<PAGE>
EXHIBIT 99.1
DELTA SENIOR SUB BBB- WITH IO
Yield Table
Bond Class M2 Fixed Coupon: 8.360
Current Balance: $11,344,000.00
<TABLE>
<CAPTION>
mo 12 CDR: 0 CDR 1 CDR 2 CDR
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
Price Yield Duration Yield Duration Yield Duration
-------------------------------------------------------------------------------------------------------------
-------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
93.7908 9.884 4.33 9.914 4.24 9.940 4.17
93.8608 9.867 9.896 9.923
93.9308 9.850 9.879 9.905
94.0008 9.833 9.861 9.887
94.0708 9.816 9.844 9.869
94.1408 9.799 4.34 9.827 4.25 9.852 4.17
94.2108 9.782 9.809 9.834
94.2808 9.765 9.792 9.816
94.3508 9.748 9.775 9.799
94.4208 9.731 9.757 9.781
94.4908 9.714 4.35 9.740 4.26 9.763 4.18
94.5608 9.697 9.723 9.746
94.6308 9.681 9.706 9.728
94.7008 9.664 9.688 9.711
94.7708 9.647 9.671 9.693
94.8408 9.630 4.35 9.654 4.26 9.676 4.18
94.9108 9.613 9.637 9.658
94.9808 9.596 9.620 9.641
95.0508 9.580 9.602 9.623
95.1208 9.563 9.585 9.606
95.1908 9.546 4.36 9.568 4.27 9.588 4.19
95.2608 9.529 9.551 9.571
95.3308 9.513 9.534 9.553
95.4008 9.496 9.517 9.536
95.4708 9.479 9.500 9.519
95.5408 9.463 4.37 9.483 4.28 9.501 4.20
95.6108 9.446 9.466 9.484
95.6808 9.429 9.449 9.467
95.7508 9.413 9.432 9.449
95.8208 9.396 9.415 9.432
95.8908 9.379 4.37 9.398 4.28 9.415 4.20
-------------------------------------------------------------------------------------------------------------
Average Life 6.023 5.850 5.704
First Pay 07/15/03 07/15/03 07/15/03
Last Pay 07/15/09 03/15/09 12/15/08
Collateral Loss 0.000 4,323,525 8,382,685
Agg. Bond Loss 0.000 0.000 0.000
Cum Loss (%) 0 1.57 3.05
Price to Call Price to Call Price to Call
-------------------------------------------------------------------------------------------------------------
<CAPTION>
mo 12 CDR: 3 CDR 4 CDR 5 CDR 6 CDR
----------------------------------------------------------------------------------------------------------------------
Price Yield Duration Yield Duration Yield Duration Yield Duration
----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
93.7908 9.611 5.41 9.592 5.52 9.616 5.40 9.633 5.32
93.8608 9.598 9.578 9.602 9.619
93.9308 9.584 9.565 9.589 9.605
94.0008 9.570 9.552 9.575 9.591
94.0708 9.557 9.538 9.561 9.578
94.1408 9.543 5.42 9.525 5.52 9.548 5.40 9.564 5.32
94.2108 9.529 9.511 9.534 9.550
94.2808 9.516 9.498 9.520 9.536
94.3508 9.502 9.485 9.507 9.522
94.4208 9.489 9.471 9.493 9.508
94.4908 9.475 5.43 9.458 5.53 9.479 5.41 9.495 5.33
94.5608 9.462 9.445 9.466 9.481
94.6308 9.448 9.432 9.452 9.467
94.7008 9.435 9.418 9.439 9.453
94.7708 9.421 9.405 9.425 9.439
94.8408 9.408 5.44 9.392 5.54 9.412 5.42 9.426 5.33
94.9108 9.394 9.379 9.398 9.412
94.9808 9.381 9.365 9.385 9.398
95.0508 9.367 9.352 9.371 9.384
95.1208 9.354 9.339 9.358 9.371
95.1908 9.340 5.44 9.326 5.54 9.344 5.42 9.357 5.34
95.2608 9.327 9.313 9.331 9.343
95.3308 9.313 9.299 9.317 9.330
95.4008 9.300 9.286 9.304 9.316
95.4708 9.287 9.273 9.290 9.303
95.5408 9.273 5.45 9.260 5.55 9.277 5.43 9.289 5.35
95.6108 9.260 9.247 9.264 9.275
95.6808 9.247 9.234 9.250 9.262
95.7508 9.233 9.221 9.237 9.248
95.8208 9.220 9.208 9.223 9.235
95.8908 9.207 5.46 9.195 5.56 9.210 5.43 9.221 5.35
----------------------------------------------------------------------------------------------------------------------
Average Life 7.934 8.042 7.792 7.625
First Pay 07/15/03 07/15/08 04/15/08 02/15/08
Last Pay 10/15/08 07/15/08 04/15/08 02/15/08
Collateral Loss 12,193,075 15,829,507 19,197,595 22,445,428
Agg. Bond Loss 0.000 0.000 0.000 0.000
Cum Loss(%) 4.43 5.76 6.98 8.16
Price to Call Price to Call Price to Call Price to Call
----------------------------------------------------------------------------------------------------------------------
<CAPTION>
---------------------------------------------------------------------------------------------------------------------------
mo 12 CDR: 7 CDR 8 CDR 9 CDR 10 CDR
---------------------------------------------------------------------------------------------------------------------------
Price Yield Duration Yield Duration Yield Duration Yield Duration
---------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
93.7908 9.651 5.23 9.669 5.11 5.978 4.99 0.518 4.87
93.8608 9.637 9.654 5.963 0.503
93.9308 9.623 9.640 5.948 0.488
94.0008 9.609 9.625 5.934 0.472
94.0708 9.595 9.611 5.919 0.457
94.1408 9.581 5.24 9.596 5.11 5.904 4.99 0.442 4.88
94.2108 9.566 9.582 5.889 0.427
94.2808 9.552 9.567 5.874 0.412
94.3508 9.538 9.553 5.860 0.397
94.4208 9.524 9.539 5.845 0.382
94.4908 9.510 5.24 9.524 5.12 5.830 5 0.367 4.88
94.5608 9.496 9.510 5.815 0.352
94.6308 9.482 9.495 5.801 0.337
94.7008 9.469 9.481 5.786 0.322
94.7708 9.454 9.467 5.771 0.307
94.8408 9.440 5.25 9.453 5.12 5.757 5 0.292 4.89
94.9108 9.426 9.438 5.742 0.277
94.9808 9.412 9.424 5.728 0.262
95.0508 9.398 9.410 5.713 0.247
95.1208 9.385 9.395 5.698 0.232
95.1908 9.371 5.26 9.381 5.13 5.684 5.01 0.217 4.9
95.2608 9.357 9.367 5.669 0.202
95.3308 9.343 9.353 5.655 0.187
95.4008 9.329 9.339 5.640 0.172
95.4708 9.315 9.324 5.626 0.157
95.5408 9.301 5.26 9.310 5.13 5.611 5.02 0.142 4.9
95.6108 9.288 9.296 5.597 0.128
95.6808 9.274 9.282 5.582 0.113
95.7508 9.260 9.268 5.568 0.098
95.8208 9.246 9.254 5.553 0.083
95.8908 9.232 5.27 9.239 5.14 5.539 5.02 0.068 4.91
---------------------------------------------------------------------------------------------------------------------------
Average Life 7.458 7.208 7.042 6.875
First Pay 12/15/07 09/15/07 07/15/07 05/15/07
Last Pay 12/15/07 09/15/07 07/15/07 05/15/07
Collateral Loss 25,413,902.32 28,311,962.07 31,054,672.04 33,648,876.79
Agg. Bond Loss 0.00 11,828.59 3,110,629.61 6,053,233.56
Cum Loss (%) 9.24 10.29 11.29 12.24
Price to Call Price to Call Price to Call Price to Call
---------------------------------------------------------------------------------------------------------------------------
<CAPTION>
-------------------------------------------------------------------
mo 12 CDR: 11 CDR 12 CDR
-------------------------------------------------------------------
Price Yield Duration Yield Duration
-------------------------------------------------------------------
<S> <C> <C> <C> <C>
93.7908 -8.563 4.74 -31.539 3.66
93.8608 -8.578 -31.559
93.9308 -8.594 -31.579
94.0008 -8.610 -31.599
94.0708 -9.625 -31.620
94.1408 -8.641 4.74 -31.640 3.67
94.2108 -8.656 -31.660
94.2808 -8.672 -31.680
94.3508 -8.687 -31.700
94.4208 -8.703 -31.720
94.4908 -9.718 4.75 -31.740 3.67
94.5608 -9.734 -31.760
94.6308 -8.749 -31.780
94.7008 -8.765 -31.800
94.7708 -8.780 -31.820
94.8408 -8.796 4.76 -31.840 3.68
94.9108 -8.811 -31.860
94.9808 -8.826 -31.880
95.0508 -8.842 -31.900
95.1208 -8.857 -31.919
95.1908 -8.872 4.76 -31.939 3.68
95.2608 -8.888 -31.959
95.3308 -8.903 -31.979
95.4008 -8.918 -31.999
95.4708 -8.934 -32.018
95.5408 -8.949 4.77 -32.038 3.69
95.6108 -8.964 -32.058
95.6808 -8.979 -32.078
95.7508 -9.995 -32.097
95.8208 -9.010 -32.117
95.8908 -9.025 4.78 -32.137 3.69
-----------------------------------------------------------------------
Average Life 6.792 0.000
First Pay 04/15/07 00/00/00
Last Pay 04/15/07 00/00/00
Collateral Loss 36,100,551.80 38,414,825.25
Agg. Bond Loss 8,961,528.49 11,344,000.00
Cum Loss ($) 13.13 13.97
Price to Call Price to Call
-----------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Treasury Benchmarks EDSF 6/02F 5/03F 8/05F 11/08F 2/07F 5/06F 2/03F 3/02F 8/04F
Yield 7.1800 6.5129 6.4885 6.3806 6.2651 6.3269 6.3742 6.5031 6.5498 6.3918
Coupon 5.8750 6.2500 5.5000 6.5000 4.7500 6.2500 6.8750 5.5000 6.5000 6.0000
</TABLE>
All yields and durations are based on Monthly payments of interest with an
interest free delay of 14 days.
Duration and Average Life are stated in years reflecting a 06/30/00 settlement
date.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on 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 the underlying assets, the
information contained in the Offering Document).
<PAGE>
Lehman Brothers
DELTA SENIOR SUB BBB- WITH IO
Yield Table
Bond Class: M2 Fixed Coupon: 8.360
Current Balance: $11,344,000.00
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------
12 mo CDR
------------------------------------------------------------------------------------------------------------------------------
0.00 1.00 2.00 3.00
Price Yield Duration Yield Duration Yield Duration Yield Duration
------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
93.7908 9.884 4.33 9.914 4.24 9.681 5.08 9.569 5.63
93.8608 9.867 9.896 9.667 9.556
93.9308 9.850 9.879 9.652 9.543
94.0008 9.833 9.861 9.638 9.530
94.0708 9.816 9.844 9.623 9.517
94.1408 9.799 4.34 9.827 4.25 9.609 5.09 9.504 5.64
94.2108 9.782 9.809 9.594 9.491
94.2808 9.765 9.792 9.580 9.478
94.3508 9.748 9.775 9.565 9.465
94.4208 9.731 9.757 9.551 9.452
94.4908 9.714 4.35 9.740 4.26 9.536 5.10 9.439 5.65
94.5608 9.697 9.723 9.522 9.426
94.6308 9.681 9.706 9.507 9.413
94.7008 9.664 9.688 9.493 9.400
94.7708 9.647 9.671 9.479 9.387
94.8408 9.630 4.35 9.654 4.26 9.464 5.11 9.374 5.65
94.9108 9.613 9.637 9.450 9.361
94.9808 9.596 9.620 9.436 9.348
95.0508 9.580 9.602 9.421 9.335
95.1208 9.563 9.585 9.407 9.322
95.1908 9.546 4.36 9.568 4.27 9.393 5.11 9.309 5.66
95.2608 9.529 9.551 9.379 9.296
95.3308 9.513 9.534 9.364 9.283
95.4008 9.496 9.517 9.350 9.270
95.4708 9.479 9.500 9.336 9.257
95.5408 9.463 4.37 9.483 4.28 9.322 5.12 9.245 5.67
95.6108 9.446 9.466 9.307 9.232
95.6808 9.429 9.449 9.293 9.219
95.7508 9.413 9.432 9.279 9.206
95.8208 9.396 9.415 9.265 9.193
------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------
Average Life 6.023 5.850 7.415 8.287
First Pay 07/15/03 07/15/03 07/15/03 09/15/08
Last Pay 07/15/09 03/15/09 12/15/08 10/15/08
Collateral Loss 0.000 5,070,834.40 9,645,808.79 1,376,070.22
Agg. Bond Loss 0.000 0.000 0.000 0.000
Price to Call Price to Call Price to Call Price to Call
Cum Loss (%) - 1.84 3.51 0.
