amount: On any Distribution Date on which a Cumulative
Loss Event or a Delinquency Event has not
occurred, the Required Overcollateralization
Amount is equal to
(i) prior to the Stepdown Date, ___% of the
initial balance of the Certificates.
(ii) on or after the Stepdown Date, the greater
of
(a) the lesser of
(x) ___% of the initial balance of the
Certificates; and
(y) ___% of the current balance of the
Mortgage Loans;
(b) 0.50% of the initial balance of the
Certificates (the "OC Floor").
On any Distribution Date on which a Cumulative
Loss Event has occurred, the Required
Overcollateralization Amount is equal to ___% of
the initial balance of the Certificates.
On any Distribution Date on which a Delinquency
Event has occurred, the Required
Overcollateralization Amount is equal to the
Required Overcollateralization Amount as of the
preceding Distribution date.
Cumulative Loss Event: The occurrence of certain rates of cumulative
losses during certain periods of time as
specified in the Pooling and Servicing Agreement.
Delinquency Event: The three-month rolling average of the percentage
of Mortgage Loans 60+ days delinquent exceeds 50%
of the percentage equal to the credit enhancement
provided to the Senior Certificates.
Stepdown Date: The later to occur of:
(i) the earlier to occur of
(a) the Distribution Date occurring in
April 2003; and
(b) the Distribution Date on which the
aggregate balance of the Senior
Certificates is reduced to zero; and
(ii) the first Distribution Date on which the
credit enhancement provided to the Senior
Certificates is at least equal to ____%.
Subordination
Increase Amount: As to any Distribution Date, the lesser of the
Subordination Deficiency and Excess Interest
Collections.
Subordination Deficiency: As to any Distribution Date, the excess, if any,
of the Required Overcollateralization Amount over
the Overcollateralization Amount after giving
effect to the distribution of
5
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<PAGE>
This information is furnished to you solely by Greenwich Capital Markets, Inc.
and not by the Issuer of the securities or any of its affiliates. Greenwich
Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the
Issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does
not constitute an offer to sell, nor a solicitation of an offer to buy, the
referenced securities. It does not purport to be all-inclusive or to contain all
of the information that a prospective investor may require to make a full
analysis of the transaction. All amounts are approximate and subject to change.
The information contained herein supersedes information contained in any prior
term sheet for this transaction. In addition, the information contained herein
will be superseded by information contained in term sheets circulated after the
date hereof and by information contained in the Prospectus and Prospectus
Supplement for this transaction. An offering may be made only through the
delivery of the Prospectus and Prospectus Supplement.
principal from the Mortgage Loans (but prior to
the distribution of any Subordination Increase
Amount).
Excess OC Amount: As to any Distribution Date, the lesser of (i)
the principal from the Mortgage Loans and (ii)
the excess, if any, of the Overcollateralization
Amount over the Required Overcollateralization
Amount (assuming 100% of the distribution of
principal from the Mortgage Loans is distributed
to the Certificates).
Priority of Distributions: Available Funds for each Loan Group will be
distributed in the following order of priority,
in each case, to the extent of funds remaining:
A. Loan Group F:
1) To the Custodian and Trustee, the related
fees and to the Insurer, the premium
payable on the Group F Certificates.
2) To the Group F Certificates, the related
interest due.
3) The remaining amount pursuant to clause C.
below.
B. Loan Group A:
1) To the Custodian and Trustee, the related
fees and to the Insurer, the premium
payable on the Group A Certificates.
2) To the Group A Certificates, the related
interest due.
3) The remaining amount pursuant to clause C.
below.
C. Remaining Amounts:
1) To the Senior Certificates, the related
interest due to the extent not paid
pursuant to clauses A. and B. above.
2) Sequentially to the Class M-1, Class M-2
and Class B Certificates, the related
interest due.
3) To the Senior Certificates, the Senior
Principal Distribution Amount for such
Distribution Date, excluding any
Subordination Increase Amount.
4) To the Insurer, any reimbursement amounts
due for prior draws on the Policy.
5) Sequentially to the Class M-1, Class M-2
and Class B Certificates, the related
principal distribution amount due,
excluding any Subordination Increase
Amounts.
6) To the Certificates, the related
Subordination Increase Amount, distributed
as in priorities 3 and 5 above.
7) Sequentially to the Class M-1, Class M-2
and Class B Certificates, any interest and
principal shortfalls.
8) To the Class A-1A Certificates, any LIBOR
Carryover amounts.
9) Sequentially to the Class A-1F, Class M-1,
Class M-2 and Class B Certificates, the
related Net Rate Cap Carryover.
10) To the Trustee, reimbursement for any
expenses incurred by a servicing transfer
related to the resignation or termination
of the Servicer.
11) To the residual certificates, any
remaining amounts.
6
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<PAGE>
This information is furnished to you solely by Greenwich Capital Markets, Inc.
and not by the Issuer of the securities or any of its affiliates. Greenwich
Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the
Issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does
not constitute an offer to sell, nor a solicitation of an offer to buy, the
referenced securities. It does not purport to be all-inclusive or to contain all
of the information that a prospective investor may require to make a full
analysis of the transaction. All amounts are approximate and subject to change.
The information contained herein supersedes information contained in any prior
term sheet for this transaction. In addition, the information contained herein
will be superseded by information contained in term sheets circulated after the
date hereof and by information contained in the Prospectus and Prospectus
Supplement for this transaction. An offering may be made only through the
delivery of the Prospectus and Prospectus Supplement.
Principal Distribution
Amount: As to any Distribution Date, the lesser of (i)
the balance of the Certificates prior to such
Distribution Date and (ii) the sum of (a)
principal from the Mortgage Loans less any Excess
OC Amount and (b) the Subordination Increase
Amount
Senior Principal Distribution
Amount: As to any Distribution Date prior to the Stepdown
Date or during the continuation of a Delinquency
Event, the lesser of (i) 100% of the Principal
Distribution Amount and (ii) the aggregate
balance of the Senior Certificates.
As to any other Distribution Date, an amount
equal to the excess, if any, of (i) the balance
of the Senior Certificates prior to such
Distribution Date over (ii) the lesser of (a)
___% of the balance of the Mortgage Loans as of
the end of the related due period and (b) the
balance of the Mortgage Loans as of such
Distribution Date less the OC Floor.
Group A Principal
Distribution Amount: As to any Distribution Date, the lesser of
(i) the greater of
(a) the Group A Percentage of the Senior
Principal Distribution Amount and
(b) the excess, if any, of the balance of
the Group A Certificates prior to such
Distribution Date over the sum of the
balance of the Loan Group A Mortgage
Loans and the related Pre-Funded
Amount (if any) as of the end of the
related due period and
(ii) the Senior Principal Distribution Amount.
Group A Percentage: As to any Distribution Date, the percentage equal
to the balance of the Group A Certificates prior
to such Distribution Date divided by the
aggregate balance of all the Senior Certificates
prior to such Distribution Date.
Group F Principal
Distribution Amount: As to any Distribution Date, the excess of the
Senior Principal Distribution Amount over the
Group A Principal Distribution Amount.
Allocation of
Senior Principal
Distribution Amount: The Group A Principal Distribution Amount will be
distributed to the Group A Certificates, while
the Group F Principal Distribution Amount will be
distributed to the Group F Certificates.
Allocation of Losses: Losses not covered by the available credit
enhancement will be allocated in the reverse
order of payment priority (first to the Class B,
then the Class M-2 and then the Class M-1
Certificates).
Class IOF Notional
Balance Schedule: The notional balance of the Class IOF
Certificates will be equal to the lesser of the
balance of the Loan Group F Mortgage Loans and
the balance indicated in the schedule provided
below.
7
[GREENWICH CAPITAL LOGO OMITTED]
<PAGE>
This information is furnished to you solely by Greenwich Capital Markets, Inc.
and not by the Issuer of the securities or any of its affiliates. Greenwich
Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the
Issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and does
not constitute an offer to sell, nor a solicitation of an offer to buy, the
referenced securities. It does not purport to be all-inclusive or to contain all
of the information that a prospective investor may require to make a full
analysis of the transaction. All amounts are approximate and subject to change.
The information contained herein supersedes information contained in any prior
term sheet for this transaction. In addition, the information contained herein
will be superseded by information contained in term sheets circulated after the
date hereof and by information contained in the Prospectus and Prospectus
Supplement for this transaction. An offering may be made only through the
delivery of the Prospectus and Prospectus Supplement.
Distribution Month Notional Balance
------------------ ----------------
1-3
4-6
7-9
10-12
13-15
16-18
19-21
22-24
25-27
28-30
31-33
34-36
37 and after
8
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<PAGE>
COMPUTATIONAL MATERIALS DISCLAIMER
The attached tables and other statistical analyses (the "Computational
Materials") are privileged and intended for use by the addressee only. These
Computational Materials have been prepared by Greenwich Capital Markets, Inc. in
reliance upon information furnished by the issuer of the securities and its
affiliates. These Computational Materials are furnished to you solely by
Greenwich Capital Markets, Inc. and not by the issuer of the securities. They
may not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating said
material.
Numerous assumptions were used in preparing the Computational Materials which
may or may not be reflected therein. As such, no assurance can be given as to
the Computational Materials' accuracy, appropriateness or completeness in any
particular context; nor as to whether the Computational Materials and/or the
assumptions upon which they are based reflect present market conditions or
future market performance. These Computational Materials should not be construed
as either projections or predictions or as legal, tax, financial or accounting
advice.
Any weighted average lives, yields and principal payment periods shown in the
Computational Materials are based on prepayments assumptions, and changes in
such prepayment assumptions may dramatically affect such weighted average lives,
yields and principal payment periods. In addition, it is possible that
prepayments on the underlying assets will occur at rates slower or faster than
the rates shown in the attached Computational Materials. Furthermore, unless
otherwise provided, the Computational Materials assume no losses on the
underlying assets and no interest shortfall. The specific characteristics of the
securities may differ from those shown in the Computational Materials due to
differences between the actual underlying assets and the hypothetical underlying
assets used in preparing the Computational Materials. The principal amount and
designation of any security described in the Computational Materials are subject
to change prior to issuance. Neither Greenwich Capital Markets, Inc. nor any of
its affiliates makes any 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.
Although a registration statement (including the Prospectus) relating to the
securities discussed in this communication has been filed with the Securities
and Exchange Commission and is effective, the final prospectus supplement
relating to the securities discussed in this communication has not been filed
with Securities and Exchange Commission. This communication shall not constitute
an offer to sell or the solicitation of an offer to buy nor shall there be any
sale of the securities discussed in this communication in any state in which
such offer, solicitation or sale would be unlawful prior to registration or
qualification of such securities under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus supplement relating
to the securities discussed in this communication for definitive Computational
Materials and any matter discussed in this communication. Once available, a
final prospectus and prospectus supplement may be obtained by contacting the
Greenwich Capital Markets, Inc. Trading Desk at (203) 625-6160.
