As filed with the Securities and Exchange Commission on July 18, 2001
Registration No. 333-60188
===============================================================================
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
----------------
AMENDMENT NO. 2
FORM S-4
REGISTRATION STATEMENT UNDER THE SECURITIES ACT OF 1933
----------------
DELTA FINANCIAL CORPORATION
(Exact name of registrant as specified in its charter)
DELAWARE 6163 11-3336165
(State of incorporation) (Primary standard industrial (I.R.S. employer classification
identification number) code number)
----------------
1000 Woodbury Road
Woodbury, New York 11797
(516) 364-8500
(Address, including zip code, and telephone number,
including area code, of registrant's principal executive offices)
----------------
DELTA FUNDING RESIDUAL EXCHANGE COMPANY, LLC
(Exact name of registrant as specified in its charter)
DELAWARE 6189 52-2325327
(State of incorporation) (Primary standard industrial (I.R.S. employer classification
identification number) code number)
----------------
1000 Woodbury Road
Woodbury, New York 11797
(516) 364-8500
(Address, including zip code, and telephone number,
including area code, of registrant's principal executive offices)
----------------
DELTA FUNDING RESIDUAL MANAGEMENT, INC.
(Exact name of registrant as specified in its charter)
DELAWARE 6189 52-2325326
(State of incorporation) (Primary standard industrial (I.R.S. employer classification
identification number) code number)
----------------
1000 Woodbury Road
Woodbury, New York 11797
(516) 364-8500
(Address, including zip code, and telephone number,
including area code, of registrant's principal executive offices)
----------------
Marc E. Miller, Esq.
Delta Financial Corporation
1000 Woodbury Road
Woodbury, New York 11797
(516) 364-8500
(Name, address, including zip code, and telephone number, including area code,
of agent for service)
----------------
Copy to:
James R. Tanenbaum, Esq.
Anna T. Pinedo, Esq.
Stroock & Stroock & Lavan LLP
180 Maiden Lane
New York, New York 10038
(212) 806-5400
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Approximate date of commencement of proposed sale to the public: As soon as
practicable after the effective date of this registration statement.
If the securities being registered on this form are being offered in
connection with the formation of a holding company, and there is compliance
with General Instruction G, check the following box. [ ]
If the form is filed to register additional securities for an offering
pursuant to Rule 462(b) under the Securities Act of 1933, as amended (the
"Securities Act"), check the following box and list the Securities Act
registration statement number of the earlier effective registration statement
for the same offering. [ ]
If this form is a post-effective amendment filed pursuant to Rule 462(d)
under the Securities Act, check the following box and list the Securities Act
registration statement number of the earlier effective registration statement
for the same offering. [ ]
----------------
THE REGISTRANTS HEREBY AMEND THIS REGISTRATION STATEMENT ON SUCH DATE OR
DATES AS MAY BE NECESSARY TO DELAY ITS EFFECTIVE DATE UNTIL THE REGISTRANTS
SHALL FILE A FURTHER AMENDMENT WHICH SPECIFICALLY STATES THAT THIS
REGISTRATION STATEMENT SHALL THEREAFTER BECOME EFFECTIVE IN ACCORDANCE WITH
SECTION 8(A) OF THE SECURITIES ACT OF 1933, AS AMENDED, OR UNTIL THE
REGISTRATION STATEMENT SHALL BECOME EFFECTIVE ON SUCH DATE AS THE COMMISSION,
ACTING PURSUANT TO SECTION 8(A) MAY DETERMINE.
===============================================================================
SUBJECT TO COMPLETION, JULY , 2001
PROSPECTUS [DELTA LOGO]
DELTA FINANCIAL CORPORATION,
DELTA FUNDING RESIDUAL EXCHANGE COMPANY, LLC, AND
DELTA FUNDING RESIDUAL MANAGEMENT, INC.
OFFER TO EXCHANGE DELTA FINANCIAL CORPORATION'S
9 1/2% SENIOR NOTES DUE 2004
AND
9 1/2% SENIOR SECURED NOTES DUE 2004
FOR
SERIES A PREFERRED STOCK OF DELTA FINANCIAL CORPORATION,
CLASS A VOTING MEMBERSHIP INTERESTS IN DELTA FUNDING RESIDUAL
EXCHANGE COMPANY, LLC, AND COMMON STOCK OF
DELTA FUNDING RESIDUAL MANAGEMENT, INC.
--------------------
THIS EXCHANGE OFFER WILL EXPIRE AT 5:00 P.M., NEW YORK CITY TIME,
ON AUGUST 20, 2001
--------------------
We are offering the holders of our 9 1/2% Senior Notes due 2004 and the
holders of our 9 1/2% Senior Secured Notes due 2004 an opportunity to exchange
their notes for:
o shares of our newly issued preferred stock;
o newly issued voting membership interests of Delta Funding Residual
Exchange Company, LLC, a recently organized Delaware limited liability
company; and
o shares of newly issued common stock of Delta Funding Residual Management,
Inc., a recently created Delaware corporation.
We will not pay noteholders any cash in connection with exchanging their
notes.
Delta Funding Residual Exchange Company, LLC's only assets will be comprised
of mortgage-related securities that we or our affiliates currently hold. If
you exchange your notes, you will no longer receive regular interest payments
or a return of your principal. Instead, if you exchange your notes,
o as a holder of shares of our preferred stock, you will receive dividends,
only if declared and paid by our board of directors, beginning in July
2003;
o as a holder of membership interests of Delta Funding Residual Exchange
Company, LLC, you will receive cash payments, if any, produced by the
mortgage-related securities held by Delta Funding Residual Exchange
Company, LLC after Delta Funding Residual Exchange Company, LLC makes
required payments of fees, expenses and taxes as well as preferential
returns to us; and
o as a holder of shares of common stock of Delta Funding Residual
Management, Inc., you will receive an ownership interest in the managing
member of Delta Funding Residual Exchange Company, LLC.
In connection with exchanging your notes, we urge you to read this document
in its entirety, including the section describing risks relating to the
exchange offer, our business, Delta Funding Residual Exchange Company LLC, and
Delta Funding Residual Management, Inc. See "Risk Factors" beginning on page
15.
As part of the exchange offer, we also will ask the noteholders to consent
to certain proposed amendments to the indentures which govern the notes. We
describe these proposed amendments under "The Exchange Offer--The Proposed
Amendments" beginning on page 37. If you tender your notes and the exchange
offer is consummated you will not receive the interest payment due to you on
August 1, 2001.
We will keep the exchange offer open until 5:00 p.m., New York City time on
August 20, 2001.
Our offer to exchange your notes is conditioned upon receiving at least 95%
in aggregate principal amount of the outstanding notes for exchange.
We describe the procedure for tendering your notes for exchange under "The
Exchange Offer" beginning on page 37.
NEITHER THE SECURITIES AND EXCHANGE COMMISSION NOR ANY STATE SECURITIES AND
EXCHANGE COMMISSION HAS APPROVED OR DISAPPROVED OF THESE SECURITIES OR PASSED
UPON THE ADEQUACY OR THE ACCURACY OF THIS PROSPECTUS. ANY REPRESENTATION TO
THE CONTRARY IS A CRIMINAL OFFENSE.
The date of this Prospectus is July , 2001.
The information contained in this document is not complete and may be changed.
These securities may not be sold until the registration statement filed with
the Securities and Exchange Commission is effective. This document is not an
offer to sell these securities and it is not soliciting an offer to buy these
securities in any state where the offer or sale is not permitted.
TABLE OF CONTENTS
QUESTIONS AND ANSWERS ABOUT THE EXCHANGE OFFER ........................... 1
PROSPECTUS SUMMARY ....................................................... 4
Structure of the Exchange Offer ......................................... 4
Delta Financial Corporation ............................................. 7
Delta Funding Residual Exchange Company, LLC ............................ 8
Delta Funding Residual Management, Inc. ................................. 10
Risk Factors ............................................................ 10
DELTA FINANCIAL CORPORATION SUMMARY HISTORICAL FINANCIAL DATA ............ 11
SUMMARY PRO FORMA FINANCIAL DATA FOR DELTA FUNDING RESIDUAL EXCHANGE
COMPANY, LLC............................................................ 12
SUMMARY PRO FORMA FINANCIAL DATA FOR DELTA FUNDING RESIDUAL
MANAGEMENT, INC......................................................... 14
RISK FACTORS ............................................................. 15
Risks Associated with the Exchange Offer ................................ 15
Risks Affecting Us and Our Business ..................................... 17
Risks Associated with Delta Funding Residual Exchange Company, LLC ...... 25
Risks Associated with the Underlying Mortgage-Related Securities ........ 29
Risks Associated with Delta Funding Residual Management, Inc. ........... 33
USE OF PROCEEDS .......................................................... 34
DELTA FINANCIAL CORPORATION CAPITALIZATION ............................... 35
DELTA SELECTED HISTORICAL FINANCIAL DATA ................................. 36
THE EXCHANGE OFFER ....................................................... 37
Terms of the Exchange Offer; Period for Tendering Notes ................. 37
The Proposed Amendments ................................................. 37
Expiration Date; Extensions; Amendments ................................. 38
Release of Legal Claims by Tendering Noteholders ........................ 39
Procedures for Tendering Notes .......................................... 39
Acceptance of Notes for Exchange; Delivery of Shares of our Preferred
Stock, the Membership Interests of Delta Funding Residual Exchange
Company, LLC and the Shares of Common Stock of Delta Funding Residual
Management, Inc. ...................................................... 40
Book-Entry Transfers .................................................... 41
Guaranteed Delivery Procedures .......................................... 41
Withdrawal Rights ....................................................... 42
Conditions to the Exchange Offer ........................................ 42
Exchange Agent .......................................................... 43
Information Agent; Assistance ........................................... 44
Fees and Expenses ....................................................... 44
Transfer Taxes .......................................................... 44
Consequences of Failure to Exchange ..................................... 44
BACKGROUND OF THE EXCHANGE OFFER ......................................... 45
CONSIDERATIONS FOR NOTEHOLDERS WHO ELECT NOT TO PARTICIPATE IN THE
EXCHANGE OFFER.......................................................... 46
Effect of the Proposed Amendments ....................................... 46
Adverse Effects on Trading Market for the Notes ......................... 47
Liquidation Value of the Assets Securing the Senior Secured Notes ....... 47
DELTA FINANCIAL CORPORATION .............................................. 50
DESCRIPTION OF OUR PREFERRED STOCK ....................................... 55
General ................................................................. 55
Rank .................................................................... 56
Dividends ............................................................... 56
Voting Rights--General .................................................. 57
Election of Additional Directors ........................................ 57
Optional Redemption ..................................................... 58
Mandatory Redemption .................................................... 58
Liquidation Rights ...................................................... 58
Amendment ............................................................... 59
Reacquired Shares ....................................................... 59
Preemptive Rights; Sinking Fund ......................................... 59
Restrictions on Transfer ................................................ 59
DESCRIPTION OF DELTA FUNDING RESIDUAL EXCHANGE COMPANY, LLC .............. 60
General ................................................................. 60
Terms of Delta Funding Residual Exchange Company, LLC's Operating
Agreement ............................................................. 60
Assets of Delta Funding Residual Exchange Company, LLC .................. 62
Description of the Underlying Mortgage-Related Securities ............... 63
DESCRIPTION OF DELTA FUNDING RESIDUAL EXCHANGE COMPANY, LLC MEMBERSHIP
INTERESTS............................................................... 77
Restrictions On Transfer ................................................ 77
Withdrawal .............................................................. 78
Voting Rights ........................................................... 78
Rights Upon Liquidation ................................................. 78
DESCRIPTION OF DELTA FUNDING RESIDUAL MANAGEMENT, INC. ................... 79
DESCRIPTION OF DELTA FUNDING RESIDUAL MANAGEMENT, INC. COMMON STOCK ...... 80
Dividends ............................................................... 81
i
Voting Rights ........................................................... 81
Rights Upon Liquidation ................................................. 81
COMPARISON OF RIGHTS OF HOLDERS OF THE NOTES AND OUR PREFERRED STOCK, THE
MEMBERSHIP INTERESTS OF DELTA FUNDING RESIDUAL EXCHANGE COMPANY, LLC AND
THE COMMON STOCK OF DELTA FUNDING RESIDUAL MANAGEMENT, INC.............. 81
FEDERAL AND STATE REGULATORY REQUIREMENTS ................................ 83
ERISA CONSIDERATIONS ..................................................... 83
UNITED STATES FEDERAL INCOME TAX CONSEQUENCES OF THE EXCHANGE OFFER ...... 84
Tax Consequences of the Exchange Offer .................................. 86
Taxation of Holders of Our Preferred Stock .............................. 88
Taxation of Delta Funding Residual Exchange Company, LLC and Holders of
its Interests ......................................................... 89
Taxation of Holders of Shares of Common Stock of Delta Funding Residual
Management, Inc. ...................................................... 93
Tax Consequences to Delta ............................................... 94
Retention of Notes; Adoption of Proposed Amendments ..................... 95
Backup Withholding ...................................................... 95
LEGAL MATTERS ............................................................ 96
EXPERTS .................................................................. 96
WHERE YOU CAN FIND MORE INFORMATION ...................................... 96
INCORPORATION OF DOCUMENTS BY REFERENCE .................................. 97
FORWARD-LOOKING STATEMENTS ............................................... 97
ANNEX A -- THE PROPOSED AMENDMENTS ....................................... A-1
EXHIBITS A through V -- STATEMENT OF CERTIFICATEHOLDERS INFORMATION ...... B
ii
QUESTIONS AND ANSWERS ABOUT THE EXCHANGE OFFER
Q: Why are we proposing the exchange offer?
A: Based on our current estimates, it is unlikely that we will have
sufficient funds to make the interest payments due on the notes in August
2001 and thereafter, and at the same time comply with the restrictive
covenants in our warehouse line of credit, and otherwise operate our
business. If the exchange offer is not consummated, we will not be able
to continue as a going concern.
We would like to continue improving our operating efficiencies and
reducing our negative cashflow from operations. If we are able to
complete the exchange offer, we will no longer have an obligation to make
regular interest payments on the notes. In addition, we will have greater
operating and financial flexibility because we will not be subject to the
covenants in the senior secured notes indenture.
Q: Which noteholders may participate in the exchange offer?
A: Holders of Delta Financial Corporation's 9 1/2% Senior Notes due 2004 and
9 1/2% Senior Secured Notes due 2004 may participate in the exchange
offer.
Q: What will you receive in the exchange offer?
A: For each $1,000 principal amount of notes you tender you will receive:
o one share of our preferred stock;
o one voting membership interest of Delta Funding Residual Exchange
Company, LLC; and
o one share of common stock of Delta Funding Residual Management, Inc.
You will not receive any cash.
Q: If the exchange offer is consummated but you did not tender your notes,
how will your rights be affected?
A: Non-tendering holders of the senior secured notes no longer will have
collateral securing their notes and no longer will be protected by the
restrictive covenants in the senior secured notes indenture.
Q: What is Delta Funding Residual Exchange Company, LLC?
A: Delta Funding Residual Exchange Company, LLC, is a Delaware limited
liability company that we organized to facilitate completion of this
exchange offer. Delta Funding Residual Exchange Company, LLC will not
conduct any business or operations; it will exist solely to hold
mortgage-related securities primarily for the benefit of the noteholders.
Q: What are the assets of Delta Funding Residual Exchange Company, LLC?
A: Delta Funding Residual Exchange Company, LLC will hold mortgage-related
securities, which currently are held by us or by our affiliates. These
mortgage-related securities currently serve as the collateral securing
our obligations under the senior secured notes. All of these mortgage-
related securities were issued in connection with our securitization
transactions and represent the right to receive payments from
securitization trusts.
We describe the securities in more detail beginning on page 62 under the
section "Description of Delta Funding Residual Exchange Company, LLC--
Assets of Delta Funding Residual Exchange Company, LLC."
Q: What is Delta Funding Residual Management, Inc.?
A: Delta Funding Residual Management, Inc. is a Delaware corporation and a
wholly owned subsidiary of Delta Funding Residual Exchange Company, LLC.
We organized it to facilitate the exchange offer and manage the assets
held by Delta Funding Residual Exchange Company, LLC upon completion of
the exchange offer. Delta Funding Residual Management, Inc. will not
conduct any business or operations other than those associated with its
management of Delta Funding Residual Exchange Company, LLC.
Q: What are the assets of Delta Funding Residual Management, Inc.?
A: Delta Funding Residual Management, Inc. will not have substantial assets.
It will have minimal capitalization and it will hold a non-voting
membership interest in Delta Funding Residual Exchange Company, LLC.
Q: What payments do you currently have a right to receive as a holder of the
notes?
A: The notes entitle you to receive regular interest payments from us and to
receive, at maturity, the return of your principal. However, we may not
have the cash required to continue to make regular interest payments on
the notes. If we are unable to make the required interest payments on the
notes, we will have defaulted on our obligations under the indentures
governing the notes. The noteholders may declare the entire amount then
due on the notes immediately payable. The holders of the senior secured
notes would then have their right to payment satisfied by looking to the
collateral securing our obligations to them under the senior secured
1
notes. The senior secured notes are secured indirectly by pledges of
mortgage-related securities which had an approximate value of $152.8
million as of March 31, 2001.
Q: What payments would you receive following the exchange offer as a holder
of shares of our preferred stock, the LLC interests, and shares of the
common stock?
A: If you tender your notes and the exchange offer is consummated, you will
not receive regular payments of interest and you may not receive a return
of your principal. You will not receive the interest payment due to you
on August 1, 2001.
As a holder of our preferred stock, beginning in July 2003, you will
receive dividend payments if, and only if, declared by our board of
directors out of funds which are legally available for this purpose. The
preferred stock will not be convertible into shares of our capital stock.
We describe the terms of our preferred stock in more detail under the
section titled "Description of Our Preferred Stock" beginning on page 55.
As a holder of membership interests in Delta Funding Residual Exchange
Company, LLC, you will receive quarterly cash distributions only to the
extent that Delta Funding Residual Exchange Company, LLC receives cash
from its mortgage-related securities in an amount that exceeds the fees,
expenses, taxes and preferential return to us that is payable by Delta
Funding Residual Exchange Company, LLC. Delta Funding Residual Exchange
Company LLC's expenses will include paying income tax liabilities arising
in connection with the mortgage-related securities, portions of our
settlement with the New York Department of Banking and between ten and
fifteen percent of the net after tax cashflow of Delta Funding Residual
Exchange Company, LLC to us. Only once all of Delta Funding Residual
Exchange Company, LLC's expenses are paid will Delta Funding Residual
Exchange Company, LLC interest holders receive any payment. We describe
Delta Funding Residual Exchange Company, LLC's membership interests in
more detail under the section titled "Description of Delta Funding
Residual Exchange Company, LLC Membership Interests" beginning on page 77.
As a holder of Delta Funding Residual Management, Inc.'s common stock,
you will receive an ownership interest in the managing member of Delta
Funding Residual Exchange Company, LLC. Delta Funding Residual
Management, Inc. does not intend to make dividend payments. We describe
the terms of this common stock in more detail under the section titled
"Description of Delta Funding Residual Management, Inc. Common Stock"
beginning on page 80.
Q: Will you be able to transfer shares of our preferred stock, the
membership interests, and shares of the common stock?
A: You only will be able to transfer Delta Funding Residual Exchange
Company, LLC's membership interests and shares of Delta Funding Residual
Management, Inc.'s common stock on a corresponding pro rata basis, with
the prior written consent of the managing member of Delta Funding
Residual Exchange Company, LLC to a qualified institutional buyer as
defined under Rule 144A of the Securities Act and the transferee must
agree in writing to be bound by the terms and conditions of Delta Funding
Residual Exchange Company, LLC's operating agreement. The shares of our
preferred stock also will be subject to similar restrictions on transfer.
None of these securities will be listed on a national securities exchange
and we do not expect that a trading market will develop for any of the
securities.
Q: How should you evaluate an investment in the preferred stock, the
membership interests and the shares of common stock?
A: As discussed above, beginning in July 2003, holders of the preferred
stock are entitled to receive dividend payments if and only if, declared
by our board of directors, respectively, out of funds legally available
for this purpose.
As for an investment in the membership interests of Delta Funding
Residual Exchange Company, LLC, we provide information about the
mortgage-related securities which will be held by Delta Funding Residual
Exchange Company, LLC, including our analysis of the projected cashflows
from these securities over the next thirty years, beginning on page 59
under the section titled "Description of Delta Funding Residual Exchange
Company, LLC." Our analysis is based on a number of assumptions
concerning future events. There
can be no assurance that the actual cash flows will approximate the
projected cash flows.
Holders of shares of Delta Funding Residual Management, Inc.'s common
stock will not receive any dividends.
Q: What are the conditions to the exchange offer?
A: We will complete the exchange offer if the holders of at least 95%
aggregate outstanding
2
principal amount of notes tender their notes for exchange. If the holders
of at least 90% aggregate outstanding principal amount of notes tender
their notes for exchange, we will have the option to complete the
exchange offer.
Each noteholder who tenders its notes in the exchange offer also must
consent to several amendments to the indentures which govern the notes.
If you tender your notes and the exchange offer is consummated, you will
not receive the interest payment due to you on August 1, 2001.
By tendering your notes, you also will be deemed to have released and
waived legal claims (except claims arising under federal securities laws)
against Delta and its affiliates. We describe these releases under the
section "The Exchange Offer--Release of Legal Claims by Tendering
Noteholders" on page 39.
Q: What are the proposed amendments?
A: The indenture governing the senior secured notes will be amended to
conform with the terms of this exchange offer. The amendments will remove
all of the collateral currently securing the notes. In addition, the
amendments will remove from the indenture governing the senior secured
notes most of the restrictive covenants that currently limit (for the
benefit of the noteholders) our ability to engage in certain activities,
like incurring additional debt or disposing of our assets. The indenture
governing the senior notes does not contain these restrictive covenants
as a result of amendments made to it in connection with the exchange
offer we completed in December 2000. We describe these amendments in
detail under "The Exchange Offer--The Proposed Amendments" beginning on
page 37.
Q: How do you participate in the exchange offer?
A: To participate in the exchange offer, a noteholder must deliver:
o a consent to the proposed amendments to the indentures;
o a completed letter of transmittal or an agent's message if the notes
are tendered through DTC's Automated Tender Offer Program, or ATOP;
and
o the notes or a notice of guaranteed delivery, unless the notes are
tendered through ATOP.
All of these documents must be delivered to the exchange agent before the
expiration date for the exchange offer. Please see "The Exchange Offer--
Procedures for Tendering Notes" beginning on page 39.
Q: When does the exchange offer expire?
A: The exchange offer will expire at 5:00 p.m., New York City time, on
August 20, 2001.
Q: Can you withdraw your tender of notes?
A: You may withdraw any tendered notes at any time prior to the expiration
time.
Q: Who will pay the fees and expenses associated with the exchange?
A: We will bear all fees and expenses incurred in connection with
consummating the exchange offer. See "The Exchange Offer--Fees and
Expenses" on page 44.
Q: Who can answer my questions concerning the exchange offer?
A: If you have any questions about the exchange offer or how to submit your
letter of transmittal, or if you need additional copies of this
prospectus or of our Annual Report on
Form 10-K/A or our Quarterly Report on Form 10-Q/A, you should contact:
Richard Blass
Executive Vice President and Chief
Financial Officer
Delta Financial Corporation
Telephone: 516-812-8200
e-mail: rblass@deltafinancial.com
You also may contact the exchange agent or the information agent. U.S.
Bank Trust National Association is the exchange agent. Its address is 180
East Fifth Street, 4th Floor, St. Paul, Minnesota, 55101 Attention:
Default Processing. Its toll-free number is 1-800-934-6802.
D.F. King & Co., Inc. is the information agent. Its address is D.F. King
& Co., Inc., 77 Water Street, New York, New York 10005. Its toll-free
number is 1-800-488-8095.
We have scheduled the following two conference calls to answer any of
your questions about the exchange offer and we urge you to participate:
Date: Thursday, July 26, 2001 at 10 a.m. New York City time. Dial-in
number: 1-800-720-5850
Date: Tuesday, July 31, 2001 at 10 a.m. New York City time. Dial-in
number 1-800-720-5830.
If you intend to participate, please contact
either us at the number above, or the information agent, D.F. King, at 1-
800-488-8095 for the password, which you will need in order to join the
conference call.
3
PROSPECTUS SUMMARY
Structure of the Exchange Offer
Below we provide three diagrams which illustrate the structure of the
exchange offer.
The first diagram shows the three principal participants in the exchange
offer: Delta Financial Corporation, Delta Funding Residual Exchange Company,
LLC, and Delta Funding Residual Management, Inc. We describe each of these
entities in more detail under the following sections: "Delta Financial
Corporation" on page 50, "Description of Delta Funding Residual Exchange
Company, LLC" on page 60, and "Description of Delta Funding Residual
Management, Inc." on page 79.
As indicated by the diagram, Delta Funding Residual Exchange Company, LLC
will, upon receipt of the required percentage of senior notes and senior
secured notes tendered in the exchange offer, distribute to the tendering
noteholders shares of the preferred stock of Delta Financial Corporation,
membership interests of Delta Funding Residual Exchange Company, LLC, and
common stock of Delta Funding Residual Management, Inc.
[graphic]
4
As part of the exchange offer, Delta Funding Residual Exchange Company, LLC
will transfer to us up to $50 million aggregate principal amount of the notes
tendered in the exchange offer for cancellation by us. We, in turn, will
transfer mortgage-related securities to Delta Funding Residual Exchange
Company, LLC. The remaining up to $100 million aggregate principal amount of
the tendered notes will remain outstanding and will be held by Delta Funding
Residual Exchange Company, LLC. However, the terms of the remaining tendered
notes held by Delta Funding Residual Exchange Company, LLC will be modified
substantially. Delta Funding Residual NIM Company, LLC, instead of us, will
become the obligor on the notes. The notes will no longer bear regular
interest. In addition, we will transfer a net interest margin owner trust
certificate (a type of mortgage-related security) to Delta Funding Residual
NIM Subsidiary, LLC, a special purpose entity. Delta Funding Residual NIM
Company, LLC, the parent of Delta Funding Residual NIM Subsidiary, LLC and our
affiliate, will hold ninety percent of the membership interests in Delta
Funding Residual NIM Subsidiary, LLC. Delta Funding Residual Exchange Company,
LLC will hold the remaining ten percent of the membership interests in the
Delta Funding Residual NIM Subsidiary, LLC.
The diagram below illustrates these additional transactions that will take
place at the time of the exchange offer.
[graphic]
At the time of the exchange offer, most of the mortgage-related securities
which currently comprise the collateral for the senior secured notes will be
transferred to Delta Funding Residual Exchange Company, LLC. In addition, a
net interest margin owner trust certificate and the related excess cashflow
certificates will be transferred to Delta Funding Residual NIM Subsidiary, LLC
as shown above.
Ninety percent of the membership interests in the Delta Funding Residual NIM
Subsidiary, LLC will be held by the Delta Funding Residual NIM Company, LLC
until such time as the net interest margin security holders are paid in full.
This memberhip interest will be non-voting. Delta Funding Residual Exchange
Company, LLC will loan funds to the Delta Funding Residual NIM Company, LLC
sufficient for it to pay its tax liability arising in connection with the
revenues generated by the excess cashflow certificates underlying the net
interest margin owner trust certificate. Once the net interest margin security
holders are paid in full, the ninety percent of the membership interests in
the Delta Funding Residual NIM Subsidiary, LLC will be transferred to Delta
Funding Residual Exchange Company, LLC by the Delta Funding Residual NIM
Company, LLC in exchange for the Delta Funding Residual NIM Company, LLC's tax
loans being forgiven and the remaining notes held by Delta Funding Residual
Exchange Company, LLC, which Delta Funding Residual NIM Company, LLC will
cancel.
5
We have summarized all of the transactions forming part of the exchange offer
in one diagram as shown below.
[graphic]
We describe the exchange offer in more detail in the section titled "The
Exchange Offer" beginning on page 37.
6
Delta Financial Corporation
We are a Delaware corporation that was organized in August 1996. On October
31, 1996, in connection with our initial public offering, we acquired all of
the outstanding common stock of Delta Funding Corporation, a New York
corporation that had been organized on January 8, 1982, to originate, sell,
service and invest in residential first and second mortgages. On November 1,
1996, we completed our initial public offering of 4,600,000 shares of common
stock, par value $.01 per share.
We are a specialty consumer finance company that has engaged in originating,
acquiring, selling and servicing non-conforming home equity loans through our
subsidiaries since 1982. Throughout our operating history, we have focused on
lending to individuals who generally do not qualify for conforming credit.
Generally, these borrowers do not qualify for conforming credit because they
have imperfect credit histories, including past delinquencies or personal
bankruptcies, or they have difficulty providing income or employment
verification. Our management believes that these borrowers have largely been
dissatisfied by more traditional providers of mortgage credit, which
underwrite loans in accordance with conventional, or conforming, loan
guidelines established by the Federal National Mortgage Association and the
Federal Home Loan Mortgage Corporation. We make loans to these borrowers for
such purposes as debt consolidation, home improvement, refinancing or
education, and these loans are primarily secured by first mortgages on one- to
four-family residential properties.
There are two major components to our business. First, we make mortgage
loans, which is a cash and expense outlay for us, because our cost to
originate a loan exceeds the fees we collect at the time of origination for
that loan. At the time we originate a loan, and prior to the time we sell that
loan, we finance that loan using a warehouse line of credit. Second, we sell
loans, either through securitization or on a whole loan basis, to generate
revenues and cash. We use the proceeds from the sales to repay our warehouse
line of credit and for working capital.
Former Servicing Platform. Historically, we had serviced virtually all of
the mortgage loans we originated. However, in May 2001, we transferred all of
our servicing rights to Ocwen Federal Bank, FSB and, as such, no longer have a
servicing platform. With the disposition of our servicing operations to Ocwen,
we eliminate the cashflow drain associated with making monthly delinquency and
servicing related advances. At the same time, we expect this transfer of
servicing to improve our profitability as we will no longer bear the high
costs of servicing a seasoned portfolio, nor will we incur the additional
capital charges associated with making advances.
Recent Developments. In August 2000, we announced a corporate restructuring
as part of our continuing efforts to improve operating efficiencies and to
address our negative cash flow from operations. Prior to the restructuring, we
had approximately $150 million aggregate principal amount of senior notes
outstanding. As part of this restructuring, we sought and obtained the consent
of the holders of greater than fifty percent of the senior notes to modify a
negative pledge covenant contained in the senior notes indenture, which
previously prevented us from selling or otherwise obtaining financing against
any of our excess cashflow certificates. In consideration for the consent of
the holders of the senior notes, we agreed, in the notes exchange, to offer
the holders of the senior notes the option to exchange their then existing
senior notes for (a) the senior secured notes, and (b) ten-year warrants to
buy approximately 1.6 million shares of our common stock, at an initial
exercise price of $9.10 per share, subject to upward or downward adjustment in
certain circumstances. The senior secured notes have the same coupon, face
amount, and maturity date as the old notes and initially were secured by at
least $165 million of our excess cashflow certificates.
The senior notes exchange was consummated on December 21, 2000, with holders
of greater than $148 million of senior notes tendering their senior notes in
exchange for senior secured notes and warrants. As a result of the notes
exchange, we had outstanding approximately $1.8 million aggregate principal
amount of senior notes, approximately $148.2 million aggregate principal
amount of senior secured notes, and warrants exercisable for approximately
1.6 million shares of our common stock. The warrants will remain outstanding
following this exchange offer.
This exchange offer is being offered to the remaining senior noteholders who
did not participate in the August 2000 transaction and to the existing holders
of the senior secured notes.
7
Management believed that additional steps were necessary to permit us to
continue as a going concern. Management's principal concerns were:
o the cash drain created by its ongoing monthly delinquency and servicing
advance requirements as servicer, or securitization advances;
o the high cost of servicing a seasoned loan portfolio, including the
capital charges associated with making securitization advances;
o our ability to make timely interest payments on the notes and ultimately
repay the $150 million of notes; and
o our ability to effectuate a successful business model given the overhang
of corporate ratings of "Caa2" by Moody's and "CC" by Fitch.
Therefore in the first quarter of 2001, management embarked upon a business
plan aimed at alleviating some of these concerns and issues.
In January 2001, we entered into an agreement with Ocwen to transfer the
servicing of our existing loan portfolio to Ocwen. Ocwen has taken over
servicing responsibilities, including making securitization advances, and in
return Ocwen will earn all servicing related fees. The transfer was completed
on May 2, 2001.
In February 2001, we entered into a letter of intent with the beneficial
holders of over fifty percent of the senior secured notes to restructure, and
ultimately extinguish, the senior secured notes. In March 2001, we obtained
the formal consent of these beneficial holders of the senior secured notes
through a consent solicitation that modified certain provisions of the senior
secured notes indenture to, among other things, allow for the release of two
excess cashflow certificates then securing the senior secured notes. In
consideration for their consent, we have agreed to make this make exchange
offer.
Our principal executive offices are located at 1000 Woodbury Road, Woodbury,
New York 11797, and our telephone number is (516) 364-8500.
Delta Funding Residual Exchange Company, LLC
Delta Funding Residual Exchange Company, LLC is a newly formed Delaware
limited liability company. We formed Delta Funding Residual Exchange Company,
LLC to facilitate the completion of this exchange offer. Delta Funding
Residual Exchange Company, LLC will deliver to the noteholders who exchange
their notes membership interests in Delta Funding Residual Exchange Company,
LLC, shares of our preferred stock and shares of common stock of Delta Funding
Residual Management Inc.
Delta Funding Residual Exchange Company, LLC's Assets. Delta Funding
Residual Exchange Company, LLC's assets will include mortgage-related
securities that are owned by us or by one of our affiliates. These mortgage-
related securities include:
o excess cashflow certificates now held by two special purpose vehicles,
Delta Funding Residual Holding Trust 2000-1 and Delta Funding Residual
Holding Trust 2000-2, both of which are our affiliates, and any assets
generated by the excess cashflow certificates, which will be transferred
to Delta Funding Residual Exchange Company, LLC upon consummation of the
exchange offer;
o a ten percent membership interests in Delta Funding Residual NIM
Subsidiary, LLC, which will be transferred upon consummation of the
exchange offer, constituting all of the outstanding voting membership
interests of Delta Funding Residual NIM Subsidiary, LLC. The remaining
ninety percent of the membership interests in Delta Funding Residual NIM
Subsidiary, LLC, which are non-voting will be transferred to Delta
Funding Residual Exchange Company, LLC at such time as the net interest
margin security holders are paid in full;
o an owner trust certificate representing ownership of Delta Funding Non-
Performing Loan Trust 2000-1, owning certain non-performing loan
receivables, which will be transferred to Delta Funding Residual Exchange
Company, LLC upon consummation of the exchange offer; and
o up to $100 million aggregate principal amount of the notes tendered upon
consummation of the exchange offer, which ultimately will be transferred
to Delta Funding Residual NIM Company, LLC when the net interest margin
securityholders are paid in full.
8
Initially, we will own all of the outstanding membership interests of Delta
Funding Residual Exchange Company, LLC. Upon consummation of the exchange
offer, our voting membership interests in Delta Funding Residual Exchange
Company, LLC will be converted automatically into a non-voting membership
interest. At the same time, we will transfer to Delta Funding Residual
Exchange Company, LLC all of the mortgage-related securities and any cash held
by the Delta Funding Residual Holding Trust 2000-1 and Delta Funding Residual
Holding Trust 2000-2, except for a net interest margin owner trust certificate
and related excess cashflow certficates. This net interest margin certificate
will be transferred to Delta Funding Residual NIM Subsidiary, LLC. Delta
Funding Residual NIM Company, LLC will transfer ten percent of the membership
interests in Delta Funding Residual NIM Subsidiary, LLC to Delta Funding
Residual Exchange Company, LLC upon consummation of the exchange offer.
In addition, upon consummation of the exchange offer, Delta Funding Residual
Exchange Company, LLC will transfer up to $50 million aggregate principal
amount of the notes tendered in the exchange offer to us. We will cancel these
notes. The remaining up to $100 million aggregate principal amount of the
notes tendered will be held by Delta Funding Residual Exchange Company, LLC.
We will enter into an agreement with Delta Funding Residual Exchange Company,
LLC, as holder of the tendered notes, and Delta Funding Residual NIM Company,
LLC waiving our obligations under the indentures governing the notes to pay
interest. This agreement will provide further that Delta Funding Residual NIM
Company, LLC will be the sole obligor on the remaining notes held by Delta
Funding Residual Exchange Company, LLC. The principal payable on the remaining
notes will be limited to the amount, if any, of Delta Funding Residual NIM
Company, LLC's after-tax cash revenue.
In order to permit Delta Funding Residual NIM Company, LLC to pay the tax
liabilities resulting from its subsidiary's ownership of the net interest
margin owner trust certificate, Delta Funding Residual Exchange Company, LLC
will agree to loan Delta Funding Residual NIM Company, LLC sufficient funds to
pay its tax liabilities. When the net interest margin security holders are
paid in full, Delta Funding Residual NIM Company, LLC will transfer its ninety
percent (non-voting) membership interests in Delta Funding Residual NIM
Subisidiary, LLC to the Delta Funding Residual Exchange Company, LLC in
exchange for cancellation of the tax loans and the remaining up to $100
million aggregate principal amount of the notes held by the Delta Funding
Residual Exchange Company, LLC. The notes will be cancelled by Delta Funding
Residual NIM Company, LLC upon their receipt.
Membership Interests. All of the voting membership interests in Delta
Funding Residual Exchange Company, LLC will be held by the noteholders
directly. Delta Funding Residual Management, Inc. will be the managing member
of Delta Funding Residual Exchange Company, LLC and will hold one non-voting
membership interest.
Delta Funding Residual Exchange Company, LLC Distributions. Delta Funding
Residual Exchange Company, LLC will distribute the cash generated by the
mortgage-related securities (after payment of its expenses) in the following
order of priority:
o to Delta Funding Residual Management, Inc. to permit it to pay any
expenses it incurs as our managing member;
o to Delta Funding Residual Management, Inc. to permit it to pay income tax
liabilities related to the mortgage-related securities (all of which
income tax liabilities will be allocated to it for income tax purposes);
o loan to Delta Funding Residual NIM Company, LLC an amount of cash
sufficient to permit it to pay income taxes specifically associated with
the excess cashflow certificates underlying the net interest margin owner
trust certificate until the ninety percent of the membership interest of
Delta Funding Residual NIM Subsidiary, LLC is transferred to Delta
Funding Residual Exchange Company, LLC;
o to us to permit us to pay a portion of our settlement obligations to the
New York State Department of Banking;
o to us fifteen percent of the remaining cash after all of the
distributions made above, except that after three years this distribution
will be reduced to ten percent;
o to us to permit us to pay the balance of our settlement obligations to
the New York State Department of Banking; and
9
o the balance of Delta Funding Residual Exchange Company, LLC's cash will
be distributed to the holders of its voting membership interests, on a
quarterly basis and at the managing member's discretion.
We describe the terms of Delta Funding Residual Exchange Company, LLC's
operating agreement under the section titled "Description of Delta Funding
Residual Exchange Company, LLC" on page 60.
Delta Funding Residual Exchange Company, LLC's principal executive offices
are located at 1000 Woodbury Road, Woodbury, New York 11797, and its telephone
number is (516) 364-8500.
Delta Funding Residual Management, Inc.
Delta Funding Residual Management, Inc. is a newly formed Delaware
corporation organized by Delta Funding Residual Exchange Company, LLC.
Initially, Delta Funding Residual Exchange Company, LLC will hold all the
common stock of Delta Funding Residual Management, Inc., par value $.01 per
share. At the completion of the exchange offer, Delta Funding Residual
Exchange Company, LLC will distribute the shares of common stock of Delta
Funding Residual Management, Inc. to the noteholders.
Delta Funding Residual Management, Inc. will not own any assets and will not
conduct any business and its sole purpose is to serve as Delta Funding
Residual Exchange Company, LLC's managing member. Delta Funding Residual
Management, Inc. will hold a non-voting membership interest in Delta Funding
Residual Exchange Company, LLC. Through their ownership of Delta Funding
Residual Management, Inc.'s common stock, the noteholders will have an
additional indirect non-voting membership interest in Delta Funding Residual
Exchange Company, LLC and will control the managing member of Delta Funding
Residual Exchange Company, LLC.
Delta Funding Residual Management, Inc.'s certificate of incorporation will
limit its purpose and will prevent Delta Funding Residual Management, Inc.
from engaging in various activities including incurring debt outside the
ordinary course of business activity, issuing additional securities and
merging. We describe the capital stock of Delta Funding Residual Management,
Inc. under the section "Description of Delta Funding Residual Management, Inc.
Common Stock" beginning on page 80.
Delta Funding Residual Management, Inc.'s principal executive offices are
located at 1000 Woodbury Road, Woodbury, New York 11797, and its telephone
number is (516) 364-8500.
Risk Factors
The risks relating to the exchange offer include:
o if the exchange offer fails we may not be able to pay interest on the
notes;
o if the exchange offer is consummated, non-tendering holders of the senior
secured notes no longer will have collateral securing the notes and no
longer will receive the protection of restrictive covenants;
o noteholders who tender their notes in the exchange offer will not receive
guaranteed payment amounts. Instead, the holders will receive cash
distributions in respect of their membership interest in Delta Funding
Residual Exchange Company, LLC and, after July 2003, receive dividends on
the preferred stock
o the amount of distributions to be paid by Delta Funding Residual Exchange
Company, LLC will depend on the future cashflows generated by the
mortgage-related securities comprising the assets of Delta Funding
Residual Exchange Company, LLC;
o there is no independent appraisal or valuation of the mortgage-related
securities and these securities are difficult to value; and
o we will require additional financing to operate our business, either
through warehouse financing, securitizations, whole loan sales or the
issuance of additional indebtedness.
See "Risk Factors" beginning on page 15 for a complete discussion of factors
that should be considered by holders of outstanding notes before tendering
their notes in the exchange offer.
10
DELTA FINANCIAL CORPORATION SUMMARY HISTORICAL FINANCIAL DATA
The summary historical financial data for each of the years in the three-
year period ended December 31, 2000, has been derived from our audited
consolidated financial statements. In connection with the exchange offer,
notes held by nonaffiliates may be exchanged for shares of our preferred
stock, membership interests of Delta Funding Residual Exchange Company, LLC
and the shares of common stock of Delta Funding Residual Management, Inc.
The summary historical financial data for the quarters ended March 31, 2000
and 2001 has been derived from our unaudited interim consolidated financial
statements for such periods. Our results for interim periods may not be
indicative of our results for the full year.
You also should read "Management's Discussion and Analysis of Financial
Condition and Results of Operations;" the consolidated financial statements
and related notes; the report of our independent auditors included in our
annual report on Form 10-K/A for the fiscal year ended December 31, 2000; and
our quarterly report on Form 10-Q/A for the quarter ended March 31, 2001,
incorporated by reference into this prospectus.
Year Ended December 31, Three Months Ended March
----------------------- 31,
-------------------------
1998 1999 2000 2000 2001
---- ---- ---- ---- ----
(Dollars in thousands, except for
shares) (unaudited)
Revenues:
Net gain on sale of mortgage loans...................... $ 91,380 $ 78,663 $ 47,550 $ 14,654 $ 5,377
Interest................................................ 12,458 31,041 32,287 10,537 (14,789)
Servicing fees.......................................... 10,464 16,341 14,190 4,066 2,213
Origination fees ....................................... 25,273 28,774 24,944 6,688 4,162
----------- ----------- ----------- ----------- -----------
Total revenues.......................................... 139,575 154,819 118,971 35,945 (3,037)
----------- ----------- ----------- ----------- -----------
Expenses:
Payroll and related costs............................... 56,709 65,116 56,525 15,561 11,324
Interest................................................ 30,019 26,656 30,386 7,803 5,829
General & administrative................................ 34,351 55,318 94,685 9,456 13,090
----------- ----------- ----------- ----------- -----------
Total expenses......................................... 121,079 147,090 181,596 32,820 30,243
----------- ----------- ----------- ----------- -----------
Income (loss) before income tax expense (benefit) and
extraordinary item...................................... 18,496 7,729 (62,625) 3,125 (33,280)
----------- ----------- ----------- ----------- -----------
Provision for income tax expense (benefit) ............... 7,168 3,053 (13,208) 1,299 472
----------- ----------- ----------- ----------- -----------
Net income (loss)......................................... $ 11,328 $ 4,676 $ (49,417) $ 1,826 $ (33,752)
----------- ----------- ----------- ----------- -----------
Per share data:
Earnings (loss) per common share - basic and diluted...... $ 0.74 $ 0.30 $ (3.10) $ 0.11 $ (2.12)
Weighted average number of shares outstanding............. 15,382,161 15,511,214 15,920,869 15,920,869 15,920,869
Selected Balance Sheet Data:
Loans held for sale, net.................................. $ 87,170 $ 89,036 $ 82,698 $ 92,426 $ 101,360
Capitalized mortgage servicing rights..................... 33,490 45,927 -- 45,144 --
Interest-only and residual certificates................... 203,803 224,659 216,907 233,111 196,070
Total assets.............................................. 481,907 556,835 452,697 558,474 437,374
Senior notes, warehouse financing and other borrowings.... 229,660 258,493 238,203 271,565 256,411
Investor payable.......................................... 63,790 82,204 69,489 73,825 73,068
Total liabilities......................................... 344,219 409,694 354,973 409,507 373,402
Stockholders' equity...................................... 137,688 147,141 97,724 148,967 63,972
11
SUMMARY PRO FORMA FINANCIAL DATA FOR DELTA FUNDING
RESIDUAL EXCHANGE COMPANY, LLC
The following table presents our projected pro forma financial data for
Delta Funding Residual Exchange Company, LLC at the time the exchange offer is
consummated.
(Dollars in thousands)
Assets:
Residual certificates ................................. $ 81,317
Non-performing assets ................................. 2,381
Investment in Delta Funding Residual NIM Company, Inc.
(notes) ............................................. 100,000
Investment in Delta Funding Residual Management, Inc. . 2
--------
Total assets......................................... $183,700
========
Liabilities & Membership Interest Liabilities:
Accounts payable ...................................... 2
--------
Total liabilities.................................... $ 2
========
Membership Interest:
Membership interest ................................... $100,000
Donated surplus ....................................... 83,698
--------
Total membership interest............................ 183,698
--------
Total liabilities and membership interest............ $183,700
========
The following table presents our projected pro forma financial data for
Delta Funding Residual Exchange Company, LLC at the time the exchange offer is
consummated and upon the subsequent transfer of ninety percent of the
membership interests in Delta Funding Residual NIM Subsidiary, LLC to Delta
Funding Residual Exchange Company, LLC.
(Dollars in thousands)
Assets:
Residual certificates ................................. $152,799
Non-performing assets ................................. 2,381
--------
Total assets......................................... $155,180
========
Membership Interest:
Membership interest ................................... $150,000
Donated surplus ....................................... 5,180
--------
Total membership interest............................ 155,180
--------
Total liabilities and membership interest............ $155,180
========
Delta Funding Residual Exchange Company, LLC will hold mortgage-related
securities. We have estimated the projected annual cashflows that will be
produced by the mortgage-related securities. Our estimates are based on
assumptions which we believe are reasonable concerning mortgage prepayment
rates on the underlying mortgage loans, default rates on the underlying
mortgage loans, prevailing interest rates and other matters, at March 31,
2001. There can be no assurance that our estimates were accurate or that our
assumptions were reasonable.
We are providing you this information so you can evaluate possible
distributions to be made by Delta Funding Residual Exchange Company, LLC to
the holders of its membership interests. However, the table below does not
take into account
o expenses to be paid by Delta Funding Residual Exchange Company, LLC,
o taxes to be paid by the holders of Delta Funding Residual Exchange
Company, LLC's membership interests,
o distributions to Delta Funding Residual Management, Inc.,
12
o distributions to us, or
o loans to Delta Funding Residual NIM Company, LLC.
We describe the priority of payments to be made by Delta Funding Residual
Exchange Company, LLC under "Description of Delta Funding Residual Exchange
Company, LLC" beginning on page 60. You should read the information we provide
here together with the information concerning Delta Funding Residual Exchange
Company, LLC beginning on page 60.
Actual cashflows may vary significantly from these projections due to a
variety of factors, including changes in interest rates, economic conditions,
servicer defaults, loan losses, prepayments, and delinquency triggers
resulting in changes in the level of cash used by the securitization trust to
prepay the holders of its asset-backed pass-through certificates. See "Assets
of Delta Funding Residual Exchange Company, LLC--Credit Enhancement Structure
of Related Securitization Trusts for Excess Cashflow Certificates."
Projected Gross Excess Cashflows
Cumulative
Present Value of
Annual Gross Cumulative Gross Gross Cashflows by Year
Year Ended Cashflows Cashflows (at beginning of period)
---------- --------- --------- ------------------------
December-01 (1)..................................................... $ 6,031,199 $ 6,031,199 $152,799,000
December-02 (2)..................................................... 34,565,171 40,596,370 155,957,335
December-03......................................................... 38,223,025 78,819,395 141,666,618
December-04......................................................... 35,122,374 113,941,769 121,860,253
December-05......................................................... 31,185,402 145,127,171 102,579,712
December-06......................................................... 26,614,099 171,741,270 84,729,673
December-07......................................................... 22,149,609 193,890,879 69,130,432
December-08......................................................... 17,728,666 211,619,545 55,967,778
December-09......................................................... 13,784,490 225,404,035 45,514,924
December-10......................................................... 10,184,435 235,588,470 37,647,374
December-11......................................................... 8,230,394 243,818,864 32,357,097
December-12......................................................... 6,920,854 250,739,718 28,333,126
December-13......................................................... 5,533,869 256,273,587 25,095,579
December-14......................................................... 4,470,411 260,743,998 22,824,135
December-15......................................................... 3,678,917 264,422,915 21,320,861
December-16......................................................... 3,263,846 267,686,761 20,413,656
December-17......................................................... 3,257,948 270,944,709 19,803,586
December-18......................................................... 2,919,790 273,864,499 19,120,104
December-19......................................................... 3,396,309 277,260,808 18,685,927
December-20......................................................... 6,941,028 284,201,836 17,718,788
December-21......................................................... 6,173,446 290,375,282 13,081,203
December-22......................................................... 4,441,007 294,816,289 8,608,314
December-23......................................................... 3,079,977 297,896,266 5,286,387
December-24......................................................... 1,978,856 299,875,122 2,893,640
December-25......................................................... 1,079,818 300,954,940 1,290,958
December-26......................................................... 335,907 301,290,847 378,964
December-27......................................................... 74,470 301,365,317 92,323
December-28......................................................... 27,218 301,392,535 29,855
December-29......................................................... 6,665 301,399,200 6,518
December-30......................................................... 792 301,399,991 700
- ---------------
(1) Represents excess cashflows from July 1, 2001 to December 31, 2001.
(2) Our estimates assume that the net interest margin securities issued to
investors by the net interest margin securitization trust will be paid off
in 2002. At such time Delta Funding Residual Exchange Company, LLC will
acquire the excess cashflow certificates underlying the net interest margin
owner trust certificate, and the cashflow from such certificates will begin
to be realized by Delta Funding Residual Exchange Company, LLC.
13
These projected excess cashflows, even if received by Delta Funding Residual
Exchange Company, LLC, will first be used by it to pay its expenses and fees
and to make preferential payments to us. It is difficult to estimate the
annual expenses and other amounts which will be paid prior to making any
distribution to the holders of its membership interests. We provide some
estimates under "Description of the Underlying Mortgage-Related Securities--
Projected Excess Cashflows" on page 70.
SUMMARY PRO FORMA FINANCIAL DATA FOR
DELTA FUNDING RESIDUAL MANAGEMENT, INC.
The following table presents our projected pro forma financial data for
Delta Funding Residual Management, Inc. at the time the exchange offer is
consummated. As indicated below, Delta Funding Residual Management, Inc. will
have minimal assets and will limit its future business and operations to
managing Delta Funding Residual Exchange Company, LLC.
(Dollars in thousands)
Assets:
Accounts receivable ................................... $ 2
----
Total assets......................................... $ 2
====
Stockholders' Equity:
Common stock, $.01 par value .......................... $ 2
----
Total stockholders' equity........................... $ 2
====
14
RISK FACTORS
You should consider carefully the following risks and all of the information
set forth in this prospectus before tendering your notes for exchange. Your
agreement to participate in the exchange offer means that you will receive the
following securities: shares of our preferred stock, membership interests in
Delta Funding Residual Exchange Company, LLC and shares of common stock of
Delta Funding Residual Management, Inc. An investment in these securities
involves a high degree of risk.
Risks Associated with the Exchange Offer
If the exchange offer does not take place we will be unable to pay interest
on the notes.
Based on our current estimates, it is unlikely that we will have sufficient
funds to make the interest payments due on the notes in August 2001 and
thereafter, and at the same time comply with certain covenants in our
warehouse line of credit, and otherwise operate our business. If we are unable
to make the interest payment on August 1, 2001, we will be in default under
the indenture governing the senior secured notes, which could result in the
senior secured notes becoming immediately due and payable. In this event, with
insufficient assets available to repay the senior secured notes, holders of
the senior secured notes would have to attempt to realize on their collateral
for repayment. We may be forced to seek, or may be forced into, protection
under Chapter 11 of the United States Bankruptcy Code. The expense of any such
proceeding will reduce the assets available for payment or distribution to our
creditors, including the holders of the notes.
The collateral underlying the senior secured notes may be inadequate to
satisfy the amounts due under the senior secured notes.
Although the secured notes are secured by perfected first priority liens on
the beneficial interests in the trusts that hold the mortgage-related
securities, including excess cashflow certificates and a net interest margin
owner trust certificate, the proceeds from the sale of the collateral,
especially in a forced sale or liquidation scenario, are likely to be
insufficient to satisfy the amounts due under the senior secured notes. The
fair value of these mortgage-related securities is determined based on various
economic factors, including loan types, balances, interest rates, dates of
origination, terms and geographic locations. The market value of the mortgage-
related securities depends on a variety of factors outside of our control,
including interest rates, prepayment rates and economic conditions generally.
We believe that there is no active market for the sale of these mortgage-
related securities. No assurance can be given that these mortgage-related
securities could be sold at their stated value on our balance sheet, if at
all.
If we default on the senior secured notes, the remaining holders of the
senior notes may not receive any payments.
If we default on our obligations to the senior secured noteholders, it is
unlikely that the senior noteholders will receive any additional payments in
respect of their notes. The collateral underlying the senior secured notes is
not likely to be sufficient to repay the senior secured noteholders. It is
unlikely that the senior noteholders will receive any payments unless, and
until, the senior secured noteholders are paid in full.
There will be a limited trading market for senior secured notes that are not
tendered in the exchange offer. The market for the senior notes remaining
outstanding after the exchange will continue to be limited.
The trading market for outstanding senior secured notes not exchanged in the
exchange offer is likely to be significantly more limited than it is at
present. By way of example, following the December 2000 exchange offer, the
trading market for the remaining outstanding senior notes became significantly
more limited. Therefore, if your senior secured notes are not tendered in the
exchange offer, it may become more difficult for you to sell or transfer your
unexchanged senior secured notes.
15
If the exchange offer is consummated, non-tendering holders of senior
secured notes will no longer have any collateral securing their notes nor the
benefits of substantially all of the restrictive covenants in the indenture
governing senior secured.
If the exchange offer is consummated, any senior secured notes that are not
tendered in the exchange offer will no longer have any collateral securing
their notes, nor will they have the benefits of substantially all of the
restrictive covenants in the indenture governing the senior secured notes,
which covenants will be removed from the senior secured notes indenture in
connection with the exchange offer. While we anticipate that we will be
subject to certain restrictive covenants contained in other debt agreements,
holders, if any, who do not tender their senior secured notes will be unable
to enforce those covenants and they will be subject to change without the
consent of the remaining holders of the senior secured notes.
The distribution of shares of our preferred stock, the membership interests
of Delta Funding Residual Exchange Company, LLC, and shares of Delta Funding
Residual Management, Inc.'s common stock in connection with the exchange offer
could be found to be a fraudulent conveyance and could be voided.
Under applicable provisions of federal bankruptcy law or comparable
provisions of state fraudulent conveyance law, if, among other things, we or
any of our subsidiaries, at the time we or such subsidiary transferred or
caused to be transferred the mortgage-related securities, as the case may be,
(1) (a) were or are insolvent or rendered insolvent by reason of such
occurrence, (b) were or are engaged in a business or transaction for which the
assets remaining with us constitutes unreasonably small capital, or (c) were
or are intending to incur debts that would be beyond our ability to pay as
they mature, and (2) we or such subsidiary received or receives less than the
reasonably equivalent value of fair consideration for the transfer of such
assets, the distribution of securities in the exchange offer could be voided,
or claims in respect of the securities issued in the exchange offer (or the
assets underlying such securities) could be eliminated or subordinated to all
of our or such subsidiary's other debts, as the case may be. If such transfers
are voided under Section 550(a) of the Bankruptcy Code, a trustee in
bankruptcy or debtor in possession could seek to recover either the property
transferred or the value of such property from the transferees. In addition,
payments made in connection with, or transfers of mortgage-related securities
to, Delta Funding Residual Exchange Company, LLC could be voided and required
to be returned to the person making such payment, or to a fund for the benefit
of our or such subsidiary's creditors, as the case may be. Moreover, under
applicable provisions of federal bankruptcy law, a security interest granted
by us or any of our subsidiaries may be subject to avoidance by the debtor-in-
possession or a trustee in bankruptcy under Section 547(b) of the Bankruptcy
Code, if the following is established by a preponderance of the evidence:
o the transfer of an interest of the debtor in property, was made while the
debtor was insolvent on or within 90 days prior to the filing of the
debtor's bankruptcy petition or, if the creditor was determined to be an
insider (as defined in Section 101(31) of the Bankruptcy Code) of the
debtor at the time the transfer was made, within one year, prior to the
filing of the debtor's bankruptcy petition;
o to or for the benefit of the creditor;
o for or on account of an antecedent debt owed by the debtor to the
creditor before the transfer was made; and
o which transfer enables the creditor to receive more than it would have
had the transfer not been made and had the debtor's case been
administered under Chapter 7 of the Bankruptcy Code, and the creditor
received distribution on its claim thereunder.
The debtor is presumed to be insolvent on and during the 90 days prior to
filing its bankruptcy petition, pursuant to Section 547(f) of the Bankruptcy
Code.
The measures of insolvency for purposes of the above considerations will
vary depending upon the law applied in any proceeding. Generally, however, we
or a subsidiary would be considered insolvent if (a) the sum of our or its
debts, as the case may be, including contingent liabilities, were greater than
the saleable value of all of our or its, as the case may be, assets at a fair
valuation or if the present saleable value of our or its assets were less than
the amount of our or its probable liability on its existing debts, including
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contingent liabilities, as they become absolute and mature, or (b) we or such
subsidiary could not pay our or its debts as they become due, as the case may
be.
On the basis of our historical financial information, our recent operating
history included in "Management's Discussion and Analysis of Financial
Condition and Results of Operations" in our Annual Report on Form 10-K/A and
other factors, we believe and each of our subsidiaries believes that, after
giving effect to the exchange offer, we and each such subsidiary:
o will not be insolvent, will not have unreasonably small capital for the
businesses in which we are or such subsidiary is engaged and will not
incur debts beyond our or such subsidiary's ability to pay such debts as
they mature, and
o will have sufficient assets to satisfy any probable money judgment
against us or such subsidiary in any pending action. There can be no
assurance, however, as to what standard a court would apply in making
such determinations.
The receipt by Delta Funding Residual Exchange Company, LLC of shares of our
preferred stock and certain mortgage-related assets in exchange for up to $50
million aggregate principal amount of the tendered notes and the concurrent
modification of the terms of the remaining outstanding notes may not be
treated as a reorganization under the Internal Revenue Code and may result in
a greater tax liability for you through your ownership of Delta Funding
Residual Exchange Company, LLC's membership interests.
The exchange by Delta Funding Residual Exchange Company, LLC of up to $50
million aggregate principal amount of the notes for shares of our preferred
stock and various other assets and the concurrent modification of the terms of
the remaining outstanding notes is intended to qualify as a reorganization
within the meaning of Section 368(a) of the Internal Revenue Code of 1986, as
amended. If the exchange offer does so qualify under the Code, Delta Funding
Residual Exchange Company, LLC generally will recognize a capital gain (but
not a loss) in an amount equal to the lesser of (a) the sum of the cash and
the fair market value of the shares of preferred stock, modified notes, and
other assets received pursuant to the exchange offer (other than any cash,
preferred stock, modified notes or other assets that are attributable to
accrued but unpaid interest), less Delta Funding Residual Exchange Company,
LLC's adjusted tax basis in the notes, and (b) the sum of the cash and fair
market value of the modified notes and other assets (other than any cash,
modified notes or other assets that are attributable to accrued but unpaid
interest) received in the exchange. Conversely, if the exchange offer fails to
qualify as a recapitalization, Delta Funding Residual Exchange Company, LLC
generally would be required to recognize capital gain or loss in an amount
equal to the difference between (a) the sum of the cash, the issue price of
the modified notes and the fair market value of the preferred stock and other
assets received in the exchange, and (b) Delta Funding Residual Exchange
Company, LLC's adjusted tax basis in the notes. For a further discussion see
"United States Federal Income Tax Consequences of the Exchange Offer."
However, it is possible that Delta Funding Residual Exchange Company, LLC
might not distribute cash at times or in amounts sufficient to satisfy any
such tax liability.
If you exchange your notes, you may never receive a return of your principal
amount, and the timing of payments you will receive will be difficult to
predict.
As a noteholder you are entitled to receive regular interest payments and
the return of your principal amount. However, if you exchange your notes, you
are not guaranteed the return of your principal amount. The timing of payments
you will receive in the form of limited liability company distributions is
uncertain. Distributions in turn will depend on cashflows received on the
mortgage-backed securities. You will not begin to receive dividend payments on
the shares of our preferred stock until July 2003. We cannot accurately
predict the full amount of payments you will receive nor the timing of any
such payments.
Risks Affecting Us and Our Business
Following the exchange offer, we will be subject only to limited covenant
restrictions contained in our warehouse and other financing facilities.
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Following the exchange offer, there will be no covenants in the indentures
limiting our activities, including the incurrence of additional debt or the
issuance of additional stock, or the activities of our subsidiaries. Rather,
we will be subject only to those covenant restrictions contained in our
warehouse and other financing facilities and the covenants contained in our
newly issued preferred stock, which are generally less encompassing than those
currently contained in the indentures. See "Description of Our Preferred
Stock" beginning on page 55.
As a result, we may incur debt, encumber our assets or engage in any number
of activities currently prohibited by the indentures. The degree to which we
are leveraged following the exchange offer could have important consequences
to you, including:
o we may be more vulnerable to adverse general economic and industry
conditions;
o we may find it more difficult to obtain additional financing for future
working capital, capital expenditures, acquisitions, general corporate
purposes or other purposes; and
o we may have to dedicate a substantial portion of our cashflows from
operations to the payment of principal and interest on indebtedness we
may incur in the future, thereby reducing the funds available for
operations and future business opportunities.
Our ability to grow our business and sustain our growth will depend on our
future operating performance, and our ability to effect additional
securitizations and/or whole loan sales and debt and/or equity financing,
which, to a certain extent, is subject to economic, financial, competitive and
other factors beyond our control. If we are unable to generate sufficient
cashflow to support our operations, we may be required to obtain additional
financing or to issue additional securities, including additional preferred
stock. There can be no assurance that we can obtain any additional financing
on terms reasonably satisfactory to us. The inability to obtain additional
financing could have a material adverse effect on our ability to continue our
business.
Following the exchange offer we may not be able to declare dividends on our
preferred stock or, if declared out of funds legally available therefor, we
may not be able to pay the declared dividends.
Under the terms of the preferred stock, holders will be entitled to receive
dividends at the rate of 10% per annum, payable semi-annually, beginning in
July 2003. There can be no assurance that in July 2003 our business and
financial condition will have improved and that we will have the funds
required to authorize the payment of dividends. Even if the funds were legally
available for the declaration of dividends, there can be no assurance that we
will have the required funds to make such dividends payments when due.
We have operated on a negative cashflow basis in the past and anticipate
that we will continue to do so in the foreseeable future.
We require substantial amounts of cash to fund our loan origination and
securitization activities. In the past, we have operated generally on a
negative cashflow basis. If we can increase loan originations to a sufficient
level so as to bring down our overall cost to originate loans, we believe that
we can generate positive cashflow within approximately twelve months. To do
so, we must generate sufficient cash from (1) securitizing and selling whole
loans, (2) origination fees on newly closed loans, and (3) cashflow from the
excess cashflow certificates we retain in connection with our securitizations.
However, there can be no assurance that we will begin generating positive
cashflow within twelve months or at all.
We must be able to sell loans and obtain adequate credit facilities to
continue to originate loans.
Currently, our primary cash requirements include the funding of:
o loan originations pending their pooling and sale, net of warehouse
financing;
o interest expense on warehouse and other financings;
o fees, expenses, and tax payments incurred in connection with our
securitization program; and
o general ongoing administrative and operating expenses.
Historically, we have utilized various financing facilities, the issuance of
debt, like the senior notes, and an equity financing to offset negative
operating cashflow and support our loan originations, securitizations,
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servicing and general operating expenses. Our primary sources of liquidity
continue to be warehouse, residual and other financing facilities (e.g.,
capital leasing), securitizations of mortgage loans, and, subject to market
conditions, sales of whole loans, proceeds from excess cashflow certificates
and the issuance of debt and equity securities. We also anticipate, subject to
market conditions, utilizing net interest margin securitizations and/or other
financing against our residual assets. If we are not able to obtain financing,
we will not be able to originate new loans and our business and results of
operations will be materially and adversely affected.
If the value of the collateral securing our indebtedness declines, we may be
required to post additional collateral or reduce our borrowings.
We currently have substantial outstanding indebtedness. With respect to our
subsidiaries' existing warehouse debt, if the value of the collateral securing
any such indebtedness were insufficient to repay such indebtedness in full,
the lender may be entitled to seek payment of the shortfall, if any, from us
and our subsidiaries. We may not have the funds necessary to meet such
payments. If we are not able to make such additional payments, we may be
required to reduce our borrowings or reduce our originations. This would have
a material adverse effect on our business and result of operations.
We depend on financing to originate new loans; our failure to obtain and
maintain adequate financing could have a material adverse effect on our
business and results of operations.
We fund substantially all of the loans which we originate and purchase
through borrowings under warehouse financing facilities and through repurchase
agreements. In turn, we repay our borrowings with the proceeds we receive from
selling such loans through securitizations or whole loan sales. We have relied
upon a few lenders to provide the primary credit facilities for our loan
originations and purchases. We currently have one warehouse facility for this
purpose. This warehouse facility is a $200 million credit facility that has a
variable rate of interest and expires on August 31, 2001. There can be no
assurance that we will be able to renew this warehouse facility at its
maturity on terms satisfactory to us or at all. Any failure to renew or obtain
adequate funding under this warehouse financing facility or other financing
arrangements, or any substantial reduction in the size of or increase in the
cost of such facilities, could have a material adverse effect on our business.
To the extent that we are not successful in maintaining adequate financing, we
would not be able to hold a large volume of loans pending securitization and,
therefore, we would have to curtail our loan origination activities or sell
loans either through whole loan sales or in smaller securitizations, which
would have a material adverse effect on our business and results of
operations.
We are required to comply with various operating and financial covenants
included in the financing agreements we described above which are customary
for agreements of their type. The continued availability of funds under these
financing agreements is subject to, among other conditions, our continued
compliance with these covenants. We believe we are in compliance with all such
covenants under these financing agreements, although there can be no assurance
that we will continue to remain in compliance therewith.
If we cannot complete securitizations, or complete them on an attractive
basis, we may not be able to continue our operations.
We rely significantly upon securitizations to generate cash proceeds to
repay our warehouse facilities and to provide funds to originate new loans. In
addition, we rely on our continued ability to sell interest-only certificates
to generate additional cash proceeds. Further, gains on sale of loans
generated by our securitizations represent a significant portion of our
revenues. Several factors affect our ability to complete securitizations,
including
o conditions in the securities markets generally;
o conditions in the asset-backed securities market specifically;
o the credit quality of our portfolio of loans; and
o our ability to obtain credit enhancement.
If we were unable to securitize profitably a sufficient number of loans in a
particular financial reporting period, then our revenue, representing gain on
sale, for such period would decline and could result in lower income or a loss
for such period. In addition, unanticipated delays in closing securitizations
could increase
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our costs associated with financing our mortgage loans during the warehousing
period, including hedging costs. Any impairment of, or delay in, our ability
to complete securitizations would have a material adverse effect on our
business and results of operations.