------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
--------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------
4.00 5.00 6.00
Price Yield Duration Yield Duration Yield Duration
--------------------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
93.7908 9.592 5.52 9.616 5.40 9.633 5.32
93.8608 9.578 9.602 9.619
93.9308 9.565 9.589 9.605
94.0008 9.552 9.575 9.591
94.0708 9.538 9.561 9.578
94.1408 9.525 5.52 9.548 5.40 9.564 5.32
94.2108 9.511 9.534 9.550
94.2808 9.498 9.520 9.536
94.3508 9.485 9.507 9.522
94.4208 9.471 9.493 9.508
94.4908 9.458 5.53 9.479 5.41 9.495 5.33
94.5608 9.445 9.466 9.481
94.6308 9.432 9.452 9.467
94.7008 9.418 9.439 9.453
94.7708 9.405 9.425 9.439
94.8408 9.392 5.54 9.412 5.42 9.426 5.33
94.9108 9.379 9.398 9.412
94.9808 9.365 9.385 9.398
95.0508 9.352 9.371 9.384
95.1208 9.339 9.358 9.371
95.1908 9.326 5.54 9.344 5.42 9.357 5.34
95.2608 9.313 9.331 9.343
95.3308 9.299 9.317 9.330
95.4008 9.286 9.304 9.316
95.4708 9.273 9.290 9.303
95.5408 9.260 5.55 9.277 5.43 9.289 5.35
95.6108 9.247 9.264 9.275
95.6808 9.234 9.250 9.262
95.7508 9.221 9.237 9.248
95.8208 9.208 9.223 9.235
------------------------------------------------------------------------------------------------------------
Average Life 8.042 7.792 7.625
First Pay 07/15/08 04/15/08 02/15/08
Last Pay 07/15/08 04/15/08 02/15/08
Collateral Loss 17,445,343.68 2,905,900.11 24,001,903.28
Agg. Bond Loss 0.000 0.000 0.000
Price to Call Price to Call Price to Call
Cum Loss (%) 6.34 7.60 8.73
------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------
-
<CAPTION>
-----------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------
7.00 8.00 9.00
Price Yield Duration Yield Duration Yield Duration
-----------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
93.7908 7.759 5.21 1.857 5.03 -9.185 4.80
93.8608 7.745 1.842 -9.201
93.9308 7.731 1.827 -9.216
94.0008 7.716 1.813 -9.232
94.0708 7.702 1.798 -9.247
94.1408 7.688 5.21 1.783 5.04 -9.262 4.81
94.2108 7.674 1.769 -9.278
94.2808 7.660 1.754 -9.293
94.3508 7.646 1.740 -9.308
94.4208 7.631 1.725 -9.324
94.4908 7.617 5.22 1.710 5.04 -9.339 4.82
94.5608 7.603 1.696 -9.354
94.6308 7.589 1.681 -9.369
94.7008 7.575 1.667 -9.385
94.7708 7.561 1.652 -9.400
94.8408 7.547 5.22 1.638 5.05 -9.415 4.82
94.9108 7.533 1.623 -9.430
94.9808 7.519 1.609 -9.446
95.0508 7.505 1.594 -9.461
95.1208 7.491 1.580 -9.476
95.1908 7.477 5.23 1.565 5.06 -9.491 4.83
95.2608 7.463 1.551 -9.506
95.3308 7.449 1.536 -9.521
95.4008 7.435 1.522 -9.536
95.4708 7.421 1.507 -9.551
95.5408 7.407 5.24 1.493 5.06 -9.566 4.84
95.6108 7.393 1.479 -9.581
95.6808 7.380 1.464 -9.596
95.7508 7.366 1.450 -9.611
95.8208 7.352 1.436 -9.626
-----------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------
Average Life 7.458 7.208 7.042
First Pay 12/15/07 09/15/07 07/15/07
Last Pay 12/15/07 09/15/07 07/15/07
Collateral Los 26,719,922.91 29,330,311.53 31,966,949.11
Agg. Bond Loss 1,853,558.58 5,623,495.98 9,274,476.82
Price to Call Price to Call Price to Call
Cum Loss (%) 9.72 10.66 11.62
-----------------------------------------------------------------------------------------------------------
-----------------------------------------------------------------------------------------------------------
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
10.00 11.00 12.00
Price Yield Duration Yield Duration Yield Duration
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
93.7908 -32.983 3.59 -42.820 3.31 -50.764 3.15
93.8608 -33.003 -42.843 -50.788
93.9308 -33.024 -42.865 -50.811
94.0008 -33.044 -42.887 -50.835
94.0708 -33.065 -42.910 -50.858
94.1408 -33.085 3.60 -42.932 3.31 -50.882 3.15
94.2108 -33.106 -42.954 -50.905
94.2808 -33.126 -42.977 -50.929
94.3508 -33.147 -42.999 -50.952
94.4208 -33.167 -43.021 -50.975
94.4908 -33.188 3.60 -43.043 3.32 -50.998 3.16
94.5608 -33.208 -43.065 -51.022
94.6308 -33.229 -43.087 -51.045
94.7008 -33.249 -43.110 -51.068
94.7708 -33.269 -43.132 -51.091
94.8408 -33.290 3.61 -43.154 3.32 -51.115 3.16
94.9108 -33.310 -43.176 -51.138
94.9808 -33.330 -43.198 -51.161
95.0508 -33.351 -43.220 -51.184
95.1208 -33.371 -43.242 -51.207
95.1908 -33.391 3.61 -43.264 3.33 -51.230 3.17
95.2608 -33.411 -43.286 -51.253
95.3308 -33.431 -43.308 -51.276
95.4008 -33.452 -43.329 -51.299
95.4708 -33.472 -43.351 -51.322
95.5408 -33.492 3.62 -43.373 3.33 -51.345 3.17
95.6108 -33.512 -43.395 -51.368
95.6808 -33.532 -43.417 -51.391
95.7508 -33.552 -43.438 -51.414
95.8208 -33.572 -43.460 -51.437
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
Average Life 0.000 0.000 0.000
First Pay 00/00/00 00/00/00 00/00/00
Last Pay 00/00/00 00/00/00 00/00/00
Collateral Loss 34,003,384.22 36,155,753.96 38,084,133.35
Agg. Bond Loss 11,344,000.00 11,344,000.00 11,344,000.00
Price to Call Price to Call Price to Call
Cum Loss (%) 12.36 13.15 13.85
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Treasury Benchmarks EDSF 6/02F 5/03F 8/05F 11/08F 2/07F 5/06F 2/03F 3/02F 8/04F
Yield 7.1800 6.5129 6.4885 6.3806 6.2651 6.3269 6.3742 6.5031 6.5498 6.3918
Coupon 5.8750 6.2500 5.5000 6.5000 4.7500 6.2500 6.8750 5.5000 6.5000 6.0000
</TABLE>
All yields and durations are based on Monthly payments of interest with an
interest free delay of 14 days.
Duration and Average Life are stated in years reflecting a 06/30/00 settlement
date.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on 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 the underlying assets, the
information contained in the Offering Document).
<PAGE>
Lehman Brothers
DELTA SENIOR SUB BBB- WITH I0
Yield Table
Bond Class: M2 Fixed Coupon: 8.36
Current Balance: $11,344,000.00
<TABLE>
<CAPTION>
mo 12 CDR
------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------
0 CDR 1 CDR 2 CDR 3 CDR
Price Yield Duration Yield Duration Yield Duration Yield Duration
------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
93.6625 9.880 4.51 9.907 4.42 9.892 4.54 9.599 5.76
93.7339 9.863 9.890 9.875 9.586
93.8053 9.846 9.873 9.858 9.573
93.8767 9.830 9.856 9.842 9.560
93.9481 9.813 9.839 9.825 9.547
94.0195 9.796 4.52 9.822 4.43 9.809 4.55 9.534 5.77
94.0909 9.780 9.805 9.792 9.521
94.1623 9.763 9.788 9.776 9.508
94.2337 9.746 9.771 9.759 9.495
94.3051 9.730 9.754 9.742 9.482
94.3765 9.713 4.52 9.737 4.44 9.726 4.56 9.469 5.78
94.4479 9.696 9.720 9.710 9.456
94.5193 9.680 9.703 9.693 9.443
94.5907 9.663 9.686 9.677 9.430
94.6621 9.647 9.669 9.660 9.417
94.7335 9.630 4.53 9.652 4.45 9.644 4.57 9.404 5.78
94.8049 9.614 9.636 9.627 9.391
94.8763 9.597 9.619 9.611 9.378
94.9477 9.581 9.602 9.595 9.365
95.0191 9.564 9.585 9.578 9.352
95.0905 9.548 4.54 9.569 4.45 9.562 4.58 9.339 5.79
95.1619 9.531 9.552 9.546 9.326
95.2333 9.515 9.535 9.530 9.313
95.3047 9.499 9.518 9.513 9.301
95.3761 9.482 9.502 9.497 9.288
95.4475 9.466 4.55 9.485 4.46 9.481 4.59 9.275 5.80
95.5189 9.450 9.468 9.465 9.262
95.5903 9.433 9.452 9.449 9.249
95.6617 9.417 9.435 9.432 9.237
95.7331 9.401 9.419 9.416 9.224
95.8045 9.384 4.55 9.402 4.47 9.400 4.60 9.211 5.81
95.8759 9.368 9.385 9.384 9.198
95.9473 9.352 9.369 9.368 9.186
96.0187 9.336 9.352 9.352 9.173
------------------------------------------------------------------------------------------------------------------------------
Average Life 6.526 6.349 6.804 8.723
First Pay 07/15/03 07/15/03 07/15/03 07/15/03
Last Pay 09/15/14 03/15/14 07/15/14 07/15/10
Collateral Loss 0.000 4,966,550.10 9,628,920.42 14,013,724.14
Agg. Bond Loss 0.000 0.000 0.000 0.000
Cum Loss (%) 0 1.81 3.50 5.10
------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------
4 CDR 5 CDR 6 CDR
Price Yield Duration Yield Duration Yield Duration
------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
93.6625 9.577 5.90 9.558 6.23 9.540 6.53
93.7339 9.564 9.546 9.529
93.8053 9.552 9.534 9.517
93.8767 9.539 9.522 9.506
93.9481 9.526 9.510 9.494
94.0195 9.513 5.91 9.498 6.24 9.482 6.54
94.0909 9.501 9.486 9.471
94.1623 9.488 9.474 9.459
94.2337 9.475 9.462 9.448
94.3051 9.462 9.450 9.436
94.3765 9.450 5.92 9.438 6.25 9.425 6.55
94.4479 9.437 9.425 9.414
94.5193 9.424 9.413 9.402
94.5907 9.412 9.401 9.391
94.6621 9.399 9.390 9.379
94.7335 9.386 5.93 9.378 6.25 9.368 6.56
94.8049 9.374 9.366 9.356
94.8763 9.361 9.354 9.345
94.9477 9.349 9.342 9.334
95.0191 9.336 9.330 9.322
95.0905 9.323 5.93 9.318 6.26 9.311 6.56
95.1619 9.311 9.306 9.299
95.2333 9.298 9.294 9.288
95.3047 9.286 9.282 9.277
95.3761 9.273 9.270 9.265
95.4475 9.261 5.94 9.258 6.27 9.254 6.57
95.5189 9.248 9.247 9.243
95.5903 9.236 9.235 9.232
95.6617 9.223 9.223 9.220
95.7331 9.211 9.211 9.209
95.8045 9.198 5.95 9.199 6.28 9.198 6.58
95.8759 9.186 9.188 9.187
95.9473 9.174 9.176 9.175
96.0187 9.161 9.164 9.164
------------------------------------------------------------------------------------------------------------------
Average Life 8.905 9.682 10.462
First Pay 08/15/08 02/15/09 06/15/09
Last Pay 05/15/10 08/15/11 02/15/13
Collateral Loss 18,144,654.66 22,042,856.75 25,727,245.99
Agg. Bond Loss 0.0000 0.000 0.000
Cum Loss (%) 6.60 8.02 9.36
------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
7 CDR 8 CDR 9 CDR 10 CDR
Price Yield Duration Yield Duration Yield Duration Yield Duration
------------------------------------------------------------------------------------------------------------------------------------
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