Please be advised that the securities described herein may not be appropriate
for all investors. Potential investors must be willing to assume, among other
things, market price volatility, prepayment, yield curve and interest rate
risks. Investors should make every effort to consider the risks of these
securities.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
9
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<PAGE>
The price/yield table on the following page is based on the following
assumptions.
Settlement 03/30/00
Class Balance $10,625,000
Coupon 7.950%
Cut-off Date 03/01/00
Next Payment 04/15/00
Accrued Days 29
Call No
FRM Prepayment Ramp 4%-20% CPR over 12 Months
ARM Prepayment Ramp 4%-35% CPR over 30 Months
"Full Price" = "Flat Price" + Accrued Interest.
Duration and related sensitivities are calculated at midpoint price.
This information is furnished to you solely by Greenwich Capital Markets, Inc.
("GCM") and not by the Issuer of the securities or any of its affiliates. GCM is
acting as underwriter and not as Agent for the issuer or its affiliates in
connection with the proposed transaction.
10
<PAGE>
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Flat FRM:0% PPC FRM:50% PPC FRM:75% PPC FRM:100% PPC FRM:115% PPC FRM:150% PPC FRM:175% PPC FRM:200% PPC
Price ARM:0% PPC ARM:35% PPC ARM:50% PPC ARM:75% PPC ARM:100% PPC ARM:125% PPC ARM:150% PPC ARM:175% PPC
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
83-28 9.797 10.558 11.106 11.792 12.291 13.080 13.559 13.909
84-00 9.781 10.536 11.079 11.758 12.253 13.036 13.511 13.857
84-04 9.766 10.514 11.052 11.725 12.216 12.992 13.462 13.806
84-08 9.750 10.492 11.025 11.692 12.178 12.947 13.414 13.755
84-12 9.735 10.469 10.998 11.660 12.141 12.903 13.366 13.703
84-16 9.719 10.447 10.971 11.627 12.104 12.859 13.318 13.652
- ------------------------------------------------------------------------------------------------------------------------------------
84-20 9.704 10.425 10.944 11.594 12.067 12.815 13.270 13.601
84-24 9.688 10.403 10.918 11.561 12.030 12.771 13.222 13.550
84-28 9.673 10.381 10.891 11.529 11.993 12.727 13.174 13.500
85-00 9.657 10.360 10.864 11.496 11.956 12.684 13.126 13.449
85-04 9.642 10.338 10.838 11.463 11.919 12.640 13.078 13.398
85-08 9.627 10.316 10.811 11.431 11.882 12.597 13.031 13.348
85-12 9.612 10.294 10.785 11.399 11.845 12.553 12.983 13.297
85-16 9.596 10.273 10.758 11.366 11.809 12.510 12.936 13.247
85-20 9.581 10.251 10.732 11.334 11.772 12.467 12.888 13.197
85-24 9.566 10.229 10.706 11.302 11.736 12.423 12.841 13.147
- ------------------------------------------------------------------------------------------------------------------------------------
85-28 9.551 10.208 10.680 11.270 11.699 12.380 12.794 13.097
- ------------------------------------------------------------------------------------------------------------------------------------
86-00 9.536 10.186 10.653 11.238 11.663 12.337 12.747 13.047
86-04 9.521 10.165 10.627 11.206 11.627 12.294 12.700 12.997
86-08 9.506 10.144 10.601 11.174 11.591 12.251 12.653 12.947
86-12 9.491 10.122 10.575 11.142 11.555 12.209 12.607 12.897
86-16 9.476 10.101 10.549 11.110 11.519 12.166 12.560 12.848
86-20 9.461 10.080 10.524 11.079 11.483 12.123 12.513 12.798
86-24 9.446 10.058 10.498 11.047 11.447 12.081 12.467 12.749
86-28 9.431 10.037 10.472 11.015 11.411 12.039 12.420 12.700
87-00 9.417 10.016 10.446 10.984 11.375 11.996 12.374 12.650
87-04 9.402 9.995 10.421 10.953 11.340 11.954 12.328 12.601
- ------------------------------------------------------------------------------------------------------------------------------------
87-08 9.387 9.974 10.395 10.921 11.304 11.912 12.282 12.552
87-12 9.373 9.953 10.369 10.890 11.268 11.870 12.236 12.503
87-16 9.358 9.932 10.344 10.859 11.233 11.828 12.190 12.454
87-20 9.343 9.911 10.318 10.827 11.198 11.786 12.144 12.406
87-24 9.329 9.890 10.293 10.796 11.162 11.744 12.098 12.357
87-28 9.314 9.870 10.268 10.765 11.127 11.702 12.052 12.308
- ------------------------------------------------------------------------------------------------------------------------------------
WAL (yr) 26.46 12.18 8.83 6.59 5.57 4.44 3.94 3.64
MDUR (yr) 9.58 6.72 5.52 4.51 3.97 3.36 3.07 2.89
First Prin Pay 05/15/22 05/15/06 08/15/04 07/15/03 04/15/03 04/15/03 04/15/03 04/15/03
Last Prin Pay 08/15/29 08/15/22 02/15/17 01/15/13 02/15/11 07/15/08 03/15/07 03/15/06
- ------------------------------------------------------------------------------------------------------------------------------------
"Full Price" = "Flat Price" + Accrued Interest.
Duration and related sensitivities are calculated at midpoint price.
This information is furnished to you solely by Greenwich Capital Markets, Inc.
("GCM") and not by the Issuer of the securities or any of its affiliates. GCM is
acting as underwriter and not as Agent for the issuer or its affiliates in
connection with the proposed transaction.
11
<PAGE>
ALL AMOUNTS SUBJECT TO CHANGE
PRELIMINARY INFORMATION SHEET
03/06/00
DELTA FUNDING HOME EQUITY LOAN TRUST 2000-1
Scheduled Balance 02/29/00
PRODUCT: FIXED
TOTAL CURRENT BALANCE: $ 92,662,670.46
NUMBER OF LOANS: 1,252
AVERAGE CURRENT BALANCE: $ 74,011.72 RANGE: $ 6,435.83 - $ 462,545.90
WEIGHTED AVERAGE GROSS COUPON: 10.91508 % RANGE: 7.50000 - 15.79000 %
WEIGHTED AVERAGE COMB LTV: 71.49 % RANGE: 12.06 - 90.00 %
WEIGHTED AVERAGE FICO SCORE: 605 RANGE: 0 - 791
WEIGHTED AVERAGE ORIGINAL TERM: 318.21 months RANGE: 60.00 - 360.00 months
WEIGHTED AVERAGE REMAINING TERM: 316.81 months RANGE: 58.00 - 360.00 months
WEIGHTED AVERAGE SEASONING: 1.40 months RANGE: 0.00 - 98.00 months
TOP STATE CONCENTRATIONS ($): 43.04 % New York, 9.88 % Ohio, 7.55 %
Pennsylvania
MAXIMUM ZIP CODE
CONCENTRATION ($): 1.15 % 11203 (Brooklyn, NY)
FIRST PAY DATE: Jan 01, 1992 - Apr 01, 2000
MATURE DATE: Dec 27, 2004 - Mar 01, 2030
CURRENT
PRINCIPAL BALANCE PCT($) # OF LOANS PCT(#)
<S> <C> <C> <C> <C> <C>
CURRENT BALANCE: 6,436 - 50,000 17,307,282.37 18.68 531 42.41
50,001 - 100,000 30,905,976.42 33.35 435 34.74
100,001 - 150,000 21,222,592.66 22.90 172 13.74
150,001 - 200,000 11,783,736.10 12.72 68 5.43
200,001 - 250,000 7,832,669.76 8.45 35 2.80
250,001 - 300,000 1,358,936.83 1.47 5 0.40
300,001 - 350,000 985,564.19 1.06 3 0.24
350,001 - 400,000 399,879.03 0.43 1 0.08
400,001 - 450,000 403,487.20 0.44 1 0.08
450,001 - 462,546 462,545.90 0.50 1 0.08
</TABLE>
The information contained herein has been prepared solely for the use of
Greenwich Capital Markets, Inc. and has not been independently verified by
Greenwich Capital Markets, Inc. Accordingly, Greenwich Capital Markets, Inc.
makes no express or implied representations or warranties of any kind and
expressly disclaims all liability for any use or misuse of the contents hereof.
Greenwich Capital Markets, Inc. assumes no responsibility for the accuracy of
any material contained herein.
The information contained herein will be superseded by the description of the
mortgage loans contained in the prospectus supplement. Such information
supersedes the information in all prior collateral term sheets, if any.
12
<PAGE>
<TABLE>
<S> <C> <C> <C> <C> <C>
GROSS COUPON: 7.50000 - 7.50000 87,771.46 0.09 1 0.08
7.50001 - 8.00000 1,402,459.74 1.51 19 1.52
8.00001 - 8.50000 3,575,347.08 3.86 35 2.80
8.50001 - 9.00000 6,434,642.50 6.94 75 5.99
9.00001 - 9.50000 6,419,431.96 6.93 77 6.15
9.50001 - 10.00000 10,812,650.22 11.67 127 10.14
10.00001 - 10.50000 8,019,485.58 8.65 93 7.43
10.50001 - 11.00000 16,012,610.18 17.28 205 16.37
11.00001 - 11.50000 10,211,746.07 11.02 145 11.58
11.50001 - 12.00000 10,094,237.44 10.89 153 12.22
12.00001 - 12.50000 5,393,093.47 5.82 91 7.27
12.50001 - 13.00000 7,089,503.25 7.65 104 8.31
13.00001 - 13.50000 2,933,385.07 3.17 48 3.83
13.50001 - 14.00000 2,188,787.78 2.36 42 3.35
14.00001 - 14.50000 1,089,755.37 1.18 23 1.84
14.50001 - 15.00000 759,707.36 0.82 12 0.96
15.00001 - 15.50000 108,059.53 0.12 1 0.08
15.50001 - 15.79000 29,996.40 0.03 1 0.08
ORIGINAL TERM: 60 - 90 549,977.25 0.59 18 1.44
91 - 150 1,905,522.98 2.06 45 3.59
151 - 210 12,694,968.37 13.70 230 18.37
211 - 270 7,037,401.38 7.59 107 8.55
271 - 330 1,929,479.59 2.08 23 1.84
331 - 360 68,545,320.89 73.97 829 66.21
REMAINING TERM: 58 - 60 321,501.24 0.35 11 0.88
61 - 120 1,771,317.17 1.91 47 3.75
121 - 180 12,933,704.46 13.96 233 18.61
181 - 240 7,024,625.55 7.58 107 8.55
241 - 300 1,888,784.14 2.04 23 1.84
301 - 360 68,722,737.90 74.16 831 66.37
SEASONING: <= 0 18,392,158.00 19.85 254 20.29
1 - 6 72,798,882.78 78.56 982 78.43
7 - 12 989,937.65 1.07 10 0.80
13 - 18 87,771.46 0.09 1 0.08
19 - 24 161,821.48 0.17 2 0.16
37 - 42 207,189.25 0.22 2 0.16
97 - 98 24,909.84 0.03 1 0.08
</TABLE>
The information contained herein has been prepared solely for the use of
Greenwich Capital Markets, Inc. and has not been independently verified by
Greenwich Capital Markets, Inc. Accordingly, Greenwich Capital Markets, Inc.
makes no express or implied representations or warranties of any kind and
expressly disclaims all liability for any use or misuse of the contents hereof.