We have relied on credit enhancements provided by senior/subordinate
structures and by monoline insurance carriers to guarantee certain outstanding
investor certificates in the related trusts to enable us to obtain an AAA/Aaa
rating for such investor certificates. Any substantial reductions in the size
or availability of such insurance policies, or increases in the price charged
by, or increases in the overcollateralization limits required by, the
insurance companies issuing such policies, could impair our ability to
complete a securitization. Similarly, any decrease in investor demand for our
subordinate securities, or increases in the spreads required by such asset-
backed investors, could impair our ability to complete a securitization. There
is no assurance that we will be able to procure insurance policies, or to
attract asset-backed investors to purchase subordinate securities from our
securitization, or to otherwise provide the necessary credit enhancement, at
prices and terms reasonably satisfactory to us. Our failure to satisfy any of
these requirements will impair our ability to complete a securitization.
Potential changes in valuation of excess cashflow certificates will
adversely affect our business and results of operations.
We determine the fair value of our retained excess cashflow certificates
based on various economic factors, including loan types, balances, interest
rates, dates of origination, terms and geographic locations. We also use other
available information applicable to the types of loans we originate and
purchase, such as reports on prepayment rates, interest rates, collateral
value, economic forecasts and historical default and prepayment rates of the
portfolio under review. We estimate the expected cashflow that we will receive
over the life of a portfolio of loans. The expected cashflow constitutes the
excess of the interest rate payable by the obligors of the mortgage loans over
the interest rate paid to the purchasers of the related asset-backed
securities, or the pass-through rate, less applicable recurring fees and
credit losses. We then discount the expected cashflow using a discount rate
that we believe market participants would use for similar financial
instruments. As of December 31, 2000 and March 31, 2001, respectively, our
balance sheet reflected the fair value of excess cashflow certificates of $217
million and $196 million.
Realization of the estimated fair value of these excess cashflow
certificates is subject to the prepayment and loss characteristics of the
underlying loans and to the timing and ultimate realization of the stream of
cashflow associated with such loans. Significant prepayment or loss experience
would impair the future cashflow of the excess cashflow certificates. If
actual experience differs from the assumptions we used to determine the asset
values, future cashflow and earnings could be negatively impacted and we could
be required to write down the value of our excess cashflow certificates. No
assurance can be given that our excess cashflow certificates will not
experience significant prepayments or losses or as to whether, and in what
amounts, we, in the future, may have to write down the value of the excess
cashflow certificates from our securitization transactions. In addition, if
the prevailing interest rate rose, the required discount rate might also rise,
resulting in impairment of the value of the excess cashflow certificates. We
believe that there is no active market for the sale of our excess cashflow
certificates. No assurance can be given that these assets could be sold at
their stated value on our balance sheet, if at all.
We are exposed to contingent risks in respect of all the loans we originate
and purchase.
Although we sell substantially all of the loans that we originate and
purchase on a non-recourse basis, meaning that we generally do not retain the
liabilities associated with the loans, we retain some degree of credit risk on
all loans we originate or purchase. During the period of time that we hold
loans pending sale, we are subject to the business risks associated with
lending, including the risk of borrower default, the risk of foreclosure and
the risk that an increase in interest rates would result in a decline in the
value of loans to potential purchasers. Our securitizations generally require
the use of the excess cashflow distributions related to the excess cashflow
certificates to accelerate the amortization of certificate holders' principal
balances relative to the amortization of the mortgage loans held by the trust
up to certain overcollateralization limits. The resulting
overcollateralization serves as credit enhancement for the related
securitization trust and therefore is available to absorb losses realized on
loans held by such securitization trust. Generally, the form of credit
enhancement agreement entered into in connection with securitization
transactions contains specified
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limits on the delinquency, default and loss rates on the receivables included
in each securitization trust. If, at any measuring date, the delinquency,
default or loss rate with respect to any trust were to exceed the specified
delinquency, default and loss rates, excess cashflow from the securitization
trust, if any, would be used to fund the increased overcollateralization limit
instead of being distributed to us as holders of the excess cashflow
certificate, which would have a material adverse effect on our cashflow.
Lastly, agreements governing whole loan sales and securitizations require the
seller to commit to repurchase or replace loans that do not conform to the
representations and warranties made by the seller at the time of sale.
We also have sold loans and/or pools of loans directly to a network of
commercial banks, savings and loans, insurance companies, pension funds and
accredited investors. We generally sold these pools or individual loans with
recourse whereby we are obligated to repurchase any loan if it defaults and
the related mortgaged property becomes a REO (real estate owned) property.
This obligation is subject to various terms and conditions, including, in some
instances, a time limit. At December 31, 2000, $6.2 million, or 0.2%, of our
$3.3 billion servicing portfolio was subject to be repurchased in the future
should such loans become REO properties. At March 31, 2001, $5.4 million, or
0.2%, of our $3.1 billion servicing portfolio was subject to be repurchased in
the future should such loans become REO properties.
Our business and results of operations may be adversely affected by periods
of economic slowdowns and fluctuating interest rates.
General
Our business and results of operations may be affected adversely by periods
of economic slowdown or recession which may be accompanied by decreased demand
for consumer credit and declining real estate values. In the mortgage
business, any material decline in real estate values reduces the ability of
borrowers to use the equity in their homes to support borrowings and increases
the loan-to-value ratios of loans we previously made, thereby weakening
collateral coverage and increasing the possibility of a loss in the event of
default. Delinquencies, foreclosures and losses generally increase during
economic slowdowns or recessions, however, delinquencies, foreclosures and
losses also have increased during recent periods of economic growth and there
can be no assurance that delinquencies, foreclosures and losses will not
increase in the future during periods of continued economic growth.
Because of our focus on credit-impaired borrowers in the home equity loan
market, the actual rates of delinquencies, foreclosures and losses on such
loans could be higher under adverse economic conditions than delinquencies,
foreclosures and losses currently experienced in the mortgage lending industry
in general. Any sustained period of increased delinquencies, foreclosures,
losses or increased costs could adversely affect our ability to sell, and
could increase the cost of selling, loans through securitization or on a whole
loan basis, which could adversely affect our business and results of
operations.
Interest Rates
Our profitability may be directly affected by the level of, and fluctuation
in, interest rates, which affect our ability to earn a spread between interest
received on our loans and the cost of our borrowings, which are tied to
various United States Treasury maturities, commercial paper rates and LIBOR.
Our profitability is likely to be adversely affected during any period of
unexpected or rapid changes in interest rates.
Rapid changes, either upward or downward, in interest rates may adversely
affect our profits. Any future rise in interest rates may:
o reduce customer demand for our products;
o widen investor spread requirements for securities issued in
securitizations and increase overcollateralization requirements in future
securitizations;
o increase our cost of funds;
o reduce the spread between the rate of interest we receive on loans and
interest rates we must pay under our outstanding credit facilities and
debt securities;
21
o reduce the profit we will realize in securitizations or other sales of
loans; and
o limit our access to borrowings in the capital market.
Gain on sale of loans may be impacted unfavorably if we hold fixed rate
mortgages prior to securitization. A change in interest rates would reduce the
spread between the average coupon rate on fixed rate loans and the weighted
average pass-through rate paid to investors for interests issued in connection
with a securitization. Although the average loan coupon rate is fixed at the
time the loan is originated, the pass-through rate to investors in a
securitization is not fixed until the pricing of the securitization which
occurs just prior to the sale of the loans by Delta to the securitization
trust. Therefore, if the market rates required by investors increase prior to
securitization of the loans, the spread between the average coupon rate on the
loans and the pass-through rate to investors may be reduced or eliminated
which would reduce or eliminate our profit on the sale of the loans. In
addition, an increase in interest rates could increase our financing costs and
reduce spreads on securitized loans which could negatively impact our
liquidity and capital resources by reducing cashflows which would decrease our
profitability. Since a portion of the certificates issued to investors by
securitization trusts are floating rate certificates, the interest rates on
these certificates adjust based on an established index plus a spread. The
fair value of the excess cashflow we will receive from these trusts would be
reduced as a result of any changes in interest rates paid on the floating
certificates.
Prepayment Risk
If loan prepayment rates are higher than anticipated, our profits could be
reduced. A significant decline in market interest rates could increase the
level of loan prepayments, which would decrease the size of the pools of
securitized loans underlying our excess cashflow certificates and the related
projected cashflows to us from those excess cashflow certificates. Higher than
anticipated loan prepayment rates could require us to write down, or reduce,
on our balance sheet the fair value of the related excess cashflow
certificates. This would adversely impact our earnings during that period
which would reduce our profitability.
Loss Risk
A decline in real estate values could reduce mortgage loan originations,
which, in turn, could reduce our revenues.
A decline in the value of the collateral securing mortgage loans in
securitizations could result in an increase in mortgage loan losses on
foreclosure which could reduce our profitability. Declining real estate values
also will increase the loan-to-value ratios of loans we previously made, which
in turn, increases the probability of a loss in the event the borrower
defaults and we have to sell the mortgaged property. In addition,
delinquencies and foreclosures generally increase during economic slowdowns or
recessions. As a result, the market value of the real estate or other
collateral underlying our loans in securitizations may not, at any given time,
be sufficient to satisfy the outstanding principal amount of the loans.
Competitive Risk
Competition from other lenders could adversely affect our profitability. The
lending markets that we compete in are highly competitive. Some competing
lenders have substantially greater resources, greater experience, lower cost
of funds, and a more established market presence than we have. If our
competitors increase their marketing efforts to include our market niche of
borrowers, we may be forced to reduce the rates and fees we currently charge
in order to maintain and expand our market share. Any reduction in our rates
or fees could have an adverse impact on our profitability. Our profitability
and the profitability of other similar lenders may attract additional
competitors into this market.
Geographic Concentration Risk
An economic downturn in the eastern half of the United States could result
in reduced revenues for us. We currently originate loans primarily in the
eastern half of the United States. The concentration of loans in a specific
geographic region subjects us to the risk that a downturn in the economy in
the eastern half of the country would more greatly affect us than if our
lending business were more geographically diversified.
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Our business is subject to extensive regulation; failure to comply with such
regulation may prevent us from operating or subject us to legal proceedings.
Our lending business is subject to extensive government regulation,
supervision and licensing requirements by various state departments of banking
or financial services which may hinder our ability to operate profitably. Our
lending business also is subject to various laws and judicial and
administrative decisions imposing requirements and restrictions on all or part
of our lending activities. We also are subject to examinations by state
departments of banking or financial services in each of the states where we
are licensed with respect to originating, processing, underwriting, selling
and servicing home equity loans. We also are subject to Federal Reserve Board
regulations related to residential mortgage lending and servicing and the
Department of Housing and Urban Development regulation and reporting
requirements. Failure to comply with these requirements can lead to, among
other remedies, termination or suspension of our licenses, rights of
rescission for mortgage loans, class action lawsuits and administrative
enforcement actions.
Federal, state and local government agencies and/or legislators have
recently begun to consider, and in some instances have adopted, legislation to
restrict lenders' ability to charge rates and fees in connection with subprime
residential mortgage loans and loans to borrowers with problem credit
histories. This legislation also imposes various loan term restrictions, e.g.,
limits on balloon loan features. Frequently referred to generally as
"predatory lending" legislation, such legislation may limit our ability to
impose certain fees, charge certain interest rates on certain consumer loans
and may impose additional regulatory restrictions on our business.
Although we believe that we have implemented systems and procedures to
facilitate compliance with these requirements, more restrictive laws, rules
and regulations may be adopted in the future that could make compliance more
difficult or expensive and hinder our ability to operate profitably.
The Truth in Lending Act and Regulation Z contain disclosure requirements
designed to provide consumers with uniform, understandable information about
the terms and conditions of loans and credit transactions so that consumers
may compare credit terms. The Truth in Lending Act also guarantees consumers a
three-day right to cancel transactions described in the act and imposes
specific loan feature restrictions on some loans including the same type
originated by us. We believe that we are in compliance with the Truth in
Lending Act in all material respects. If we were found not to be in compliance
with the Truth in Lending Act, some aggrieved borrowers could have the right
to rescind their loans and/or to demand, among other things, the return of
finance charges and fees paid at loan origination. Other fines and penalties
also can be imposed under the Truth in Lending Act and Regulation Z.
We also are subject to the Real Estate Settlement Procedures Act and
Regulation X. These laws and regulations, which are administered by the
Department of Housing and Urban Development, impose limits on the amount of
funds a borrower can be required to deposit with us in any escrow account for
the payment of taxes, insurance premiums or other charges; limits the fees
which may be paid to third parties; and imposes various disclosure
requirements. We are subject to various other federal and state laws, rules
and regulations governing the licensing of mortgage lenders and servicers,
procedures that must be followed by mortgage lenders and servicers, and
disclosures that must be made to consumer borrowers. Failure to comply with
these laws, as well as with the laws described above, may result in civil and
criminal liability.
We currently are, and in the future may be, subject to various settlement
agreements that may have a material adverse effect on our financial condition.
The subprime mortgage market in which we operate has been the subject of
significant scrutiny by various federal and state governmental agencies and
legislators. Our lending practices, in particular, have been the subject of
investigations by the New York State Banking Department, the Office of the
Attorney General of the State of New York and the United States Department of
Justice. The investigations centered on our compliance with various federal
and state laws discussed above. We entered into a series of related settlement
agreements with the above regulatory agencies, joined by HUD and the Federal
Trade Commission, which provided for changes to our lending practices on a
prospective basis, and retrospective relief to certain borrowers.
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The settlement agreements arose from allegations by the New York State
Banking Department and a lawsuit filed by the New York State Office of the
Attorney General, alleging that we had violated various state and federal
lending laws. In September 1999, we settled the claims with the New York State
Banking Department and the New York State Office of the Attorney General. As
part of the settlement, we have implemented certain agreed upon changes to our
lending practices; have provided reduced loan payments aggregating $7.25
million to certain borrowers identified by the New York State Banking
Department; and have created a fund financed by the grant of 525,000 shares of
our common stock. The proceeds of the fund will be used to, among other
things, compensate certain borrowers and for a variety of consumer educational
and counseling programs. The subsidy payments are being made on behalf of
several hundred borrowers who have, to date, been identified by the Banking
Department. The majority of these borrowers are receiving subsidy payments of
$50 per month, with a lesser amount receiving subsidies totaling between $75-
125 per month, for so long as their loans remain outstanding. These subsidy
payments will be paid out of cashflows generated by the assets of Delta
Funding Residual Exchange Company, LLC. In March 2000, we finalized an
agreement with the United States Department of Justice, the Federal Trade
Commission and HUD to complete the global settlement that we had reached with
the New York State Banking Department and New York Office of the Attorney
General. This agreement mandates some additional compliance efforts for us,
but does not require any additional financial commitments from us.
Legal actions are pending against us, which if successful, would have a
material adverse effect on our financial condition.
Because the nature of our business involves the collection of numerous
accounts, the validity of liens and compliance with state and federal lending
laws, we are subject to numerous claims and legal actions in the ordinary
course of its business. Generally, we are subject to claims made against us by
borrowers and investors arising from, among other things:
o losses that are claimed to have been incurred as a result of alleged
breaches of fiduciary obligations, misrepresentation, error and omission
by our employees, officers and agents;
o incomplete documentation; and
o failure to comply with various laws and regulations applicable to our
business.
While it is impossible to estimate with certainty the ultimate legal and
financial liability with respect to claims and actions, an adverse judgment in
a claim or action may have a significant adverse effect on our financial
condition.
We have been named in several lawsuits brought as class actions, alleging
violations of various federal and state consumer protection laws, and have
entered into settlement agreements with various governmental agencies
following investigations of our lending practices. Defending these claims and
any claims asserted in the future may result in significant legal expenses,
which will reduce our revenues, if any. A finding against us may result in the
payment by us of damages which may be material to our business and results of
operations.
We depend on key personnel and the loss of any such key personnel could
disrupt our operations and result in reduced revenues.
The success of our operations depends on the continued employment of our
senior level management. If key members of the senior level management were
for some reason unable to perform their duties or were to leave us for any
reason, we may not be able to find capable replacements which could disrupt
operations and result in reduced revenues.
We are controlled by principal stockholders who have the ability to effect
fundamental corporate changes if they acted in concert.
As of December 31, 2000, our principal stockholders, members of the Miller
family, beneficially own an aggregate of 66% of our outstanding shares of
common stock. Accordingly, such persons, if they were to act in concert, would
have majority control of us with the ability to approve certain fundamental
corporate transactions (including mergers, consolidations and asset sales), to
elect all members of our board of directors
24
and to appoint new management. As long as the Millers are our controlling
stockholders, third parties will not be able to gain control of us through
purchases of common stock not beneficially owned or otherwise controlled by
the Millers. The directors elected by the Millers will have the authority to
effect decisions affecting our capital structure, including the issuance of
additional capital stock, the implementation of stock repurchase programs and
the declaration of dividends.
Risks Associated with Delta Funding Residual Exchange Company, LLC
There is no public market for the membership interests of Delta Funding
Residual Exchange Company, LLC; the membership interests will be subject to
restrictions on transfer; and holders of the membership interests may not be
able to sell their interests.
Under the terms of the Delta Funding Residual Exchange Company, LLC's
operating agreement, the LLC interests may not be sold or transferred except
under limited circumstances. The membership interests of Delta Funding
Residual Exchange Company, LLC will not be transferable except to affiliates
of the noteholders and, subject to the prior written consent of the managing
member of Delta Funding Residual Exchange Company, LLC, to transferees who are
qualified institutional buyers as defined under Rule 144A promulgated under
the Securities Act, who also are qualified purchasers as defined under Section
2(a)(51)(a) of the Investment Company Act, and in each case, in private
transactions exempt from registration under the Securities Act. The membership
interests of Delta Funding Residual Exchange Company, LLC will not be listed
on any securities exchange. Thus, there will be no market for the membership
interests and you will have to bear the risk of ownership for an indefinite
period of time.
The market value of the mortgage-related securities comprising the assets of
Delta Funding Residual Exchange Company, LLC is difficult to ascertain and the
value of these assets may decline over time.
The assets that will be held by Delta Funding Residual Exchange Company, LLC
include:
o the excess cashflow certificates irrevocably transferred from Delta
Residual Holding Trust 2000-1 and Delta Residual Holding Trust 2000-2;
o all of the voting membership interests in Delta Funding Residual NIM
Subsidiary, LLC. The only assets of Delta Funding Residual NIM
Subsidiary, LLC are the net interest margin owner trust certificate and
the related excess cashflow certificates. Once the net interest margin
securityholders are paid in full, all of the outstanding membership
interests of Delta Funding Residual NIM Subsidiary, LLC will be
transferred to Delta Funding Residual Exchange Company, LLC;
o all cash and other property held by Delta Residual Holding Trust 2000-1
and Delta Residual Holding Trust 2000-2 at the time of the consummation
of the exchange offer;
o the owner trust certificate representing ownership in Delta Non-
Performing Loan Trust 2000-1, owning certain non-performing loan
receivables; and
o up to $100 million aggregate principal amount of the notes tendered upon
consummation of the exchange offer, which ultimately will be transferred
to Delta Funding Residual Exchange Company, LLC when the net interest
margin securityholders are paid in full.
We believe that the current market value of the excess cashflow certificates
is approximately $73 million and of the excess cashflow certificates
underlying the net interest margin owner trust certificate is approximately
$79 million; however, this market value calculation is based only on
management estimates. Our estimates may be wrong or inaccurate or based on
incomplete information. The value of these securities generally depends on a
variety of factors which we describe below. There can be no assurance that the
value of these assets will not decline due to economic factors outside of our
and Delta Funding Residual Exchange Company, LLC's control. There is no active
market for the sale of these mortgage-related securities.
25
We have not requested a third-party report or appraisal as to the fair value
of the mortgage-related securities comprising the assets of Delta Funding
Residual Exchange Company, LLC.
We have not requested a third-party report or appraisal as to the fair value
of the mortgage-related securities, so you will not have the benefit of a
third-party valuation in making your investment decision concerning mortgage-
related securities. There is no organized market for the trading of these
mortgage-related securities. An analysis of the fair value of these securities
requires an analysis of the underlying securitizations; an understanding of
the historical performance of the underlying mortgage loan pools; and
knowledge of the factors affecting the valuation of mortgage-related
securities. There are only a limited number of investment banks with the
resources to undertake this analysis. As a result, a report or appraisal is
costly and time-consuming.
Management has not made any determination concerning the fairness of the
transaction.
Management has not made any determination concerning the fairness of the
transaction from a financial point of view. Holders of the notes must make
their own judgment concerning the fairness to them of the transaction.
Management's estimates concerning fair value may prove to be incorrect or
incomplete.
Management regularly estimates the fair value of mortgage-related securities
like those which will comprise the assets of Delta Funding Residual Exchange
Company, LLC. Management's estimates are based on a number of assumptions,
including assumptions concerning:
o prepayment rate speeds;
o loan losses on the underlying mortgage pools;
o interest rates generally;
o industry trends; and
o economic conditions generally.
Management's assumptions may be incorrect or inaccurate. Actual performance
of the underlying mortgage pools may vary from its projected performance. The
performance of the mortgage pools may be affected by circumstances outside of
management's control, like a recession or changing market conditions which
affect interest rates. The value of these assets also depends largely on the
structure of the related securitization transaction. We have described the
assumptions we use to determine the value of these securities under "Summary
Pro Forma Financial Data for Delta Funding Residual Exchange Company, LLC"
starting on page 12.
The amount of distributions made on the membership interests of Delta
Funding Residual Exchange Company, LLC will be extremely sensitive to the rate
and the timing of principal payments and realized losses on the underlying
mortgage-related securities.
The amount of distributions which Delta Funding Residual Exchange Company,
LLC will make to the holders of its membership interests will depend upon the
cashflows received by Delta Funding Residual Exchange Company, LLC from its
mortgage-related securities. In turn, the cashflows produced by the mortgage-
related securities will depend upon the rate and timing of principal payments
and realized losses on the mortgage loans underlying the mortgage-related
securities. The average life of the excess cashflow certificates held by Delta
Funding Residual Exchange Company, LLC and the yields realized on the excess
cashflow certificates will be sensitive to levels of payments, including
prepayments, on the underlying mortgage loans. The yield to maturity on the
excess cashflow certificates may be affected adversely by a higher than
expected rate of principal payments (including prepayments and collections
upon defaults, liquidations and repurchases) and realized losses on the
underlying mortgage loans. The amount of distributions on the excess cashflow
certificates will be affected negatively by a rapid rate of principal payments
and greater than expected realized losses on the related mortgage loans. The
amount of distributions on the excess cashflow certificates will decrease more
significantly as a result of principal payments and realized losses on the
mortgage loans with relatively high rates of interest. In addition,
subordination triggers
26
on the underlying securitization trusts delay and/or reduce the amount of
distributions on the excess cashflow certificates.
The membership interests of Delta Funding Residual Exchange Company, LLC
represent equity interests in Delta Funding Residual Exchange Company, LLC and
are not guaranteed by any other entity nor secured or collateralized by any
assets.
The membership interests of Delta Funding Residual Exchange Company, LLC
represent equity interests in Delta Funding Residual Exchange Company, LLC.
The membership interests do not represent a general corporate obligation of,
nor do they represent an interest in, or any obligation of ours or of any of
our affiliates, or of any other person. The LLC is not required to make any
distributions and it may not have the funds required to make distributions.
The membership interests of Delta Funding Residual Exchange Company, LLC are
subject to restrictions on transfer, limited liquidity, and no secondary
market may exist for them.
The membership interests of Delta Funding Residual Exchange Company, LLC may
be assigned only under the following conditions:
o if the assignee is a qualified institutional buyer as defined under Rule
144A promulgated under the Securities Act who also is a qualified
purchaser as defined under Section 2(a)(51)(a) of the Investment Company
Act;
o if the assignee agrees in writing to be bound by the terms and conditions
of Delta Funding Residual Exchange Company, LLC's operating agreement or
any other document acceptable to the managing member; and
o the holder of the membership interest of Delta Funding Residual Exchange
Company, LLC also assigns or transfers a corresponding pro rata number of
shares of the common stock of Delta Funding Residual Management, Inc.
owned by the holder to the assignee.
Benefit plan investors are subject to special considerations with respect to
their acquisition of the membership interests of Delta Funding Residual
Exchange Company, LLC and the shares of common stock of Delta Funding Residual
Management, Inc. See "ERISA Considerations" on page 83.
There is currently no secondary market for the membership interests of Delta
Funding Residual Exchange Company, LLC. As a result of the foregoing
restrictions on transfer and other factors, it is doubtful that a secondary
market for the membership interests of Delta Funding Residual Exchange
Company, LLC will develop or, if a secondary market does develop with respect
to the membership interests of Delta Funding Residual Exchange Company, LLC,
that it will provide you with liquidity of investment or that it will continue
for the life of the membership interests of Delta Funding Residual Exchange
Company, LLC. If a trading market does not develop, you may be unable to
resell the membership interests of Delta Funding Residual Exchange Company,
LLC for an extended period of time, if at all. Future trading prices for the
membership interests of Delta Funding Residual Exchange Company, LLC will
depend upon many factors including, among others, prevailing interest rates,
payment and loss experience with respect to the underlying mortgage-related
securities, the likelihood of the exercise of the clean-up calls and the
market for similar securities, each of which is subject to various general
economic pressures outside of our control or the control of Delta Funding
Residual Exchange Company, LLC.
Holders of the membership interests of Delta Funding Residual Exchange
Company, LLC will not receive any distributions from Delta Funding Residual
Exchange Company, LLC until Delta Funding Residual Exchange Company, LLC has
made all required payments pursuant to the LLC Agreement.
Delta Funding Residual Exchange Company, LLC will distribute the cash
generated by the mortgage-related securities in the following order of
priority:
o to Delta Funding Residual Management, Inc. to permit it to pay any
expenses it incurs as Delta Funding Residual Exchange Company, LLC's
managing member;
27
o to Delta Funding Residual Management, Inc. to permit it to pay "excess
inclusion" income tax liabilities arising in connection with the
mortgage-related securities (all of which income tax liabilities will be
allocated to it for income tax purposes under Delta Funding Residual
Exchange Company, LLC's operating agreement);
o to Delta Funding Residual NIM Company, LLC, Delta Funding Residual
Exchange Company, LLC will loan an amount of cash sufficient to permit
Delta Funding Residual NIM Company, LLC to pay income taxes arising in
connection with the excess cashflow certificates relating to, and
underlying, the net interest margin owner trust certificate, until ninety
percent of the non-voting membership interests in Delta Funding Residual
NIM Subsidiary, LLC are transferred to Delta Funding Residual Exchange
Company, LLC;
o to us to permit us to pay a portion of our settlement obligations to the
New York State Department of Banking;
o to us fifteen percent of the remaining cash after all of distributions
described above have been made, except that after three years this
distribution amount will be reduced to ten percent;
o to us to permit us to pay the balance of our settlement obligations to
the New York State Department of Banking; and
o to the holders of the voting membership interest of Delta Funding
Residual Exchange Company, LLC, the balance if any, of Delta Funding
Residual Exchange Company, LLC's cash, on a quarterly basis, and at the
managing member's discretion.
Once these distributions are made, Delta Funding Residual Exchange Company,
LLC then will be able to distribute, on a quarterly basis and at the managing
member's discretion, any remaining funds to the holders of its membership
interests. Delta Funding Residual Exchange Company, LLC may not have
sufficient funds to make all of the above distributions or it may not have
funds remaining after making the priority distributions. In either event,
holders of the membership interests of Delta Funding Residual Exchange
Company, LLC will not receive any payments.
Holders of the membership interest of Delta Funding Residual Exchange
Company, LLC may be allocated income that exceeds the amounts of cash they
receive.
Delta Funding Residual NIM Company, LLC will be treated as a partnership for
federal income tax purposes. Accordingly, Delta Funding Residual NIM Company,
LLC will not be subject to federal income tax, rather, each owner of a
membership interest of Delta Funding Residual Exchange Company, LLC will be
required to take into account separately its allocable share of income, gains,
losses, deductions and credits accrued by Delta Funding Residual NIM Company,
LLC, whether or not there is a corresponding cash distribution and whether or
not Delta Funding Residual NIM Company, LLC has received any cash. Thus, cash
basis holders will in effect be required to report their allocable share of
income from Delta Funding Residual NIM Company, LLC on the accrual basis and
thus may become liable for the taxes on their allocable share of limited
liability company income even if they have not received cash from Delta
Funding Residual Exchange Company, LLC to pay the taxes.
If we voluntarily or involuntarily become insolvent or dissolve or the IRS
treats the net interest margin owner trust certificate as acquired by Delta
Funding Residual Exchange Company, LLC upon consummation of the exchange
offer, the noteholders may incur significant tax liabilities relating to the
excess cashflow certificates which underlie the net interest margin owner
trust certificate held by Delta Funding Residual NIM Company, LLC.
This exchange offer is structured so that the Delta Funding Residual NIM
Subsidiary, LLC will own the net interest margin owner trust certificate.
Delta Funding Residual NIM Company, LLC will own ninety percent of the Delta
Funding Residual NIM Subsidiary, LLC until such time as the net interest
margin securityholders are paid in full. Delta Funding Residual Exchange
Company, LLC will own ten percent of Delta Funding Residual NIM Subsidiary,
LLC during this period. Once the net interest margin securityholders are paid
in full the ninety percent ownership interest will be transferred to Delta
Funding Residual Exchange Company, LLC from Delta Funding Residual NIM
Company, LLC. Should we voluntarily or involuntarily
28
become insolvent, the net interest margin owner trust certificate and/or
underlying excess cashflow certificates may be transferred to Delta Funding
Residual Exchange Company, LLC earlier than anticipated. If Delta Funding
Residual Exchange Company, LLC should become the owner of the net interest
margin owner trust certificate prior to such time as the cash revenues on the
excess cashflow certificates relating to and underlying the net interest
margin owner trust certificate exceed the tax liabilities on such
certificates, the holders of the membership interests of Delta Funding
Residual Exchange Company, LLC may incur significant tax liability with
respect to the net interest margin owner trust certificate. Similarly, the
holders of the membership interests of Delta Funding Residual Exchange
Company, LLC may incur significant tax liability if the IRS treats it as
owning the net interest margin certificate upon consummation of the exchange
offer or if the allocation of income regarding the net interest owner trust
certificate is not recognized.
Risks Associated with the Underlying Mortgage-Related Securities
Payments on the underlying mortgage-related securities will be made only
after certain fees and expenses have been paid by each securitization trust.
With respect to each of the securitization trusts, payments of principal and
interest on any of the related mortgage loans will be available to make
payments on the related underlying mortgage-backed certificates only after
payment of related servicing fees, trustee fees and any insurer premiums,
payment of other related specified expenses and reimbursements and payment of
required distributions to holders of all other classes of the related series
of certificates. Consequently, the amount of excess cashflow distributable on
the excess cashflow certificates is extremely sensitive to losses on the
related mortgage loans (and the timing and severity of those losses), because
the entire amount of realized losses will be allocated directly or indirectly
to the related excess cashflow certificates, either by reduction in amounts
otherwise payable on those excess cashflow certificates or by a reduction in
the amount of overcollateralization provided to the related publicly offered
certificates, called the senior certificates, by the related mortgage loans.
Any reduction in the amount of overcollateralization provided to the senior
certificates of any series by the related mortgage loans to a level below the
related required overcollateralization amount will be borne by the related
excess cashflow certificates, because any amounts otherwise available for
distribution on these excess cashflow certificates will be distributed instead
on the related senior certificates to restore the reduced amount of
overcollateralization to the required overcollateralization amount. In
addition, certain securitization trusts include a cross-collateralization
feature in which excess cashflow from one mortgage group is used to cover
shortfalls in available funds from the other mortgage group, including
shortfalls in amounts necessary to create or maintain the
overcollateralization amount for that other mortgage group at the related
required overcollateralization amount.
Excess cashflow certificates absorb all losses suffered by the
securitization trust and are paid out only after payment is made on senior
certificates.
With respect to the excess cashflow certificates relating to each
securitization trust, the order of priority for monthly distribution of all
collected funds, including scheduled payments and unscheduled recoveries on
mortgage loans, plus advances, less servicing fees, trustee fees and any
insurer premiums, in respect of the related mortgage loans generally results
in the following amounts being paid prior to any distributions on those excess
cashflow certificates:
o numerous permitted fees and reimbursements from the related
securitization trust to the trustee thereof and to the related servicer
and to the certificate insurer where applicable; and
o principal, including amounts necessary to meet and maintain the related
required overcollateralization amount, and interest on the related senior
certificates.
Realized losses with respect to the underlying mortgage loans will likely
result in a reduction of the amount of overcollateralization available to the
related senior certificates and accordingly, with respect to the related
excess cashflow certificates, losses on the mortgage loans will be allocated
to the related excess cashflow certificates and will reduce the excess
cashflow to which those excess cashflow certificates might otherwise be
entitled. If the prepayment, default, delinquency and/or loss severity
experience with respect to
29
the mortgage loans is higher than that assumed by investors, you may
experience a lower than anticipated yield or may fail to recoup the value of
the exchanged notes.
Decisions made by the servicer may affect adversely the holders of the
excess cashflow certificates.
Numerous decisions by the servicer, including, but not limited to, decisions
regarding the optional purchase of defaulted mortgage loans and decisions
regarding whether or not certain interest advances or servicing advances are
nonrecoverable, also may affect the availability of cashflow with respect to
the excess cashflow certificates, which are comprised of the excess cashflow
certificates, the net interest margin owner trust certificate and the non-
performing owner trust certificate. In addition, the servicer has the right to
purchase all of the mortgage loans and terminate the related securitization
trust when the principal balance of the mortgage loans falls below a specified
level. Any optional termination also will terminate the related excess
cashflow certificates.
The senior certificates issued and sold by the securitization trusts are
subject to different pass-through rates which may result in amounts
distributable to the excess cashflow certificates being substantially reduced.
Senior certificates issued and sold by the securitization trusts are subject
to a ceiling or cap on their pass-through rates. These pass-through rates
affect both the timing and the likelihood of payment on the excess cashflow
certificates associated with the applicable securitization trusts. The pass-
through rate ceiling applicable to any class of the senior certificates
subject to a ceiling generally is calculated with reference to the weighted
average of the mortgage rates of the related mortgage loans, net of servicing
fees, trustee fees, insurer premiums, if applicable, and interest payable to
the related interest-only classes of senior certificates. Many senior
certificates have pass-through rates based upon the value of one-month London
Interbank Offered Rate, or LIBOR, while the mortgage rates on the related
mortgage loans either do not adjust or are adjustable mortgage loans based on
a different index, subject to periodic adjustments and limitations on
adjustments. Other classes of senior certificates have variable pass-through
rates, and the related mortgage loans have fixed mortgage rates.
In a rising interest rate environment, the pass-through rates on any class
of adjustable rate senior certificates may rise while the mortgage rates of
the related mortgage loans may rise more slowly or not at all. As a
consequence, cashflow resulting from excess interest on the mortgage loans,
and accordingly, amounts distributable to the excess cashflow certificates,
may be substantially reduced. In addition, prepayments, including prepayments
and collections upon defaults, liquidations and repurchases, on mortgage loans
with relatively high mortgage rates, may reduce the pass-through rate ceiling.
If the pass-through rate on any class of senior certificates equals the
applicable pass-through rate ceiling, then none or only a minimal amount of
excess interest will be generated by the portion of the related securitization
trust represented by the class principal balance of that class of senior
certificates.
Classes of senior certificates that are subject to these basis risk
shortfalls will be entitled to recover the amount of any basis risk
shortfalls, with interest, on any distribution date on which related excess
cashflow or other amounts are available to fund a recovery. Any amounts paid
on any distribution date directly or indirectly from excess cashflow to any
class of senior certificates in respect of any basis risk shortfalls will
reduce the excess cashflow amounts that would otherwise be distributable on
the related excess cashflow certificates.
The mortgage pools are subject to overcollateralization requirements which
may limit when distributions will be made on the excess cashflow certificates.
Each of the mortgage pools and, in some cases, each mortgage group, is
subject to an overcollateralization requirement--called the "required
overcollateralization amount". The required overcollateralization amount with
respect to each mortgage pool will be determined for any distribution date as
set forth in the pooling and servicing agreement relating to that
securitization transaction. On each distribution date, no payments will be
made in respect of the related excess cashflow certificates until after the
then-applicable required overcollateralization amount is met.
30
After a specified date for each mortgage pool set forth in the related
pooling and servicing agreement, the required overcollateralization amount
with respect to that mortgage pool may decrease, subject to certain specified
conditions. If at any time certain delinquency and/or loss levels are exceeded
with respect to a mortgage pool, there will be a delay in the reduction of, or
in some cases, an increase in, the related required overcollateralization
amount. You bear the risk that there may be significant periods during which
no or limited distributions will be made on the excess cashflow certificates.
For some securitizations, distributions to the holders of the senior
certificates are insured by an insurer that is given rights and benefits which
may negatively affect your distributions on the excess cashflow certificates.
With respect to the senior certificates relating to some securitization
trusts, distributions to the holders of those senior certificates are insured
by a bond insurer in exchange for which the bond insurer receives a premium to
be paid by the related securitization trust fund on each distribution date.
With respect to those securitization trusts, the insurer is afforded rights
and benefits under the pooling and servicing agreement or other underlying
transaction documents, including the right to exercise powers of the holders
of the senior certificates, the right to terminate or allow to be terminated
the servicer under specified conditions and the right to direct certain of the
actions of the trustee. In addition, the insurer generally will be entitled to
recover any amounts paid for the benefit of the holders of the related senior
certificates under the related insurance policy and any other amounts due the
insurer under the pooling and servicing agreement, together with interest
thereon, from the cashflow of the mortgage loans in either mortgage group
distributed on any distribution date, prior to any cashflow being distributed
on the related excess cashflow certificates.
Excess cashflow certificates are subject to credit risks relating to the
quality of the underlying mortgage loans.
Each mortgage pool relating to the excess cashflow certificates contains
mortgage loans originated by us pursuant to our underwriting standards and
serviced by a servicer under the terms of the related pooling and servicing
agreement. Accordingly, any benefits arising from the diversification of
holdings of the LLC will be limited.
In light of the nature of the excess cashflow certificates and the
complexity of analyzing the credit risks associated with these certificates,
excess cashflow certificates are an appropriate investment only for persons
familiar with subprime mortgage loan performance and asset-backed securities
structures.
Features of the underlying mortgage loans may result in losses or cashflow
shortfalls which will impair the value of the excess cashflow certificates
held by Delta Funding Residual Exchange
Company, LLC.
There are a number of features of the mortgage loans relating to the excess
cashflow certificates which will affect the timing and the realization of the
cashflows associated with those certificates. These characteristics include
the following:
o The borrowers have less than perfect credit and may be more likely to
default. Our underwriting standards are less restrictive than those of
Fannie Mae or Freddie Mac with respect to a borrower's credit history and
other factors. A derogatory credit history or a lack of credit history
will not necessarily prevent us from making a loan but may reduce the
size and the loan-to-value ratio of the loan we will make. As a result of
these less restrictive standards, the securitization trusts may
experience higher rates of delinquencies, defaults and losses than if the
mortgage loans were underwritten in a more traditional manner.
o Balloon loans may have higher rates of default which may cause losses.
Securitization trusts containing balloon loans may suffer higher losses.
A balloon loan has monthly payments that will not fully pay off the loan
balance by the maturity date. As a result, the borrower usually will have
to refinance the balloon loan in order to pay the amount due. The
borrower may not be able to refinance the balloon loan for any number of
reasons, including the level of available mortgage rates, the value of
the property or the borrower's payment or credit history. The
securitization trust will not have any
31
funds to refinance a balloon loan, and we are not obligated to do so. If
the borrower is unable to refinance the balloon loan, the securitization
trust may suffer a loss.
o Defaults on second lien mortgage loans may result in more severe losses.
Securitization trusts containing second lien mortgage loans may suffer
more severe losses. If a borrower on a mortgage loan secured by a second
lien defaults, the trust's rights to proceeds on liquidation of the
related property are subordinate to the rights of the holder of the first
lien on the related property. There may not be enough proceeds to pay
both the holder of the first lien and the second lien, and the
securitization trust would suffer a loss.
o The concentration of mortgage loans in specific geographic areas may
increase the risk of loss. Economic conditions in the states where
borrowers reside may affect the delinquency, loss and foreclosure
experience of the securitization trust with respect to the related
mortgage loans. Certain states may suffer economic problems or reductions
in market values for residential properties that are not experienced in
other states. If there is a geographic concentration of mortgage loans in
those states, these problems may have a greater effect on the mortgage
loans in a securitization trust if borrowers and properties were more
spread out in different geographic areas.
A substantial portion of the mortgage loans in each mortgage pool are
secured by mortgaged properties located in the State of New York. If
areas in New York suffer natural disasters or if the New York residential
real estate market should experience an overall decline in property
values after the mortgage loans are originated, the rates of
delinquencies, foreclosures, bankruptcies and losses on the mortgage
loans may be expected to increase, and may increase substantially.
o Higher loan-to-value mortgage loans may suffer greater risks of loss. A
portion of the mortgage loans in each mortgage pool had a loan-to-value
ratio at origination in excess of 80%. Mortgage loans with higher loan-
to-value ratios may present a greater risk of loss. There can be no
assurance that the loan-to-value ratio of any mortgage loan determined at
any time after origination is less than or equal to its original loan-to-
value ratio.
Payments on the excess cashflow certificates are not fixed.
Unlike standard corporate bonds, the timing and amount of cashflows on the
excess cashflow certificates will depend on the rate and timing of principal
payments on the underlying mortgage loans, including prepayments and
collections upon defaults, liquidations and repurchases, by the rate and
timing of realized losses on the mortgage loans, by adjustments of the pass-
through rates of the related senior certificates and adjustments of the
mortgage rates of the adjustable-rate mortgage loans.
The voting rights under the excess cashflow certificates provide no
effective remedies to the holder of the excess cashflow certificates.
The voting rights evidenced by the excess cashflow certificates are
insufficient to cause or prevent the exercise of any remedies under any
pooling and servicing agreement, including removal of the servicer if it
defaults in its obligations under a pooling and servicing agreement.
Environmental conditions affecting the mortgaged properties may result in
losses.
Real property pledged as security to a lender may be subject to
environmental risks. Under the laws of some states, contamination of a
property may give rise to a lien on the property to assure the costs of clean-
up. In several states, this type of lien has priority over the lien of an
existing mortgage or owner's interest against real property. In addition,
under the laws of some states and under the federal Comprehensive
Environmental Response, Compensation, and Liability Act of 1980, a lender may
be liable, as an owner or operator, for costs of addressing releases or
threatened releases of hazardous substances that require remedy at a property,
if agents or employees of the lender have become sufficiently involved in the
operations of the borrower, regardless of whether or not the environmental
damage or threat was caused by a prior owner. A lender also risks liability on
foreclosure of the mortgaged property.
32
Violations of consumer protection laws may result in losses.
Applicable state laws generally regulate interest rates and other charges
and require specific disclosures. In addition, other state laws, public policy
and general principles of equity relating to the protection of consumers,
unfair and deceptive practices and debt collection practices may apply to the
origination, servicing and collection of the mortgage loans.
The mortgage loans also are subject to federal laws, including:
o the federal Truth in Lending Act and Regulation Z promulgated under the
Truth in Lending Act, which require particular disclosures to the
borrowers regarding the terms of the mortgage loans;
o the Equal Credit Opportunity Act and Regulation B promulgated under the
Equal Credit Opportunity Act, which prohibit discrimination on the basis
of age, race, color, sex, religion, marital status, national origin,
receipt of public assistance or the exercise of any right under the
Consumer Credit Protection Act, in the extension of credit;
o the Real Estate Settlement Procedures Act, which requires, among other
things, particular disclosures to the borrowers regarding lender
servicing and escrow account practices and regulates certain types of
referral fees;
o the Americans with Disabilities Act, which, among other things, prohibits
discrimination on the basis of disability in the full and equal enjoyment
of the goods, services, facilities, privileges, advantages or
accommodations of any place of public accommodation;
o the Fair Housing Act which, among other things, prohibits discrimination
on the basis of race or color, national origin, religion, sex, familial
status or handicap in housing; and
o the Fair Credit Reporting Act, which regulates the use and reporting of
information related to the borrower's credit experience.
The mortgage loans may be subject to the Home Ownership and Equity
Protection Act of 1994 which amended the Truth in Lending Act as it applies to
mortgages subject to the Home Ownership and Equity Protection Act of 1994. The
Home Ownership and Equity Protection Act of 1994 requires additional
disclosures, specifies the timing of these disclosures, and limits or
prohibits inclusion of some provisions in mortgages subject to the Home
Ownership and Equity Protection Act 1994. The Home Ownership and Equity
Protection Act 1994 also provides that any purchaser or assignee of a mortgage
covered by the Home Ownership and Equity Protection Act 1994, including the
securitization trust, is subject to all of the claims and defenses which the
borrower could assert against the original lender. The maximum damages that
may be recovered under the Home Ownership and Equity Protection Act 1994 from
an assignee is the remaining amount of indebtedness plus the total amount paid
by the borrower in connection with the loans. Depending on the provisions of
the applicable law and the specific facts and circumstances involved,
violations of these laws, policies and principles may limit the ability of the
servicer to collect all or part of the principal of or interest on the
mortgage loans, may entitle the borrower to a refund of amounts previously
paid and, in addition, could subject the trust, as owner of the mortgage
loans, to damages and administrative enforcement.
Our lending practices, in particular, have been the subject of
investigations by various regulatory agencies including the New York State
Banking Department, the Office of the Attorney General of the State of New
York, and the United States Department of Justice. The investigations centered
on our compliance with various federal and state laws discussed above. We
entered into a series of related settlement agreements with the above
regulatory agencies, joined by HUD and the Federal Trade Commission, which
provided for changes to our lending practices on a prospective basis, and
retrospective relief to certain borrowers.
Risks Associated with Delta Funding Residual Management, Inc.
Delta Funding Residual Management, Inc. has minimal assets and no
operations.
Delta Funding Residual Management, Inc. was created to effect the exchange
offer and to serve as the managing member of Delta Funding Residual Exchange
Company, LLC. As a result, it has no operating history. It will limit its
future operations to holding a membership interest of Delta Funding Residual
33
Exchange Company, LLC and managing the mortgage-related securities held by
Delta Funding Residual Exchange Company, LLC. Delta Funding Residual
Management, Inc. has minimal assets, and, in the future, we do not expect that
it will have significant assets. Noteholders making an investment decision
concerning Delta Funding Residual Management, Inc. and its common stock may
not have much information on which to base their investment decision.
Delta Funding Residual Management, Inc. does not intend to declare dividends
on its common stock.
Noteholders who exchange their notes will receive shares of common stock of
Delta Funding Residual Management, Inc. in addition to other securities. Delta
Funding Residual Management, Inc. does not intend to declare any dividends
with respect to its common stock. You should not expect to receive any
additional income as a result of your ownership of the common stock of Delta
Funding Residual Management, Inc.
The common stock of Delta Funding Residual Management, Inc. will be subject
to restrictions on transfer.
The common stock of Delta Funding Residual Management, Inc. will not be
listed on any securities market; and we do not expect that there will be any
trading market for the common stock. Generally, the common stock will be
transferable only in connection with a transfer by a holder of a membership
interest of Delta Funding Residual Exchange Company, LLC and, then, only in
the same pro rata proportions as the transferred membership interest. The
common stock of Delta Funding Residual Management, Inc. and the membership
interests of Delta Funding Residual Exchange Company, LLC will be transferable
only to qualified institutional buyers, as such term is defined under the
Securities Act, who also are qualified purchasers as defined under Section
2(a)(51)(a) of the Investment Company Act.
USE OF PROCEEDS
We will not receive any cash proceeds from the exchange offer.
34
DELTA FINANCIAL CORPORATION CAPITALIZATION
The following table sets forth:
o our actual capitalization at March 31, 2001; and
o our pro forma capitalization assuming that the exchange offer had been
completed at March 31, 2001.
The information presented below should be read in conjunction with the
information included under "Delta Selected Historical Financial Data" in this
prospectus and our interim unaudited financial data for the quarter ended
March 31, 2001 incorporated by reference herein from our Quarterly Report on
Form 10-Q/A for the quarter ended March 31, 2001.
Three Months Ended
March 31, 2001
----------------------
Pro Forma
Actual As Adjusted
------ -----------
(Dollars in thousands)
Debt:
Warehouse financing and other borrowings ............. $106,815 $106,815
Bank payable ......................................... 2,696 2,696
Notes due 2004 ....................................... 149,596 --
-------- --------
Total debt ........................................... $259,107 $109,511
-------- --------
Stockholders' equity:
Common stock, $.01 par value: 49,000,000 shares
authorized; 16,000,549 shares outstanding, actual
and pro forma....................................... $ 160 $ 160
Preferred stock, $.01 par value; 1,000,000 shares
authorized; no shares outstanding actual and 150,000
shares outstanding pro forma........................ -- 15,000
Additional paid-in capital ........................... 99,472 99,472
Retained earnings .................................... (34,342) (55,255)
Treasury stock ....................................... (1,318) (1,318)
-------- --------
Total stockholders' equity .......................... 63,972 58,059
-------- --------
Total capitalization............................... $323,079 $167,570
======== ========
35
DELTA FINANCIAL CORPORATION SELECTED HISTORICAL FINANCIAL DATA
The following table presents our selected historical financial data for the
periods indicated. The financial data for the period from the five fiscal
years ended 1996, 1997, 1998, 1999 and 2000 have been derived from our audited
consolidated financial statements for such periods. The financial data for the
quarters ended March 31, 2000 and March 31, 2001 have been derived from our
unaudited interim consolidated financial statements for such periods. Interim
results may not be indicative of results for the full year. The data should be
read in conjunction with our consolidated financial statements, related notes
and other financial information incorporated by reference in this prospectus
from our public filings with the SEC.
(unaudited)
Three Months Ended
Year Ended December 31, March 31,
--------------------------------------------------------------------- -------------------------
1996 1997 1998 1999 2000 2000 2001
---- ---- ---- ---- ---- ---- ----
(Dollars in thousands except per share)
Income Statement Data
Revenues:
Net gain on sale of
mortgage loans............ $ 46,525 $ 85,890 $ 91,380 $ 78,663 $ 47,550 $ 14,654 $ 5,377
Interest................... 16,372 22,341 12,458 31,041 32,287 10,537 (14,789)
Servicing fees............. 5,368 7,511 10,464 16,341 14,190 4,066 2,213
Origination fees........... 5,266 18,108 25,273 28,774 24,944 6,688 4,162
----------- ----------- ----------- ----------- ----------- ----------- -----------
Total revenues............ 73,531 133,850 139,575 154,819 118,971 35,945 (3,037)
----------- ----------- ----------- ----------- ----------- ----------- -----------
Expenses:
Payroll and related costs . 17,633 41,214 56,709 65,116 56,525 15,561 11,324
Interest................... 11,298 19,964 30,019 26,656 30,386 7,803 5,829
General & administrative... 11,112 21,522 34,351 55,318 94,685 9,456 13,090
----------- ----------- ----------- ----------- ----------- ----------- -----------
Total expenses............ 40,043 82,700 121,079 147,090 181,596 32,820 30,243
----------- ----------- ----------- ----------- ----------- ----------- -----------
Income (loss) before income
tax expense (benefit) and
extraordinary item......... 33,488 51,150 18,496 7,729 (62,625) 3,125 (33,280)
Provision for income tax
expense (benefit).......... 9,466 20,739 7,168 3,053 (13,208) 1,299 472
----------- ----------- ----------- ----------- ----------- ----------- -----------
Income (loss) before
extraordinary item......... 24,022 30,411 11,328 4,676 (49,417) 1,826 33,752
Extraordinary item:
Gain on extinguishments of
debt....................... 3,168 -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- ----------- -----------
Net income (loss)............ $ 27,190 $ 30,411 $ 11,328 $ 4,676 $ (49,417) $ 1,826 $ (33,752)
----------- ----------- ----------- ----------- ----------- ----------- -----------
Pro forma information (1)(2):
Provision for pro forma
income tax expense before
extraordinary item......... 14,400 -- -- -- -- -- --
----------- ----------- ----------- ----------- ----------- ----------- -----------
Pro forma income (loss)
before extraordinary item.. $ 19,088 $ 30,411 $ 11,328 $ 4,676 $ (49,417) $ 1,826 $ (33,752)
----------- ----------- ----------- ----------- ----------- ----------- -----------
Per share data(1)(3):
Earnings (loss) per common
share - basic and diluted.. $1.46 $1.98 $0.74 $0.30 $(3.10) $0.11 $(2.12)
Weighted average number of
shares
outstanding................ 13,066,485 15,359,280 15,382,161 15,511,214 15,920,869 15,920,869 15,920,869
Selected Balance Sheet Data:
Loans held for sale, net..... $ 82,411 $ 79,247 $ 87,170 $ 89,036 $ 82,698 $ 92,426 $101,360
Capitalized mortgage
servicing rights........... 11,412 22,862 33,490 45,927 -- 45,144 --
Interest-only and residual
certificates............... 83,073 167,809 203,803 224,659 216,907 233,111 196,070
Total assets................. 231,616 393,232 481,907 556,835 452,697 558,474 437,374
Senior notes, warehouse
financing and other
borrowings................. 95,482 177,540 229,660 258,493 238,203 271,565 256,411
Investor payable............. 20,869 40,852 63,790 82,204 69,489 73,825 73,068
Total liabilities............ 138,098 266,779 344,219 409,694 354,973 409,507 373,402
Stockholders' equity......... 93,518 126,453 137,688 147,141 97,724 148,967 63,972
- ---------------
(1) Figures for December 31, 1997, 1998, 1999 and 2000 are actual; pro forma
presentation for the year 1996.
(2) Prior to October 31, 1996, Delta Funding Corporation (a wholly-owned
subsidiary) was treated as an S corporation for federal and state income
tax purposes. The pro forma presentation reflects a provision for income
taxes as if we have always been a C corporation at an assumed tax rate of
43%.
(3) Pro forma earnings per common share has been computed by dividing pro forma
net income by the sum of (a) 10,653,000 shares of our common stock received
by the former shareholders in exchange for their shares of Delta Funding,
and (b) the effect of the issuance of 1,976,182 shares of our common stock
issued in our initial public offering to generate sufficient cash for
certain S corporation distributions paid to the former shareholders, which
shares are treated as if they had always been outstanding.
36
THE EXCHANGE OFFER
Terms of the Exchange Offer; Period for Tendering Notes
Upon the terms and conditions set forth in this prospectus and in the
accompanying letter of transmittal and consent, we will accept for exchange
notes that are properly tendered on or prior to the expiration date and not
withdrawn.
As of March 31, 2001, $148.2 million aggregate principal amount of senior
secured notes were outstanding and $1.8 million aggregate principal amount of
senior notes were outstanding. We are offering to exchange for each $1,000
principal amount of notes tendered:
o one share of our preferred stock;
o one voting membership interest of Delta Funding Residual Exchange
Company, LLC; and
o one share of common stock of Delta Funding Residual Management, Inc.
This prospectus, together with a letter of transmittal and consent, is being
sent on or about the date hereof to all holders of notes known to us. Your
delivery to us of the letter of transmittal and consent will satisfy the
letter of transmittal and consent delivery requirements for tendering notes
pursuant to this prospectus. Our obligation to accept your notes for exchange
pursuant to the exchange offer is subject to certain conditions we describe
under "Conditions to the Exchange Offer."
Notes tendered in the exchange offer must be in denominations of principal
amount of $1,000 and any integral multiple thereof.
As part of the exchange offer, we are soliciting consents from the holders
of notes to the proposed amendments to the indenture governing the senior
secured notes described below.
The Proposed Amendments
As a part of the exchange offer, we are soliciting consents from the holders
of senior secured notes to the proposed amendments to the indenture governing
those notes and other related documents entered into in connection with the
issuance of the notes. The purpose of the proposed amendments is to amend the
senior secured notes indenture to (1) remove all of the collateral securing
the senior secured notes, (2) to modify or remove restrictive covenants or
agreements which limit our business activities, including removing covenants
which prevent the issuance of liens, encumbrances or debt, the issuance of
additional shares, or other similar matters, and (3) amend other related
documents to permit the consummation of the transactions contemplated in this
prospectus.
To tender your notes for exchange, you must deliver an executed consent to
the proposed amendments.
Holders who tender their notes in the exchange offer will not receive the
interest payment due to them on August 1, 2001.
Senior Secured Notes Indenture. In connection with this exchange offer we
are seeking the consent of senior secured noteholders to certain proposed
amendments to the senior secured indenture.
If they become effective, the proposed amendments would, among other things:
o delete substantially all covenants in the indenture that governs the
senior secured notes relating to our or our subsidiaries' business or
operations;
o delete the covenants in the indenture restricting mergers, consolidations
and sales of all or substantially all of our assets;
o delete certain events of default, other than defaults in payment of
interest and principal;
o delete in their entirety the provisions of the indenture that create for
the benefit of the holders of the senior secured notes a security
interest in the excess cashflow certificates and other assets of ours;
and
o make certain other conforming and related changes to the indenture.
37
The proposed amendments also will release all of the collateral currently
held by the Delta Funding Residual Holding Trust 2000-1 and Delta Funding
Residual Holding Trust 2000-2 securing the senior secured notes. Under the
terms of this exchange offer, all of the mortgage-related securities currently
held by these residual holding trusts, as well as securities of our
subsidiaries, will be transferred out of these trusts. All of the mortgage-
related securities will be transferred to Delta Funding Residual Exchange
Company, LLC upon consummation of the exchange offer, except for a net
interest margin owner trust and the underlying excess cashflow certificates,
which will be transferred at a later date to Delta Funding Residual Exchange
Company, LLC.
Senior Notes Indenture. In connection with our prior exchange offer and
consent solicitation to the holders of the senior notes in August 2000, we
received the consent of the senior noteholders to modify or amend the senior
indenture. As a result, the existing senior indenture contains few operating
restrictions and no further amendments are required.
Any holder who does not participate in the exchange offer pursuant to the
terms and conditions of this prospectus will not be deemed to have granted its
consent to the proposed amendments. Notes that are not validly tendered for
exchange will remain outstanding as our obligations. To be effective, valid
consents to the proposed amendments must be received from holders of at least
95% of the outstanding principal amount of the notes. Consents will not be
counted toward the approval of the proposed amendments unless we are prepared,
subject to the terms and conditions set forth in this prospectus, to accept
the tender of the notes to which such consents relate for exchange or to waive
any defects in such tender. Consents of a holder will not be counted if the
tender of such holder's secured notes does not conform to the requirements set
forth in "Procedures for Tendering Notes" below and the defect is not cured
prior to 5:00 p.m. New York City time, on the Expiration Date, or waived by us
in our sole discretion. Please also see "Considerations for Noteholders who
Elect Not to Participate in the Exchange Offer--Effect of the Proposed
Amendments."
The transfer of notes on our register will not revoke any consent to the
proposed amendments previously given by the holder of such notes. See
"Withdrawal Rights," below. Pursuant to the terms of the exchange offer, the
completion, execution and delivery of a letter of transmittal and consent by a
holder of secured notes in connection with the delivery of notes for exchange
will constitute the delivery of a consent to the proposed amendments.
Under the senior secured notes indenture most terms of the indenture may be
modified with the written consent of a majority of the noteholders. Thus, if
95% of the notes are tendered and accepted for exchange, the restrictive
covenants in the senior secured notes indenture will be removed. However, if
the exchange offer is consummated, senior secured noteholders who do not
tender their notes will still be entitled to principal and interest payments,
because the provisions governing these payments cannot be amended without the
consent of each noteholder affected.
Waivers and Amendments to the Indentures Upon Consummation of the Exchange
Offer. Upon completion of the exchange offer, up to $50 million aggregate
principal amount of tendered notes will be cancelled and the remaining up to
$100 million aggregate principal amount of tendered notes will remain
outstanding and will be held by Delta Funding Residual Exchange Company, LLC.
Delta Funding Residual Exchange Company, LLC will waive our obligations to pay
interest under the notes it holds, and we, with Delta Funding Residual
Exchange Company, LLC's consent, will amend both indentures to:
o provide that the notes will be obligations solely of Delta Funding
Residual NIM Company, LLC rather than our obligations or our
subsidiaries' obligations;
o limit the interest payable on the notes to the amount of cash revenues
generated by the excess cashflow certificates underlying the net interest
margin owner trust certificate in excess of their tax liability; and,
o provide that the notes will mature when the ninety percent membership
interest in Delta Funding Residual NIM Subsidiary, LLC is transferred to
Delta Funding Residual Exchange Company, LLC.
Expiration Date; Extensions; Amendments
The "expiration date" means 5:00 p.m., New York City time, on August 20,
2001.
38
We expressly reserve the right to amend or terminate the exchange offer, and
not to accept for exchange any notes, upon the occurrence of any of the
conditions of the exchange offer specified under "Conditions to the Exchange
Offer." We will give oral or written notice of any extension, amendment, non-
acceptance or termination to the holders of the notes as promptly as
practicable. Such notice, in the case of an extension, will be issued by means
of a press release or other public announcement no later than 10:00 a.m., New
York City time, on the next business day after the previously scheduled
expiration date.
Release of Legal Claims by Tendering Noteholders
By tendering your notes in the exchange offer, you will be deemed to have
released and waived any and all claims or causes of action of any kind
whatsoever (including the right to payment of principal and accrued interest
under the secured notes), whether known or unknown, that, directly or
indirectly, arise out of, are based upon or are in any manner connected with
your or your successors' and assigns' ownership or acquisition of the notes,
including any related transaction, event, circumstance, action, failure to act
or occurrence of any sort or type, whether known or unknown, including without
limitation any approval or acceptance given or denied, which occurred,
existed, was taken, permitted or begun prior to the date of such release, in
each case, that you, your successors and your assigns have or may have had
against (a) us, our subsidiaries, our affiliates and our stockholders, and (b)
directors, officers, employees, attorneys, accountants, advisors, agents and
representatives, in each case whether current or former, of us, our
subsidiaries, or our affiliates. This release of legal claims does not apply
to any rights or claims which may be made under federal securities laws. Any
release of rights under the federal securities laws is void.
Procedures for Tendering Notes
Your tender of notes to us as set forth below and our acceptance of the
tendered notes will constitute a consent to the proposed amendments to the
indentures governing the notes and a binding agreement between us and you upon
the terms and subject to the conditions set forth in this prospectus and in
the accompanying letter of transmittal and consent. Except as set forth below,
to tender notes for exchange pursuant to the exchange offer, you must transmit
a properly completed and duly executed letter of transmittal and consent,
including all other documents required by such letter of transmittal and
consent or, in the case of a book-entry transfer, an agent's message in lieu
of such letter of transmittal and consent, to U.S. Bank Trust National
Association, as exchange agent, at the address set forth below under "Exchange
Agent" on or prior to the expiration date. In addition, either:
o a timely confirmation of a book-entry transfer (a "book-entry
confirmation") of such notes, if such procedure is available, into the
exchange agent's account at the Depository Trust Company, or DTC,
pursuant to the procedure for book-entry transfer described beginning on
page 41 must be received by the exchange agent, or, if notes are held
through DTC, ATOP procedures described below under the caption "Book-
Entry Transfers" are followed, prior to the expiration date, with the
letter of transmittal and consent or an agent's message in lieu of such
letter of transmittal and consent, or
o the holder must comply with the guaranteed delivery procedures described
below, or
o certificates for the notes must be received by the exchange agent along
with the letter of transmittal and consent.
The term "agent's message" means a message, transmitted by DTC to and
received by the exchange agent and forming a part of a book-entry
confirmation, which states that DTC has received an express acknowledgement
from you that you have received and agreed to be bound by the letter of
transmittal and consent and that we may enforce such letter of transmittal and
consent against you.
The method of delivery of notes, letters of transmittal and consent and all
other required documents is at your election and risk. If such delivery is by
mail, we recommend that you use registered mail, properly insured, with return
receipt requested. In all cases, you should allow sufficient time to assure
timely delivery. Please send all certificates for notes, letters of
transmittal and consent and agent's messages to U.S. Bank Trust National
Association, the exchange agent for the exchange offer at the address set
forth under "Exchange Agent". No letter of transmittal and consent or notes
should be sent to us.
39
Signatures on a letter of transmittal and consent or a notice of withdrawal,
as the case may be, must be guaranteed unless the notes surrendered for
exchange are tendered:
o by a holder of the notes who has not completed the box entitled "Special
Issuance Instructions" or "Special Delivery Instructions" on the letter
of transmittal and consent, or
o for the account of an eligible institution (as defined below).
If signatures on a letter of transmittal and consent or a notice of
withdrawal are required to be guaranteed, such guarantees must be by a firm
which is a member of the Securities Transfer Agent Medallion Program, the
Stock Exchange Medallion Program or the New York Stock Exchange Medallion
Program (each such entity being hereinafter referred to as an eligible
institution). If notes are registered in the name of a person other than the
signer of the letter of transmittal and consent, the notes surrendered for
exchange must be endorsed by, or be accompanied by a written instrument or
instruments of transfer or exchange, in satisfactory form as we or the
exchange agent determine in our sole discretion, duly executed by the
registered holders with the signature thereon guaranteed by an eligible
institution.
We or the exchange agent in our sole discretion will make a final and
binding determination on all questions as to the validity, form, eligibility
(including time of receipt) and acceptance of notes tendered for exchange. We
reserve the absolute right to reject any and all tenders of any particular
note not properly tendered or to not accept any particular note which
acceptance might, in our judgment or our counsel's, be unlawful. We also
reserve the absolute right to waive any defects or irregularities or
conditions of the exchange offer as to any particular note either before or
after the expiration date (including the right to waive the ineligibility of
any holder who seeks to tender notes in the exchange offer). Our or the
exchange agent's interpretation of the terms and conditions of the exchange
offer as to any particular note either before or after the expiration date
(including the letter of transmittal and consent and the instructions thereto)
will be final and binding on all parties. Unless waived, any effects or
irregularities in connection with tenders of notes for exchange must be cured
within a reasonable period of time, as we determine. We are not, nor is the
exchange agent or any other person, under any duty to notify you of any defect
or irregularity with respect to your tender of notes exchange, and no one will
be liable for failing to provide such notification.
If the letter of transmittal and consent is signed by a person or persons
other than the registered holder or holders of notes, such notes must be
endorsed or accompanied by powers of attorney signed exactly as the name(s) of
the registered holder(s) that appear on the notes.
If the letter of transmittal and consent or any notes or powers of attorneys
are signed by trustees, executors, administrators, guardians, attorneys-in-
fact, officers of corporations or others acting in a fiduciary or
representative capacity, such persons should so indicate when signing. Unless
waived by us or the exchange agent, proper evidence satisfactory to us of
their authority to so act must be submitted with the letter of transmittal and
consent.
Acceptance of Notes for Exchange; Delivery of Shares of our Preferred Stock,
the Membership Interests of Delta Funding Residual Exchange Company, LLC and
the Shares of Common Stock of Delta Funding Residual Management, Inc.
Upon satisfaction or waiver of all of the conditions to the exchange offer,
we will accept, promptly after the expiration date, all notes which are
properly tendered and will issue the securities promptly after acceptance of
the notes. See "Conditions to the Exchange Offer." For purposes of the
exchange offer, we shall be deemed to have accepted properly tendered notes
for exchange if and when we give oral (confirmed in writing) or written notice
to the exchange agent.
The holder of each note accepted for exchange will receive, for each $1,000
principal amount of surrendered notes,
o one share of our preferred stock,
o one membership interest of Delta Funding Residual Exchange Company, LLC
and
o one share of common stock of Delta Funding Residual Management, Inc.
40
In all cases, issuance of the above securities for notes that are accepted
for exchange will be made only after timely receipt by the exchange agent of:
o certificates for such notes or a timely book-entry confirmation of such
notes into the exchange agent's account at DTC,
o a properly completed and duly executed letter of transmittal and consent
or an agent's message in lieu thereof, and
o all other required documents.
If any tendered notes are not accepted for any reason set forth in the terms
and conditions of the exchange offer or if notes are submitted for a greater
principal amount than the holder desires to exchange, such unaccepted or non-
exchanged notes will be returned without expense to the tendering holder (or,
in the case of notes tendered by book-entry transfer into the exchange agent's
account at DTC pursuant to the book-entry procedures described below, such
non-exchanged notes will be credited to an account maintained with DTC) as
promptly as practicable after the expiration or termination of the exchange
offer.