93.6625 9.513 6.98 7.869 7.21 4.355 7.41 -1.622 7.85
93.7339 9.502 7.858 4.345 -1.631
93.8053 9.491 7.848 4.335 -1.641
93.8767 9.480 7.837 4.325 -1.651
93.9481 9.469 7.827 4.315 -1.660
94.0195 9.459 6.99 7.816 7.22 4.304 7.43 -1.670 7.87
94.0909 9.448 7.806 4.294 -1.679
94.1623 9.437 7.795 4.284 -1.689
94.2337 9.426 7.785 4.274 -1.698
94.3051 9.416 7.775 4.264 -1.708
94.3765 9.405 7.00 7.764 7.23 4.254 7.44 -1.718 7.89
94.4479 9.394 7.754 4.244 -1.727
94.5193 9.383 7.743 4.234 -1.737
94.5907 9.373 7.733 4.224 -1.746
94.6621 9.362 7.723 4.213 -1.755
94.7335 9.351 7.02 7.712 7.24 4.203 7.46 -1.765 7.91
94.8049 9.341 7.702 4.193 -1.774
94.8763 9.330 7.692 4.183 -1.784
94.9477 9.319 7.681 4.173 -1.793
95.0191 9.309 7.671 4.163 -1.803
95.0905 9.298 7.03 7.661 7.26 4.153 7.47 -1.812 7.93
95.1619 9.288 7.651 4.143 -1.822
95.2333 9.277 7.640 4.133 -1.831
95.3047 9.266 7.630 4.124 -1.840
95.3761 9.256 7.620 4.114 -1.850
95.4475 9.245 7.04 7.610 7.27 4.104 7.49 -1.859 7.95
95.5189 9.235 7.599 4.094 -1.868
95.5903 9.224 7.589 4.084 -1.878
95.6617 9.214 7.579 4.074 -1.887
95.7331 9.203 7.569 4.064 -1.896
95.8045 9.193 7.05 7.559 7.28 4.054 7.50 -1.906 7.97
95.8759 9.182 7.549 4.044 -1.915
95.9473 9.172 7.538 4.034 -1.924
96.0187 9.161 7.528 4.025 -1.933
------------------------------------------------------------------------------------------------------------------------------------
Average Life 11.834 13.053 14.124 16.705
First Pay 01/15/10 10/15/10 12/15/11 08/15/14
Last Pay 08/15/17 05/15/30 05/15/30 05/15/30
Collateral Loss 29,214,783.95 32,520,715.68 35,658,774.93 38,641,362.00
Agg. Bond Loss 0.000 2,867,901.57 6,416,407.53 9,790,992.77
Cum Loss (%) 10.62 11.83 12.97 14.05
------------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
--------------------------------------------------------------------------------
11 CDR 12 CDR
Price Yield Duration Yield Duration
--------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
93.6625 -20.453 4.25 -31.502 3.66
93.7339 -20.471 -31.522
93.8053 -20.489 -31.543
93.8767 -20.506 -31.564
93.9481 -20.524 -31.584
94.0195 -20.542 4.26 -31.605 3.67
94.0909 -20.559 -31.625
94.1623 -20.577 -31.646
94.2337 -20.595 -31.666
94.3051 -20.612 -31.687
94.3765 -20.630 4.27 -31.707 3.67
94.4479 -20.648 -31.728
94.5193 -20.665 -31.748
94.5907 -20.683 -31.769
94.6621 -20.700 -31.789
94.7335 -20.718 4.28 -31.809 3.68
94.8049 -20.735 -31.830
94.8763 -20.753 -31.850
94.9477 -20.770 -31.870
95.0191 -20.788 -31.891
95.0905 -20.805 4.28 -31.911 3.68
95.1619 -20.822 -31.931
95.2333 -20.840 -31.951
95.3047 -20.857 -31.972
95.3761 -20.874 -31.992
95.4475 -20.892 4.29 -32.012 3.69
95.5189 -20.909 -32.032
95.5903 -20.926 -32.052
95.6617 -20.944 -32.072
95.7331 -20.961 -32.092
95.8045 -20.978 4.30 -32.112 3.69
95.8759 -20.995 -32.132
95.9473 -21.013 -32.152
96.0187 -21.030 -32.172
--------------------------------------------------------------------------------
Average Life 0.000 0.000
First Pay 00/00/00 00/00/00
Last Pay 00/00/00 00/00/00
Collateral Loss 41,479,697.90 44,183,958.46
Agg. Bond Loss 11,344,000.00 11,344,000.00
Cum Loss (%) 15.08 16.07
--------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Treasury Benchmarks EDSF 6/02F 5/03F 8/05F 11/08F 2/07F 5/06F 2/03F 3/02F 8/04F
Yield 7.1800 6.5129 6.4885 6.3806 6.2651 6.3269 6.3742 6.5031 6.5498 6.3918
Coupon 5.8750 6.2500 5.5000 6.5000 4.7500 6.2500 6.8750 5.5000 6.5000 6.0000
</TABLE>
All yields and durations are based on Monthly payments of interest with an
interest free delay of 14 days.
Duration and Average Life are stated in years reflecting a 06/30/00 settlement
date.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on 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 the underlying assets, the
information contained in the Offering Document).
<PAGE>
Lehman Brothers
DELTA SENIOR SUB BBB- WITH IO
Yield Table
Bond Class: M2 Fixed Coupon: 8.360
Current Balance: $11,344,000.00
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------------------------------------
mo 12 CDR: 0 CDR 1 CDR 2 CDR 3 CDR 4 CDR
----------------------------------------------------------------------------------------------------------------------------------
Price Yield Duration Yield Duration Yield Duration Yield Duration Yield Duration
----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
93.6625 9.880 4.51 9.907 4.42 9.651 5.54 9.565 5.93 9.545 6.27
93.7339 9.863 9.890 9.637 9.552 9.533
93.8053 9.846 9.873 9.623 9.540 9.521
93.8767 9.830 9.856 9.610 9.527 9.509
93.9481 9.813 9.839 9.596 9.514 9.497
94.0195 9.796 4.52 9.822 4.43 9.583 5.55 9.501 5.93 9.485 6.28
94.0909 9.780 9.805 9.569 9.489 9.473
94.1623 9.763 9.788 9.556 9.476 9.461
94.2337 9.746 9.771 9.542 9.463 9.449
94.3051 9.730 9.754 9.528 9.451 9.437
94.3765 9.713 4.52 9.737 4.44 9.515 5.56 9.438 5.94 9.425 6.29
94.4479 9.696 9.720 9.501 9.425 9.413
94.5193 9.680 9.703 9.488 9.413 9.401
94.5907 9.663 9.686 9.474 9.400 9.389
94.6621 9.647 9.669 9.461 9.388 9.377
94.7335 9.630 4.53 9.652 4.45 9.448 5.57 9.375 5.95 9.365 6.29
94.8049 9.614 9.636 9.434 9.362 9.353
94.8763 9.597 9.619 9.421 9.350 9.341
94.9477 9.581 9.602 9.407 9.337 9.330
95.0191 9.564 9.585 9.394 9.325 9.318
95.0905 9.548 4.54 9.569 4.45 9.381 5.58 9.312 5.96 9.306 6.30
95.1619 9.531 9.552 9.367 9.300 9.294
95.2333 9.515 9.535 9.354 9.287 9.282
95.3047 9.499 9.518 9.341 9.275 9.271
95.3761 9.482 9.502 9.327 9.262 9.259
95.4475 9.466 4.55 9.485 4.46 9.314 5.59 9.250 5.96 9.247 6.31
95.5189 9.450 9.468 9.301 9.237 9.235
95.5903 9.433 9.452 9.287 9.225 9.223
95.6617 9.417 9.435 9.274 9.212 9.212
95.7331 9.401 9.419 9.261 9.200 9.200
95.8045 9.384 4.55 9.402 4.47 9.248 5.60 9.188 5.97 9.188 6.32
95.8759 9.368 9.385 9.234 9.175 9.177
95.9473 9.352 9.369 9.221 9.163 9.165
96.0187 9.336 9.352 9.208 9.150 9.153
----------------------------------------------------------------------------------------------------------------------------------
Average Life 6.526 6.349 8.508 8.952 9.778
First Pay 07/15/03 07/15/03 07/15/03 09/15/08 03/15/09
Last Pay 09/15/14 03/15/14 04/15/11 05/15/10 08/15/11
Collateral Loss 0.000 5,959,860.12 11,554,704.50 16,816,468.97 21,773,585.60
Agg. Bond Loss 0.000 0.000 0.000 0.000 0.000
Cum Loss (%) 0 2.17 4.20 6.12 7.92
----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
-----------------------------------------------------------------------------------------------------------------------------
mo 12 CDR: 5 CDR 6 CDR 7 CDR 8 CDR 9 CDR
-----------------------------------------------------------------------------------------------------------------------------
Price Yield Duration Yield Duration Yield Duration Yield Duration Yield Duration
-----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
93.6625 9.523 6.66 9.402 7.31 6.196 7.44 0.008 7.89 -20.254 4.22
93.7339 9.512 9.391 6.186 -0.002 -20.272
93.8053 9.501 9.381 6.176 -0.011 -20.290
93.8767 9.489 9.371 6.166 -0.021 -20.308
93.9481 9.478 9.360 6.156 -0.030 -20.326
94.0195 9.467 6.67 9.350 7.32 6.145 7.45 -0.040 7.91 -20.343 4.23
94.0909 9.455 9.340 6.135 -0.049 -20.361
94.1623 9.444 9.330 6.125 -0.059 -20.379
94.2337 9.433 9.319 6.115 -0.068 -20.397
94.3051 9.422 9.309 6.105 -0.078 -20.415
94.3765 9.410 6.68 9.299 7.34 6.095 7.47 -0.087 7.93 -20.432 4.24
94.4479 9.399 9.289 6.085 -0.097 -20.450
94.5193 9.388 9.278 6.075 -0.106 -20.468
94.5907 9.377 9.268 6.065 -0.116 -20.485
94.6621 9.365 9.258 6.055 -0.125 -20.503
94.7335 9.354 6.69 9.248 7.35 6.045 7.48 -0.135 7.95 -20.521 4.25
94.8049 9.343 9.238 6.035 -0.144 -20.538
94.8763 9.332 9.227 6.025 -0.153 -20.556
94.9477 9.321 9.217 6.015 -0.163 -20.573
95.0191 9.310 9.207 6.005 -0.172 -20.591
95.0905 9.299 6.70 9.197 7.36 5.995 7.50 -0.182 7.97 -20.609 4.25
95.1619 9.287 9.187 5.985 -0.191 -20.626
95.2333 9.276 9.177 5.975 -0.200 -20.644
95.3047 9.265 9.167 5.965 -0.210 -20.661
95.3761 9.254 9.157 5.955 -0.219 -20.679
95.4475 9.243 6.71 9.146 7.37 5.945 7.51 -0.228 7.99 -20.696 4.26
95.5189 9.232 9.136 5.935 -0.237 -20.713
95.5903 9.221 9.126 5.926 -0.247 -20.731
95.6617 9.210 9.116 5.916 -0.256 -20.748
95.7331 9.199 9.106 5.906 -0.265 -20.766
95.8045 9.188 6.72 9.096 7.39 5.896 7.53 -0.275 8.00 -20.783 4.27
95.8759 9.177 9.086 5.886 -0.284 -20.800
95.9473 9.166 9.076 5.876 -0.293 -20.818
96.0187 9.155 9.066 5.867 -0.302 -20.835
-----------------------------------------------------------------------------------------------------------------------------
Average Life 10.827 13.039 14.176 16.926 0.000
First Pay 10/15/09 07/15/10 10/15/11 9/15/14 00/00/00
Last Pay 08/15/13 05/15/30 05/15/30 5/15/30 00/00/00
Collateral Loss 26,451,428.10 30,872,695.18 35,057,740.74 39,024,858.82 42,790,529.92
Agg. Bond Loss 0.000 291,316.09 4,930,428.90 9,337,416.33 11,344,000.00
Cum Loss (%) 9.62 11.23 12.75 14.19 15.56
-----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
-------------------------------------------------------------------------------------
mo 12 CDR: 10 CDR 11 CDR 12 CDR
-------------------------------------------------------------------------------------
Price Yield Duration Yield Duration Yield Duration
-------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
93.6625 -32.945 3.59 -42.779 3.31 -50.721 3.15
93.7339 -32.966 -42.802 -50.745
93.8053 -32.987 -42.825 -50.769
93.8767 -33.008 -42.848 -50.793
93.9481 -33.029 -42.871 -50.817
94.0195 -33.050 3.59 -42.893 3.31 -50.841 3.15