Greenwich Capital Markets, Inc. assumes no responsibility for the accuracy of
any material contained herein.
The information contained herein will be superseded by the description of the
mortgage loans contained in the prospectus supplement. Such information
supersedes the information in all prior collateral term sheets, if any.
13
<PAGE>
<TABLE>
<S> <C> <C> <C> <C> <C>
COMB LTV: 12.06 - 15.00 83,258.45 0.09 4 0.32
15.01 - 20.00 325,708.84 0.35 9 0.72
20.01 - 25.00 484,634.53 0.52 13 1.04
25.01 - 30.00 562,139.87 0.61 13 1.04
30.01 - 35.00 1,647,741.58 1.78 20 1.60
35.01 - 40.00 933,128.26 1.01 21 1.68
40.01 - 45.00 1,770,356.88 1.91 29 2.32
45.01 - 50.00 3,268,838.89 3.53 50 3.99
50.01 - 55.00 2,720,088.93 2.94 40 3.19
55.01 - 60.00 5,602,238.71 6.05 86 6.87
60.01 - 65.00 6,561,447.84 7.08 97 7.75
65.01 - 70.00 14,546,476.75 15.70 201 16.05
70.01 - 75.00 12,615,890.53 13.61 169 13.50
75.01 - 80.00 23,270,828.65 25.11 308 24.60
80.01 - 85.00 9,652,324.91 10.42 112 8.95
85.01 - 90.00 8,617,566.84 9.30 80 6.39
FICO SCORE: <= 0.00 6,143,738.75 6.63 87 6.95
400.01 - 450.00 155,943.35 0.17 3 0.24
450.01 - 500.00 3,290,959.04 3.55 51 4.07
500.01 - 550.00 17,360,475.88 18.74 248 19.81
550.01 - 600.00 24,490,866.49 26.43 326 26.04
600.01 - 650.00 19,380,728.62 20.92 263 21.01
650.01 - 700.00 12,721,145.75 13.73 165 13.18
700.01 - 750.00 6,998,514.97 7.55 82 6.55
750.01 - 791.00 2,120,297.61 2.29 27 2.16
OCCUPANCY: Primary 79,510,063.64 85.81 1,072 85.62
Non-owner 13,152,606.82 14.19 180 14.38
PROPERTY TYPE: Single Family 64,337,697.73 69.43 966 77.16
Two-Four Family 17,807,407.21 19.22 185 14.78
Mixed Use 5,489,595.79 5.92 45 3.59
Five-Eight Family 3,014,565.15 3.25 28 2.24
Condominium 2,013,404.58 2.17 28 2.24
</TABLE>
The information contained herein has been prepared solely for the use of
Greenwich Capital Markets, Inc. and has not been independently verified by
Greenwich Capital Markets, Inc. Accordingly, Greenwich Capital Markets, Inc.
makes no express or implied representations or warranties of any kind and
expressly disclaims all liability for any use or misuse of the contents hereof.
Greenwich Capital Markets, Inc. assumes no responsibility for the accuracy of
any material contained herein.
The information contained herein will be superseded by the description of the
mortgage loans contained in the prospectus supplement. Such information
supersedes the information in all prior collateral term sheets, if any.
14
<PAGE>
STATE: Arizona 97,276.41 0.10 1 0.08
Arkansas 285,009.68 0.31 7 0.56
California 572,166.73 0.62 4 0.32
Colorado 318,614.44 0.34 4 0.32
Connecticut 1,730,239.89 1.87 21 1.68
Delaware 239,871.07 0.26 6 0.48
District of Columbia 106,872.57 0.12 2 0.16
Florida 3,081,032.49 3.32 52 4.15
Georgia 4,189,828.20 4.52 64 5.11
Idaho 60,800.00 0.07 1 0.08
Illinois 5,116,387.00 5.52 77 6.15
Indiana 1,255,602.48 1.36 22 1.76
Kentucky 366,520.18 0.40 7 0.56
Louisiana 623,859.16 0.67 19 1.52
Maine 23,977.05 0.03 1 0.08
Maryland 567,026.02 0.61 13 1.04
Massachusetts 1,776,718.87 1.92 26 2.08
Michigan 2,057,946.46 2.22 43 3.43
Minnesota 90,000.00 0.10 1 0.08
Mississippi 623,655.19 0.67 16 1.28
Missouri 638,801.22 0.69 12 0.96
Nebraska 45,994.26 0.05 2 0.16
New Hampshire 326,351.18 0.35 4 0.32
New Jersey 5,929,659.26 6.40 65 5.19
New Mexico 91,967.12 0.10 1 0.08
New York 39,884,007.08 43.04 384 30.67
North Carolina 3,236,165.94 3.49 51 4.07
Ohio 9,155,615.57 9.88 152 12.14
Oklahoma 145,957.55 0.16 4 0.32
Oregon 214,691.63 0.23 3 0.24
Pennsylvania 6,992,180.16 7.55 139 11.10
Rhode Island 422,806.41 0.46 5 0.40
South Carolina 139,800.03 0.15 3 0.24
Tennessee 1,073,358.59 1.16 20 1.60
Texas 318,547.93 0.34 6 0.48
Virginia 752,617.57 0.81 12 0.96
Washington 63,869.43 0.07 1 0.08
Wisconsin 46,875.64 0.05 1 0.08
The information contained herein has been prepared solely for the use of
Greenwich Capital Markets, Inc. and has not been independently verified by
Greenwich Capital Markets, Inc. Accordingly, Greenwich Capital Markets, Inc.
makes no express or implied representations or warranties of any kind and
expressly disclaims all liability for any use or misuse of the contents hereof.
Greenwich Capital Markets, Inc. assumes no responsibility for the accuracy of
any material contained herein.
The information contained herein will be superseded by the description of the
mortgage loans contained in the prospectus supplement. Such information
supersedes the information in all prior collateral term sheets, if any.
15
<PAGE>
ALL AMOUNTS SUBJECT TO CHANGE
PRELIMINARY INFORMATION SHEET
03/06/00
DELTA FUNDING HOME EQUITY LOAN TRUST 2000-1
Scheduled Balance 02/29/00
PRODUCT: 2/28& 3/27
TOTAL CURRENT BALANCE: $ 34,806,138.38
NUMBER OF LOANS: 425
AVERAGE CURRENT BALANCE: $ 81,896.80 RANGE: $17,983.28 - $310,467.03
WEIGHTED AVERAGE GROSS COUPON: 10.67278 % RANGE: 7.69000 - 16.14000 %
WEIGHTED AVERAGE GROSS MARGIN: 6.3460 % RANGE: 3.5500 - 11.2000 %
WEIGHTED AVERAGE PERIOD RATE CAP: 1.0000 % RANGE: 1.0000 - 1.0000 %
WEIGHTED AVERAGE MIN INT RATE: 10.6728 % RANGE: 7.6900 - 16.1400 %
WEIGHTED AVERAGE MAX INT RATE: 17.6599 % RANGE: 14.6900 - 23.1400 %
WEIGHTED AVERAGE NEXT RESET: 33 months RANGE: 15 - 36 months
WEIGHTED AVERAGE COMB LTV: 76.97 % RANGE: 31.28 - 90.00 %
WEIGHTED AVERAGE FICO SCORE: 589 RANGE: 0 - 792
WEIGHTED AVERAGE ORIGINAL TERM: 360.00 months RANGE: 360.00 - 360.00 months
WEIGHTED AVERAGE REMAINING TERM: 358.78 months RANGE: 351.00 - 360.00 months
WEIGHTED AVERAGE SEASONING: 1.22 months RANGE: 0.00 - 9.00 months
TOP STATE CONCENTRATIONS ($): 26.23 % Ohio, 8.57 % Florida, 8.33 % Michigan
MAXIMUM ZIP CODE
CONCENTRATION ($): 1.34 % 33040 (Key West, FL)
FIRST PAY DATE: Jun 07, 1999 - Mar 09, 2000
NEXT RATE ADJ DATE: May 07, 2001 - Feb 09, 2003
MATURE DATE: May 07, 2029 - Feb 09, 2030
The information contained herein has been prepared solely for the use of
Greenwich Capital Markets, Inc. and has not been independently verified by
Greenwich Capital Markets, Inc. Accordingly, Greenwich Capital Markets, Inc.
makes no express or implied representations or warranties of any kind and
expressly disclaims all liability for any use or misuse of the contents hereof.
Greenwich Capital Markets, Inc. assumes no responsibility for the accuracy of
any material contained herein.
The information contained herein will be superseded by the description of the
mortgage loans contained in the prospectus supplement. Such information
supersedes the information in all prior collateral term sheets, if any.
16
<PAGE>
<TABLE>
<CAPTION>
CURRENT
PRINCIPAL BALANCE PCT($) # OF LOANS PCT(#)
<S> <C> <C> <C> <C> <C>
CURRENT BALANCE: 17,983 - 50,000 4,835,241.41 13.89 129 30.35
50,001 - 100,000 14,135,512.26 40.61 193 45.41
100,001 - 150,000 7,946,200.49 22.83 65 15.29
150,001 - 200,000 3,514,656.13 10.10 20 4.71
200,001 - 250,000 2,435,833.57 7.00 11 2.59
250,001 - 300,000 1,628,227.49 4.68 6 1.41
300,001 - 310,467 310,467.03 0.89 1 0.24
GROSS COUPON: 7.69000 - 8.00000 336,452.30 0.97 4 0.94
8.00001 - 8.50000 576,035.82 1.65 6 1.41
8.50001 - 9.00000 1,689,427.45 4.85 16 3.76
9.00001 - 9.50000 2,448,078.44 7.03 30 7.06
9.50001 - 10.00000 7,051,201.66 20.26 79 18.59
10.00001 - 10.50000 4,981,457.15 14.31 63 14.82
10.50001 - 11.00000 5,771,807.49 16.58 66 15.53
11.00001 - 11.50000 4,728,166.86 13.58 57 13.41
11.50001 - 12.00000 3,094,643.93 8.89 39 9.18
12.00001 - 12.50000 1,673,909.28 4.81 26 6.12
12.50001 - 13.00000 1,205,702.54 3.46 17 4.00
13.00001 - 13.50000 549,876.09 1.58 6 1.41
13.50001 - 14.00000 480,014.70 1.38 9 2.12
14.00001 - 14.50000 86,986.73 0.25 3 0.71
14.50001 - 15.00000 65,392.84 0.19 2 0.47
16.00001 - 16.14000 66,985.10 0.19 2 0.47
GROSS MARGIN: 3.550 - 4.000 710,217.53 2.04 7 1.65
4.001 - 4.500 457,625.93 1.31 6 1.41
4.501 - 5.000 1,966,719.67 5.65 21 4.94
5.001 - 5.500 4,109,962.74 11.81 53 12.47
5.501 - 6.000 6,718,661.07 19.30 79 18.59
6.001 - 6.500 6,556,325.28 18.84 78 18.35
6.501 - 7.000 5,783,935.33 16.62 68 16.00
7.001 - 7.500 3,829,113.41 11.00 51 12.00
7.501 - 8.000 2,435,770.52 7.00 29 6.82
8.001 - 8.500 1,073,888.17 3.09 14 3.29
8.501 - 9.000 719,597.63 2.07 12 2.82
9.001 - 9.500 311,943.16 0.90 3 0.71
9.501 - 10.000 65,392.84 0.19 2 0.47
11.001 - 11.200 66,985.10 0.19 2 0.47
PERIOD RATE CAP: 1.000 34,806,138.38 100.00 425 100.00
</TABLE>
The information contained herein has been prepared solely for the use of
Greenwich Capital Markets, Inc. and has not been independently verified by
Greenwich Capital Markets, Inc. Accordingly, Greenwich Capital Markets, Inc.
makes no express or implied representations or warranties of any kind and
expressly disclaims all liability for any use or misuse of the contents hereof.