Book-Entry Transfers
For purposes of the exchange offer, the exchange agent will request that an
account be established with respect to the notes at DTC within two business
days after the date of this prospectus, unless the exchange agent already has
established an account with DTC suitable for the exchange offer. Any financial
institution that is a participant in DTC may make a book-entry delivery of
notes by causing DTC to transfer such notes into the exchange agent's account
at DTC in accordance with DTC's procedures for transfer. Although delivery of
notes may be effected through book-entry transfer at DTC, the letter of
transmittal and consent or facsimile thereof or an agent's message in lieu
thereof, with any required signature guarantees and any other required
documents, must, in any case, be transmitted to and received by the exchange
agent at the address set forth under "Exchange Agent" on or prior to the
expiration date or the guaranteed delivery procedures described below must be
complied with. If you cannot comply with these procedures, you may be able to
use the guaranteed delivery procedures described below.
You may tender your notes in accordance with DTC's Automated Tender Offer
Program, or ATOP, to the extent it is available to you for the notes you wish
to tender. Under ATOP you may electronically transmit you acceptance of the
exchange offer by causing DTC to transfer the notes to the exchange agent in
accordance with DTC's ATOP procedures for transfer. DTC will then send an
agent's message to the exchange agent for its acceptance. If you are tendering
through ATOP, you must expressly acknowledge that you have received and agreed
to be bound by the letter of transmittal and consent and that the letter of
transmittal and consent may be enforced against you. This also applies to
stockbrokers.
Guaranteed Delivery Procedures
If you desire to tender your notes and your notes are not immediately
available, or time will not permit your notes or other required documents to
reach the exchange agent before the expiration date, you may effect a tender
of your notes if:
o the tender is made through an eligible institution,
o prior to the expiration date, the exchange agent received from such
eligible institution a notice of guaranteed delivery, substantially in
the form we provide (by telegram, telex, facsimile transmission, mail or
hand delivery), setting forth your name and address, the amount of notes
you are tendering, and stating that the tender is being made thereby,
o you guarantee that within three New York Stock Exchange trading days
after the date of execution of the notice of guaranteed delivery, the
certificates for all physically tendered notes, in proper form for
transfer, or a book-entry confirmation of transfer of the notes into the
exchange agent's account at DTC, including the agent's message that forms
a part of the book-entry confirmation, as the case may be, together with
a properly completed and duly executed appropriate letter of transmittal
and consent or facsimile thereof or agent's message in lieu thereof, with
any required signature guarantees and any other documents required by the
letter of transmittal and consent will be deposited by such eligible
institution with the exchange agent, and
41
o the certificates for all physically tendered notes, in proper form for
transfer, or a book-entry confirmation of transfer of the notes into the
exchange agent's account at DTC, as the case may be, together with a
properly completed and duly executed appropriate letter of transmittal
and consent or facsimile thereof or agent's message in lieu thereof, with
any required signature guarantees and all other documents required by the
letter of transmittal and consent, are received by the exchange agent
within three NYSE trading days after the date of execution of the notice
of guaranteed delivery.
Withdrawal Rights
You may withdraw your tender of notes at any time prior to the expiration
date. To be effective, a written notice of withdrawal must be received by the
exchange agent at one of the addresses set forth under "Exchange Agent." This
notice must specify:
o the name of the person having tendered the notes to be withdrawn,
o the notes to be withdrawn (including the principal amount of such notes),
and
o where certificates for notes have been transmitted, the name in which
such notes are registered, if different from that of the withdrawing
holder.
If certificates for notes have been delivered or otherwise identified to the
exchange agent, then, prior to the release of such certificates, the
withdrawing holder also must submit the serial numbers of the particular
certificates to be withdrawn and a signed notice of withdrawal with signatures
guaranteed by an eligible institution, unless such holder is an eligible
institution. If notes have been tendered pursuant to the procedure for book-
entry transfer described above, any notice of withdrawal must specify the name
and number of the account at DTC to be credited with the withdrawn secured
notes and otherwise comply with the procedures of DTC. If notes have been
tendered pursuant to the ATOP procedure set forth under the caption above
"Book-Entry Transfers," the notice of withdrawal also must specify the name
and the number of the account at DTC to be credited with the withdrawn shares
and must otherwise comply with the procedures of DTC.
We or the exchange agent will make a final and binding determination on all
questions as to the validity, form and eligibility (including time of receipt)
of such notices. Any notes so withdrawn will be deemed not to have been
validly tendered for exchange for purposes of the exchange offer. Any notes
tendered for exchange but not exchanged for any reason will be returned to the
holder without cost to such holder (or, in the case of notes tendered by book-
entry transfer into the exchange agent's account at DTC pursuant to the book-
entry transfer procedures described above, such notes will be credited to an
account maintained with DTC for the notes) as soon as practicable after
withdrawal, rejection of tender or termination of the exchange offer. IF YOU
HAVE PREVIOUSLY VALIDLY TENDERED YOUR NOTES, THEN YOU MAY EXERCISE YOUR
WITHDRAWAL RIGHTS AT ANY TIME PRIOR TO THE EXPIRATION DATE. Properly withdrawn
notes may be re-tendered by following one of the procedures we describe above
under "Procedures for Tendering Notes" at any time on or prior to the
expiration date.
Conditions to the Exchange Offer
Notwithstanding any other provision of the exchange offer, we are not
required to accept for exchange, or to issue the securities in exchange for,
any notes and may terminate or amend the exchange offer, if any of the
following events occur prior to acceptance of such notes:
o there shall be threatened, instituted or pending any action or proceeding
before, or any injunction, order or decree shall have been issued by, any
court or governmental agency or other governmental regulatory or
administrative agency or commission,
(1) seeking to restrain or prohibit the making or consummation of the
exchange offer or any other transaction contemplated by the exchange
offer, or assessing or seeking any damages as a result thereof; or
(2) resulting in a material delay in our ability to accept for exchange
or exchange some or all of the notes pursuant to the exchange offer;
or
(3) any statute, rule, regulation, order or injunction shall be sought,
proposed, introduced, enacted, promulgated or deemed applicable to
the exchange offer or any of the transactions contemplated by the
exchange offer by any government or governmental authority, domestic
or
42
foreign, or any action shall have been taken, proposed or threatened,
by any government; governmental authority, agency or court, domestic
or foreign, that in our sole judgment might, directly or indirectly,
result in any of the consequences referred to in clauses (1) or (2)
above.
o there shall have occurred:
(1) any limitation by a governmental agency or authority which may
adversely affect our ability to complete the transactions
contemplated by the exchange offer; or
(2) a declaration of a banking moratorium or any suspension of payments
in respect of banks in the United States or any limitation by any
governmental agency or authority which adversely affects the
extension of credit; or
(3) a commencement of a war, armed hostilities or other similar
international calamity directly or indirectly involving the United
States, or, in the case of any of the foregoing existing at the time
of the commencement of the exchange offer, a material acceleration or
worsening thereof; or
o any change (or any development involving a prospective change) shall have
occurred or be threatened in our business, properties, assets,
liabilities, financial condition, operations, results of operations or
prospects and our subsidiaries taken as a whole that, in our reasonable
judgment, is or may be adverse to us, or we have become aware of facts
that, in our reasonable judgment, have or may have adverse significance
with respect to the notes or the securities;
in any case, and regardless of the circumstances (including any action by us)
giving rise to any such condition, makes it inadvisable to proceed with the
exchange offer and/or with such acceptance for exchange or with such exchange.
In addition to the foregoing, the consummation of the exchange offer is
conditioned upon greater than 95% in principal amount of the outstanding notes
being validly tendered for exchange and not properly withdrawn, and we and the
trustees having executed supplemental indentures to the indentures governing
the notes implementing the proposed amendments after obtaining the requisite
consents from the holders of notes. In addition, if between 90%-95% in
principal amount of the outstanding notes are validly tendered for exchange
and not properly withdrawn, and we and the trustees have executed supplemental
indentures to the indentures governing the notes implementing the proposed
amendments after we have obtained the requisite consents from the holders of
notes, then we will have the option to complete the exchange offer.
The foregoing conditions are for our sole benefit and may be asserted by us
regardless of the circumstances giving rise to any condition or may be waived
by us in whole or in part at any time in our reasonable discretion. Our
failure at any time to exercise any of the foregoing rights shall not be
deemed a waiver of any such right and each such right shall be deemed an
ongoing right which we may assert at any time.
In addition, we will not accept for exchange any notes tendered, and no
securities will be issued in exchange for any such notes, if at such time any
stop order shall be threatened or in effect with respect to the registration
statement of which this prospectus constitutes a part.
Exchange Agent
We have appointed U.S. Bank Trust National Association as the exchange agent
for the exchange offer. All executed letters of transmittal should be directed
to the exchange agent at the address set forth below. Questions and requests
for assistance, requests for additional copies of this prospectus or of the
letter of transmittal and consent and requests for notices of guaranteed
delivery should be directed to the exchange agent at the following address:
U.S. Bank Trust National Association
180 East Fifth Street, 4th Floor
St. Paul, Minnesota 55101
1-800-934-6802
Attention: Default Processing
43
DELIVERY OF THE LETTER OF TRANSMITTAL AND CONSENT TO AN ADDRESS OTHER THAN
AS SET FORTH ABOVE OR TRANSMISSIONS OF SUCH LETTER OF TRANSMITTAL AND CONSENT
VIA FACSIMILE OTHER THAN AS SET FORTH ABOVE DOES NOT CONSTITUTE A VALID
DELIVERY OF THE LETTER OF TRANSMITTAL AND CONSENT.
Information Agent; Assistance
Questions and requests for assistance and requests for additional copies of
this prospectus, the letter of transmittal and consent, or our Annual Report
on Form 10-K/A or Quarterly Report on Form 10-Q/A for the quarter ended March
31, 2001, should be directed to the information agent as follows:
By hand or overnight courier:
D.F. King & Co., Inc.
77 Water Street
New York, New York 10005
1-800-488-8095
We have scheduled the following two conference calls to answer your
questions about the exchange offer and we urge you to participate:
Date: Thursday, July 26, 2001 at 10 a.m. New York City time. Dial-in
number: 1-800-720-5850.
Date: Tuesday, July 31, 2001 at 10 a.m. New York City time. Dial-in number
1-800-720-5830.
If you intend to participate please contact either us, or the information
agent at 1-800-488-8095 for the password, which you will need in order to join
the conference call.
Fees and Expenses
The principal solicitation is being made by mail by U.S. Bank Trust National
Association, as exchange agent. We will pay the exchange agent customary fees
for its services, reimburse the exchange agent for its reasonable out-of-
pocket expenses incurred in connection with providing these services and we
will pay other registration expenses, including fees and expenses of the
trustees under the indentures relating to the notes, filing fees, blue sky
fees and printing and distribution expenses. We may pay brokers, dealers or
others soliciting acceptances of the exchange offer.
Additional solicitation may be made by telephone, facsimile or in person by
our and our affiliates' officers and regular employees and by persons so
engaged by the exchange agent.
Transfer Taxes
You will not be obligated to pay any transfer taxes in connection with the
tender of notes in the exchange offer unless you instruct us to register the
securities in the name of, or request that notes not tendered or not accepted
in the exchange offer be returned to, a person other than the registered
tendering holder. In those cases, you will be responsible for the payment of
any applicable transfer tax.
Consequences of Failure to Exchange
There are no dissenters' rights of appraisal in connection with the
exchange. If you do not exchange your notes, they will remain outstanding, but
will have substantially fewer rights under the applicable indenture.
44
BACKGROUND OF THE EXCHANGE OFFER
On December 21, 2000 we consummated the consent and exchange offer of our
senior secured notes and warrants to purchase shares of our common stock for
our then outstanding senior notes. Holders of greater than $148 million of
senior notes tendered their senior notes in exchange for which they received
senior secured notes and warrants. As a result of the notes exchange, we had
outstanding approximately $1.8 million aggregate principal amount of senior
notes, approximately $148.2 million aggregate principal amount of senior
secured notes, and warrants exercisable to purchase approximately $1.6 million
shares of our common stock. In connection with the closing of the 2000
exchange offer, we placed in escrow funds equal to the interest payment due on
February 1, 2001. Such interest payment was timely made.
In or about mid-January, we commenced discussions with certain holders of
our senior secured notes constituting the Informal Committee of Noteholders
regarding the senior secured notes. The noteholders comprising the Informal
Committee include Putnam Investment Management, Fidelity Investment and
Prudential Investments. The Informal Committee is represented on legal matters
by Ropes & Gray and on financial matters by Houlihan Lokey Howard & Zukin
Capital. During these initial discussions, we informed the Informal Committee
that it was possible that we might not be able to make the interest payment on
the senior secured notes that would come due on August 1, 2001. Over the next
several weeks we and representatives of the Informal Committee participated in
several telephone conference calls for the purpose of formulating a workable
interest payment structure for the senior secured notes that would allow us to
meet our ongoing cashflow needs (and thereby maximize our the value for all of
our investors, including the holders of the senior secured notes) and avoid an
interest payment default on the senior secured notes. During the conference
calls in late January and early February, we discussed with the Informal
Committee the possibility of filing for bankruptcy protection under Title 11
of the Bankruptcy Code. It was ultimately decided after consultation with the
Informal Committee and our insolvency counsel that we would seek to
restructure our interest payment obligations without filing for bankruptcy.
On February 23, 2001, we and the members of the Informal Committee executed
a non-binding letter of intent setting forth the basic terms of a new exchange
offer. The letter of intent provided, inter alia, that we would offer to
exchange equity interests in a newly formed liquidating trust in exchange for
all of the outstanding senior secured notes. The corpus of the liquidating
trust would include (1) certain excess cashflow certificates presently
securing our obligations under the senior secured notes, (2) newly issued
shares of our preferred stock, (3) cash generated by the excess cashflow
certificates starting in July 2001, and (4) interests in a non-performing loan
trust. The letter of intent also provided that we would meet our immediate
cashflow needs by obtaining interim financing from a third-party funding
source. As security for the interim funding, we would pledge certain mortgage-
related securities that had been pledged to the holders of the senior secured
notes to secure our obligations. The holders of the senior secured notes
consented to the release of the some of the collateral securing the senior
secured notes in order to make the interim funding possible.
During the weeks between February 23 and March 16, 2001, we and the
representatives of the Informal Committee participated in numerous telephone
conference calls for the purpose of negotiating a third supplemental indenture
to the indenture governing the senior secured notes. The third supplemental
indenture effectuated and/or facilitated many of the transactions described in
the letter of intent.
On March 16, 2001, we executed the third supplemental indenture and closed
the interim financing referred to in the letter of intent.
In the ensuing months we and the representative of the Informal Committee
continued to negotiate the specific terms of the proposed exchange offer,
including modifying the structure of the proposed exchange offer to minimize
the adverse tax effects of the structure on the noteholders. These continued
discussions resulted in a number of successive term sheets. On June 11, 2001,
the Informal Committee and us agreed to revise the structure of the proposed
exchange offer. Additional changes were made as a result of direct
conversations between us and Houlihan Lokey. These additional structural
changes were documented in an exchange of letters between our representatives
and Houlihan Lokey, the financial adviser for the Informal Committee, and are
reflected in this prospectus.
45
CONSIDERATIONS FOR NOTEHOLDERS
WHO ELECT NOT TO PARTICIPATE IN THE EXCHANGE OFFER
In addition to the other information set forth in this prospectus, the
following considerations, should be reviewed carefully prior to determining
whether to tender your notes and consent to the proposed amendments.
Effect of the Proposed Amendments
Senior Secured Notes. If the exchange offer is consummated and the proposed
amendments become effective, holders of senior secured notes that are not
properly tendered for exchange for any reason will no longer be entitled to
the benefits of substantially all of the restrictive covenants of the senior
secured notes indenture. All of these provisions will have been eliminated or
modified by the proposed amendments. In addition, the holders of non-tendered
senior secured notes will no longer have any collateral securing their notes.
Holders who tender their notes for exchange will not receive the interest
paymnet due on August 1, 2001.
The proposed amendments would amend the indenture governing the senior
secured notes to delete most restrictive provisions, including covenants
relating to:
o our ability to incur indebtedness,
o our ability to pay dividends,
o our ability to engage in asset sales,
o our ability to merge or consolidate with another entity,
o our ability to incur liens,
o our ability to make payments or other distributions to affiliates,
o our ability to enter into business relationships with affiliates, and
o our ability to take other actions that would otherwise be restricted
under the senior secured notes indenture.
The elimination or modification of those provisions would permit us to take
actions that could increase the credit risks faced by the holders of any
remaining senior secured notes, adversely affect the market price of any
remaining senior secured notes or otherwise be adverse to the interests of the
holders of any remaining senior secured notes. While we anticipate that we
will be subject to restrictive covenants contained in other debt agreements,
holders of senior secured notes, if any, will not be able to enforce those
covenants and those covenants will be subject to change without the consent of
holders, if any, of senior secured notes.
We may manage our business in a manner that otherwise might have been
prohibited under the senior secured notes indenture prior to the effectiveness
of the proposed amendments. The proposed amendments might have a material
adverse effect on the value of the senior secured notes resulting from, among
other things, our increased ability to incur debt, incur liens, pay dividends,
make transfers of funds or other assets, or merge or consolidate with another
entity.
The proposed amendments also will release all of the collateral currently
held by the Delta Funding Residual Holding Trust 2000-1 and Delta Funding
Residual Holding Trust 2000-2 securing the senior secured notes. Under the
terms of this exchange offer, all of the mortgage-related securities currently
held by these two residual holding trusts, as well as securities of our
subsidiaries, will be transferred out of these trusts and released. All of the
mortgage-related securities will be transferred to Delta Funding Residual
Exchange Company, LLC upon consummation of the exchange offer, except for a
net interest margin owner trust certificate and the related excess cashflow
certificates, which will be transferred to Delta Funding Residual NIM
Subsidiary, LLC upon consummation of the exchange offer. Thus, holders of the
senior secured notes who do not tender their notes in the exchange offer will
no longer be able to look to the collateral securing
46
their notes for payment in the event that we default on our obligations to pay
principal interest under the senior secured notes.
Based on our current estimates, it is unlikely that we will have sufficient
funds to both make the interest payments due on the notes in August 2001 and
thereafter, and at the same time comply with restrictive covenants in our
warehouse line of credit, and otherwise operate our business. If the exchange
offer is not consummated, we will not be able to continue as a going concern.
Senior Notes. In connection with our August 2000 consent and exchange
offer, the holders of the senior notes who tendered their notes for exchange
and received the senior secured notes consented to amendments to the indenture
governing the senior notes.
The proposed amendments to be entered into with Delta Funding Residual
Exchange Company, LLC will not relieve us from our obligation to make
scheduled payments of principal and accrued interest in accordance with the
terms of the senior notes and the senior secured notes indentures (as amended
by the proposed amendments, assuming we consummate the exchange offer), on the
notes, if any, that are not exchanged pursuant to the exchange offer.
Adverse Effects on Trading Market for the Notes
An issue of debt securities with a smaller outstanding principal amount
available for trading (a smaller "float") may command a lower price than would
comparable debt securities with a greater float. Therefore, the market price
for any notes not tendered for exchange may be adversely affected because of
reduced float. The reduced float also may tend to make the trading price of
the notes more volatile. We cannot assure you that a trading market will exist
for the notes, if any, following consummation of the exchange offer. The
extent of the market for notes following consummation of the exchange offer
will depend upon, among other things, the remaining outstanding principal
amount of the notes after the exchange offer and the number of remaining
holders, if any.
Liquidation Value of the Assets Securing the Senior Secured Notes
If we do not consummate the exchange offer, we are unlikely to have the
funds necessary to continue making timely interest payments on the notes. As a
result, we would be in default of our obligations under the indentures
governing the notes. The senior secured noteholders might then be required to
look for payment to the collateral, which is comprised principally of
mortgage-related securities. If we should be in default of our obligations
under the indenture governing the senior notes, those noteholders might then
be required to look for payment to our assets, which, like the collateral for
the senior secured notes, are comprised principally of mortgage-related
securities.
There is no ready market for our mortgage-related securities and,
consequently, it is difficult for us to value these securities accurately.
However, the value of these securities may diminish in a liquidation where the
securities would be sold all at once to bidders at a discount.
In the section titled "Summary Pro Forma Financial Data for Delta Funding
Residual Exchange Company, LLC" on page 12, we describe the projected
cashflows to be received over the next thirty years from the mortgage-related
assets which will be held by Delta Funding Residual Exchange Company, LLC. The
projected cashflows are based on a number of assumptions, including
assumptions concerning projected prepayment rates and loan losses. The
estimates also assume that the mortgage-related securities will be held by
Delta Funding Residual Exchange Company, LLC and not sold. The mortgage-
related securities held by Delta Funding Residual Exchange Company, LLC will
be managed by us through Delta Funding Residual Management, Inc.
If we were asked to assess the liquidation value for the mortgage-related
securities, we would first assume that a market exists for these securities.
Currently, there are only a handful of buyers for these types of assets--
mainly opportunistic buyers. We believe that any assessment of the purchase
price would depend on a number of factors such as:
o the conditions under which these mortgage-related securities would be
sold, e.g., fire sale;
47
o whether Delta Funding Corporation, our subsidiary, as the seller under
the respective securitization trusts, would be able to continue, on a
going-forward basis, to satisfy any claims due to breach of
representations and the warranties made concerning the underlying
mortgages sold to the securitization trust that issued the excess
cashflow certificates;
o the servicer of the mortgage loans that currently services the majority
of our securitized loans, Ocwen Federal Bank, FSB, will receive
significant termination fees if any securitization mortgage pool which it
purchased from us is transferred to another servicer;
o the actual mortgage pool performance and the collateral characteristics
of each pool of mortgages
underlying the excess cashflow certificates (e.g., first liens versus
second liens, credit grades of the underlying borrowers, the loan-to-
value ratios of the mortgage loans, geographic concentration of the
underlying properties, property type, etc.);
o type of asset-backed securitization structure (e.g., bond insured or
senior subordinate structure);
o changes in the level of cash required to be used by the securitization
trust to prepay holders of its asset backed pass-through certificates to
support the securitization if the mortgage pool performance deteriorates,
which will have an adverse impact on timing of excess cashflows; and
o costs and expenses for due diligence on the mortgage pool, accounting
fees to model cashflows, significant investment banking fees (up to 5% of
purchase price) to facilitate the sale of such a transaction, bond
insurer and trustee consent fees and legal fees.
We have some idea of the maximum potential liquidation value for the
mortgage-related securities based upon the pricing we have obtained in two of
our recent transactions, which are the only transactions of this type that we
have completed since our inception. These two transactions are as follows:
o in November 2000, we sold a basket of six excess cashflow certificates to
a securitization trust and issued a senior net interest margin security
backed by a subordinate net interest margin owner trust certificate. The
sale of the senior net interest margin security, which was rated "BB-" by
Fitch, yielded a purchase price of $30 million. This purchase price
represented approximately 27% of the carrying value on our balance sheet
for the excess cashflow certificates. The senior net interest margin
security was a more protected security than the excess cashflow
certificates themselves, because the senior net interest margin security
is supported by a subordinate certificate (the net interest margin owner
trust certificate), whereas the excess cashflow certificates are the most
subordinate securities issued by the securitization trusts. As a result,
the senior net interest margin security commanded a higher price than the
price we would expect to receive for the excess cashflow certificates.
The liquidation value for the subordinate net interest margin owner trust
certificate which is being transferred to Delta Funding Residual NIM
Company, LLC as part of the exchange offer, however, would be
significantly less than the liquidation value for the excess cashflow
certificates; and
o the sale of five excess cashflow certificates for $15 million. This
purchase price represented approximately 37% of the carrying value on our
balance sheet for these five excess cashflow certificates.
Therefore, taking into consideration the pricing factors and our recent
transaction experience, we estimate that the liquidation value of the
mortgage-related securities to be held by Delta Funding Residual Exchange
Company, LLC and Delta Funding Residual NIM Company, LLC are as follows:
o all of the excess cashflow certificates, approximately $10-20 million,
representing approximately
14% to 27% of the carrying value on our balance sheet for these
securities; and
o the excess cashflow certificates, underlying the net interest margin
owner trust certificate, approximately $10 million, representing
approximately 13% of the carrying value on our balance sheet for these
securities.
This aggregate total of between $20 to $30 million does not take into
account expenses we would expect to incur for investment banking assistance,
due diligence, accounting fees, possible termination fees if the current
servicer does not continue on as the servicer, consent fees from the bond
insurer and trustees, legal
48
and other expenses. Thus, we cannot be certain that $20 to $30 million is a
fair liquidation value for the securities. Moreover, the potential buyers for
these assets will be opportunistic and, therefore, the price at which the
mortgage-related securities held by Delta Funding Residual Exchange Company,
LLC may be sold will likely be much lower than the purchase prices we received
in recent transactions.
By contrast, we estimate that the present value of the aggregate expected
future cashflows from the excess cashflow certificates is $73 million, and the
present value of the expected future cashflows from the excess cashflow
certificates underlying the net interest margin owner trust certificate is $79
million, in total $152 million. These estimates are based on management's
assumptions concerning a number of factors. However, there can be no assurance
that these estimates will prove correct.
49
DELTA FINANCIAL CORPORATION
Delta Financial Corporation has two principal components to its mortgage
business. First, we make mortgage loans, which is a cash and expense outlay
for us, because our cost to originate a loan exceeds the fees we collect at
the time of origination for that loan. At the time we originate a loan, and
prior to the time we sell that loan, we finance that loan using a warehouse
line of credit. Second, we sell loans, either through securitization or on a
whole loan basis, to generate revenues and cash. We use the proceeds from the
sales to repay our warehouse line of credit and for working capital.
Origination of Mortgage Loans. We receive loan applications both directly
from borrowers and from licensed independent third party mortgage brokers who
submit applications on a borrower's behalf. We process and underwrite the
submission and, if the loan comports with our underwriting criteria, approve
the loan and lend the money to the borrower. While we generally collect points
and fees from the borrower when a loan closes, our cost to originate a loan
typically far outweighs any fees we may collect from the borrower.
Through our wholly-owned subsidiary, Delta Funding Corporation, we primarily
originate home equity loans indirectly through independent licensed mortgage
brokers who submit loan applications on behalf of borrowers. Prior to July
2000, through Delta Funding Corporation, we purchased loans from mortgage
bankers and smaller financial institutions that satisfied our underwriting
guidelines. We discontinued Delta Funding Corporation's correspondent
operations in July 2000 to focus on its less cash intensive broker and retail
channels. Delta Funding Corporation currently originates the majority of its
loans in 20 states, through its network of approximately 1,500 brokers.
Through our wholly-owned retail subsidiary, Fidelity Mortgage Inc., we
develop retail loan leads primarily through a telemarketing system and a
network of 10 retail offices located in Illinois, Indiana, Missouri, North
Carolina, Ohio (3), Pennsylvania (2), Tennessee, and a call center in New
York. During 2000, we closed two under-performing retail offices in Georgia
and Florida, and opened a new retail origination call center at its
headquarters in Woodbury, New York. In the first two quarters of 2001, we
closed two additional under-performing retail offices in Florida and one in
Ohio.
For the three months ended March 31, 2001, we originated $171 million of
loans, of which $105 million were brokered loans and $66 million were retail
loans. For the year ended December 31, 2000, we originated or purchased $933
million of loans, of which $604 million were brokered loans, $260 million were
retail loans and $69 million were correspondent loans from mortgage bankers
and smaller financial institutions.
Our business strategy includes increasing our loan origination platform by
focusing our efforts on our broker and retail channels of originations by:
o continuing to provide top quality service to our network of brokers, and
retail clients;
o maintaining our underwriting standards;
o penetrating further our established and recently-entered markets and
expanding into new geographic markets;
o expanding our retail origination capabilities; and
o leveraging and continuing our investment in information and processing
technologies.
Pooling of Loans Prior to Sale. After we close or fund a loan, we typically
pledge the loan as collateral under a warehouse line of credit to obtain
financing against that loan. By doing so, we replenish our capital so we can
make new loans. Loans are typically financed on a warehouse line of credit for
only a limited time, until such time as we can "pool" enough loans and sell
the pool of loans either through securitization or on a whole-loan basis.
During this time, we earn interest paid by the borrower as income, but this
income is offset in part by the interest we pay to the warehouse creditor for
providing us with financing.
Sale of Loans. We generally sell loans in one of two manners--either through
securitization or on a whole loan basis.
50
Through the first three quarters of 2000, we sold substantially all of the
loans originated and purchased by us in securitizations--$725 million
securitized, and $12 million sold on a whole loan basis. In the fourth quarter
of 2000, however, we sold a considerably larger amount of our loan production
for a cash premium on a whole loan basis--$46 million of whole loan sales and
$115 million securitized. In all, for the year ended December 31, 2000, we
sold a total of $840 million of loans through four real estate mortgage
investment conduit securitizations and $58 million loans on a whole loan
basis.
In the first quarter of 2001, we did not complete a securitization, but
instead sold $144 million in whole loan sales for a cash premium. In the
second quarter of 2001, we already have completed a $165 million
securitization and have sold $21 million of whole loans. We plan to continue
to utilize a combination of securitization and whole loan sales in the
foreseeable future.
Securitization. Securitizations effectively provide us with a source of
long-term financing.
In a securitization, we pool together loans, typically each quarter, and
sell these loans to a securitization trust. The securitization trust raises
money to purchase the mortgage loans from us by selling securities to the
public--known as "asset-backed pass-through securities" that are secured by
the pool of mortgage loans held by the securitization trust. These asset-
backed securities, which are usually purchased by insurance companies, mutual
and/or money market funds and other institutional investors, are typically
sold for a "par" purchase price, or a slight discount to "par"--with "par"
representing the aggregate principal balance of the mortgage loans backing the
asset-backed securities. For example, if a securitization trust contains
collateral of $100 million of mortgage loans, we typically receive close to
$100 million in proceeds from the sale of the asset-backed securities to the
securitization trust, depending upon the structure that we utilize for the
securitization. The asset-backed securities entitle the holder to receive
interest, referred to as the "pass-through rate," on the declining balance of
mortgage loans in the pool, in addition to all principal paid by the borrowers
on the underlying mortgage loans.
As an issuer, we typically derive the following economic interests from a
securitization:
o we retain interest-only and residual certificates, referred to as excess
cashflow certificates, from the securitization trust, which entitle us to
receive the difference between the interest payments due on the loans
sold to the securitization trust and the interest payments due, at the
pass-through rates, to the holders of the pass-through securities, less
the contractual servicing fee and other costs and expenses of
administering the securitization trust. For any monthly distribution, a
holder of an excess cashflow certificate receives payments only after
payments have been made on all the other securities issued by the
securitization trust. These cashflows are received over time, but under
existing accounting rules, we must report at the time of the
securitization as income the present value of all projected cashflows we
expect to receive from these excess cashflow certificates based upon an
assumed discount rate. Our valuation of these excess cashflow
certificates is based on (1) our estimate of the amount of expected
losses or defaults that will take place on the underlying mortgage loans
over the life of the mortgage loans because the excess cashflow
certificates are subordinate in right of payment to all other securities
issued by the securitization trust. Consequently, any losses sustained on
mortgage loans comprising a particular securitization trust are first
absorbed by the excess cashflow certificates, and (2) the expected amount
of prepayments on the mortgage loans due to the underlying borrowers of
the mortgage loans paying off their mortgage loan prior to the loan's
expected maturity.
o we receive a cash purchase price from the sale of an interest-only
certificate sold in connection with a securitization, which entitles the
holder to a recurring interest payment over a guaranteed period of time,
typically 36 months, and reduces the cashflows we would otherwise receive
as owner of the excess cashflow certificates.
o we receive a cash premium from selling the right to service the loans
being securitized, which entitles the contractual servicer to service the
loans on behalf of the securitization trust, and earn a contractual
servicing fee, and ancillary servicing fees in such capacity.
At the time we complete the securitization, we recognize as revenue
(recorded under "net gain on sale of mortgage loans" on our balance sheet)
each of the three economic interests we described above.
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The diagram below illustrates the steps involved in a hypothetical
securitization of $100 million of our mortgage loans.
[graphic]
52
Securitization Economics. The majority of our revenues and cashflows result
from the sale of newly originated pools of mortgage loans through
securitization (including the sale of related servicing rights) and on a whole
loan basis. The excess cashflow certificates, which we retain after a
securitization, are subordinated in right of payment to the other securities
issued and sold to investors by the securitization trust.
The excess cashflow certificates entitle us to receive any remaining
cashflows collected by the securitization trust from principal and interest
payments on the underlying mortgage loans after the securitization trust has
first paid
o all principal and interest required to be passed through to holders of
the trust's publicly offered securities,
o all contractual servicing fees, and
o other recurring fees and costs of administering the securitization trust.
Upon securitizing a pool of loans, we recognize a gain on sale of loans
equal to the difference between cash we receive from the securitization trust
when it sells asset-backed pass-through certificates to investors and the
investment in the loans remaining after allocating portions of that investment
to record the value of the sale of servicing rights, and the value of the
excess cashflow certificates received by us in the securitization. The
majority of the gain on the sale of mortgage loans results from, and is
realized initially in the form of, the excess cashflow certificates, the sale
of the interest-only certificate, and the sale of the mortgage servicing
rights.
To further illustrate the example we gave above, we have provided below a
hypothetical example to demonstrate the income, expenses and fees associated
with the excess cashflow certificate retained by us in connection with a
securitization of $100 million in principal amount of mortgage loans.
Excess Cashflow Certificate:
----------------------------
Borrowers' interest rate on the pool
of mortgage loans sold: 11.00%
Less: pass-through interest rate paid
to investor buying the
securitization trust securities ..... -6.50%
Less: Sale of interest-only
certificate ......................... -1.00%
Less: service fee to servicer ........ -0.65%
Less: bond insurer and trustee fees ... -0.10%
-1.10%
Less: loss reserve .................... -------------
Pre-tax excess cashflow per annum to
holder of the excess
cashflow certificate ................ 1.65% net spread (yield)
We will continue to earn 1.65% per annum of income as a percentage of the
mortgage pool outstanding. Based upon our current gain on sale assumptions the
excess cashflow certificate has a duration of 2.65 years. This means that if
we took the product of (1) the 1.65% yield, and (2) the duration of 2.65
years, the present value of the excess cashflow certificate equals 4.37% of
the $100 million in principal amount of mortgage loans sold, resulting in a
present value for the excess cashflow certificate of $4.37 million.
Using the example above, we project the future expected excess cashflow
produced by the excess cashflow certificate to be $4.37 million, assuming
o a specific prepayment speed on the underlying mortgage loans (see "Fair
Value Determination" below). A higher prepayment speed means that the
mortgage loans prepay faster than anticipated and, as such, we will earn
less income in connection with the mortgage loans and receive less excess
cashflow in the future because the mortgage loans have paid off;
conversely, if we have slower prepayment speeds, the mortgage loans
remain outstanding for longer than anticipated and, as such, we earn more
income and receive more excess cashflow in the future;
o a default or loss rate on the underlying mortgage loans. The excess
cashflow certificate is the "first-loss" piece and is subordinated in
right of payment to all other securities issued by the securitization
trust. Any defaults or losses on the underlying mortgage loans are
absorbed by the excess cashflow certificates. If defaults are higher than
we anticipate, we will receive less income and less excess
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cashflow than expected in the future; conversely, if defaults are lower
than we expected, we will receive more income and more excess cashflow
than expected in the future; and
o the present value of the monthly excess cashflows at an assumed discount
rate which management believes to be reasonable (see "Fair Value
Determination" below) (if the expected receipt (timing) of the future
excess cashflows is either extended or shortened due to prepayments or
defaults, or if the amount of excess cashflow that was expected increases
or decreases due to changes in prepayment and default rates, the present
value of the excess cashflow certificate may increase or decrease).
Using the example above, the present value of the future expected excess
cashflows, or $4.37 million, is recorded initially on Delta's balance sheet as
an interest-only and a residual certificate asset, based upon its fair value
and recorded initially on our income statement as revenue under net gain on
mortgage loans sold.
The excess cashflow certificates are reflected on our balance sheet as
trading securities. As such we are required to mark-to-market the excess
cashflow certificates on a regular basis by making an adjustment to our
interest income.
Although we initially recognize income from retaining excess cashflow
certificates immediately upon completion of a securitization, we receive
cashflows from these assets over the life of the transferred loans. We
typically begin to receive cashflows from the excess cashflow certificates
retained upon securitization approximately eighteen to twenty-four months
after a securitization is completed with the specific timing depending on the
structure and performance of the securitization. Initially, securitization
trusts utilize the excess cashflows to make additional payments of principal
on the publicly offered securitization trust certificates in order to
establish a spread between the principal amount of the trust's outstanding
loans and the amount of outstanding publicly offered certificates. Once a
spread, or overcollateralization, of between 1.50% and 3% of the initial
securitization principal is established, the excess cashflows are distributed
to the holder of the excess cashflow certificates unless any excess cashflows
are needed to cover mortgage loan losses or to replenish or maintain the
required level of overcollateralization.
Fair Value Determination. The fair values of the excess cashflow
certificates are significantly affected by, among other factors, prepayments
of loans and estimates of future prepayment rates. We continually review our
prepayment assumptions in light of our own and industry experience and make
adjustments to those assumptions as needed.
The underlying assumptions we use to determine the fair value of our excess
cashflow certificates are as follows:
o our prepayment rate assumptions are based upon our ongoing analysis of
industry and specific mortgage pool trends. We adjusted these assumptions
in the third quarter of 2000 and the fourth quarter of 1999. The
following table shows the changes we made to the prepayment assumptions
at each of these dates and the assumptions we used prior to the 1999
fourth quarter change:
Month One Speed Peak Speed *
--------------- ------------
9/30/00 12/31/99 Prior 9/30/00 12/31/99 Prior
------- -------- ----- ------- -------- -----
Loan Type
Fixed Rate Loans ............................................. 4.0% 4.0% 4.8% 23% 31% 31%
Six-Month LIBOR ARMS ......................................... 10.0% 10.0% 10.0% 50% 50% 50%
Hybrid ARMS .................................................. 4.0% 4.0% 6.0% 50% 50% 50%
- ---------------
* Since the second quarter of 1998, we have utilized a "vector" curve, instead
of a "ramp" curve, which we believe will be more representative of future
loan prepayment experience.
o a default reserve for both fixed- and adjustable-rate loans sold to the
securitization trusts of 3.50% of the amount initially securitized at
December 31, 2000 compared to 3.10% at December 31, 1999 and 2.00% at
December 31, 1998; and
o an annual discount rate of 13.0% was used to determine the present value
of cash flows from the excess cashflow certificates, which represent the
predominant form of retained interest, at March 31, 2001 and December 31,
2000, up from 12% prior thereto. An annual discount rate of 18% is used
54
during the duration of the net interest margin, or NIM, transaction on a
portion of our excess cashflow certificates.
In the third quarter of 2000, we lowered our prepayment speed assumptions
mainly by reducing the peak speed on our fixed rate product, which comprises
the majority of securitized loans underlying our excess cashflow certificates.
In the fourth quarter of 1999, we lowered our prepayment speed assumption
along parts of the prepayment rate vector curve while leaving the peak speeds
intact. We revised the prepayment rate assumption primarily to reflect our
actual loan performance experience over the past several quarters.
We revised our loan loss reserve assumption to reflect management's belief
that (1) slower prepayment speeds, (2) anticipated flat to slightly moderate
rise in home values as compared to the past few years, and (3) the inability
of borrowers to refinance their mortgages to avoid default because of industry
consolidation may have an adverse effect on our non-performing loans.
In the third and fourth quarters of 2000, we changed the discount rate we
use to determine the present value of cash flows from residual certificates,
as follows:
o in the third quarter of 2000, we increased the discount rate we use on
those excess cashflow certificates included in the net interest margin
transaction to 18% (from 12%) and recorded an $8.8 million valuation
adjustment. This adjustment reflects a reduction in the present value of
those excess cashflow certificates sold in connection with our net
interest margin transaction completed in the fourth quarter of 2000. We
increased the discount rate on these excess cashflow certificates, during
the period that the senior net interest margin securities will be
outstanding, to account for the potentially higher risk associated with
the excess cashflows we retained from a certificated interest in the net
interest margin trust, which is subordinated to the senior security sold
to investors in the net interest margin transaction.
o in the fourth quarter of 2000, we raised the annual discount rate we use
to determine the present value of cash flows from "senior" excess
cashflow certificates (i.e., those excess cashflow certificates that are
not subject to the net interest margin transaction) to 13% from 12%, and
recorded a $7.1 million valuation adjustment. This adjustment reflects
what management believes is an increase in volatility concerning the
other underlying assumptions used in estimating expected future cash
flows due to greater uncertainty surrounding current and future market
conditions, including without limitation, inflation, recession, home
prices, interest rates and equity markets.
Whole Loan Sales. We also sell loans, without retaining the right to service
the loans, in exchange for a cash premium. This is recorded as income under
net gain on sale of mortgage loans at the time of sale. The cash premiums have
ranged recently between 3.5% to 5.75% of the principal amount of mortgage
loans sold.
In addition to the income and cashflows earned from our securitizations and
whole loan sales, we also earn income and generate cashflows from the net
interest spread earned on loans (the difference between the interest rate on
the mortgage loan paid by the underlying borrower less the financing costs to
our warehouse lender to fund our loans) while they are held for sale and from
loan origination fees on brokered loans and retail loans.
DESCRIPTION OF OUR PREFERRED STOCK
The following summary, which sets forth the material terms and provisions of
our preferred stock, does not purport to be complete and is qualified in its
entirety by reference to the terms and provisions of the Certificate of
Designations, Voting Powers, Preferences and Rights of the Series A Preferred
Stock, or the certificate or designations, a copy of which has been filed as
an exhibit to the registration statement of which this prospectus is a part.
General
Our board of directors will authorize and create the preferred stock, all
150,000 shares of which will be issued and outstanding and held by Delta
Funding Residual Exchange Company, LLC.
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The holders of the preferred stock will have no preemptive rights with
respect to any shares of our capital stock or any of our other securities
convertible into or carrying rights or options to purchase shares of our
capital stock. The preferred stock is perpetual and will not be convertible
into shares of common stock or any other class or series of capital stock and
will not be subject to any sinking fund.
Rank
Compared to our other securities, with respect to dividend rights and rights
upon our liquidation, winding-up or dissolution, the preferred stock will
rank:
o senior to all classes of our common stock and to each other class of
capital stock or series of preferred stock; and
o on parity with any additional shares of preferred stock issued by us.
We will not issue any securities that are senior to or on parity with the
preferred stock, in respect of our liquidation, dividends, winding-up or
dissolution, except upon the occurrence of a special funding event, in which
case we may issue securities having rights senior to or on parity with our
preferred stock. A special funding event shall mean a transaction in which we
issue equity securities to one or more investors in one or more related
transactions which result in gross cash or cash equivalents proceeds to us. If
we receive gross cash proceeds of at least $5 million in cash or cash
equivalents in a special funding event, we may issue to the investor
securities that rank on parity with our preferred stock. If we receive gross
cash proceeds of at least $25 million in cash or cash equivalents in a special
funding event, we may issue to the investor securities that rank senior to our
preferred stock.
Dividends
The holders of preferred stock will be entitled to receive, if declared by
our board of directors out of our funds legally available for dividends,
cumulative preferential dividends accruing at the rate per share of 10% per
annum of the liquidation preference, payable semi-annually in arrears on each
of the first days of January and July, or, if any such date is not a business
day, on the next succeeding business day, each a dividend payment date.
Dividends payable on the preferred stock will be computed on the basis of a
360-day year, twelve 30-day months and will be deemed to accrue on a daily
basis from January 1, 2003. Dividends will be payable beginning on July 1,
2003. For a discussion of certain federal income tax considerations relevant
to the payments of dividends on the preferred stock, see "United States
Federal Income Tax Consequences of the Exchange Offer."
Dividends on the preferred stock will accrue whether or not we have earnings
or profits, whether or not there are funds legally available for the payment
of dividends and whether or not dividends are declared. Dividends will
accumulate to the extent they are not paid when due for the period to which
they relate.
If at any time cash dividends on the preferred stock are then unpaid for
five dividend periods with respect to which cash dividends are required,
holders of the preferred stock, together with the holders of any other class
or series of capital stock with similar voting rights, will be entitled to
elect two directors to our board of directors. See "Description of the
Preferred Stock--Election of Additional Directors."
For so long as we fail to pay or declare and set aside for payment any
required dividends on the preferred stock for any dividend period:
o no dividends or other distributions will be declared or paid or set apart
for payment upon shares ranking junior to or equal to the preferred
stock, other than partial dividends paid proportionately;
o no shares ranking junior to or equal with the preferred stock (including
shares held by our affiliates) will be redeemed, purchased or otherwise
acquired for any consideration and no monies will be paid or made
available for a sinking fund for our redemption of those shares;
o no distributions on our capital stock will be made, until such time as
full dividends on all outstanding preferred stock have been (1) paid for
two consecutive dividend periods, or (2) declared and set aside for
payment for two consecutive dividend periods;
56
o declare or pay any dividend or make any other payment or distribution on
account of any of our or our subsidiaries' equity interests, other than
dividends payable in equity interests; and
o without the consent of the holders of a majority of the outstanding
shares of preferred stock, we cannot pay any dividend or other
distribution in respect of, or purchase, redeem or otherwise retire for
value, any shares of capital stock held by the Millers, our principal
stockholders.
No dividends on the preferred stock shall be paid by us if (1) the terms and
provisions of any of our agreements prohibit the payment of dividends or
provide that the payment of dividends would constitute a breach of or a
default under the agreement, or (2) the payment of dividends is restricted or
prohibited by law. We are not a party to and will not enter into any agreement
that restricts our compliance with the certificate of designations.
For a discussion of the tax treatment of distributions to holders, see
"United States Federal Income Tax Consequences of the Exchange Offer."
Voting Rights--General
Holders of the preferred stock will have no voting rights, except as
required by law and as provided in the certificate of designations.
Election of Additional Directors
To the extent permitted by law, if at any time cash dividends on the
preferred stock are then unpaid for five dividend periods with respect to
which cash dividends are required, the holders of the preferred stock,
together with the holders of any class or series of capital stock, with
similar voting rights, will have the right, voting separately as one class,
and until terminated as provided below, to elect two directors for newly
created directorships on our board of directors. At no time will the number of
directors on the board exceed ten during the time that the preferred shares
are outstanding, unless we have received approval from the holders of at least
a majority of the preferred stock to increase such number.
At any time when the right to elect these additional directors is vested but
has not yet terminated, we will call a special meeting of the holders of the
preferred stock to fill these directorships. When dividends on the preferred
stock have been paid in full for four consecutive dividend periods, the voting
rights of the holders of the preferred stock to elect two directors as
described above will terminate, subject to revesting in the event of each and
every one of our subsequent failures to pay dividends on five dividend periods
as described above. Any vacancies with respect to these additional directors,
if the right to elect the directors is vested, shall be filled by an
affirmative vote of the holders of at least a majority of the preferred stock.
Any directors who will have been elected by the holders of the preferred
stock and holders of capital stock whose voting rights have vested, as
described above, may be removed at any time, either with or without cause, by
the affirmative vote of the holders of record of a majority of the outstanding
shares of preferred stock and capital stock whose voting rights are vested as
described above, voting separately as one class, at a duly held meeting of the
holders of the preferred stock and the holders of the capital stock. Upon
termination of the voting rights described above, the term of office of all
directors elected by the holders of the preferred stock then in office will
terminate unless otherwise required by law. Upon termination, the number of
directors constituting the board of directors will be reduced by two, subject
always to the increase in number of directors pursuant to the above described
provisions in case of the future vesting of the right of holders of the
preferred stock to elect directors.
The directors elected in the manner described above will be entitled to one
vote each on any and all matters on which the other directors are entitled to
vote.
Any holder of preferred stock who is an affiliate of ours shall not be
entitled to vote pursuant to the above described voting right, and no voting
right shall vest with respect to the preferred stock held by the affiliate.
57
Optional Redemption
The preferred stock may be redeemed at our option on a pro rata basis at any
time after the date of issuance, at the liquidation preference plus
accumulated and unpaid dividends to the date of redemption, upon not less than
30 or more than 60 days' prior written notice.
Mandatory Redemption
The holders of the preferred stock will have the right to mandatory
redemption upon the occurrence of any of the following:
o our dissolution or liquidation,
o a change of control, including the sale of substantially all of our
assets to one or more entities that are not affiliates of ours in one
transaction or in a series of related transactions,
o commencement by or against us of a case, proceeding or other action under
any law relating to bankruptcy, insolvency, reorganization or relief of
debtors,
o the sale of our company through the exercise of creditors' remedies, or
o our breach of any term of the certificate of designations that materially
and adversely affects the rights of the holders of preferred stock.
Upon the occurrence of a mandatory redemption, the holders of the preferred
stock shall be entitled to receive the liquidation preference of their stock,
plus all accrued and unpaid dividends. Upon the occurrence of a change of
control, the holders will not have a right to mandatory redemption, if:
o following in such transaction the holders of the preferred stock receive
cash or securities in an amount equal to their liquidation preference
plus accrued and unpaid dividends; or
o the holders of the preferred stock are to receive or will continue to
hold securities of the buyer in the transaction, then the holders must
have received an opinion from a nationally recognized investment banking
firm satisfactory to the holders that the buyer's financial condition is
equal to or better than ours; and
o the Millers and the holders of all other capital stock junior to the
preferred stock, in exchange for their junior securities, only receive
securities in the transaction which are junior to the securities received
by the holders of the preferred stock in such transaction.
Liquidation Rights
If our voluntary or involuntary liquidation, dissolution or winding up
occurs, the holders of the preferred stock will be entitled to receive out of
assets available for distribution to shareholders, after any distribution of
assets to which holders of stock senior to the preferred stock are entitled,
but before any distribution of assets is made to holders of shares junior to
the preferred stock, a liquidation distribution in the amount of $100 per
share, plus accrued and unpaid dividends for the then-current dividend period
whether or not declared to the date fixed for liquidation.
If, upon (a) our voluntary or involuntary liquidation, dissolution or
winding up or merger with or into any other entity that is not an affiliate of
ours, the consolidation or merger of any other entity that is not an affiliate
of ours with or into us, or the sale of all or substantially all of our
property or business to an entity that is not an affiliate of ours, amounts
payable with respect to the preferred stock and any shares ranking equal to
the preferred stock are not paid in full, then the holders of the preferred
stock and any other equal shares will share ratably in any distribution of
assets in proportion to the full liquidation preference to which they would
otherwise be entitled. After payment of the full amount of the liquidating
distributions to which they are entitled, the holders of preferred stock will
have no right or claim to any of our remaining assets.
58
Amendment
Other than in connection with a special funding event as described below, we
will not amend our certificate of incorporation, bylaws or other charter
documents so as to adversely affect the rights of the holders of the preferred
stock without obtaining the written consent of the holders of at least a
majority of the preferred stock. In connection with the consummation of a
special funding event, we may amend our certificate of incorporation to create
a new class of securities having powers, preferences or special rights senior
to or equal with the preferred stock.
Reacquired Shares
Any preferred stock purchased, redeemed or otherwise acquired by us will be
retired and cancelled. The shares will become authorized but unissued shares
of preferred stock, no longer designated as preferred stock and subject to
reissuance as part of a new series or class of preferred stock if so
designated by our board of directors.
Preemptive Rights; Sinking Fund
The holders of the preferred stock will have no preemptive rights with
respect to the issuance of any shares of our capital stock or any of our
securities convertible into, exercisable or exchangeable for, or carrying
rights or options to purchase shares of our capital stock. The shares of
preferred stock are perpetual and are not convertible into shares of our
common stock or any other class or series or our capital stock and will not be
subject to any sinking fund.
Restrictions on Transfer
Holders of preferred stock may not assign all or any part of their shares of
preferred stock unless:
o the assignee is a qualified institutional buyer, as defined in Rule 144A
promulgated under the Securities Act of 1933, as amended, who also is a
qualified purchaser as defined in Section 2(a)(51)(a) under the
Investment Company Act; and
o the holder of preferred stock also assigns to such assignee all or a
corresponding equal number of shares of the common stock of Delta Funding
Residual Management, Inc. and membership interests in Delta Funding
Residual Exchange Company, LLC owned by the holder of preferred stock.
59
DESCRIPTION OF DELTA FUNDING RESIDUAL EXCHANGE COMPANY, LLC
General
Delta Funding Residual Exchange Company, LLC has been created to facilitate
the exchange offer. It will not conduct any business and its sole purpose will
be to hold mortgage-related securities now held by us or by our affiliates. At
the conclusion of the exchange offer, the noteholders will own all of the
voting membership interests of Delta Funding Residual Exchange Company, LLC.
Delta Funding Residual Management, Inc. will hold a non-voting membership
interest. We will hold a non-voting membership interest. As holders of the
membership interests of Delta Funding Residual Exchange Company, LLC, the
noteholders will be able to receive, in the form of limited liability company
distributions, cashflows generated by the mortgage-related securities so long
as these exceed the expenses incurred by Delta Funding Residual Exchange
Company, LLC.
Terms of Delta Funding Residual Exchange Company, LLC's Operating Agreement
The following summary sets forth the material terms and provisions of Delta
Funding Residual Exchange Company, LLC's operating agreement. It does not
purport to be a complete summary of Delta Funding Residual Exchange Company,
LLC's operating agreement. A copy of the operating agreement has been filed as
an exhibit to this registration statement of which this prospectus forms a
part.
Manager: Delta Funding Residual Management, Inc. will
serve as the managing member of Delta Funding
Residual Exchange Company, LLC. The managing
member will have sole responsibility for
managing the business and affairs of Delta
Funding Residual Exchange Company, LLC and shall
have full power to do any and all acts
necessary, incidental or convenient to, or for
the furtherance of, the purposes described in
Delta Funding Residual Exchange Company, LLC's
operating agreement.
Allocation of Profits: Profits for any fiscal year or other period
shall be allocated among the holders of Delta
Funding Residual Exchange Company, LLC's
membership interests as follows:
First, excess inclusion income in respect
to the mortgage-related securities shall be
allocated to Delta Funding Residual
Management, Inc.;
Second, any remaining profits shall be
allocated to holders of the voting
membership interests of Delta Funding
Residual Exchange Company, LLC in
proportion to, and to the extent of, any
losses allocated to them pursuant to Delta
Funding Residual Exchange Company, LLC's
operating agreement;
Third, any remaining profits shall be
allocated to us to permit us to pay a
portion of our settlement obligations to
the New York State Department of Banking;
Fourth, fifteen percent of any remaining
profits in respect of any period ending on
or before the end of the 36th full calendar
month following the consummation of the
exchange offer, and ten percent of any such
remaining profits in respect of any period
thereafter, shall be allocated to us;
Fifth, any remaining profits shall be
allocated to us to pay the balance of our
settlement obligations to the New York
State Department of Banking;
Sixth, any remaining profits shall be
allocated to the holders of the voting
membership interests of Delta Funding
Residual Exchange Company, LLC in
proportion to their percentage interests.
60
Allocation of Losses: Losses for any fiscal year or other period shall
be allocated among the holders of the membership
interests of Delta Funding Residual Exchange
Company, LLC as follows:
First, excess inclusion losses, if any,
from the mortgage-related securities shall
be allocated to Delta Funding Residual
Management, Inc. to the extent of the
positive balance, if any, in their
respective capital account;
Second, losses shall be allocated to us to
the extent of our excess profits.
o Our excess profits shall equal the
excess, if any, of (x) the aggregate
amount of profits allocated to us to pay
a portion of our settlement obligations
to the New York State Department of
Banking, and (y) the sum of (1) the
aggregate amount of losses allocated to
us pursuant to Delta Funding Residual
Exchange Company, LLC's operating
agreement for all prior periods, plus
(2) the aggregate amount of available
cash that has been distributed to us to
pay the balance of our settlement
obligations to the New York State
Department of Banking for all periods.
Third, any remaining losses shall be
allocated to the holders of the voting
membership interests of Delta Funding
Residual Exchange Company, LLC in
proportion to their percentage interests.
Distributions: Delta Funding Residual Exchange Company, LLC
will distribute the cash generated by mortgage-
related securities in the following order of
priority:
o to Delta Funding Residual Management, Inc. to
permit it to pay any expenses it incurs as
our managing member;
o to Delta Funding Residual Management, Inc. to
permit it to pay income tax liabilities
related to the mortgage-related securities
(all of which income tax liabilities will be
allocated under Delta Funding Residual
Exchange Company, LLC's operating agreement
to it for income tax purposes);
o loan an amount of cash to Delta Funding
Residual NIM Company, LLC, sufficient to
permit it to pay income taxes arising in
connection with the excess cashflow
certificates relating to and underlying the
net interest margin owner trust certificate,
until ninety percent of the non-voting
membership interests in Delta Funding
Residual NIM Subsidiary, LLC are transferred
to Delta Funding Residual Exchange Company,
LLC;
o to us to permit us to pay a portion of our
settlement obligations to the New York State
Department of Banking;
o to us fifteen percent of the remaining cash
after all of the distributions described
above have been made, except that after three
years this distribution amount will be
reduced to ten percent;
o to us to permit us to pay the balance of our
settlement obligations to the New York State
Department of Banking; and
o to the holders of the voting membership
interests of Delta Funding Residual Exchange
Company, LLC, the balance of Delta Funding
Residual Exchange Company, LLC's cash, on a
quarterly basis, and at the managing member's
discretion.
61
Dissolution: Subject to the Delaware Limited Liability Act,
Delta Funding Residual Exchange Company, LLC
shall be dissolved and its affairs shall be
wound up upon the earliest to occur of:
o the expiration of the term of Delta Funding
Residual Exchange Company, LLC as provided in
its operating agreement;
o the sale or distribution by Delta Funding
Residual Exchange Company, LLC of all or
substantially all of its assets; or
o the written consent of holders of the voting
membership interests of Delta Funding
Residual Exchange Company, LLC representing
not less than two-thirds of all holders of
the voting membership interests of Delta
Funding Residual Exchange Company, LLC and
us.
Any other provision of Delta Funding Residual
Exchange Company, LLC's operating agreement to
the contrary notwithstanding, no withdrawal,
assignment, removal, bankruptcy, insolvency,
death, incompetency, termination, dissolution or
distribution with respect to any member or any
membership interest will effect a dissolution of
Delta Funding Residual Exchange Company, LLC.
Amendments: Delta Funding Residual Exchange Company, LLC's
operating agreement may be amended with (but
only with) our written consent, and the consent
of a majority in interest of the holders of the
voting membership interests and Delta Funding
Residual Management, Inc.
Assets of Delta Funding Residual Exchange Company, LLC
Upon consummation of the exchange offer, the assets of Delta Funding
Residual Exchange Company, LLC will be comprised of:
o excess cashflow certificates now held by two special purpose vehicles,
Delta Funding Residual Holding Trust 2000-1 and Delta Funding Residual
Holding Trust 2000-2, except for the net interest margin owner trust
certificate and the related excess cashflow certificates, and any assets
generated by the excess cashflow certificates;
o all cash and other property held by the two residual holding trusts at
the time of the consummation of the exchange offer;
o ten percent of the voting membership interests in Delta Funding Residual
NIM Subsidiary, LLC;
o the owner trust certificate representing ownership of Delta Non-
Performing Loan Trust 2000-1, a business trust owning certain non-
performing loan receivables; and
o fifty percent of the notes tendered in the exchange offer and not
cancelled by Delta Funding Residual Exchange Company, LLC.
Upon consummation of the exchange offer Delta Funding Residual Holding Trust
2000-1 will transfer a net interest margin owner trust certificate to Delta
Funding Residual NIM Subsidiary, LLC. Delta Funding Residual NIM Company, LLC,
the parent of Delta Funding Residual NIM Subsidiary, LLC, will transfer ninety
percent of the non-voting membership interests in Delta Funding Residual NIM
Subsidiary, LLC to Delta Funding Residual Exchange Company, LLC at such time
as the the net interest margin security holders are paid in full. The only
asset of Delta Funding Residual NIM Subsidiary, LLC will be a NIM owner trust
certificate the related excess cashflow certificates, and the underlying
excess cashflow certificates.
The mortgage related assets which are being transferred to Delta Funding
Residual Exchange Company, LLC are substantially all of the assets which
currently secure the senior secured notes. The only mortgage-related
securities which previously secured the senior secured notes which are not
being transferred to the Delta Funding Exchange Company, LLC are certain
excess cashflow certificates, the release of which was
62
approved expressly by the holders of the senior secured notes. Management
responded to the requests of its creditors, including the holders of the
senior secured notes.
The assets held by Delta Funding Residual Exchange Company, LLC are
difficult to value. There is no ready market for these mortgage-related
securities. As a result, there are no available market rates or market prices.
We have not asked an independent third party to value these securities.
Below, we describe how we determine the value of these assets. We believe our
calculation of value is reasonable; however, our estimates may prove not to be
accurate or complete. The value of these assets is based on a number of
assumptions concerning factors which are outside of our control. Our
assumptions may not be correct. The fair value of these assets also depends
largely on the structure of the related securitization transaction. We have
described the assumptions we use in determining the value of these securities
under "Summary Pro Forma Financial Data for Delta Funding Residual Exchange
Company, LLC" starting on on page 12. You should read the information in this
section together with the information provided on page 12. We have described
below the types of securitization structures we use and we provide you with
information concerning each of these securitization trusts.
You may obtain additional information concerning each of the securitization
trusts by referring to Exhibits A through V included in this prospectus.
Description of the Underlying Mortgage-Related Securities
Excess Cashflow Certificates
The excess cashflow certificates represent an ownership interest in a
securitization trust. The assets of each securitization trust consist
primarily of two groups of mortgage loans: a group of fixed rate mortgage
loans and a group of adjustable rate mortgage loans. We refer to the loans
included in each securitization trust as the related mortgage pool. The
mortgage loans in each mortgage pool consist of fully amortizing and balloon
mortgage loans secured by first or second liens primarily on one- to four-
family residential real properties having original terms to stated maturity of
not greater than 30 years.
Excess cashflow certificates represent a subordinate right to receive excess
cashflow, if any, generated by the related mortgage pool. Excess cashflow
certificates represent the difference between the interest payments due on the
loans sold to the securitization trust and the interest payments due, at the
pass-through rates, to the holders of the pass-through certificates of the
same series, less contractual servicing fees, trustee fees and any insurer
premiums, reimbursements and other costs and expenses of administering the
securitization trust. The holder of an excess cashflow certificate only will
receive cash if there are any remaining amounts following payment of all
amounts owing on all other securities of the securitization and the payment of
expenses.
The excess cashflow of a securitization trust in any month is applied:
o first, to cover any losses on the mortgage loans in the related mortgage
pool,
o second, to reimburse the insurer, if any, of the related series of pass-
through certificates for amounts paid by or otherwise owing to that
insurer,
o third, to build or maintain the overcollateralization for that
securitization trust at the required level by being applied as an
accelerated payment of principal to the holders of the pass-through
certificates of the related series,
o fourth, to reimburse holders of the subordinated certificates of the
related series of pass-through certificates for unpaid interest and for
any losses previously allocated to those certificates,
o fifth, to pay interest on the related pass-through certificates which was
not paid because of the imposition of a cap on their pass-through rates--
these payments being called basis risk shortfall amounts, and
o sixth, to the related excess cashflow certificates.
63
In addition, if the required level of overcollateralization for a
securitization trust is allowed to step down, or decrease in amount, pursuant
to the terms of the related pooling and servicing agreement, the related
excess cashflow certificates will receive a portion of the principal payments
on the mortgage loans in the related mortgage pool.
Typically, the excess cashflow certificates begin to receive cashflow
approximately eighteen to twenty-four months after the completion of a
securitization, with the specific timing of the cashflows depending on the
structure and performance of the securitization. Initially, securitization
trusts utilize any available excess cashflows to make additional payments of
principal on the pass-through certificates in order to establish a spread
between the principal amount of the securitization trust's outstanding loans
and the amount of outstanding pass-through certificates.
Set forth below is a list of the mortgage-related securities that Delta
Funding Residual Holding Trust 2000-1 and Delta Funding Residual Holding Trust
2000-2 will transfer to Delta Funding Residual Exchange Company, LLC at the
time of the consummation of the exchange offer.
Name and Series of the Percentage Interest
Securitization Trust Classes of Certificates in the Class Being Transferred
- -------------------- ----------------------- ------------------------------
Delta Funding Non-Performing
Loan Trust 2000-1 ............................... owner trust certificate 100%
CTS Home Equity Loan Trust 1994-2................. R 75%
Delta Residual Interest Trust 1995-1.............. B 100% (represents 62.5% of
Delta Funding Home Equity Loan
Trust 1995-1, Class R-1 and R-2)
Delta Funding Home Equity Loan Trust 1995-2....... R 99.999999%
Delta Funding Home Equity Loan Trust 1998-2....... R-1; R-2 99.999999%
Delta Funding Home Equity Loan Trust 1998-2....... R-1; R-2 0.000001%
Delta Funding Home Equity Loan Trust 1999-2....... BIO 100%
Delta Funding Home Equity Loan Trust 1999-2....... R-1; R-2; R-3 99.999999%
Delta Funding Home Equity Loan Trust 1999-2....... R-1; R-2; R-3 0.000001%
Delta Funding Home Equity Loan Trust 2000-1....... BIO 100%
Delta Funding Home Equity Loan Trust 2000-1....... R-1; R-2; R-3 99.999999%
Delta Funding Home Equity Loan Trust 2000-1....... R-1; R-2; R-3 0.000001%
Delta Funding Home Equity Loan Trust 2000-2....... BIO 100%
Delta Funding Home Equity Loan Trust 2000-2....... R-1; R-2; R-3 99.999999%
Delta Funding Home Equity Loan Trust 2000-2....... R-1; R-2; R-3 0.000001%
Delta Funding Home Equity Loan Trust 2000-3....... BIO 100%
Delta Funding Home Equity Loan Trust 2000-3....... R-1; R-2; R-3 99.999999%
Delta Funding Home Equity Loan Trust 2000-3....... R-1; R-2; R-3 0.000001%
Delta Funding Home Equity Loan Trust 2000-4....... BIO 100%
Delta Funding Home Equity Loan Trust 2000-4....... R-1; R-2; R-3 99.999999%
Delta Funding Home Equity Loan Trust 2000-4....... R-1; R-2; R-3 0.000001%
64
Set forth below is a list of the mortgage-related securities that Delta
Funding Residual Holding Trust 2000-1 and Delta Funding Residual Holding Trust
2000-2 will transfer to Delta Funding Residual NIM Subsidiary, LLC upon
consummation of the exchange offer.
Name and Series of the Percentage Interest
Securitization Trust Classes of Certificates in the Class
- -------------------- ----------------------- ------------
Delta Funding NIM Trust 2000-1*................... owner trust certificate 100%
Delta Funding Home Equity Loan Trust 1997-3....... R-1; R-2 0.000001%
Delta Funding Home Equity Loan Trust 1997-4....... R-1; R-2 0.000001%
Delta Funding Home Equity Loan Trust 1998-1....... R-1; R-2 0.000001%
Delta Funding Home Equity Loan Trust 1998-3....... R-1; R-2; R-3 99.999999%
Delta Funding Home Equity Loan Trust 1998-3....... R-1; R-2; R-3 0.000001%
Delta Funding Home Equity Loan Trust 1998-4....... R-1; R-2; R-3 99.999999%
Delta Funding Home Equity Loan Trust 1998-4....... R-1; R-2; R-3 0.000001%
Delta Funding Home Equity Loan Trust 1999-1....... R-1; R-2; R-3 99.999999%
Delta Funding Home Equity Loan Trust 1999-1....... R-1; R-2; R-3 0.000001%
- ---------------
* The following excess cashflow certificates underlie the net interest margin
trust: Delta Funding Home Equity Loan Trust 1997-3, Class R-1 and R-2; Delta
Funding Home Equity Loan Trust 1997-4, Class R-1 and R-2; Delta Funding Home
Equity Loan Trust 1998-1, Class R-1 and R-2; Delta Funding Home Equity Loan
Trust 1998-3, Class BIO; Delta Funding Home Equity Loan Trust 1998-4, Class
BIO; and Delta Funding Home Equity Loan Trust 1999-1, Class BIO. These
excess cashflow certificates will be released once the NIM trust is
dissolved.
Set forth below is a list of the excess cashflow certificates that will be
owned by Delta Funding Residual NIM Subsidiary, LLC once the NIM trust
security holders are paid in full.