94.0909 -33.071 -42.916 -50.865
94.1623 -33.092 -42.939 -50.899
94.2337 -33.113 -42.962 -50.913
94.3051 -33.134 -42.984 -50.937
94.3765 -33.154 3.60 -43.007 3.32 -50.960 3.16
94.4479 -33.175 -43.030 -50.984
94.5193 -33.196 -43.052 -51.008
94.5907 -33.217 -43.075 -51.032
94.6621 -33.239 -43.097 -51.055
94.7335 -33.259 3.60 -43.120 3.32 -51.079 3.16
94.8049 -33.279 -43.142 -51.103
94.8763 -33.300 -43.165 -51.126
94.9477 -33.321 -43.187 -51.150
95.0191 -33.341 -43.210 -51.174
95.0905 -33.362 3.61 -43.232 3.33 -51.197 3.17
95.1619 -33.383 -43.255 -51.221
95.2333 -33.403 -43.277 -51.244
95.3047 -33.424 -43.299 -51.268
95.3761 -33.445 -43.322 -51.291
95.4475 -33.465 3.62 -43.344 3.33 -51.314 3.17
95.5189 -33.486 -43.366 -51.338
95.5903 -33.506 -43.389 -51.361
95.6617 -33.527 -43.411 -51.385
95.7331 -33.547 -43.433 -51.408
95.8045 -33.568 3.62 -43.455 3.34 -51.431 3.18
95.8759 -33.588 -43.477 -51.455
95.9473 -33.608 -43.500 -51.478
96.0187 -33.629 -43.522 -51.501
-------------------------------------------------------------------------------------
Average Life 0.000 0.000 0.000
First Pay 00/00/00 00/00/00 00/00/00
Last Pay 00/00/00 00/00/00 00/00/00
Collateral Loss 46,369,634.40 49,775,637.48 53,020,750.15
Agg. Bond Loss 11,344,000.00 11,344,000.00 11,344,000.00
Cum Loss (%) 16.86 18.10 19.28
-------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Treasury Benchmarks EDSF 6/02F 5/03F 8/05F 11/08F 2/07F 5/06F 2/03F 3/02F 8/04F
Yield 7.1800 6.5129 6.4885 6.3806 6.2651 6.3269 6.3742 6.5031 6.5498 6.3918
Coupon 5.8750 6.2500 5.5000 6.5000 4.7500 6.2500 6.8750 5.5000 6.5000 6.0000
</TABLE>
All yields and durations are based on Monthly payments of interest with an
interest free delay of 14 days.
Duration and Average Life are stated in years reflecting a 06/30/00 settlement
date.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on 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 the underlying assets, the
information contained in the Offering Document).
<PAGE>
Lehman Brothers
DELTA SENIOR SUB BBB- WITH IO
Yield Table
Bond Class: M2 Fixed Coupon: 8.360
Current Balance: $11,344,000.00
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------------------------------------
mo 12 CDR: 0 CDR 1 CDR 2 CDR 3 CDR 4 CDR
----------------------------------------------------------------------------------------------------------------------------------
Price Yield Duration Yield Duration Yield Duration Yield Duration Yield Duration
----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
93.6625 9.880 4.51 9.907 4.42 9.651 5.54 9.565 5.93 9.545 6.27
93.7339 9.863 9.890 9.637 9.552 9.533
93.8053 9.846 9.873 9.623 9.540 9.521
93.8767 9.830 9.856 9.610 9.527 9.509
93.9481 9.813 9.839 9.596 9.514 9.497
94.0195 9.796 4.52 9.822 4.43 9.583 5.55 9.501 5.93 9.485 6.28
94.0909 9.780 9.805 9.569 9.489 9.473
94.1623 9.763 9.788 9.556 9.476 9.461
94.2337 9.746 9.771 9.542 9.463 9.449
94.3051 9.730 9.754 9.528 9.451 9.437
94.3765 9.713 4.52 9.737 4.44 9.515 5.56 9.438 5.94 9.425 6.29
94.4479 9.696 9.720 9.501 9.425 9.413
94.5193 9.680 9.703 9.488 9.413 9.401
94.5907 9.663 9.686 9.474 9.400 9.389
94.6621 9.647 9.669 9.461 9.388 9.377
94.7335 9.630 4.53 9.652 4.45 9.448 5.57 9.375 5.95 9.365 6.29
94.8049 9.614 9.636 9.434 9.362 9.353
94.8763 9.597 9.619 9.421 9.350 9.341
94.9477 9.581 9.602 9.407 9.337 9.330
95.0191 9.564 9.585 9.394 9.325 9.318
95.0905 9.548 4.54 9.569 4.45 9.381 5.58 9.312 5.96 9.306 6.30
95.1619 9.531 9.552 9.367 9.300 9.294
95.2333 9.515 9.535 9.354 9.287 9.282
95.3047 9.499 9.518 9.341 9.275 9.271
95.3761 9.482 9.502 9.327 9.262 9.259
95.4475 9.466 4.55 9.485 4.46 9.314 5.59 9.250 5.96 9.247 6.31
95.5189 9.450 9.468 9.301 9.237 9.235
95.5903 9.433 9.452 9.287 9.225 9.223
95.6617 9.417 9.435 9.274 9.212 9.212
95.7331 9.401 9.419 9.261 9.200 9.200
95.8045 9.384 4.55 9.402 4.47 9.248 5.60 9.188 5.97 9.188 6.32
95.8759 9.368 9.385 9.234 9.175 9.177
95.9473 9.352 9.369 9.221 9.163 9.165
96.0187 9.336 9.352 9.208 9.150 9.153
----------------------------------------------------------------------------------------------------------------------------------
Average Life 6.526 6.349 8.508 8.952 9.778
First Pay 07/15/03 07/15/03 07/15/03 09/15/08 03/15/09
Last Pay 09/15/14 03/15/14 04/15/11 05/15/10 08/15/11
Collateral Loss 0.000 5,959,860.12 11,554,704.50 16,816,468.97 21,773,585.60
Agg. Bond Loss 0.000 0.000 0.000 0.000 0.000
Cum Loss (%) 0 2.17 4.20 6.12 7.92
----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
-----------------------------------------------------------------------------------------------------------------------------
mo 12 CDR: 5 CDR 6 CDR 7 CDR 8 CDR 9 CDR
-----------------------------------------------------------------------------------------------------------------------------
Price Yield Duration Yield Duration Yield Duration Yield Duration Yield Duration
-----------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
93.6625 9.523 6.66 9.402 7.31 6.196 7.44 0.008 7.89 -20.254 4.22
93.7339 9.512 9.391 6.186 -0.002 -20.272
93.8053 9.501 9.381 6.176 -0.011 -20.290
93.8767 9.489 9.371 6.166 -0.021 -20.308
93.9481 9.478 9.360 6.156 -0.030 -20.326
94.0195 9.467 6.67 9.350 7.32 6.145 7.45 -0.040 7.91 -20.343 4.23
94.0909 9.455 9.340 6.135 -0.049 -20.361
94.1623 9.444 9.330 6.125 -0.059 -20.379
94.2337 9.433 9.319 6.115 -0.068 -20.397
94.3051 9.422 9.309 6.105 -0.078 -20.415
94.3765 9.410 6.68 9.299 7.34 6.095 7.47 -0.087 7.93 -20.432 4.24
94.4479 9.399 9.289 6.085 -0.097 -20.450
94.5193 9.388 9.278 6.075 -0.106 -20.468
94.5907 9.377 9.268 6.065 -0.116 -20.485
94.6621 9.365 9.258 6.055 -0.125 -20.503
94.7335 9.354 6.69 9.248 7.35 6.045 7.48 -0.135 7.95 -20.521 4.25
94.8049 9.343 9.238 6.035 -0.144 -20.538
94.8763 9.332 9.227 6.025 -0.153 -20.556
94.9477 9.321 9.217 6.015 -0.163 -20.573
95.0191 9.310 9.207 6.005 -0.172 -20.591
95.0905 9.299 6.70 9.197 7.36 5.995 7.50 -0.182 7.97 -20.609 4.25
95.1619 9.287 9.187 5.985 -0.191 -20.626
95.2333 9.276 9.177 5.975 -0.200 -20.644
95.3047 9.265 9.167 5.965 -0.210 -20.661
95.3761 9.254 9.157 5.955 -0.219 -20.679
95.4475 9.243 6.71 9.146 7.37 5.945 7.51 -0.228 7.99 -20.696 4.26
95.5189 9.232 9.136 5.935 -0.237 -20.713
95.5903 9.221 9.126 5.926 -0.247 -20.731
95.6617 9.210 9.116 5.916 -0.256 -20.748
95.7331 9.199 9.106 5.906 -0.265 -20.766
95.8045 9.188 6.72 9.096 7.39 5.896 7.53 -0.275 8.00 -20.783 4.27
95.8759 9.177 9.086 5.886 -0.284 -20.800
95.9473 9.166 9.076 5.876 -0.293 -20.818
96.0187 9.155 9.066 5.867 -0.302 -20.835
-----------------------------------------------------------------------------------------------------------------------------
Average Life 10.827 13.039 14.176 16.926 0.000
First Pay 10/15/09 07/15/10 10/15/11 9/15/14 00/00/00
Last Pay 08/15/13 05/15/30 05/15/30 5/15/30 00/00/00
Collateral Loss 26,451,428.10 30,872,695.18 35,057,740.74 39,024,858.82 42,790,529.92
Agg. Bond Loss 0.000 291,316.09 4,930,428.90 9,337,416.33 11,344,000.00
Cum Loss (%) 9.62 11.23 12.75 14.19 15.56
-----------------------------------------------------------------------------------------------------------------------------
<CAPTION>
-------------------------------------------------------------------------------------
mo 12 CDR: 10 CDR 11 CDR 12 CDR
-------------------------------------------------------------------------------------
Price Yield Duration Yield Duration Yield Duration
-------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
93.6625 -32.945 3.59 -42.779 3.31 -50.721 3.15
93.7339 -32.966 -42.802 -50.745
93.8053 -32.987 -42.825 -50.769
93.8767 -33.008 -42.848 -50.793
93.9481 -33.029 -42.871 -50.817
94.0195 -33.050 3.59 -42.893 3.31 -50.841 3.15
94.0909 -33.071 -42.916 -50.865
94.1623 -33.092 -42.939 -50.899
94.2337 -33.113 -42.962 -50.913
94.3051 -33.134 -42.984 -50.937
94.3765 -33.154 3.60 -43.007 3.32 -50.960 3.16
94.4479 -33.175 -43.030 -50.984
94.5193 -33.196 -43.052 -51.008
94.5907 -33.217 -43.075 -51.032
94.6621 -33.239 -43.097 -51.055
94.7335 -33.259 3.60 -43.120 3.32 -51.079 3.16
94.8049 -33.279 -43.142 -51.103
94.8763 -33.300 -43.165 -51.126
94.9477 -33.321 -43.187 -51.150
95.0191 -33.341 -43.210 -51.174
95.0905 -33.362 3.61 -43.232 3.33 -51.197 3.17
95.1619 -33.383 -43.255 -51.221
95.2333 -33.403 -43.277 -51.244
95.3047 -33.424 -43.299 -51.268
95.3761 -33.445 -43.322 -51.291
95.4475 -33.465 3.62 -43.344 3.33 -51.314 3.17
95.5189 -33.486 -43.366 -51.338
95.5903 -33.506 -43.389 -51.361
95.6617 -33.527 -43.411 -51.385
95.7331 -33.547 -43.433 -51.408
95.8045 -33.568 3.62 -43.455 3.34 -51.431 3.18
95.8759 -33.588 -43.477 -51.455
95.9473 -33.608 -43.500 -51.478
96.0187 -33.629 -43.522 -51.501
-------------------------------------------------------------------------------------
Average Life 0.000 0.000 0.000
First Pay 00/00/00 00/00/00 00/00/00
Last Pay 00/00/00 00/00/00 00/00/00
Collateral Loss 46,369,634.40 49,775,637.48 53,020,750.15
Agg. Bond Loss 11,344,000.00 11,344,000.00 11,344,000.00
Cum Loss (%) 16.86 18.10 19.28
-------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Treasury Benchmarks EDSF 6/02F 5/03F 8/05F 11/08F 2/07F 5/06F 2/03F 3/02F 8/04F
Yield 7.1800 6.5129 6.4885 6.3806 6.2651 6.3269 6.3742 6.5031 6.5498 6.3918
Coupon 5.8750 6.2500 5.5000 6.5000 4.7500 6.2500 6.8750 5.5000 6.5000 6.0000
</TABLE>
All yields and durations are based on Monthly payments of interest with an
interest free delay of 14 days.