Greenwich Capital Markets, Inc. assumes no responsibility for the accuracy of
any material contained herein.
The information contained herein will be superseded by the description of the
mortgage loans contained in the prospectus supplement. Such information
supersedes the information in all prior collateral term sheets, if any.
17
<PAGE>
<TABLE>
<S> <C> <C> <C> <C> <C>
MIN INT CAP: 7.69000 - 8.00000 336,452.30 0.97 4 0.94
8.00001 - 8.50000 576,035.82 1.65 6 1.41
8.50001 - 9.00000 1,689,427.45 4.85 16 3.76
9.00001 - 9.50000 2,448,078.44 7.03 30 7.06
9.50001 - 10.00000 7,051,201.66 20.26 79 18.59
10.00001 - 10.50000 4,981,457.15 14.31 63 14.82
10.50001 - 11.00000 5,771,807.49 16.58 66 15.53
11.00001 - 11.50000 4,728,166.86 13.58 57 13.41
11.50001 - 12.00000 3,094,643.93 8.89 39 9.18
12.00001 - 12.50000 1,673,909.28 4.81 26 6.12
12.50001 - 13.00000 1,205,702.54 3.46 17 4.00
13.00001 - 13.50000 549,876.09 1.58 6 1.41
13.50001 - 14.00000 480,014.70 1.38 9 2.12
14.00001 - 14.50000 86,986.73 0.25 3 0.71
14.50001 - 15.00000 65,392.84 0.19 2 0.47
16.00001 - 16.14000 66,985.10 0.19 2 0.47
MAX INT CAP: 14.69000 - 15.00000 336,452.30 0.97 4 0.94
15.00001 - 15.50000 641,966.55 1.84 7 1.65
15.50001 - 16.00000 2,044,598.95 5.87 19 4.47
16.00001 - 16.50000 2,415,692.31 6.94 30 7.06
16.50001 - 17.00000 6,696,030.16 19.24 76 17.88
17.00001 - 17.50000 4,947,912.55 14.22 62 14.59
17.50001 - 18.00000 5,771,807.49 16.58 66 15.53
18.00001 - 18.50000 4,728,166.86 13.58 57 13.41
18.50001 - 19.00000 3,094,643.93 8.89 39 9.18
19.00001 - 19.50000 1,673,909.28 4.81 26 6.12
19.50001 - 20.00000 1,205,702.54 3.46 17 4.00
20.00001 - 20.50000 549,876.09 1.58 6 1.41
20.50001 - 21.00000 480,014.70 1.38 9 2.12
21.00001 - 21.50000 86,986.73 0.25 3 0.71
21.50001 - 22.00000 65,392.84 0.19 2 0.47
23.00001 - 23.14000 66,985.10 0.19 2 0.47
MONTH TO NEXT CHANGE DATE
May 2001 234,356.14 0.67 1 0.24
October 2001 33,544.60 0.10 1 0.24
November 2001 87,430.07 0.25 1 0.24
December 2001 1,632,196.87 4.69 22 5.18
January 2002 1,665,485.12 4.79 28 6.59
Febuary 2002 1,517,250.00 4.36 14 3.29
October 2002 52,418.83 0.15 1 0.24
November 2002 629,268.12 1.81 6 1.41
December 2002 9,735,078.70 27.97 123 28.94
January 2003 13,503,964.93 38.80 158 37.18
Febuary 2003 5,715,145.00 16.42 70 16.47
ORIGINAL TERM: 360 - 360 34,806,138.38 100.00 425 100.00
REMAINING TERM: 351 - 360 34,806,138.38 100.00 425 100.00
SEASONING: <= 0 7,232,395.00 20.78 84 19.76
1 - 6 27,339,387.24 78.55 340 80.00
7 - 9 234,356.14 0.67 1 0.24
</TABLE>
The information contained herein has been prepared solely for the use of
Greenwich Capital Markets, Inc. and has not been independently verified by
Greenwich Capital Markets, Inc. Accordingly, Greenwich Capital Markets, Inc.
makes no express or implied representations or warranties of any kind and
expressly disclaims all liability for any use or misuse of the contents hereof.
Greenwich Capital Markets, Inc. assumes no responsibility for the accuracy of
any material contained herein.
The information contained herein will be superseded by the description of the
mortgage loans contained in the prospectus supplement. Such information
supersedes the information in all prior collateral term sheets, if any.
18
<PAGE>
<TABLE>
<S> <C> <C> <C> <C> <C>
COMB LTV: 31.28 - 35.00 163,869.37 0.47 4 0.94
35.01 - 40.00 90,223.16 0.26 3 0.71
40.01 - 45.00 144,929.23 0.42 3 0.71
45.01 - 50.00 709,274.72 2.04 16 3.76
50.01 - 55.00 805,263.42 2.31 10 2.35
55.01 - 60.00 1,238,756.83 3.56 22 5.18
60.01 - 65.00 1,594,650.58 4.58 17 4.00
65.01 - 70.00 3,588,876.71 10.31 62 14.59
70.01 - 75.00 5,374,284.28 15.44 69 16.24
75.01 - 80.00 10,805,407.06 31.04 118 27.76
80.01 - 85.00 5,036,240.09 14.47 52 12.24
85.01 - 90.00 5,254,362.93 15.10 49 11.53
FICO SCORE: <= 0.00 2,008,803.13 5.77 26 6.12
450.01 - 500.00 1,161,031.35 3.34 16 3.76
500.01 - 550.00 7,768,977.25 22.32 102 24.00
550.01 - 600.00 12,255,730.65 35.21 148 34.82
600.01 - 650.00 7,247,635.30 20.82 78 18.35
650.01 - 700.00 2,855,390.10 8.20 41 9.65
700.01 - 750.00 1,221,050.27 3.51 10 2.35
750.01 - 792.00 287,520.33 0.83 4 0.94
OCCUPANCY: Primary 31,166,699.08 89.54 367 86.35
Non-owner 3,639,439.30 10.46 58 13.65
PROPERTY TYPE: Single Family 29,355,301.37 84.34 360 84.71
Two-Four Family 3,842,708.56 11.04 46 10.82
Condominium 1,608,128.45 4.62 19 4.47
</TABLE>
The information contained herein has been prepared solely for the use of
Greenwich Capital Markets, Inc. and has not been independently verified by
Greenwich Capital Markets, Inc. Accordingly, Greenwich Capital Markets, Inc.
makes no express or implied representations or warranties of any kind and
expressly disclaims all liability for any use or misuse of the contents hereof.
Greenwich Capital Markets, Inc. assumes no responsibility for the accuracy of
any material contained herein.
The information contained herein will be superseded by the description of the
mortgage loans contained in the prospectus supplement. Such information
supersedes the information in all prior collateral term sheets, if any.
19
<PAGE>
STATE: Arizona 114,298.14 0.33 1 0.24
Arkansas 117,364.02 0.34 3 0.71
California 87,430.07 0.25 1 0.24
Colorado 667,203.73 1.92 8 1.88
Connecticut 878,415.28 2.52 10 2.35
Delaware 539,704.99 1.55 7 1.65
Florida 2,984,329.82 8.57 34 8.00
Georgia 2,002,271.11 5.75 20 4.71
Illinois 2,783,571.23 8.00 30 7.06
Indiana 469,025.07 1.35 9 2.12
Kentucky 77,766.41 0.22 2 0.47
Louisiana 236,286.17 0.68 5 1.18
Maryland 867,480.75 2.49 8 1.88
Massachusetts 1,247,474.40 3.58 12 2.82
Michigan 2,900,176.03 8.33 44 10.35
Minnesota 163,934.77 0.47 2 0.47
Mississippi 281,858.82 0.81 3 0.71
Missouri 148,305.64 0.43 3 0.71
New Hampshire 155,823.63 0.45 2 0.47
New Jersey 2,789,671.42 8.01 24 5.65
New Mexico 146,301.23 0.42 1 0.24
New York 418,665.08 1.20 3 0.71
North Carolina 1,181,119.89 3.39 15 3.53
Ohio 9,131,018.44 26.23 122 28.71
Oklahoma 71,974.27 0.21 1 0.24
Pennsylvania 1,912,344.74 5.49 30 7.06
Rhode Island 323,280.12 0.93 3 0.71
South Carolina 27,993.36 0.08 1 0.24
Tennessee 897,584.84 2.58 11 2.59
Virginia 885,926.09 2.55 6 1.41
West Virginia 153,673.93 0.44 2 0.47
Wisconsin 55,961.59 0.16 1 0.24
Wyoming 87,903.30 0.25 1 0.24
The information contained herein has been prepared solely for the use of
Greenwich Capital Markets, Inc. and has not been independently verified by
Greenwich Capital Markets, Inc. Accordingly, Greenwich Capital Markets, Inc.
makes no express or implied representations or warranties of any kind and
expressly disclaims all liability for any use or misuse of the contents hereof.
Greenwich Capital Markets, Inc. assumes no responsibility for the accuracy of
any material contained herein.
The information contained herein will be superseded by the description of the
mortgage loans contained in the prospectus supplement. Such information
supersedes the information in all prior collateral term sheets, if any.
20
<PAGE>
This information is furnished to you solely by Greenwich Capital Markets,
Inc. and not by the Issuer of the securities or any of its affiliates. Greenwich
Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the
Issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and
does not constitute an offer to sell, nor a solicitation of an offer to buy, the
referenced securities. It does not purport to be all-inclusive or to contain all
of the information that a prospective investor may require to make a full
analysis of the transaction. All amounts are approximate and subject to change.