Name and Series of the Percentage Interest
Securitization Trust Classes of Certificates in the Class
- -------------------- ----------------------- ------------
Delta Funding Home Equity Loan Trust 1997-3....... R-1, R-2 99.999999%
Delta Funding Home Equity Loan Trust 1997-3....... R-1; R-2 0.000001%
Delta Funding Home Equity Loan Trust 1997-4....... R-1; R-2 99.999999%
Delta Funding Home Equity Loan Trust 1997-4....... R-1; R-2 0.000001%
Delta Funding Home Equity Loan Trust 1998-1....... R-1, R-2 99.999999%
Delta Funding Home Equity Loan Trust 1998-1....... R-1; R-2 0.000001%
Delta Funding Home Equity Loan Trust 1998-3....... BIO 100%
Delta Funding Home Equity Loan Trust 1998-3....... R-1; R-2; R-3 99.999999%
Delta Funding Home Equity Loan Trust 1998-3....... R-1; R-2; R-3 0.000001%
Delta Funding Home Equity Loan Trust 1998-4....... BIO 100%
Delta Funding Home Equity Loan Trust 1998-4....... R-1; R-2; R-3 99.999999%
Delta Funding Home Equity Loan Trust 1998-4....... R-1; R-2; R-3 0.000001%
Delta Funding Home Equity Loan Trust 1999-1....... BIO 100%
Delta Funding Home Equity Loan Trust 1999-1....... R-1; R-2; R-3 99.999999%
Delta Funding Home Equity Loan Trust 1999-1....... R-1; R-2; R-3 0.000001%
The Certificates. Each excess cashflow certificate is an excess cashflow
certificate that we or one of our affiliates retained in connection with one
of our securitizations.
With respect to each securitization trust, we made one or more separate
elections to treat portions of that securitization trust as a real estate
mortgage investment conduit, or REMIC, for federal income tax purposes. Each
Class BIO certificate is a "regular interest" in a REMIC and each Class R
certificate is a "residual interest" in a REMIC. REMICs are groups of
mortgages or mortgage related assets, generally included in a trust, that make
a special election to be treated as a REMIC under the Internal Revenue Code.
Being treated as a REMIC provides certain tax benefits.
There are two types of interests in REMICs, residual interests and regular
interests. The residual interests usually are called Class R certificates.
Some residual interests may generate cash flow as well as taxable income.
Other residual interests generate no cash flow, but only taxable income in
early years which may be offset by taxable losses generated in later years.
Taxable income from residual interests that will not
65
necessarily generate cash flow, and all or some of the taxable income from
residual interests that may generate cash flow, is subject to special tax
rules. It is called "excess inclusion income," and, among other disadvantages,
may not be offset by a taxpayer's losses (including net operating loss
carryover) and is subject to tax in the hands of pension plans and other
usually tax-exempt entities.
The other type of interest in a REMIC is a regular interest. Regular
interests are taxed as if they were debt instruments, even if, as is the case
with the BIO Classes, they economically resemble excess cashflow certificates.
Regular interests do not create excess inclusion income.
Residuals that may generate cash and residuals that will not generate cash,
as well as BIO interests, will be held by the Delta Funding Residual Exchange
Company, LLC.
A net interest margin certificate is an interest in a securitization trust,
in this case, a net interest margin trust. The net interest margin trust will
contain Class R interests and BIO interests. The net interest margin trust has
issued debt securities to public investors. All cash flow from the net
interest margin trust will be used to pay off the debt securities. Once the
debt securities are paid off, the net interest margin certificate becomes an
undivided interest in the Class R and BIO interests held by the net interest
margin trust.
Fair Values of Excess Cashflow Certificates. We record the values of the
excess cashflow certificates on our balance sheet, and corresponding amounts
on our statement of operations based upon their fair value. We estimate the
fair value at the date of the applicable securitization based on the stated
terms of the transferred loans adjusted for estimates of future prepayments
and defaults that may occur among those loans. The fair value of the excess
cashflow certificates is reduced for distributions which are received from the
related securitization trust, and is adjusted for subsequent changes in the
fair value of these certificates. We have determined the fair value of excess
cashflow certificates based on various economic factors, including loan type,
sizes, interest rates, dates of origination, terms and geographic locations.
We also use other available information such as reports on prepayment rates,
interest rates, collateral value, economic forecasts, and historical default
and prepayment rates of the loan portfolio.
Although we believe our fair value estimates for the excess cashflow
certificates are reasonable and may be realized, the prepayment rate and the
default amounts we used are estimates. Actual experience may vary. For
instance, actual prepayment rates may vary from the assumed prepayment rate
because of a change in interest rates (a decrease in interest rates may
motivate borrowers to refinance their loans, thereby increasing prepayments),
a change in the economy (in times of economic prosperity, borrowers' credit
profiles may improve, which may provide them with credit at lower interest
rates, thereby increasing prepayments), or simply from increased competition
(which could drive down the interest rates charged to borrowers, thereby
increasing prepayments). Higher than anticipated prepayment or loss rates
would require the fair value of the excess cashflow certificates to be written
down. Similarly, if delinquencies, liquidations or interest rates were greater
than initially assumed, the fair value of the excess cashflow certificates
would be negatively impacted. Our prepayment and default assumptions are based
upon the seasoning of our existing securitization loan portfolio.
Underlying Assumptions for Fair Value Analysis. The underlying assumptions
we used to determine the fair value of the excess cashflow certificates are as
follows:
o an annual discount rate of 13.0%;
o a default reserve for both fixed- and adjustable-rate loans sold to the
securitization trusts of 3.50%; and
o prepayment rate assumptions are based upon our ongoing analysis of
industry and specific mortgage pool trends.
Discount Rate. We use a discount rate which we believe is commensurate with
the risks associated with our securitization assets. While quoted market
prices on comparable interest-only strips are not available, we have performed
comparisons of our valuation assumptions and performance experience to our
competitors' in the non-conventional mortgage industry. Our 13% discount rate
takes into account the asset quality and the performance of our securitized
assets compared to industry asset quality and the performance and other
characteristics of our securitized loans described below. We quantify the
risks associated with our securitization assets by comparing the asset quality
and payment and loss performance experience of the
66
underlying securitized mortgage pools to comparable industry performance. We
believe that the practice of many companies in the non-conventional mortgage
industry has been to add a spread for risk to the all-in cost of
securitizations to determine their discount rate. From these comparisons, we
have identified a spread which we add to the all-in cost of our mortgage loan
securitization trusts' investor certificates.
We believe the following data supports our 13% discount rate:
o public data on other lenders with similar collateral who are servicing
their own loan portfolio use an average discount rate between 10%-15%;
o we have underlying loan collateral with fixed yields higher than others
in the non-conventional mortgage industry. The average coupons of our
securitized mortgage loans exceed the industry average by 100 basis
points or more. Approximately 70%-75% of our loans have fixed interest
rates which generally are more predictable than loans with adjustable
rates;
o we have a portfolio mix of first and second mortgage loans of 90-95% and
5-10%, respectively. We believe our high proportion of first mortgages
results in lower delinquencies and losses; and
o we have a portfolio credit grade mix comprised of 81% A and B credit, and
19% C and D credit. In addition, our loss experience generally is below
that experienced by others in the non-conventional mortgage industry.
Default Rate. Our default reserve assumption reflects our belief that:
o prepayment speeds generally will be slower than in the past;
o the rise in home values will be flat or slightly moderate as compared to
the past few years; and
o borrowers will therefore be less able to refinance their mortgages to
avoid default which may have an adverse effect on our non-performing
loans in the underlying securitizations trust.
The discount rate we use to determine the present value of cashflows from
excess cashflow certificates reflects increased uncertainty surrounding
current and future market conditions, including without limitation, inflation,
recession, home prices, interest rates and equity markets.
Some of the excess cashflow certificates support floating rate pass-through
certificates, which are susceptible to interest rate risk, positive or
negative, associated with a movement in short-term interest rates.
Prepayment Rates. We base our prepayment rate assumptions upon the
performance of mortgage pools we previously securitized, and the performance
of similar pools of mortgage loans securitized by others in the industry. We
apply different prepayment speed assumptions to different loan product types
because it has been our experience that different loan product types exhibit
different prepayment patterns. Generally, loans can be grouped into two loan
products - fixed rate loans and hybrid loans. With fixed rate loans, an
underlying borrower's interest rate remains fixed throughout the life of the
loan. With a hybrid loan, the rate generally remains fixed for typically the
first three years of the loan, and then adjusts typically every six months
thereafter. We had previously originated adjustable rate loans. However, we
stopped originating these loans in 1998. Currently, these loans represent less
than 5% of the total loans outstanding underlying the pool of mortgages in
securitization trusts which have issued excess cashflow certificates. With
adjustable rate loans, the borrower's interest rate adjusts throughout the
life of the loan, typically every six months.
The table below shows a prepayment rate comparison between fixed-rate and
adjustable-rate mortgage loans.
67
Fixed-Rate Mortgages/Adjustable-Rate Mortgages Prepayment Comparison
Historical vs. Assumption as of December 31, 2000
Historical as a %
Historical Assumption of Assumption
---------- ---------- -------------
Fixed Rate Mortgage Loan
prior three-month weighted average rate
(based upon an annualized percentage)............................................ 15.20% 19.20% 79%
prior six-month weighted average rate
(based upon an annualized percentage) ........................................... 15.30% 19.60% 78%
Hybrid Rate Mortgage Loan
prior three-month weighted average rate
(based upon an annualized percentage)............................................ 21.60% 23.20% 93%
prior six-month weighted average rate
(based upon an annualized percentage) ........................................... 23.10% 24.80% 93%
Within each product type, other factors can affect prepayment rate
assumptions. Some of these factors, for instance, include:
o whether or not a loan contains a prepayment penalty - an amount that a
borrower must pay to a lender if he or she prepays the loan within a
certain time after the loan was originated. Loans containing prepayment
penalty typically do not prepay as quickly as those without such a
penalty.
o as is customary with hybrid and adjustable rate mortgage loans, the
initial interest rate charged to the borrower is artificially lower than
typically between 1-2% below the adjusted rate. Generally, once the
hybrid or adjustable rate mortgage begins adjusting on the first
adjustment date, the interest rate payable on that loan increases, at
times fairly substantially. This interest rate increase can be
exacerbated if there is an absolute increase in interest rates. As a
result of these increases and the potential for future increases, hybrid
and adjustable rate mortgage loans typically are more susceptible to
early prepayments.
There are several reasons why a loan will prepay prior to its maturity,
including (but not limited to):
o a decrease in interest rates
o improvement in the borrower's credit profile, which may allow them to
qualify for a lower interest rate loan
o competition in the mortgage market, which may result in lower interest
rates being offered
o the borrower's sale of their home
o a default by the borrower, resulting in foreclosure by the lender
It is unusual for a borrower to prepay a mortgage loan during the first few
months because
o it typically takes at least several months after the mortgage loans are
originated for any of the above events to occur,
o there are costs involved with refinancing a loan, and
o of the existence of prepayment penalties.
Thereafter, we have found that the rate at which loans prepay will slowly
increase and stabilize, then decrease and eventually level off. Historically,
we used a "ramp" prepayment curve, in which we projected that a loan would
initially begin prepaying at a certain rate, and that rate would incrementally
increase (or "ramp up") over its first 12 months, and level off thereafter.
Commencing in 1998, we began using a "vector" curve, which is similar to a
"ramp curve" in that prepayment rates incrementally increase over a longer
period of time and then stabilize. However, as opposed to a ramp curve (which
remains constant once prepayments stabilize), we believe that a vector curve
is more representative of projected future loan prepayment experience, as it
decreases and then eventually levels off.
68
The following table shows the changes to prepayment assumptions we have made
since 1998 when we adopted the vector curve:
Month One Speed Peak Speed*
--------------------------- ---------------------------
Loan type 9/30/00 12/31/99 Prior 9/30/00 12/31/99 Prior
------- -------- ----- ------- -------- -----
Fixed Rate Loans ..................................................... 4.0% 4.0% 4.8% 23% 31% 31%
Six-Month LIBOR ARMS ................................................. 10.0% 10.0% 10.0% 50% 50% 50%
Hybrid ARMS .......................................................... 4.0% 4.0% 60% 50% 50% 50%
The fair value of the projected excess cashflows depends principally upon
prepayment and default rate assumptions. Any changes to these two assumptions
will change the future expected excess cashflows significantly. However, other
factors can influence or change the value of the expected excess cashflows
such as reserve triggers on the underlying securitization which can increase
the overcollateralization (cash reserve requirements) of the securitization
transaction. Typically, an increase in the reserve requirements will defer the
receipt of the excess cashflows because these cashflows are being used to meet
the higher reserve amounts. Below, we show the projected excess cashflows
resulting from the excess cashflow certificates which we are transferring to
Delta Funding Residual Exchange Company, LLC. After applying a 13% annualized
discount rate, the calculated value should approximate our estimate of the
fair value of the excess cashflow certificates shown below.
69
Projected Excess Cashflows. The table below shows projected gross excess
cashflows (includes cashflows on excess cashflow certificates underlying the
net interest margin owner trust certificate once the excess cashflow
certificates are transferred to Delta Funding Residual Exchange Company, LLC).
The excess cashflows shown are gross cashflows before deducting any expenses
or taxes. However, holders of the membership interests of Delta Funding
Residual Exchange Company, LLC will receive distributions only after Delta
Funding Residual Exchange Company, LLC pays its expenses and certain
distributions to us.
Projected Gross Excess Cashflows
Cumulative Present Value of
Annual Gross Cumulative Gross Gross Cashflows by Year
Year Ended Cashflows Cashflows (at beginning of period)
---------- --------- --------- ------------------------
December-01 (1).......................................... $ 6,031,199 $ 6,031,199 $152,799,000
December-02 (2).......................................... 34,565,171 40,596,370 155,957,335
December-03.............................................. 38,223,025 78,819,395 141,666,618
December-04.............................................. 35,122,374 113,941,769 121,860,253
December-05.............................................. 31,185,402 145,127,171 102,579,712
December-06.............................................. 26,614,099 171,741,270 84,729,673
December-07.............................................. 22,149,609 193,890,879 69,130,432
December-08.............................................. 17,728,666 211,619,545 55,967,778
December-09.............................................. 13,784,490 225,404,035 45,514,924
December-10.............................................. 10,184,435 235,588,470 37,647,374
December-11.............................................. 8,230,394 243,818,864 32,357,097
December-12.............................................. 6,920,854 250,739,718 28,333,126
December-13.............................................. 5,533,869 256,273,587 25,095,579
December-14.............................................. 4,470,411 260,743,998 22,824,135
December-15.............................................. 3,678,917 264,422,915 21,320,861
December-16.............................................. 3,263,846 267,686,761 20,413,656
December-17.............................................. 3,257,948 270,944,709 19,803,586
December-18.............................................. 2,919,790 273,864,499 19,120,104
December-19.............................................. 3,396,309 277,260,808 18,685,927
December-20.............................................. 6,941,028 284,201,836 17,718,788
December-21.............................................. 6,173,446 290,375,282 13,081,203
December-22.............................................. 4,441,007 294,816,289 8,608,314
December-23.............................................. 3,079,977 297,896,266 5,286,387
December-24.............................................. 1,978,856 299,875,122 2,893,640
December-25.............................................. 1,079,818 300,954,940 1,290,958
December-26.............................................. 335,907 301,290,847 378,964
December-27.............................................. 74,470 301,365,317 92,323
December-28.............................................. 27,218 301,392,535 29,855
December-29.............................................. 6,665 301,399,200 6,518
December-30.............................................. 792 301,399,991 700
- ---------------
(1) Represents excess cashflows beginning July 2001 through December 2001.
(2) Our estimates provide for the net interest margin securities issued to
investors to be paid off in 2002. At such time Delta Funding Residual
Exchange Company, LLC will acquire the excess cashflow certificates
underlying the net interest margin owner trust certificate, and the
cashflow from such excess cashflow certificates will begin to be realized
by Delta Funding Residual Exchange Company, LLC.
The excess cashflows above are based upon our current assumptions at March
31, 2001. Actual results could vary significantly from the projections due to
a variety of facts, including changes in interest rates, economic conditions,
servicer defaults, loan defaults, prepayments, and delinquency triggers
resulting in changes in the level of cash held by the securitization trust to
prepay the holders of its asset backed pass-through certificates. See "Credit
Enhancement Structure of Related Securitization Trusts for Excess Cashflow
Certificates" below.
The holders of the membership interests will not receive any distributions
from these cashflows until Delta Funding Residual Exchange Company, LLC has
paid its expenses and fees, and made preferential payments to us.
70
Projected Expenses. The expected annual expenses that will be incurred by
Delta Funding Residual Exchange Company, LLC include the following:
Custodian fees (1).................................................. $550,000
REMIC and LLC tax work (2).......................................... 155,000
Paying Agent (3).................................................... 20,000
--------
Total estimated annual expenses.................................... $725,000
- ---------------
(1) Custodian fees decrease each year as mortgage loans underlying the excess
cashflow certificates are paid off.
(2) Does not include an initial $100,000 expense for KPMG LLC arising in
connection with fees to be paid for delivery of a tax opinion.
(3) Bank fees and other charges in connection with paying cash distributions to
Delta Funding Residual Exchange Company, LLC members.
The expenses above do not include unusual or unexpected fees that may be
incurred from time to time by Delta Funding Residual Exchange Company, LLC for
such matters as legal or accounting services. The type and amounts of these
unusual or unexpected expenses cannot be predicted.
New York State Banking Department Settlement Payments. Additionally, Delta
Funding Residual Exchange Company, LLC will be responsible for making payments
to us to permit us to pay a portion of our settlement obligations to the New
York State Department of Banking. The amounts below may vary subject to
prepayments by the borrowers on the mortgages underlying the excess cashflow
certificates. If prepayments by the borrowers are higher than anticipated the
actual expenses will be lower than what is projected. If prepayments by the
borrowers are lower than anticipated the actual expenses will be higher than
what is projected below.
Annual Banking
Year Ended Department Payment
---------- ------------------
December-01(1)............................................ $258,600
December-02............................................... 477,150
December-03............................................... 438,400
December-04............................................... 398,150
December-05............................................... 357,150
December-06............................................... 313,400
December-07............................................... 273,900
December-08............................................... 222,150
December-09............................................... 197,600
December-10............................................... 197,500
December-11............................................... 197,250
December-12............................................... 197,000
December-13............................................... 194,000
December-14............................................... 192,750
December-15............................................... 188,750
December-16............................................... 188,750
December-17............................................... 188,750
December-18............................................... 187,500
December-19............................................... 185,750
December-20............................................... 184,000
December-21............................................... 169,500
December-22............................................... 166,110
December-23............................................... 162,788
December-24............................................... 159,532
December-25............................................... 156,341
December-26............................................... 153,215
December-27............................................... 150,150
December-28............................................... 147,147
- ---------------
(1) Represents only six months -- July 2001 through December 2001.
71
Tax Payments. It is extremely difficult to calculate or predict the amount
of tax liability that will be associated with the excess cashflows. In one of
our typical securitizations, we incur a larger percentage of tax liability in
the first five years of the transaction, compared to years six through 30.
This is due primarily to two factors:
o we generally have used a securitization structure that issues 1-, 2-, 3-,
5-, and 10-year securities that pay the investor of each security
sequentially. This means that the principal collected is first applied to
pay down the shortest average life security in full (e.g., the 1-year
security has a shorter average life than a 2-year security, and so
forth), before the other securities are paid down. Because the shorter
average life securities typically carry a lower coupon (or interest rate
payable to the investor), the "spread" payable to the holder of the
excess cashflow certificate decreases as these shorter average life
securities are paid off. In addition, original issue discount, or OID,
which is typically expensed over the life of the securitization,
exacerbates the effect because there is less profitability to deduct the
OID against in later years. The effect is further enhanced in
approximately the fifth year when the cashflows from the excess cashflow
certificates are used to repay deeply discounted discount bonds (i.e.,
bonds that are sold below par, with par being 100 cents on the dollar).
o cashless or "phantom" income is generated by the excess cashflow
certificates. This results in taxable liability without the benefit of
actual cashflows to pay for it. Phantom income is typically generated
when the cashflows from the excess cashflow certificates are used to
create overcollateralization (i.e., pay down the asset-backed
securities), rather than paid to the excess cashflow certificate holder.
Cashflows from excess cashflow certificates are used to build
overcollateralization either in the first 18 to 24 months of a
securitization or at a later time when a delinquency trigger has been
exceeded and requires the overcollaterization amount to be increased.
While some of the excess cashflow certificates are likely to generate
phantom income over much of their lives, the majority of this phantom
income is projected to occur within the first few years of the
securitization when the initial overcollateralization is funded with cash
flows from the excess cashflow certificates.
For illustration purposes only, assume that we complete a securitization in
which we anticipate (using our current gain on sale assumptions) receiving $10
million in cash revenue over the life of the securitization, usually 30 years.
If we assume a tax rate of 35% over the life of the securitization, we would
incur $3.5 million in taxes (35% of $10 million). However, due to the
securitization structure and phantom income effect described above, during
approximately the first five years we would expect to incur tax liability
equal to 60% to 70% of the cash revenue generated from the excess cashflow
certificates. Thereafter, we would expect the tax liability to be only 10% to
20% of the cash revenue generated by the excess cashflow certificates.
The excess cashflow certificates that are being transferred to Delta Funding
Residual Exchange Company, LLC were issued as part of securitizations that
originated six months to seven years ago. Because many of these excess
cashflow certificates were issued more than, or close to, five years ago, we
anticipate that the tax liability for the excess cashflow certificates held by
Delta Funding Residual Exchange Company, LLC will reflect the following:
o from July 2001 through December 2002, approximately 68% of the projected
cashflows, on average.
o January 2003 and thereafter, approximately 17% of the projected
cashflows, on average.
These estimates are based on many assumptions, which may or may not be
accurate. Higher than expected losses can substantially reduce the cash
revenue generated by the excess cashflow certificates, which will cause the
tax liability to be higher than projected above. Furthermore, there can be no
assurances that the tax liability will not exceed the cash revenues generated
by the excess cashflow certificates in any period.
Distributions to Delta. We will receive distributions equal to 15% for the
first three years, and 10% thereafter, of the excess cashflow after deducting
the expenses, settlement payments, and tax payments.
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Credit Enhancement Structure of Related Securitization Trusts for Excess
Cashflow Certificates.
The table set forth on the next page provides information with respect to
the excess cashflow certificates. The information is separated based upon the
type of credit enhancement structure of the related securitization trust. The
credit enhancement structure of a securitization affects both the timing and
the amount of cashflow that might be received on the related excess cashflow
certificates. The credit enhancement structures of securitization trusts
generally fall into three categories which we refer to as bond insured,
senior-sub or modified wrap.
"Bond insured" refers to a securitization trust where all of the pass-
through certificates issued by that securitization trust and sold to investors
are insured as to timely payment of interest and ultimate payment of principal
under a financial guaranty insurance policy issued by a monoline insurance
company. The insurer relies on the excess cashflow and the
overcollateralization feature to limit the likelihood that a claim will be
made on the insurance policy. In this type of transaction, the required level
of overcollateralization may increase as well as decrease based on the
delinquency and loss performance of the related mortgage pool.
"Senior-sub" refers to a securitization trust where payments on one or more
classes of the pass-through certificates are subordinated to other classes of
that series. This means that classes with a relatively higher payment priority
receive their payments before, and are allocated losses after, the class or
classes that are subordinated to those higher priority classes. A senior-sub
transaction uses excess cashflow to cover losses and to build and maintain
overcollateralization to provide protection for the lowest payment priority
class of pass-through certificates. In most cases, the required level of
overcollateralization will not increase but may be prevented from reducing or
stepping down based on the delinquency and loss performance of the mortgage
pool. In addition, if the overcollateralization is reduced to zero due to
losses on the mortgage pool, any additional losses will be allocated to the
subordinated certificates. In subsequent periods, any excess cashflow not used
to cover new losses or to restore the overcollateralization to the required
level will be used to reimburse the holders of the subordinated certificates
for unpaid interest and losses previously allocated to those certificates
before any amounts are paid on the related excess cashflow certificates.
"Modified wrap" refers to a securitization trust which includes a financial
guaranty insurance policy for some but not all of the related pass-through
certificates and one or more classes of subordinated certificates. If there is
only a single class of subordinated certificates, the transaction more closely
resembles a bond insured transaction. If more than one class of subordinated
certificates were issued, the transaction more closely resembles a senior-sub
transaction.
None of the securitizations had a reserve fund.
73
As of the April 2001 Distribution Date
Ending Mortgage
Structure/Deal Weighted Average
-------------- Mortgage Balance Certificate Balance Target OC Level(1) Actual OC Level(2) Coupon (WAC)(3)
---------------- ------------------- ------------------ ------------------ ----------------
Bond Insured
Delta 1994-2 $ 7,560,276.51 $ 6,981,549.42 $ 578,727.09 $ 578,727.09 11.49%
Delta 1995-1 10,524,064.27 9,714,444.07 1,286,497.58 809,620.20 11.92%
Delta 1995-2 27,938,622.98 24,396,610.91 3,542,012.07 3,542,012.07 11.31%
Delta 1998-3 Group I 288,595,774.85 273,465,774.85 15,130,000.00 15,130,000.00 9.95%
Delta 1998-3 Group II 11,586,037.98 9,861,037.98 1,725,000.00 1,725,000.00 12.41%
Senior-sub
Delta 1997-3 Group I $103,545,035.12 $101,701,494.88 $ 2,649,972.56 $ 1,843,540.24 10.84%
Delta 1997-3 Group II 14,151,241.92 13,411,544.30 749,995.59 739,697.62 13.03%
Delta 1997-4 Group I 143,146,567.67 139,570,456.47 3,578,664.19 3,576,111.20 10.52%
Delta 1997-4 Group II 17,341,739.83 16,491,755.64 849,984.19 849,984.19 12.95%
Delta 1998-1 Group I 164,615,233.69 155,375,233.69 9,240,000.00 9,240,000.00 10.25%
Delta 1998-1 Group II 20,748,771.69 19,343,282.94 1,167,118.41 1,405,488.75 12.95%
Delta 1998-2 Group I 218,100,072.25 213,281,694.98 5,040,000.00 4,818,377.27 10.04%
Delta 1998-2 Group II 23,660,697.03 22,998,341.72 850,000.00 662,355.31 13.13%
Delta 1999-2 316,794,931.50 311,964,931.50 4,830,000.00 4,830,000.00 9.91%
Modified Wrap
Delta 1998-4 $267,374,970.72 $261,374,970.72 $ 6,000,000.00 $ 6,000,000.00 9.97%
Delta 1999-1 261,297,268.29 255,297,268.29 6,000,000.00 6,000,000.00 10.19%
Delta 2000-1 222,592,531.79 219,357,789.47 4,625,000.00 3,234,742.33 10.85%
Delta 2000-2 248,218,279.27 245,613,733.64 4,537,500.00 2,604,545.63 11.00%
Delta 2000-3 188,516,111.05 187,317,280.94 4,500,044.45 1,198,830.11 11.74%
Delta 2000-4 112,138,586.06 111,502,606.09 2,587,489.12 635,979.97 12.32%
Current
Certificate
Weighted
Structure/Deal Average Servicer Public/
-------------- Coupon (WAC)(4) -------- Private(5)
--------------- ----------
Bond Insured
Delta 1994-2 8.31% Ocwen Private
Delta 1995-1 8.62% Ocwen Private
Delta 1995-2 8.30% Ocwen Public
Delta 1998-3 Group I 6.84% Ocwen Public
Delta 1998-3 Group II 5.81% Ocwen Public
Senior-sub
Delta 1997-3 Group I 7.11% Ocwen Public
Delta 1997-3 Group II 5.67% Ocwen Public
Delta 1997-4 Group I 6.89% Ocwen Public
Delta 1997-4 Group II 5.77% Ocwen Public
Delta 1998-1 Group I 6.36% Ocwen Public
Delta 1998-1 Group II 5.83% Ocwen Public
Delta 1998-2 Group I 7.89% Ocwen Public
Delta 1998-2 Group II 5.64% Ocwen Public
Delta 1999-2 7.80% Ocwen Public
Modified Wrap
Delta 1998-4 7.74% Ocwen Public
Delta 1999-1 7.44% Ocwen Public
Delta 2000-1 8.99% Ocwen Public
Delta 2000-2 9.52% Countrywide Public
Delta 2000-3 10.02% Countrywide Public
Delta 2000-4 9.80% Countrywide Public
(1) Target OC is the required level of overcollateralization for the related
securitization trust. Once the target overcollateralization level has been
reached, any excess cashflow will be paid out to the holders of the excess
cashflow certificate.
(2) Actual OC is the actual or current level of overcollateralization for the
related securitization trust.
(3) Mortgage WAC is the weighted average interest rate, or coupon, of the
applicable mortgage loans in the related securitization trust.
(4) Certificate WAC is the weighted average pass-through rate of the series of
pass-through certificates issued by the related securitization trust to the
public.
(5) For public transactions, you may obtain copies of the underlying
transaction documents for the securitization, or of the prospectus which
describes the asset-backed securities issued in the securitization
transaction. Please refer to page B for the applicable SEC file numbers.
74
We have attached to this prospectus as Exhibits A through V the Statement of
Certificateholders furnished by the trustee of each securitization trust for
the distribution date in either March or April for each underlying
securitization. Each statement is comprised of multiple schedules which
provide information about, among other things,
o payments made to the holders of the related series of pass-through
certificates on that distribution date,
o the stratification of the related mortgage pool by various
characteristics,
o credit enhancement levels, and
o the delinquency and loss experience of the related mortgage pool.
We encourage you to review carefully the related exhibits for information
about the excess cashflow certificates. We have not prepared the information
included in the exhibits. We have not verified any of the information included
in these exhibits, nor do we make any representation as to its accuracy.
Voting Membership Interest in Delta Funding Residual NIM Subsidiary, LLC
Delta Funding Residual Exchange Company, LLC will hold ten percent of the
voting membership interests in Delta Funding Residual NIM Subsidiary, LLC,
which constitutes all of the voting membership interests in Delta Funding
Residual NIM Subsidiary, LLC. The remaining ninety percent of the membership
interests will be held by Delta Funding Residual NIM Company, LLC, but its
membership interests will not have any voting rights. Delta Funding Residual
NIM Subsidiary, LLC is a special purpose entity that cannot take certain
actions, including sale of its assets, merge, dissolve, incur debt, amend its
operating agreement or issue new membership interests, without the consent of
Delta Funding Residual NIM Company, LLC. The sole asset of Delta Funding
Residual NIM Subsidiary, LLC will be a net interest margin owner trust
certificate and the excess cashflow certificates relating to and underlying
it.
A net interest margin owner trust certificate is generated in a net interest
margin transaction, whereby several excess cashflow certificates are sold to a
Delaware business trust and that trust then issues and sells notes to
investors. The notes are secured by a pledge of, and payments due on the notes
are made from the cashflows received from, those excess cashflow certificates.
Amounts received on those pledged excess cashflow certificates are applied to
pay:
o first, the administrative expenses of the transaction,
o second, interest on the notes,
o third, principal of the notes until the notes are paid in full, and
o fourth, the holder of the owner trust certificate which evidences
remaining ownership interest in the Delaware business trust.
In November 2000, we securitized the following excess cashflow certificates
from six securitization trusts in a net interest margin transaction: 1997-3,
1997-4, 1998-1, 1998-3, 1998-4, and 1999-1. Delta Funding NIM Trust 2000-1,
the issuer of the notes, issued and sold $30 million of notes to investors.
The notes bear interest at 12.5% per annum and are rated "BB-" by Fitch. The
net interest margin owner trust certificate evidences an over-75% subordinated
interest in the net interest margin trust. Once the net interest margin notes
are paid in full, all cashflow on the excess cashflow certificates owned by
the net interest margin issuer and formerly pledged to secure the net interest
margin notes will be passed through to the holder of the net interest margin
owner trust certificate and the net interest margin owner trust certificate
will be cancelled.
Delta Funding Residual Exchange Company, LLC will loan Delta Funding
Residual NIM Company, LLC sufficient funds to pay its tax liabilities. Delta
Funding Residual NIM Company, LLC will be allocated all debt, including tax
liability, of Delta Funding Residual NIM Subsidiary, LLC, which as the holder
of the net interest margin owner trust certificate, will incur tax liabilities
in connection with the revenue generated by the excess cashflow certificates
relating to and underlying the net interest margin owner trust certificate,
without receiving the benefit of the cash revenue generated by those
certificates, all of which is being paid to the net interest margin security
holders. In order for Delta Funding Residual NIM Company, LLC to pay that
75
tax liability, it will borrow funds from Delta Funding Residual Exchange
Company, LLC , as provided for in Delta Funding Residual Exchange Company,
LLC's operating agreement.
When the net interest margin security holders are paid in full, the net
interest margin trust will be dissolved and the net interest margin owner
trust certificate will be cancelled, Delta Funding Residual NIM Subsidiary,
LLC will become the holder of the excess cashflow certificates relating to and
underlying the cancelled net interest margin owner trust certificate and, it
is expected that, the cashflows from the excess cashflow certificates will
exceed their associated tax liabilities. At this time, the NIM company will be
required to transfer its ninety percent non-voting membership interest in
Delta Funding Residual NIM Subsidiary, LLC to Delta Funding Residual Exchange
Company, LLC in accordance with an exchange agreement previously entered into
between Delta Funding Residual Exchange Company, LLC, Delta Funding Residual
NIM Company, LLC and Delta Funding Residual NIM Subsidiary, LLC. Should Delta
Funding Residual NIM Company, LLC fail to transfer its ninety percent non-
voting membership interest in Delta Funding Residual NIM Subsidiary, LLC to
Delta Funding Residual Exchange Company, LLC once the net interest margin
securityholders are paid in full, the loans from Delta Funding Residual
Exchange Company, LLC to Delta Funding Residual NIM Company, LLC will be due
and payable and Delta Funding Residual NIM Company, LLC will be required to
fulfill its obligations under the up to $100,000,000 worth of notes it holds
as more fully described below.
If after tax excess cash revenues are generated by the excess cashflow
certificates underlying the net interest margin owner trust certificate while
it is owned by Delta Funding Residual NIM Subsidiary, LLC, such amounts will
be paid out as principal on the up to $100,000,000 worth of notes held by
Delta Funding Residual Exchange Company, LLC.
We determined the fair value of the net interest margin owner trust
certificate based on the fair value of the underlying pledged excess cashflow
certificates. We calculated the fair value of the pledged excess cashflow
certificates in the same manner as we calculated the fair value of the other
excess cashflow certificates being transferred to Delta Funding Residual
Exchange Company, LLC.
Based upon our gain-on-sale assumptions at March 31, 2001, we project that
the NIM security holders will be paid out in or about April 2002. However, we
can make no assurances that the NIM security holders will be paid out at such
time.
Non-Performing Owner Trust Certificate
In February 2000, Delta Funding Non-Performing Loan Trust 2000-1, as issuer,
issued $3 million of 9.50% Delta Funding Non-Performing Loan Trust Notes,
Series 2000-1, or the non-performing loan trust notes, pursuant to an
indenture, dated as of February 11, 2000, between the issuer and Wells Fargo
Bank Minnesota, National Association, as indenture trustee. The issuer is a
Delaware business trust formed pursuant to an amended and restated trust
agreement, dated February 11, 2000, between Delta Funding Corporation, as
depositor, and Wilmington Trust Company, as owner trustee. The structure of
this transaction is similar to that of the net interest margin transaction.
The non-performing loan trust notes are secured by, and payable from, the
cashflow from a pool of non-performing mortgage loans sold to the issuer by
Delta Funding Corporation pursuant to a sale agreement, dated as of February
11, 2000, among Delta Funding Corporation, the issuer, the indenture trustee
and Clayton National, Inc., as servicer. The servicer is servicing the
mortgage loans on behalf of the issuer and the noteholders. DF Special
Holdings Corporation, our subsidiary, owns 100% of the owner trust
certificates representing the non-performing loan receivables issued by the
issuer and is entitled to any cashflow and other assets remaining after the
non-performing loan trust notes have been paid in full. The notes were not
rated by any rating agency.
We determined the value of the non-performing owner trust certificate based
on an analysis similar to the analysis we used to value the excess cashflow
certificates described above.
Senior Notes and Senior Secured Notes
Upon consummation of the exchange offer, Delta Funding Residual Exchange
Company, LLC will waive our obligations under the indentures governing the
notes to pay interest on the remaining up to $100 million
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aggregate principal amount of the tendered notes held by Delta Funding
Residual Exchange Company, LLC, and we, with Delta Funding Residual Exchange
Company, LLC's consent, will enter into an agreement that will amend both
indentures to:
o provide that the notes are obligations of Delta Funding Residual NIM
Company, LLC rather than our obligations and the obligations of our
subsidiaries;
o apply as principal on the notes to the amount of cash revenues generated
by the excess cashflow certificates underlying the net interest margin
owner trust certificate in excess of their tax liability, if any; and
o provide that the notes will be cancelled when ninety percent of the non-
voting membership interests in
Delta Funding Residual NIM Subsidiary, LLC are transferred to Delta
Funding Residual Exchange Company, LLC.
In addition, in exchange for transferring ninety percent of the non-voting
membership interests in Delta Funding Residual NIM Subsidiary, LLC to Delta
Funding Residual Exchange Company, LLC, Delta Funding Residual Exchange
Company, LLC will cancel Delta Funding Residual NIM Company, LLC obligation to
repay any loans it received from Delta Funding Residual Exchange Company, LLC
to pay its tax liability.
Should Delta Funding Residual NIM Company, LLC fail to transfer the ninety
percent of the non-voting membership interests in Delta Funding Residual NIM
Subsidiary, LLC to Delta Funding Residual Exchange Company, LLC once the net
interest margin notes are paid in full, the notes and any loans Delta Funding
Residual NIM Company, LLC received from Delta Funding Residual Exchange
Company, LLC will become due and payable.
DESCRIPTION OF DELTA FUNDING RESIDUAL
EXCHANGE COMPANY, LLC MEMBERSHIP INTERESTS
As of the date of this prospectus, Delta Funding Residual Exchange Company,
LLC is authorized to issue 150,002 interests, allocated in the following
manner: 150,000 Class A voting membership interests, one Class B non-voting
membership interest and one Class C non-voting membership interest. The voting
membership interests will be owned initially by the holders of the notes who
successfully tender their notes in the exchange offer. The Class B non-voting
membership interest will be owned by Delta Funding Residual Management, Inc.
and the Class C non-voting membership interest will be owned by us.
Restrictions On Transfer
The membership interests of Delta Funding Residual Exchange Company, LLC may
be assigned only under the following conditions:
o with the prior written consent of the managing member;
o the assignee is a qualified institutional buyer as defined under Rule
144A promulgated under the Securities Act who also is a qualified
purchaser as defined under Section 2(a)(51)(a) of the Investment Company
Act;
o the assignee agrees in writing to be bound by the terms and conditions of
Delta Funding Residual Exchange Company, LLC's operating agreement or any
other document acceptable to the managing member; and
o the holder of the membership of Delta Funding Residual Exchange Company,
LLC interest also assigns a corresponding pro rata number of shares of
the common stock of Delta Funding Residual Management, Inc. owned by the
holder to the assignee.
77
The managing member may not consent to the assignment unless all of the
following conditions are satisfied:
o the assignor furnishes evidence to the managing member that (1) the
assignment would not affect
Delta Funding Residual Exchange Company, LLC's existence or qualification
as a limited liability company under the Delaware Limited Liability
Company Act or any other law or regulation applicable to Delta Funding
Residual Exchange Company, LLC and (2) (a) the assignment would not
jeopardize the classification of Delta Funding Residual Exchange Company,
LLC as a partnership for federal income tax consequences or (b) otherwise
have an adverse effect on federal income tax consequences on Delta
Funding Residual Exchange Company, LLC or any member;
o in the opinion of the assignor's counsel, the assignment would not (1)
subject Delta Funding Residual Exchange Company, LLC or its members to
any additional regulatory requirements, (2) result in the violation of
any law or regulation that is or might be applicable to Delta Funding
Residual Exchange Company, LLC or its members, or (3) otherwise
materially and adversely affect the interests of Delta Funding Residual
Exchange Company, LLC and its members, as such; and
o the assignee executes and delivers a counterpart to Delta Funding
Residual Exchange Company, LLC's operating agreement.
The Class B non-voting membership interest may not be assigned to any
person, in whole or in part. However, the holders of a majority of the Class A
voting membership interests may require the holder of the Class B non-voting
membership interest to assign all of its interest to another person, who will
then become the managing member, subject to the limitations set forth in Delta
Funding Residual Exchange Company, LLC's operating agreement. We may not
assign the Class C non-voting membership interest.
Withdrawal
No member may withdraw as a member, be required to withdraw as a member, be
required to withdraw its membership interest, or borrow or withdraw any
portion of its capital contribution or capital account of Delta Funding
Residual Exchange Company, LLC.
Voting Rights
The holders of the Class A voting membership interests are entitled to one
vote per membership interest on all matters submitted to a vote of members.
The holders of the Class B and Class C non-voting membership interests are not
entitled to vote.
Rights Upon Liquidation
In the event of a dissolution of Delta Funding Residual Exchange Company,
LLC and the liquidation of its assets and properties, there will be a final
allocation and distribution. Proceeds from the liquidation will be applied in
the following order and priority:
o first, to the setting up of a reserve for our New York State Banking
Department settlement and any other reserves that may be deemed
reasonably necessary for any contingent liabilities or obligations of
Delta Funding Residual Exchange Company, LLC,
o second, for the payment of Delta Funding Residual Exchange Company, LLC's
liabilities and obligations to its non-member creditors who are not
members of Delta Funding Residual Exchange Company, LLC,
o third, for the payment of the Delta Funding Residual Exchange Company,
LLC's liabilities and obligations to its creditors who are members of
Delta Funding Residual Exchange Company, LLC
o fourth, to us an amount between ten and fifteen percent of the net after
tax cashflow of Delta Funding Residual Exchange Company, LLC, and
o finally, the balance will be paid to the members pro rata in accordance
with their balances in their capital accounts.
78
DESCRIPTION OF DELTA FUNDING RESIDUAL MANAGEMENT, INC.
Delta Funding Residual Management, Inc. is a newly formed Delaware limited
purpose corporation organized by us. Initially, we will hold all the common
stock of Delta Funding Residual Management, Inc., par value $.01 per share.
Prior to consummation of the exchange offer, we will distribute shares of
common stock of Delta Funding Residual Management, Inc. to Delta Funding
Residual Exchange Company, LLC in exchange for which we will receive a non-
voting membership interest of Delta Funding Residual Exchange Company, LLC.
Upon consummation of the exchange offer, Delta Funding Residual Exchange
Company, LLC will distribute the shares of common stock of Delta Funding
Residual Management, Inc. to the noteholders who participated in the exchange
offer.
Delta Funding Residual Management, Inc. will engage solely in the following
activities:
o manage the assets of Delta Funding Residual Exchange Company, LLC; and
o engage in only those other activities necessary, advisable or incidental
to accomplishing the purposes set forth above.
In addition to its limited purpose, and in order to preserve its separate
and distinct identity, Delta Funding Residual Management, Inc. will not own
any assets other than those necessary for it to carry out its purpose and, at
all times conducting its affairs, shall:
o maintain its books and records separate from any other person or entity;
o maintain its bank accounts separate from any other person or entity;
o not commingle its assets with those of any other person or entity and
hold all of its assets in its own name;
o conduct its own business in its own name;
o maintain separate financial statements, showing its assets and
liabilities separate and apart from those of any other person or entity;
o file its tax returns separate from those of any other entity and not file
a consolidated tax return with any other entity;
o pay its own liabilities and expenses only out of its own funds;
o observe all corporate and other organizational formalities;
o maintain an arm's length relationship with its affiliates and enter into
transactions with affiliates only on a commercially reasonable basis;
o not incur any indebtedness other than in the ordinary course of its
business;
o not guarantee or become obligated for the debts of any other person or
entity;
o not hold out its credit as being available to satisfy the obligations of
any other person or entity;
o allocate fairly and on terms which are commercially reasonable any
overhead expenses that are shared with an affiliate, including paying for
office space and services performed by any employee of an affiliate;
o use separate stationery, invoices and checks bearing its own name;
o not pledge its assets for the benefit of any other person or entity to
secure any of its debt obligations;
o hold itself out as a separate entity;
o correct any known misunderstanding regarding its separate identity;
o not identify itself as a division of any other person or entity;
o maintain adequate capital in light of its contemplated business
operations; and
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o not form, or caused to be formed, any subsidiaries.
Delta Funding Residual Management, Inc. will hold a non-voting membership
interest in Delta Funding Residual Exchange Company, LLC. Through its
ownership of Delta Funding Residual Management, Inc. common stock, the
noteholders will have an additional indirect non-voting membership interest in
Delta Funding Residual Exchange Company, LLC.
Delta Funding Residual Management, Inc. shall at all times be required to
have at least one independent director. A director shall be independent so
long as he or she is not, and never was,
o a stockholder, customer or supplier of, or any person that has received
any benefit (excluding, however, any compensation received by the
director in such individual's capacity as such an independent director)
in any form whatsoever from, or any person that has provided any service
(excluding, however, any service provided by the director, in such
person's capacity as such a director) in any form whatsoever to, Delta
Funding Residual Management, Inc. or any of its affiliates or associates;
o a director, officer, employee, affiliate or associate of Delta Funding
Residual Exchange, LLC or any of its affiliates (other than Delta Funding
Residual Management, Inc.) or associates;
o is not a person related to any person referred to in the two clauses
above; and is not a trustee, conservator or receiver for Delta Funding
Residual Exchange Company, LLC or any of its affiliates, provided,
however, that any person who serves as an independent director for any of
our affiliates which affiliates are special purpose entities, may serve
as an independent director of Delta Funding Residual Management, Inc. No
director serving in the capacity of an independent director may be
removed unless his or her successor (who shall satisfy the requirements
set forth above) has first been elected to the board of directors;
provided, however, that in the event of the resignation or the death or
incapacity of an independent director, the board of directors shall
promptly appoint a replacement independent director and the board of
directors shall not vote on any matter requiring the vote of the
independent director unless and until at least one independent director
has been duly appointed to serve on the board.
DESCRIPTION OF DELTA FUNDING RESIDUAL
MANAGEMENT, INC. COMMON STOCK
As of the date of this prospectus, Delta Funding Residual Management, Inc.
is authorized to issue up to 150,000 shares of common stock, par value $.01,
none of which are outstanding.
Shares of the common stock issued in connection with this exchange offer
will be fully paid and nonassessable. The holders of the common stock will not
be entitled to preemptive or redemption rights. Shares of the common stock are
not convertible into shares of any other class of capital stock. Mellon
Shareholder Services LLC is the transfer agent and registrar for the common
stock.
Delta Funding Residual Management, Inc. is a Delaware corporation and is
subject to Section 203 of the Delaware General Corporation Law. In general,
Section 203 prevents an interested stockholder (defined generally as a person
owning 15% or more of Delta Funding Residual Management, Inc.'s outstanding
voting stock) from engaging in a business combination with Delta Funding
Residual Management, Inc. for three years following the date that person
became an interested stockholder unless:
o before that person became an interested stockholder, the board of
directors of Delta Funding Residual Management, Inc. approved the
transaction in which the interested stockholder became an interested
stockholder or approved the business combination;
o upon completion of the transaction that resulted in the interested
stockholder becoming an interested stockholder, the interested
stockholder owned at least 85% of the voting stock of Delta Funding
Residual Management, Inc. outstanding at the time the transaction
commenced (excluding stock held by persons who are both directors and
officers of Delta Funding Residual Management, Inc. or by certain
employee stock plans); or
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o on or following the date on which that person became an interested
stockholder, the business combination is approved by Delta Funding
Residual Management, Inc.'s board of directors and authorized at a
meeting of stockholders by the affirmative vote of the holders of a least
66 2/3% of the outstanding voting stock of Delta Funding Residual
Management, Inc. (excluding shares held by the interested stockholder).
A business combination includes mergers, asset sales and other transactions
resulting in a financial benefit to the interested stockholder.
Dividends
The holders of Delta Funding Residual Management, Inc.'s common stock are
entitled to receive dividends when, as, and if declared by the board of
directors of Delta Funding Residual Management, Inc., out of funds legally
available for their payment.
Voting Rights
The holders of the common stock are entitled to one vote per share on all
matters submitted to a vote of stockholders.
Rights Upon Liquidation
In the event of Delta Funding Residual Management, Inc.'s voluntary or
involuntary liquidation, dissolution, or winding up, the holders of Delta
Funding Residual Management, Inc.'s common stock will be entitled to share
equally in any assets available for distribution after the payment in full of
all debts and distributions and after the holders of all series of outstanding
preferred stock, if any, have received their liquidation preferences in full.
COMPARISON OF RIGHTS OF HOLDERS OF THE NOTES AND OUR
PREFERRED STOCK, THE MEMBERSHIP INTERESTS OF
DELTA FUNDING RESIDUAL EXCHANGE COMPANY, LLC AND THE
COMMON STOCK OF DELTA FUNDING RESIDUAL MANAGEMENT, INC.
This section of the prospectus describes certain differences between the
rights of holders of the notes and holders of our preferred stock, Delta
Funding Residual Exchange Company, LLC's membership interest and Delta Funding
Residual Management, Inc.' s common stock. While we believe that the
description covers the material differences between the two, this summary may
not contain all of the information that is important to you. You should
carefully read this entire document and the other documents we refer to for a
more complete understanding of the differences between being a holder of notes
and being a holder of our preferred stock, membership interests of Delta
Funding Residual Exchange Company, LLC and the common stock of Delta Funding
Residual Management, Inc..
Our preferred stock, membership interests of Delta Funding Residual Exchange
Company, LLC, and the common stock of Delta Funding Residual Management, Inc.
differ from the notes in the following material ways:
Governing Document
As a holder of notes, your rights currently are set forth in the notes
indentures. After completion of the exchange offer, you will become a holder
of our preferred stock, Delta Funding Residual Exchange Company, LLC
interests, and the common stock. Your rights will be governed by the
certificate of designations for our preferred stock, the Delta Funding
Residual Exchange Company, LLC's operating agreement, and Delta Funding
Residual Management, Inc.'s charter documents.
Voting Rights
o the preferred stock has no voting rights;
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o holders of the membership interests will have voting rights with respect
to all matters on which members of Delta Funding Residual Exchange
Company, LLC are entitled to vote, in accordance with its operating
agreement;
o holders of the shares of common stock will have voting rights with
respect to all matters on which the common stockholders of Delta Funding
Residual Management, Inc. are entitled to vote, in accordance with its
charter documents; and
o the noteholders have no voting rights.
Collateral
o the senior secured notes are secured by a pledge of all of the capital
stock of seven of our direct and indirect subsidiaries and a first
priority lien on the beneficial interests of two Delaware business trusts
that hold mortgage-related securities, including the excess cashflow
certificates and the net interest margin owner trust certificate; by
contrast, the preferred stock, the membership interests, and the shares
of common stock are not "secured" or "collateralized" by any assets.
Equity compared to Debt
o the holders of senior secured notes are our creditors. If the holders of
the senior secured notes were to force a liquidation of the collateral
securing their notes and the liquidation proceeds were insufficient to
pay the amounts owing under the senior secured notes, the holders of the
senior secured notes would have recourse against us. The membership
interests, the shares of preferred stock, and the common shares, on the
other hand, represent equity interests in Delta Funding Residual Exchange
Company, LLC, Delta Financial Corporation, and Delta Funding Residual
Management, Inc., respectively. Furthermore, the membership interests and
shares of common stock are not our obligations.
Defaults
o the note indentures contained numerous "Events of Default". For example,
we would be in default under the indentures if we fail to pay principal
and interest when due, file for protection under the bankruptcy code, or
dispose of the collateral. Whereas, there will be no such events of
default under the terms of the preferred stock, Delta Funding Residual
Exchange Company, LLC's operating agreement or Delta Funding Residual
Management, Inc.'s charter documents;
Restrictive Covenants
o the note indentures have numerous restrictive covenants that prohibit us
from taking certain actions. For example, we are prohibited from
incurring a significant amount of debt or merging with another entity
without the consent of the noteholders. Generally, these covenants
benefit the noteholders because the covenants limit our ability to engage
in these and other types of activities. The certificate of designations
for the preferred stock, Delta Funding Residual Exchange Company, LLC's
operating agreement, and Delta Funding Residual Management, Inc.'s
charter documents contain few covenants in place. Delta Funding Residual
Exchange Company, LLC and Delta Funding Residual Management, Inc. both
are special purpose entities. As such, they will be subject to numerous
restrictions, including prohibitions against incurring debt outside of
the ordinary course of business and merging with other entities;
Liquidation Preference
o the preferred stock will have an aggregate liquidation preference of $15
million and will pay a 10% dividend semi-annually beginning on July 1,
2003. The dividends on the preferred stock will be non-cumulative. If we
fail to make five or more cash dividend payments the holders of the
preferred stock will have the right to appoint two directors to our board
of directors. We have the right at any time to redeem the preferred stock
on a pro rata basis by paying to the holders of the preferred stock the
liquidation preference and all accrued interest at the time of
redemption; and
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o in the event of our bankruptcy, holders of our preferred stock will
receive their liquidation preference following any payments made to our
creditors, but prior to any payments made to other equity holders of
junior securities.
Rank
o the senior secured notes are secured by the mortgage-related securities
and are senior to all of our other obligations;
o the senior notes are not secured by any collateral and are senior to all
of our other obligations other than the senior secured notes;
o holders of the membership interest are entitled to payment under the
operating agreement only after certain expenses and priority payments to
us are paid;
o we may, under certain circumstances issue additional shares of preferred
stock which will rank on parity with or senior to, the preferred stock
being issued to the noteholders in the exchange offer; and
o the shares of common stock will not receive any dividends.
Payments
o after the exchange, you will not receive regular payments and you may not
receive a return of your principal amount;
o it will be difficult to predict the timing and amount of any
distributions made by Delta Funding Residual Exchange Company, LLC;
o the holders of the notes were entitled to receive interest and principal
payments on the notes; whereas, the holders of our preferred stock will
be entitled to receive dividends, the holders of the membership interests
will be entitled to receive distributions from Delta Funding Residual
Exchange Company, LLC, following the payment by Delta Funding Residual
Exchange Company, LLC of its expenses and fees, representing a
proportionate share of the cashflow, if any, generated by the assets of
Delta Funding Residual Exchange Company, LLC, having an initial value as
of March 31, 2001 of at least $75 million, which excludes the excess
cashflows underlying the net interest margin owner trust certificate,
having an additional $79 million valuation based upon our assumptions
(with the exception of the discount rate, which we use an 18% discount
rate to value the net interest margin owner trust certificate compared to
a 13% discount rate to value the other mortgage-related securities held
by Delta Funding Residual Exchange Company, LLC); and
o we will receive certain amounts from the assets of Delta Funding Residual
Exchange Company, LLC prior to the payment of any amounts to the holders
of the membership interests;
FEDERAL AND STATE REGULATORY REQUIREMENTS
There are no federal or state regulatory requirements or approvals that must
be obtained in connection with this exchange.
ERISA CONSIDERATIONS
Before authorizing an investment in our preferred stock, the membership
interests of Delta Funding Residual Exchange Company, LLC and the shares of
common stock of Delta Funding Residual Management, Inc., fiduciaries of
pension, profit-sharing or other employee benefit plans subject to ERISA
should consider
o the fiduciary standards under ERISA,
o whether the investment satisfies the prudence and diversification
requirements of ERISA, including whether the investment is prudent, and
o whether such fiduciaries have the authority to make the investment under
the appropriate plan investment policies and governing instruments and
under Title I of ERISA. Fiduciaries of an individual
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retirement account should also consider that the account may make only
investments that are authorized by the appropriate governing instrument.
In addition, employee benefit plans or other retirement arrangements subject
to ERISA, as well as individual retirement accounts or certain types of Keogh
plans not subject to ERISA but subject to Section 4975 of the Internal Revenue
Code of 1986, as amended (as well as any entity whose underlying assets are
deemed to be plan assets by reason of such plan, arrangement or account
investing in such entity), each, a "Plan," should also consider (1)
prohibitions in ERISA relating to improper delegation of control over, or
responsibility for, "plan assets," (2) prohibitions in ERISA and in the Code
relating to a Plan engaging in certain transactions involving "plan assets"
with persons who are "parties in interest" under ERISA or "disqualified
persons" under the Code with respect to the Plan, and (3) other provisions in
ERISA dealing with plan assets.
These prohibited transaction provisions are complex and may prohibit an
investment in our preferred stock, Delta Funding Residual Exchange Company,
LLC interests and shares of the common stock by Plans.
ERISA and the Code do not define plan assets. The Department of Labor has
published regulations relating to the definition of plan assets, pursuant to
which the assets of an entity in which Plans acquire an equity interest would
be deemed plan assets under certain circumstances. The regulation generally
provides that when a Plan acquires an equity interest in an entity that is
neither a "publicly-offered security" nor a security issued by an investment
company registered under the Investment Company Act, the Plan's assets include
both the equity interest and an undivided interest in each of the underlying
assets of the entity unless it is established that either the entity is an
"operating company" or the equity participation in the entity by benefit plan
investors is not "significant," in each case as defined in the Regulation.
We believe that we should be treated as an "operating company" for purposes
of the regulation and therefore an investment by Plans in our preferred stock
will not cause our assets to be deemed plan assets of such Plans. However,
neither Delta Funding Residual Exchange Company, LLC nor Delta Funding
Residual Management, Inc. will qualify as an "operating company" under the
Regulation.
For purposes of the Regulation, equity participation in an entity by benefit
plan investors is not significant if their aggregate interests are less than
25% of the value of any class of equity interests in the entity. Benefit plan
investors, for these purposes, include Plans, and certain other types of
plans, such as governmental plans, church plans and plans maintained outside
of the United States primarily for the benefit of nonresident aliens, which
are not ordinarily subject to Title I of ERISA.
If the assets of Delta Funding Residual Exchange Company, LLC or Delta
Funding Residual Management, Inc. were deemed to be plan assets of Plans that
invest in the membership interests of Delta Funding Residual Exchange Company,
LLC and shares of the common stock whether as a result of the application of
the Regulation or otherwise, Title I of ERISA and Section 4975 of the Code
would extend to investments made by the Plans. This would result, among other
things, in (1) the application of the fiduciary standards of ERISA to
investments made by the Plan, and (2) the possibility that certain
transactions that Delta Funding Residual Exchange Company, LLC and Delta
Funding Residual Management, Inc. might enter into in the ordinary course of
their business and operation might constitute "prohibited transactions" under
ERISA and the Code. A prohibited transaction, in addition to imposing
potential personal liability upon fiduciaries with respect to Plans, may also
result in the imposition of an excise tax under the Code upon a party in
interest or disqualified person with respect to a Plan. In addition, the
mortgage-related securities, including the net interest margin owner trust
certificate, have existing transfer restrictions applicable to them which
prohibit them being beneficially owned directly or indirectly by Plans. As a
result, if the assets of Delta Funding Residual Exchange Company, LLC were
deemed to be plan assets this could prevent the transfer of these securities
to Delta Funding Residual Exchange Company, LLC, and could cause the Plans
holding the membership interests of Delta Funding Residual Exchange Company,
LLC to be deemed to have engaged in prohibited transactions with respect to
the securitization trusts issuing such securities.
The membership interests of Delta Funding Residual Exchange Company, LLC and
the shares of common stock will most likely be deemed "equity interests" for
purposes of the Regulation. Therefore, if equity participation in Delta
Funding Residual Exchange Company, LLC and Delta Funding Residual
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Management, Inc. by benefit plan investors is "significant" within the meaning
of the Regulation, their assets could be deemed to be assets of investing
Plans with the possible consequences just discussed. Accordingly, the manager
of Delta Funding Residual Exchange Company, LLC will use its reasonable best
efforts to adopt procedures in order to determine whether or not equity
participation by or on behalf of benefit plan investors in Delta Funding
Residual Exchange Company, LLC and Delta Funding Residual Management, Inc.
will be significant.
In order to determine whether equity participation in Delta Funding Residal
Exchange Company, LLC and Delta Funding Residual Management Inc. by benefit
plan investors is less than 25% after consummation of the exchange offer, each
investor acquiring membership interests of Delta Funding Residual Exchange
Company, LLC and the shares of common stock of Delta Funding Residual
Management, Inc. will be required to represent whether or not it is a "benefit
plan investor" within the meaning of the Regulation. Without limiting the
generality of the foregoing, to the extent that the investor is an insurance
company acting on behalf of its general account, such investor must represent
that, as of the date it acquires its membership interests and shares of common
stock and for so long as it holds such membership interests and common stock,
the assets of such general account (as determined in accordance with the
methodology set forth in PTE 95-60) that constitute plan assets for purposes
of Title I of ERISA and Section 4975 of the Code will not exceed a specified
percentage represented by the investor in the subscription booklet.
If we determine that equity participation in Delta Funding Residual Exchange
Company, LLC and Delta Funding Residual Management, Inc. by Plans
participating in this exchange offer is significant or we are unable to
determine that it is not significant, we intend to apply to the U.S.
Department of Labor for a prohibited transaction exemption which will allow
Plans to acquire the membership interests and the shares of common stock.
Although, the Department of Labor's granting such an exemption is not
guaranteed, we believe that one would be attainable if necessary based on
informal discussions we have had with representatives of the Department. To
the extent that we determine after consummation of the exchange offer the
equity participation by benefit plan investors is not significant, the Delta
Funding Residual Exchange LLC's operating agreement will provide that no
membership interests or shares of common stock may be transferred to a Plan
investor if such transfer would result in benefit plan investor participation
being significant.
Potential employee benefit plan investors should consult with their
respective counsel regarding the consequences under ERISA, the Code or other
similar statutes of their acquisition and ownership of our preferred stock,
the membership interests and shares of the common stock.
UNITED STATES FEDERAL INCOME TAX CONSEQUENCES
OF THE EXCHANGE OFFER
Holders of the notes are urged to consult their tax advisors as to the
specific tax consequences to them of the transactions we describe in this
prospectus, including the applicable federal, state, local and foreign tax
consequences of such transactions in their particular circumstances.
In the opinion of Stroock & Stroock & Lavan LLP, the following discussion
under the heading "United States Federal Income Tax Consequences of the
Exchange Offer" is accurate in all material respects and discusses the
material federal income tax issues of the noteholders that are not subject to
special tax treatment under the Code. It is based upon existing statutes, as
well as judicial and administrative interpretations thereof, all of which are
subject to change, including changes which may be retroactive. Moreover,
substantial uncertainties exist with respect to various federal income tax
consequences of the exchange offer. We will not request any opinion of counsel
or ruling from the Internal Revenue Service on any tax issue connected with
the exchange offer. Accordingly, we can give no assurance that the IRS will
not challenge any of the tax positions described herein or that, if made, such
a challenge will not be successful.
The discussion below does not address the foreign, state or local tax
consequences of the exchange offer, nor does it specifically address the tax
consequences to taxpayers subject to special treatment under the federal
income tax laws (including dealers in securities or currencies, pass-through
entities, life insurance companies, tax-exempt organizations, financial
institutions, regulated investment companies, taxpayers subject to the
alternative minimum tax, persons that hold the notes as part of an integrated
investment (including a
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"straddle") consisting of the notes and one or more other positions, foreign
corporations, foreign partnerships, foreign trusts, foreign estates, persons
who, for federal income tax purposes, are not citizens or residents of the
United States, or persons whose functional currency is other than the United
States dollar).
The discussion below assumes the notes, the membership interests of Delta
Funding Residual Exchange Company, LLC, the shares of common stock of Delta
Funding Residual Management, Inc. and the newly issued shares of our Series A
preferred stock are or will be held as capital assets within the meaning of
Section 1221 of the Internal Revenue Code of 1986, as amended.
Tax Consequences of the Exchange Offer
In the exchange offer, (i) the noteholders will transfer their tendered
notes to Delta Funding Residual Exchange Company, LLC in exchange for voting
membership interests, (ii) Delta Funding Residual Exchange Company, LLC will
transfer up to $50 million aggregate principal amount of the notes to us and
receive in return:
o the mortgage-related securities now held by Delta Funding Residual
Holding Trust 2000-1 and Delta Funding Residual Holding Trust 2000-2,
except for the excess cashflow certificates relating to and underlying
the net interest margin owner trust certificate;
o all cash and other property held by the two residual holding trusts at
the time of consummation of the exchange offer;
o one hundred percent of the voting membership interests in the Delta
Funding Residual NIM Subsidiary, LLC, which represents ten percent of the
total membership interests in the Delta Funding Residual NIM Subsidiary,
LLC;
o the owner trust certificate representing ownership in Delta Funding Non-
Performing Loan Trust 2000-1, a business trust owning certain non-
performing loan receivables; and
o shares of our preferred stock,
(iii) the terms of the remaining outstanding notes held by Delta Funding
Residual Exchange Company, LLC will be significantly modified and (iv) Delta
Funding Residual Exchange Company, LLC will distribute to the holders of
voting membership interests (i.e., former holders of the notes) the shares of
common stock of Delta Funding Residual Management, Inc. and the shares of our
preferred stock received in the exchange. In addition, at any time prior to
the maturity of the modified notes (i.e., before August 31, 2004), the Delta
Funding Residual NIM Company, LLC will have the right to transfer its ninety
percent non-voting membership interests in Delta Funding Residual Exchange
Company, LLC in exchange for the notes and the tax loan note.
Consistent in form with the terms of the exchange offer, and under general
United States federal income tax principles, the transaction described in (i)
above should be characterized for United States federal income tax purposes as
a tax-free contribution of 100% of the notes by the holders of the notes to
Delta Funding Residual Exchange Company, LLC in exchange for Delta Funding
Residual Exchange Company, LLC interests. As such, a holder of the notes will
not recognize any gain or loss on the contribution of the notes in exchange
for Delta Funding Residual Exchange Company, LLC interests, will receive an
initial tax basis in Delta Funding Residual Exchange Company, LLC interests
equal to the holder's adjusted tax basis in the notes surrendered and a
holding period in Delta Funding Residual Exchange Company, LLC interests that
includes the holder's holding period in the notes. The adjusted tax basis of a
note to a particular holder will equal the holder's cost for the note,
increased by any original issue discount, market discount and gain previously
included by such holder in income with respect to the note and decreased by
the amount of bond premium (if any) previously amortized and by the amount of
principal payments previously received by such holder with respect to the
note.
In (ii) and (iii) above, Delta Funding Residual Exchange Company, LLC will
exchange $50 million aggregate principal amount of the notes for shares of our
preferred stock and certain mortgage-related securities and concurrently the
terms of the remaining outstanding notes held by Delta Funding Residual
Exchange Company, LLC will be significantly modified. We believe that under
general United States federal
86
income tax principles, these transactions should be characterized for United
States federal income tax purposes as an exchange of 100% of the notes for new
notes, shares of our preferred stock and other assets. In certain
circumstances, a transaction which includes the exchange of notes of a
corporation for preferred stock of the same corporation qualifies for special
tax treatment as a recapitalization. Accordingly, the United States federal
income tax consequences of these transactions to Delta Funding Residual
Exchange Company, LLC will depend on whether the exchange of the notes for our
preferred stock, new notes and other assets, pursuant to the exchange offer,
constitutes a recapitalization within the meaning of the Code.
Whether the exchange of the notes for new notes, our preferred stock and
other assets constitutes a recapitalization will depend on whether the
original notes qualify as "securities" for United States federal income tax
purposes. The term "securities" is not defined in the Code or the applicable
Treasury regulations. Whether a debt instrument qualifies as a security is a
question of fact and depends upon an overall evaluation of the nature of the
debt instrument. The term of a debt instrument is usually the most significant
factor in determining whether it qualifies as a security. Generally, a debt
instrument with a term of ten years or more is treated as a security. Debt
instruments with maturities ranging between five and ten years are often held
to be securities. Debt instruments with a five year term or less rarely
qualify as securities.
The original notes initially were issued with a term of seven years. Thus,
given the nature and term of the notes, including the fact that the notes were
issued to the public and secured by collateral, we believe that the notes
should qualify as securities and that the exchange of the notes for new notes,
our preferred stock and other assets should constitute a recapitalization.
Assuming we are correct, Delta Funding Residual Exchange Company, LLC will
recognize gain (but not loss) in an amount equal to the lesser of (a) the sum
of the cash, the "issue price" of the new notes and the fair market value of
our preferred stock and other assets received pursuant to the exchange offer
(other than any cash, new notes, preferred stock or other assets that are
attributable to accrued but unpaid interest as described below), less Delta
Funding Residual Exchange Company, LLC's adjusted tax basis in the notes and
(b) the sum of the cash, the issue price of the new notes and fair market
value of the other assets (other than any cash, new notes or other assets that
are attributable to accrued but unpaid interest) received pursuant to the
exchange offer. Any such gain will be allocated to the holders of LLC
membership interests that surrendered notes with a fair market value in excess
of basis in accordance with Section 704(c) of the Code. Delta Funding Residual
Exchange Company, LLC's adjusted tax basis in the notes will equal the
aggregate adjusted tax basis of the notes in the hands of the former holders
of the notes at the time of the exchange.