Duration and Average Life are stated in years reflecting a 06/30/00 settlement
date.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on 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 the underlying assets, the
information contained in the Offering Document).
<PAGE>
Lehman Brothers
DELTA SENIOR SUB BBB- WITH IO
Yield Table
Bond Class: B Fixed Coupon: 8.360
Current Balance: $12,375,000.00
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------------------------------
MO. 12 CDR 0.00 1.00 2.00 3.00
-----------------------------------------------------------------------------------------------------------------------------------
Price Yield Duration Yield Duration Yield Duration Yield Duration
-----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
82.5477 12.899 4.10 12.990 4.02 13.073 3.95 12.005 5.17
82.6677 12.864 12.954 13.037 11.977
82.7877 12.829 12.918 13.000 11.949
82.9077 12.794 12.883 12.964 11.921
83.0277 12.759 12.847 12.928 11.894
83.1477 12.724 4.12 12.811 4.03 12.891 3.96 11.866 5.19
83.2677 12.690 12.776 12.855 11.838
83.3877 12.655 12.741 12.819 11.811
83.5077 12.620 12.705 12.783 11.783
83.6277 12.586 12.670 12.748 11.756
83.7477 12.551 4.13 12.635 4.05 12.712 3.97 11.729 5.20
83.8677 12.517 12.600 12.676 11.701
83.9877 12.483 12.565 12.640 11.674
84.1077 12.448 12.530 12.605 11.647
84.2277 12.414 12.495 12.569 11.620
84.3477 12.380 4.14 12.460 4.06 12.534 3.98 11.593 5.21
84.4677 12.346 12.425 12.498 11.566
84.5877 12.312 12.391 12.463 11.539
84.7077 12.278 12.356 12.428 11.512
84.8277 12.244 12.322 12.393 11.485
84.9477 12.210 4.15 12.287 4.07 12.358 4.00 11.458 5.23
85.0677 12.177 12.253 12.322 11.431
85.1877 12.143 12.218 12.287 11.404
85.3077 12.109 12.184 12.253 11.378
85.4277 12.076 12.150 12.218 11.351
85.5477 12.042 4.16 12.116 4.08 12.183 4.01 11.325 5.24
85.6677 12.009 12.082 12.148 11.298
85.7877 11.976 12.048 12.114 11.272
85.9077 11.942 12.014 12.079 11.245
86.0277 11.909 11.980 12.045 11.219
86.1477 11.876 4.18 11.946 4.09 12.010 4.02 11.192 5.25
-----------------------------------------------------------------------------------------------------------------------------------
Average Life 5.988 5.820 5.675 7.937
First Pay 07/15/03 07/15/03 07/15/03 07/15/03
Last Pay 07/15/09 03/15/09 12/15/08 10/15/08
Collateral Loss 0.000 4,323,525.01 8,382,685.00 12,193,075.02
Agg. Bond Loss 0.000 0.000 0.000 0.000
Price to Call Price to Call Price to Call Price to Call Price to Call
Cum Loss (%) - 1.57 3.05 4.43
-----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
-----------------------------------------------------------------------------------------------------------
MO. 12 CDR 4.00 5.00 6.00
-----------------------------------------------------------------------------------------------------------
Price Yield Duration Yield Duration Yield Duration
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
82.5477 11.937 5.29 10.009 5.17 4.408 5.13
82.6677 11.910 9.981 4.380
82.7877 11.883 9.953 4.352
82.9077 11.855 9.925 4.324
83.0277 11.828 9.897 4.296
83.1477 11.801 5.30 9.870 5.18 4.268 5.14
83.2677 11.774 9.842 4.240
83.3877 11.747 9.815 4.212
83.5077 11.721 9.787 4.185
83.6277 11.694 9.760 4.157
83.7477 11.667 5.32 9.732 5.19 4.129 5.16
83.8677 11.640 9.705 4.102
83.9877 11.614 9.678 4.074
84.1077 11.587 9.650 4.047
84.2277 11.560 9.623 4.020
84.3477 11.534 5.33 9.596 5.20 3.992 5.17
84.4677 11.507 9.569 3.965
84.5877 11.481 9.542 3.938
84.7077 11.455 9.515 3.911
84.8277 11.428 9.488 3.883
84.9477 11.402 5.34 9.461 5.22 3.856 5.18
85.0677 11.376 9.434 3.829
85.1877 11.350 9.407 3.802
85.3077 11.324 9.381 3.775
85.4277 11.298 9.354 3.749
85.5477 11.272 5.35 9.327 5.23 3.722 5.20
85.6677 11.246 9.301 3.695
85.7877 11.220 9.274 3.668
85.9077 11.194 9.248 3.642
86.0277 11.168 9.221 3.615
86.1477 11.142 5.37 9.195 5.24 3.588 5.21
--------------------------------------------------------------------------------------------------------
Average Life 8.042 7.792 7.625
First Pay 07/15/08 04/15/08 02/15/08
Last Pay 07/15/08 04/15/08 02/15/08
Collateral Loss 15,829,506.93 19,197,594.61 22,445,428.05
Agg. Bond Loss 0.000 1,976,029.92 5,692,654.21
Price to Call Price to Call Price to Call Price to Call
Cum Loss (%) 5.76 6.98 8.16
-------------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Treasury Benchmarks EDSF 6/02F 5/03F 8/05F 11/08F 2/07F 5/06F 2/03F 3/02F 8/04F
Yield 7.1800 6.5129 6.4885 6.3806 6.2651 6.3269 6.3742 6.5031 6.5498 6.3918
Coupon 5.8750 6.2500 5.5000 6.5000 4.7500 6.2500 6.8750 5.5000 6.5000 6.0000
</TABLE>
All yields and durations are based on Monthly payments of interest with an
interest free delay of 14 days.
Duration and Average Life are stated in years reflecting a 06/30/00 settlement
date.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on 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 the underlying assets, the
information contained in the Offering Document).
<PAGE>
Lehman Brothers
DELTA SENIOR SUB BBB- WITH IO
Yield Table
Bond Class: B Fixed Coupon: 8.360
Current Balance: $12,375,000.00
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------
MO 12 CDR 0.00 1.00 2.00 3.00
-----------------------------------------------------------------------------------------------
Price Yield Duration Yield Duration Yield Duration Yield Duration
-----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
82.5477 12.899 4.10 12.990 4.02 12.239 4.83 11.866 5.40
82.6677 12.864 12.954 12.209 11.839
82.7877 12.829 12.918 12.179 11.813
82.9077 12.794 12.883 12.150 11.786
83.0277 12.759 12.847 12.120 11.760
83.1477 12.724 4.12 12.811 4.03 12.090 4.84 11.733 5.41
83.2677 12.690 12.776 12.061 11.707
83.3877 12.655 12.741 12.031 11.680
83.5077 12.620 12.705 12.002 11.654
83.6277 12.586 12.670 11.973 11.628
83.7477 12.551 4.13 12.635 4.05 11.943 4.85 11.602 5.43
83.8677 12.517 12.600 11.914 11.575
83.9877 12.483 12.565 11.885 11.549
84.1077 12.448 12.530 11.856 11.523
84.2277 12.414 12.495 11.827 11.497
84.3477 12.380 4.14 12.460 4.06 11.798 4.87 11.471 5.44
84.4677 12.346 12.425 11.769 11.445
84.5877 12.312 12.391 11.740 11.419
84.7077 12.278 12.356 11.711 11.394
84.8277 12.244 12.322 11.682 11.368
84.9477 12.210 4.15 12.287 4.07 11.653 4.88 11.342 5.45
85.0677 12.177 12.253 11.625 11.316
85.1877 12.143 12.218 11.596 11.291
85.3077 12.109 12.184 11.568 11.265
85.4277 12.076 12.150 11.539 11.240
85.5477 12.042 4.16 12.116 4.08 11.511 4.90 11.214 5.47
85.6677 12.009 12.082 11.482 11.189
85.7877 11.976 12.048 11.454 11.163
85.9077 11.942 12.014 11.426 11.138
86.0277 11.909 11.980 11.397 11.113
86.1477 11.876 4.18 11.946 4.09 11.369 4.91 11.087 5.48
-----------------------------------------------------------------------------------------------
Average Life 5.988 5.820 7.415 8.292
First Pay 07/15/03 07/15/03 07/15/03 10/15/08
Last Pay 07/15/09 03/15/09 12/15/08 10/15/08
Collateral Loss 0.000 5,070,834.40 9,645,808.79 13,706,070.22
Agg. Bond Loss 0.000 0.000 0.000 0.000
Price to Call Price to Call Price to Call Price to Call
Cum Loss (%) 0 1.84 3.51 4.98
-----------------------------------------------------------------------------------------------
<CAPTION>
--------------------------------------------------------------------------------
MO 12 CDR 4.00 5.00 6.00
--------------------------------------------------------------------------------
Price Yield Duration Yield Duration Yield Duration
--------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
82.5477 10.840 5.27 4.246 5.20 -7.956 5.09
82.6677 10.813 4.218 -7.984
82.7877 10.785 4.191 -8.013
82.9077 10.758 4.163 -8.041
83.0277 10.731 4.136 -8.069
83.1477 10.704 5.29 4.108 5.22 -8.097 5.11
83.2677 10.677 4.081 -8.125
83.3877 10.650 4.053 -8.153
83.5077 10.623 4.026 -8.181
83.6277 10.596 3.999 -8.209
83.7477 10.569 5.30 3.972 5.23 -8.236 5.12
83.8677 10.542 3.944 -8.264
83.9877 10.516 3.917 -8.292
84.1077 10.489 3.890 -8.319
84.2277 10.462 3.863 -8.347
84.3477 10.436 5.31 3.836 5.24 -8.374 5.14
84.4677 10.409 3.809 -8.402
84.5877 10.383 3.783 -8.429
84.7077 10.356 3.756 -8.457
84.8277 10.330 3.729 -8.484
84.9477 10.303 5.33 3.702 5.26 -8.511 5.15
85.0677 10.277 3.676 -8.538
85.1877 10.251 3.649 -8.565
85.3077 10.225 3.623 -8.593
85.4277 10.198 3.596 -8.620
85.5477 10.172 5.34 3.570 5.27 -8.647 5.17
85.6677 10.146 3.543 -8.673
85.7877 10.120 3.517 -8.700
85.9077 10.094 3.491 -8.727
86.0277 10.068 3.464 -8.754
86.1477 10.043 5.35 3.438 5.28 -8.781 5.18
--------------------------------------------------------------------------------
Average Life 8.042 7.792 7.625
First Pay 07/15/08 04/15/08 02/15/08
Last Pay 07/15/08 04/15/08 02/15/08
Collateral Loss 17,445,343.68 2,905,900.11 24,001,903.28
Agg. Bond Loss 1,222,032.52 5,846,596.45 10,156,095.84
Price to Call Price to Call Price to Call
Cum Loss (%) 6.34 7.60 8.73
--------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Treasury Benchmarks EDSF 6/02F 5/03F 8/05F 11/08F 2/07F 5/06F 2/03F 3/02F 8/04F
Yield 7.1800 6.5129 6.4885 6.3806 6.2651 6.3269 6.3742 6.5031 6.5498 6.3918
Coupon 5.8750 6.2500 5.5000 6.5000 4.7500 6.2500 6.8750 5.5000 6.5000 6.0000
</TABLE>
All yields and durations are based on Monthly payments of interest with an
interest free delay of 14 days.