The information contained herein supersedes information contained in any prior
term sheet for this transaction. In addition, the information contained herein
will be superseded by information contained in term sheets circulated after the
date hereof and by information contained in the Prospectus and Prospectus
Supplement for this transaction. An offering may be made only through the
delivery of the Prospectus and Prospectus Supplement.
Addendum to Preliminary Term Sheet Date Prepared: March 9, 2000
Delta Funding Home Equity Loan Trust 2000-1
Home Equity Loan Asset-Backed Certificates, Series
2000-1
Class IOF Notional
Balance Schedule: The notional balance of the Class IOF Certificates will be
equal to the lesser of the balance of the Loan Group F
Mortgage Loans and the balance indicated in the schedule
provided below.
Distribution Periods Notional Balance
-------------------- ----------------
1-3 61,000,000.00
4-6 58,000,000.00
7-9 54,500,000.00
10-12 48,000,000.00
13-15 42,500,000.00
16-18 37,000,000.00
19-21 32,500,000.00
22-24 28,000,000.00
25-27 24,000,000.00
28-30 21,000,000.00
31-33 18,000,000.00
34-36 15,000,000.00
37 and after 0.00
Excess Spread:
Distribution Periods Excess Spread %
-------------------- ----------------
1 2.33856
2 1.54662
3 1.48647
4 1.60690
5 1.54310
6 1.53267
7 1.66038
8 1.59092
9 1.62912
10 1.72030
11 1.70150
12 1.84224
13 1.79236
14 1.82681
15 1.74459
16 1.93790
17 1.85502
GREENWICH CAPITAL
- --------------------------------------------------------------------------------
<PAGE>
This information is furnished to you solely by Greenwich Capital Markets,
Inc. and not by the Issuer of the securities or any of its affiliates. Greenwich
Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the
Issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and
does not constitute an offer to sell, nor a solicitation of an offer to buy, the
referenced securities. It does not purport to be all-inclusive or to contain all
of the information that a prospective investor may require to make a full
analysis of the transaction. All amounts are approximate and subject to change.
The information contained herein supersedes information contained in any prior
term sheet for this transaction. In addition, the information contained herein
will be superseded by information contained in term sheets circulated after the
date hereof and by information contained in the Prospectus and Prospectus
Supplement for this transaction. An offering may be made only through the
delivery of the Prospectus and Prospectus Supplement.
18 1.82386
19 1.96688
20 1.88443
21 1.90379
22 2.00621
23 1.98213
24 2.13361
25 2.14097
26 2.16623
27 2.09232
28 2.23004
29 2.15849
30 2.13654
31 2.28544
32 2.21897
33 2.24418
34 2.31295
35 2.37237
36 2.62884
37 3.42736
Cumulative Loss Event: For any Distribution Date in the applicable period below,
if Cumulative Net Losses exceed the applicable percentage of the aggregate
Original Class Principal Balances of the Offered Certificates:
Number of
Distribution Dates Percentages
-------------------- -----------
37-48 2.00%
49-60 2.40%
61-72 2.70%
73-84 2.85%
85 and thereafter 3.00%
Servicer Termination Test: The Servicer Termination Test is failed if Cumulative
Net Losses for the Mortgage Loans exceed 5.10% of the aggregate Original Class
Principal Balance of the Offered Certificates or the 90+ day three month
delinquency rate exceeds 30%.
GREENWICH CAPITAL
- --------------------------------------------------------------------------------
<PAGE>
FOR INTERNAL USE ONLY
ALL AMOUNTS SUBJECT TO CHANGE
PRELIMINARY INFORMATION SHEET
03/09/00
DELTA FUNDING HOME EQUITY LOAN TRUST 2000-1
Scheduled Balance 02/29/00
- --------------------------------------------------------------------------------
PRODUCT 2/28& 3/27& FIXED
TOTAL CURRENT BALANCE: $127,468,808.84
NUMBER OF LOANS: 1,677
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
CURRENT
PRINCIPAL BALANCE PCT($) # OF LOANS PCT(#)
----------------- ------ ---------- ------
<S> <C> <C> <C> <C> <C>
DOCUMENTATION: Full Documentation 95,016,369.29 74.54 1,287 76.74
No Income Verification 20,561,182.96 16.13 218 13.00
Limited Documentation 8,570,664.46 6.72 134 7.99
No Documentation 3,320,592.13 2.61 38 2.27
CREDIT GRADE: A 77,338,182.52 60.67 903 53.85
B 25,827,430.94 20.26 358 21.35
C 18,261,372.37 14.33 297 17.71
D 6,041,823.01 4.74 119 7.10
PURPOSE: Cash Out Refinance 52,188,725.46 40.94 774 46.15
Debt Consolidation 40,920,694.68 32.10 522 31.13
Purchase 18,259,817.87 14.32 177 10.55
Rate/Term Refinance 16,099,570.83 12.63 204 12.16
</TABLE>
- --------------------------------------------------------------------------------
The information contained herein has been prepared solely for the use of
Greenwich Capital Markers, Inc. and has not been independently verified by
Greenwich Capital Markets, Inc. Accordingly, Greenwich Capital Markets, Inc.
makes no express or implied representations or warranties of any kind and
expressly disclaims all liability for any use or misuse of the contents hereof.
Greenwich Capital Markets, Inc. assumes no responsibility for the accuracy of
any material contained herein.
The information contained herein will be superseded by the description of the
mortgage loans contained in the prospectus supplement. Such information
supersedes the information in all prior collateral term sheets, if any.
<PAGE>
This information is furnished to you solely by Greenwich Capital Markets,
Inc. and not by the Issuer of the securities or any of its affiliates. Greenwich
Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the
Issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and
does not constitute an offer to sell, nor a solicitation of an offer to buy, the
referenced securities. It does not purport to be all-inclusive or to contain all
of the information that a prospective investor may require to make a full
analysis of the transaction. All amounts are approximate and subject to change.
The information contained herein supersedes information contained in any prior
term sheet for this transaction. In addition, the information contained herein
will be superseded by information contained in term sheets circulated after the
date hereof and by information contained in the Prospectus and Prospectus
Supplement for this transaction. An offering may be made only through the
delivery of the Prospectus and Prospectus Supplement.
Addendum #2 to Preliminary Term Sheet Date Prepared: March 9, 2000
Delta Funding Home Equity Loan Trust 2000-1
Home Equity Loan Asset-Backed Certificates, Series
2000-1
Class IOF Notional
Balance Schedule: The notional balance of the Class IOF Certificates will
be equal to the lesser of the balance of the Loan Group F
Mortgage Loans and the balance indicated in the schedule
provided below. The coupon will be 6.30% on the notional
balance
Distribution Periods Notional Balance
-------------------- ----------------
1-3 61,000,000.00
4-6 58,000,000.00
7-9 54,500,000.00
10-12 48,000,000.00
13-15 42,500,000.00
16-18 37,000,000.00
19-21 32,500,000.00
22-24 28,000,000.00
25-27 24,000,000.00
28-30 21,000,000.00
31-33 18,000,000.00
34-36 15,000,000.00
37 and after 0.00
Excess Spread:
Distribution Periods Excess Spread %
-------------------- -----------------
1 2.13365
2 1.36502
3 1.30508
4 1.42707
5 1.36298
6 1.34940
7 1.47930
8 1.40868
9 1.44041
10 1.54562
11 1.52245
12 1.65117
13 1.63259
14 1.65925
15 1.58302
16 1.78087
GREENWICH CAPITAL
- --------------------------------------------------------------------------------
<PAGE>
This information is furnished to you solely by Greenwich Capital Markets,
Inc. and not by the Issuer of the securities or any of its affiliates. Greenwich
Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the
Issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and
does not constitute an offer to sell, nor a solicitation of an offer to buy, the
referenced securities. It does not purport to be all-inclusive or to contain all
of the information that a prospective investor may require to make a full
analysis of the transaction. All amounts are approximate and subject to change.
The information contained herein supersedes information contained in any prior
term sheet for this transaction. In addition, the information contained herein
will be superseded by information contained in term sheets circulated after the
date hereof and by information contained in the Prospectus and Prospectus
Supplement for this transaction. An offering may be made only through the
delivery of the Prospectus and Prospectus Supplement.
17 1.70794
18 1.67887
19 1.84502
20 1.76261
21 1.77668
22 1.87951
23 1.85270
24 1.99358
25 2.01569
26 2.03572
27 1.96168
28 2.10511
29 2.03319
30 2.00789
31 2.16341
32 2.09692
33 2.11699
34 2.19845
35 2.25539
36 2.50177
37 3.35276
Cumulative Loss Event: For any Distribution Date in the applicable period
below, if Cumulative Net Losses exceed the applicable percentage of the
aggregate Original Class Principal Balances of the Offered Certificates:
Number of
Distribution Dates Percentages
------------------ -----------
37-48 2.00%
49-60 2.40%
61-72 2.70%
73-84 2.85%
85 and thereafter 3.00%
Servicer Termination Test: The Servicer Termination Test is failed if Cumulative
Net Losses for the Mortgage Loans exceed 5.10% of the aggregate Original Class
Principal Balance of the Offered Certificates or the 90+ day three month
delinquency rate exceeds 30%.
GREENWICH CAPITAL
- --------------------------------------------------------------------------------
<PAGE>
This information is furnished to you solely by Greenwich Capital Markets,
Inc. and not by the Issuer of the securities or any of its affiliates. Greenwich
Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the
Issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and
does not constitute an offer to sell, nor a solicitation of an offer to buy, the
referenced securities. It does not purport to be all-inclusive or to contain all
of the information that a prospective investor may require to make a full
analysis of the transaction. All amounts are approximate and subject to change.
The information contained herein supersedes information contained in any prior
term sheet for this transaction. In addition, the information contained herein
will be superseded by information contained in term sheets circulated after the
date hereof and by information contained in the Prospectus and Prospectus
Supplement for this transaction. An offering may be made only through the
delivery of the Prospectus and Prospectus Supplement.
Addendum #3 to Preliminary Term Sheet Date Prepared: March 10, 2000
Delta Funding Home Equity Loan Trust 2000-1
Home Equity Loan Asset-Backed Certificates, Series
2000-1
Required
Overcollateralization
Amount: On any Distribution Date on which a Cumulative
Loss Event or a Delinquency Event has not
occurred, the Required Overcollateralization
Amount is equal to
(i) prior to the Stepdown Date, 1.75% of the
initial balance of the Certificates;
(ii) on or after the Stepdown Date, the
greater of
(a) the lesser of (x) 1.75% of the
initial balance of the
Certificates; and (y) 3.50% of
the current balance of the
Mortgage Loans;
(b) 0.50% of the initial balance of
the Certificates.