Generally, any gain recognized by Delta Funding Residual Exchange Company,
LLC pursuant to the exchange offer will be capital gain unless the notes have
accrued market discount, in which case, such gain will be taxable as ordinary
income to the extent of such accrued market discount. If the gain or loss is
capital gain or loss, such gain or loss will be long-term capital gain or loss
if, and to the extent, the former holders of the notes had held the notes for
more than one year. In addition, Delta Funding Residual Exchange Company,
LLC's aggregate tax basis in the preferred stock generally will equal Delta
Funding Residual Exchange Company, LLC's adjusted tax basis in the notes
surrendered, increased by the amount of capital gain recognized in the
exchange and reduced by the sum of the amount of cash, the issue price of the
new notes and the fair market value of the other assets received in the
exchange. Delta Funding Residual Exchange Company, LLC's aggregate tax basis
in the other assets will equal the aggregate fair market value of such assets
except with respect to the new notes where Delta Funding Residual Exchange
Company, LLC's aggregate tax basis will be its issue price. Delta Funding
Residual Exchange Company, LLC's holding period of the preferred stock will
include the former noteholders' holding period in the notes. However, Delta
Funding Residual Exchange Company, LLC's holding period in the preferred stock
will not be uniform to the extent the former holders of the notes did not all
have the same holding period in their notes. The holding period of the other
assets will begin the day after the exchange offer is consummated.
If the exchange offer fails to qualify as a recapitalization because the
notes are not securities for United States federal income tax purposes, Delta
Funding Residual Exchange Company, LLC would be required to recognize capital
gain or loss (except Delta Funding Residual Exchange Company, LLC would be
required to recognize ordinary income to the extent of any accrued market
discount) in an amount equal to the difference between (a) the sum of the
cash, the issue price of the new notes and the fair market value of the
preferred stock and other assets received in the exchange and (b) Delta
Funding Residual Exchange Company, LLC's
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adjusted tax basis in the notes and allocate such gain or loss in accordance
with Section 704(c) of the Code. Any such capital gain or loss would be long-
term capital gain or loss if, and to the extent, the former holders of the
notes had held the notes for more than one year at the time of the exchange.
Delta Funding Residual Exchange Company, LLC's tax basis in the new notes,
preferred stock and the other assets would equal the issue price of the new
notes and the fair market value of the preferred stock, new notes and other
assets, respectively, and the holder's holding period for the preferred stock,
new notes and other assets would begin on the day following the day of the
exchange.
A portion of the consideration received by Delta Funding Residual Exchange
Company, LLC in exchange for the notes may be attributable to accrued but
unpaid interest. Such portion will result in ordinary income to Delta Funding
Residual Exchange Company, LLC.
The remaining discussion assumes that the exchange of notes for new notes,
our preferred stock and other assets will constitute a recapitalization for
United States federal income tax purposes.
Following the exchange, Delta Funding Residual Exchange Company, LLC will
distribute to the holders of the voting membership interests of Delta Funding
Residual Exchange Company, LLC (i.e., former holders of the notes) the shares
of common stock of Delta Funding Residual Management, Inc. and the shares of
our preferred stock received in the exchange. We believe that this
distribution should be governed by Section 731 of the Code. Assuming we are
correct, neither the holders of the voting LLC interests nor Delta Funding
Residual Exchange Company, LLC will recognize any gain as a result of the
distribution. Rather, each holder of a voting membership interest will reduce
the basis in its Delta Funding Residual Exchange Company, LLC interest by an
amount equal to the lesser of (A) Delta Funding Residual Exchange Company,
LLC's basis in the shares of preferred stock and common stock distributed to
such holder and (B) such holder's basis in its membership interest and receive
a commensurate aggregate tax basis in the shares of preferred stock and common
stock received in the distribution. We understand that Delta Funding Residual
Exchange Company, LLC's aggregate tax basis in the shares of common stock is
nominal.
Taxation of Holders of Our Preferred Stock
Dividends on Our Preferred Stock
Dividends on our preferred stock, whether paid in cash, in property or in
kind with additional shares of our preferred stock, that are paid out of our
current or accumulated earnings and profits (as determined for United States
federal income tax purposes) will be includable as ordinary income by a holder
when received or accrued in accordance with such holder's method of
accounting. The amount of each such dividend will equal the amount of cash or
the fair market value of the property or preferred stock received by the
holder. To the extent a holder receives a dividend that exceeds our current or
accumulated earnings and profits, the dividend will be treated first as a non-
taxable return of capital that reduces the holder's adjusted tax basis in its
preferred stock to the extent of such basis and thereafter as taxable gain
from the sale or exchange of the preferred stock.
Subject to certain limitations, dividends received by corporate shareholders
taxable as ordinary income as described above will be eligible for the 70%
(80% for certain corporate shareholders) dividends-received deduction under
Section 243 of the Code. Pursuant to Section 1059 of the Code, in the event of
an "extraordinary dividend," a corporate shareholder will, in certain
circumstances, be required to reduce its basis (but not below zero) in an
amount equal to the amount excluded from income pursuant to the dividends-
received deduction under Section 243 of the Code. Any such amount in excess of
the shareholder's basis will be treated as gain from the sale or exchange of
the preferred stock. Corporate shareholders should consult their own tax
advisors as to the availability of the dividends received deduction and the
application of Section 1059 of the Code to their receipt of dividends.
Disposition of Preferred Stock
Any sale, exchange, redemption (except as discussed below) or other
disposition of the preferred stock generally will result in a holder
recognizing taxable gain or loss in an amount equal to the difference between
the amount of cash or fair market value of other property received in exchange
for the preferred stock and the
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holder's adjusted tax basis in the preferred stock. The aggregate adjusted tax
basis of the preferred stock in the hands of a holder generally will equal the
holder's adjusted tax basis in the notes surrendered, increased by the amount
of capital gain recognized by Delta Funding Residual Exchange Company, LLC in
the exchange and reduced by the sum of the amount of cash, the issue price of
the new notes and the fair market value of the other assets received in the
exchange. Any gain or loss recognized on a disposition of the preferred stock
will be capital gain or loss unless the notes for which the preferred stock
was received had accrued market discount not otherwise taken into account in
the exchange, in which case such gain should be taxable as ordinary income to
the extent of such accrued market discount. Any capital gain or loss will be
long-term capital gain or loss if the holder's holding period with respect to
such preferred stock is more than one year. For this purpose, each holder's
holding period in the preferred stock should include such holder's holding
period in the notes. In addition, any cash received in payment of declared but
unpaid dividends will be taxed as a dividend in accordance with the treatment
described above in "Dividends on Our Preferred Stock."
In certain cases, if we redeem our preferred stock the redemption proceeds
may be treated as a dividend, rather than as a payment in exchange for such
stock. In such event, the redemption payment will be treated as ordinary
dividend income to the extent such payment is made out of our current and
accumulated earnings and profits. The determination of whether a redemption
payment is properly treated as a dividend rather than as a payment in exchange
for preferred stock will depend on whether and to what extent the holder's
percentage stock ownership interest in us is reduced (taking into account
certain constructive ownership rules).
Taxation of Delta Funding Residual Exchange Company, LLC and Holders of its
Interests
Partnership Taxation
As a partnership for federal income tax purposes, Delta Funding Residual
Exchange Company, LLC will not be subject to federal income tax. Rather, each
owner of a membership interest of Delta Funding Residual Exchange Company, LLC
will be required to take into account separately its allocable share of
income, gains, losses, deductions and credits accrued by Delta Funding
Residual Exchange Company, LLC, whether or not there is a corresponding cash
distribution and whether or not Delta Funding Residual Exchange Company, LLC
has received any cash. Thus, cash basis holders will in effect be required to
report their allocable share of income from Delta Funding Residual Exchange
Company, LLC on the accrual basis and thus may become liable for taxes on
their allocable share of Delta Funding Residual Exchange Company, LLC income
even if they have not received cash from Delta Funding Residual Exchange
Company, LLC to pay the taxes.
Delta Funding Residual Exchange Company, LLC's income will consist primarily
of "excess inclusion income" and interest income on the mortgage related
securities and notes owned by Delta Funding Residual Exchange Company, LLC
(other than excess inclusion income generated by Delta Funding Residual
Exchange Company, LLC's ten percent interest in Delta Funding Residual NIM
Subsidiary, LLC which will be allocated to Delta Funding Residual NIM Company,
LLC) and any gain upon the collection or disposition of Delta Funding Residual
Exchange Company, LLC's assets. Delta Funding Residual Exchange Company, LLC's
deductions will consist primarily of servicing and other fees, and losses or
deductions upon collection or disposition of Delta Funding Residual Exchange
Company, LLC's assets. In addition, Delta Funding Residual Exchange Company,
LLC will recognize gain or loss on the transfer of the modified notes and the
tax loan note to Delta Funding Residual NIM Company, LLC in amount equal to
the difference between Delta Funding Residual Exchange Company, LLC's
aggregate adjusted tax basis in the transferred notes and the fair market
value of the ninety percent interest in Delta Funding Residual NIM Subsidiary,
LLC.
The tax items of a partnership are allocable to the partners in accordance
with the Code, Treasury regulations and the partnership agreement (i.e., Delta
Funding Residual Exchange Company, LLC's operating agreement and related
documents). Delta Funding Residual Exchange Company, LLC's operating agreement
will provide, in general, that taxable income of Delta Funding Residual
Exchange Company, LLC will be allocated in the following manner:
o first, to Delta Funding Residual Management, Inc. to the extent of any
excess inclusion income;
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o second, to the holders of the voting membership interests of Delta
Funding Residual Exchange Company, LLC in proportion to, and to the
extent of, any previously allocated losses;
o third, to us to the extent of any cash previously distributed to us (or
paid on our behalf) for the payment of a portion of our obligation to the
New York State Department of Banking;
o fourth, to us 15% of any remaining income in each of the first three
years after the effective date and 10% thereafter;
o fifth, to us to the extent of any cash previously distributed to us (or
paid on our behalf) for the payment of the remainder of our obligation to
the New York State Department of Banking; and
o sixth, to the holders of the voting membership interests of Delta Funding
Residual Exchange Company, LLC in proportion to their interests in Delta
Funding Residual Exchange Company, LLC.
In addition, as stated above, any gain recognized by Delta Funding Residual
Exchange Company, LLC in the exchange will be allocated to the holders of the
voting membership interests of Delta Funding Residual Exchange Company, LLC
that surrendered notes with a fair market value in excess of basis in
accordance with Section 704(c) of the Code.
Based on the economic arrangement of the parties, the foregoing approach for
allocating the income of Delta Funding Residual Exchange Company, LLC should
be permissible under applicable Treasury regulations. However, even under this
method of allocation, holders of voting membership interests of Delta Funding
Residual Exchange Company, LLC may be allocated income in excess of the amount
of cash available for current distribution. In addition, because tax
allocations and tax reporting will be done on a uniform basis for all holders
of the membership interests, but such holders may be purchasing their
membership interests at different times and at different prices, holders of
the membership LLC interests may be required to report on their tax returns
taxable income that is greater or less than the amount reported to them by
Delta Funding Residual Exchange Company, LLC.
Moreover, no assurance can be given that the IRS would not disagree with the
foregoing allocation. In particular, the IRS could assert that the allocation
of excess inclusion income to Delta Funding Residual Management, Inc. lacks
"substantial economic effect" and require a portion of the excess inclusion
income to be allocated to holders of voting membership interests. In this
respect, the amount of excess inclusion income required to be allocated to the
holders of the voting membership interests of Delta Funding Residual Exchange
Company, LLC would be increased if the IRS were to successfully assert that
the excess inclusion income generated by Delta Funding Residual Exchange
Company, LLC's ten percent interest in the excess cashflow certificates is
properly allocable to Delta Funding Residual Exchange Company, LLC. If excess
inclusion income were to be allocated to holders of voting membership
interests, Delta Funding Residual Exchange Company, LLC would be required to
pay tax on the excess inclusion income allocated to "disqualified
organizations" at the highest corporate tax rate. Moreover, holders of Delta
Funding Residual Exchange Company, LLC interests that are not disqualified
organizations would not be able to offset their allocable share of the excess
inclusion income with losses from other activities and any income allocated to
a tax-exempt entity would be treated as unrelated business taxable income.
An individual taxpayer's share of expenses of Delta Funding Residual
Exchange Company, LLC, including its share of the owner trusts' fees to the
servicer, but not interest expense, will be characterized as miscellaneous
itemized deductions and thus deductible only to the extent such expenses plus
all other miscellaneous itemized deductions exceed two percent of the
individual's adjusted gross income. An individual taxpayer will be allowed no
deduction for his share of expenses of Delta Funding Residual Exchange
Company, LLC, other than interest, in determining his liability for
alternative minimum tax. In addition, Section 68 of the Code provides that the
amount of itemized deductions otherwise allowable for the taxable year for an
individual whose adjusted gross income exceeds a prescribed threshold amount
will be reduced by the lesser of (1) 3% of the excess of adjusted gross income
over the specified threshold amount, or (2) 80% of the amount of itemized
deductions otherwise allowable for the applicable taxable year. Accordingly,
deductions might be disallowed to the individual in whole or in part and might
result in the holder of Delta Funding Residual Exchange Company, LLC's
membership interests being taxed on an amount of income that exceeds the
amount of cash actually distributed to the holder over the life of Delta
Funding
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Residual Exchange Company, LLC. In the case of a partnership that has 100 or
more partners and elects to be treated as an "electing large partnership," 70%
of that partnership's miscellaneous itemized deductions will be disallowed,
although the remaining deductions will generally be allowed at the partnership
level and will not be subject to the 2% floor that would otherwise be
applicable to individual partners.
Delta Funding Residual Exchange Company, LLC may make certain tax
calculations relating to income and allocations to holders of Delta Funding
Residual Exchange Company, LLC interests on an aggregate basis to the extent
relevant. If the IRS were to require that the calculations be made separately
for each asset of Delta Funding Residual Exchange Company, LLC the
calculations may result in some timing and character differences under some
circumstances.
Section 708 Termination
Under Section 708 of the Code, Delta Funding Residual Exchange Company, LLC
will be deemed to terminate for federal income tax purposes if 50% or more of
the capital and profits interests in Delta Funding Residual Exchange Company,
LLC are sold or exchanged within a twelve-month period. If a termination
occurs under Section 708 of the Code, Delta Funding Residual Exchange Company,
LLC will be considered to contribute its assets to a new Delta Funding
Residual Exchange Company, LLC, which would be treated as a new partnership,
in exchange for membership interests in the new Delta Funding Residual
Exchange Company, LLC. The original Delta Funding Residual Exchange Company,
LLC will then be deemed to distribute the membership interests in the new
Delta Funding Residual Exchange Company, LLC to each of the owners of the
original Delta Funding Residual Exchange Company, LLC in liquidation of the
original Delta Funding Residual Exchange Company, LLC. Delta Funding Residual
Exchange Company, LLC will not comply with particular technical requirements
that might apply when a constructive termination occurs. As a result, Delta
Funding Residual Exchange Company, LLC may be subject to some tax penalties
and may incur additional expenses if it is required to comply with those
requirements. Furthermore, Delta Funding Residual Exchange Company, LLC might
not be able to comply with these requirements due to lack of data.
Disposition of Delta Funding Residual Exchange Company, LLC Interests
Generally, capital gain or loss will be recognized on a sale of the
membership interests of Delta Funding Residual Exchange Company, in an amount
equal to the difference between the amount realized and the seller's tax basis
in the membership interests sold. Any gain or loss would be long-term capital
gain or loss if the holder of the membership interests has held such interests
for more than one year. A holder's tax basis in the membership interests of
Delta Funding Residual Exchange Company, LLC generally will equal such
holder's tax basis in the notes surrendered in the exchange, decreased by an
amount equal to the lesser of (A) Delta Funding Residual Exchange Company,
LLC's basis in the shares of preferred stock and common stock distributed to
such holder and (B) such holder's basis in the notes surrendered and further
decreased by any distributions received by or losses allocated to such holder
with respect to the membership interests and increased by the holder's
allocable share of Delta Funding Residual Exchange Company, LLC income. In
addition, both the holder's tax basis in Delta Funding Residual Exchange
Company, LLC interests and the calculation of the amount realized on a sale of
such membership interests would include such holder's share, determined under
Treasury Regulations, of any notes and other liabilities of Delta Funding
Residual Exchange Company, LLC. A holder acquiring membership interests at
different prices will generally be required to maintain a single aggregate
adjusted tax basis in its membership interests and, upon a sale or other
disposition of some of the such membership interests, allocate a portion of
the aggregate tax basis to the membership interests sold, rather than
maintaining a separate tax basis in each membership interest for purposes of
computing gain or loss on a sale of that membership interest.
If a holder is required to recognize an aggregate amount of income (not
including income attributable to disallowed itemized deductions described
above) over the life of Delta Funding Residual Exchange Company, LLC that
exceeds the aggregate cash distributions received with respect to Delta
Funding Residual Exchange Company, LLC, the excess will generally give rise to
a capital loss upon the retirement of the membership interests.
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Allocations Between Transferors and Transferees
In general, Delta Funding Residual Exchange Company, LLC's taxable income
and losses will be determined quarterly and the tax items for a particular
calendar month will be apportioned among the holders of voting membership
interests of Delta Funding Residual Exchange Company, LLC in proportion to
their capital accounts as of the close of the last day of the applicable
month. As a result, a holder purchasing voting membership interests may be
allocated tax items, which will affect the purchaser's tax liability and tax
basis, attributable to periods before the actual transaction.
The use of a monthly convention may not be permitted by existing Treasury
regulations. If a monthly convention is not allowed, or only applies to
transfers of less than all of the partner's interest, taxable income or losses
of Delta Funding Residual Exchange Company, LLC might be reallocated among the
holders of its voting membership interests. Delta Funding Residual Exchange
Company, LLC's method of allocation between transferors and transferees may be
revised to conform to a method permitted by future laws, regulations or other
IRS guidance.
Section 731 Distributions
In the case of any distribution to a holder of Delta Funding Residual
Exchange Company, LLC's membership interests, no gain will be recognized by
that holder provided that the amount of money distributed to such holder does
not exceed the holder's adjusted tax basis in its membership interests. To the
extent that the amount of money distributed exceeds that holder's adjusted tax
basis, gain will be currently recognized. In the case of any distribution to a
holder, no loss will be recognized except in certain cases upon a distribution
in liquidation of a holder's membership interests. Any gain or loss recognized
by a holder on a distribution generally will be capital gain or loss.
Section 754 Election
If a holder sells its membership interests of Delta Funding Residual
Exchange Company, LLC at a profit (or loss), the purchaser will have a higher
(or lower) basis in the membership interests than the seller had. The tax
basis of Delta Funding Residual Exchange Company, LLC's assets will not be
adjusted to reflect that higher (or lower) basis unless Delta Funding Residual
Exchange Company, LLC were to file an election under Section 754 of the Code.
In order to avoid the administrative complexities that would be involved in
keeping accurate accounting records, as well as potentially onerous
information reporting requirements, Delta Funding Residual Exchange Company,
LLC currently does not intend to make an election under Section 754 of the
Code. As a result, purchasers of its membership interests might be allocated a
greater or lesser amount of Delta Funding Residual Exchange Company, LLC
income than would be appropriate based on their purchase price.
Administrative Matters
Delta Funding Residual Management, Inc. is required to keep or cause to be
kept complete and accurate books of Delta Funding Residual Exchange Company,
LLC. Delta Funding Residual Management, Inc. will file a partnership
information return (IRS Form 1065) with the IRS for each taxable year of LLC
and will report each holder's allocable share of items of Delta Funding
Residual Exchange Company, LLC income and expense to the holders and the IRS
on Schedule K-1. Delta Funding Residual Management, Inc. will provide the
Schedule K-1 information to nominees that fail to provide Delta Funding
Residual Exchange Company, LLC with the information statement described below
and the nominees will be required to forward this information to the
beneficial owners of the membership interests of Delta Funding Residual
Exchange Company, LLC. Generally, holders must timely file tax returns that
are consistent with the information return filed by Delta Funding Residual
Exchange Company, LLC or be subject to penalties unless the holder notifies
the IRS of all the inconsistencies.
Under Section 6031 of the Code, any person that holds membership interests
Delta Funding Residual Exchange Company, LLC as a nominee at any time during a
calendar year is required to furnish Delta Funding Residual Exchange Company,
LLC with a statement containing specific information on the nominee,
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the beneficial owners and the membership interests so held. The information
includes (1) the name, address and taxpayer identification number of the
nominee and (2) as to each beneficial owner
o the name, address and identification number of such person,
o whether such person is a United States person, a tax-exempt entity or a
foreign government, an international organization, or any wholly owned
agency or instrumentality of either of the foregoing, and
o particular information on membership interests that were held, bought or
sold on behalf of the person throughout the year.
In addition, brokers and financial institutions that hold membership
interests through a nominee are required to furnish directly Delta Funding
Residual Exchange Company, LLC information as to themselves and their
ownership of the membership interests. A clearing agency registered under
Section 17A of the Exchange Act is not required to furnish any information
statement to Delta Funding Residual Exchange Company, LLC. The information
referred to above for any calendar year must be furnished to Delta Funding
Residual Exchange Company, LLC on or before the following January 31.
Nominees, brokers and financial institutions that fail to provide Delta
Funding Residual Exchange Company, LLC with the information described above
may be subject to penalties.
Delta Funding Residual Management, Inc. will be designated as the tax
matters partner for Delta Funding Residual Exchange Company, LLC and, as the
tax matters partner, will be responsible for representing the holders of Delta
Funding Residual Exchange Company, LLC's membership interests in some specific
disputes with the IRS. The Code provides for administrative examination of a
partnership as if the partnership were a separate and distinct taxpayer.
Generally, the statute of limitations for partnership items does not expire
before the later of three years after the date on which the partnership
information return is filed or the last day for filing the return for the
applicable year, determined without regard to extensions. Any adverse
determination following an audit of the return of Delta Funding Residual
Exchange Company, LLC's membership interests by the appropriate taxing
authorities could result in an adjustment of the returns of the holders of the
membership interests, and, under some circumstances, a holder may be precluded
from separately litigating a proposed adjustment to the items of Delta Funding
Residual Exchange Company, LLC. An adjustment could also result in an audit of
a holder's returns and adjustments of items not related to the income and
losses of Delta Funding Residual Exchange Company, LLC.
A special audit system exists for qualifying large partnerships that have
elected to apply a simplified flow-through reporting system under Sections 771
through 777 of the Code. Delta Funding Residual Exchange Company, LLC will not
elect to apply the simplified flow-through reporting system.
Taxation of Holders of Shares of Common Stock of Delta Funding Residual
Management, Inc.
Dividends on the Shares of Common Stock
The tax consequences associated with receiving dividends on the shares of
common stock are substantially similar to those described above in "Dividends
on Our Preferred Stock." Thus, dividends, whether paid in cash or in property
(other than with additional shares of common stock), that are paid out of the
current or accumulated earnings and profits (as determined for United States
federal income tax purposes) of Delta Funding Residual Management, Inc. will
be includable as ordinary income by a holder of the shares of the common stock
when received or accrued in accordance with such holder's method of
accounting. The amount of each such dividend will equal the amount of cash or
the fair market value of the property received by the holder. To the extent a
holder receives a dividend that exceeds current or accumulated earnings and
profits, the dividend will be treated first as a non-taxable return of capital
that reduces the holder's adjusted tax basis in the shares of common stock to
the extent of such basis and thereafter as taxable gain from the sale or
exchange of the shares of common stock.
For rules relating to the availability of the dividends received deduction
and the application Code Section 1059 see "Dividends on Our Preferred Stock"
above.
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Disposition of the Shares of Common Stock
Any sale, exchange, redemption (except as discussed below) or other
disposition of the shares of common stock generally will result in a holder of
such shares recognizing taxable gain or loss in an amount equal to the
difference between the amount of cash or the fair market value of other
property received in exchange for the shares and the holder's adjusted tax
basis in the shares of common stock. The aggregate adjusted tax basis of the
shares of common stock in the hands of a holder generally will equal the
adjusted tax basis of such shares in the hands of Delta Funding Residual
Exchange Company, LLC at the time of the exchange. Any gain or loss recognized
on a disposition of the shares of common stock will be a capital gain or loss
and will be a long-term capital gain or loss if the holder's holding period
with respect to such shares of common stock is more than one year. In
addition, any cash received in payment of declared but unpaid dividends will
be taxed as a dividend in accordance with the treatment described above in
"Dividends on the Shares of Common Stock."
In certain cases, a redemption of the shares of common stock may be treated
as a dividend, rather than as a payment in exchange for such stock. In such
event, the redemption payment will be treated as ordinary dividend income to
the extent such payment is made out of current or accumulated earnings and
profits. The determination of whether a redemption payment is properly treated
as a dividend rather than as a payment in exchange for the shares of common
stock will depend on whether and to what extent the holder's percentage stock
ownership interest in Delta Funding Residual Management, Inc. is reduced
(taking into account certain constructive ownership rules).
Tax Consequences to Delta
COD and Potential Gain Recognition
We will be required to realize cancellation of debt, or COD, income as a
result of the exchange offer if, and to the extent, the outstanding balance
(principal plus accrued but unpaid interest) of the notes exceeds the sum of
the cash, the issue price of the new notes and the fair market value of the
preferred stock and other assets delivered in exchange therefor. Because we
expect that the cash, the issue price of the new notes and the fair market
value of the preferred stock and other assets received in the exchange will
approximately equal the outstanding balance of the notes surrendered, we do
not expect to realize significant COD income, if any.
If we realize any COD income, unless the exchange occurs in a proceeding
under Chapter 11 or unless we can establish that we are "insolvent" (i.e., our
liabilities exceed the fair market value of our assets), we will be required
to include such income in our gross income for federal income tax purposes. In
that case, subject to the alternative minimum tax, or AMT, and potential
Section 382 limitations, discussion below, such income will be offset by any
available net operating loss carryovers or by losses incurred in the taxable
year of the exchange.
In addition, we will recognize the gain or loss, if any, in the mortgage
related assets and our ninety percent interest in Delta Funding Residual NIM
Subsidiary, LLC upon their exchange. Such gain or loss will be equal to the
difference between our tax basis in the Mortgage related assets and our ninety
percent interest in Delta Funding Residual NIM Subsidiary, LLC and their
respective fair market value. However, any such gain will be offset by any
available net operating loss carryovers (except for any AMT) or by losses
incurred in the taxable year of the exchange, subject to potential Section 382
limitations.
AMT
For any taxable year, our federal income tax liability equals the greater of
(a) the regular tax computed at standard corporate rates on taxable income and
(b) the AMT computed at a 20 percent rate on alternative minimum taxable
income, or AMTI, (as defined in Section 55 of the Code). In computing our
regular federal income tax liability, all of the income recognized in a
taxable year may be offset by net operating loss carryovers (to the extent
permitted under Section 382 of the Code). Conversely, for purposes of
computing AMTI, net operating loss carryovers (as determined for AMT purposes)
may not offset more than ninety percent of our pre-net operating loss AMTI.
Thus, we will be required to pay federal income tax at an
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effective rate of at least 2 percent on our pre-net operating loss AMTI, if
any, regardless of the amount of our net operating loss carryovers. To the
extent our AMT liability exceeds our regular tax liability for any taxable
year, the excess may be carried forward as a credit against our regular tax
liability in subsequent years.
Section 382
We estimate that our net operating loss carryovers for regular tax purposes
were approximately $63 million as of December 31, 2000. These net operating
loss carryovers remain subject to examination by the IRS, and will be reduced
if and to the extent we realize any COD income as a result of the exchange. In
addition, these net operating loss carryovers may be subject to limitation
under Section 382 of the Code.
Under Section 382 of the Code, if the exchange results in an "ownership
change," our use of our net operating loss and certain other tax attribute
carryovers and certain built-in losses and deductions (collectively, "tax
attributes") generally will be limited to an amount equal to the fair market
value of our capital stock immediately prior to the ownership change (i.e.,
prior to the issuance of the preferred stock in the exchange) multiplied by
the "long-term tax exempt rate" (5.01% for the month of July) for the month
the exchange occurs. We believe it is unlikely that the exchange will result
in an ownership change. However, such a determination is a factual question
and there can be no assurances that the IRS will agree that no ownership
change has occurred. If it is determined that an ownership change did, in
fact, occur, our ability to use our net operating loss carryovers and certain
other tax attributes will be significantly limited.
Retention of Notes; Adoption of Proposed Amendments
The United States federal income tax consequences of the adoption of the
proposed amendments to the indentures to a noteholder that does not
participate in the exchange and chooses to retain its notes depends on whether
the adoption of the proposed amendments will cause a significant modification
of the retained notes under Treasury Regulations relating to the modification
of debt instruments. We believe that the adoption of the proposed amendments
would be treated as a significant modification of the notes, and accordingly,
believe that the retention of the notes as modified by the proposed amendments
should constitute a taxable event.
Backup Withholding
Payments received in the exchange offer and dividends paid on, or the
proceeds of a sale, exchange, or redemption of, our preferred stock,
membership interest of Delta Funding Residual Exchange Company, LLC or the
shares of common stock may be subject to backup withholding at a rate of 31%
unless, in general, such holder is an exempt recipient or provides the payor
with a taxpayer identification number. (This rate will be reduced to 30.5%
effective August 7, 2001, and further reduced gradually to 28% by the year
2006). Backup withholding is not an additional tax. Any amount so withheld may
be credited against the holder's United States federal income tax liability or
refunded by the IRS.
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LEGAL MATTERS
Certain legal matters with respect to the validity of the issuance of our
preferred stock, the LLC interests and the common stock and tax matters will
be passed upon for us by Stroock & Stroock & Lavan LLP, New York, New York.
Stroock & Stroock & Lavan LLP has acted as counsel for us in connection with
the exchange offer. Stroock & Stroock & Lavan LLP has from time to time
represented, and may continue to represent, us and certain of our affiliates
in connection with certain legal matters.
EXPERTS
Our consolidated financial statements as of December 31, 2000 and 1999, and
for each of the years in the three-year period ended December 31, 2000, have
been incorporated by reference herein and in the registration statement in
reliance upon the report of KPMG LLP, independent certified public
accountants, incorporated by reference herein, and upon the authority of said
firm as experts in accounting and auditing.
You should rely only on the information contained in this document or that
we have referred you to. We have not authorized anyone to provide you with
information that is different. This prospectus is not an offer to sell, or a
solicitation of an offer to buy, any of the notes to any person or by anyone
in any jurisdiction where it is unlawful. Neither the delivery of this
prospectus nor any sale using the prospectus shall, under any circumstances,
create any implication that the information contained in this document or that
we have referred you to is correct after the date hereof or that there has
been no change in our affairs since the date hereof.
WHERE YOU CAN FIND MORE INFORMATION
We are subject to the informational requirements of the Securities Exchange
Act of 1934, as amended. In accordance with the Exchange Act, we file reports
and other information with the Securities and Exchange Commission. Such
reports and other information can be read and copies obtained at the SEC's
Public Reference Room at 450 Fifth Street, N.W., Washington, D.C. 20549, and
at the SEC's regional offices located at 7 World Trade Center, 13th Floor, New
York, New York 10048, and Suite 1400, Northwestern Atrium Center, 500 West
Madison Street, Chicago, Illinois 60661. Please call the SEC at 1-800-SEC-0330
for further information on the Public Reference Room. The SEC maintains an
internet site at http://www.sec.gov that contains reports and information
statements and other information regarding issuers that file electronically
with the SEC, ourselves included.
We have filed with the SEC a registration statement on Form S-4 under the
Securities Act with respect to our offering of our preferred stock, the
membership interests of Delta Funding Residual Exchange Company, LLC and the
shares of common stock of Delta Funding Residual Management, Inc. This
prospectus does not contain all of the information in the registration
statement. You will find additional information about us, our preferred stock,
Delta Funding Residual Exchange Company, LLC, its membership interests, Delta
Funding Residual Management, Inc. and its common stock in the registration
statement. Any statements made in this prospectus concerning the provisions of
legal documents are not necessarily complete and you should read the documents
which are filed as exhibits to the registration statement or otherwise filed
with the SEC.
This prospectus is accompanied by a copy of our latest annual report on Form
10-K for the period ended December 31, 2000 and a copy of our Quarterly Report
on Form 10-Q for the quarter ended March 31, 2001 which contain additional
information about us.
Delta Funding Residual Exchange Company, LLC has not issued any securities
prior to the exchange offer, except to us in exchange for shares of our
preferred stock, which will convert into a non-voting membership interest upon
completion of the exchange offer.
Delta Funding Residual Management, Inc., has not issued any securities prior
to the exchange offer, except to us in exchange for shares of our preferred
stock, which will convert into a non-voting membership interest upon
completion of the exchange offer.
96
Following completion of the exchange offer, we will file a request for no-
action relief for each of Delta Funding Residual Exchange Company, LLC, and
Delta Funding Residual Management, Inc. seeking an exemption from the
reporting requirements of the Exchange Act. If our request for no-action
relief is granted, Delta Funding Residual Exchange Company, LLC and Delta
Funding Residual Management, Inc. each will covenant to provide all
information required pursuant to Rule 144A(d)(4) as in effect on the date of
this prospectus.
INCORPORATION OF DOCUMENTS BY REFERENCE
This prospectus incorporates documents, including important business and
financial information, by reference that are not part of this prospectus or
delivered with this prospectus. This means that we are disclosing important
information to you by referring you to those documents. You should be aware
that information in a document incorporated by reference may have been
modified or superseded by information that is included in other documents that
were filed at a later date and which are also incorporated by reference or
included in this prospectus.
We have filed the following documents with the SEC and they are incorporated
herein by reference:
o our Registration Statement on Form-8-A (SEC File No. 001-12109)
containing a description of our common stock;
o our annual report on Form 10-K/A for the year ended December 31, 2000
(SEC File No. 001-12109);
o our quarterly report on Form 10-Q/A for the quarterly period ended March
31, 2001 (SEC File No. 001-12109); and
o our current reports on Form 8-K filed January 10, 2001, March 2, 2001,
and March 22, 2001 (SEC File No. 001-12109).
All documents and reports filed by us with the SEC after the date of this
prospectus and before the termination of the offering of our preferred stock,
the membership interests of Delta Funding Residual Exchange Company, LLC and
the shares of common stock of Delta Funding Residual Management, Inc. shall be
deemed incorporated herein by reference and shall be deemed to be a part
hereof from the date of filing of such documents and reports. Any statement
contained in a document incorporated or deemed to be incorporated by reference
herein shall be deemed to be modified or superseded for purposes of this
prospectus to the extent that a statement contained herein or in any
subsequently filed document or report that also is or is deemed to be
incorporated by reference herein modifies or supersedes such statement. Any
such statement so modified or superseded shall not be deemed, except as so
modified or superseded, to constitute a part of this prospectus.
We will provide without charge, upon written or oral request, to each person
to whom a copy of this prospectus is delivered, a copy of any of our documents
(other than exhibits to such documents unless such exhibits are specifically
incorporated by reference) incorporated by reference herein.
FORWARD-LOOKING STATEMENTS
This prospectus contains forward-looking statements within the meaning of
Section 27A of the Securities Act of 1933, as amended and Section 21E of the
Securities Exchange Act of 1934, as amended. These statements are based on
management's beliefs and assumptions, based on information currently available
to management and are subject to risks and uncertainties. Forward-looking
statements include, but are not limited to, the information concerning our
possible or assumed future results of operations set forth under:
o "Risk Factors;"
o "The Exchange Offer;"
o "Considerations for Noteholders Who Elect Not to Participate in the
Exchange Offer;" and
o "United States Federal Income Tax Consequences of the Exchange Offer;"
97
preceded by, followed by, or that include, the words "believes," "expects,"
"anticipates," "intends," "plans," "estimates" or similar expressions.
Forward-looking statements are not guarantees of performance. Our future
results may differ materially from those expressed in the forward-looking
statements. Many of the factors that will determine these results are beyond
our ability to control or predict. Holders of the secured notes are cautioned
not to put undue reliance on any forward-looking statement.
Holders of the notes should understand that the following important factors,
in addition to those discussed, could affect our future operating results and
could cause results to differ materially from those expressed in such forward-
looking statements:
o changes in economic conditions and increases in interest rates;
o increased competition in the sub-prime lending industry;
o our substantial leverage and our ability to service our debt; and
o changes in laws or regulations, third party relations and approvals and
decisions of courts, regulations and governmental bodies.
Further, we operate in an industry sector where security values, like the
values of the excess cashflow certificates, which are comprised of the excess
cashflow certificates, the net interest margin owner trust certificate and the
non-performing owner trust certificate, may be volatile and may be influenced
by economic and other factors beyond our control.
98
ANNEX A
THE PROPOSED AMENDMENTS
Holders of senior secured notes who desire to participate in the exchange
offer must tender their senior secured notes and deliver their letter of
transmittal and consent to the proposed amendments prior to 5:00 p.m. New York
City time on the expiration date. No holder of senior secured notes may
participate in the exchange offer without consenting to the proposed
amendments, either affirmatively or in the form of a consent to the proposed
amendments contained in the letter of transmittal and consent. The proposed
amendments, if approved, will be contained and reflected in a supplemental
indenture.
1. Senior Secured Note Indenture
The following is a description of the proposed amendments to certain
restrictive covenants, certain of the event of default provisions and certain
other provisions of the indenture governing the senior secured notes, as
amended to be made effective in accordance with Article Nine of the indenture.
If the proposed amendments become effective, the provisions set forth in the
form of italicized clauses below will be deleted from the indenture. The
proposed amendments also would delete those definitions from the indenture
that are used only in provisions that would be eliminated as a result of the
elimination or modification of the following provisions, and cross-references
to provisions in the indenture that have been deleted as a result of the
proposed amendments will be revised to reflect such deletions.
The provisions of the indenture, reprinted below, are qualified in their
entirety by reference to the indenture. Capitalized terms that are used but
not otherwise defined in this paragraph 1 of Annex A have the same meanings as
set forth in the indenture.
If the proposed amendments become effective, the following sections of the
indenture will be eliminated:
A. From the Indenture:
PREAMBLE
The Company has duly authorized the creation of an issue of the Senior Notes
(as defined) and the Subsidiary Guarantees (as defined), and, to provide
therefor, the Company has duly authorized the execution and delivery of this
Indenture. [delete: The Senior Notes and certain of the Subsidiary Guarantees
will be secured by a lien and security interest in the Collateral (as defined)
maintained with the Collateral Agent (as defined) pursuant to the terms of the
Collateral Agreements (as defined).] The Senior Notes will be jointly and
severally guaranteed, on an unconditional senior secured basis, by the
Subsidiary Guarantors (as defined). All things necessary to make the Senior
Notes, when duly issued and executed by the Company, and authenticated and
delivered hereunder, the valid obligations of the Company and the Subsidiary
Guarantors and to make this Indenture a valid and binding agreement of the
Company and the Subsidiary Guarantors, have been done.
SECTION 4.02 Maintenance Of Office Or Agency
[delete: The Company shall maintain in the Borough of Manhattan, The City of
New York, an office or agency (which may be an office of the Trustee,
Registrar or co-Registrar) where Senior Notes may be surrendered for
registration of transfer or exchange and where notices and demands to or upon
the Company in respect of the Senior Notes and this Indenture may be served.
The Company shall give prompt written notice to the Trustee of the location,
and any change in the location, of such office or agency. If at any time the
Company shall fail to maintain any such required office or agency or shall
fail to furnish the Trustee with the address thereof, such presentations,
surrenders, notices and demands may be made or served at the Corporate Trust
Office of the Trustee.
The Company may also from time to time designate one or more other offices
or agencies where the Senior Notes may be presented or surrendered for any or
all such purposes and may from time to time rescind such designations;
provided, however, that no such designation or rescission shall in any manner
relieve the Company of its obligation to maintain an office or agency in the
Borough of Manhattan, The City
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of New York for such purposes. The Company shall give prompt written notice to
the Trustee of any such designation or rescission and of any change in the
location of any such other office or agency.
The Company hereby designates the Corporate Trust Office of the Trustee as
one such office or agency of the Company in accordance with Section 2.03.]
SECTION 4.03 Reports.
[delete: Whether or not required by the rules and regulations of the SEC, so
long as any of the Senior Notes are outstanding, the Company will furnish to
the Holders of the Senior Notes (i) all quarterly and annual financial
information that would be required to be contained in a filing with the SEC on
Forms 10-Q and 10-K if the Company were required to file such Forms, including
a "Management's Discussion and Analysis of Financial Condition and Results of
Operations" that describes the financial condition and results of operations
of the Company and the consolidated Subsidiaries of the Company (showing in
reasonable detail, either on the face of the financial statements or in the
notes thereto and in Management's Discussion and Analysis of Financial
Condition and Results of Operations, if applicable, the financial condition
and results of operations of the Company and its Restricted Subsidiaries
separately from the financial condition and results of operations of the
Unrestricted Subsidiaries of the Company) and, with respect to the annual
information only, a report thereon by the Company's certified independent
accountants and (ii) all current reports that would be required to be filed
with the SEC on Form 8-K if the Company were required to file such reports. In
addition, whether or not required by the rules and regulations of the SEC, the
Company will file a copy of all such information and reports with the SEC for
public availability (unless the SEC will not accept such a filing) and make
such information available to securities analysts and prospective investors
upon request. Delivery of quarterly information shall be made within 45 days
of the end of each quarter. Delivery of annual information shall be made
within 90 days of the end of each fiscal year.
With respect to the delivery of the annual information only and within 90
days of the end of each fiscal year, the Company shall cause KPMG LLP (or such
other firm of internationally recognized accountants as is then retained by
the Company as its independent auditors) to issue an agreed-upon procedures
report comparing the methodology and assumptions utilized by the Company and
its Subsidiaries in determining the book value of the Residual Receivables
owned by the Company or any of its Subsidiaries to the requirements of Section
4.17 of this Indenture and to historical and available industry data during
the audit period.
Delivery of such reports, information and documents to the Trustee is for
informational purposes only and the Trustee's receipt of such shall not
constitute constructive notice of any information contained therein or
determinable from information contained therein, including the Company's
compliance with any of its covenants hereunder (as to which the Trustee is
entitled to rely exclusively on Officers' Certificates).]
SECTION 4.04 Compliance Certificate.
[delete: (a) The Company shall deliver to the Trustee, within 90 days after
the end of each fiscal year of the Company (which ends on December 31 of each
year), commencing December 31, 2000, an Officers' Certificate stating that a
review of the activities of the Company and its Subsidiaries during the
preceding fiscal year has been made under the supervision of the signing
Officers with a view to determining whether the Company and its Subsidiaries
have kept, observed, performed and fulfilled their obligations under this
Indenture, and further stating, as to each such Officer signing such
certificate, that to the best of his or her knowledge the Company and each of
its Subsidiaries has kept, observed, performed and fulfilled each and every
covenant contained in this Indenture and is not in default in the performance
or observance of any of the terms, provisions and conditions hereof (or, if a
Default or Event of Default shall have occurred, describing all such Defaults
or Events of Default of which he may have knowledge and what action the
Company is taking or proposes to take with respect thereto) and that, to the
best of his knowledge, no event has occurred and remains in existence by
reason of which payments on account of the principal of or interest, if any,
on the Senior Notes are prohibited or if such event has occurred, a
description of the event and what action the Company is taking or proposes to
take with respect thereto.
(b) So long as not contrary to the then current recommendations of the
American Institute of Certified Public Accountants, and so long as the
Company's independent public accountants agree, the year-end
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financial statements delivered pursuant to Section 4.03 above shall be
accompanied by a written statement of the Company's independent public
accountants (who shall be a firm of established national reputation) that in
making the examination necessary for certification of such financial
statements nothing has come to their attention that would lead them to believe
that the Company has violated any provisions of Article 4 or Article 5 of this
Indenture or, if any such violation has occurred, specifying the nature and
period of existence thereof, it being understood that such accountants shall
not be liable directly or indirectly to any person for any failure to obtain
knowledge of any such violation.
(c) The Company shall, so long as any of the Senior Notes are outstanding,
deliver to the Trustee, as soon as possible and in any event within five days
after any Officer of the Company becoming aware of any Default or Event of
Default an Officers' Certificate specifying such Default or Event of Default
what action the Company is taking or proposes to take with respect thereto.]
SECTION 4.05 Taxes.
[delete: The Company shall pay, and shall cause each of its Subsidiaries to
pay, prior to delinquency, all material taxes, assessments, and governmental
levies, except such as are contested in good faith and by appropriate
proceedings or where the failure to effect such payment is not reasonably
expected to be adverse in any material respect to the Holders of the Senior
Notes.]
SECTION 4.06 Stay, Extension And Usury Laws.
[delete: The Company and each of the Subsidiary Guarantors covenants (to the
extent that they may lawfully do so) that it shall not at any time insist
upon, plead, or in any manner whatsoever claim or take the benefit or
advantage of, any stay, extension or usury law wherever enacted, now or at any
time hereafter in force, that may affect the covenants or the performance of
this Indenture; and the Company and each of the Subsidiary Guarantors (to the
extent that they may lawfully do so) hereby expressly waives all benefit or
advantage of any such law, and covenants that it shall not, by resort to any
such law, hinder, delay or impede the execution of any power herein granted to
the Trustee, but shall suffer and permit the execution of every such power as
though no such law has been enacted. The Company and each of the Subsidiary
Guarantors hereby agree that this Indenture contains the terms and provisions
of a workout agreement. The Company and each of the Subsidiary Guarantors also
agrees that the Collateral, consisting primarily of the pledge to the
Collateral Agent of the ownership interest in the Residual Collateral Trusts,
the principal assets of which are Residual Receivables, will rapidly and
materially diminish in value in the event of a bankruptcy filing unless
servicing of such Residual Receivables previously has been or is implemented
immediately by the Back-Up Servicer under the Back-Up Servicing Agreements. As
a material incentive for the Holders and Beneficial Holders, the Company and
each of the Subsidiary Guarantors hereby agree that they consent to and will
not contest or seek to delay the grant of relief (including the request for
immediate relief on an emergency basis) requested in any motion for relief
from stay, filed by the Holders, the Beneficial Holders, the Collateral Agent
or the Trustee, in a bankruptcy case (whether under Chapters 7 or 11 of the
Bankruptcy Code and whether a voluntary or involuntary case) of any of The
Company or the Subsidiary Guarantors, seeking relief from the automatic stays
under Section 362(a) of the Bankruptcy Code to the extent necessary to
foreclose upon and sell the ownership interest in the Residual Collateral
Trusts or either of them or to put in place a new servicer, whether under the
Back-Up Servicing Agreements or otherwise, and for any related relief, or any
similar request for relief in any other insolvency proceeding. The Holders,
the Beneficial Holders, the Collateral Agent and the Trustee shall have the
right to specific performance of this provision from the bankruptcy court or
other court supervising such an insolvency proceeding.]
SECTION 4.07 Restricted Payments.
[delete: The Company and each Restricted Subsidiary shall not, and the
Company shall not permit any of its Restricted Subsidiaries to, directly or
indirectly: (i) declare or pay any dividend or make any other payment or
distribution on account of the Company's or any of its Restricted
Subsidiaries' Owner Trust Certificates (including, without limitation, any
payment in connection with any merger or consolidation involving the Company)
other than dividends or other payments or distributions payable in Owner Trust
Certificates (other than Disqualified Stock) of the Company or dividends or
other payments or distributions
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payable to the Company or any Wholly-Owned Restricted Subsidiary of the
Company; (ii) purchase, redeem or otherwise acquire or retire for value
(including, without limitation, any payment in connection with any merger or
consolidation involving the Company) any Owner Trust Certificates of the
Company (other than any such Owner Trust Certificates owned by any Wholly-
Owned Restricted Subsidiary of the Company) or any direct or indirect parent
of the Company; (iii) make any principal payment on or with respect to,
purchase, redeem, defease or otherwise acquire or retire for value any
Indebtedness that is subordinated to the Senior Notes or any Subsidiary
Guarantee (other than intercompany Indebtedness payable to the Company or a
Restricted Subsidiary by any Restricted Subsidiary), except at its stated
maturity; or (iv) make any Restricted Investment (all such payments and other
actions set forth in clauses (i) through (iv) above being collectively
referred to as "Restricted Payments"), unless, at the time of and after giving
effect to such Restricted Payment:
(a) no Default or Event of Default shall have occurred and be continuing
or would occur as a consequence thereof;
(b) the Company would, at the time of such Restricted Payment and after
giving pro forma effect thereto, have been permitted to incur at least $1.00
of additional Indebtedness pursuant to the test set forth in Section 4.09(a)
hereof; and
(c) such Restricted Payment, together with the aggregate amount of all
other Restricted Payments made by the Company and its Restricted
Subsidiaries after the Issue Date is less than the sum of (i) 100% of the
aggregate net cash proceeds received by the Company from the issue or sale
since the Issue Date of Owner Trust Certificates of the Company (other than
Disqualified Stock) or of Disqualified Stock or Indebtedness represented by
securities of the Company that have been converted into such Owner Trust
Certificates (other than Owner Trust Certificates (or Disqualified Stock or
convertible debt securities) sold to a Subsidiary of the Company and other
than Disqualified Stock or other Indebtedness represented by securities that
have been converted into Disqualified Stock); plus (ii) to the extent that
any Restricted Investment that was made after the Issue Date is sold for
cash or otherwise liquidated or repaid for cash the cash return of capital
with respect to such Restricted Investment (less the sum of (x) the cost of
disposition, if any, plus (y), if a portion of such Restricted Investment
included a Permitted Investment, the amount of such Permitted Investment).
Notwithstanding the foregoing, the Company and each Restricted Subsidiary
shall not, and the Company shall not permit any of its Restricted
Subsidiaries to, directly or indirectly, (i) declare or pay any dividend or
make any other payment or distribution on account of the Company's or any of
its Restricted Subsidiaries' Owner Trust Certificates that are issued and
outstanding as of the Issue Date (including, without limitation, any payment
in connection with any merger or consolidation involving the Company or any
of its Restricted Subsidiaries) other than dividends or other payments or
distributions payable in Owner Trust Certificates (other than Disqualified
Stock) of the Company or dividends or other payments or distributions
payable to the Company or any Wholly-Owned Restricted Subsidiary of the
Company; (ii) purchase, redeem or otherwise acquire or retire for value
(including, without limitation, any payment in connection with any merger or
consolidation involving the Company) any Owner Trust Certificates of the
Company that are issued and outstanding as of the Issue Date (other than any
such Owner Trust Certificates owned by any Wholly-Owned Restricted
Subsidiary of the Company) or any direct or indirect parent of the Company
issued and outstanding as of the date of this Indenture; and (iii) take any
of the actions specified in clauses (i) or (ii) of this paragraph with
respect to Owner Trust Certificates issued after the Issue Date and owned by
the Miller Stockholders unless the issuance and terms of such Owner Trust
Certificates and such action have been approved by a majority of the
independent members of the Board of Directors, whose resolution shall be
delivered to the Trustee.
The provisions of this Section 4.07 shall not prohibit the following
Restricted Payments:
(i) the payment of any dividend not prohibited by the immediately
preceding paragraph, within 60 days after the date of declaration thereof,
if at said date of declaration such payment would have complied with the
provisions of this Indenture (including this Section 4.07);
A-4
(ii) the payment of principal on, or purchase, redemption, defeasance or
other acquisition or retirement for value of Indebtedness with the net cash
proceeds from an incurrence of, Permitted Refinancing Indebtedness or the
substantially concurrent sale (other than to a Subsidiary of the Company) of
Owner Trust Certificates of the Company (other than Disqualified Stock);
provided, that the amount of any such net cash proceeds from any such sale
of Owner Trust Certificates that are utilized for such redemption,
repurchase, retirement or other acquisition shall be excluded from clause
(c)(ii) of the preceding paragraph;
(iii) advances to a Securitization Trust required to be made by the
Company or any Restricted Subsidiary (in its capacity as the holder of the
residual interest in such trust) if such advances rank senior in right of
payment to all other interests in, and Indebtedness of, such trust; and
(iv) the making and consummation of any offer to repurchase any
Indebtedness upon the occurrence of a change of control under and as defined
in the documents governing such Indebtedness; provided, that in connection
with Indebtedness incurred after the Original Issue Date, the definition of
"change of control" is the same in all material respects as the definition
of "Change of Control" set forth in this Indenture and payments pursuant
thereto are not required to be made prior to the date on which the Change of
Control Payment is required to be made under this Indenture and, with
respect to any Indebtedness subordinated in right of payment to the Senior
Notes, no sooner than 30 days after the date such Change of Control Offer is
required to be made.
The Board of Directors may designate any Restricted Subsidiary not in
existence on the Issue Date to be an Unrestricted Subsidiary if such
designation would not cause a Default. For purposes of making such
determination, all outstanding Investments by the Company and its Restricted
Subsidiaries (except to the extent repaid in cash) in the Subsidiary so
designated will be deemed to be Restricted Payments at the time of such
designation and will reduce the amount available for Restricted Payments under
the first paragraph of this Section 4.07. All such outstanding Investments
will be deemed to constitute Investments in an amount equal to the Fair Market
Value of such Investments at the time of such designation. Such designation
will only be permitted if such Restricted Payment would be permitted at such
time and if such Restricted Subsidiary otherwise meets the definition of an
Unrestricted Subsidiary.
The amount of all Restricted Payments other than cash shall be the Fair
Market Value (evidenced by an Officers' Certificate on the date of the
Restricted Payment) of the asset(s) or securities proposed to be transferred
or issued by the Company or such Restricted Subsidiary, as the case may be,
pursuant to the Restricted Payment. The Fair Market Value of any non-cash
Restricted Payment in excess of $1.0 million shall be determined by the Board
of Directors in good faith whose resolution with respect thereto shall be
delivered to the Trustee, such determination to be based upon an opinion or
appraisal issued by an accounting, appraisal or investment banking firm of
national standing if such Fair Market Value exceeds $10.0 million. In
addition, in the case of any non-cash Restricted Payment which will be
received in whole or in part by the Miller Stockholders, the Board Resolution
determining the Fair Market Value thereof shall require the approval of a
majority of the independent members of the Board of Directors, whose
Resolution shall be delivered to the Trustee. Not later than the date of
making any Restricted Payment, the Company shall deliver to the Trustee an
Officers' Certificate stating that such Restricted Payment is permitted and
setting forth the basis upon which the calculations required by this Section
4.07 were computed.]
SECTION 4.08 Dividend And Other Payment Restrictions Affecting Subsidiaries.
[delete: The Company and each Restricted Subsidiary shall not, and the
Company shall not permit any of its Restricted Subsidiaries to, directly or
indirectly, create or otherwise cause or suffer to exist or become effective
any encumbrance or restriction on the ability of any Restricted Subsidiary to
(i)(A) pay dividends or make any other distributions to the Company or any of
its Restricted Subsidiaries (1) on its Capital Stock or (2) with respect to
any other interest or participation in, or measured by, its profits, or (B)
pay any indebtedness owed to the Company or any of its Restricted
Subsidiaries, (ii) make loans or advances to the Company or any of its
Restricted Subsidiaries or (iii) transfer any of its properties or assets to
the Company or any of its Restricted Subsidiaries, except for such
encumbrances or restrictions existing under or by reason of (a) agreements
relating to Indebtedness as in effect as of the Original Issue Date, and any
amendments,
A-5
modifications, restatements, renewals, increases, supplements, refundings,
additions (including additional Warehouse Facilities), replacements or
refinancings thereof, provided that such amendments, modifications,
restatements, renewals, increases, supplements, refundings, additions,
replacements or refinancings are no more restrictive with respect to such
dividend and other payment restrictions than those contained in the agreements
relating to Indebtedness as in effect on the Original Issue Date, (b)
applicable law, (c) any instrument governing Acquired Debt or Capital Stock of
a Person acquired by the Company or any of its Restricted Subsidiaries as in
effect at the time of such acquisition (except to the extent such Acquired
Debt was incurred or such Capital Stock was issued or its terms amended in
connection with or in contemplation of such acquisition), which encumbrance or
restriction is not applicable to any Person, or the property or assets of any
Person, other than the Person or the property or assets of the Person, so
acquired, provided that such Person is not taken into account in determining
on a pro forma basis whether such acquisition subject to such Acquired Debt
was permitted by the terms of this Indenture, (d) customary non-assignment
provisions in leases entered into in the ordinary course of business and
consistent with past practices, (e) purchase money obligations for property
acquired in the ordinary course of business that impose restrictions of the
nature described in clause (iii) above on the property so acquired, (f)
Permitted Refinancing Indebtedness; provided that the restrictions contained
in the agreements governing such Permitted Refinancing Indebtedness are no
more restrictive than those contained in the agreements governing the
Indebtedness being refinanced, and (g) this Indenture, the Subsidiary
Guarantees, the Collateral Agreements and the Related Agreements.]
SECTION 4.09 Incurrence Of Indebtedness And Issuance Of Preferred Stock.
[delete: (a) The Company and each Restricted Subsidiary shall not, and the
Company shall not permit any of its Subsidiaries to, directly or indirectly,
create, incur, issue, assume, guaranty or otherwise become directly or
indirectly liable, contingently or otherwise, with respect to (collectively,
"incur") any Indebtedness (including Acquired Debt) or issue Disqualified
Stock, the Company shall not permit any of its Restricted Subsidiaries to
issue any shares of preferred stock except for preferred stock issued to and
held by the Company or any Wholly-Owned Restricted Subsidiary of the Company
and each Residual Collateral Trust shall not, and the Company shall not permit
any Residual Collateral Trust to issue any shares of preferred stock;
provided, however, that the Company or any Subsidiary Guarantor (other than
the Residual Collateral Trusts) may incur Indebtedness (including Acquired
Debt) or issue Disqualified Stock and any Subsidiary Guarantor (other than the
Residual Collateral Trusts) may issue preferred stock if, on the date of such
incurrence or issuance and after giving effect thereto, the Consolidated
Leverage Ratio does not exceed 2.0 to 1.0.
(b) The foregoing provisions will not apply to:
(i) the incurrence by the Company or any Restricted Subsidiary (other
than the Residual Collateral Trusts) of Indebtedness represented by Capital
Lease Obligations, mortgage financings or purchase money obligations, in
each case incurred for the purpose of financing all or any part of the
purchase price or cost of construction or improvement of property used in
the business of the Company or such Restricted Subsidiary, in an aggregate
principal amount not to exceed $15.0 million in the aggregate since the
Original Issue Date;
(ii) the existence of Warehouse Facilities, regardless of amount, and the
incurrence of Permitted Warehouse Debt by the Company or any of its
Restricted Subsidiaries (other than the Residual Collateral Trusts);
provided, however, that to the extent any such Indebtedness of the Company
or a Restricted Subsidiary of the Company ceases to constitute Permitted
Warehouse Debt, to such extent such Indebtedness shall be deemed to be
incurred by the Company or such Restricted Subsidiary of the Company, as the
case may be, at such time;
(iii) the incurrence by the Company or any of its Restricted Subsidiaries
(other than the Residual Collateral Trusts) of intercompany Indebtedness
owing to the Company or any of its Restricted Subsidiaries; provided,
however, that any Indebtedness of the Company to any Restricted Subsidiary
is permitted by Section 4.07 hereof;
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(iv) the incurrence by the Company of Indebtedness represented by the
Senior Notes and the incurrence by the Subsidiary Guarantors of the
Subsidiary Guarantees;
(v) Indebtedness of the Company and its Restricted Subsidiaries (other
than the Residual Collateral Trusts) outstanding on the Original Issue Date;
(vi) the incurrence by the Company or any of its Restricted Subsidiaries
(other than the Residual Collateral Trusts) of Permitted Refinancing
Indebtedness with respect to Indebtedness that was permitted by this
Indenture to be incurred or that was outstanding at the Original Issue Date;
(vii) the incurrence by the Company or any of its Restricted Subsidiaries
(other than the Residual Collateral Trusts) of Hedging Obligations directly
related to (w) Indebtedness of the Company or a Restricted Subsidiary of the
Company that was permitted by this Indenture to be incurred, (x) Receivables
held by the Company or a Restricted Subsidiary pending sale in a
Securitization, (y) Receivables of the Company or a Restricted Subsidiary
that have been sold pursuant to a Warehouse Facility; or (z) Receivables
that the Company or a Restricted Subsidiary reasonably expects to purchase
or commit to purchase, finance or accept as collateral; provided, however,
that, in the case of each of the foregoing clauses (w) through (z), such
Hedging Obligations are eligible to receive hedge accounting treatment in
accordance with GAAP as applied by the Company and its Restricted
Subsidiaries on the Original Issue Date;
(viii) the incurrence of Acquired Debt by the Company or any Subsidiary
Guarantor (other than the Residual Collateral Trusts) in a principal amount
not to exceed $15.0 million in the aggregate since the Original Issue Date
that is without recourse to the Company or any of its Restricted
Subsidiaries or any of their respective assets (other than the Subsidiary
Guarantor acquired subject to such Acquired Debt), and is not guaranteed by
any such Person;
(ix) the Guarantee by the Company or any of the Subsidiary Guarantors
(other than the Residual Collateral Trusts) of the Indebtedness of the
Company or another Subsidiary Guarantor that was permitted to be incurred by
another provision of this Section 4.09;
(x) the incurrence by the Company and the Subsidiary Guarantors of
Indebtedness (other than the Residual Collateral Trusts) secured by (A)
Servicing Receivables (other than those on deposit in the Residual
Collateral Trusts), (B) Residual Receivables (other than those on deposit in
the Residual Collateral Trusts) or (C) the Capital Stock of Subsidiaries
(other than the Residual Collateral Trusts or the other Subsidiary
Guarantors) substantially all of the assets of which are Residual
Receivables and/or Servicing Receivables;
(xi) the incurrence by the Company and the Subsidiary Guarantors (other
than the Residual Collateral Trusts) of Indebtedness in an aggregate
principal amount at any time outstanding not to exceed $10.0 million;
(xii) (A) the incurrence by an Unrestricted Subsidiary of the Company of
Non-Recourse Debt (including, without limitation, Non-Recourse Debt that
would constitute Permitted Warehouse Debt if incurred by a Restricted
Subsidiary of the Company); provided, however, that if any such Indebtedness
ceases to be Non-Recourse Debt of the Unrestricted Subsidiary, such event
shall be deemed to constitute an incurrence of Indebtedness by a Restricted
Subsidiary and (B) the issuance by an Unrestricted Subsidiary of the Company
of preferred stock; and
(xiii) the Guaranteed Obligations and the Collateral securing the same.
(c) The Company shall not, and shall not permit any Subsidiary Guarantor
to, incur any Indebtedness that is contractually subordinated to any
Indebtedness of the Company or any such Subsidiary Guarantor unless such
Indebtedness is also contractually subordinated to the Senior Notes, or the
Subsidiary Guarantee of such Subsidiary Guarantor (as applicable), on
substantially identical terms; provided, however, that no Indebtedness shall
be deemed to be contractually subordinated to any other Indebtedness solely by
virtue of being unsecured or of limited recourse.
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(d) For purposes of determining compliance with this covenant, in the event
that an item of Indebtedness meets the criteria of more than one of the
categories of Indebtedness described in clauses (i) through (xii) of Section
4.09(b) above or is entitled to be incurred pursuant to Section 4.09(a), the
Company shall, in its sole discretion, classify such item of Indebtedness in
any manner than complies with this covenant and such item of Indebtedness will
be treated as having been incurred pursuant to only one of such clauses or
pursuant to Section 4.09(a).]
SECTION 4.10 Transactions With Affiliates.
[delete: The Company and each Restricted Subsidiary shall not, and the
Company shall not permit any of its Restricted Subsidiaries to, sell, lease,
transfer or otherwise dispose of any of its properties or assets to, or
purchase any property or assets from, or enter into or make or amend any
transaction, contract, agreement, understanding, loan, advance or guarantee
with, or for the benefit of, any Affiliate (each of the foregoing an
"Affiliate Transaction"); provided that Affiliate Transactions shall not
include (A) any employment agreement, stock option, employee benefit,
indemnification, compensation (including the payment of reasonable fees to
Directors of the Company or its Restricted Subsidiaries who are not employees
of the Company or its Restricted Subsidiaries), business expense reimbursement
or other employment-related agreement, arrangement or plan entered into by the
Company or any of its Restricted Subsidiaries in the ordinary course of
business of the Company or such Restricted Subsidiary and consistent with past
practice, or if not consistent with past practice, approved by a majority of
the independent members of the Board of Directors whose resolution shall be
delivered to the Trustee, (B) transactions between or among the Company and/or
its Restricted Subsidiaries (other than the Canadian Subsidiaries) not
otherwise prohibited by this Indenture, (C) transactions constituting a
Permitted Investment in the Canadian Subsidiaries permitted by clause (a) of
the definition of Permitted Investments and transactions between the Canadian
Subsidiaries not otherwise prohibited by this Indenture, (D) loans or advances
to employees in the ordinary course of business of the Company or its
Restricted Subsidiaries or for advance payment of employee benefits
(including, without limitation, prefunding of any severance obligations), but
in any event not to exceed $500,000 in aggregate principal amount outstanding
to all such persons at any one time, (E) Restricted Payments other than
Restricted Investments that are permitted by Section 4.07 hereof, (F)
Securitizations and (G) sales, transfers and other dispositions of Residual
Receivables and Servicing Receivables, provided that after the consummation
thereof, the Company is in compliance with Section 4.17.]
SECTION 4.11 Liens.
[delete: The Company and each Restricted Subsidiary shall not, and the
Company shall not permit any of its Restricted Subsidiaries to, directly or
indirectly, create, incur, assume or suffer to exist any Lien on any asset now
owned or hereafter acquired, or any income or profits therefrom or assign or
convey any right to receive income therefrom, except Permitted Liens.
Notwithstanding any provision in this Indenture to the contrary, the entry
from time to time by the Company or one or more of the Subsidiary Guarantors
with Ocwen Federal Bank, FSB, or its affiliates, successors or assigns (the
"Sub-Servicer") into one or more sub-servicing agreements pursuant to which
the Sub-Servicer will act as servicer of Receivables and which will be
terminable at the election of the Company or a Subsidiary Guarantors for any
reason (with payment of specified fees and penalties) on not more than 90
days' prior written notice shall not be deemed a breach of this Section 4.11
or any other provision of this Indenture.]
SECTION 4.12 Business Activities.
[delete: The Company and each Restricted Subsidiary shall not, and the
Company shall not permit any Restricted Subsidiary to, engage in any business
other than Permitted Businesses.]
SECTION 4.13 Payments For Consent.
[delete: Neither the Company nor any of its Subsidiaries shall, directly or
indirectly, pay or cause to be paid any consideration, whether by way of
interest, fee or otherwise, to any Holder of any of the Senior Notes for or as
an inducement to any consent, waiver or amendment of any of the terms or
provisions of this Indenture, the Senior Notes or any Subsidiary Guarantee
unless such consideration is offered to be paid or is
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paid to all Holders of Senior Notes that consent, waive or agree to amend in
the time frame set forth in the solicitation documents relating to such
consent, waiver or agreement.]
SECTION 4.14 Corporate Existence.
[delete: Subject to Article 5 hereof, the Company shall do or cause to be
done all things necessary to preserve and keep in full force and effect (i)
its corporate existence, and the corporate, partnership or other existence of
each of its Subsidiaries, in accordance with the respective organizational
documents (as the same may be amended from time to time) of the Company or any
such Subsidiary and (ii) the rights (charter and statutory), licenses and
franchises of the Company and its Subsidiaries; provided, however, that the
Company shall not be required to preserve any such right, license or
franchise, or the corporate, partnership or other existence of any of its
Subsidiaries, if the Board of Directors shall determine that the preservation
thereof is no longer desirable in the conduct of the business of the Company
and its Subsidiaries, taken as a whole, and that the loss thereof is not
adverse in any material respect to the Holders of the Senior Notes.]
SECTION 4.15 Offer To Repurchase Upon Change Of Control.