Duration and Average Life are stated in years reflecting a 06/30/00 settlement
date.
--------------------------------------------------------------------------------
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on 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 the underlying assets, the
information contained in the Offering Document).
<PAGE>
Lehman Brothers
DELTA SENIOR SUB BBB- WITH IO
Yield Table
Bond Class: B Fixed Coupon: 8.360
Current Balance: $12,375,000.00
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------------------
MO. 12 CDR 0.00 1.00 2.00 3.00
---------------------------------------------------------------------------------------------------------------------
Price Yield Duration Yield Duration Yield Duration Yield Duration
---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
82.5477 12.831 4.17 12.915 4.09 12.765 4.22 11.455 6.29
82.6677 12.796 12.880 12.731 11.432
82.7877 12.762 12.845 12.697 11.410
82.9077 12.727 12.810 12.663 11.387
83.0277 12.693 12.775 12.629 11.364
83.1477 12.659 4.18 12.740 4.10 12.595 4.23 11.341 6.31
83.2677 12.624 12.705 12.561 11.319
83.3877 12.590 12.670 12.527 11.296
83.5077 12.556 12.636 12.494 11.274
83.6277 12.522 12.601 12.460 11.251
83.7477 12.488 4.19 12.566 4.11 12.427 4.25 11.229 6.33
83.8677 12.454 12.532 12.393 11.206
83.9877 12.421 12.497 12.360 11.184
84.1077 12.387 12.463 12.327 11.161
84.2277 12.353 12.429 12.293 11.139
84.3477 12.320 4.21 12.394 4.13 12.260 4.27 11.117 6.36
84.4677 12.286 12.360 12.227 11.095
84.5877 12.253 12.326 12.194 11.073
84.7077 12.219 12.292 12.161 11.051
84.8277 12.186 12.258 12.129 11.028
84.9477 12.153 4.22 12.224 4.14 12.096 4.28 11.006 6.38
85.0677 12.120 12.191 12.063 10.985
85.1877 12.086 12.157 12.031 10.963
85.3077 12.053 12.123 11.998 10.941
85.4277 12.020 12.089 11.966 10.919
85.5477 11.987 4.23 12.056 4.15 11.933 4.30 10.897 6.40
85.6677 11.955 12.022 11.901 10.875
85.7877 11.922 11.989 11.869 10.854
85.9077 11.889 11.956 11.836 10.832
86.0277 11.856 11.922 11.804 10.810
86.1477 11.824 4.25 11.889 4.17 11.772 4.32 10.789 6.42
---------------------------------------------------------------------------------------------------------------------
Average Life 6.213 6.046 6.852 11.144
First Pay 07/15/03 07/15/03 07/15/03 07/15/03
Last Pay 11/15/12 06/15/12 01/15/16 09/15/14
Collateral Loss 0.000 4,966,550.10 9,628,920.42 14,013,724.14
Agg. Bond Loss 0.000 0.000 0.000 0.000
---------------------------------------------------------------------------------------------------------------------
Cum Loss (%) 0 1.81 3.50 5.10
---------------------------------------------------------------------------------------------------------------------
---------------------------------------------------------------------------------------------------------------------
<CAPTION>
--------------------------------------------------------------------------------------------------
MO. 12 CDR 4.00 5.00 6.00
--------------------------------------------------------------------------------------------------
Price Yield Duration Yield Duration Yield Duration
--------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
82.5477 11.355 6.56 9.052 7.15 4.425 7.77
82.6677 11.333 9.032 4.406
82.7877 11.311 9.012 4.388
82.9077 11.289 8.992 4.369
83.0277 11.267 8.972 4.351
83.1477 11.246 6.59 8.952 7.18 4.333 7.80
83.2677 11.224 8.932 4.314
83.3877 11.202 8.912 4.296
83.5077 11.181 8.892 4.278
83.6277 11.159 8.872 4.260
83.7477 11.137 6.61 8.853 7.21 4.241 7.84
83.8677 11.116 8.833 4.223
83.9877 11.094 8.813 4.205
84.1077 11.073 8.794 4.187
84.2277 11.052 8.774 4.169
84.3477 11.030 6.63 8.755 7.24 4.151 7.87
84.4677 11.009 8.735 4.133
84.5877 10.988 8.716 4.115
84.7077 10.967 8.696 4.098
84.8277 10.946 8.677 4.080
84.9477 10.924 6.65 8.658 7.26 4.062 7.90
85.0677 10.903 8.638 4.044
85.1877 10.882 8.619 4.027
85.3077 10.861 8.600 4.009
85.4277 10.840 8.581 3.991
85.5477 10.820 6.67 8.562 7.29 3.974 7.93
85.6677 10.799 8.543 3.956
85.7877 10.778 8.524 3.939
85.9077 10.757 8.505 3.921
86.0277 10.736 8.486 3.904
86.1477 10.716 6.69 8.467 7.32 3.887 7.97
--------------------------------------------------------------------------------------------------
Average Life 11.550 14.147 15.531
First Pay 05/15/10 08/15/11 02/15/13
Last Pay 06/15/14 05/15/30 05/15/30
Collateral Loss 18,144,654.66 22,042,856.75 25,727,245.99
Agg. Bond Loss 0 3,296,450.20 7,527,974.55
Cum Loss (%) 6.60 8.02 9.36
--------------------------------------------------------------------------------------------------
--------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Treasury Benchmarks EDSF 6/02F 5/03F 8/05F 11/08F 2/07F 5/06F 2/03F 3/02F 8/04F
Yield 7.1800 6.5129 6.4885 6.3806 6.2651 6.3269 6.3742 6.5031 6.5498 6.3918
Coupon 5.8750 6.2500 5.5000 6.5000 4.7500 6.2500 6.8750 5.5000 6.5000 6.0000
</TABLE>
All yields and durations are based on Monthly payments of interest with an
interest free delay of 14 days.
Duration and Average Life are stated in years reflecting a 06/30/00 settlement
date.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on 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 the underlying assets, the
information contained in the Offering Document).
<PAGE>
Lehman Brothers
DELTA SENIOR SUB BBB- WITH IO
Yield Table
Bond Class: B Fixed Coupon: 8.360
Current Balance: $12,375,000.00
<TABLE>
<CAPTION>
----------------------------------------------------------------------------------------------------------------------
MO. 12 CDR 0.00 1.00 2.00 3.00
----------------------------------------------------------------------------------------------------------------------
Price Yield Duration Yield Duration Yield Duration Yield Duration
----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
82.5477 12.831 4.17 12.915 4.09 11.658 5.82 11.339 6.58
82.6677 12.796 12.880 11.633 11.317
82.7877 12.762 12.845 11.608 11.295
82.9077 12.727 12.810 11.584 11.273
83.0277 12.693 12.775 11.559 11.252
83.1477 12.659 4.18 12.740 4.10 11.535 5.85 11.230 6.60
83.2677 12.624 12.705 11.510 11.208
83.3877 12.590 12.670 11.486 11.187
83.5077 12.556 12.636 11.461 11.165
83.6277 12.522 12.601 11.437 11.144
83.7477 12.488 4.19 12.566 4.11 11.413 5.87 11.122 6.63
83.8677 12.454 12.532 11.389 11.101
83.9877 12.421 12.497 11.365 11.079
84.1077 12.387 12.463 11.341 11.058
84.2277 12.353 12.429 11.316 11.037
84.3477 12.320 4.21 12.394 4.13 11.293 5.90 11.015 6.65
84.4677 12.286 12.360 11.269 10.994
84.5877 12.253 12.326 11.245 10.973
84.7077 12.219 12.292 11.221 10.952
84.8277 12.186 12.258 11.197 10.931
84.9477 12.153 4.22 12.224 4.14 11.174 5.92 10.910 6.67
85.0677 12.120 12.191 11.150 10.889
85.1877 12.086 12.157 11.126 10.868
85.3077 12.053 12.123 11.103 10.847
85.4277 12.020 12.089 11.079 10.826
85.5477 11.987 4.23 12.056 4.15 11.056 5.94 10.805 6.69
85.6677 11.955 12.022 11.032 10.784
85.7877 11.922 11.989 11.009 10.764
85.9077 11.889 11.956 10.986 10.743
86.0277 11.856 11.922 10.963 10.722
86.1477 11.824 4.25 11.889 4.17 10.939 5.97 10.702 6.71
----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Average Life 6.213 6.046 10.515 11.614
First Pay 07/15/03 07/15/03 07/15/03 05/15/10
Last Pay 11/15/12 06/15/12 02/15/15 09/15/14
Collateral Loss 0.000 5,959,860.12 11,554,704.50 16,816,468.97
Agg. Bond Loss 0.000 0.000 0.000 0.000
Cum Loss (%) 0 2.17 4.20 6.12
----------------------------------------------------------------------------------------------------------------------
<CAPTION>
------------------------------------------------------------------------------------------------
MO. 12 CDR 4.00 5.00 6.00
------------------------------------------------------------------------------------------------
Price Yield Duration Yield Duration Yield Duration
------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
82.5477 9.785 7.15 4.276 7.90 -16.176 5.13
82.6677 9.765 4.258 -16.204
82.7877 9.745 4.240 -16.232
82.9077 9.725 4.221 -16.260
83.0277 9.705 4.203 -16.288
83.1477 9.685 7.18 4.185 7.93 -16.316 5.15
83.2677 9.665 4.167 -16.344
83.3877 9.645 4.149 -16.371
83.5077 9.625 4.131 -16.399
83.6277 9.605 4.113 -16.427
83.7477 9.586 7.21 4.096 7.97 -16.454 5.17
83.8677 9.566 4.078 -16.482
83.9877 9.546 4.060 -16.509
84.1077 9.527 4.042 -16.536
84.2277 9.507 4.025 -16.564
84.3477 9.487 7.23 4.007 8.00 -16.591 5.19
84.4677 9.468 3.989 -16.618
84.5877 9.449 3.972 -16.645
84.7077 9.429 3.954 -16.672
84.8277 9.410 3.937 -16.699
84.9477 9.390 7.26 3.919 8.04 -16.726 5.21
85.0677 9.371 3.902 -16.753
85.1877 9.352 3.884 -16.780
85.3077 9.333 3.867 -16.807
85.4277 9.314 3.850 -16.833
85.5477 9.294 7.29 3.832 8.07 -16.860 5.23
85.6677 9.275 3.815 -16.887
85.7877 9.256 3.798 -16.913
85.9077 9.237 3.781 -16.940
86.0277 9.218 3.764 -16.966
86.1477 9.199 7.32 3.747 8.10 -16.992 5.25
------------------------------------------------------------------------------------------------
<S> <C> <C> <C>
Average Life 14.290 16.113 0.000
First Pay 08/15/11 08/15/13 00/00/00
Last Pay 05/15/30 05/15/30 00/00/00
Collateral Loss 21,773,585.60 26,451,428.10 30,872,695.18
Agg. Bond Loss 2,443,054.70 7,751,627.58 12,375,000.00
Cum Loss (%) 7.92 9.62 11.23
------------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Treasury Benchmarks EDSF 6/02F 5/03F 8/05F 11/08F 2/07F 5/06F 2/03F 3/02F 8/04F
Yield 7.1800 6.5129 6.4885 6.3806 6.2651 6.3269 6.3742 6.5031 6.5498 6.3918
Coupon 5.8750 6.2500 5.5000 6.5000 4.7500 6.2500 6.8750 5.5000 6.5000 6.0000
</TABLE>
All yields and durations are based on Monthly payments of interest with an
interest free delay of 14 days.