Class IOF Notional
Balance Schedule: The notional balance of the Class IOF
Certificates will be equal to the lesser of the
balance of the Loan Group F Mortgage Loans and
the balance indicated in the schedule provided
below. The coupon will be 6.40% on the notional
balance
Distribution Periods Notional Balance
-------------------- ----------------
1-3 61,000,000.00
4-6 58,000,000.00
7-9 54,500,000.00
10-12 48,000,000.00
13-15 42,500,000.00
16-18 37,000,000.00
19-21 32,500,000.00
22-24 28,000,000.00
25-27 24,000,000.00
28-30 21,000,000.00
31-33 18,000,000.00
34-36 15,000,000.00
37 and after 0.00
GREENWICH CAPITAL
- --------------------------------------------------------------------------------
<PAGE>
This information is furnished to you solely by Greenwich Capital Markets,
Inc. and not by the Issuer of the securities or any of its affiliates. Greenwich
Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the
Issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and
does not constitute an offer to sell, nor a solicitation of an offer to buy, the
referenced securities. It does not purport to be all-inclusive or to contain all
of the information that a prospective investor may require to make a full
analysis of the transaction. All amounts are approximate and subject to change.
The information contained herein supersedes information contained in any prior
term sheet for this transaction. In addition, the information contained herein
will be superseded by information contained in term sheets circulated after the
date hereof and by information contained in the Prospectus and Prospectus
Supplement for this transaction. An offering may be made only through the
delivery of the Prospectus and Prospectus Supplement.
Excess Spread:
Distribution Periods Excess Spread %
-------------------- ---------------
1 2.12523
2 1.35084
3 1.29042
4 1.41397
5 1.34943
6 1.33580
7 1.46755
8 1.39651
9 1.42864
10 1.53633
11 1.51323
12 1.64325
13 1.62615
14 1.65337
15 1.57692
16 1.77811
17 1.70506
18 1.67738
19 1.84663
20 1.76423
21 1.77907
22 1.88349
23 1.85597
24 1.99733
25 2.02023
26 2.03987
27 1.96470
28 2.10968
29 2.03664
30 2.01053
31 2.16772
32 2.10010
33 2.11967
34 2.20232
35 2.25884
36 2.50607
37 3.36896
GREENWICH CAPITAL
- --------------------------------------------------------------------------------
<PAGE>
This information is furnished to you solely by Greenwich Capital Markets,
Inc. and not by the Issuer of the securities or any of its affiliates. Greenwich
Capital Markets, Inc. is acting as Underwriter and not acting as Agent for the
Issuer or its affiliates in connection with the proposed transaction.
This Preliminary Term Sheet is provided for information purposes only, and
does not constitute an offer to sell, nor a solicitation of an offer to buy, the
referenced securities. It does not purport to be all-inclusive or to contain all
of the information that a prospective investor may require to make a full
analysis of the transaction. All amounts are approximate and subject to change.
The information contained herein supersedes information contained in any prior
term sheet for this transaction. In addition, the information contained herein
will be superseded by information contained in term sheets circulated after the
date hereof and by information contained in the Prospectus and Prospectus
Supplement for this transaction. An offering may be made only through the
delivery of the Prospectus and Prospectus Supplement.
Cumulative Loss Event: For any Distribution Date in the applicable period below,
if Cumulative Net Losses exceed the applicable percentage of the aggregate
Original Class Principal Balances of the Offered Certificates:
Number of
Distribution Dates Percentages
------------------ -----------
37-48 2.00%
49-60 2.40%
61-72 2.70%
73-84 2.85%
85 and thereafter 3.00%
Service Termination Test: The Servicer Termination Test is failed if Cumulative
Net Losses for the Mortgage Loans exceed 5.07% of the aggregate Original Class
Principal Balance of the Offered Certificates or the 90+ day three month
delinquency rate exceeds 30%.
GREENWICH CAPITAL
- --------------------------------------------------------------------------------
<PAGE>
COMPUTATIONAL MATERIALS DISCLAIMER
The attached tables and other statistical analyses (the "Computational
Materials") are privileged and intended for use by the addressee only. These
Computational Materials have been prepared by Greenwich Capital Markets, Inc. in
reliance upon information furnished by the issuer of the securities and its
affiliates. These Computational Materials are furnished to you solely by
Greenwich Capital Markets, Inc. and not by the issuer of the securities. They
may not be provided to any third party other than the addressee's legal, tax,
financial and/or accounting advisors for the purposes of evaluating said
material.
Numerous assumptions were used in preparing the Computational Materials which
may or may not be reflected therein. As such, no assurance can be given as to
the Computational Materials' accuracy, appropriateness or completeness in any
particular context; nor as to whether the Computational Materials and/or the
assumptions upon which they based reflect present market conditions or future
market performance. These Computational Materials should not be construed as
either projections or predictions or as legal, tax, financial or accounting
advice.
Any weighted average lives, yields and principal payment periods shown in the
Computational Materials are based on prepayments assumptions, and changes in
such prepayment assumptions may dramatically affect such weighted average lives,
yields and principal payment periods. In addition, it is possible that
prepayments on the underlying assets will occur at rates slower or faster than
the rates shown in the attached Computational Materials. Furthermore, unless
otherwise provided, the Computational Materials assume no losses on the
underlying assets and no interest shortfall. The specific characteristics of the
securities may differ from those shown in the Computational Materials due to
differences between the actual underlying assets and the hypothetical underlying
assets used in preparing the Computational Materials. The principal amount and
designation of any security described in the Computational Materials are subject
to change prior to issuance. Neither Greenwich Capital Markets, Inc. nor any of
its affiliates makes any 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.
Although a registration statement (including the Prospectus) relating to the
securities discussed in this communication has been filed with the Securities
and Exchange Commission and is effective, the final prospectus supplement
relating to the securities discussed in this communication has not been filed
with Securities and Exchange Commission. This communication shall not constitute
an offer to sell or the solicitation of an offer to buy nor shall there be any
sale of the securities discussed in this communication in any state in which
such offer, solicitation or sale would be unlawful prior to registration or
qualification of such securities under the securities laws of any such state.
Prospective purchasers are referred to the final prospectus supplement relating
to the securities discussed in this communication for definitive Computational
Materials and any matter discussed in this communication. Once available, a
final prospectus and prospectus supplement may be obtained by contacting the
Greenwich Capital Markets, Inc. Trading Desk at (203) 625-6160.
Please be advised that the securities described herein may not be appropriate
for all investors. Potential investors must be willing to assume, among other
things, market price volatility, prepayment, yield curve and interest rate
risks. Investors should make every effort to consider the risks of these
securities.
If you have received this communication in error, please notify the sending
party immediately by telephone and return the original to such party by mail.
<PAGE>
Delta Home Equity Loan Trust, Series 2000-1 CLASS B
Price-Yield Sensitivity Report
Settlement 03/30/2000
Class Balance $10,625,000
Coupon 8.090%
Cut-off Date 03/01/2000
Next Payment 04/15/2000
Accrued Days 29
Call No
FRM Prepayment Ramp 4%-20% CPR over 12 Months
ARM Prepayment Ramp 4%-35% CPR over 30 Months
Triggers Pass
<TABLE>
<CAPTION>
Flat FRM:0% PPC FRM:50% PPC FRM:75% PPC FRM:100% PPC FRM:115% PPC FRM:150% PPC FRM:175% PPC FRM:200% PPC
Price ARM:0% PPC ARM:35% PPC ARM:50% PPC ARM:75% PPC ARM:100% PPC ARM:125% PPC ARM:150% PPC ARM:175% PPC
<S> <C> <C> <C> <C> <C> <C> <C> <C>
84-13+ 9.896 10.627 11.153 11.811 12.288 13.044 13.500 13.829
84-17+ 9.880 10.604 11.126 11.778 12.251 13.000 13.452 13.778
84-21+ 9.864 10.582 11.099 11.745 12.214 12.956 13.404 13.727
84-25+ 9.849 10.560 11.072 11.712 12.177 12.912 13.356 13.677
84-29+ 9.833 10.538 11.045 11.679 12.140 12.869 13.309 13.626
85-01+ 9.817 10.516 11.018 11.647 12.103 12.825 13.261 13.575
85-05+ 9.802 10.494 10.992 11.614 12.066 12.781 13.213 13.525
85-09+ 9.786 10.472 10.965 11.582 12.029 12.738 13.166 13.474
85-13+ 9.771 10.450 10.939 11.549 11.992 12.694 13.118 13.424
85-17+ 9.756 10.429 10.912 11.517 11.956 12.651 13.071 13.374
85-21+ 9.740 10.407 10.886 11.484 11.919 12.608 13.024 13.324
85-25+ 9.725 10.385 10.859 11.452 11.883 12.565 12.977 13.274
85-29+ 9.710 10.363 10.833 11.420 11.846 12.521 12.930 13.224
86-01+ 9.694 10.342 10.807 11.388 11.810 12.478 12.883 13.174
86-05+ 9.679 10.320 10.781 11.356 11.774 12.435 12.836 13.124
86-09+ 9.664 10.299 10.754 11.324 11.737 12.393 12.789 13.075
86-13+ 9.649 10.227 10.728 11.292 11.701 12.350 12.742 13.025
86-17+ 9.634 10.256 10.702 11.260 11.665 12.307 12.696 12.976
86-21+ 9.619 10.234 10.676 11.229 11.629 12.265 12.649 12.926
86-25+ 9.603 10.213 10.650 11.197 11.593 12.222 12.603 12.877
86-29+ 9.588 10.192 10.624 11.165 11.557 12.180 12.556 12.828
87-01+ 9.574 10.171 10.599 11.134 11.522 12.137 12.510 12.779
87-05+ 9.559 10.149 10.573 11.102 11.486 12.095 12.464 12.730
87-09+ 9.544 10.128 10.547 11.071 11.450 12.053 12.418 12.681
87-13+ 9.529 10.107 10.522 11.039 11.415 12.011 12.372 12.632
87-17+ 9.514 10.086 10.496 11.008 11.379 11.969 12.326 12.583
87-21+ 9.499 10.065 10.470 10.977 11.344 11.927 12.280 12.535
87-25+ 9.485 10.044 10.445 10.946 11.309 11.885 12.234 12.486
87-29+ 9.470 10.023 10.419 10.914 11.273 11.843 12.189 12.438
88-01+ 9.455 10.002 10.394 10.883 11.238 11.802 12.143 12.389
88-05+ 9.441 9.981 10.369 10.852 11.203 11.760 12.098 12.341
88-09+ 9.426 9.961 10.343 10.821 11.168 11.719 12.052 12.293
88-13+ 9.411 9.940 10.318 10.791 11.133 11.677 12.007 12.245
WAL (yr) 26.47 12.23 8.87 6.62 5.60 4.46 3.96 3.66
MDUR (yr) 9.49 6.69 5.51 4.51 3.98 3.36 3.08 2.90
First Prin Pay 05/15/2022 05/15/2006 08/15/2004 07/15/2003 04/15/2003 04/15/2003 04/15/2003 04/15/2003
Last Prin Pay 08/15/2029 10/15/2022 04/15/2017 02/15/2013 03/15/2011 08/15/2008 04/15/2007 04/15/2006
</TABLE>
"Full Price" = "Flat Price" + Accrued Interest.