[delete: (a) Upon the occurrence of a Change of Control, each Holder of the
Senior Notes will have the right to require the Company to repurchase all or
any part (equal to $1,000 or an integral multiple thereof) of such Holder's
Senior Notes pursuant to the offer described below (the "Change of Control
Offer") at an offer price in cash equal to 101% of the aggregate principal
amount thereof plus accrued and unpaid interest thereon, if any, to the date
of purchase (the "Change of Control Payment"). Within ten days following any
Change of Control, the Company shall mail a notice to each Holder describing
the transaction or transactions that constitute the Change of Control and
offering to repurchase the Senior Notes on the date specified in such notice,
which date shall be no earlier than the earliest date permitted under Rule
14e-1 and no later than 60 days from the date such notice is mailed (the
"Change of Control Payment Date"), pursuant to the procedures required by this
Indenture and described in such notice. The Company shall comply with the
requirements of Rule 14e-1 and any other securities laws and regulations
thereunder to the extent such laws and regulations are applicable in
connection with the repurchase of the Senior Notes as a result of a Change of
Control. To the extent that the provisions of any securities laws or
regulations conflict with the provisions of this Section 4.15, the Company
shall comply with the applicable securities laws and regulations and shall not
be deemed to have breached its obligations under this Section 4.15 by virtue
thereof.
(b) On the Change of Control Payment Date, the Company shall, to the extent
lawful, (1) accept for payment all the Senior Notes or portions thereof
properly tendered pursuant to the Change of Control Offer, (2) deposit with
the Paying Agent an amount equal to the Change of Control Payment in respect
of all the Senior Notes or portions thereof so tendered and (3) deliver or
cause to be delivered to the Trustee the Senior Notes so accepted together
with an Officers' Certificate stating the aggregate principal amount of the
Senior Notes or portions thereof being purchased by the Company. The Paying
Agent shall promptly mail to each Holder of the Senior Notes so tendered the
Change of Control Payment for such Senior Notes, and the Trustee shall
promptly authenticate and mail (or cause to be transferred by book entry) to
each Holder a new Senior Note equal in principal amount to any unpurchased
portion of the Senior Notes surrendered, if any; provided that each such new
Senior Note will be in a principal amount of $1,000 or an integral multiple
thereof. The Company shall publicly announce the results of the Change of
Control Offer on or as soon as practicable after the Change of Control Payment
Date.
(c) The Company shall not be required to make a Change of Control Offer
upon a Change of Control if a third party makes the Change of Control Offer in
the manner, at the times and otherwise in compliance with the requirements set
forth in this Indenture applicable to a Change of Control Offer and purchases
all the Senior Notes validly tendered and not withdrawn under such Change of
Control Offer.]
SECTION 4.16 Additional Subsidiary Guarantees.
[delete: If the Company or any of its Subsidiaries shall acquire or create
another Subsidiary after the date of this Indenture, then the Company shall
cause such newly acquired or created Subsidiary to execute a Subsidiary
Guarantee and deliver an Opinion of Counsel, in accordance with the terms of
this Indenture,
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except this Section 4.16 shall not apply to any Subsidiaries that have
properly been designated as Unrestricted Subsidiaries in accordance with this
Indenture and are prohibited by contract or by their organizational documents
from executing a Subsidiary Guaranty for so long as they continue to
constitute Unrestricted Subsidiaries and remain subject to such prohibitions.
In addition, the Company or its Subsidiary, as applicable, shall enter into a
Pledge Agreement with respect to all of the Owner Trust Certificates of any
such newly formed or acquired Subsidiary which is required to execute a
Subsidiary Guarantee in accordance with this Section. Without limiting the
foregoing, Securitization Trusts shall not be obligated to enter into a
Subsidiary Guaranty.]
SECTION 4.17 Maintenance of Residual Receivables Pending Exchange Offer.
[delete: The Company, Delta Funding and DF Special Holdings shall cause all
Residual Receivables owned as of March 15, 2001 by the 2000-1 Trust and the
2000-2 Trust to remain owned by such Trusts until the consummation of the
Exchange Offer (other than (i) the release and transfer to DF Special Holdings
from the 2000-1 Trust of the Residual Receivables set forth on Schedule
4.17(A) and the deposit by DF Special Holdings into the 2000-1 Trust of the
Residual Receivables set forth on Schedule 4.17(B) and (ii) the release and
transfer to Delta Funding from the 2000-2 Trust of the Residual Receivables
set forth on Schedule 4.17(C) and the deposit by Delta Funding into the 2000-2
Trust of the Residual Receivables set forth on Schedule 4.17(D). Schedule
4.17(E) lists the underlying certificates for all Residual Receivables
required to be maintained on deposit with the Residual Collateral Trusts in
order to satisfy the requirements of the foregoing sentence.
After giving effect to (i) the release and transfer to DF Special Holdings
from the 2000-1 Trust of the Residual Receivables set forth on Schedule
4.17(A) and the deposit by DF Special Holdings into the 2000-1 Trust of the
Residual Receivables set forth on Schedule 4.17(B) and (ii) the release and
transfer to Delta Funding from the 2000-2 Trust of the Residual Receivables
set forth on Schedule 4.17(C) and the deposit by Delta Funding into the 2000-2
Trust of the Residual Receivables set forth on Schedule 4.17(D), the Residual
Receivables then remaining in the 2000-1 Trust and the 2000-2 Trust are and
were free and clear of liens and had an aggregate unaudited book value of
approximately $152 million as of December 31, 2000; included in such Residual
Receivables are Senior Residual Receivables which had an aggregate book value
of approximately $75 million as of December 31, 2000.
For the purposes of this Section 4.17, the Company valued (i) Senior
Residual Receivables using a discount rate of 12% and (ii) all other Residual
Receivables using a discount rate of 18%. The other assumptions and
methodology used by the Company in valuing Senior Residual Receivables and
other Residual Receivables were those which are used by the Company in
establishing the book value of such Senior Residual Receivables and other
Residual Receivables in its annual audited consolidated financial statements
prepared in accordance with GAAP consistently applied.
The foregoing is collectively referred to as the Residual Receivable
Maintenance Requirement.]
SECTION 4.18 Liquidity Maintenance.
[delete: The Company shall cause the amount of Unencumbered Liquid Assets to
be equal to or greater than the amount of Unencumbered Liquid Assets required
to be maintained by the Company pursuant to the then effective Warehouse
Facilities.]
SECTION 4.19 Back-Up Servicing Agreements.
[delete: No later than March 15, 2001, Delta Funding will, at its own cost,
enter into and thereafter at all times maintain in full force and effect the
Back-Up Servicing Agreements with the Back-Up Servicer and satisfy on a timely
basis all conditions with respect to the transfer of servicing thereunder when
such conditions are capable of being satisfied. The Back-Up Servicing
Agreements shall provide for mapping and monthly back-up of information
relating to the mortgage loans underlying Residual Receivables created after
1996 for which Delta Funding or any Affiliate is the primary servicer. Delta
Funding may cease such Back-Up Servicing Agreements at any time that the value
of Unencumbered Liquid Assets equals or exceeds $40,000,000, as of the
conclusion of any Business Day; provided, further, that if Delta Funding has
ceased
A-10
such Back-Up Servicing Agreements in accordance with the foregoing, Delta
Funding shall reinstate such Back-Up Servicing Agreements as soon as
practicable and in any event within thirty (30) days if Unencumbered Liquid
Assets are less than $32,500,000 at the conclusion of any Business Day.]
SECTION 4.20 Registration Rights.
[delete: Upon the written request of the Holders holding a majority in
interest of the Senior Notes then outstanding, the Company shall use
reasonable commercial efforts to cause a registration statement covering the
Senior Notes to be filed under the Exchange Act and to have such registration
statement declared effective by the SEC.]
SECTION 4.21 Leverage Ratio (Total Liabilities).
[delete: The Company and the Subsidiary Guarantors, on a consolidated basis,
will not permit the ratio of Total Adjusted Liabilities (excluding
Subordinated Indebtedness) to Adjusted Tangible Net Worth to exceed the
greater of (A) 7.0 to 1.0 and (B) the ratio of Total Adjusted Liabilities to
Adjusted Tangible Net Worth (if any) set forth in the then-effective Warehouse
Facilities, as of any day.]
SECTION 4.22 Leverage Ratio.
[delete: The Company and the Subsidiary Guarantors, on a consolidated basis,
will not permit the ratio of Adjusted Senior Indebtedness of the Company and
the Subsidiary Guarantors as of the end of any fiscal quarter, to Tangible Net
Worth as of the end of such fiscal quarter to exceed the greater of (A) 1.5 to
1.0 and (B) the ratio of Adjusted Senior Indebtedness to Tangible Net Worth
(if any) set forth in the then-effective Warehouse Facilities.]
SECTION 4.23 Net Worth.
[delete: The Company and the Subsidiary Guarantors, on a consolidated basis,
will not, at any time, permit their consolidated Tangible Net Worth to be less
than the greater of (A) $45,000,000 and (B) the Tangible Net Worth requirement
(if any) set forth in the then-effective Warehouse Facilities.]
SECTION 4.25 No Pledge or Sale of Residual Receivables or Other Assets after
Default or Event of Default.
[delete: From the date a Default or Event of Default has occurred until the
date the Default or Event of Default is cured or waived, the Company shall not
and shall not permit any of its Restricted Subsidiaries to sell, lease,
securitize, transfer or assign or grant any new security interests or
otherwise permit any new Liens (collectively, a "Disposition") to be placed on
any of its Residual Receivables, Servicing Receivables, intellectual property,
equipment, leasehold interests, real property or capitalized mortgage
servicing rights, other than, following a Default and prior to the occurrence
of an Event of Default, a Disposition of Residual Receivables, Servicing
Receivables or other assets in the ordinary course of business which does not
result in any additional Defaults and provided that the proceeds of such
Disposition are used simultaneous with such Disposition to either cure the
Default or for payment of the Senior Notes or other Guaranteed Obligations
arising under the Senior Notes, this Indenture or the Collateral Agreements.]
SECTION 4.26 Limitations on Asset Sales.
[delete: The Company and each Restricted Subsidiary shall not, and the
Company shall not permit any of its Restricted Subsidiaries to, consummate an
Asset Sale unless the Company (or the Restricted Subsidiary, as the case may
be) receives consideration at the time of such Asset Sale at least equal to
the Fair Market Value of the assets or Owner Trust Certificates issued or sold
or otherwise disposed of.
The Company or the Restricted Subsidiary, as the case shall be, shall apply
an amount equal to 100% of such Net Proceeds in the permitted Business of the
Company and the Restricted Subsidiaries or to payment of the Senior Notes or
other Guaranteed Obligations. Pending the final application of any such Net
Proceeds,
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the Company or such Restricted Subsidiary may temporarily invest such Net
Proceeds in items permitted under (a) or (b) in the definition of Permitted
Investments.
Notwithstanding the foregoing, the Company and each Restricted Subsidiary
shall not and the Company shall not permit its Restricted Subsidiaries to
consummate an Asset Sale which includes any Collateral or Capital Stock of the
Canadian Subsidiaries not constituting Collateral.]
SECTION 4.27 Flow of Residual Receivables.
[delete: (a) DELETED.
(b) On the Issue Date, Delta Funding shall deposit all Residual Receivables
owned by it in the Delta Funding Residual Holding Trust 2000-2 Residual
Collateral Trust.
(c) On the Issue Date, DF Special Holdings shall deposit all Residual
Receivables owned by it in the Delta Funding Residual Holding Trust 2000-1
Residual Collateral Trust.]
SECTION 4.28 Notice of Default.
[delete: If a Default or an Event of Default occurs and is continuing and if
it is known to the Company or any Subsidiary Guarantor, the Company shall mail
or cause to be mailed to each Holder notice of the uncured Default or Event of
Default within five (5) Business Days after such Default or Event of Default
first becomes known to the Company or any Subsidiary Guarantor.]
SECTION 5.01 Merger, Consolidation Or Sale Of Assets.
[delete: (a) The Company shall not consolidate, or merge with or into
(whether or not the Company is the surviving corporation) or sell, assign,
transfer, lease, convey or otherwise dispose of all or substantially all of
its properties or assets in one or more related transactions, to another
corporation, Person or entity unless (i) the Company is the surviving
corporation or the entity or the Person formed by or surviving any such
consolidation, or merger (if other than the Company) or to which such sale,
assignment, transfer, lease, conveyance or other disposition shall have been
made is a corporation organized or existing under the laws of the United
States, any state thereof or the District of Columbia; (ii) the entity or
Person formed by or surviving any such consolidation or merger (if other than
the Company) or the entity or Person to which such sale, assignment, transfer,
lease, conveyance or other disposition shall have been made assumes all the
obligations of the Company under the Notes, this Indenture, the Collateral
Agreements and the Related Agreements pursuant to a supplemental indenture and
other agreements in forms reasonably satisfactory to the Trustee; (iii)
immediately after such transaction, no Default or Event of Default exists;
(iv) each of the Subsidiary Guarantors confirms its obligations under the
Subsidiary Guarantees, this Indenture, the Collateral Agreements and the
Related Agreements pursuant to a supplemental indenture and other agreements
in forms reasonably satisfactory to the Trustee; (v) the Trustee has received
an Opinion of Counsel to the effect that all actions required to perfect any
pledges or security interest on the Collateral have been taken and the
requirements of clauses (i), (ii) and (iv) have been satisfied (assuming the
Trustee's satisfaction); (vi) the Trustee has received an Officers'
Certificate to the effect that all requirements of the Section have been
satisfied; and (vii) except in the case of a merger of the Company with or
into a Wholly Owned Subsidiary of the Company, the Company or the entity or
Person formed by or surviving any such consolidation or merger (if other than
the Company), or to which such sale, assignment, transfer, lease, conveyance
or other disposition shall have been made (A) will have Consolidated Net Worth
immediately after the transaction equal to or greater than the Consolidated
Net Worth of the Company immediately preceding the transaction and (B) will,
at the time of such transaction and after giving pro forma effect thereto as
if such transaction had occurred at the beginning of the applicable four-
quarter period, be permitted to incur at least $1.00 of additional
Indebtedness pursuant to the Consolidated Leverage Ratio test set forth in the
first paragraph of Section 4.09(a).
(b) Notwithstanding Section 5.01(a), but subject to compliance with Section
5.01(a)(ii) (with respect to the Wholly-Owned Restricted Subsidiaries
obligations), (iii), (iv), (v) and (vi), a Wholly-Owned Restricted Subsidiary
of the Company may merge into the Company or another Wholly-Owned Restricted
Subsidiary of
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the Company that is a Subsidiary Guarantor, provided that the Capital Stock of
such surviving Person constitutes Collateral. Notwithstanding the foregoing,
no Residual Collateral Trust may be sold, merged or otherwise consolidated
with any other entity.]
SECTION 5.02 Successor Corporation Substituted.
Upon any consolidation or merger, or any sale, assignment, transfer, lease,
conveyance or other disposition of all or substantially all of the assets of
the Company [delete: in accordance with Section 5.01 hereof], the successor
corporation formed by such consolidation or into or with which the Company is
merged or to which such sale, assignment, transfer, lease, conveyance or other
disposition is made shall succeed to, and be substituted for (so that from and
after the date of such consolidation, merger, sale, lease, conveyance or other
disposition, the provisions of this Indenture referring to the "Company" shall
refer instead to the successor corporation and not to the Company) and may
exercise every right and power of the Company under this Indenture with the
same effect as if such successor Person had been named as the Company herein;
provided, however, that the predecessor Company shall not be relieved from the
obligation to pay the principal of and interest on the Notes [delete: except
in the case of a sale of all of the Company's assets that meet the
requirements of Section 5.01 hereof.]
SECTION 6.01 Events Of Default.
[delete: (c) the Company on any Restricted Subsidiary defaults in the
payment of interest or principal under any of the Warehouse Facility (whether
due at maturity, by acceleration or otherwise) and such default continues
beyond the grace period (if any) provided in the applicable Warehouse
Facility;
(d) the Company fails to comply with any of the provisions of Section 4.07,
4.09, 4.11, 4.15, 4.17, 4.18, 4.21, 4.22, 4.23, 4.24, 4.25, 4.26, 4.27 or 5.01
hereof;
(e) the Company fails to observe or perform any other covenant,
representation, warranty or other agreement in this Indenture or the Senior
Notes and such failure to observe or perform remains uncured for 30 days (or,
if the Company has failed to notify the Holders of a Default or an Event of
Default as required by Section 4.28, that number of days equal to 30 days
minus the number of days during which the Company is in Default of its
obligation under Section 4.28) after notice to the Company by the Trustee or
the Holders or Beneficial Holders of at least 25% in aggregate principal
amount of the Senior Notes then outstanding;
(f) a default occurs under any mortgage, indenture or instrument under
which there may be issued or by which there may be secured or evidenced any
Indebtedness for money borrowed by the Company or any of its Subsidiaries (or
the payment of which is guaranteed by the Company or any of its Subsidiaries),
whether such Indebtedness or Guarantee now exists, or is created after the
date of this Indenture, which default (a) is caused by a failure to pay
principal of or premium, if any, or interest on such Indebtedness prior to the
expiration of the grace period provided in such Indebtedness on the date of
such default (a "Payment Default") or (b) results in the acceleration of such
Indebtedness prior to its express maturity and, in each case, the principal
amount of any such Indebtedness under which there has been a Payment Default
or, together with the principal amount of any other such Indebtedness the
maturity of which has been so accelerated, aggregates $5.0 million or more;
(g) a final judgment or final judgments for the payment of money are
entered by a court or courts of competent jurisdiction against the Company,
any of its Restricted Subsidiaries (other than Continental Property Management
Corp.), any Significant Subsidiary or any group of Subsidiaries that, taken as
a whole, would constitute a Significant Subsidiary and such judgment or
judgments remain undischarged for a period (during which execution shall not
be effectively stayed) of 60 days, provided that the aggregate of all such
undischarged judgments exceeds $5.0 million;
(h) the Company, any of its Restricted Subsidiaries (other than Continental
Property Management Corp.), any of its Significant Subsidiaries or any group
of Subsidiaries that, taken as a whole, would constitute a Significant
Subsidiary pursuant to or within the meaning of Bankruptcy Law:
(i) commences a voluntary case,
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(ii) consents to the entry of an order for relief against it in an
involuntary case,
(iii) consents to the appointment of a Custodian of it or for all or
substantially all of its property, or
(iv) makes a general assignment for the benefit of its creditors,
(i) a court of competent jurisdiction enters an order or decree under any
Bankruptcy Law that:
(1) grants relief in an involuntary case against the Company, any of its
Restricted Subsidiaries, any of its Significant Subsidiaries or any group of
Subsidiaries that, taken as a whole, would constitute a Significant
Subsidiary that results in such entity or entities becoming a debtor or
debtors under the Bankruptcy Law;
(2) appoints a Custodian of the Company, any of its Restricted
Subsidiaries, any of its Significant Subsidiaries or any group of
Subsidiaries that, taken as a whole, would constitute a Significant
Subsidiary or for all or substantially all of the property of the Company or
any of its Significant Subsidiaries or any group of Subsidiaries that, taken
as a whole, would constitute a Significant Subsidiary; or
(3) orders the liquidation of the Company, any of its Restricted
Subsidiaries, any of its Significant Subsidiaries or any group of
Subsidiaries that, taken as a whole, would constitute a Significant
Subsidiary;
(j) any Subsidiary Guarantee, Collateral Agreement or Related Agreement
shall be held in any judicial proceeding to be invalid or unenforceable or
shall cease for any reason to be in full force and effect or the Company or
any Subsidiary Guarantor or any Person acting on behalf of the Company or any
Subsidiary Guarantor shall deny or disaffirm its obligations under its
Subsidiary Guarantee, any Collateral Agreement or Related Agreement; or
(k) the Company or any Restricted Subsidiary fails to observe or perform
any material covenant, representation, warranty or agreement in any Collateral
Agreement or any Related Agreement for 15 days after notice to the Company by
the Trustee, the Collateral Agent, the Warrant Agent, the Owner Trustee, the
Administrator, the Back-Up Servicer, or Holders or Beneficial Holders of at
least 25% in aggregate principal amount of the Senior Notes then outstanding;
or
(l) the Company or any of its affiliates fails in a material way to perform
any of the undertakings set forth in the Letter of Intent on or before
August 31, 2001; or
(m) the Company fails to conclude the Exchange Offer described in the
Letter of Intent on or before August 31, 2001; or
(n) Delta Funding fails to conclude the transfer of actual servicing for
the entirety of the mortgage loans underlying Residual Receivables listed on
Schedule 4.17(E) to Ocwen Federal Bank, FSB on or before July 31, 2001.]
SECTION 6.02 Acceleration.
If any Event of Default [delete: (other than an Event of Default specified
in clause (h) or (i) of Section 6.01 hereof)] occurs and is continuing, the
Trustee or the Holders of at least 25% in principal amount of the then
outstanding Senior Notes may declare all the Senior Notes to be due and
payable immediately. Upon any such declaration, the Senior Notes shall become
due and payable immediately. [delete: Notwithstanding the foregoing, if an
Event of Default specified in clause (h) or (i) of Section 6.01 hereof occurs,
all outstanding Senior Notes shall be due and payable immediately without
further action or notice. The Holders of a majority in aggregate principal
amount of the then outstanding Senior Notes by written notice to the Trustee
may on behalf of all of the Holders rescind an acceleration and its
consequences if the rescission would not conflict with any judgment or decree
and if all existing Events of Default (except nonpayment of principal,
interest or premium that has become due solely because of the acceleration)
have been cured or waived.]
A-14
[delete: If an Event of Default occurs on or after August 1, 2001, by reason
of any willful action (or inaction) taken (or not taken) by or on behalf of
the Company with the intention of avoiding payment of the premium that the
Company would have had to pay if the Company then had elected to redeem the
Senior Notes pursuant to Section 3.07 hereof, then, upon acceleration of the
Senior Notes, an equivalent premium shall also become and be immediately due
and payable, to the extent permitted by law, anything in this Indenture or in
the Senior Notes to the contrary notwithstanding. If an Event of Default
occurs prior to August 1, 2001, by reason of any willful action (or inaction)
taken (or not taken) by or on behalf of the Company with the intention of
avoiding the prohibition on redemption of the Senior Notes prior to such date,
then, upon acceleration of the Senior Notes, an additional premium shall also
become and be immediately due and payable in an amount equal to 5.750% of the
principal amount to the date of payment that would otherwise be due but for
the provisions of this sentence.]
SECTION 10.01 Purposes for Which Meetings May Be Called.
[delete: A meeting of Holders may be called at any time and from time to
time pursuant to the provisions of this Article Ten for any of the following
purposes:
(a) to give any notice to the Company or to the Trustee, or to give any
directions to the Trustee, or to waive or to consent to the waiving of any
Default or Event of Default hereunder and its consequences, or to take any
other action authorized to be taken by Holders pursuant to any of the
provisions of Article Six;
(b) to remove the Trustee or appoint a successor Trustee pursuant to the
provisions of Article Seven;
(c) to consent to an amendment, supplement or waiver pursuant to the
provisions of Section 9.02; or
(d) to take any other action (i) authorized to be taken by or on behalf of
the Holders of any specified aggregate principal amount of the Senior Notes
under any other provision of this Indenture, or authorized or permitted by law
or (ii) which the Trustee deems necessary or appropriate in connection with
the administration of this Indenture.]
SECTION 10.02 Manner of Calling Meetings.
[delete: The Trustee may at any time call a meeting of Holders to take any
action specified in Section 10.01, to be held at such time and at such place
in The City of New York, New York or elsewhere as the Trustee shall determine.
Notice of every meeting of Holders, setting forth the time and place of such
meeting and in general terms the action proposed to be taken at such meeting,
shall be mailed by the Trustee, first-class postage prepaid, to the Company
and to the Holders at their last addresses as they shall appear on the
registration books of the Registrar not less than 10 nor more than 60 days
prior to the date fixed for a meeting.
Any meeting of Holders shall be valid without notice if the Holders of all
Senior Notes then outstanding are present in Person or by proxy, or if notice
is waived before or after the meeting by the Holders of all Senior Notes
outstanding, and if the Company, the Subsidiary Guarantors and the Trustee are
either present by duly authorized representatives or have, before or after the
meeting, waived notice.]
SECTION 10.03 Call of Meetings by the Company or Holders.
[delete: In case at any time the Company, pursuant to a Board Resolution or
the Holders of not less than 10% in aggregate principal amount of the Senior
Notes then outstanding shall have requested the Trustee to call a meeting of
Holders to take any action specified in Section 10.01, by written request
setting forth in reasonable detail the action proposed to be taken at the
meeting, and the Trustee shall not have mailed the notice of such meeting
within 20 days after receipt of such request, then the Company or the Holders
of Senior Notes in the amount above specified may determine the time and place
in The City of New York, New York or elsewhere for such meeting and may call
such meeting for the purpose of taking such action, by mailing or causing to
be mailed notice thereof as provided in Section 10.02.]
A-15
SECTION 10.04 Who May Attend and Vote at Meetings.
[delete: To be entitled to vote at any meeting of Holders, a Person shall
(a) be a registered Holder of one or more Senior Notes, or (b) be a Person
appointed by an instrument in writing as proxy for the registered Holder or
Holders of Senior Notes. The only Persons who shall be entitled to be present
or to speak at any meeting of Holders shall be the Persons entitled to vote at
such meeting and their counsel and any representatives of the Trustee and its
counsel and any representatives of the Company, the Subsidiary Guarantors and
their respective counsel.]
SECTION 10.05 Regulations May Be Made by Trustee; Conduct of the Meeting;
Voting Rights; Adjournment.
[delete: Notwithstanding any other provision of this Indenture, the Trustee
may make such reasonable regulations as it may deem advisable for any action
by or any meeting of Holders, in regard to proof of the holding of Senior
Notes and of the appointment of proxies, and in regard to the appointment and
duties of inspectors of votes, and submission and examination of proxies,
certificates and other evidence of the right to vote, and such other matters
concerning the conduct of the meeting as it shall think appropriate. Such
regulations may fix a record date and time for determining the Holders of
record of Senior Notes entitled to vote at such meeting, in which case those
and only those Persons who are Holders of Senior Notes at the record date and
time so fixed, or their proxies, shall be entitled to vote at such meeting
whether or not they shall be such Holders at the time of the meeting.
The Trustee shall, by an instrument in writing, appoint a temporary chairman
of the meeting, unless the meeting shall have been called by Holders as
provided in Section 10.03, in which case the Holders calling the meeting, as
the case may be, shall in like manner appoint a temporary chairman. A
permanent chairman and a permanent secretary of the meeting shall be elected
by vote of the Holders of a majority in principal amount of the Senior Notes
represented at the meeting and entitled to vote.
At any meeting each Holder or proxy shall be entitled to one vote for each
$1,000 principal amount of Senior Notes held or represented by him; provided,
however, that no vote shall be cast or counted at any meeting in respect of
any Senior Notes challenged as not outstanding and ruled by the Trustee to be
not outstanding. The chairman may adjourn any such meeting if he is unable to
determine whether any Holder or proxy shall be entitled to vote at such
meeting. The chairman of the meeting shall have no right to vote other than by
virtue of Senior Notes held by him or instruments in writing as aforesaid duly
designating him as the proxy to vote on behalf of other Holders. Any meeting
of Holders duly called pursuant to the provisions of Section 10.02 or Section
10.03 may be adjourned from time to time by vote of the Holders of a majority
in aggregate principal amount of the Senior Notes represented at the meeting
and entitled to vote, and the meeting may be held as so adjourned without
further notice.]
SECTION 10.06 Voting at the Meeting and Record to Be Kept.
[delete: The vote upon any resolution submitted to any meeting of Holders
shall be by written ballots on which shall be subscribed the signatures of the
Holders of Senior Notes or of their representatives by proxy and the principal
amount of the Senior Notes voted by the ballot. The permanent chairman of the
meeting shall appoint two inspectors of votes, who cast proxies at the meeting
for or against any resolution and who shall make and file with the secretary
of the meeting their verified written reports in duplicate of all votes cast
at the meeting. A record in duplicate of the proceedings of each meeting of
the Holders shall be prepared by the secretary of the meeting and there shall
be attached to such record the original reports of the inspectors of votes on
any vote by ballot taken thereat and affidavits by one or more Persons having
knowledge of the facts, setting forth a copy of the notice of the meeting and
showing that such notice was mailed as provided in Section 10.02 or Section
10.03. The record shall be signed and verified by the affidavits of the
permanent chairman and the secretary of the meeting and one of the duplicates
shall be delivered to the Company and the other to the Trustee to be preserved
by the Trustee, the latter to have attached thereto the ballots voted at the
meeting.
Any record so signed and verified shall be conclusive evidence of the
matters therein stated.]
A-16
SECTION 10.07 Exercise of Rights of Trustee or Holders May Not Be Hindered or
Delayed by Call of Meeting.
[delete: Nothing contained in this Article Ten shall be deemed or construed
to authorize or permit, by reason of any call of a meeting of Holders or any
rights expressly or impliedly conferred hereunder to make such call, any
hindrance or delay in the exercise of any right or rights conferred upon or
reserved to the Trustee or to the Holders under any of the provisions of this
Indenture or of the Senior Notes.]
SECTION 12.01 Collateral Agreements.
[delete: The due and punctual payment of the principal of and interest on
the Senior Notes when and as the same shall be due and payable, whether on an
Interest Payment Date, at maturity, by acceleration, repurchase, redemption or
otherwise, and interest on the overdue principal of and interest (to the
extent permitted by law), if any, on the Senior Notes and performance of all
other obligations of the Company and the Subsidiary Guarantors to the Holders
of Senior Notes or the Trustee under this Indenture, the Senior Notes, the
Subsidiary Guarantees and the Related Agreements, according to the terms
hereunder or thereunder, shall be secured as provided in the Collateral
Agreements which the Company and certain Subsidiaries have entered into
simultaneously with the execution of this Indenture. Each Holder of Senior
Notes, by its acceptance thereof, consents and agrees to the terms of the
Collateral Agreements as the same may be in effect or may be amended from time
to time in accordance with its terms and authorizes and directs the Collateral
Agent to enter into the Collateral Agreements and to perform its obligations
and exercise its rights thereunder in accordance therewith. The Collateral
Agent agrees that it will not consent to any action or proposed action under
any of the Related Agreements (except with respect to the release of the
Remaining Interest as provided in Section 12.03) without obtaining the prior
consent of the Holders or Beneficial Holders of a majority of the principal
amount of the then outstanding Senior Notes. The Company shall deliver to the
Trustee copies of all documents delivered to the Collateral Agent pursuant to
the Collateral Agreements, and shall do or cause to be done all such acts and
things as may be necessary or proper, or as may be required by the provisions
of the Collateral Agreements, to assure and confirm to the Trustee and the
Collateral Agent the security interest in the Collateral, by the Collateral
Agreements or any part thereof, as from time to time constituted, so as to
render the same available for the security and benefit of this Indenture and
of the Senior Notes secured hereby, according to the intent and purposes
herein expressed. The Company and the Subsidiary Guarantors shall take, and
the Company shall cause its Subsidiaries to take, upon request of the Trustee
or Collateral Agent, any and all actions reasonably required to cause the
Collateral Agreements to create and maintain, as security for the Guaranteed
Obligations of the Company and the Subsidiary Guarantors hereunder, a valid
and enforceable perfected first priority Lien in and on all the Collateral, in
favor of the Collateral Agent for the benefit of the Holders of Senior Notes,
superior to and prior to the rights of all third Persons and subject to no
other Liens.]
SECTION 12.02 Recording and Opinions.
[delete: (a) The Company shall furnish to the Trustee simultaneously with
the execution and delivery of this Indenture an Opinion of Counsel either (i)
stating that in the opinion of such counsel all action has been taken with
respect to the recording, registering, filing and perfection of this
Indenture, financing statements or other instruments necessary to make
effective the Liens intended to be created by the Collateral Agreements, or
(ii) stating that, in the opinion of such counsel, no such action is necessary
to make such Liens effective and (iii) the due execution and enforceability
(subject to customary exceptions) of this Indenture, the Senior Notes, the
Subsidiary Guarantees, the Collateral Agreements and the Related Agreements.
(b) The Company shall furnish to the Collateral Agent and the Trustee on
September 30 in each year beginning with 2001, an Opinion of Counsel, dated as
of such date, either (i) (A) stating that, in the opinion of such counsel,
action has been taken with respect to the recording, registering, filing,
perfecting, re-recording, re-registering and refiling of all supplemental
indentures, financing statements, continuation statements or other instruments
of further assurance as is necessary to maintain the Liens of the Collateral
Agreements, and (B) stating that, based on relevant laws as in effect on the
date of such Opinion of Counsel, all financing statements and continuation
statements have been executed and filed that are necessary as of such date and
during the succeeding 12 months fully to preserve and protect, to the extent
such protection
A-17
and preservation are possible by filing, the rights of the Holders of Senior
Notes and the Collateral Agent and the Trustee hereunder and under the
Collateral Agreements with respect to the security interests in the
Collateral, or (ii) stating that, in the opinion of such counsel, no such
action is necessary to maintain such Lien and assignment.
(c) The Subsidiary Guarantors shall otherwise comply with the provisions of
TIA Section 314(b).]
SECTION 12.04 Certificates of the Company.
[delete: The Company shall furnish to the Trustee and the Collateral Agent,
prior to each proposed release of Collateral in accordance with the terms
hereof (i) all documents required by TIA Section 314(d) and (ii) an Opinion of
Counsel, which may be rendered by internal counsel to the Company, to the
effect that such accompanying documents constitute all documents required by
TIA Section 314(d). The Trustee may, to the extent permitted by Sections 7.01
and 7.02 hereof, accept as conclusive evidence of compliance with the
foregoing provisions the appropriate statements contained in such documents
and such Opinion of Counsel.]
SECTION 12.05 Certificates of the Trustee.
[delete: In the event that the Company wishes to release Collateral and has
obtained the consent of the Holders of a majority in aggregate principal
amount of the outstanding Senior Notes (other than the Remaining Earnings in
accordance with the Escrow Agreement as to which no consent is required) and
has delivered the certificates and documents required by such Collateral
Agreements and Sections 12.03 and 12.04 hereof, the Trustee shall determine
whether it has received all documentation required by TIA Section 314(d) in
connection with such release and, based on such determination and the Opinion
of Counsel delivered pursuant to Section 12.04(ii), shall deliver a
certificate to the Collateral Agent setting forth such determination.]
SECTION 12.06 Authorization of Receipt of Funds by the Trustee Under the
Collateral Agreements.
[delete: The Trustee is authorized to receive any funds for the benefit of
the Holders of Senior Notes distributed under the Collateral Agreements, and
to make further distributions of such funds to the Holders of Senior Notes
according to the provisions of this Indenture.]
SECTION 12.07. Termination of Security Interest.
[delete: Upon the payment in full of all Obligations of the Company under
this Indenture and the Senior Notes, or upon Legal Defeasance in accordance
with Section 8.02, the Trustee shall, at the request of the Company, deliver a
certificate to the Collateral Agent stating that such Obligations have been
paid in full, and instruct the Collateral Agent to release the Liens pursuant
to this Indenture and the Collateral Agreements.]
If the proposed amendments become effective, certain defined terms and other
provisions contained in the indentures and the guarantees undertaken by
certain subsidiaries of Delta will be amended, deleted or renumbered as is
appropriate in light of the deletions and amendments described above.
2. Pledge Agreements, Security Agreement and Escrow Agreement.
If the proposed amendments become effective, each of the following pledge
agreements entered into in connection with the issuance of the senior secured
notes will be terminated, and the security interest created by the pledge
agreements will be terminated:
Pledge Agreement to be made by Delta Financial Corporation in favor of
U.S. Bank Trust National Association, as trustee and collateral agent
under the indenture, pursuant to which the Company pledged 100% of its
holdings of the capital stock of Delta Funding Corporation, Fidelity
Mortgage, Inc. and DFC Financial Corporation.
Pledge Agreement to be made by Delta Funding Corporation in favor of U.S.
Bank Trust National Association, as trustee and collateral agent under
the indenture, pursuant to which the Delta Funding Corporation pledged
100% of its holdings of the capital stock of DF Special Holdings
Corporation and
A-18
Continental Property Management Corp. and 66% of its holdings of the
capital stock of DFC Financial of Canada Limited.
Pledge Agreement to be made by DFC Financial of Canada Limited, an
Ontario, Canada corporation, in favor of U.S. Bank Trust National
Association, as trustee and collateral agent under the indenture,
pursuant to which the DFC Financial of Canada Limited pledged 66% of its
holdings of the capital stock of DFC Funding of Canada Limited.
Pledge Agreement to be made by DF Special Holdings Corporation, a
Delaware corporation, in favor of U.S. Bank Trust National Association,
as trustee and collateral agent under the indenture, pursuant to which DF
Special Holdings Corporation pledged 100% of its holdings of the owner
trust certificates Delta Funding Residual Holding Trust 2000-1.
Pledge Agreement to be made by Delta Funding Corporation, a New York
corporation, in favor of U.S. Bank Trust National Association, as trustee
and collateral agent under the indenture, pursuant to which Delta Funding
Corporation pledged 100% of its holdings of the owner trust certificates
Delta Funding Residual Holding Trust 2000-2.
If the proposed amendments become effective, the following security
agreement entered into in connection with the issuance of the senior secured
notes will be terminated, and the security interest created by the security
agreement will be terminated:
The Security Agreement entered into by and among Delta Financial
Corporation, Delta Funding Corporation, DF Special Holdings Corporation,
Fidelity Mortgage, Inc., DFC Financial Corporation, DFC Financial of
Canada Limited, DFC Funding of Canada Limited and Continental Property
Management Corp. in favor of U.S. Bank Trust National Association, as
collateral agent.
If the proposed amendments become effective, the following escrow agreement
entered into in connection with the issuance of the senior secured notes will
be terminated, and the security interest created by the escrow agreement will
be terminated:
The Escrow Agreement entered into by and among Delta Financial
Corporation, U.S. Bank Trust National Association, as trustee, and U.S.
Bank Trust National Association, as escrow agent.
3. Deposit Trust Agreements.
If the proposed amendments become effective, each of the following deposit
trust agreements entered into in connection with the issuance of the senior
secured notes will be amended and/or terminated in connection with the
consummation of the exchange offer to allow for the release of excess cashflow
certificates from the Delaware business trust created thereby:
Deposit Trust Agreement dated as of December 22, 2000 between DF Special
Holdings Corporation, as depositor, and Wilmington Trust Company, as
Owner Trustee.
Deposit Trust Agreement dated as of December 22, 2000 between Delta
Funding Corporation, as depositor, and Wilmington Trust Company, as Owner
Trustee.
A-19
STATEMENT OF CERTIFICATEHOLDERS INFORMATION
The tables in Exhibits A through V of this Prospectus set forth information
for each of the underlying securitization trusts and the related underlying
mortgage loans. The tables and the information included in the tables are
subject to and qualified by reference to the provisions of the underlying
agreements and the prospectuses, prospectus supplements or other final
offering documents related to the underlying securitizations or the related
securities issued to public investors by the securitization trusts, as well as
any subsequent information related thereto filed on a Current Report on Form
8-K with the Securities and Exchange Commission following the closing of the
securitization transactions.
The information set forth in the tables has been produced by the trustees,
paying agents, or servicers for the securitization trusts. These statements
are derived from data requested from and provided by them, including regular
periodic reports provided to holders of the securities issued in connection
with the securitizations, loan-by-loan information provided in tape form from
the related servicers and information from outside sources such as Bloomberg
L.P. We have not verified the accuracy of any of this information.
This information comprises all of the material information concerning the
securitization trusts and the publicly issued securities. Copies of the
offering documents generally are available from the SEC. Below we provide for
each public securitization transaction, the registration file number for the
registration statement relating to the offering of the publicly issued related
securities.
Unless otherwise noted, all of the information that is given in these
exhibits is given as of, or through, July 13, 2001.
B
EXHIBIT A
CTS Home Equity Loan Trust
Mortgage Pass-Through Certificates
Series 94-2
Principal Collected $23,452.55
Interest Net of Serving Fees $67,566.50 Distribution Date 06/25/2001
- --------------------------------------------------------
Total Available Funds $91,019.05
- ------------------------------------------------------------------------------------------------------------------------------------
Class Original Beginning Certificate INTEREST PRINCIPAL Ending Balance
Amount Balance Rate AMOUNT AMOUNT BALANCE
- ------------------------------------------------------------------------------------------------------------------------------------
Class-A $60,000,000.00 $6,909,363.13 8.31% $47,847.34 $41,901.31 $6,867,461.82
Class-S $0.00 $0.00 NA $0.00 $0.00 $0.00
Class-R $0.00 $0.00 NA $0.00 $0.00 $0.00
- ------------------------------------------------------------------------------------------------------------------------------------
Total $60,000,000.00 $6,909,363.13 $47,847.34 $41,901.31 $6,867,461.82
TRUSTEE FEE $234.00
CERTIFICATE INSURER $1,036.40
4.05(a) The amount of the distribution with respect to such PER TOTAL
Holder's Certificate: $1,000 AMOUNT
CLASS A 299.16% $89,748.64
PER TOTAL
4.05(b) Amount of Holder's distribution allocable to principal $1,000 AMOUNT
CLASS A 139.67% $41,901.31
Amount of principal from Prepayments or recoveries. $23,253.25
Overcollateralization Increase Amount 18,648.06
PER TOTAL
4.05(c) Amount of Holder's distribution allocable to interest $1,000 AMOUNT
CLASS A 79.75% $47,847.34
4.05(d) The amount of any Insured Payment in the amount
distributed to such Class
CLASS A
$0.00
4.05(e) Class A Certificate Principal Balance $6,867,461.82
Class A Certificate Ending Principal Balance Factor. 114.4577
4.05 (f) Overcollateralization Reduction Amount $0.00
4.05 (g) Overcollateralization Deficit $0.00
4.05 (h) Overcollateralization Deficiency Amount $82,198.97
4.05 (i) Amount of any Realized Losses for the related Due Period $0.00
Non-Recoverable Loss Adjustment for related Due Period ($199.30)
4.05 (j) Overcollateralization Amount remaining after giving effect to all distribution $597,367.44
on such Distribution Date.
4.05 (l) The total of any Substitution Shortfall Amount or Purchase $0.00
Price amounts paid/received by the Master Servicer
B-1
CTS Home Equity Loan Trust
Mortgage Pass-Through Certificates
Series 94-2
4.05 (m) The weighted average Mortgage Rate of the Mortgage 11.48%
Loans
4.05 (o) The current weighted average of the remaining terms of 122
the Mortgage Loans
The Beginning number of Mortgage Loans outstanding 129
Beginning Collateral Balance outstanding $7,488,082.51
4.05 (p)
The number of Mortgage Loans outstanding 129
Ending Collateral Balance outstanding $7,464,829.26
Number Balance
4.05 (q) The cumulative number and principal balances of liquidated 49 $3,423,380.91
Mortgage Loans
4.05 (r) The cumulative Realized Losses as a percentage of the original principal 2.70%
balance.
4.05 (s) Pre-Funding Account Balance on April 25, 1994. ############
Number Percent Principal Balance
4.02 (a) Delinquent Mortgage Loans :
30 TO 59 DAYS 3 1.54% $115,021.38
60 TO 89 DAYS 2 2.93% $218,891.73
90+ DAYS 10 11.45% $854,362.95
BANKRUPTCY 9 10.47% $781,741.53
Note: 30, 60, AND 90+ DAYS MAY INCLUDE FORECLOSURE BUT DOES NOT INCLUDE BANKRUPTCY
Number Principal Balance
4.05 (b) Mortgage Loans in foreclosure 8 $586,649.21
Number Principal Balance
4.05 (c) Mortgage Loans in bankruptcy proceedings 9 $781,741.53
Number Principal Balance
4.05 (d) REO Properties 3 $247,167.64
4.05 (e) N/A
4.05 (f) N/A
B-2
EXHIBIT B
Delta Funding Corporation
Home Equity Loan Trust
Series 95-1
Principal Collected $221,212.77
Interest Net of Serving Fees $ 96,575.20 Distribution Date 06/25/2001
- ----------------------------------------------
Total Available Funds $317,787.97
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Original Beginning Interest Principal
Class Amount Balance Amount Amount Ending Balance
- ------------------------------------------------------------------------------------------------------------------------------------
Class A-1 $27,000,000.00 $0.00 $0.00 $0.00 $0.00
Class A-2 $28,000,000.00 $0.00 $0.00 $0.00 $0.00
Class A-3 $6,000,000.00 $0.00 $0.00 $0.00 $0.00
Class A-4 $12,000,000.00 $2,467,002.66 $15,891.61 $247,908.46 $2,219,094.20
Class A-5 $7,000,000.00 $6,999,783.33 $45,381.93 $0.00 $6,999,783.33
Class S (*) $58,044,331.00 $10,295,123.60 $7,226.65 NA $10,295,123.60
Class R $0.00 $0.00 $0.00 $0.00 $0.00
- ------------------------------------------------------------------------------------------------------------------------------------
$80,000,000.00 $9,466,785.99 $68,500.19 $247,908.46 $9,218,878.00
- ------------------------------------------------------------------------------------------------------------------------------------
(*) Class S balances are notional
4.05(a) The amount of the distribution with respect to such PER TOTAL
Holder's Certificate: $1,000 AMOUNT
CLASS A-1 - $0.00
CLASS A-2 - $0.00
CLASS A-3 - $0.00
CLASS A-4 21.9833391 $263,800.07
CLASS A-5 6.4831327 $45,381.93
CLASS S 0.2676538 $7,226.65
CLASS R - $0.00
PER TOTAL
4.05(b) Amount of Holder's distribution allocable to principal $1,000 AMOUNT
CLASS A-1 - $0.00
CLASS A-2 - $0.00
CLASS A-3 - $0.00
CLASS A-4 20.6590383 $247,908.46
CLASS A-5 - $0.00
CLASS S N/A N/A
CLASS R N/A N/A
Amount of principal from Prepayments or recoveries $158,325.95
Overcollateralization Increase Amount $10,023.53
PER TOTAL
4.05(c) Amount of Holder's distribution allocable to interest $1,000 AMOUNT
CLASS A-1 - $0.00
CLASS A-2 - $0.00
CLASS A-3 - $0.00
CLASS A-4 1.3243007 $15,891.61
CLASS A-5 6.4831327 $45,381.93
CLASS S 0.1245023 $7,226.65
CLASS R - $0.00
4.05(d) The amount of any Insured Payment in the amount
distributed to such Class
CLASS A $0.00
CLASS S $0.00
B-3
Delta Funding Corporation
Home Equity Loan Trust
Series 95-1
PER TOTAL
4.05(e) Class A Certificate Principal Balance Remaining $1,000 AMOUNT
CLASS A-1 - $0.00
CLASS A-2 - $0.00
CLASS A-3 - $0.00
CLASS A-4 184.9245163 $2,219,094.20
CLASS A-5 999.9690476 $6,999,783.33
CLASS S 173.2682333 $10,057,238.67
TRUSTEE FEE $150.14
CERTIFICATE INSURER $1,229.18
4.05(f) Overcollateralization Reduction Amount $0.00
4.05(g) Overcollateralization Deficit $0.00
4.05(h) Overcollateralization Deficiency Amount before Distribution $408,480.37
Overcollateralization Deficiency Amount after Distribution $344,585.04
4.05(i) Amount of any Realized Losses for the related Due Period $ 16,672.16
4.05(j) Overcollateralization Amount remaining after giving effect to all distributions $838,361.13
on such Distribution Date
Specified Overcollateralization Amount $1,182,946.18
4.05(k) Beginning Collateral Balances $10,295,123.60
Ending Collateral Balances $10,057,238.67
4.05(l) The total of any Substitution Shortfall Amount or Purchase $0.00
Price amounts paid/received by the Master Servicer
4.05(m) The weighted average Mortgage Rate of the Mortgage 11.907%
Loans
4.05(n) The amount of any remaining Pre-Funded Amount that has not
been used to fund the purchase of Subsequent Mortgage Loans and $0.00
be distributed to the Class A Certificates as principal
4.05(o) The current weighted average of the remaining terms of 171
the Mortgage Loans
4.05(p) The number of Mortgage Loans outstanding 168
Number Balance
4.05(q) The cumulative number and principal balances of liquidated 79 $6,178,490.83
Mortgage Loans
Amount of any Realized Losses for the related Due Period $16,672.16
Non-Recoverable Loss Adjustment for related Due Period $0.00
4.05(r) The cumulative Realized Losses and its percentage of the original $3,591,570.67 4.49%
principal balance
4.05(s) Amount remaining in the Pre-Funding Account on this Distribution Date $0.00
4.05(t) The sum of the Loan Balances of the three Largest Mortgage Loans $600,737.74
4.05(u) The amount of the Monthly Excess Spread for such Distribution Date $10,023.53
B-4
Delta Funding Corporation
Home Equity Loan Trust
Series 95-1
Number Percent Principal Balance
4.05(A) Delinquent Mortgage Loans:
30 TO 59 DAYS 6 2.913% $293,011.23
60 TO 89 DAYS 4 2.469% $248,312.90
90 OR MORE DAYS 6 5.347% $537,747.09
(*)NOTE: 30, 60, and 90 Days DOES NOT include Foreclosure
Number Percent Principal Balance
4.05(B) Mortgage Loans in foreclosure 7 5.873% $590,641.89
Number Percent Principal Balance
4.05(C) Mortgage Loans in bankruptcy proceedings 13 9.713% $976,810.37
Number Percent Principal Balance
4.05(D) REO Properties 4 3.231% $324,983.33
B-5
Delta Funding Corporation EXHIBIT C
Home Equity Loan Trust
Series 95-2
Distribution Date 06/25/2001
The Available Funds
-------------------
5.05 (i) Principal $866,187.84
Interest $245,069.58
5.05 (ii)
- -----------------------------------------------------------------------------------------------------------------------------------
Interest Principal
Class Cusip 24763L Beginning Balance Certificate Rate Distribution Distribution Ending Balance
- -----------------------------------------------------------------------------------------------------------------------------------
Class A-1 AA8 $0.00 6.64% $0.00 $0.00 $0.00
Class A-2 AB6 $0.00 6.57% $0.00 $0.00 $0.00
Class A-3 AC4 $919,732.55 6.81% $5,219.48 $693,717.20 $226,015.36
Class A-4 AD2 $11,297,000.00 7.21% $67,876.14 $0.00 $11,297,000.00
Class A-5 AE0 $12,083,176.63 7.10% $71,492.13 $106,725.72 $11,976,450.91
Class S $24,299,909.19 1.16% $23,486.62 N/A $23,499,466.27
- -----------------------------------------------------------------------------------------------------------------------------------
TOTALS $24,299,909.19 $168,074.37 $800,442.92 $23,499,466.27
- -----------------------------------------------------------------------------------------------------------------------------------
5.05 (iii) The number and Principal Balances of all Mortgage Loans 7
that were subject to Principal Prepayments during the Due Period $412,306.88
Net Liquidation Proceeds $398,935.28
5.05 (iv) The amount of all Curtailments that were received during the ($553.13)
Due Period
5.05 (v) The principal portion of all Monthly Payments received $50,992.80
during the Due Period
5.05 (vi) The interest portion of all Monthly Payments received on $111,684.77
the Mortgage Loans during the Due Period
5.05 (vii) The amount of the Monthly Advances and the Compensating Interest $138,312.56
payments to be made on the Determination Date $1,774.95
Number Percent Principal Balance
------ ------- -----------------
5.05 (viii) Delinquent Mortgage Loans:
30 TO 59 DAYS 34 8.991380% $2,393,375.37
60 TO 89 DAYS 14 3.202014% $852,329.79
90 PLUS DAYS 15 4.563894% $1,214,842.55
FORECLOSURE 29 6.065251% $1,614,482.23
REO 16 3.948757% $1,051,101.93
- -----------------------------------------------------------------------------------------------------------------------------------
(*)NOTE THAT 30, 60, AND 90 DAYS DOES NOT INCLUDE REO OR FORECLOSURE
- -----------------------------------------------------------------------------------------------------------------------------------
5.05 (x) The amount of any Insured Payments $0.00
5.05 (xi) The amount distributed to the Class R Certificateholder $139,682.97
5.05 (xii) The Aggregate Principal Balance of the Mortgage Loans (Before Distribution) $27,539,453.82
The Aggregate Principal Balance of the Mortgage Loans (After Distribution) $26,618,555.01
- -----------------------------------------------------------------------------------------------------------------------------------
Beginning Balance Interest Principal Ending Balance
Class Cusip 24763L Factor per 1000 Certificate Rate Factor per 1000 Factor per 1000 Factor per 1000
- -----------------------------------------------------------------------------------------------------------------------------------
Class A-1 AA8 0.000000000 6.64% 0.000000000 0.000000000 0.0000000
Class A-2 AB6 0.000000000 6.57% 0.000000000 0.000000000 0.0000000
Class A-3 AC4 0.057987047 6.81% 0.329076351 43.737292561 0.0142498
Class A-4 AD2 1.000000000 7.21% 6.008333186 0.000000000 1.0000000
Class A-5 AE0 0.345016750 7.10% 2.041349152 3.047390850 0.3419694
Class S 0.161999395 1.16% 0.156577467 0.000000000 0.1566631
- -----------------------------------------------------------------------------------------------------------------------------------
5.05 (xiii) The weighted average remaining term to maturity 161
The weighted average Loan Rate 11.2973%
B-6
Delta Funding Corporation
Home Equity Loan Trust
Series 95-2
5.05 (xiv) Servicing Fee $6,702.70
Trustee Fee $315.56
Premium Amount $2,741.60
Reimbursement Amount to Certificate Insurer $0.00
5.05 (xv) The amount of all payments or reimbursements to the Servicer $0.00
5.05 (xvi) Overcollateralization Amount $3,119,088.74
Specified Overcollateralization Amount $3,119,088.74
Overcollateralization Increase Amount ($65,744.92)
Monthly Excess Spread $73,938.05
5.05 (xvii) Amounts reimbursable to the Servicer or Seller $0.00
Amount paid to Class R pursuant to Section 5.01(a) (v) $139,682.97
5.05 (xviii) The number of Mortgage Loans outstanding prior to distribution 418
The number of Mortgage Loans outstanding after distribution 411
5.05 (xx) The amount on deposit in the Pre-Funding Account after this Distribution Date $0.00
The amount on deposit in the Capitalized Interest Account after this Distribution Date $0.00
5.05 (xxi) The Amount of Liquidation Losses/(Gain) $59,216.98
Cumulative Liquidation Losses $4,479,931.67
Cumulative Net Losses as percentage of the Initial Collateral Balance 2.9866%
Non-Recoverable Loss Adjustment ($4,506.01)
Sum of the Three Largest Loan Balances $742,995.74
B-7
EXHIBIT D
Delta Funding Corporation
Home Equity Loan Trust
Series 96-1
Distribution Date 06/25/2001
Principal Interest
--------- --------
5.03 (i) The Available Funds $1,948,293.59 $431,857.23
Interest Advance Recovery $310,692.74
Servicing Advance Recovery $133,610.34
5.03 (ii)
- ------------------------------------------------------------------------------------------------------------------------------------
Interest Principal
Class Cusip 24763L Beginning Balance Rate Distribution Distribution Ending Balance
- ------------------------------------------------------------------------------------------------------------------------------------
Class A-1 AF7 $0.00 4.19875% $0.00 $0.00 $0.00
Class A-2 AG5 $0.00 6.81% $0.00 $0.00 $0.00
Class A-3 AH3 $0.00 7.03% $0.00 $0.00 $0.00
Class A-4 AJ9 $0.00 7.23% $0.00 $0.00 $0.00
Class A-5 AK6 $5,625,401.47 7.40% $34,689.98 $1,860,809.09 $3,764,592.38
Class A-6 AL4 $24,110,000.00 7.72% $155,107.67 $0.00 $24,110,000.00
Class A-7 AM2 $15,140,000.00 7.95% $100,302.50 $0.00 $15,140,000.00
- ------------------------------------------------------------------------------------------------------------------------------------
TOTALS $44,875,401.47 $290,100.15 $1,860,809.09 $43,014,592.38
- ------------------------------------------------------------------------------------------------------------------------------------
(**)Class A-1 Certificate rate is a variable rate.
5.03 (xii) The Aggregate Principal Balance of the Mortgage Loans (Before Distribution) $49,296,101.92
The Aggregate Principal Balance of the Mortgage Loans (After Distribution) $47,029,300.24
5.03 (iii) The number and Principal Balances of all Mortgage Loans 32
that were subject to Principal Prepayments during the Due Period $1,632,180.26
Net Recovery Proceeds on Liquidated Loans $195,758.33
5.03 (iv) The amount of all Curtailments that were received during the ($2,854.62)
Due Period
5.03 (v) The principal portion of all Monthly Payments received $121,309.26
during the Due Period
5.03 (vi) The interest portion of all Monthly Payments received on $271,805.10
the Mortgage Loans during the Due Period
5.03 (vii) The amount of the Monthly Advances and the Compensating Interest $172,358.68
payments to be made on the Determination Date $4,054.99
Number Percent Principal Balance
------ ------- -----------------
5.03 (viii) Delinquent Mortgage Loans:
30 TO 59 DAYS 71 10.821519% $5,089,284.55
60 TO 89 DAYS 29 4.021711% $1,891,382.72
90 PLUS DAYS 30 3.614825% $1,700,026.81
FORECLOSURE 55 9.881375% $4,647,141.71
REO PROPERTIES 24 3.577019% $1,682,247.21
- --------------------------------------------------------------------------------
(*)NOTE THAT 30, 60, AND 90 DAYS DOES NOT INCLUDE REO OR FORECLOSURE
- --------------------------------------------------------------------------------
5.03 (ix) The amount of any Insured Payments $0.00
5.03 (x) The amount distributed to the Class R Certificateholder $224,529.32
5.03 (xi)
- ------------------------------------------------------------------------------------------------------------------------------------
Beginning Balance Interest Principal Ending Balance
Class Cusip 24763L Factor per 1000 Certificate Rate Factor per 1000 Factor per 1000 Factor per 1000
- ------------------------------------------------------------------------------------------------------------------------------------
Class A-1 AF7 0.000000000 4.19875% 0.000000000 0.000000000 0.0000000
Class A-2 AG5 0.000000000 6.81% 0.000000000 0.000000000 0.0000000
Class A-3 AH3 0.000000000 7.03% 0.000000000 0.000000000 0.0000000
Class A-4 AJ9 0.000000000 7.23% 0.000000000 0.000000000 0.0000000
Class A-5 AK6 0.409417865 7.40% 2.524743503 135.430065138 273.9878002
Class A-6 AL4 1.000000000 7.72% 6.433333333 0.000000000 1000.0000000
Class A-7 AM2 1.000000000 7.95% 6.625000000 0.000000000 1000.0000000
- ------------------------------------------------------------------------------------------------------------------------------------
(**)Class A-1 Certificate rate is a variable rate.
5.03 (xii) The weighted average remaining term to maturity 159
The weighted average Loan Rate 11.0867%
B-8
Delta Funding Corporation
Home Equity Loan Trust
Series 96-1
5.03 (xiii) Servicing Fee $16,361.54
Trustee Fee $410.80
Premium Amount $4,301.46
Reimbursement Amount to Certificate Insurer $0.00
Monthly Excess Spread $137,044.83
5.03 (xiv) The amount of all payments or reimbursements to the Servicer $0.00
5.03 (xv) Overcollateralization Amount $4,014,707.86
Overcollateralization Increase Amount ($87,484.50)
Specified Overcollateralization Amount $4,014,707.87
Sum of Three Largest Loan Balances $896,314.54
5.03 (xvi) Amounts reimbursable to the Servicer or Seller $0.00
Amount paid to Class R pursuant to Section 5.01(a) (v) $224,529.32
5.03 (xvii) The number of Mortgage Loans outstanding prior to distribution 790
The number of Mortgage Loans outstanding after distribution 758
5.03 (xviii) The amount on deposit in the Initial Interest Coverage Account after the Distribution Date $0.00
5.03 (xix) The Amount of Liquidation Losses/(Gain) $320,408.45
Cumulative Net Losses as percentage of the Initial Collateral Balance 3.0067%
Non-Recoverable Loss Adjustment ($1,900.36)
B-9
EXHIBIT E
Delta Funding Corporation
Home Equity Loan Trust
Series 96-2
Distribution Date 06/25/2001
Principal Interest
5.03 (i) The Available Funds for Certificate Group 1 $1,829,768.49 $376,161.98
The Available Funds for Certificate Group 2 $ 151,658.66 $21,051.20
Interest Advance Recovery $323,236.88
Servicing Advance Recovery $98,797.26
5.03 (ii)
Certificate Group 1
- ------------------------------------------------------------------------------------------------------------------------------------
Interest Principal
Class Cusip 24763L Beginning Balance Certificate Rate Distribution Distribution Ending Balance
- ------------------------------------------------------------------------------------------------------------------------------------
Class A-1 AN0 $0.00 0.00000% $0.00 $0.00 $0.00
Class A-2 AP5 $0.00 0.00% $0.00 $0.00 $0.00
Class A-3 AQ3 $5,623,041.38 7.54% $35,331.44 $1,936,704.25 $3,686,337.13
Class A-4 AR1 $14,764,000.00 7.88% $96,950.27 $0.00 $14,764,000.00
Class A-5 AS9 $14,259,000.00 8.01% $95,178.83 $0.00 $14,259,000.00
- ------------------------------------------------------------------------------------------------------------------------------------
TOTALS $34,646,041.38 $227,460.54 $1,936,704.25 $32,709,337.13
- ------------------------------------------------------------------------------------------------------------------------------------
(**)Class A-1 Certificate rate is a variable rate.
Certificate Group 2
- ------------------------------------------------------------------------------------------------------------------------------------
Interest Principal
Class Cusip 24763L Beginning Balance Certificate Rate Distribution Distribution Ending Balance
- ------------------------------------------------------------------------------------------------------------------------------------
Class A-6 AT7 $1,324,469.60 4.39875% $5,016.84 $205,714.77 $1,118,754.83
- ------------------------------------------------------------------------------------------------------------------------------------
TOTALS $35,970,510.98 $232,477.38 $2,142,419.02 $33,828,091.96
- ------------------------------------------------------------------------------------------------------------------------------------
(**)Class A-6 Certificate rate is a variable rate.
GROUP 1 GROUP 2
------- -------
The Aggregate Principal Balance of the Mortgage Loans (Before Distribution) $40,782,469.14 $1,994,671.24
The Aggregate Principal Balance of the Mortgage Loans(After Distribution) $38,845,764.89 $1,780,634.15
5.03 (iii) The number and Principal Balances of all Mortgage Loans 22 1
that were subject to Principal Prepayments during the Due Period $1,635,491.64 $85,676.27
Net Liquidation Proceeds $0.00 $0.00
5.03 (iv) The amount of all Curtailments that were received during the ($439.40) $0.00
Due Period
5.03 (v) The principal portion of all Monthly Payments received $77,061.30 $1,996.68
during the Due Period
5.03 (vi) The interest portion of all Monthly Payments received on $221,266.68 $6,214.58
the Mortgage Loans during the Due Period
5.03 (vii) The amount of the Monthly Advances and the Compensating Interest $164,543.52 $15,078.06
payments to be made on the Determination Date $3,194.82 $0.00
5.03 (ix) The amount of any Insured Payments $0.00 $0.00
5.03 (x) The amount distributed to the Class R Certificateholder $0.00 $0.00
5.03 (xi)
Certificate Group 1
- ------------------------------------------------------------------------------------------------------------------------------------
Beginning Balance Interest Principal Ending Balance
Class Cusip 24763L Factor per 1000 Certificate Rate Factor per 1000 Factor per 1000 Factor per 1000
- ------------------------------------------------------------------------------------------------------------------------------------
Class A-1 AN0 0.000000000 0.00000% 0.000000000 0.000000000 0.0000000
Class A-2 AP5 0.000000000 0.00% 0.000000000 0.000000000 0.0000000
Class A-3 AQ3 0.264315191 7.54% 1.660780295 91.036206167 173.2789852
Class A-4 AR1 1.000000000 7.88% 6.566666892 0.000000000 1000.0000000
Class A-5 AS9 1.000000000 8.01% 6.675000351 0.000000000 1000.0000000
- ------------------------------------------------------------------------------------------------------------------------------------
(**)Class A-1 Certificate rate is a variable rate.
Certificate Group 2
- ------------------------------------------------------------------------------------------------------------------------------------
Beginning Balance Interest Principal Ending Balance
Class Cusip 24763L Factor per 1000 Certificate Rate Factor per 1000 Factor per 1000 Factor per 1000
- ------------------------------------------------------------------------------------------------------------------------------------
Class A-6 AT7 0.088297973 4.39875% 0.334456000 13.714318000 74.5836552
- ------------------------------------------------------------------------------------------------------------------------------------
(**)Class A-6 Certificate rate is a variable rate.
B-10
Delta Funding Corporation
Home Equity Loan Trust
Series 96-2
GROUP 1 GROUP 2
------- -------
5.03 (xii) The weighted average remaining term to maturity 165 277
The weighted average Loan Rate 11.5194% 12.9634%
5.03 (xiii) Servicing Fee $9,777.76 $241.44
Trustee Fee $339.85 $16.62
Premium Amount $3,276.41 $111.04
Reimbursement Amount to Certificate Insurer $0.00 $0.00
5.03 (xiv) The amount of all payments or reimbursements to the Servicer $0.00 $0.00
5.03 (xv) Overcollateralization Amount $6,136,427.76 $661,879.32
Specified Overcollateralization Amount $7,493,094.34 $766,180.18
Overcollateralization Increase Amount $0.00 $0.00
Monthly Excess Spread $0.00 $0.00
Sum of the Three Largest Loans $940,481.08 $600,704.29
5.03 (xvi) Amounts reimbursable to the Servicer or Seller $0.00 $0.00
Amount paid to Class R pursuant to Section 5.01(a) (vi) (6) $0.00 $0.00
5.03 (xvii) The number of Mortgage Loans outstanding prior to distribution 552 22
The number of Mortgage Loans outstanding after distribution 527 20
5.03 (xviii) The Amount of Liquidation Loan Losses $131,285.55 $62,378.43
Current Loan Losses as percentage of the Initial Collateral Balance 0.0796% 0.4159%
Cumulative Net Losses as percentage of the Initial Collateral Balance 2.3504% 1.7574%
Non-Recoverable Loss Adjustment ($24,349.79) $0.00
5.03 (xix) Delinquent Mortgage Loans: Group 1
Number Percent Principal Balance
------ ------- -----------------
30 TO 59 DAYS 58 11.044528% $4,290,331.45
60 TO 89 DAYS 15 3.621160% $1,406,667.33
90 PLUS DAYS 26 4.975227% $1,932,664.92
FORECLOSURE 54 12.028705% $4,672,642.44
REO 34 6.538267% $2,539,839.84
- ------------------------------------------------------------------------------------------------------------------------------------
(*)NOTE THAT 30, 60, AND 90 PLUS DAYS DOES NOT INCLUDE REO OR FORECLOSURE
- ------------------------------------------------------------------------------------------------------------------------------------
Delinquent Mortgage Loans : Group 2
Number Percent Principal Balance
------ ------- -----------------
30 TO 59 DAYS 2 7.413608% $132,009.24
60 TO 89 DAYS 0 0.000000% $0.00
90 PLUS DAYS 3 6.755891% $120,297.70
FORECLOSURE 3 28.721294% $511,421.17
REO 4 22.203010% $395,354.37
- ------------------------------------------------------------------------------------------------------------------------------------
(*)NOTE THAT 30, 60, AND 90 PLUS DAYS DOES NOT INCLUDE REO OR FORECLOSURE
- ------------------------------------------------------------------------------------------------------------------------------------
B-11
EXHIBIT F
Delta Funding Corporation
Home Equity Loan Trust
Series 96-3
Distribution Date 06/25/2001
Principal Interest
--------- --------
5.03 (i) The Available Funds for Certificate Group 1 $1,099,142.66 $443,679.90
The Available Funds for Certificate Group 2 $80,770.08 $35,444.40
Interest Advance Recovery $342,026.69
Sevicing Advance Recovery $127,648.68
5.03 (ii)
Certificate Group 1
- ----------------------------------------------------------------------------------------------------------------------------------
Interest Principal
Class Cusip 24763L Beginning Balance Certificate Rate Distribution Distribution Ending Balance
- ----------------------------------------------------------------------------------------------------------------------------------
Class A-1 AU4 $0.00 4.169% $0.00 $0.00 $0.00
Class A-2 AV2 $0.00 6.525% $0.00 $0.00 $0.00
Class A-3 AW0 $4,046,003.13 6.825% $23,011.64 $1,274,153.75 $2,771,849.38
Class A-4 AX8 $22,400,000.00 7.075% $132,066.67 $0.00 $22,400,000.00
Class A-5 AY6 $14,500,000.00 7.250% $87,604.17 $0.00 $14,500,000.00
Class S $40,946,003.13 0.634% $21,636.00 n/a $39,671,849.38
- ----------------------------------------------------------------------------------------------------------------------------------
TOTALS $40,946,003.13 $264,318.48 $1,274,153.75 $39,671,849.38
- ----------------------------------------------------------------------------------------------------------------------------------
(**)Class A-1 Certificate rate is a variable rate.