Duration and Average Life are stated in years reflecting a 06/30/00 settlement
date.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on 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 the underlying assets, the
information contained in the Offering Document).
<PAGE>
Bond Cash Flow Report
DELTA SENIOR SUB BBB- WITH IO
Settlement 20000630
Class A-4F
Prepayment: PPC 100.00000
Default: % CURR.BAL/MON 0.00000
LAG:0;
LIB_1M:6.6512 LIB_M:6.9900 OTHER_1: 1.0000
<TABLE>
<CAPTION>
Principal Eff.
Prd Date Balance Interest Pmt Total Coupon Percent
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
1 20000715 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
2 20000815 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
3 20000915 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
4 20001015 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
5 20001115 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
6 20001215 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
7 20010115 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
8 20010215 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
9 20010315 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
10 20010415 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
11 20010515 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
12 20010615 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
13 20010715 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
14 20010815 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
15 20010915 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
16 20011015 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
17 20011115 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
18 20011215 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
19 20020115 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
20 20020215 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
21 20020315 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
22 20020415 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
23 20020515 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
24 20020615 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
25 20020715 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
26 20020815 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
27 20020915 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
28 20021015 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
29 20021115 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
30 20021215 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
31 20030115 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
32 20030215 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
33 20030315 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
34 20030415 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
35 20030515 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
36 20030615 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
37 20030715 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
38 20030815 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
39 20030915 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
40 20031015 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
41 20031115 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
42 20031215 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
43 20040115 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
44 20040215 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
45 20040315 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
46 20040415 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
47 20040515 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
48 20040615 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
49 20040715 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
50 20040815 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
<CAPTION>
Principal Eff.
Prd Date Balance Interest Pmt Total Coupon Percent
--- -------- ------------- --------- -------------- ---------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
51 20040915 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
52 20041015 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
53 20041115 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
54 20041215 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
55 20050115 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
56 20050215 10,953,000.00 74,845.50 170,267.47 245,112.97 8.2000 100
57 20050315 10,782,732.53 73,682.01 801,374.12 875,056.13 8.2000 98
58 20050415 9,981,358.41 68,205.95 784,438.58 852,644.53 8.2000 91
59 20050515 9,196,919.83 62,845.62 767,833.48 830,679.10 8.2000 84
60 20050615 8,429,086.35 57,598.76 751,552.57 809,151.33 8.2000 77
61 20050715 7,677,533.78 52,463.15 619,786.87 672,250.01 8.2000 70
62 20050815 7,057,746.91 48,227.94 606,917.63 655,145.56 8.2000 64
63 20050915 6,450,829.28 44,080.67 594,305.14 638,385.81 8.2000 59
64 20051015 5,856,524.14 40,019.58 581,944.41 621,963.99 8.2000 53
65 20051115 5,274,579.74 36,042.96 569,830.52 605,873.48 8.2000 48
66 20051215 4,704,749.22 32,149.12 557,958.67 590,107.79 8.2000 43
67 20060115 4,146,790.55 28,336.40 546,324.14 574,660.54 8.2000 38
68 20060215 3,600,466.41 24,603.19 534,922.31 559,525.49 8:2000 33
69 20060315 3,065,544.10 20,947.88 523,748.63 544,696.51 8.2000 28
70 20060415 2,541,795.47 17,368.94 512,798.65 530,167.59 8.2000 23
71 20060515 2,028,996.82 13,864.81 502,068.02 515,932.83 8.2000 19
72 20060615 1,526,928.80 10,434.01 491,552.44 501,986.45 8.2000 14
73 20060715 1,035,376.37 7,075.07 426,142.88 433,217.95 8.2000 9
74 20060815 609,233.48 4,163.10 417,980.49 422,143.59 8.2000 6
75 20060915 191,252.99 1,306.90 191,252.99 192,559.89 8.2000 2
--- -------- ------------- ------------- -------------- ---------- -------- --------
4,834,764.04 10,953,000.00 15,787,764.04
------------- ------------- --------------
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or the underlying assets, the
information contained in the Offering Document).
<PAGE>
Bond Cash Flow Report
DELTA SENIOR SUB BBB- WITH IO
Settlement 20000630
Class A-4F
Prepayment: PPC 100.00000
Default: % CURR.BAL/MON 90.00000
LAG:0;
LIB_1M:6.6512 LIB_6M:6.9900 OTHER_1: 1.0000
<TABLE>
<CAPTION>
Principal Eff.
Prd Date Balance Interest Pmt Total Coupon Percent
--- -------- ------------- --------- -------------- ---------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
1 20000715 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
2 20000815 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
3 20000915 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
4 20001015 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
5 20001115 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
6 20001215 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
7 20010115 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
8 20010215 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
9 20010315 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
10 20010415 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
11 20010515 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
12 20010615 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
13 20010715 10,953.000.00 74,845.50 0.00 74,845.50 8.2000 100
14 20010815 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
15 20010915 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
16 20011015 70,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
17 20011115 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
18 20011215 10,953,000.00 74,845.50 0.00 74,845.50 8 2000 100
19 20020115 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
20 20020215 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
21 20020315 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
22 20020415 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
23 20020515 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
24 20020615 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
25 20020715 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
26 20020815 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
27 20020915 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
28 20021015 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
29 20021115 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
30 20021215 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
31 20030115 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
32 20030215 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
33 20030315 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
34 20030415 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
35 20030515 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
36 20030615 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
37 20030715 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
38 20030815 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
39 20030915 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
40 20031015 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
41 20031115 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
42 20031215 10,953.000.00 74,845.50 0.00 74,845.50 8.2000 100
43 20040115 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
44 20040215 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
45 20040315 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
46 20040415 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
47 20040515 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
48 20040615 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
49 20040715 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
50 20040815 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
<CAPTION>
Principal Eff.
Prd Date Balance Interest Pmt Total Coupon Percent
--- -------- ------------- --------- -------------- ---------- -------- --------
<S> <C> <C> <C> <C> <C> <C> <C>
51 20040915 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
52 20041015 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
53 20041115 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
54 20041215 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
55 20050115 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
56 20050215 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
57 20050315 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
58 20050415 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
59 20050515 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
60 20050615 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
61 20050715 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
62 20050815 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
63 20050915 10,953,000.00 74,845.50 0.00 74,845.50 8.2000 100
64 20051015 10,953,000.00 74,845.50 559,645.36 634,490.86 8.2000 100
65 20051115 10,393,354.64 71,021.26 603,886.06 674,907.32 8.2000 95
66 20051215 9,789,468.58 66,894.70 592,812.34 659,707.04 8.2000 89
67 20060115 9,196,656.24 62,843.82 581,933.66 644,777.48 8.2000 84
68 20060215 8,614,722.58 58,867.27 571,246.68 630,113.95 8.2000 79
69 20060315 8,043,475.90 54,963.75 560,748.07 615,711.83 8.2000 73
70 20060415 7,482,727.83 51,131.97 550,434.61 601,566.58 8.2000 68
71 20060515 6,932,293.22 47,370.67 540,303.10 587,673.77 8.2000 63
72 20060615 6,391,990.12 43,678.60 530,350.39 574,028.99 8.2000 58
73 20060715 5,861,639.72 40,054.54 469,553.32 509,607.86 8.2000 54
74 20060815 5,392,086.40 36,845.92 461,551.03 498,396.95 8.2000 49
75 20060915 4,930,535.38 33,691.99 453,682.26 487,374.25 8.2000 45
76 20061015 4,476,853.11 30,591.83 445,944.82 476,536.65 8.2000 41
77 20061115 4,030,908.29 27,544.54 438,336.53 465,881.07 8.2000 37
78 20061215 3,592,571.77 24,549.24 430,855.25 455,404.49 8.2000 33
79 20070115 3,161,716.52 21,605.06 423,498.88 445,103.94 8.2000 29
80 20070215 2,738,217.64 18,711.15 416,265.37 434,976.52 8.2000 25
81 20070315 2,321,952.27 15,866.67 409,152.67 425,019.34 8.2000 21
82 20070415 1,912,799.61 13,070.80 402,158.79 415,229.59 8.2000 17
83 20070515 1,510,640.82 10,322.71 395,281.76 405,604.47 8.2000 14
84 20070615 1,115,359.06 7,621.62 388,519.66 396,141.28 8.2000 10
85 20070715 726,839.40 4,966.74 0.00 4,966.74 8.2000 7
86 20070815 726,839.40 4,966.74 0.00 4,966.74 8.2000 7
87 20070915 726,839.40 4,966.74 9,353.12 14,319.85 8.2000 7
88 20071015 717,486.28 4,902.82 29,570.05 34,472.87 8.2000 7
89 20071115 687,916.23 4,700.76 48,370.36 53,071.12 8.2000 6
90 20071215 639,545.88 4,370.23 65,833.56 70,203.79 8.2000 6
91 20080115 573,712.32 3,920.37 82,035.00 85,955.37 8.2000 5
92 20080215 491,677.32 3,359.80 97,046.02 100,405.82 8.2000 4
93 20080315 394,631.29 2,696.65 110,934.23 113,630.87 8.2000 4
94 20080415 283,697.07 1,938.60 123,763.61 125,702.21 8.2000 3
95 20080515 159,933.45 1,092.88 135,594.80 136,687.68 8.2000 1
96 20080615 24,338.65 166.31 24,338.65 24,504.97 8.2000 0
--- -------- ------------- ------------- -------------- ---------- -------- --------
5,569,408.75 10,953,000.00 16,522,408.75
------------- ------------- -------------
</TABLE>
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or the underlying assets, the
information contained in the Offering Document).