Duration and related sensitivities are calculated at midpoint price.
This information is furnished to you solely by
Greenwich Capital Markets, Inc. ("GCM") and not
by the Issuer of the securities or any of its affilitates.
GCM is acting as underwriter and not as Agent for
the issuer or its affilitates in connection with the
proposed transaction.
<PAGE>
Delta Home Equity Loan Trust, Series 2000-1 CLASS B
Price-Yield Sensitivity Report
Settlement 03/30/2000
Class Balance $10,625,000
Coupon 8.090%
Cut-off Date 03/01/2000
Next Payment 04/15/2000
Accrued Days 29
Call No
FRM Prepayment Ramp 4%-20% CPR over 12 Months
ARM Prepayment Ramp 4%-35% CPR over 30 Months
Triggers Fail
<TABLE>
<CAPTION>
Flat FRM:0% PPC FRM:50% PPC FRM:75% PPC FRM:100% PPC FRM:115% PPC FRM:150% PPC FRM:175% PPC FRM:200% PPC
Price ARM:0% PPC ARM:35% PPC ARM:50% PPC ARM:75% PPC ARM:100% PPC ARM:125% PPC ARM:150% PPC ARM:175% PPC
<S> <C> <C> <C> <C> <C> <C> <C> <C>
84-13+ 9.856 10.018 10.233 10.532 10.751 11.219 11.603 12.007
84-17+ 9.840 10.002 10.215 10.512 10.729 11.192 11.573 11.974
84-21+ 9.825 9.985 10.197 10.492 10.707 11.166 11.543 11.940
84-25+ 9.810 9.969 10.179 10.471 10.684 11.140 11.514 11.907
84-29+ 9.794 9.953 10.161 10.451 10.662 11.113 11.484 11.874
85-01+ 9.779 9.937 10.143 10.431 10.640 11.087 11.454 11.841
85-05+ 9.764 9.921 10.126 10.411 10.618 11.061 11.425 11.808
85-09+ 9.749 9.905 10.108 10.390 10.596 11.035 11.396 11.775
85-13+ 9.734 9.889 10.090 10.370 10.574 11.009 11.366 11.742
85-17+ 9.719 9.873 10.073 10.350 10.552 10.983 11.337 11.709
85-21+ 9.704 9.857 10.055 10.330 10.530 10.957 11.308 11.676
85-25+ 9.689 9.841 10.038 10.310 10.509 10.931 11.279 11.643
85-29+ 9.674 9.825 10.020 10.290 10.487 10.906 11.249 11.610
86-01+ 9.659 9.809 10.003 10.270 10.465 10.880 11.220 11.578
86-05+ 9.644 9.793 9.985 10.250 10.443 10.854 11.191 11.545
86-09+ 9.629 9.777 9.968 10.231 10.422 10.829 11.162 11.513
86-13+ 9.614 9.762 9.950 10.211 10.400 10.803 11.133 11.480
86-17+ 9.599 9.746 9.933 10.191 10.378 10.777 11.105 11.448
86-21+ 9.585 9.730 9.916 10.171 10.357 10.752 11.076 11.415
86-25+ 9.570 9.715 9.899 10.152 10.335 10.726 11.047 11.383
86-29+ 9.555 9.699 9.881 10.132 10.314 10.701 11.018 11.351
87-01+ 9.541 9.684 9.864 10.113 10.293 10.676 10.990 11.319
87-05+ 9.526 9.668 9.847 10.093 10.271 10.650 10.961 11.287
87-09+ 9.512 9.653 9.830 10.074 10.250 10.625 10.933 11.255
87-13+ 9.497 9.637 9.813 10.054 10.229 10.600 10.904 11.223
87-17+ 9.483 9.622 9.796 10.035 10.207 10.575 10.876 11.191
87-21+ 9.468 9.607 9.779 10.015 10.186 10.550 10.847 11.159
87-25+ 9.454 9.591 9.762 9.996 10.165 10.525 10.819 11.127
87-29+ 9.439 9.576 9.745 9.977 10.144 10.500 10.791 11.095
88-01+ 9.425 9.561 9.728 9.957 10.123 10.475 10.763 11.063
88-05+ 9.411 9.545 9.711 9.938 10.102 10.450 10.734 11.032
88-09+ 9.397 9.530 9.695 9.919 10.081 10.425 10.706 11.000
88-13+ 9.382 9.515 9.678 9.900 10.060 10.400 10.678 10.969
WAL (yr) 29.38 22.64 17.16 13.00 11.09 8.48 7.12 6.09
MDUR (yr) 9.71 9.14 8.28 7.27 6.65 5.61 4.97 4.43
First Prin Pay 05/15/2029 06/15/2020 03/15/2015 07/15/2011 10/15/2009 07/15/2007 05/15/2006 07/15/2005
Last Prin Pay 11/15/2029 11/15/2025 07/15/2020 09/15/2015 07/15/2013 06/15/2010 10/15/2008 07/15/2007
</TABLE>
"Full Price" = "Flat Price" + Accrued Interest.
Duration and related sensitivities are calculated at midpoint price.
This information is furnished to you solely by
Greenwich Capital Markets, Inc. ("GCM") and not
by the Issuer of the securities or any of its affilitates.
GCM is acting as underwriter and not as Agent for
the issuer or its affilitates in connection with the
proposed transaction.
<PAGE>
Delta Home Equity Loan Trust, Series 2000-1 CLASS B
Price-Yield Sensitivity Report
Settlement 3/30/2000
Class Balance $10,625,000
Coupon 8.090%
Cut-off Date 03/01/2000
Next Payment 04/15/2000
Accrued Days 29
Call No
Prepayment Assumption: Liquidation Lag 18
FRM: 115% PPC Severity Rate 40.00%
ARM: 100% PPC FRM Prepayment Ramp 4%-20% CPR over 12 Months
ARM Prepayment Ramp 4%-35% CPR over 30 Months
Triggers Fail
<TABLE>
<CAPTION>
Flat
Price 4.50% CDR 4.90% CDR 4.95% CDR 5.00% CDR 5.25% CDR
<S> <C> <C> <C> <C> <C>
84-13+ 10.980 10.861 10.832 10.652 9.708
84-17+ 10.956 10.839 10.809 10.630 9.686
84-21+ 10.932 10.816 10.787 10.607 9.664
84-25+ 10.908 10.793 10.764 10.585 9.641
84-29+ 10.884 10.770 10.742 10.562 9.619
85-01+ 10.860 10.748 10.720 10.540 9.597
85-05+ 10.836 10.725 10.697 10.518 9.574
85-09+ 10.813 10.702 10.675 10.495 9.552
85-13+ 10.789 10.680 10.653 10.473 9.530
85-17+ 10.765 10.657 10.630 10.451 9.508
85-21+ 10.741 10.635 10.608 10.429 9.486
85-25+ 10.718 10.613 10.586 10.407 9.464
85-29+ 10.694 10.590 10.564 10.385 9.442
86-01+ 10.671 10.568 10.542 10.363 9.420
86-05+ 10.647 10.546 10.520 10.341 9.398
86-09+ 10.624 10.524 10.498 10.319 9.377
86-13+ 10.600 10.501 10.476 10.297 9.355
86-17+ 10.577 10.479 10.455 10.275 9.333
86-21+ 10.554 10.457 10.433 10.253 9.312
86-25+ 10.530 10.435 10.411 10.232 9.290
86-29+ 10.507 10.413 10.389 10.210 9.268
87-01+ 10.484 10.391 10.368 10.188 9.247
87-05+ 10.461 10.369 10.346 10.167 9.225
87-09+ 10.438 10.348 10.325 10.145 9.204
87-13+ 10.415 10.326 10.303 10.124 9.183
87-17+ 10.392 10.304 10.282 10.102 9.161
87-21+ 10.369 10.282 10.260 10.081 9.140
87-25+ 10.346 10.261 10.239 10.060 9.119
87-29+ 10.323 10.239 10.217 10.038 9.097
88-01+ 10.300 10.217 10.196 10.017 9.076
88-05+ 10.277 10.196 10.175 9.996 9.055
88-09+ 10.255 10.174 10.154 9.975 9.034
88-13+ 10.232 10.153 10.133 9.953 9.013
WAL (yr) 9.74 10.78 11.14 11.18 11.34
MDUR (yr) 6.14 6.49 6.57 6.58 6.61
First Prin Pay 07/15/2008 10/15/2008 11/15/2008 11/15/2008 02/15/2009
Last Prin Pay 03/15/2012 07/15/2016 02/15/2030 02/15/2030 02/15/2030
Cum Default 15.19 16.38 16.53 16.68 17.40
Cum Loss 6.08 6.55 6.61 6.67 6.96
Writedown Pct 0.00 0.00 0.03 3.21 14.16
</TABLE>
"Full Price" = "Flat Price" + Accrued Interest.
Duration and related sensitivities are calculated at midpoint price.
This information is furnished to you solely by
Greenwich Capital Markets, Inc. ("GCM") and not
by the Issuer of the securities or any of its affiliates.
GCM is acting as Underwriter and not as Agent for
the issuer or its affiliates in connection with the
proposed transaction.
<PAGE>
Delta Home Equity Loan Trust, Series 2000-1 CLASS B
Price-Yield Sensitivity Report
Settlement 03/30/2000
Class Balance $10,625,000
Coupon 8.090%
Cut-off Date 03/01/2000
Next Payment 04/15/2000
Accrued Days 29
Call No
Prepayment Assumption: Liquidation Lag 18
FRM: 150% PPC Severity Rate 40.00%
ARM: 125% PPC FRM Prepayment Ramp 4%-20% CPR over 12 Months
ARM Prepayment Ramp 4%-35% CPR over 30 Months
Triggers Fail
<TABLE>
<CAPTION>
Flat
Price 4.25% CDR 4.40% CDR 4.45% CDR 4.50% CDR 5.75% CDR
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
84-13+ 11.275 11.210 11.063 10.885 5.666
84-17+ 11.249 11.184 11.037 10.860 5.642
84-21+ 11.222 11.158 11.012 10.834 5.617
84-25+ 11.196 11.132 10.986 10.808 5.593
84-29+ 11.169 11.106 10.960 10.783 5.569
85-01+ 11.143 11.081 10.935 10.757 5.544
85-05+ 11.117 11.055 10.909 10.732 5.520
85-09+ 11.091 11.030 10.884 10.706 5.496
85-13+ 11.065 11.004 10.858 10.681 5.472
85-17+ 11.039 10.979 10.833 10.656 5.447
85-21+ 11.012 10.953 10.808 10.630 5.423
85-25+ 10.986 10.928 10.783 10.605 5.399
85-29+ 10.961 10.903 10.757 10.580 5.375
86-01+ 10.935 10.877 10.732 10.555 5.351
86-05+ 10.909 10.582 10.707 10.530 5.328
86-09+ 10.883 10.827 10.682 10.505 5.304
86-13+ 10.857 10.802 10.657 10.480 5.280
86-17+ 10.832 10.777 10.632 10.455 5.256
86-21+ 10.806 10.752 10.607 10.430 5.233
86-25+ 10.780 10.727 10.582 10.405 5.209
86-29+ 10.755 10.702 10.558 10.380 5.185
87-01+ 10.729 10.677 10.533 10.356 5.162
87-05+ 10.704 10.652 10.508 10.331 5.138
87-09+ 10.679 10.628 10.483 10.306 5.115
87-13+ 10.653 10.603 10.459 10.282 5.091
87-17+ 10.628 10.578 10.434 10.257 5.068
87-21+ 10.603 10.554 10.410 10.233 5.045
87-25+ 10.578 10.529 10.385 10.208 5.022
87-29+ 10.552 10.505 10.361 10.184 4.998
88-01+ 10.527 10.480 10.337 10.160 4.975
88-05+ 10.502 10.456 10.312 10.135 4.952
88-09+ 10.477 10.431 10.288 10.111 4.929
88-13+ 10.452 10.407 10.264 10.087 4.906
WAL (yr) 8.48 8.90 8.98 9.00 9.41
MDUR (yr) 5.58 5.73 5.75 5.75 6.04
First Prin Pay 02/15/2007 03/15/2007 03/15/2007 03/15/2007 10/15/2007
Last Prin Pay 02/15/2012 09/15/2016 12/15/2029 12/15/2029 12/15/2029
Cum Default 11.71 12.09 12.22 12.34 15.42
Cum Loss 4.68 4.84 4.89 4.94 6.17
Writedown Pct 0.00 0.00 1.90 3.82 40.32
</TABLE>
"Full Price" = "Flat Price" + Accrued Interest.