Certificate Group 2
- ----------------------------------------------------------------------------------------------------------------------------------
Interest Principal
Class Cusip 24763L Beginning Balance Certificate Rate Distribution Distribution Ending Balance
- ----------------------------------------------------------------------------------------------------------------------------------
Class A-6 AZ3 $2,672,981.00 4.30875% $9,917.59 $106,013.95 $2,566,967.05
- ----------------------------------------------------------------------------------------------------------------------------------
TOTALS $43,618,984.13 $274,236.07 $1,380,167.70 $42,238,816.43
- ----------------------------------------------------------------------------------------------------------------------------------
(**)Class A-6 Certificate rate is a variable rate.
GROUP 1 GROUP 2
------- -------
The Aggregate Principal Balance of the Mortgage Loans (Before Distribution) $48,397,606.33 $3,313,803.71
The Aggregate Principal Balance of the Mortgage Loans (After Distribution) $47,097,374.63 $3,148,974.60
5.03 (iii) The number and Principal Balances of all Mortgage Loans 15 2
that were subject to Principal Prepayments during the Due Period $763,961.80 $98,385.54
Net Liquidation Proceeds $0.00 $0.00
5.03 (iv) The amount of all Curtailments that were received during the ($1,337.08) $0.00
Due Period
5.03 (v) The principal portion of all Monthly Payments received $73,826.69 $2,843.25
during the Due Period
5.03 (vi) The interest portion of all Monthly Payments received on $246,958.68 $17,108.91
the Mortgage Loans during the Due Period
5.03 (vii) The amount of the Monthly Advances and the Compensating Interest $207,646.32 $18,998.16
payments to be made on the Determination Date $1,645.91 $0.00
5.03 (ix) The amount of any Insured Payments $0.00 $0.00
5.03 (x) The amount distributed to the Class R Certificateholder $0.00 $0.00
5.03 (xi)
Certificate Group 1
Beginning Balance Interest Principal Ending Balance
- ------------------------------------------------------------------------------------------------------------------------------------
Class Cusip 24763L Factor per 1000 Certificate Rate Factor per 1000 Factor per 1000 Factor per 1000
Class A-1 AU4 0 4.17% 0 0 0
- ------------------------------------------------------------------------------------------------------------------------------------
Class A-2 AV2 0.000000000 7.2200% 0.000000000 0.000000000 0.0000000
Class A-3 AW0 0.251304542 7.5400% 1.429294582 79.139984472 172.1645575
Class A-4 AX8 1.000000000 7.8800% 5.895833333 0.000000000 1000.0000000
Class A-5 AY6 1.000000000 8.0100% 6.041666667 0.000000000 1000.0000000
Class S 0.227477795 109914266.0000% 0.120200010 n/a 220.3991632
Certificate rate is a variable rate.
- ------------------------------------------------------------------------------------------------------------------------------------
Certificate Group 2
Beginning Balance Interest Principal Ending Balance
Class Cusip 24763L Factor per 1000 Certificate Rate Factor per 1000 Factor per 1000 Factor per 1000
- ------------------------------------------------------------------------------------------------------------------------------------
Class A-6 AZ3 0.089099367 4.31% 0.330586494 3.533798315 85.5655685
Certificate rate is a variable rate.
- ------------------------------------------------------------------------------------------------------------------------------------
B-12
Delta Funding Corporation
Home Equity Loan Trust
Series 96-3
GROUP 1 GROUP 2
------- -------
5.03 (xii) The weighted average remaining term to maturity 174 300
The weighted average Loan Rate 11.45% 13.21%
5.03 (xiii) Servicing Fee $11,025.78 $662.67
Trustee Fee $383.15 $26.23
Premium Amount $3,967.18 $256.70
Reimbursement Amount to Certificate Insurer $0.00 $0.00
5.03 (xiv) The amount of all payments or reimbursements to the Servicer $0.00 $0.00
5.03 (xv) Overcollateralization Amount $7,425,525.25 $582,007.55
Specified Overcollateralization Amount $10,790,445.86 $693,895.39
Overcollateralization Increase Amount $175,011.09 $25,243.87
Monthly Excess Spread $175,011.09 $25,243.87
5.03 (xvi) Amounts reimbursable to the Servicer or Seller $0.00 $0.00
Amount paid to Class R pursuant to Section 5.01(a) (vi) (3) $0.00 $0.00
5.03 (xvii) The number of Mortgage Loans outstanding prior to distribution 694 40
The number of Mortgage Loans outstanding after distribution 679 38
5.03 (xviii) The Amount of Liquidation Loan Losses $209,114.73 $84,059.03
Loan Losses as percentage of the Initial Collateral Balance 0.12% 0.28%
Cumulative Net Losses as percentage of the Initial Collateral Balance 2.60% 2.61%
Non-Recoverable Loss Adjustment ($8,025.69) $0.00
5.03 (xix) Delinquent Mortgage Loans : Group 1
Number Percent Principal Balance
30 TO 59 DAYS 73 9.375639% 4,415,679.73
60 TO 89 DAYS 24 3.635214% $1,712,090.21
90 PLUS DAYS 37 6.327417% $2,980,047.17
FORECLOSURE 62 11.191134% $5,270,730.54
REO 43 6.825048% $3,214,418.50
- ------------------------------------------------------------------------------------------------------------------------------------
(*)NOTE THAT 30, 60, AND 90 PLUS DAYS DOES NOT INCLUDE REO OR FORECLOSURE
- ------------------------------------------------------------------------------------------------------------------------------------
Delinquent Mortgage Loans : Group 2
Number Percent Principal Balance
30 TO 59 DAYS 6 13.036966% $410,530.75
60 TO 89 DAYS 0 0.000000% $0.00
90 PLUS DAYS 1 1.629593% $51,315.47
FORECLOSURE 3 14.159451% $445,877.52
REO 4 8.264749% $260,254.86
- ------------------------------------------------------------------------------------------------------------------------------------
(*)NOTE THAT 30, 60, AND 90 PLUS DAYS DOES NOT INCLUDE REO OR FORECLOSURE
- ------------------------------------------------------------------------------------------------------------------------------------
5.03 (xx) The amount of Class A-6 Basis Risk Carryover Amount distributed on
such Distribution Date and any remaining Class A-6 Basis Risk Carryover Amount
This Distribution
5.03 (xxi) Class A-1 Formula Rate for related and following Interest Period 4.17%
Class A-6 Formula Rate for related and following Interest Period 4.31%
B-13
EXHIBIT G
Delta Funding Corporation
Home Equity Loan Trust
Series 97-1
Distribution Date 06/25/2001
Principal Interest
--------- --------
5.03 (i) The Available Funds for Certificate Group 1 $1,974,453.33 $519,518.35
The Available Funds for Certificate Group 2 $135,024.88 $56,771.24
Interest Advance Recovery $556,102.32
Servicing Advance Recovery $256,872.95
5.03 (ii)
Certificate Group 1
- ------------------------------------------------------------------------------------------------------------------------------------
CUSIP Interest Principal
Class US24863LB Beginning Balance Certificate Rate Distribution Distribution Ending Balance
- ------------------------------------------------------------------------------------------------------------------------------------
Class A-1 A70 $0.00 6.600% $0.00 $0.00 $0.00
Class A-2 B53 $0.00 6.920% $0.00 $0.00 $0.00
Class A-3 C37 $7,828,606.82 7.260% $47,363.07 $1,769,464.42 $6,059,142.40
Class A-4 D10 $10,374,000.00 7.460% $64,491.70 $0.00 $10,374,000.00
Class A-5 E92 $11,966,000.00 7.740% $77,180.70 $0.00 $11,966,000.00
Class A-6 F76 $20,413,244.28 7.210% $122,649.58 $392,653.20 $20,020,591.08
Class S $50,581,851.10 0.376000% $15,832.44 n/a $48,419,733.48
- ------------------------------------------------------------------------------------------------------------------------------------
TOTALS $50,581,851.10 $327,517.49 $2,162,117.62 $48,419,733.48
- ------------------------------------------------------------------------------------------------------------------------------------
Certificate Group 2
- ------------------------------------------------------------------------------------------------------------------------------------
CUSIP Interest Principal
Class US24863LB Beginning Balance Certificate Rate Distribution Distribution Ending Balance
- ------------------------------------------------------------------------------------------------------------------------------------
Class A-7 G41 $3,869,333.47 4.28875% $14,289.80 $176,956.22 $3,692,377.25
- ------------------------------------------------------------------------------------------------------------------------------------
TOTALS $54,451,184.57 $341,807.28 $2,339,073.84 $52,112,110.73
- ------------------------------------------------------------------------------------------------------------------------------------
(**)Class A-7 Certificate rate is a variable rate.
GROUP 1 GROUP 2
------- -------
The Aggregate Principal Balance of the Mortgage Loans (Before Distribution) $57,906,393.87 $5,187,119.01
The Aggregate Principal Balance of the Mortgage Loans (After Distribution) $55,568,769.77 $4,920,161.85
5.03 (iii) The number and Principal Balances of all Mortgage Loans 32 1
that were subject to Principal Prepayments during the Due Period $1,583,857.93 $2,432.38
5.03 (iv) The amount of all Curtailments that were received during the ($2,500.53) $0.00
Due Period
5.03 (v) The principal portion of all Monthly Payments received $65,327.98 $2,024.78
during the Due Period
5.03 (vi) The interest portion of all Monthly Payments received on $306,042.58 $20,264.01
the Mortgage Loans during the Due Period
5.03 (vii) The amount of the Monthly Advances and the Compensating Interest $227,319.78 $37,273.45
payments to be made on the Determination Date $2,520.32 $0.00
5.03 (ix) The amount of any Insured Payments $0.00 $0.00
5.03 (x) The amount distributed to the Class R Certificateholder $0.00 $0.00
5.03 (xi)
B-14
Delta Funding Corporation
Home Equity Loan Trust
Series 97-1
Certificate Group 1
- ------------------------------------------------------------------------------------------------------------------------------------
CUSIP Beginning Balance Interest Principal Ending Balance
Class US24863LB Factor per 1000 Certificate Rate Factor per 1000 Factor per 1000 Factor per 1000
- ------------------------------------------------------------------------------------------------------------------------------------
Class A-1 A70 0.000000000 6.600% 0.000000000 0.000000000 0.0000000
Class A-2 B53 0.000000000 6.920% 0.000000000 0.000000000 0.0000000
Class A-3 C37 0.555851095 7.260% 3.362899123 125.636496615 430.2145980
Class A-4 D10 1.000000000 7.460% 6.216666667 0.000000000 1000.0000000
Class A-5 E92 1.000000000 7.740% 6.450000000 0.000000000 1000.0000000
Class A-6 F76 0.864967978 7.210% 5.197015935 16.637847565 848.3301306
Class S 0.255463894 0.3756% 0.079961811 n/a 244.5441085
- ------------------------------------------------------------------------------------------------------------------------------------
Certificate Group 2
- ------------------------------------------------------------------------------------------------------------------------------------
Beginning Balance Interest Principal Ending Balance
Class CUSIP Factor per 1000 Certificate Rate Factor per 1000 Factor per 1000 Factor per 1000
- ------------------------------------------------------------------------------------------------------------------------------------
Class A-7 0.104576580 4.28875% 0.386210752 4.782600611 99.7939798
- ------------------------------------------------------------------------------------------------------------------------------------
(**)Class A-7 Certificate rate is a variable rate.
GROUP 1 GROUP 2
------- -------
5.03 (xii) The weighted average remaining term to maturity 176 303
The weighted average Loan Rate 11.2172% 13.5461%
One Month LIBOR rate 4.089%
5.03 (xiii) Servicing Fee $13,844.01 $766.22
Trustee Fee $301.60 $27.02
Premium Amount $4,034.98 $523.09
Reimbursement Amount to Certificate Insurer $0.00 $0.00
5.03 (xiv) The amount of all payments or reimbursements to the Servicer $0.00 $0.00
5.03 (xv) Overcollateralization Amount $7,149,036.29 $1,227,784.60
Specified Overcollateralization Amount $11,035,665.63 $1,799,712.79
5.03 (xvi) Amounts reimbursable to the Servicer or Seller $0.00 $0.00
Amount paid to Class R pursuant to Section 5.01(a) (vi) (3) $0.00 $0.00
5.03 (xvii) The number of Mortgage Loans outstanding prior to distribution 851 56
The number of Mortgage Loans outstanding after distribution 819 55
5.03 (xviii) The Amount of Liquidation Loan Losses $383,943.46 $131,932.28
Loan Losses as percentage of the Initial Collateral Balance 0.1939% 0.3566%
Cumulative Net Losses as percentage of the Initial Collateral Balance 2.5722% 3.1657%
Non-Recoverable Loss Adjustment ($20,772.69) $0.00
5.03 (xix) Delinquent Mortgage Loans: Group 1
Number Percent Principal Balance
------ ------- -----------------
30 TO 59 DAYS 90 9.828303% $5,461,466.84
60 TO 89 DAYS 29 3.477798% $1,932,569.45
90 PLUS DAYS 47 6.577381% $3,654,969.83
FORECLOSURE 81 11.534408% $6,409,528.87
REO 30 3.776210% $2,098,393.34
- --------------------------------------------------------------------------------
(*)NOTE THAT 30, 60, AND 90 PLUS DAYS DOES NOT INCLUDE REO OR FORECLOSURE
- --------------------------------------------------------------------------------
Delta Funding Corporation
Home Equity Loan Trust
Series 97-1
Delinquent Mortgage Loans: Group 2
Number Percent Principal Balance
------ ------- -----------------
30 TO 59 DAYS 7 16.851737% $829,132.73
60 TO 89 DAYS 2 4.042982% $198,921.26
90 PLUS DAYS 6 8.790930% $432,527.98
FORECLOSURE 9 16.582621% $815,891.77
REO 8 14.311890% $704,168.14
- --------------------------------------------------------------------------------
(*)NOTE THAT 30, 60, AND 90 PLUS DAYS DOES NOT INCLUDE REO OR FORECLOSURE
- --------------------------------------------------------------------------------
This Distribution
5.03 (xxi) Class A-7 Formula Rate for related and following Interest Period 4.288750%
B-15
EXHIBIT H
Delta Funding Corporation
Home Equity Loan Trust
Series 97-2
Distribution Date 06/25/2001
Principal Interest
--------- --------
5.03 (i) The Available Funds for Certificate Group 1 $1,548,521.43 $622,742.68
The Available Funds for Certificate Group 2 $994.78 $74,862.18
Interest Advance Recovery $244,781.61
Servicing Advance Recovery $69,022.57
5.03 (ii)
Certificate Group 1
- ----------------------------------------------------------------------------------------
Interest
CUSIP Beginning Certificate Interest Carryover
Class 24763LB Balance Rate Distribution Shortfall
- ----------------------------------------------------------------------------------------
Class A-1 H2 $0.00 6.620% $0.00 $0.00
Class A-2 J8 $0.00 6.640% $0.00 $0.00
Class A-3 K5 $0.00 6.770% $0.00 $0.00
Class A-4 L3 $13,969,855.46 7.030% $81,840.07 $0.00
Class A-5 M1 $16,625,000.00 7.370% $102,105.21 $0.00
Class A-6 N9 $16,978,263.24 7.040% $99,605.81 $0.00
Class M-1 Q2 $8,829,469.41 7.240% $53,271.13 $0.00
Class M-2 R0 $4,624,960.17 7.490% $28,867.46 $0.00
Class B-3 S8 $5,739,920.33 7.800% $37,309.48 $0.00
Class I/O T6 $20,373,915.89 6.500% $0.00 $0.00
- ----------------------------------------------------------------------------------------
TOTALS $66,767,468.61 $402,999.16 $0.00
- ----------------------------------------------------------------------------------------
- -------------------------------------------------------------------
Principal Principal Carryover Ending
Class Distribution Shortfall Balance
- -------------------------------------------------------------------
Class A-1 $0.00 $0.00 $0.00
Class A-2 $0.00 $0.00 $0.00
Class A-3 $0.00 $0.00 $0.00
Class A-4 $1,212,185.31 $0.00 $12,757,670.15
Class A-5 $0.00 $0.00 $16,625,000.00
Class A-6 $196,183.31 $0.00 $16,782,079.93
Class M-1 $0.00 $0.00 $8,829,469.41
Class M-2 $0.00 $0.00 $4,624,960.17
Class B-3 $0.00 $0.00 $5,739,920.33
Class I/O n/a n/a $20,138,495.92
- -------------------------------------------------------------------
TOTALS $1,408,368.62 $0.00 $65,359,099.99
- -------------------------------------------------------------------
Certificate Group 2
- -------------------------------------------------------------------------------------
Interest
CUSIP Beginning Certificate Interest Carryover
Class 24763LB Balance Rate Distribution Shortfall
- -------------------------------------------------------------------------------------
Class A-7 P4 $7,274,787.78 4.29900% $ 26,929.09 $0.00
- -------------------------------------------------------------------------------------
TOTALS $74,042,256.39 $429,928.25
- -------------------------------------------------------------------------------------
Principal Principal Carryover Ending
Class Distribution Shortfall Balance
- -------------------------------------------------------------------
Class A-7 $215,364.96 $0.00 $7,059,422.82
- -------------------------------------------------------------------
$1,623,733.58 $72,418,522.81
- -------------------------------------------------------------------
(**)Class A-7 Certificate rate is a variable rate.
5.03 (v) The Amount of Excess Interest paid as Principal Group I $0.00
The Amount of Excess Interest paid as Principal Group II $214,370.18
5.03 (vi) Servicing Fee Group I $14,750.66
Servicing Fee Group II $810.95
Trustee Fee $403.92
5.03 (vii) Group I Group II
The Aggregate Principal Balance of the Mortgage Loans (Before Distribution) $70,277,468.61 $7,274,787.78
The Aggregate Principal Balance of the Mortgage Loans (After Distribution) $68,654,729.81 $7,273,793.00
5.03 (ix) Overcollateralization Amount $3,510,000.00
Required Overcollateralization Amount $3,510,000.00
5.03 (x) Trigger Event (Yes/No) Yes
5.03 (xi) The number and Principal Balances of all Mortgage Loans Group I 24 $1,472,552.65
that were subject to Principal Prepayments during the Due Period Group II 0 $0.00
5.03 (xii) The amount of all Curtailments that were received during the Due Period Group I ($1,216.84)
The amount of all Curtailments that were received during the Due Period Group II $0.00
5.03 (xiii) The principal portion of all Monthly Payments received Group I $72,549.40
during the Due Period Group II $994.78
5.03 (xiv) The interest portion of all Monthly Payments received on Group I $637,493.34
the Mortgage Loans during the Due Period Group II $75,673.13
5.03 (xv) The amount of the Monthly Advances and the Compensating Interest Group I $317,271.70 $1,872.88
payments to be made on the Determination Date Group II $55,078.70 $0.00
Certificate Group 1
- ------------------------------------------------------------------------------------------------------------------------------
CUSIP Beginning Balance Certificate Interest Principal Ending Balance
Class 24763LB Factor per 1000 Rate Factor per 1000 Factor per 1000 Factor per 1000
- ------------------------------------------------------------------------------------------------------------------------------
Class A-1 H2 0.000000000 6.620% 0.000000000 0.000000000 0.0000000
Class A-2 J8 0.000000000 6.640% 0.000000000 0.000000000 0.0000000
Class A-3 K5 0.000000000 6.770% 0.000000000 0.000000000 0.0000000
Class A-4 L3 0.760264242 7.030% 4.453881361 65.969268466 694.2949740
Class A-5 M1 1.000000000 7.370% 6.141666767 0.000000000 1000.0000000
Class A-6 N9 0.970186471 7.040% 5.691760571 11.210474946 958.9759960
Class M-1 Q2 0.646847576 7.240% 3.902646886 0.000000000 646.8475758
Class M-2 R0 0.646847576 7.490% 4.037406993 0.000000000 646.8475758
Class B-3 S8 0.490591481 7.800% 3.188844628 0.000000000 490.5914813
Class I/O T6 0.970186471 6.500% 0.000000000 n/a 958.9759960
- ------------------------------------------------------------------------------------------------------------------------------
Certificate Group 1
- ------------------------------------------------------------------------------------------------------------------------------
CUSIP Beginning Balance Certificate Interest Principal Ending Balance
Class 24763LB Factor per 1000 Rate Factor per 1000 Factor per 1000 Factor per 1000
- ------------------------------------------------------------------------------------------------------------------------------
Class A-7 P4 0.145495756 4.29875% 0.538581800 4.307299208 141.1884564
- ------------------------------------------------------------------------------------------------------------------------------
B-16
Delta Funding Corporation
Home Equity Loan Trust
Series 97-2
(**)Class A-7 Certificate rate is a variable rate.
5.03 (xvi) The amount distributed to the Class R Certificateholder $193,055.32
Group I Group II
------- --------
5.03 (xvii) The weighted average remaining term to maturity 184 310
The weighted average Loan Rate 11.2172% 12.8438%
5.03 (xviii) The amount of all payments or reimbursements to the Servicer $0.00 $0.00
5.03 (xix) The number of Mortgage Loans outstanding prior to distribution 1040 93
The number of Mortgage Loans outstanding after distribution 1016 93
5.03 (xx) The Amount of Liquidation Loan Losses $82,288.73 $0.00
Loan Losses as percentage of the Initial Collateral Balance 0.0392% 0.0000%
Cumulative Net Losses as percentage of the Initial Collateral Balance 1.8251% 2.6846%
Non-Recoverable Loss Adjustment ($8,071.36) $0.00
Group I
5.03 (xxi) Delinquent Mortgage Loans:
Number Percent Principal Balance
------ ------- -----------------
30 TO 59 DAYS 99 9.199% $6,315,819.28
60 TO 89 DAYS 36 4.132% $2,836,691.13
90 PLUS DAYS 66 7.093% $4,869,553.20
FORECLOSURE 93 11.002% $7,553,470.30
REO 40 3.501% $2,403,766.70
- --------------------------------------------------------------------------------
(*)NOTE THAT 30, 60, AND 90 PLUS DAYS DOES NOT INCLUDE REO OR FORECLOSURE
- --------------------------------------------------------------------------------
Group II
5.03 (xxi) Delinquent Mortgage Loans :
Number Percent Principal Balance
------ ------- -----------------
30 TO 59 DAYS 6 6.693% $486,864.66
60 TO 89 DAYS 5 9.006% $655,072.58
90 PLUS DAYS 9 8.779% $638,602.12
FORECLOSURE 16 16.890% $1,228,559.69
REO 9 7.767% $564,922.88
- --------------------------------------------------------------------------------
(*)NOTE THAT 30, 60, AND 90 PLUS DAYS DOES NOT INCLUDE REO OR FORECLOSURE
- --------------------------------------------------------------------------------
5.03 (xxi) Cumulative Loss Event No
Servicer Termination Test No
B-17
EXHIBIT I
Delta Funding Corporation
Home Equity Loan Trust
Series 97-3
Distribution Date 06/25/2001
Principal Interest
--------- --------
5.03 (i) The Available Funds for Certificate Group 1 $2,277,178.34 $853,435.23
The Available Funds for Certificate Group $370,198.30 $140,179.83
Interest Advance Recovery $454,455.25
Servicing Advance Recovery $159,681.39
Certificate Group 1
- ------------------------------------------------------------------------------------------------------------------------------------
Interest
CUSIP Beginning Certificate Interest Carryover Principal Principal Carryover Ending
Class 24763L Balance Rate Distribution Shortfall Distribution Shortfall Balance
- ------------------------------------------------------------------------------------------------------------------------------------
Class A-1F BU3 $0.00 4.17875% $0.00 $0.00 $0.00 $0.00 $0.00
Class A-2F BV1 $0.00 6.590% $0.00 $0.00 $0.00 $0.00 $0.00
Class A-3F BW9 $781,964.59 6.630% $4,320.35 $0.00 $781,964.59 $0.00 $0.00
Class A-4F BX7 $14,014,000.00 6.930% $80,930.85 $0.00 $1,302,590.56 $0.00 $12,711,409.44
Class A-5F BY5 $20,643,000.00 7.250% $124,718.13 $0.00 $0.00 $0.00 $20,643,000.00
Class A-6F BZ2 $23,664,123.91 6.860% $135,279.91 $0.00 $458,125.65 $0.00 $23,205,998.26
Class A-6 I/O CA6 $23,664,123.91 6.500% $0.00 $0.00 n/a n/a $23,205,998.26
Class M-1F CB4 $16,562,000.00 7.080% $97,715.80 $0.00 $0.00 $0.00 $16,562,000.00
Class M-2F CC2 $12,588,000.00 7.330% $76,891.70 $0.00 $0.00 $0.00 $12,588,000.00
Class B-1F CD0 $10,600,000.00 7.650% $67,575.00 $0.00 $0.00 $0.00 $10,600,000.00
- ------------------------------------------------------------------------------------------------------------------------------------
TOTALS $98,853,088.50 $587,431.74 $0.00 $2,542,680.79 $0.00 $96,310,407.70
- ------------------------------------------------------------------------------------------------------------------------------------
Certificate Group 2
- ------------------------------------------------------------------------------------------------------------------------------------
Interest
CUSIP Beginning Certificate Interest Carryover Principal Principal Carryover Ending
Class 24763L Balance Rate Distribution Shortfall Distribution Shortfall Balance
- ------------------------------------------------------------------------------------------------------------------------------------
Class A-1A CE8 $0.00 4.28875% $0.00 $0.00 $0.00 $0.00 $0.00
Class M-1A CF5 $3,764,754.92 4.45875% $14,454.70 $0.00 $458,362.01 $0.00 $3,306,392.91
Class M-2A CG3 $5,250,000.00 4.65875% $21,061.43 $0.00 $0.00 $0.00 $5,250,000.00
Class B-1A CH1 $3,750,000.00 5.08875% $16,432.42 $0.00 $0.00 $0.00 $3,750,000.00
- ------------------------------------------------------------------------------------------------------------------------------------
TOTALS $111,617,843.42 $639,380.29 $0.00 $3,001,042.80 $0.00 $108,616,800.62
- ------------------------------------------------------------------------------------------------------------------------------------
5.03 (v) The Amount of Excess Interest paid as Principal Group I $265,502.45
The Amount of Excess Interest paid as Principal Group II $88,163.71
5.03 (vi) Servicing Fee Group I $23,379.75
Servicing Fee Group II $1,737.13
Trustee Fee $568.61
5.03 (vii)
Group I Group II
------- --------
The Aggregate Principal Balance of the Mortgage Loans (Before Distribution) $100,208,240.66 $13,514,750.51
The Aggregate Principal Balance of the Mortgage Loans (After Distribution) $97,769,611.83 $13,052,199.83
Group I Group II
------- --------
5.03 (ix) Overcollateralization Amount $1,459,204.13 $745,806.92
Required Overcollateralization Amount $2,649,972.56 $749,995.59
5.03 (x) Trigger Event (Yes/No) YES YES
5.03 (xi) The number and Principal Balances of all Mortgage Loans Group I 31 $2,155,946.29
that were subject to Principal Prepayments during the Due Period Group II 4 $232,706.10
5.03 (xii) The amount of all Curtailments that were received during the Due Period Group I ($78.52)
The amount of all Curtailments that were received during the Due Period Group II $0.00
5.03 (xiii) The principal portion of all Monthly Payments received Group I $103,561.06
during the Due Period Group II $5,507.73
5.03 (xiv) The interest portion of all Monthly Payments received on Group I $876,814.98
the Mortgage Loans during the Due Period Group II $141,916.96
5.03 (xv) The amount of the Monthly Advances and the Compensating Interest Group I $390,019.64 $1,963.29
payments to be made on the Determination Date Group II $97,686.30 $125.90
B-18
Delta Funding Corporation
Home Equity Loan Trust
Series 97-3
- -----------------------------------------------------------------------------------------------------------------------------------
Certificate Group 1
- -----------------------------------------------------------------------------------------------------------------------------------
CUSIP Beginning Balance Certificate Interest Principal Ending Balance
Class 24763L Factor per 1000 Rate Factor per 1000 Factor per 1000 Factor per 1000
- -----------------------------------------------------------------------------------------------------------------------------------
Class A-1 BU3 0.000000000 4.179% 0.000000000 0.000000000 0.0000000
Class A-2 BV1 0.000000000 6.590% 0.000000000 0.000000000 0.0000000
Class A-3 BW9 0.014115903 6.630% 0.077990288 14.115903409 0.0000000
Class A-4 BX7 1.000000000 6.930% 5.775000000 92.949233297 907.0507667
Class A-5 BY5 1.000000000 7.250% 6.041666909 0.000000000 1000.0000000
Class A-6 BZ2 0.892985808 6.860% 5.104902264 17.287760494 875.6980475
Class A-6 I/O CA6 0.892985808 6.500% 0.000000000 0.000000000 875.6980475
Class M-1F CB4 1.000000000 7.080% 5.900000000 0.000000000 1000.0000000
Class M-2F CC2 1.000000000 7.330% 6.108333333 0.000000000 1000.0000000
Class B-1F CD0 1.000000000 7.650% 6.375000000 0.000000000 1000.0000000
- -----------------------------------------------------------------------------------------------------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
Certificate Group 2
- -----------------------------------------------------------------------------------------------------------------------------------
CUSIP Beginning Balance Certificate Interest Principal Ending Balance
Class 24763L Factor per 1000 Rate Factor per 1000 Factor per 1000 Factor per 1000
- -----------------------------------------------------------------------------------------------------------------------------------
Class A-1A CE8 0.000000000 4.2888% 0.000000000 0.000000000 0.0000000
Class M-1A CF5 0.557741470 4.4588% 2.141436753 67.905482232 489.8359874
Class M-2A CG3 1.000000000 4.6588% 4.011701389 0.000000000 1000.0000000
Class B-1A CH1 1.000000000 5.0888% 4.381979167 0.000000000 1000.0000000
- -----------------------------------------------------------------------------------------------------------------------------------
5.03 (xvi) The amount distributed to the Class R Certificateholder $0.00
Group I Group II
------- --------
5.03 (xvii) The weighted average remaining term to maturity 232 314
The weighted average Loan Rate 10.8112% 12.9614%
5.03 (xviii) The amount of all payments or reimbursements to the Servicer $0.00 $0.00
5.03 (xix) The number of Mortgage Loans outstanding prior to distribution 1392 151
The number of Mortgage Loans outstanding after distribution 1361 147
5.03 (xx) The Amount of Liquidation Loan Losses $166,675.26 $92,352.38
Loan Losses as percentage of the Initial Collateral Balance 0.0629% 0.1231%
Cumulative Net Losses as percentage of the Initial Collateral Balance 2.4036% 2.0643%
Non-Recoverable Loss Adjustment ($5,224.77) $0.00
Group I
5.03 (xxi) Delinquent Mortgage Loans:
Number Percent Principal Balance
------ ------- -----------------
30 TO 59 DAYS 113 8.396% $8,208,743.74
60 TO 89 DAYS 59 4.121% $4,029,539.25
90 TO 119 20 1.668% $1,630,599.04
120 PLUS DAYS 58 4.896% $4,787,107.96
FORECLOSURE 89 8.314% $8,128,346.23
REO 61 4.311% $4,214,373.07
- --------------------------------------------------------------------------------------------------------------------------------
(*)NOTE THAT 30, 60, 90, OR 120 PLUS DAYS DOES NOT INCLUDE REO OR FORECLOSURE
- --------------------------------------------------------------------------------------------------------------------------------
Group II
5.03 (xxi) Delinquent Mortgage Loans:
Number Percent Principal Balance
------ ------- -----------------
30 TO 59 DAYS 16 10.277% $1,341,424.65
60 TO 89 DAYS 6 4.947% $645,735.03
90 TO 119 6 3.647% $475,956.11
120 PLUS DAYS 16 10.604% $1,384,095.20
FORECLOSURE 17 12.217% $1,594,602.88
REO 11 9.232% $1,204,978.26
- --------------------------------------------------------------------------------------------------------------------------------
(*)NOTE THAT 30, 60, 90, OR 120 PLUS DAYS DOES NOT INCLUDE REO OR FORECLOSURE
- --------------------------------------------------------------------------------------------------------------------------------
Group I Group II
5.03 (xxi) Cumulative Loss Event YES NO
Servicer Termination Test NO
Group I Delinquency Amount $20,367,546.17
Group II Delinquency Amount $4,863,510.94
B-19
Delta Funding Corporation EXHIBIT J
Home Equity Loan Trust
Series 97-4
Distribution Date 06/25/2001
Principal Interest
--------- --------
5.03 (i) The Available Funds for Certificate Group 1 $2,678,874.31 $1,157,910.36
The Available Funds for Certificate Group 2 $435,243.39 $160,978.05
Interest Advance Recovery $545,952.51
Servicing Advance Recovey $157,621.15
5.03 (ii)
Certificate Group 1
- -----------------------------------------------------------------------------------------------------------------------------------
Interest
CUSIP Beginning Certificate Interest Carryover Principal Principal Carryover Ending
Class 24763L Balance Rate Distribution Shortfall Distribution Shortfall Balance
- -----------------------------------------------------------------------------------------------------------------------------------
Class A-1F CJ7 $0.00 4.23875% $0.00 $0.00 $0.00 $0.00 $0.00
Class A-2F CK4 $22,466,317.04 6.670% $124,875.28 $0.00 $2,554,268.43 $0.00 $19,912,048.61
Class A-3F CL2 $18,000,000.00 6.710% $100,650.00 $0.00 $0.00 $0.00 $18,000,000.00
Class A-4F CM0 $25,225,000.00 7.070% $148,617.29 $0.00 $0.00 $0.00 $25,225,000.00
Class A-5F CN8 $30,079,155.01 6.670% $167,189.97 $0.00 $420,425.22 $0.00 $29,658,729.78
Class A-5 I/O CW8 $0.00 6.500% $0.00 $0.00 N/A N/A $0.00
Class M-1F CP3 $17,476,362.97 6.970% $101,508.54 $0.00 $0.00 $0.00 $17,476,362.97
Class M-2F CQ1 $13,282,035.86 7.170% $79,360.16 $0.00 $0.00 $0.00 $13,282,035.86
Class B-1F CR9 $9,867,598.88 7.510% $61,754.72 $0.00 $0.00 $0.00 $9,867,598.88
- -----------------------------------------------------------------------------------------------------------------------------------
TOTALS $136,396,469.75 $783,955.96 $0.00 $2,974,693.65 $0.00 $133,421,776.10
- -----------------------------------------------------------------------------------------------------------------------------------
Certificate Group 2
- ------------------------------------------------------------------------------------------------------------------------------------
Interest
CUSIP Beginning Certificate Interest Carryover Principal Principal Carryover Ending
Class 24763L Balance Rate Distribution Shortfall Distribution Shortfall Balance
- ------------------------------------------------------------------------------------------------------------------------------------
Class A-1A CS7 $0.00 4.30875% $0.00 $0.00 $0.00 $0.00 $0.00
Class M-1A CT5 $5,146,707.01 4.56875% $20,248.18 $0.00 $523,452.07 $0.00 $4,623,254.94
Class M-2A CU2 $5,525,000.00 4.76875% $22,687.99 $0.00 $0.00 $0.00 $5,525,000.00
Class B-1A CV0 $4,675,000.00 5.23875% $21,089.61 $0.00 $0.00 $0.00 $4,675,000.00
- ------------------------------------------------------------------------------------------------------------------------------------
TOTALS $151,743,176.76 $847,981.74 $0.00 $3,498,145.73 $0.00 $148,245,031.03
- ------------------------------------------------------------------------------------------------------------------------------------
5.03 (v) The Amount of Excess Interest paid as Principal Group I $295,819.34
The Amount of Excess Interest paid as Principal Group II $88,208.68
5.03 (vi) Servicing Fee Group I $33,224.00
Servicing Fee Group II $1,949.60
Trustee Fee $779.60
Group I Group II
------- --------
5.03 (vii) The Aggregate Principal Balance of the Mortgage Loans (Before Distribution) $139,810,903.74 $16,108,432.40
The Aggregate Principal Balance of the Mortgage Loans (After Distribution) $136,917,048.69 $15,673,239.13
Group I Group II
------- --------
5.03 (ix) Overcollateralization Amount $3,495,272.59 $849,984.19
Required Overcollateralization Amount $3,495,272.59 $849,984.19
5.03 (x) Trigger Event (Yes/No) YES YES
5.03 (xi) The number and Principal Balances of all Mortgage Loans Group I 33 $2,375,607.17
that were subject to Principal Prepayments during the Due Period Group II 5 $432,778.83
5.03 (xii) The amount of all Curtailments that were received during the Due Period Group I ($1,886.37)
The amount of all Curtailments that were received during the Due Period Group II $0.00
5.03 (xiii) The principal portion of all Monthly Payments received Group I $140,008.85
during the Due Period Group II $2,414.44
5.03 (xiv) The interest portion of all Monthly Payments received on Group I $1,191,134.36
the Mortgage Loans during the Due Period Group II $162,927.65
5.03 (xv) The amount of the Monthly Advances and the Compensating Interest Group I $513,037.29 $3,592.89
payments to be made on the Determination Date Group II $115,102.84 $1,156.44
B-20
Delta Funding Corporation
Home Equity Loan Trust
Series 97-4
Certificate Group 1
- -----------------------------------------------------------------------------------------------------------------------------------
CUSIP Beginning Balance Certificate Interest Principal Ending Balance
Class 24763L Factor per 1000 Rate Factor per 1000 Factor per 1000 Factor per 1000
- -----------------------------------------------------------------------------------------------------------------------------------
Class A-1 CJ7 0.000000000 4.24% 0 0.000000000 0.000000000
Class A-2 CK4 0.838295412 6.67% 4.659525373 95.308523533 742.986888600
Class A-3 CL2 1.000000000 6.71% 5.591666667 0.000000000 1000.000000000
Class A-4 CM0 1.000000000 7.07% 5.891666601 0.000000000 1000.000000000
Class A-5 CN8 0.954893810 6.67% 5.307618095 13.346832518 941.546977200
Class A-5 I/O CW8 0.000000000 6.50% 0 0.000000000 941.546977200
Class M-1F CP3 0.887710823 6.97% 5.156120282 0.000000000 887.710822800
Class M-2F CQ1 0.887658615 7.17% 5.303759941 0.000000000 887.658614900
Class B-1F CR9 0.895020306 7.51% 5.601335418 0.000000000 895.020306400
- -----------------------------------------------------------------------------------------------------------------------------------
Certificate Group 2
Beginning Balance Certificate Interest Principal Ending Balance
Class CUSIP Factor per 1000 Rate Factor per 1000 Factor per 1000 Factor per 1000
- -----------------------------------------------------------------------------------------------------------------------------------
Class A-1A CS7 0.000000000 4.31% 0 0.000000000 0.000000000
Class M-1A CT5 0.672772158 4.57% 2.646821158 68.425107488 604.347050400
Class M-2A CU2 1.000000000 4.77% 4.106423611 0.000000000 1000.000000000
Class B-1A CV0 1.000000000 5.24% 4.511145833 0.000000000 1000.000000000
- -----------------------------------------------------------------------------------------------------------------------------------
5.03 (xvi) The amount distributed to the Class R Certificateholder $86,099.04
Group I Group II
------- --------
5.03 (xvii) The weighted average remaining term to maturity 26100.00% 31700.00%
The weighted average Loan Rate 10.52% 12.49%
5.03 (xviii) The amount of all payments or reimbursements to the Servicer $0.00 $0.00
5.03 (xix) The number of Mortgage Loans outstanding prior to distribution 1927 174
The number of Mortgage Loans outstanding after distribution 1894 169
5.03 (xx) The Amount of Liquidation Loan Losses $216,606.84 $0.00
Loan Losses as percentage of the Initial Collateral Balance 0.07% 0.00%
Cumulative Net Losses as percentage of the Initial Collateral Balance 1.56% 1.49%
Non-Recoverable Loss Adjustment ($1,626.10) ($50.12)
Group I
5.03 (xxi) Delinquent Mortgage Loans:
Number Percent Principal Balance
30 TO 59 DAYS 172 9.43% $12,914,358.05
60 TO 89 DAYS 85 4.48% $6,138,956.30
90 TO 119 DAYS 24 1.55% $2,122,894.05
120 DAYS PLUS 77 3.91% $5,348,552.43
FORECLOSURE 134 7.31% 10,011,618.43
REO 61 3.200% $4,380,753.27
- ------------------------------------------------------------------------------------------------------------------------------------
(*)NOTE THAT 30, 60, 90, OR 120 PLUS DAYS DOES NOT INCLUDE REO OR FORECLOSURE
- ------------------------------------------------------------------------------------------------------------------------------------
Group II
5.03 (xxi) Delinquent Mortgage Loans:
Number Percent Principal Balance
30 TO 59 DAYS 13 7.15% $1,121,034.68
60 TO 89 DAYS 13 3.38% $529,540.66
90 TO 119 DAYS 9 6.26% $980,333.35
B-21
Delta Funding Corporation
Home Equity Loan Trust
Series 97-4
120 DAYS PLUS 10 6.30% $986,980.51
FORECLOSURE 22 16.95% $2,656,992.03
REO 8 5.673% $889,127.70
- ------------------------------------------------------------------------------------------------------------------------------------
(*)NOTE THAT 30, 60, 90, OR 120 PLUS DAYS DOES NOT INCLUDE REO OR FORECLOSURE
- ------------------------------------------------------------------------------------------------------------------------------------
5.03 (xxi) Trigger Event YES
Subordination Trigger Event NO
B-22
EXHIBIT K
Delta Funding Corporation
DELTA FUNDING HOME EQUITY LOAN TRUST
SERIES 1998-1
Distribution Date 06/25/2001
Principal Interest
5.03 (i) The Available Funds for Certificate Group 1 Group 1 $3,932,033.24 $1,295,676.01
The Available Funds for Certificate Group 2 Group 2 $696,270.23 $202,067.39
------------- -------------
Total $4,628,303.47 $1,497,743.40
5.03 (ii), (iii), (iv), (viii)
- -------------------------------------------------------------------------------------
Certificate Group 1
Interest
CUSIP Beginning Certificate Interest Carryover
Class 24763L Balance Rate Distribution Shortfall
- -------------------------------------------------------------------------------------
Class A-1F CX6 $0.00 4.199% $0.00 $0.00
Class A-2F CY4 $0.00 6.310% $0.00 $0.00
Class A-3F CZ1 $41,418,332.54 6.330% $218,481.70 $0.00
Class A-4F DA5 $10,220,000.00 6.550% $55,784.17 $0.00
Class A-5F DB3 $13,441,000.00 7.040% $78,853.87 $0.00
Class A-6F DC1 $45,195,157.44 6.520% $245,560.36 $0.00
Class I/OF DD9 $0.00 7.000% $0.00 $0.00
Class M-1F DE7 $17,710,000.00 4.639% $70,742.23 $0.00
Class M-2F DF4 $10,010,000.00 4.809% $41,450.09 $0.00
Class B-1F DG2 $13,090,000.00 5.539% $62,432.48 $0.00
- -------------------------------------------------------------------------------------
TOTALS $151,084,489.98 $773,304.90 $0.00
- -------------------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------
Certificate Group 1
LIBOR Carryover Principal Principal Carryover Ending
Class Shortfall Distribution Shortfall Balance
- ----------------------------------------------------------------------------------------
Class A-1F $0.00 $0.00 $0.00 $0.00
Class A-2F $0.00 $0.00 $0.00 $0.00
Class A-3F $0.00 $3,337,863.95 $0.00 $38,080,468.59
Class A-4F $0.00 $0.00 $0.00 $10,220,000.00
Class A-5F $0.00 $0.00 $0.00 $13,441,000.00
Class A-6F $0.00 $754,807.57 $0.00 $44,440,349.87
Class I/OF $0.00 n/a n/a $0.00
Class M-1F $0.00 $0.00 $0.00 $17,710,000.00
Class M-2F $0.00 $0.00 $0.00 $10,010,000.00
Class B-1F $0.00 $0.00 $0.00 $13,090,000.00
- ----------------------------------------------------------------------------------------
TOTALS $0.00 $4,092,671.52 $0.00 $146,991,818.46
- ----------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------
Certificate Group 2
Interest
CUSIP Beginning Certificate Interest Carryover
Class 24763L Balance Rate Distribution Shortfall
- ------------------------------------------------------------------------------------
Class A-1A DH0 $0.00 6.28000% $0.00 $0.00
Class A-2A DJ6 $3,013,282.94 4.29875% $11,154.27 $0.00
Class IOA DK3 $0.00 6.80000% $0.00 $0.00
Class M-1A DL1 $4,232,000.00 4.53875% $16,540.21 $0.00
Class M-2A DM9 $4,094,000.00 4.67875% $16,494.41 $0.00
Class B-1A DN7 $7,031,387.99 5.34875% $32,385.65 $0.00
- ------------------------------------------------------------------------------------
TOTALS $18,370,670.93 $76,574.55 $0.00
- ------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------------------
Certificate Group 2
LIBOR Carryover Principal Principal Carryover Ending
Class Shortfall Distribution Shortfall Balance
- ---------------------------------------------------------------------------------------
Class A-1A $0.00 $0.00 $0.00 $0.00
Class A-2A $0.00 $821,717.65 $0.00 $2,191,565.29
Class IOA $0.00 n/a $0.00 $0.00
Class M-1A $0.00 $0.00 $0.00 $4,232,000.00
Class M-2A $0.00 $0.00 $0.00 $4,094,000.00
Class B-1A $0.00 $0.00 $0.00 $7,031,387.99
- ---------------------------------------------------------------------------------------
TOTALS $0.00 $821,717.65 $0.00 $17,548,953.27
- ---------------------------------------------------------------------------------------
Prepayment Penalty $3,324.16
5.03 (v) The Amount of Excess Interest paid as Principal Group I $160,638.28
The Amount of Excess Interest paid as Principal Group II $138,574.93
5.03 (vi) Servicing Fee Group I $40,189.53
Servicing Fee Group II $2,852.17
Trustee Fee $420.42
5.03 (vii) Group I Group II
The Aggregate Principal Balance of the Mortgage Loans (Before Distribution) $160,712,613.47 $19,465,611.58
The Aggregate Principal Balance of the Mortgage Loans (After Distribution) $156,374,274.96 $18,630,766.42
Group I Group II
5.03 (ix) Overcollateralization Amount $9,382,456.50 $1,081,813.15
Required Overcollateralization Amount $9,382,456.50 $1,094,940.65
5.03 (x) Trigger Event (Yes/No) NO YES
5.03 (xi) The number and Principal Balances of all Mortgage Loans Group I 48 $3,452,973.05
that were subject to Principal Prepayments during the Due Period Group II 10 $601,008.86
5.03 (xii) The amount of all Curtailments that were received during the Due Period Group I ($1,188.57)
The amount of all Curtailments that were received during the Due Period Group II $0.00
5.03 (xiii) The principal portion of all Monthly Payments received Group I $162,456.04
during the Due Period Group II $8,023.34
5.03 (xiv) The interest portion of all Monthly Payments received on Group I $1,335,865.54
the Mortgage Loans during the Due Period Group II $204,919.56
5.03 (xv) The amount of the Monthly Advances and the Compensating Interest Group I $539,026.58 $3,143.77
payments to be made on the Determination Date Group II $132,978.39 $1,349.93
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Certificate Group 1
CUSIP Beginning Balance Certificate Interest Principal Ending Balance
Class 24763L Factor per 1000 Rate Factor per 1000 Factor per 1000 Factor per 1000
- ------------------------------------------------------------------------------------------------------------------------------------
Class A-1F CX6 0.000000000 4.19875% 0.000000000 0.000000000 0.0000000
Class A-2F CY4 0.000000000 6.31000% 0.000000000 0.000000000 0.0000000
Class A-3F CZ1 0.634491445 6.33000% 3.346942308 51.133060839 583.3583840
Class A-4F DA5 1.000000000 6.55000% 5.458333659 0.000000000 1000.0000000
Class A-5F DB3 1.000000000 7.04000% 5.866666915 0.000000000 1000.0000000
Class A-6F DC1 0.978250161 6.52000% 5.315159307 16.337826253 961.9123348
Class I/OF DD9 0.000000000 7.00000% 0.000000000 0.000000000 0.0000000
Class M-1F DE7 1.000000000 4.63875% 3.994479390 0.000000000 1000.0000000
Class M-2F DF4 1.000000000 4.80875% 4.140868132 0.000000000 1000.0000000
Class B-1F DG2 1.000000000 5.53875% 4.769479167 0.000000000 1000.0000000
- ------------------------------------------------------------------------------------------------------------------------------------
B-23
- ------------------------------------------------------------------------------------------------------------------------------------
Certificate Group 2
Beginning Balance Certificate Interest Principal Ending Balance
Class Cusip Factor per 1000 Rate Factor per 1000 Factor per 1000 Factor per 1000
- ------------------------------------------------------------------------------------------------------------------------------------
Class A-1A DH0 0.000000000 6.28000% 0.000000000 0.000000000 0.0000000
Class A-2A DJ6 0.053219409 4.29875% 0.197002361 14.512851546 38.7065575
Class IOA DK3 0.000000000 6.80000% 0.000000000 0.000000000 0.0000000
Class M-1A DL1 1.000000000 4.53875% 3.908368056 0.000000000 1000.0000000
Class M-2A DM9 1.000000000 4.67875% 4.028923611 0.000000000 1000.0000000
Class B-1A DN7 0.878484256 5.34875% 4.046182573 0.000000000 878.4842561
- ------------------------------------------------------------------------------------------------------------------------------------
5.03 (xvi) The amount distributed to the Class R Certificateholder $361,357.83
Group I Group II
5.03 (xvii) The weighted average remaining term to maturity 27600.0000% 32000.0000%
The weighted average Loan Rate 10.25% 12.86%
5.03 (xviii) The amount of all payments or reimbursements to the Servicer $0.00 $0.00
5.03 (xix) The number of Mortgage Loans outstanding prior to distribution 2053 243
The number of Mortgage Loans outstanding after distribution 2005 $233.00
5.03 (xx) The Amount of Liquidation Loan Losses $409,169.62 $138,674.93
Loan Losses as percentage of the Initial Collateral Balance 0.1328% 0.1507%
Cumulative Net Losses as percentage of the Initial Collateral Balance 1.00% 1.41%
Non-Recoverable Loss Adjustment ($2,864.35) ($100.00)
Group I
5.03 (xxi) Delinquent Mortgage Loans:
Number Percent Principal Balance
30 TO 59 DAYS 171 9.300% $14,542,385.79
60 TO 89 DAYS 84 4.328% $6,767,575.71
90 to 119 DAYS 29 1.225% $1,915,419.48
120+ DAYS 50 2.662% $4,162,963.60
FORECLOSURE 120 6.676% $10,439,848.85
REO 65 2.66% $4,154,736.30
- --------------------------------------------------------------------------------
(*)NOTE THAT 30, 60, 90, OR 120 PLUS DAYS DOES NOT INCLUDE REO OR FORECLOSURE
- --------------------------------------------------------------------------------
Group II
5.03 (xxi) Delinquent Mortgage Loans :
Number Percent Principal Balance
30 TO 59 DAYS 25 11.408% $2,125,388.97
60 TO 89 DAYS 12 3.857% $718,622.01
90 to 119 DAYS 11 4.588% $854,793.99
120+ DAYS 23 11.203% $2,087,205.56
FORECLOSURE 33 13.604% $2,534,492.13
REO 18 7.52% $1,400,088.10
- --------------------------------------------------------------------------------
(*)NOTE THAT 30, 60, 90, OR 120 PLUS DAYS DOES NOT INCLUDE REO OR FORECLOSURE
- --------------------------------------------------------------------------------
5.03 (xxi) Trigger Event NO
Subordination Trigger Event NO
Amount of Delinquency Reimbursement Amount $673,868.28
Amount of Servicing Advance Reimbursements $236,815.95
B-24
EXHIBIT L
Delta Funding Corporation 1
Delta Home Equity Loan Trust
Series 1998-2
Distribution Date 06/15/2001
Interest Principal Total
-------- --------- -----
The Available Funds for Certificate Group 1 $1,666,142.83 $5,033,077.96 $6,699,220.79
The Available Funds for Certificate Group 2 $225,460.27 $325,543.06 $551,003.33
Interest advance Recovery $720,455.21
Servicing Advance Recovery $149,237.82
Certificate Group 1
- ------------------------------------------------------------------------------------------------------------------------------------
CUSIP Beginning Certificate Interest Interest Carryover Principal Carryover Ending
Class 24763L Balance Rate Distribution Shortfall Distribution Shortfall Balance
- ------------------------------------------------------------------------------------------------------------------------------------
Class A-1F DP2 $0.00 6.250% $0.00 $0.00 $0.00 $0.00 $0.00
Class A-2F DQ0 $0.00 6.130% $0.00 $0.00 $0.00 $0.00 $0.00
Class A-3F DR8 $74,398,665.64 6.240% $386,873.06 $0.00 $5,352,468.47 $0.00 $69,046,197.17
Class A-4F DS6 $21,000,000.00 6.380% $111,650.00 $0.00 $0.00 $0.00 $21,000,000.00
Class A-5F DT4 $32,000,000.00 6.750% $180,000.00 $0.00 $0.00 $0.00 $32,000,000.00
Class A-6F DU1 $36,000,000.00 6.370% $191,100.00 $0.00 $0.00 $0.00 $36,000,000.00
Class I/OF DY3 $36,000,000.00 10.000% $300,000.00 $0.00 NA NA $36,000,000.00
Class M-1F DV9 $19,800,000.00 4.573% $77,961.13 $0.00 $0.00 $0.00 $19,800,000.00
Class M-2F DW7 $10,800,000.00 4.763% $44,291.25 $0.00 $0.00 $0.00 $10,800,000.00
Class B-1F DX5 $12,600,000.00 5.373% $58,291.63 $0.00 $0.00 $0.00 $12,600,000.00
- ------------------------------------------------------------------------------------------------------------------------------------
Total $206,598,665.64 $1,350,167.07 $0.00 $5,352,468.47 $0.00 $201,246,197.17
- ------------------------------------------------------------------------------------------------------------------------------------
Certificate Group 2
- ------------------------------------------------------------------------------------------------------------------------------------
CUSIP Beginning Certificate Interest Interest Carryover Principal Carryover Ending
Class 24763L Balance Rate Distribution Shortfall Distribution Shortfall Balance
- ------------------------------------------------------------------------------------------------------------------------------------
Class A-1A DZ0 $0.00 6.14000% $0.00 $0.00 $0.00 $0.00 $0.00
Class A-2A EA4 $5,995,591.64 4.28250% $22,109.99 $0.00 $465,648.85 $0.00 $5,529,942.79
Class M-1A EB2 $7,012,500.00 4.49250% $27,128.15 $0.00 $0.00 $0.00 $7,012,500.00
Class M-2A EC0 $4,887,500.00 4.68250% $19,707.15 $0.00 $0.00 $0.00 $4,887,500.00
Class B-1A ED8 $4,037,500.00 5.27250% $18,331.09 $0.00 $0.00 $0.00 $4,037,500.00
- ------------------------------------------------------------------------------------------------------------------------------------
Total $21,933,091.64 $87,276.38 $0.00 $465,648.85 $0.00 $21,467,442.79
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
GROUP TOTALS $228,531,757.29 $1,437,443.44 $0.00 $5,818,117.33 $0.00 $222,713,639.96
- ------------------------------------------------------------------------------------------------------------------------------------
LIBOR 4.12250%
5.03 (v) The Amount of Excess Interest paid as Principal Group I $315,482.49
The Amount of Excess Interest paid as Principal Group II $138,131.41
5.03 (vi) Servicing Fee Group I $52,601.93
Servicing Fee Group II $3,611.05
Trustee Fee Group 1 $493.27
Trustee Fee Group 2 $52.47
Group I Group II
5.03 (vii) The Aggregate Principal Balance of the Mortgage Loans (Before Distribution) $211,402,121.25 $22,488,702.88
The Aggregate Principal Balance of the Mortgage Loans (After Distribution) $206,148,183.81 $22,127,292.80
Group I Group II
5.03 (ix) Overcollateralization Amount $4,901,986.64 $659,850.01
Required Overcollateralization Amount $5,040,000.00 $850,000.00
5.03 (x) Trigger Event (Yes/No) NO YES
5.03 (xi) The number and Principal Balances of all Mortgage Loans Group I 52 $4,498,488.54
that were subject to Principal Prepayments during the Due Period Group II 4 $314,258.98
5.03 (xii) The amount of all Curtailments that were received during the Due Period Group I ($305.75)
The amount of all Curtailments that were received during the Due Period Group II $0.00
5.03 (xiii) The principal portion of all Monthly Payments received Group I $207,453.59
during the Due Period Group II $10,397.29
5.03 (xiv) The interest portion of all Monthly Payments received on Group I $1,718,744.76
the Mortgage Loans during the Due Period Group II $229,071.32
5.03 (xv) The amount of the Monthly Advances and the Compensating Interest Group I $708,927.99 $0.00
B-25
Delta Funding Corporation 2
Delta Home Equity Loan Trust
Series 1998-2
payments to be made on the Determination Date Group II $141,302.31 $0.00
B-26
Delta Funding
Corporation 3
Delta Home Equity Loan Trust
Series 1998-2
- ------------------------------------------------------------------------------------------------------------------------------------
Certificate Group 1
CUSIP Beginning Balance Certificate Interest Principal Ending Balance
- ------------------------------------------------------------------------------------------------------------------------------------
Class 24763L Factor per 1000 Rate Factor per 1000 Factor per 1000 Factor per 1000
Class A-1F DP2 0.000000000 6.25000% 0.000000000 0.000000000 0.0000000
Class A-2F DQ0 0.000000000 6.13000% 0.000000000 0.000000000 0.0000000
Class A-3F DR8 0.932314106 6.24000% 4.848033333 67.073539768 865.2405660
Class A-4F DS6 1.000000000 6.38000% 5.316666667 0.000000000 1000.0000000
Class A-5F DT4 1.000000000 6.75000% 5.625000000 0.000000000 1000.0000000
Class A-6F DU1 1.000000000 6.37000% 5.308333333 0.000000000 1000.0000000
Class I/OF DY3 1.000000000 10.00000% 8.333333333 0.000000000 1000.0000000
Class M-1F DV9 1.000000000 4.57250% 3.937430808 0.000000000 1000.0000000
Class M-2F DW7 1.000000000 4.76250% 4.101041667 0.000000000 1000.0000000
Class B-1F DX5 1.000000000 5.37250% 4.626319444 0.000000000 1000.0000000
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Certificate Group 2
Beginning Balance Certificate Interest Principal Ending Balance
- ------------------------------------------------------------------------------------------------------------------------------------
Class Cusip Factor per 1000 Rate Factor per 1000 Factor per 1000 Factor per 1000
Class A-1A DZ0 0.000000000 6.14000% 0.000000000 0.000000000 0.0000000
Class A-2A EA4 0.110901117 4.28250% 0.408970974 8.613157993 102.2879591
Class M-1A EB2 1.000000000 4.49250% 3.868541667 0.000000000 1000.0000000
Class M-2A EC0 1.000000000 4.68250% 4.032152778 0.000000000 1000.0000000
Class B-1A ED8 1.000000000 5.27250% 4.540208333 0.000000000 1000.0000000
- ------------------------------------------------------------------------------------------------------------------------------------
5.03 (xvi) The amount distributed to the Class R Certificateholder $0.00
Group I Group II
------- --------
5.03 (xvii) The weighted average remaining term to maturity 281 323
The weighted average Loan Rate 10.04% 12.56%
5.03 (xviii) The amount of all payments or reimbursements to the Servicer $0.00 $0.00
5.03 (xix) The number of Mortgage Loans outstanding prior to distribution 2600 237
The number of Mortgage Loans outstanding after distribution 2548 233
5.03 (xx) The Amount of Liquidation Loan Losses $220,859.48 $35,867.02
Loan Losses as percentage of the Initial Collateral Balance 0.0613% 0.0422%
Cumulative Net Losses as percentage of the Initial Collateral Balance 0.75% 1.29%
Non-Recoverable Loss Adjustment ($3,908.02) ($1,974.38)
Group I
5.03 (xxi) Delinquent Mortgage Loans:
All Delinquencies are exclusive of each other
Number Percent Principal Balance
30 TO 59 DAYS 222 9.233% $19,033,005.78
60 TO 89 DAYS 75 2.811% $5,795,116.01
90 TO 119 DAYS 34 1.093% $2,252,677.67
120+ DAYS 54 2.173% $4,479,727.73
FORECLOSURE 178 6.84% $14,106,123.08
REO 62 1.94% $3,998,650.43
- --------------------------------------------------------------------------------
(*)NOTE THAT 30, 60, 90, OR 120 PLUS DAYS DOES NOT INCLUDE REO OR FORECLOSURE
- --------------------------------------------------------------------------------
(*)NOTE THAT 30, 60, 90, OR 120 PLUS DAYS MAY INCLUDE BANKRUPTCY
- --------------------------------------------------------------------------------
Group II
5.03 (xxi) Delinquent Mortgage Loans:
All Delinquencies are exclusive of each other
Number Percent Principal Balance
30 TO 59 DAYS 30 11.100% $2,456,139.81
60 TO 89 DAYS 10 4.710% $1,042,214.95
90 DAYS PLUS 8 4.25% $939,269.98
120+ DAYS 12 5.69% $1,258,400.97
FORECLOSURE 23 10.48% $2,319,510.55
REO 20 8.43% $1,864,535.92
- --------------------------------------------------------------------------------
(*)NOTE THAT 30, 60, 90, OR 120 PLUS DAYS DOES NOT INCLUDE REO OR FORECLOSURE
- --------------------------------------------------------------------------------
(*)NOTE THAT 30, 60, 90, OR 120 PLUS DAYS MAY INCLUDE BANKRUPTCY
- --------------------------------------------------------------------------------
5.03 (xxi) Trigger Event NO
Subordination Trigger Event NO
B-27
EXHIBIT M
Delta Funding Corporation
Delta Home Equity Loan Trust
Series 1998-3
Distribution Date 06/15/2001
Interest Principal
Interest Advance Recovery $827,393.29 The Available Funds for Certificate Group 1 $2,199,056.33 $7,013,439.42
Servicing Advance Recovery $172,018.46 The Available Funds for Certificate Group 2 $109,376.54 $75,156.51
- ------------------------------------------------------------------------------------------------------------------------------------
Total $999,411.75 Total $2,308,432.86 $7,088,595.93
5.03 (ii,iii)
Certificate Group 1
- ------------------------------------------------------------------------------------------------------------------------------------
CUSIP Interest Principal
Class Beginning Balance Certificate Rate Distribution Distribution Ending Balance
- ------------------------------------------------------------------------------------------------------------------------------------
Class A-1 24763LEE6 $0.00 0.000% $0.00 $0.00 $0.00
Class A-2 24763LEF3 $62,308,184.52 5.860% $304,271.63 $7,237,068.55 $55,071,115.97
Class A-3 24763LEG1 $58,921,000.00 5.960% $292,640.97 $0.00 $58,921,000.00
Class A-4 24763LEH9 $68,805,000.00 6.220% $356,639.25 $0.00 $68,805,000.00
Class A-5 24763LEJ5 $32,016,000.00 6.410% $171,018.80 $0.00 $32,016,000.00
Class A-6 24763LEK2 $44,500,000.00 5.930% $219,904.17 $0.00 $44,500,000.00
Class IO 24763LEL0 $38,938,000.00 6.000% $194,690.00 NA $38,938,000.00
Class BIO F9803101 $0.00 NA $485,297.00 NA $0.00
Class R $0.00 NA $0.00 $0.00 $0.00
- ------------------------------------------------------------------------------------------------------------------------------------
TOTALS $266,550,184.52 $2,024,461.82 $7,237,068.55 $259,313,115.97
- ------------------------------------------------------------------------------------------------------------------------------------
Certificate Group 2
- ------------------------------------------------------------------------------------------------------------------------------------
CUSIP Interest Principal
Class US24863LB Beginning Balance Certificate Rate Distribution Distribution Ending Balance
- ------------------------------------------------------------------------------------------------------------------------------------
Class A-1A 24763LEM8 $9,563,511.42 4.55000% $36,255.67 $75,156.51 $9,488,354.91
- ------------------------------------------------------------------------------------------------------------------------------------
TOTALS $276,113,695.94 $2,060,717.49 $7,312,225.06 $268,801,470.88
- ------------------------------------------------------------------------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
GROUP 1 GROUP 2
------- -------
One Month LIBOR rate 4.12250%
5.03 (iv) The number and Principal Balances of all Mortgage Loans 82 1
that were subject to Principal Prepayments during the Due Period $6,560,919.09 $67,535.77
The amount of all Curtailments that were received during the ($550.02) $0.00
Due Period
The principal portion of all Monthly Payments received $260,021.14 $7,620.74
during the Due Period
5.03 (v) The Amount of Excess Interest for each Loan Group paid as $221,271.64 $0.00
principal
5.03 (vi) SERVICING FEE $70,265.06 $1,896.67
Premium Amount $24,850.84 $909.30
Reimbursement Amount to Certificate Insurer $0.00 $0.00
TRUSTEE FEE $657.25 $26.34
5.03 (vii) The Aggregate Principal Balance of the Mortgage Loans (Before Distribution) $281,680,184.52 $11,288,511.42
The Aggregate Principal Balance of the Mortgage Loans (After Distribution) $274,443,115.97 $11,213,354.91
The Certificate Principal Balance (Before Distribution) $266,550,184.52 $9,563,511.42
The Certificate Principal Balance (After Distribution) $259,313,115.97 $9,488,354.91
Certificate Group 1
- ------------------------------------------------------------------------------------------------------------------------------------
CUSIP Beginning Balance Interest Principal Ending Balance
Class US24863LB Factor per 1000 Certificate Rate Factor per 1000 Factor per 1000 Factor per 1000
- ------------------------------------------------------------------------------------------------------------------------------------
Class A-1 A70 0.000000000 6.600% 0.000000000 0.000000000 0.0000000
Class A-2 B53 0.656663623 6.920% 3.206707358 76.271194381 580.3924285
Class A-3 C37 1.000000000 7.260% 4.966666667 0.000000000 1000.0000000
Class A-4 D10 1.000000000 7.460% 5.183333333 0.000000000 1000.0000000
Class A-5 E92 1.000000000 7.740% 5.341666667 0.000000000 1000.0000000
Class A-6 F76 1.000000000 7.210% 4.941666667 0.000000000 1000.0000000
Class S 0.344267223 6.0000% 1.721336115 NA 344.2672231
- ------------------------------------------------------------------------------------------------------------------------------------
Certificate Group 2
- ------------------------------------------------------------------------------------------------------------------------------------
Beginning Balance Interest Principal Ending Balance
Class Cusip Factor per 1000 Certificate Rate Factor per 1000 Factor per 1000 Factor per 1000
- ------------------------------------------------------------------------------------------------------------------------------------
Class A-1A 0.318783714 4.54925% 1.208522342 2.505217000 316.2784970
- ------------------------------------------------------------------------------------------------------------------------------------
B-28
Delta Funding Corporation 2
Delta Home Equity Loan Trust
Series 1998-3
GROUP 1 GROUP 2
5.03 (ix) Overcollateralization Amount $15,130,000.00 $1,725,000.00
Specified Overcollateralization Amount $15,130,000.00 $1,725,000.00
5.03 (x) The amount of any Insured Payments $0.00 $0.00
5.03 (xiv) The interest portion of all Monthly Payments received on $1,348,120.58 $43,777.54
the Mortgage Loans during the Due Period
5.03 (xv) The amount of the Monthly Advances and the Compensating Interest $921,200.81 $67,495.67
payments to be made on the Determination Date $0.00 $0.00
5.03 (xvi) The amount distributed to the Class R Certificateholder 0.00 $0.00
5.03 (xvii) The weighted average remaining term to maturity 285 327
The weighted average Loan Rate 9.94% 12.16%
5.03 (xviii) The amount of all payments or reimbursements to the Servicer $0.00 $0.00
5.03 (xvii) The number of Mortgage Loans outstanding prior to distribution 3468 119
The number of Mortgage Loans outstanding after distribution 3386 118
5.03 (xx) The Amount of Liquidation Loan Losses 223,629.13 0.00
Loan Losses as percentage of the Initial Collateral Balance 0.0503% 0.0000%
Cumulative Net Losses as percentage of the Initial Collateral Balance 0.68% 0.84%
Non-Recoverable Loss Adjusment (2,357.49) $0.00
5.03 (xxi) Delinquent Mortgage Loans: Group 1
All Delinquencies are exclusive of each other Number Percent Principal Balance
30 TO 59 DAYS 286 9.113317% $25,010,869.78
60 TO 89 DAYS 101 2.902568% $7,965,898.51
90 PLUS DAYS 66 1.839725% $5,048,998.60
FORECLOSURE 211 6.225806% $17,086,295.41
BANKRUPTCY 199 5.915323% $16,234,197.99
REO 78 1.863831% $5,115,156.30
- ------------------------------------------------------------------------------------------------------------------------------------
(*)NOTE THAT 30, 60, OR 90 PLUS DAYS DOES NOT INCLUDE REO, FORECLOSURE, OR BANKRUPTCY
- ------------------------------------------------------------------------------------------------------------------------------------
Delinquent Mortgage Loans: Group 2
All Delinquencies are exclusive of each other Number Percent Principal Balance
30 TO 59 DAYS 14 11.576796% $1,298,147.17
60 TO 89 DAYS 7 7.183175% $805,474.93
90 PLUS DAYS 4 2.871202% $321,958.10
FORECLOSURE 21 17.458294% $1,957,660.51
BANKRUPTCY 7 4.013944% $450,097.81
REO 4 3.613898% $405,239.23
- ------------------------------------------------------------------------------------------------------------------------------------
(*)NOTE THAT 30, 60, OR 90 PLUS DAYS DOES NOT INCLUDE REO, FORECLOSURE, OR BANKRUPTCY
- ------------------------------------------------------------------------------------------------------------------------------------
Prepayment Penalty $23,638.48
B-29
EXHIBIT N
Delta Funding Corporation 1
Home Equity Loan Trust
Series 1998-4
Distribution Date 06/15/2001
Interest Principal
5.03 (i) The Available Funds for Certificate Group 1 $1,903,364.44 $6,485,373.71
The Available Funds for Certificate Group 2 $130,306.67 $231,104.10
----------------------------------------------------------------------------------------------------------------
Total $2,033,671.11 $6,716,477.81
Interest Advance Recovery $183,513.96
Servicing Advance Recovery $157,938.14
5.03 (ii,iii,viii)
Certificate Group 1
- ------------------------------------------------------------------------------------------------------------------------------------
CUSIP Interest Principal
Class Beginning Balance Certificate Rate Distribution Distribution Ending Balance
- ------------------------------------------------------------------------------------------------------------------------------------
Class A-1 24763LEP1 $0.00 6.160% $0.00 $0.00 $0.00
Class A-2 24763LEQ9 $56,873,038.53 5.960% $282,469.42 $6,546,572.99 $50,326,465.54
Class A-3 24763LER7 $133,200,000.00 6.340% $703,740.00 $0.00 $133,200,000.00
Class A-4 24763LES5 $36,800,000.00 6.190% $189,826.67 $0.00 $36,800,000.00
Class B 24763LET3 $14,000,000.00 6.750% $78,750.00 $0.00 $14,000,000.00
Class IO 24763LEU0 $49,000,000.00 6.000% $245,000.00 NA $49,000,000.00
Class BIO $0.00 N/A $214,086.87 $0.00 $0.00
Residual $0.00 N/A $0.00 $0.00 $0.00
- ------------------------------------------------------------------------------------------------------------------------------------
TOTALS $240,873,038.53 $1,713,872.96 $6,546,572.99 $234,326,465.54
- ------------------------------------------------------------------------------------------------------------------------------------
Certificate Group 2
- ------------------------------------------------------------------------------------------------------------------------------------
CUSIP Interest Principal
Class Beginning Balance Certificate Rate Distribution Distribution Ending Balance
- ------------------------------------------------------------------------------------------------------------------------------------
Class A-1A 24763LEV8 $14,283,444.64 4.72250% $58,085.02 $412,158.33 $13,871,286.31
- ------------------------------------------------------------------------------------------------------------------------------------
TOTALS $255,156,483.17 $1,771,957.98 $6,958,731.32 $248,197,751.85
- ------------------------------------------------------------------------------------------------------------------------------------
(**)Class A-1A Certificate rate is a variable rate.