<PAGE>
Lehman Brothers
DELTA SENIOR SUB BBB- WITH IO
Discount Margin Table
Bond Class: A-1A Initial Coupon: 6.951
Current Balance: $650,000,000.00
(1m LIBOR)+30bp
<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------------------------------
5 CPR 10 CPR 20 CPR 30 CPR
-----------------------------------------------------------------------------------------------------------------------------------
Price DM Duration DM Duration DM Duration DM
-----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>> <C>
99.7656 0.338 6.07 0.352 4.36 0.386 2.65 0.428
99.7812 0.335 0.349 0.380 0.420
99.7969 0.333 0.345 0.375 0.411
99.8125 0.330 0.342 0.369 0.403
99.8281 0.328 0.338 0.363 0.394
99.8438 0.325 6.07 0.335 4.36 0.357 2.65 0.386
99.8594 0.323 0.331 0.352 0.377
99.8750 0.320 0.328 0.346 0.368
99.8906 0.317 0.324 0.340 0.360
99.9062 0.315 0.321 0.334 0.351
99.9219 0.312 6.08 0.317 4.36 0.329 2.65 0.343
99.9375 0.310 0.314 0.323 0.334
99.9531 0.307 0.310 0.317 0.326
99.9688 0.305 0.307 0.311 0.317
99.9844 0.302 0.303 0.306 0.309
100.0000 0.300 6.08 0.300 4.37 0.300 2.65 0.300
100.0156 0.298 0.297 0.294 0.292
100.0312 0.295 0.293 0.289 0.283
100.0469 0.293 0.290 0.283 0.274
100.0625 0.290 0.286 0.277 0.266
100.0781 0.288 6.08 0.283 4.37 0.271 2.66 0.257
100.0938 0.285 0.279 0.266 0.249
100.1094 0.283 0.276 0.260 0.240
100.1250 0.280 0.272 0.254 0.232
100.1406 0.278 0.269 0.249 0.223
100.1562 0.275 6.09 0.265 4.37 0.243 2.66 0.215
100.1719 0.273 0.262 0.237 0.206
100.1875 0.270 0.258 0.231 0.198
100.2031 0.268 0.255 0.226 0.189
100.2188 0.265 0.251 0.220 0.181
-----------------------------------------------------------------------------------------------------------------------------------
Average Life 9.946 6.218 3.272
First Pay 07/15/00 07/15/00 07/15/00
Last Pay 05/15/25 01/15/18 02/15/10
Collateral Loss 0.000 0.000 0.000
Agg. Bond Loss 0.000 0.000 0.000
Price to Call Price to Call Price to Call
-----------------------------------------------------------------------------------------------------------------------------------
<CAPTION>
------------------------------------------------------------------------------
40 CPR 50 CPR
------------------------------------------------------------------------------
Price Duration DM Duration DM Duration
------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
99.7656 1.77 0.490 1.20 0.560 0.88
99.7812 0.477 0.543
99.7969 0.465 0.525
99.8125 0.452 0.508
99.8281 0.439 0.490
99.8438 1.78 0.427 1.20 0.473 0.88
99.8594 0.414 0.456
99.8750 0.401 0.438
99.8906 0.389 0.421
99.9062 0.376 0.404
99.9219 1.78 0.363 1.20 0.387 0.88
99.9375 0.351 0.369
99.9531 0.338 0.352
99.9688 0.325 0.335
99.9844 0.313 0.317
100.0000 1.78 0.300 1.20 0.300 0.88
100.0156 0.287 0.283
100.0312 0.275 0.265
100.0469 0.262 0.248
100.0625 0.249 0.231
100.0781 1.78 0.237 1.20 0.214 0.88
100.0938 0.224 0.196
100.1094 0.212 0.179
100.1250 0.199 0.162
100.1406 0.186 0.145
100.1562 1.78 0.174 1.21 0.127 0.88
100.1719 0.161 0.110
100.1875 0.149 0.093
100.2031 0.136 0.076
100.2188 0.123 0.058
-------------------------------------------------------------------------------
Average Life 2.049 1.319 0.939
First Pay 07/15/00 07/15/00 07/15/00
Last Pay 09/15/06 11/15/04 02/15/03
Collateral Loss 0.000 0.000 0.000
Agg. Bond Loss 0.000 0.000 0.000
Price to Call Price to Call Price to Call
-------------------------------------------------------------------------------
</TABLE>
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Treasury Benchmarks EDSF 6/02F 5/03F 8/05F 11/08F 2/07F 5/06F 2/03F 3/02F 8/04F
Yield 7.1800 6.5129 6.4885 6.3806 6.2651 6.3269 6.3742 6.5031 6.5498 6.3918
Coupon 5.8750 6.2500 5.5000 6.5000 4.7500 6.2500 6.8750 5.5000 6.5000 6.0000
</TABLE>
All yields and durations are based on Monthly payments of interest with an
interest free delay of 0 days.
Duration and Average Life are stated in years reflecting a 06/30/00 settlement
date.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on 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 the underlying assets, the
information contained in the Offering Document).
<PAGE>
Lehman Brothers
DELTA SENIOR SUB BBB- WITH IO
Yield Table
Bond Class: NAS IO Fixed Coupon: 7.000
Current Balance: $58,500,000.00
<TABLE>
<CAPTION>
---------------------------------------------------------------------------------------------------------------
25 CPR 56 CPR 57 CPR 58 CPR
---------------------------------------------------------------------------------------------------------------
Yield Price Duration Price Duration Price Duration Price Duration
---------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
6.50 11-05 1.07 11-05 1.07 11-05 1.07 11-04+ 1.07
6.60 11-04+ 11-04+ 11-04+ 11-04
6.70 11-04 11-04 11-04 11-03+
6.80 11-03+ 11-03+ 11-03+ 11-03
6.90 11-03+ 11-03+ 11-03 11-02+
7.00 11-03 1.07 11-03 1.07 11-03 1.06 11-02+ 1.06
7.10 11-02+ 11-02+ 11-02+ 11-02
7.20 11-02 11-02 11-02 11-01+
7.30 11-02 11-02 11-01+ 11-01
7.40 11-01+ 11-01+ 11-01 11-00+
7.50 11-01 1.06 11-01 1.06 11-01 1.06 11-00+ 1.06
7.60 11-00+ 11-00+ 11-00+ 11-00
7.70 11-00 11-00 11-00 10-31+
7.80 11-00 11-00 10-31+ 10-31
7.90 10-31+ 10-31+ 10-31 10-31
8.00 10-31 1.05 10-31 1.05 10-31 1.05 10-30+ 1.05
8.10 10-30+ 10-30+ 10-30+ 10-30
8.20 10-30 10-30 10-30 10-29+
8.30 10-30 10-30 10-29+ 10-29
8.40 10-29+ 10-29+ 10-29+ 10-29
8.50 10-29 1.05 10-29 1.05 10-29 1.05 10-28+ 1.05
8.60 10-28+ 10-28+ 10-28+ 10-28
8.70 10-28+ 10-28+ 10-28 10-27+
8.80 10-28 10-28 10-27+ 10-27+
8.90 10-27+ 10-27+ 10-27+ 10-27
9.00 10-27 1.04 10-27 1.04 10-27 1.04 10-26+ 1.04
9.10 10-27 10-27 10-26+ 10-26
9.20 10-26+ 10-26+ 10-26 10-26
9.30 10-26 10-26 10-26 10-25+
9.40 10-25+ 10-25+ 10-25+ 10-25
---------------------------------------------------------------------------------------------------------------
Average Life 1.757 1.757 1.756 1.754
First Pay 9/15/00 9/15/00 9/15/00 9/15/00
Last Pay 6/15/03 6/15/03 6/15/03 6/15/03
Collateral Loss 0 0 0 0
Agg. Bond Loss 0 0 0 0
Price to Call Price to Call Price to Call Price to Call
---------------------------------------------------------------------------------------------------------------
<CAPTION>
----------------------------------------------------------------------------------------------
60 CPR 65 CPR 70 CPR
----------------------------------------------------------------------------------------------
Yield Price Duration Price Duration Price Duration
----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
6.50 11-02+ 1.06 10-25+ 1.02 10-08 0.96
6.60 11-02 10-25+ 10-07+
6.70 11-02 10-25 10-07+
6.80 11-01+ 10-24+ 10-07
6.90 11-01 10-24+ 10-06+
7.00 11-00+ 1.05 10-24 1.02 10-06+ 0.95
7.10 11-00 10-23+ 10-06
7.20 11-00 10-23 10-06
7.30 10-31+ 10-23 10-05+
7.40 10-31 10-22+ 10-05
7.50 10-30+ 1.05 10-22 1.01 10-05 0.95
7.60 10-30+ 10-21+ 10-04+
7.70 10-30 10-21+ 10-04
7.80 10-29+ 10-21 10-04
7.90 10-29 10-20+ 10-03+
8.00 10-28+ 1.04 10-20 1.01 10-03 0.94
8.10 10-28+ 10-20 10-03
8.20 10-28 10-19+ 10-02+
8.30 10-27+ 10-19 10-02
8.40 10-27 10-19 10-02
8.50 10-27 1.04 10-18+ 1.00 10-01+ 0.94
8.60 10-26+ 10-18 10-01
8.70 10-26 10-17+ 10-01
8.80 10-25+ 10-17+ 10-00+
8.90 10-25+ 10-17 10-00+
9.00 10-25 1.03 10-16+ 1.00 10-00 0.93
9.10 10-24+ 10-16+ 9-31+
9.20 10-24 10-16 9-31+
9.30 10-24 10-15+ 9-31
9.40 10-23+ 10-15+ 9-30+
----------------------------------------------------------------------------------------------
Average Life 1.745 1.698 1.606
First Pay 9/15/00 9/15/00 9/15/00
Last Pay 6/15/03 6/15/03 6/15/03
Collateral Loss 0 0 0
Agg. Bond Loss 0 0 0
Price to Call Price to Call Price to Call
----------------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Treasury Benchmarks EDSF 6/02F 5/03F 8/05F 11/08F 2/07F 5/06F 2/03F 3/02F 8/04F
Yield 7.1800 6.5129 6.4885 6.3806 6.2651 6.3269 6.3742 6.5031 6.5498 6.3918
Coupon 5.8750 6.2500 5.5000 6.5000 4.7500 6.2500 6.8750 5.5000 6.5000 6.0000
</TABLE>
All yields and durations are based on Monthly payments of interest with an
interest free delay of 14 days.
Duration and Average Life are stated in years reflecting a 06/30/00 settlement
date.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matters, including, but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on 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 the underlying assets, the
information contained in the Offering Document).
<PAGE>
DELTA HELT 2000-2
GROUP F- CREDIT SCORE DISTRIBUTION
TOTAL
NO. OF CURRENT
FICO LOANS BALANCE %
-------------------------------------------
N/A 61 3,206,293.87 2.05
-------------------------------------------
1 - 559 633 41,100,743.97 26.31
-------------------------------------------
560 - 579 221 16,143,253.57 10.34
-------------------------------------------
580 - 599 228 16,627,346.82 10.65
-------------------------------------------
600 - 619 193 14,860,316.20 9.51
-------------------------------------------
620 - 639 202 15,314,027.29 9.8
-------------------------------------------
640 - 659 185 13,649,742.80 8.74
-------------------------------------------
660 - 679 153 12,747,898.17 8.16
-------------------------------------------
680 - 699 100 8,649,563.53 5.54
-------------------------------------------
700 - 719 65 5,616,712.79 3.6
-------------------------------------------
720 (greater than
or equal to) 108 8,281,930.19 5.3
-------------------------------------------
TOTAL: 2,149 156,197,829.20 100
NZ Min.: 400.00
Max: 800.00
NZWA: 607.82
GROUP A- CREDIT SCORE DISTRIBUTION
TOTAL
NO. OF CURRENT
-------------------------------------------
FICO LOANS BALANCE %
-------------------------------------------
N/A 30 1,603,747.23 3.26
-------------------------------------------
1 - 559 221 18,353,051.43 37.3
-------------------------------------------
560 - 579 72 5,762,213.84 11.71
-------------------------------------------
580 - 599 58 4,820,691.69 9.8
-------------------------------------------
600 - 619 60 5,506,846.39 11.19
-------------------------------------------
620 - 639 53 4,705,948.32 9.56
-------------------------------------------
640 - 659 40 3,129,805.24 6.36
-------------------------------------------
660 - 679 21 2,062,670.75 4.19
-------------------------------------------
680 - 699 14 1,400,548.16 2.85
-------------------------------------------
700 - 719 11 918,621.68 1.87
-------------------------------------------
720 (greater than
or equal to 9 936,272.32 1.9
-------------------------------------------
TOTAL: 589 49,200,417.05 100
-------------------------------------------
NZ Min.: 436.00
Max: 769.00
NZWA: 585.52