Duration and related sensitivities are calculated at midpoint price.
This information is furnished to you solely by
Greenwich Capital Markets, Inc. ("GCM") and not
by the Issuer of the securities or any of its affiliates.
GCM is acting as underwriter and not as Agent for
the issuer or its affiliates in connection with the
proposed transaction.
<PAGE>
Delta Home Equity Loan Trust, Series 2000-1 CLASS B
Price-Yield Sensitivity Report
Settlement 03/30/2000
Class Balance $10,625,000
Coupon 8.090%
Cut-off Date 03/01/2000
Next Payment 04/15/2000
Accrued Days 29
Call No
Prepayment Assumption: Liquidation Lag 18
FRM: 150% PPC Severity Rate 40.00%
ARM: 125% PPC FRM Prepayment Ramp 4%-20% CPR over 12 Months
ARM Prepayment Ramp 4%-35% CPR over 30 Months
Triggers Fail
<TABLE>
<CAPTION>
Flat
Price 5.00% CDR 5.30% CDR 5.35% CDR 5.40% CDR 5.65% CDR
- ---------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
84-13+ 10.773 10.675 10.565 10.379 9.390
84-17+ 10.750 10.654 10.544 10.358 9.369
84-21+ 10.728 10.633 10.523 10.336 9.348
84-25+ 10.706 10.611 10.502 10.315 9.327
84-29+ 10.684 10.590 10.481 10.294 9.307
85-01+ 10.661 10.569 10.460 10.274 9.286
85-05+ 10.639 10.548 10.439 10.253 9.265
85-09+ 10.617 10.527 10.418 10.232 9.244
85-13+ 10.595 10.506 10.397 10.211 9.223
85-17+ 10.573 10.485 10.377 10.190 9.203
85-21+ 10.552 10.465 10.356 10.170 9.182
85-25+ 10.530 10.444 10.335 10.149 9.162
85-29+ 10.508 10.423 10.315 10.128 9.141
86-01+ 10.486 10.402 10.294 10.108 9.121
86-05+ 10.464 10.381 10.274 10.087 9.100
86-09+ 10.443 10.361 10.253 10.067 9.080
86-13+ 10.421 10.340 10.233 10.046 9.059
86-17+ 10.399 10.320 10.212 10.026 9.039
86-21+ 10.378 10.299 10.192 10.006 9.019
86-25+ 10.356 10.279 10.172 9.985 8.999
86-29+ 10.335 10.258 10.151 9.965 8.979
87-01+ 10.313 10.238 10.131 9.945 8.958
87-05+ 10.292 10.218 10.111 9.925 8.938
87-09+ 10.271 10.197 10.091 9.905 8.918
87-13+ 10.249 10.177 10.071 9.884 8.898
87-17+ 10.228 10.157 10.051 9.864 8.878
87-21+ 10.207 10.137 10.031 9.844 8.858
87-25+ 10.186 10.116 10.011 9.824 8.838
87-29+ 10.165 10.096 9.991 9.804 8.819
88-01+ 10.144 10.076 9.971 9.785 8.799
88-05+ 10.123 10.056 9.951 9.765 8.779
88-09+ 10.102 10.036 9.931 9.745 8.759
88-13+ 10.081 10.016 9.911 9.725 8.740
WAL (yr) 11.08 12.25 12.55 12.61 12.82
MDUR (yr) 6.64 6.97 7.03 7.03 7.06
First Prin Pay 09/15/2009 12/15/2009 01/15/2010 02/15/2010 05/15/2010
Last Prin Pay 11/15/2013 05/15/2019 03/15/2030 03/15/2030 03/15/2030
Cum Default 19.05 20.02 20.18 20.34 21.13
Cum Loss 7.62 8.01 8.07 8.14 8.45
Writedown Pct 0.00 0.00 2.25 5.40 17.66
</TABLE>
"Full Price" = "Flat Price" + Accrued Interest.
Duration and related sensitivities are calculated at midpoint price.
This information is furnished to you solely by
Greenwich Capital Markets, Inc. ("GCM") and not
by the Issuer of the securities or any of its affiliates.
GCM is acting as underwriter and not as Agent for
the issuer or its affiliates in connection with the
proposed transaction.
<PAGE>
FOR INTERNAL USE ONLY
ALL AMOUNTS SUBJECT TO CHANGE
PRELIMINARY INFORMATION SHEET
03/10/00
DELTA FUNDING HOME EQUITY LOAN TRUST 2000-1
Scheduled Balance 02/29/00
PRODUCT: FIXED
TOTAL CURRENT BALANCE: $92,662,670.46
NUMBER OF LOANS: 1,252
<TABLE>
<CAPTION>
CURRENT
PRINCIPAL BALANCE PCT($) # OF LOANS PCT(#)
----------------- ------ ---------- ------
<S> <C> <C> <C> <C>
DOCUMENTATION Full Documentation 70,811,713.68 76.42 989 78.99
No Income Verification 13,937,504.00 15.04 152 12.14
Limited Documentation 5,700,449.34 6.15 86 6.87
No Documentation 2,213,003.44 2.39 25 2.00
CREDIT GRADE: A 57,584,101.24 62.14 690 55.11
B 18,373,301.33 19.83 267 21.33
C 12,557,653.01 13.55 213 17.01
D 4,147,614.88 4.48 82 6.55
PURPOSE: Cash Out Refinance 40,868,574.23 44.10 620 49.52
Debt Consolidation 28,942,756.66 31.23 384 30.67
Purchase 12,493,996.78 13.48 115 9.19
Rate/Term Refinance 10,357,342.79 11.18 133 10.62
</TABLE>
The information contained herein has been prepared solely for the use of
Greenwich Capital Markers, Inc. and has not been independently verified by
Greenwich Capital Markets, Inc. Accordingly, Greenwich Capital Markets, Inc.
makes no express or implied representations or warranties of any kind and
expressly disclaims all liability for any use or misuse of the contents hereof.
Greenwich Capital Markets, Inc. assumes no responsibility for the accuracy of
any material contained herein.
Then information contained herein will be superseded by the description of
the mortgage loans contained in the prospectus supplement. Such information
supersedes the information in all prior collateral term sheets, if any.
<PAGE>
FOR INTERNAL USE ONLY
ALL AMOUNTS SUBJECT TO CHANGE
PRELIMINARY INFORMATION SHEET
03/10/00
DELTA FUNDING HOME EQUITY LOAN TRUST 2000-1
SCHEDULED BALANCE 02/29/00
PRODUCT: 2/28& 3/27
TOTAL CURRENT BALANCE: $ 34,806,138.38
NUMBER OF LOANS: 425
<TABLE>
<CAPTION>
CURRENT
PRINCIPAL BALANCE PCT($) # OF LOANS PCT(#)
----------------- -------- --------- ------
<S> <C> <C> <C> <C>
DOCUMENTATION: Full Documentation 24,204,655.61 69.54 298 70.12
No Income Verification 6,623,678.96 19.03 66 15.53
Limited Documentation 2,870,215.12 8.25 48 11.29
No Documentation 1,107,588.69 3.18 13 3.06
CREDIT GRADE: A 19,754,081.28 56.75 213 50.12
B 7,454,129.61 21.42 91 21.41
C 5,703,719.36 16.39 84 19.76
D 1,894,208.13 5.44 37 8.71
PURPOSE: Debt Consolidation 11,977,938.02 34.31 138 32.47
Cash Out Refinance 11,320,151.23 32.52 154 36.24
Purchase 5,765.821.09 16.57 62 14.59
Rate/Term Refinance 5,742,228.04 16.50 71 16.71
</TABLE>
The Information contained herein has been prepared solely for the use of
Greenwich Capital Markers, Inc. and has not been independently verified by
Greenwich Capital Markets, Inc. Accordingly, Greenwich Capital Markets, Inc.
makes no express or implied representations or warranties of any kind and
expressly disclaims all liability for any use or misuse of the contents hereof.
Greenwich Capital Markets, Inc. assumes no responsibility for the accuracy of
any material contained herein.
The information contained herein will be superseded by the description of the
mortgage loans contained in the prospectus supplement. Such information
supersedes the information in all prior collateral term sheets, if any.
<PAGE>
EXHIBIT 99.3
Legend of Lehman Brothers
-------------------------
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 its affiliates make no
representation or warranty as to the actual rate or timing of payments on any of
the underlying assets or the payments or yield on the securities. This
information supersedes any prior versions hereof and will be deemed to be
superseded by any subsequent versions (including, with respect to any
description of the securities or underlying assets, the information contained in
the Offering Document).
<PAGE>
EXHIBIT 99.4
Legend of First Union Securities, Inc.
--------------------------------------
The information contained herein has been prepared solely for the use of First
Union Securities, Inc. and has not been independently verified by First Union
Securities, Inc. Accordingly, First Union Securities, Inc. makes no express or
implied representations or warranties of any kind and expressly disclaims all
liability for any use or misuse of the contents hereof. First Union Securities,
Inc. assumes no responsibility for the accuracy of any material contained
herein.
The information contained herein will be superseded by the description of the
mortgage loans contained in the prospectus supplement. Such information
supersedes the information in all prior collateral term sheets, if any.
<PAGE>
EXHIBIT 99.5
Legend 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.
<PAGE>
EXHIBIT 99.6
Legend of Credit Suisse First Boston
------------------------------------
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.