GROUP 1 GROUP 2
5.03 (v) The Amount of Excess Interest for each Loan Group paid as $121,463.22 $121,463.22
principal
5.03 (vi) SERVICING FEE $64,121.11 $2,425.54
Premium Amount $19,851.39 $1,249.80
Reimbursement Amount to Certificate Insurer $0.00 $0.00
TRUSTEE FEE $493.75 $28.57
5.03 (vii) The Aggregate Principal Balance of the Mortgage Loans (Before Distribution) $246,873,038.53 $14,283,444.64
The Aggregate Principal Balance of the Mortgage Loans (After Distribution) $240,205,002.32 $13,992,749.53
The Certificate Principal Balance (Before Distribution) $240,873,038.53 $14,283,444.64
The Certificate Principal Balance (After Distribution) $234,326,465.54 $13,871,286.31
5.03 (ix) Overcollateralization Amount $6,000,000.00
Required Overcollateralization Amount $6,000,000.00
5.03 (x) The amount of any Insured Payments $0.00 $0.00
5.03 (xi) The number and Principal Balances of all Mortgage Loans 57 3
that were subject to Principal Prepayments during the Due Period $6,037,077.09 $114,463.65
5.03 (xii) The amount of all Curtailments that were received during the ($2,114.12) $0.00
Due Period
5.03 (xiii) The principal portion of all Monthly Payments received $229,850.39 $3,970.00
during the Due Period
B-30
Delta Funding Corporation 2
Home Equity Loan Trust
Series 1998-4
- ------------------------------------------------------------------------------------------------------------------------------------
Certificate Group 1
CUSIP Beginning Balance Interest Principal Ending Balance
- ------------------------------------------------------------------------------------------------------------------------------------
Class 24783LE Factor per 1000 Certificate Rate Factor per 1000 Factor per 1000 Factor per 1000
Class A-1 P13 0.000000000 6.160% 0.000000000 0.000000000 0.0000000
Class A-2 Q95 0.757095827 5.960% 3.760242608 87.148202731 669.9476243
Class A-3 R78 1.000000000 6.340% 5.283333333 0.000000000 1000.0000000
Class A-4 S51 1.000000000 6.190% 5.158333333 0.000000000 1000.0000000
Class B T35 1.000000000 6.750% 5.625000000 0.000000000 1000.0000000
- ------------------------------------------------------------------------------------------------------------------------------------
Class IO U08 0.418803419 6.000% 2.094017094 0.000000000 418.8034188
- ------------------------------------------------------------------------------------------------------------------------------------
Certificate Group 2
Beginning Balance Interest Principal Ending Balance
- ----------------------------------------------------------------------------------------------------------------------------------
Class Cusip Factor per 1000 Certificate Rate Factor per 1000 Factor per 1000 Factor per 1000
Class A-1A 0.446357645 4.723% 1.815156759 12.879947839 433.4776972
(**)Class A-1A Certificate rate is a variable rate.
- ------------------------------------------------------------------------------------------------------------------------------------
One Month LIBOR rate 4.12250%
GROUP 1 GROUP 2
5.03 (xiv) The interest portion of all Monthly Payments received on $1,219,661.27 $54,200.78
the Mortgage Loans during the Due Period
5.03 (xv) The amount of the Monthly Advances and the Compensating Interest $747,824.28 $78,531.43
payments to be made on the Determination Date $0.00 $0.00
5.03 (xvi) The amount distributed to the Class R Certificateholder $0.00 $0.00
5.03 (xvii) The weighted average remaining term to maturity 296 330
The weighted average Loan Rate 9.8500% 11.4828%
5.03 (xviii) The amount of all payments or reimbursements to the Servicer $0.00 $0.00
5.03 (xvii) The number of Mortgage Loans outstanding prior to distribution 2737 173
The number of Mortgage Loans outstanding after distribution 2680 170
5.03 (xx) The Amount of Liquidation Loan Losses $182,662.50 $59,591.01
Loan Losses as percentage of the Initial Collateral Balance 0.05% 0.19%
Cumulative Net Losses as percentage of the Initial Collateral Balance 0.55% 1.04%
Non-Recoverable Loss Ajustment $2,163.88 $0.00
5.03 (xxi) Delinquent Mortgage Loans: Group 1
All Delinquencies are exclusive of each other
Number Percent Principal Balance
30 TO 59 DAYS 238 9.4801040% $22,771,684.79
60 TO 89 DAYS 93 3.1657600% $7,604,314.41
90 PLUS DAYS 58 2.2823240% $5,482,256.80
FORECLOSURE 156 6.5905560% $15,830,846.33
BANKRUPTCY 110 3.993184% $9,591,827.61
REO 56 1.499711% $3,602,379.67
- ------------------------------------------------------------------------------------------------------------------------------------
(*)NOTE THAT 30, 60, OR 90 PLUS DAYS DOES NOT INCLUDE REO, FORECLOSURE, OR BANKRUPTCY
- ------------------------------------------------------------------------------------------------------------------------------------
Delinquent Mortgage Loans: Group 2
All Delinquencies are exclusive of each other
Number Percent Principal Balance
30 TO 59 DAYS 23 11.88% $1,662,463.44
60 TO 89 DAYS 5 4.33% $605,696.98
90 PLUS DAYS 8 6.07% $849,695.73
FORECLOSURE 18 9.19% $1,286,011.95
BANKRUPTCY 16 9.69% $1,356,510.16
REO 11 5.36% $750,534.40
- ------------------------------------------------------------------------------------------------------------------------------------
(*)NOTE THAT 30, 60, OR 90 PLUS DAYS DOES NOT INCLUDE REO, FORECLOSURE, OR BANKRUPTCY
- ------------------------------------------------------------------------------------------------------------------------------------
5.03 (xxii) LIBOR Carryover Shortfall Amount $0.00
5.03 (xxiii) Allocated Pre-Funded Amount $0.00
Prepayment Penalty $10,470.68
B-31
EXHIBIT O
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 1999-1
Certificateholder Distribution Summary
- ------------------------------------------------------------------------------------------------------------------------------------
Certificate Certificate Beginning Current Ending Cumulative
Class Pass-Through Certificate Interest Principal Realized Certificate Total Realized
Class CUSIP Description Rate Balance Distribution Distribution Loss Balance Distribution Losses
- ------------------------------------------------------------------------------------------------------------------------------------
A-1F 24763LEW6 SEN_FIX 5.81000% 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A-2F 24763LEX4 SEN_FIX 5.98000% 56,404,509.67 281,082.47 3,973,194.38 0.00 52,431,315.29 4,254,276.85 0.00
A-3F 24763LEY2 SEN_FIX 6.13000% 34,800,000.00 177,770.00 0.00 0.00 34,800,000.00 177,770.00 0.00
A-4F 24763LEZ9 SEN_FIX 6.39000% 52,100,000.00 277,432.50 0.00 0.00 52,100,000.00 277,432.50 0.00
A-5F 24763LFA3 SEN_FIX 6.81000% 25,750,000.00 146,131.25 0.00 0.00 25,750,000.00 146,131.25 0.00
A-6F 24763LFB1 SEN_FIX 6.34000% 32,000,000.00 169,066.67 0.00 0.00 32,000,000.00 169,066.67 0.00
IOF 24763LFC9 SEN_NTL_I 6.00000% 0.00 200,000.00 0.00 0.00 0.00 200,000.00 0.00
A-1A 24763LFD7 SEN_FIX 4.40250% 29,584,061.99 112,154.41 67,438.99 0.00 29,516,623.00 179,593.40 0.00
A-2A 24763LFE5 SEN_FIX 5.95000% 4,541,915.05 22,520.33 606,950.95 0.00 3,934,964.10 629,471.28 0.00
B 24763LFF2 JUN_FIX 6.80000% 11,250,000.00 63,750.00 0.00 0.00 11,250,000.00 63,750.00 0.00
BIO DFH991BIO JUN_FIX 0.00000% 0.00 272,067.38 0.00 0.00 0.00 272,067.38 0.00
R-1 DFH9901R1 JUN_RES 0.00000% 0.00 0.00 0.00 0.00 0.00 0.00 0.00
R-2 DFH9901R2 JUN_RES 0.00000% 0.00 0.00 0.00 0.00 0.00 0.00 0.00
R-3 DFH9901R3 JUN_RES 0.00000% 0.00 0.00 0.00 0.00 0.00 0.00 0.00
- ------------------------------------------------------------------------------------------------------------------------------------
Totals 246,430,486.71 1,721,975.01 4,647,584.32 0.00 241,782,902.39 6,369,559.33 0.00
- ------------------------------------------------------------------------------------------------------------------------------------
All distributions required by the Pooling and Servicing Agreement have been
calculated by the Certificate Administrator on behalf of the Trustee.
B-32
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 1999-1
Principal Distribution Statement
- ---------------------------------------------------------------------------------------------------------------------------
Original Beginning Scheduled Unscheduled Total Ending
Face Certificate Principal Principal Realized Principal Certificate
Class Amount Balance Distribution Distribution Accretion Loss (1) Reduction Balance
- ---------------------------------------------------------------------------------------------------------------------------
A-1F 92,400,000.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A-2F 71,700,000.00 56,404,509.67 0.00 3,973,194.38 0.00 0.00 3,973,194.38 52,431,315.29
A-3F 34,800,000.00 34,800,000.00 0.00 0.00 0.00 0.00 0.00 34,800,000.00
A-4F 52,100,000.00 52,100,000.00 0.00 0.00 0.00 0.00 0.00 52,100,000.00
A-5F 25,750,000.00 25,750,000.00 0.00 0.00 0.00 0.00 0.00 25,750,000.00
A-6F 32,000,000.00 32,000,000.00 0.00 0.00 0.00 0.00 0.00 32,000,000.00
IOF 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A-1A 44,000,000.00 29,584,061.99 0.00 67,438.99 0.00 0.00 67,438.99 29,516,623.00
A-2A 11,000,000.00 4,541,915.05 0.00 606,950.95 0.00 0.00 606,950.95 3,934,964.10
B 11,250,000.00 11,250,000.00 0.00 0.00 0.00 0.00 0.00 11,250,000.00
BIO 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
R-1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
R-2 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
R-3 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
- ---------------------------------------------------------------------------------------------------------------------------
Totals 375,000,000.00 246,430,486.71 0.00 4,647,584.32 0.00 0.00 4,647,584.32 241,782,902.39
- ---------------------------------------------------------------------------------------------------------------------------
[RESTUBBED TABLE]
- ---------------------------------------------
Ending Total
Certificate Principal
Class Percentage Distribution
- ---------------------------------------------
A-1F 0.00000000 0.00
A-2F 0.73125963 3,973,194.38
A-3F 1.00000000 0.00
A-4F 1.00000000 0.00
A-5F 1.00000000 0.00
A-6F 1.00000000 0.00
IOF 0.00000000 0.00
A-1A 0.67083234 67,438.99
A-2A 0.35772401 606,950.95
B 1.00000000 0.00
BIO 0.00000000 0.00
R-1 0.00000000 0.00
R-2 0.00000000 0.00
R-3 0.00000000 0.00
- ---------------------------------------------
Totals 0.64475441 4,647,584.32
- ---------------------------------------------
(1) Amount Does Not Include Excess Special Hazard, Bankruptcy, or Fraud Losses
Unless Otherwise Disclosed. Please Refer to the Prospectus Supplement for a
Full Description.
B-33
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 1999-1
Principal Distribution Factors Statement
- ------------------------------------------------------------------------------------------------------------------------------------
Original Beginning Scheduled Unscheduled Total Ending
Face Certificate Principal Principal Realized Principal Certificate
Class (2) Amount Balance Distribution Distribution Accretion Loss (3) Reduction Balance
- ------------------------------------------------------------------------------------------------------------------------------------
A-1F 92,400,000.00 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
A-2F 71,700,000.00 786.67377503 0.00000000 55.41414756 0.00000000 0.00000000 55.41414756 731.25962748
A-3F 34,800,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 1000.00000000
A-4F 52,100,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 1000.00000000
A-5F 25,750,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 1000.00000000
A-6F 32,000,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 1000.00000000
IOF 0.00 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
A-1A 44,000,000.00 672.36504523 0.00000000 1.53270432 0.00000000 0.00000000 1.53270432 670.83234091
A-2A 11,000,000.00 412.90136818 0.00000000 55.17735909 0.00000000 0.00000000 55.17735909 357.72400909
B 11,250,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 1000.00000000
BIO 0.00 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
R-1 0.00 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
R-2 0.00 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
R-3 0.00 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
- ------------------------------------------------------------------------------------------------------------------------------------
[RESTUBBED TABLE]
- ----------------------------------------------------
Ending Total
Certificate Principal
Class (2) Percentage Distribution
- ----------------------------------------------------
A-1F 0.00000000 0.00000000
A-2F 0.73125963 55.41414756
A-3F 1.00000000 0.00000000
A-4F 1.00000000 0.00000000
A-5F 1.00000000 0.00000000
A-6F 1.00000000 0.00000000
IOF 0.00000000 0.00000000
A-1A 0.67083234 1.53270432
A-2A 0.35772401 55.17735909
B 1.00000000 0.00000000
BIO 0.00000000 0.00000000
R-1 0.00000000 0.00000000
R-2 0.00000000 0.00000000
R-3 0.00000000 0.00000000
- -----------------------------------------------------
(2) All classes are per $1,000 denomination.
(3) Amount Does Not Include Excess Special Hazard, Bankruptcy, or Fraud Losses
Unless Otherwise Disclosed. Please Refer to the Prospectus Supplement for a
Full Description.
B-34
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 1999-1
Interest Distribution Statement
- ----------------------------------------------------------------------------------------------------------------------------
Beginning Payment of
Original Current Certificate/ Current Unpaid Current Non-Supported
Face Certificate Notional Accrued Interest Interest Interest Realized
Class Amount Rate Balance Interest Shortfall Shortfall Shortfall Loss (4)
- ----------------------------------------------------------------------------------------------------------------------------
A-1F 92,400,000.00 5.81000% 0.00 0.00 0.00 0.00 0.00 0.00
A-2F 71,700,000.00 5.98000% 56,404,509.67 281,082.47 0.00 0.00 0.00 0.00
A-3F 34,800,000.00 6.13000% 34,800,000.00 177,770.00 0.00 0.00 0.00 0.00
A-4F 52,100,000.00 6.39000% 52,100,000.00 277,432.50 0.00 0.00 0.00 0.00
A-5F 25,750,000.00 6.81000% 25,750,000.00 146,131.25 0.00 0.00 0.00 0.00
A-6F 32,000,000.00 6.34000% 32,000,000.00 169,066.67 0.00 0.00 0.00 0.00
IOF 0.00 6.00000% 40,000,000.00 200,000.00 0.00 0.00 0.00 0.00
A-1A 44,000,000.00 4.40250% 29,584,061.99 112,154.41 0.00 0.00 0.00 0.00
A-2A 11,000,000.00 5.95000% 4,541,915.05 22,520.33 0.00 0.00 0.00 0.00
B 11,250,000.00 6.80000% 11,250,000.00 63,750.00 0.00 0.00 0.00 0.00
BIO 0.00 0.00000% 0.00 0.00 0.00 0.00 0.00 0.00
R-1 0.00 0.00000% 0.00 0.00 0.00 0.00 0.00 0.00
R-2 0.00 0.00000% 0.00 0.00 0.00 0.00 0.00 0.00
R-3 0.00 0.00000% 0.00 0.00 0.00 0.00 0.00 0.00
- ----------------------------------------------------------------------------------------------------------------------------
Totals 375,000,000.00 1,449,907.63 0.00 0.00 0.00 0.00
- ----------------------------------------------------------------------------------------------------------------------------
[RESTUBBED TABLE]
- -----------------------------------------------------------------
Remaining Ending
Total Unpaid Certificate/
Interest Interest Notional
Class Distribution Shortfall Balance
- -----------------------------------------------------------------
A-1F 0.00 0.00 0.00
A-2F 281,082.47 0.00 52,431,315.29
A-3F 177,770.00 0.00 34,800,000.00
A-4F 277,432.50 0.00 52,100,000.00
A-5F 146,131.25 0.00 25,750,000.00
A-6F 169,066.67 0.00 32,000,000.00
IOF 200,000.00 0.00 34,300,000.00
A-1A 112,154.41 0.00 29,516,623.00
A-2A 22,520.33 0.00 3,934,964.10
B 63,750.00 0.00 11,250,000.00
BIO 272,067.38 0.00 0.00
R-1 0.00 0.00 0.00
R-2 0.00 0.00 0.00
R-3 0.00 0.00 0.00
- -----------------------------------------------------------------
Totals 1,721,975.01 0.00
- -----------------------------------------------------------------
(4) Amount Does Not Include Excess Special Hazard, Bankruptcy, or Fraud Losses
Unless Otherwise Disclosed. Please Refer to the Prospectus Supplement for a
Full Description.
B-35
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 1999-1
Interest Distribution Factors Statement
- ----------------------------------------------------------------------------------------------------------------------------
Beginning Payment of
Original Current Certificate/ Current Unpaid Current Non-Supported
Face Certificate Notional Accrued Interest Interest Interest Realized
Class (5) Amount Rate Balance Interest Shortfall Shortfall Shortfall Loss (6)
- ----------------------------------------------------------------------------------------------------------------------------
A-1F 92,400,000.00 5.81000% 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
A-2F 71,700,000.00 5.98000% 786.67377503 3.92025760 0.00000000 0.00000000 0.00000000 0.00000000
A-3F 34,800,000.00 6.13000% 1000.00000000 5.10833333 0.00000000 0.00000000 0.00000000 0.00000000
A-4F 52,100,000.00 6.39000% 1000.00000000 5.32500000 0.00000000 0.00000000 0.00000000 0.00000000
A-5F 25,750,000.00 6.81000% 1000.00000000 5.67500000 0.00000000 0.00000000 0.00000000 0.00000000
A-6F 32,000,000.00 6.34000% 1000.00000000 5.28333344 0.00000000 0.00000000 0.00000000 0.00000000
IOF 0.00 6.00000% 308.40400925 1.54202005 0.00000000 0.00000000 0.00000000 0.00000000
A-1A 44,000,000.00 4.40250% 672.36504523 2.54896386 0.00000000 0.00000000 0.00000000 0.00000000
A-2A 11,000,000.00 5.95000% 412.90136818 2.04730273 0.00000000 0.00000000 0.00000000 0.00000000
B 11,250,000.00 6.80000% 1000.00000000 5.66666667 0.00000000 0.00000000 0.00000000 0.00000000
BIO 0.00 0.00000% 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
R-1 0.00 0.00000% 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
R-2 0.00 0.00000% 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
R-3 0.00 0.00000% 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
- -----------------------------------------------------------------------------------------------------------------------------
[RESTUBBED TABLE]
- -----------------------------------------------------------------
Remaining Ending
Total Unpaid Certificate/
Interest Interest Notional
Class (5) Distribution Shortfall Balance
- -----------------------------------------------------------------
A-1F 0.00000000 0.00000000 0.00000000
A-2F 3.92025760 0.00000000 731.25962748
A-3F 5.10833333 0.00000000 1000.00000000
A-4F 5.32500000 0.00000000 1000.00000000
A-5F 5.67500000 0.00000000 1000.00000000
A-6F 5.28333344 0.00000000 1000.00000000
IOF 1.54202005 0.00000000 264.45643793
A-1A 2.54896386 0.00000000 670.83234091
A-2A 2.04730273 0.00000000 357.72400909
B 5.66666667 0.00000000 1000.00000000
BIO 0.00000000 0.00000000 0.00000000
R-1 0.00000000 0.00000000 0.00000000
R-2 0.00000000 0.00000000 0.00000000
R-3 0.00000000 0.00000000 0.00000000
- -----------------------------------------------------------------
(5) All classes are per $1,000 denomination
(6) Amount Does Not Include Excess Special Hazard, Bankruptcy, or Fraud Losses
Unless Otherwise Disclosed. Please Refer to the Prospectus Supplement for a
Full Description.
Certificateholder Component Statement
- ------------------------------------------------------------------------------------------------------------------------------
Component Beginning Ending Beginning Ending Ending
Pass-Through Notional Notional Component Component Component
Class Rate Balance Balance Balance Balance Percentage
- -------------------------------------------------------------------------------------------------------------------------------
OC 0.00000% 0.00 0.00 0.00 0.00 0.00000000%
MBIA 1,200.00000% 20,578.29 20,171.63 0.00 0.00 63.37675615%
- -------------------------------------------------------------------------------------------------------------------------------
B-36
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 1999-1
Certificateholder Account Statement
- ------------------------------------------------------------------ --------------------------------------------------------------
CERTIFICATE ACCOUNT PREPAYMENT/CURTAILMENT INTEREST SHORTFALL
Beginning Balance 0.00
Total Prepayment/Curtailment Interest Shortfall 0.00
Deposits Servicing Fee Support 0.00
Payments of Interest and Principal 5,906,514.09 ----
Liquidations, Insurance Proceeds, Reserve Funds 0.00 Non-Supported Prepayment/Curtailment Interest Shortf 0.00
Proceeds from Repurchased Loans 0.00 ====
Other Amounts (Servicer Advances) 865,781.01 --------------------------------------------------------------
Realized Losses (274,700.31) --------------------------------------------------------------
------------- SERVICING FEES
Total Deposits 6,497,594.79
Gross Servicing Fee 104,301.51
Withdrawals Trustee Fee- Wells Fargo Bank, N.A. 3,155.66
Reimbursement for Servicer Advances 0.00 Supported Prepayment/Curtailment Interest Shortfall 0.00
Payment of Service Fee 128,035.46 ----------
Payment of Interest and Principal 6,369,559.33 Net Servicing Fee 107,457.17
------------- ==========
Total Withdrawals (Pool Distribution Amount) 6,497,594.79 --------------------------------------------------------------
Ending Balance 0.00
=============
- ------------------------------------------------------------------
- ------------------------------------------------------------------------------------------------------------------------------------
Beginning Current Current Ending
Account Type Balance Withdrawals Deposits Balance
- ------------------------------------------------------------------------------------------------------------------------------------
Financial Guaranty 0.00 0.00 0.00 0.00
Financial Guaranty 0.00 0.00 0.00 0.00
Reserve Fund 5,000.00 0.00 0.00 5,000.00
Reserve Fund 5,000.00 0.00 0.00 5,000.00
- ------------------------------------------------------------------------------------------------------------------------------------
B-37
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 1999-1
Loan Status Stratification/Credit Enhancement Statement
- ------------------------------------------------------------------------------------------------------------------------------------
DELINQUENT BANKRUPTCY FORECLOSURE REO
- ------------------------------------------------------------------------------------------------------------------------------------
No. of Principal No. of Principal No. of Principal No. of Principal
Loans Balance Loans Balance Loans Balance Loans Balance
0-29 Days 80 6,218,045.85 0-29 Days 4 249,401.68 0-29 Days 0 0.00
30 Days 281 21,517,682.40 30 Days 19 1,579,252.24 30 Days 1 91,623.56 30 Days 0 0.00
60 Days 97 8,495,912.99 60 Days 14 710,633.90 60 Days 12 1,037,242.26 60 Days 0 0.00
90 Days 36 3,083,570.90 90 Days 6 688,597.49 90 Days 12 1,039,406.00 90 Days 0 0.00
120 Days 37 2,424,409.60 120 Days 59 3,892,175.07 120 Days 173 14,445,018.53 120 Days 67 4,331,527.93
150 Days 0 0.00 150 Days 0 0.00 150 Days 0 0.00 150 Days 0 0.00
180+ Days 0 0.00 180+ Days 0 0.00 180+ Days 0 0.00 180+ Days 0 0.00
---- ------------- ---- ------------- ---- ------------- ---- ------------
451 35,521,575.89 178 13,088,704.55 202 16,862,692.03 67 4,331,527.93
No. of Principal No. of Principal No. of Principal No. of Principal
Loans Balance Loans Balance Loans Balance Loans Balance
0-29 Days 2.643754% 2.509466% 0-29 Days 0.132188% 0.100653% 0-29 Days 0.000000% 0.000000%
30 Days 9.286186% 8.684061% 30 Days 0.627892% 0.637351% 30 Days 0.033047% 0.036977% 30 Days 0.000000% 0.000000%
60 Days 3.205552% 3.428763% 60 Days 0.462657% 0.286796% 60 Days 0.396563% 0.418608% 60 Days 0.000000% 0.000000%
90 Days 1.189689% 1.244461% 90 Days 0.198282% 0.277903% 90 Days 0.396563% 0.419481% 90 Days 0.000000% 0.000000%
120 Days 1.222736% 0.978438% 120 Days 1.949769% 1.570796% 120 Days 5.717118% 5.829690% 120 Days 2.214144% 1.748109%
150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000%
--------- ---------- --------- --------- --------- --------- --------- ---------
4.904164% 14.335722% 5.882353% 5.282312% 6.675479% 6.805409% 2.214144% 1.748109%
- ------------------------------------------------------------------------------------------------------------------------------------
[RESTUB]
- ----------------------------------
Total
- ----------------------------------
No. of Principal
Loans Balance
0-29 Days 84 6,467,447.53
30 Days 301 23,188,558.20
60 Days 123 10,243,789.15
90 Days 54 4,811,574.39
120 Days 336 25,093,131.13
150 Days 0 0.00
180+ Days 0 0.00
---- -------------
898 69,804,500.40
No. of Principal
Loans Balance
0-29 Days 2.775942% 2.610119%
30 Days 9.947125% 9.358389%
60 Days 4.064772% 4.134167%
90 Days 1.784534% 1.941845%
120 Days 11.103767% 10.127033%
150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000%
---------- ----------
29.676140% 28.171552%
- ----------------------------------
(7) The 120 day category for delinquent, bankruptcy, foreclosure, REO contains loans that are 120 days or more delinquent.
Current Period Realized Loss - Includes Interest Shortfall 274,700.31 Principal Balance of Contaminated Properties 0.00
Cumulative Realized Losses - Includes Interest Shortfall 1,653,859.71 Periodic Advance 865,781.01
Current Period Class A Insufficient Funds 0.00
B-38
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 1999-1
Delinquency Status By Group
- ------------------------------------------------------------------------------------------------------------------------------------
DELINQUENT BANKRUPTCY FORECLOSURE REO
- ------------------------------------------------------------------------------------------------------------------------------------
1 No. of Principal No. of Principal No. of Principal No. of Principal
Loans Balance Loans Balance Loans Balance Loans Balance
0-29 Days 66 5,170,158.09 0-29 Days 3 171,230.32 0-29 Days 0 0.00
30 Days 240 17,988,641.51 30 Days 14 1,094,160.16 30 Days 1 91,623.56 30 Days 0 0.00
60 Days 85 7,273,000.41 60 Days 11 520,644.82 60 Days 10 867,119.56 60 Days 0 0.00
90 Days 27 2,343,666.19 90 Days 4 503,111.43 90 Days 9 606,467.28 90 Days 0 0.00
120 Days 26 1,681,138.11 120 Days 44 2,795,683.16 120 Days 141 11,385,120.83 120 Days 52 3,218,935.58
150 Days 0 0.00 150 Days 0 0.00 150 Days 0 0.00 150 Days 0 0.00
180+ Days 0 0.00 180+ Days 0 0.00 180+ Days 0 0.00 180+ Days 0 0.00
---- ------------- ---- ------------- ---- ------------- ---- ------------
378 29,286,446.22 139 10,083,757.66 164 13,121,561.55 52 3,218,935.58
0-29 Days 2.504744% 2.413774% 0-29 Days 0.113852% 0.079942% 0-29 Days 0.000000% 0.000000%
30 Days 9.108159% 8.398296% 30 Days 0.531309% 0.510827% 30 Days 0.037951% 0.042776% 30 Days 0.000000% 0.000000%
60 Days 3.225806% 3.395521% 60 Days 0.417457% 0.243072% 60 Days 0.379507% 0.404829% 60 Days 0.000000% 0.000000%
90 Days 1.024668% 1.094179% 90 Days 0.151803% 0.234886% 90 Days 0.341556% 0.283139% 90 Days 0.000000% 0.000000%
120 Days 0.986717% 0.784867% 120 Days 1.669829% 1.305211% 120 Days 5.351044% 5.315332% 120 Days 1.973435% 1.502813%
150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000%
---------- ---------- --------- --------- --------- --------- --------- ---------
14.345351% 13.672863% 5.275142% 4.707769% 6.223909% 6.126019% 1.973435% 1.502813%
- ------------------------------------------------------------------------------------------------------------------------------------
[RESTUB]
- ------------------------------------
Total
- ------------------------------------
No. of Principal
Loans Balance
0-29 Days 69 5,341,388.41
30 Days 255 19,174,425.23
60 Days 106 8,660,764.79
90 Days 40 3,453,244.90
120 Days 263 19,080,877.68
150 Days 0 0.00
180+ Days 0 0.00
---- -------------
733 55,710,701.01
0-29 Days 2.618596% 2.493716%
30 Days 9.677419% 8.951898%
60 Days 4.022770% 4.043422%
90 Days 1.518027% 1.612205%
120 Days 9.981025% 8.908224%
150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000%
---------- ----------
27.817837% 26.009464%
- ------------------------------------
-----------------------------------------------------------------------------------------------------------------------------------
DELINQUENT BANKRUPTCY FORECLOSURE REO
- ------------------------------------------------------------------------------------------------------------------------------------
2 No. of Principal No. of Principal No. of Principal No. of Principal
Loans Balance Loans Balance Loans Balance Loans Balance
0-29 Days 14 1,047,887.76 0-29 Days 1 78,171.36 0-29 Days 0 0.00
30 Days 41 3,529,040.89 30 Days 5 485,092.08 30 Days 0 0.00 30 Days 0 0.00
60 Days 12 1,222,912.58 60 Days 3 189,989.08 60 Days 2 170,122.70 60 Days 0 0.00
90 Days 9 739,904.71 90 Days 2 185,486.06 90 Days 3 432,938.72 90 Days 0 0.00
120 Days 11 743,271.49 120 Days 15 1,096,491.91 120 Days 32 3,059,897.70 120 Days 15 1,112,592.35
150 Days 0 0.00 150 Days 0 0.00 150 Days 0 0.00 150 Days 0 0.00
180+ Days 0 0.00 180+ Days 0 0.00 180+ Days 0 0.00 180+ Days 0 0.00
---- ------------- ---- ------------- ---- ------------- ---- ------------
73 6,235,129.67 39 3,004,946.89 38 3,741,130.48 15 1,112,592.35
0-29 Days 3.580563% 3.119670% 0-29 Days 0.255754% 0.232724% 0-29 Days 0.000000% 0.000000%
30 Days 10.485934% 10.506320% 30 Days 1.278772% 1.444169% 30 Days 0.000000% 0.000000% 30 Days 0.000000% 0.000000%
60 Days 3.069054% 3.640737% 60 Days 0.767263% 0.565617% 60 Days 0.511509% 0.506473% 60 Days 0.000000% 0.000000%
90 Days 2.301790% 2.202773% 90 Days 0.511509% 0.552211% 90 Days 0.767263% 1.288903% 90 Days 0.000000% 0.000000%
120 Days 2.813299% 2.212796% 120 Days 3.836317% 3.264370% 120 Days 8.184143% 9.109632% 120 Days 3.836317% 3.312302%
150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000%
---------- ---------- --------- --------- --------- ---------- --------- ---------
18.670077% 18.562626% 9.974425% 8.946038% 9.718670% 11.137732% 3.836317% 3.312302%
- ------------------------------------------------------------------------------------------------------------------------------------
[RESTUB]
- -------------------------------------
Total
- -------------------------------------
No. of Principal
Loans Balance
0-29 Days 15 1,126,059.12
30 Days 46 4,014,132.97
60 Days 17 1,583,024.36
90 Days 14 1,358,329.49
120 Days 73 6,012,253.45
150 Days 0 0.00
180+ Days 0 0.00
---- -------------
165 14,093,799.39
0-29 Days 3.836317% 3.352394%
30 Days 11.764706% 11.950489%
60 Days 4.347826% 4.712827%
90 Days 3.580563% 4.043887%
120 Days 18.670077% 17.899100%
150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000%
---------- ----------
42.199488% 41.958698%
- -------------------------------------
B-39
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 1999-1
- --------------------------------------------------------------------------------
COLLATERAL STATEMENT
Collateral Description Mixed Fixed & Arm
Weighted Average Gross Coupon 9.604588%
Weighted Average Net Coupon 9.604588%
Weighted Average Pass-Through Rate 9.589587%
Weighted Average Maturity (Stepdown Calculation) 302
Beginning Scheduled Collateral Loan Count 3,072
Number of Loans Paid in Full 46
Ending Scheduled Collateral Loan Count 3,026
Beginning Scheduled Collateral Balance 252,430,486.71
Ending Scheduled Collateral Balance 247,782,902.38
Ending Actual Collateral Balance at 31-May-2001 247,783,653.36
Monthly P&I Constant 2,230,079.63
Ending Scheduled Balance for Premium Loans 247,782,902.38
Required Overcollateralized Amount 0.00
Overcollateralized Increase Amount 274,700.31
Overcollateralized Reduction Amount 0.00
Specified O/C Amount 6,000,000.00
Overcollateralized Amount 6,000,000.00
Overcollateralized Deficiency Amount 274,700.31
Base Overcollateralization Amount 6,000,000.00
Extra Principal Distribution Amount 274,700.31
Excess Cash Amount 546,767.69
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Group F Curtailments $1,092.44
Group A Curtailments $0.00
Delinquency Reimbursement Amount $647,106.52
Servicing Advance Reimbursement $164,704.39
- --------------------------------------------------------------------------------
B-40
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 1999-1
- -----------------------------------------------------------------------------------------------------------------
Group 1 2 Total
Collateral Description Mixed Fixed Mixed ARM Mixed Fixed & Arm
Weighted Average Coupon Rate 9.497547 10.289329 9.604588
Weighted Average Net Rate 9.482547 10.274329 9.604588
Weighted Average Maturity 297.00 333.00 302.00
Record Date 05/31/2001 05/31/2001 05/31/2001
Principal And Interest Constant 1,924,930.39 305,149.24 2,230,079.63
Beginning Loan Count 2,676 396 3,072
Loans Paid In Full 41 5 46
Ending Loan Count 2,635 391 3,026
Beginning Scheduled Balance 218,304,509.67 34,125,977.04 252,430,486.71
Ending Scheduled Balance 214,193,205.92 33,589,696.46 247,782,902.38
Scheduled Principal 197,132.58 12,538.06 209,670.64
Unscheduled Principal 3,914,171.17 523,742.52 4,437,913.69
Scheduled Interest 1,727,797.81 292,611.18 2,020,408.99
Servicing Fee 0.00 0.00 0.00
Master Servicing Fee 0.00 0.00 0.00
Trustee Fee 2,728.81 426.57 3,155.38
FRY Amount 0.00 0.00 0.00
Special Hazard Fee 0.00 0.00 0.00
Other Fee 0.00 0.00 0.00
Pool Insurance Fee 0.00 0.00 0.00
Spread 1 0.00 0.00 0.00
Spread 2 0.00 0.00 0.00
Spread 3 0.00 0.00 0.00
Net Interest 1,725,069.00 292,184.61 2,017,253.61
Realized Loss Amount 277,766.74 (3,066.43) 274,700.31
Cumulative Realized Loss 1,446,480.94 207,378.78 1,653,859.72
Percentage of Cumulative Losses 0.01 0.01 0.01
- -----------------------------------------------------------------------------------------------------------------
B-41
EXHIBIT P
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 1999-2
Certificateholder Distribution Summary
- --------------------------------------------------------------------------------------------------------------------------
Certificate Certificate Beginning Current Ending
Class Pass-Through Certificate Interest Principal Realized Certificate
Class CUSIP Description Rate Balance Distribution Distribution Loss Balance
- --------------------------------------------------------------------------------------------------------------------------
A-1F 24763LFG0 SEN_FIX 6.14000% 21,984,641.53 112,488.08 4,335,078.87 0.00 17,649,562.66
A-2F 24763LFH8 SEN_FIX 6.50000% 56,861,000.00 307,997.08 0.00 0.00 56,861,000.00
A-3F 24763LFJ4 SEN_FIX 6.58000% 27,651,000.00 151,619.65 0.00 0.00 27,651,000.00
A-4F 24763LFK1 SEN_FIX 6.83000% 18,534,000.00 105,489.35 0.00 0.00 18,534,000.00
A-5F 24763LFL9 SEN_FIX 7.07000% 21,609,000.00 127,313.02 0.00 0.00 21,609,000.00
A-6F 24763LFM7 SEN_FIX 7.37000% 32,569,000.00 200,027.94 0.00 0.00 32,569,000.00
A-7F 24763LFN5 SEN_FIX 7.03000% 37,000,000.00 216,758.33 0.00 0.00 37,000,000.00
IOF 24763LFT2 SEN_NTL_I 6.00000% 0.00 243,105.00 0.00 0.00 0.00
A-1A 24763LFS4 SEN_FTL 4.44250% 34,048,604.97 130,252.46 682,689.59 0.00 33,365,915.38
M-1 24763LFP0 SEN_FIX 7.37000% 17,850,000.00 109,628.75 0.00 0.00 17,850,000.00
M-2 24763LFQ8 SEN_FIX 7.37000% 17,850,000.00 109,628.75 0.00 0.00 17,850,000.00
B 24763LFR6 JUN_FIX 7.37000% 16,800,000.00 103,180.00 0.00 0.00 16,800,000.00
BIO DFH992BIO JUN_FIX 0.00000% 0.00 432,525.94 0.00 0.00 0.00
P DFH99200P JUN_FIX 0.00000% 100.00 35,667.51 0.00 0.00 100.00
R-1 DFH9902R1 JUN_RES 0.00000% 0.00 0.00 0.00 0.00 0.00
R-2 DFH9902R2 JUN_RES 0.00000% 0.00 0.00 0.00 0.00 0.00
R-3 DFH9902R3 JUN_RES 0.00000% 0.00 0.00 0.00 0.00 0.00
- --------------------------------------------------------------------------------------------------------------------------
Totals 302,757,346.50 2,385,681.86 5,017,768.46 0.00 297,739,578.04
- --------------------------------------------------------------------------------------------------------------------------
[RESTUBBED TABLE]
- ------------------------------------------
Cumulative
Total Realized
Class Distribution Losses
- ------------------------------------------
A-1F 4,447,566.95 0.00
A-2F 307,997.08 0.00
A-3F 151,619.65 0.00
A-4F 105,489.35 0.00
A-5F 127,313.02 0.00
A-6F 200,027.94 0.00
A-7F 216,758.33 0.00
IOF 243,105.00 0.00
A-1A 812,942.05 0.00
M-1 109,628.75 0.00
M-2 109,628.75 0.00
B 103,180.00 0.00
BIO 432,525.94 0.00
P 35,667.51 0.00
R-1 0.00 0.00
R-2 0.00 0.00
R-3 0.00 0.00
- --------------------------------------------
Totals 7,403,450.32 0.00
- --------------------------------------------
All distributions required by the Pooling and Servicing Agreement have been
calculated by the Certificate Administrator on behalf of the Trustee.
B-42
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 1999-2
Principal Distribution Statement
- -----------------------------------------------------------------------------------------------------------------------------
Original Beginning Scheduled Unscheduled Total Ending
Face Certificate Principal Principal Realized Principal Certificate
Class Amount Balance Distribution Distribution Accretion Loss (1) Reduction Balance
- -----------------------------------------------------------------------------------------------------------------------------
A-1F 123,276,000.00 21,984,641.53 338,936.06 3,996,142.81 0.00 0.00 4,335,078.87 17,649,562.66
A-2F 56,861,000.00 56,861,000.00 0.00 0.00 0.00 0.00 0.00 56,861,000.00
A-3F 27,651,000.00 27,651,000.00 0.00 0.00 0.00 0.00 0.00 27,651,000.00
A-4F 18,534,000.00 18,534,000.00 0.00 0.00 0.00 0.00 0.00 18,534,000.00
A-5F 21,609,000.00 21,609,000.00 0.00 0.00 0.00 0.00 0.00 21,609,000.00
A-6F 32,569,000.00 32,569,000.00 0.00 0.00 0.00 0.00 0.00 32,569,000.00
A-7F 37,000,000.00 37,000,000.00 0.00 0.00 0.00 0.00 0.00 37,000,000.00
IOF 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A-1A 50,000,000.00 34,048,604.97 19,738.19 662,951.40 0.00 0.00 682,689.59 33,365,915.38
M-1 17,850,000.00 17,850,000.00 0.00 0.00 0.00 0.00 0.00 17,850,000.00
M-2 17,850,000.00 17,850,000.00 0.00 0.00 0.00 0.00 0.00 17,850,000.00
B 16,800,000.00 16,800,000.00 0.00 0.00 0.00 0.00 0.00 16,800,000.00
BIO 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
P 100.00 100.00 0.00 0.00 0.00 0.00 0.00 100.00
R-1 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
R-2 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
R-3 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
- -----------------------------------------------------------------------------------------------------------------------------
Totals 420,000,100.00 302,757,346.50 358,674.25 4,659,094.21 0.00 0.00 5,017,768.46 297,739,578.04
- -----------------------------------------------------------------------------------------------------------------------------
[RESTUBBED TABLE]
- ------------------------------------
Ending Total
Certificate Principal
Class Percentage Distribution
- ------------------------------------
A-1F 0.14317112 4,335,078.87
A-2F 1.00000000 0.00
A-3F 1.00000000 0.00
A-4F 1.00000000 0.00
A-5F 1.00000000 0.00
A-6F 1.00000000 0.00
A-7F 1.00000000 0.00
IOF 0.00000000 0.00
A-1A 0.66731831 682,689.59
M-1 1.00000000 0.00
M-2 1.00000000 0.00
B 1.00000000 0.00
BIO 0.00000000 0.00
P 1.00000000 0.00
R-1 0.00000000 0.00
R-2 0.00000000 0.00
R-3 0.00000000 0.00
- ------------------------------------
Totals 0.70890359 5,017,768.46
- ------------------------------------
(1) Amount Does Not Include Excess Special Hazard, Bankruptcy, or Fraud Losses
Unless Otherwise Disclosed. Please Refer to the Prospectus Supplement for a
Full Description.
B-43
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 1999-2
Principal Distribution Factors Statement
- -----------------------------------------------------------------------------------------------------------------------------
Original Beginning Scheduled Unscheduled Total Ending
Face Certificate Principal Principal Realized Principal Certificate
Class (2) Amount Balance Distribution Distribution Accretion Loss (3) Reduction Balance
- -----------------------------------------------------------------------------------------------------------------------------
A-1F 123,276,000.00 178.33675273 2.74940832 32.41622708 0.00000000 0.00000000 35.16563540 143.17111733
A-2F 56,861,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 1000.00000000
A-3F 27,651,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 1000.00000000
A-4F 18,534,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 1000.00000000
A-5F 21,609,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 1000.00000000
A-6F 32,569,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 1000.00000000
A-7F 37,000,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 1000.00000000
IOF 0.00 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
A-1A 50,000,000.00 680.97209940 0.39476380 13.25902800 0.00000000 0.00000000 13.65379180 667.31830760
M-1 17,850,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 1000.00000000
M-2 17,850,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 1000.00000000
B 16,800,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 1000.00000000
BIO 0.00 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
P 100.00 1000.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 1000.00000000
R-1 0.00 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
R-2 0.00 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
R-3 0.00 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
- -----------------------------------------------------------------------------------------------------------------------------
[RESTUBBED TABLE]
- --------------------------------------
Ending Total
Certificate Principal
Class (2) Percentage Distribution
- --------------------------------------
A-1F 0.14317112 35.16563540
A-2F 1.00000000 0.00000000
A-3F 1.00000000 0.00000000
A-4F 1.00000000 0.00000000
A-5F 1.00000000 0.00000000
A-6F 1.00000000 0.00000000
A-7F 1.00000000 0.00000000
IOF 0.00000000 0.00000000
A-1A 0.66731831 13.65379180
M-1 1.00000000 0.00000000
M-2 1.00000000 0.00000000
B 1.00000000 0.00000000
BIO 0.00000000 0.00000000
P 1.00000000 0.00000000
R-1 0.00000000 0.00000000
R-2 0.00000000 0.00000000
R-3 0.00000000 0.00000000
- --------------------------------------
(2) All classes are per $1,000 denomination.
(3) Amount Does Not Include Excess Special Hazard, Bankruptcy, or Fraud Losses
Unless Otherwise Disclosed. Please Refer to the Prospectus Supplement for a
Full Description.
B-44
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 1999-2
Interest Distribution Statement
- --------------------------------------------------------------------------------------------------------------------------------
Beginning Payment of
Original Current Certificate/ Current Unpaid Current Non-Supported Total
Face Certificate Notional Accrued Interest Interest Interest Realized Interest
Class Amount Rate Balance Interest Shortfall Shortfall Shortfall Loss (4) Distribution
- --------------------------------------------------------------------------------------------------------------------------------
A-1F 123,276,000.00 6.14000% 21,984,641.53 112,488.08 0.00 0.00 0.00 0.00 112,488.08
A-2F 56,861,000.00 6.50000% 56,861,000.00 307,997.08 0.00 0.00 0.00 0.00 307,997.08
A-3F 27,651,000.00 6.58000% 27,651,000.00 151,619.65 0.00 0.00 0.00 0.00 151,619.65
A-4F 18,534,000.00 6.83000% 18,534,000.00 105,489.35 0.00 0.00 0.00 0.00 105,489.35
A-5F 21,609,000.00 7.07000% 21,609,000.00 127,313.02 0.00 0.00 0.00 0.00 127,313.02
A-6F 32,569,000.00 7.37000% 32,569,000.00 200,027.94 0.00 0.00 0.00 0.00 200,027.94
A-7F 37,000,000.00 7.03000% 37,000,000.00 216,758.33 0.00 0.00 0.00 0.00 216,758.33
IOF 0.00 6.00000% 48,621,000.00 243,105.00 0.00 0.00 0.00 0.00 243,105.00
A-1A 50,000,000.00 4.44250% 34,048,604.97 130,252.47 0.00 0.00 0.00 0.00 130,252.46
M-1 17,850,000.00 7.37000% 17,850,000.00 109,628.75 0.00 0.00 0.00 0.00 109,628.75
M-2 17,850,000.00 7.37000% 17,850,000.00 109,628.75 0.00 0.00 0.00 0.00 109,628.75
B 16,800,000.00 7.37000% 16,800,000.00 103,180.00 0.00 0.00 0.00 0.00 103,180.00
BIO 0.00 0.00000% 0.00 0.00 0.00 0.00 0.00 0.00 432,525.94
P 100.00 0.00000% 100.00 0.00 0.00 0.00 0.00 0.00 35,667.51
R-1 0.00 0.00000% 0.00 0.00 0.00 0.00 0.00 0.00 0.00
R-2 0.00 0.00000% 0.00 0.00 0.00 0.00 0.00 0.00 0.00
R-3 0.00 0.00000% 0.00 0.00 0.00 0.00 0.00 0.00 0.00
- --------------------------------------------------------------------------------------------------------------------------------
Totals 420,000,100.00 1,917,488.42 0.00 0.00 0.00 0.00 2,385,681.86
- --------------------------------------------------------------------------------------------------------------------------------
[RESTUBBED TABLE]
- -----------------------------------
Remaining Ending
Unpaid Certificate/
Interest Notional
Class Shortfall Balance
- ------------------------------------
A-1F 0.00 17,649,562.66
A-2F 0.00 56,861,000.00
A-3F 0.00 27,651,000.00
A-4F 0.00 18,534,000.00
A-5F 0.00 21,609,000.00
A-6F 0.00 32,569,000.00
A-7F 0.00 37,000,000.00
IOF 0.00 45,435,000.00
A-1A 0.00 33,365,915.38
M-1 0.00 17,850,000.00
M-2 0.00 17,850,000.00
B 0.00 16,800,000.00
BIO 0.00 0.00
P 0.00 100.00
R-1 0.00 0.00
R-2 0.00 0.00
R-3 0.00 0.00
- -----------------------------------
Totals 0.00
- -----------------------------------
(4) Amount Does Not Include Excess Special Hazard, Bankruptcy, or Fraud Losses
Unless Otherwise Disclosed. Please Refer to the Prospectus Supplement for a
Full Description.
B-45
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 1999-2
Interest Distribution Factors Statement
- -----------------------------------------------------------------------------------------------------------------------------
Beginning Payment of
Original Current Certificate/ Current Unpaid Current Non-Supported
Face Certificate Notional Accrued Interest Interest Interest Realized
Class (5) Amount Rate Balance Interest Shortfall Shortfall Shortfall Loss (6)
- -----------------------------------------------------------------------------------------------------------------------------
A-1F 123,276,000.00 6.14000% 178.33675273 0.91248970 0.00000000 0.00000000 0.00000000 0.00000000
A-2F 56,861,000.00 6.50000% 1000.00000000 5.41666661 0.00000000 0.00000000 0.00000000 0.00000000
A-3F 27,651,000.00 6.58000% 1000.00000000 5.48333333 0.00000000 0.00000000 0.00000000 0.00000000
A-4F 18,534,000.00 6.83000% 1000.00000000 5.69166667 0.00000000 0.00000000 0.00000000 0.00000000
A-5F 21,609,000.00 7.07000% 1000.00000000 5.89166644 0.00000000 0.00000000 0.00000000 0.00000000
A-6F 32,569,000.00 7.37000% 1000.00000000 6.14166662 0.00000000 0.00000000 0.00000000 0.00000000
A-7F 37,000,000.00 7.03000% 1000.00000000 5.85833324 0.00000000 0.00000000 0.00000000 0.00000000
IOF 0.00 6.00000% 436.01585480 2.18007927 0.00000000 0.00000000 0.00000000 0.00000000
A-1A 50,000,000.00 4.44250% 680.97209940 2.60504940 0.00000000 0.00000000 0.00000000 0.00000000
M-1 17,850,000.00 7.37000% 1000.00000000 6.14166667 0.00000000 0.00000000 0.00000000 0.00000000
M-2 17,850,000.00 7.37000% 1000.00000000 6.14166667 0.00000000 0.00000000 0.00000000 0.00000000
B 16,800,000.00 7.37000% 1000.00000000 6.14166667 0.00000000 0.00000000 0.00000000 0.00000000
BIO 0.00 0.00000% 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
P 100.00 0.00000% 1000.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
R-1 0.00 0.00000% 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
R-2 0.00 0.00000% 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
R-3 0.00 0.00000% 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
- -----------------------------------------------------------------------------------------------------------------------------
[RESTUBBED TABLE]
- -----------------------------------------------------------
Remaining Ending
Total Unpaid Certificate/
Interest Interest Notional
Class (5) Distribution Shortfall Balance
- ----------------------------------------------------------
A-1F 0.91248970 0.00000000 143.17111733
A-2F 5.41666661 0.00000000 1000.00000000
A-3F 5.48333333 0.00000000 1000.00000000
A-4F 5.69166667 0.00000000 1000.00000000
A-5F 5.89166644 0.00000000 1000.00000000
A-6F 6.14166662 0.00000000 1000.00000000
A-7F 5.85833324 0.00000000 1000.00000000
IOF 2.18007927 0.00000000 407.44493866
A-1A 2.60504920 0.00000000 667.31830760
M-1 6.14166667 0.00000000 1000.00000000
M-2 6.14166667 0.00000000 1000.00000000
B 6.14166667 0.00000000 1000.00000000
BIO 0.00000000 0.00000000 0.00000000
P 56675.10000000 0.00000000 1000.00000000
R-1 0.00000000 0.00000000 0.00000000
R-2 0.00000000 0.00000000 0.00000000
R-3 0.00000000 0.00000000 0.00000000
- -----------------------------------------------------------
(5) All classes are per $1,000 denomination
(6) Amount Does Not Include Excess Special Hazard, Bankruptcy, or Fraud Losses
Unless Otherwise Disclosed. Please Refer to the Prospectus Supplement for a
Full Description.
Certificateholder Component Statement
- --------------------------------------------------------------------------------------------------------------------
Component Beginning Ending Beginning Ending Ending
Pass-Through Notional Notional Component Component Component
Class Rate Balance Balance Balance Balance Percentage
- --------------------------------------------------------------------------------------------------------------------
OC 0.00000% 0.00 0.00 4,829,900.00 4,829,900.00 0.00000000%
- --------------------------------------------------------------------------------------------------------------------
B-46
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 1999-2
Certificateholder Account Statement
- --------------------------------------------------------------------------
CERTIFICATE ACCOUNT
Beginning Balance 0.00
Deposits
Payments of Interest and Principal 6,061,686.61
Liquidations, Insurance Proceeds, Reserve Funds 0.00
Proceeds from Repurchased Loans 0.00
Other Amounts (Servicer Advances) 1,534,038.33
Realized Losses (60,268.73)
------------
Total Deposits 7,535,456.21
Withdrawals
Reimbursement for Servicer Advances 0.00
Payment of Service Fee 132,005.89
Payment of Interest and Principal 7,403,450.32
------------
Total Withdrawals (Pool Distribution Amount) 7,535,456.21
Ending Balance 0.00
============
- --------------------------------------------------------------------------
- --------------------------------------------------------------------------
PREPAYMENT/CURTAILMENT INTEREST SHORTFALL
Total Prepayment/Curtailment Interest Shortfall 0.00
Servicing Fee Support 0.00
----------
Non-Supported Prepayment/Curtailment Interest Shortfall 0.00
==========
- --------------------------------------------------------------------------
- --------------------------------------------------------------------------
SERVICING FEES
Gross Servicing Fee 128,161.47
Admin Fee - Wells Fargo Bank, N.A. 3,844.42
Supported Prepayment/Curtailment Interest Shortfall 0.00
----------
Net Servicing Fee 132,005.89
==========
- --------------------------------------------------------------------------
- ----------------------------------------------------------------------------------------------
Beginning Current Current Ending
Account Type Balance Withdrawals Deposits Balance
- ----------------------------------------------------------------------------------------------
Reserve Fund 10,000.00 0.00 0.00 10,000.00
Reserve Fund 10,000.00 0.00 0.00 10,000.00
- ----------------------------------------------------------------------------------------------
B-47
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 1999-2
Loan Status Stratification/Credit Enhancement Statement
- ----------------------------------------------------------------------------------------------------------------
DELINQUENT BANKRUPTCY FORECLOSURE
- ----------------------------------------------------------------------------------------------------------------
No. of Principal No. of Principal No. of Principal
Loans Balance Loans Balance Loans Balance
0-29 Days 85 6,415,085.69 0-29 Days 1 7,756.62
30 Days 318 27,155,103.10 30 Days 15 1,243,834.33 30 Days 1 180,182.28
60 Days 107 8,653,909.41 60 Days 11 596,279.57 60 Days 14 1,229,812.57
90 Days 50 3,773,332.91 90 Days 7 613,638.61 90 Days 10 1,434,287.92
120 Days 53 4,023,106.65 120 Days 46 3,285,033.00 120 Days 185 13,770,819.01
150 Days 0 0.00 150 Days 0 0.00 150 Days 0 0.00
180+ Days 0 0.00 180+ Days 0 0.00 180+ Days 0 0.00
---- ------------- ---- ------------- ---- -------------
528 43,605,452.07 164 12,153,871.20 211 16,622,858.40
No. of Principal No. of Principal No. of Principal
Loans Balance Loans Balance Loans Balance
0-29 Days 2.252252% 2.116726% 0-29 Days 0.026497% 0.002559%
30 Days 8.426073% 8.960114% 30 Days 0.397456% 0.410416% 30 Days 0.026497% 0.059453%
60 Days 2.835188% 2.855449% 60 Days 0.291468% 0.196749% 60 Days 0.370959% 0.405790%
90 Days 1.324854% 1.245051% 90 Days 0.185480% 0.202477% 90 Days 0.264971% 0.473258%
120 Days 1.404346% 1.327467% 120 Days 1.218866% 1.083931% 120 Days 4.901961% 4.543828%
150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000%
--------- ---------- --------- ---------- --------- ---------
3.990461% 14.388081% 4.345522% 4.010299% 5.590885% 5.484888%
- ----------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------
REO Total
- -------------------------------------------------------------------------
No. of Principal No. of Principal
Loans Balance Loans Balance
0-29 Days 0 0.00 0-29 Days 86 6,422,842.31
30 Days 1 37,289.20 30 Days 335 28,616,408.91
60 Days 0 0.00 60 Days 132 10,480,001.55
90 Days 0 0.00 90 Days 67 5,821,259.44
120 Days 75 5,086,892.24 120 Days 359 26,165,850.90
150 Days 0 0.00 150 Days 0 0.00
180+ Days 0 0.00 180+ Days 0 0.00
---- ------------ ---- -------------
76 5,124,181.44 979 77,506,363.11
No. of Principal No. of Principal
Loans Balance Loans Balance
0-29 Days 0.000000% 0.000000% 0-29 Days 2.278749% 2.119285%
30 Days 0.026497% 0.012304% 30 Days 8.876524% 9.442287%
60 Days 0.000000% 0.000000% 60 Days 3.497615% 3.457988%
90 Days 0.000000% 0.000000% 90 Days 1.775305% 1.920786%
120 Days 1.987281% 1.678474% 120 Days 9.512454% 8.633700%
150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000%
--------- --------- ---------- -----------
2.013778% 1.690778% 25.940647% 25.574046%
- -------------------------------------------------------------------------
(7) The 120 day category for delinquent, bankruptcy, foreclosure, REO contains
loans that are 120 or more delinquent.
Current Period Realized Loss - Includes Interest Shortfall 0.00 Principal Balance of Contaminated Properties 0.00
Cumulative Realized Losses - Includes Interest Shortfall 1,034,753.16 Periodic Advance 1,534,038.33
Current Period Class A Insufficient Funds 0.00
B-48
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 1999-2
Delinquency Status By Group
- -------------------------------------------------------------------------------------------------------------------
DELINQUENT BANKRUPTCY FORECLOSURE
- -------------------------------------------------------------------------------------------------------------------
1 No of Principal No of Principal
No of Loans Prin Balance Loans Balance Loans Balance
0-29 Days 75 5,533,655.68 0-29 Days 1 7,756.62
30 Days 273 23,573,736.75 30 Days 12 976,260.72 30 Days 1 180,182.28
60 Days 86 6,630,857.07 60 Days 10 503,408.33 60 Days 14 1,229,812.57
90 Days 38 2,893,528.79 90 Days 5 504,456.99 90 Days 9 1,311,977.50
120 Days 48 3,723,987.55 120 Days 35 2,539,336.99 120 Days 156 11,351,785.02
150 Days 0 0.00 150 Days 0 0.00 150 Days 0 0.00
180+ Days 0 0.00 180+ Days 0 0.00 180+ Days 0 0.00
---- ------------- ---- ------------- ---- -------------
445 36,822,110.16 137 10,057,118.71 181 14,081,513.99
0-29 Days 2.236803% 2.061270% 0-29 Days 0.029824% 0.002889%
30 Days 8.141962% 8.781145% 30 Days 0.357888% 0.363654% 30 Days 0.029824% 0.067117%
60 Days 2.564867% 2.469974% 60 Days 0.298240% 0.187518% 60 Days 0.417537% 0.458101%
90 Days 1.133313% 1.077831% 90 Days 0.149120% 0.187909% 90 Days 0.268416% 0.488708%
120 Days 1.431554% 1.387174% 120 Days 1.043841% 0.945895% 120 Days 4.652550% 4.228505%
150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000%
---------- ---------- ---------- --------- --------- ---------
13.271697% 13.716123% 4.085893% 3.746246% 5.398151% 5.245321%
- -------------------------------------------------------------------------------------------------------------------
- -------------------------------------------------------------------------
REO Total
- -------------------------------------------------------------------------
No of Principal No of Principal
Loans Balance Loans Balance
0-29 Days 0 0.00 0-29 Days 76 5,541,412.30
30 Days 1 37,289.20 30 Days 287 24,767,468.95
60 Days 0 0.00 60 Days 110 8,364,077.97
90 Days 0 0.00 90 Days 52 4,709,963.28
120 Days 54 3,519,841.02 120 Days 293 21,134,950.58
150 Days 0 0.00 150 Days 0 0.00
180+ Days 0 0.00 180+ Days 0 0.00
---- ------------ ---- -------------
55 3,557,130.22 818 64,517,873.08
0-29 Days 0.000000% 0.000000% 0-29 Days 2.266627% 2.064159%
30 Days 0.029824% 0.013890% 30 Days 8.559499% 9.225806%
60 Days 0.000000% 0.000000% 60 Days 3.280644% 3.115593%
90 Days 0.000000% 0.000000% 90 Days 1.550850% 1.754447%
120 Days 1.610498% 1.311130% 120 Days 8.738443% 7.872704%
150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000%
--------- --------- ---------- ----------
1.640322% 1.325020% 24.396063% 24.032710%
- -------------------------------------------------------------------------
- -------------------------------------------------------------------------------------------------------------------
DELINQUENT BANKRUPTCY FORECLOSURE
- -------------------------------------------------------------------------------------------------------------------
2 No of Principal No of Principal
No of Loans Prin Balance Loans Balance Loans Balance
0-29 Days 10 881,430.01 0-29 Days 0 0.00
30 Days 45 3,581,366.35 30 Days 3 267,573.61 30 Days 0 0.00
60 Days 21 2,023,052.34 60 Days 1 92,871.24 60 Days 0 0.00
90 Days 12 879,804.12 90 Days 2 109,181.62 90 Days 1 122,310.42
120 Days 5 299,119.10 120 Days 11 745,696.01 120 Days 29 2,419,033.99
150 Days 0 0.00 150 Days 0 0.00 150 Days 0 0.00
180+ Days 0 0.00 180+ Days 0 0.00 180+ Days 0 0.00
--- ------------ --- ------------ --- ------------
83 6,783,341.91 27 2,096,752.49 30 2,541,344.41
0-29 Days 2.375297% 2.546903% 0-29 Days 0.000000% 0.000000%
30 Days 10.688836% 10.348404% 30 Days 0.712589% 0.773157% 30 Days 0.000000% 0.000000%
60 Days 4.988124% 5.845636% 60 Days 0.237530% 0.268353% 60 Days 0.000000% 0.000000%
90 Days 2.850356% 2.542205% 90 Days 0.475059% 0.315482% 90 Days 0.237530% 0.353418%
120 Days 1.187648% 0.864309% 120 Days 2.612827% 2.154698% 120 Days 6.888361% 6.989830%
150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000%
---------- ---------- --------- --------- --------- ---------
19.714964% 19.600554% 6.413302% 6.058593% 7.125891% 7.343248%
- -------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------
REO Total
- --------------------------------------------------------------------------
No of Principal No of Principal
Loans Balance Loans Balance
0-29 Days 0 0.00 0-29 Days 10 881,430.01
30 Days 0 0.00 30 Days 48 3,848,939.96
60 Days 0 0.00 60 Days 22 2,115,923.58
90 Days 0 0.00 90 Days 15 1,111,296.16
120 Days 21 1,567,051.22 120 Days 66 5,030,900.32
150 Days 0 0.00 150 Days 0 0.00
180+ Days 0 0.00 180+ Days 0 0.00
--- ------------ ---- --------------
21 1,567,051.22 161 12,988,490.03
0-29 Days 0.000000% 0.000000% 0-29 Days 2.375297% 2.546903%
30 Days 0.000000% 0.000000% 30 Days 11.401425% 11.121562%
60 Days 0.000000% 0.000000% 60 Days 5.225653% 6.113989%
90 Days 0.000000% 0.000000% 90 Days 3.562945% 3.211105%
120 Days 4 988124% 4.528015% 120 Days 15.676960% 14.536851%
150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000%
--------- --------- ---------- ----------
4.988124% 4.528015% 38.242280% 37.530410%
- --------------------------------------------------------------------------
B-49
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 1999-2
- -------------------------------------------------------------------------------
COLLATERAL STATEMENT
Collateral Description Fixed & Mixed ARM
Weighted Average Gross Coupon 9.918315%
Weighted Average Net Coupon 9.418314%
Weighted Average Pass-Through Rate 9.403316%
Weighted Average Maturity (Stepdown Calculation) 0
Beginning Scheduled Collateral Loan Count 3,824
Number of Loans Paid in Full 50
Ending Scheduled Collateral Loan Count 3,774
Beginning Scheduled Collateral Balance 307,587,246.49
Ending Scheduled Collateral Balance 302,569,478.03
Ending Actual Collateral Balance at 31-May-2001 303,066,490.41
Monthly P&I Constant 2,900,963.55
Ending Scheduled Balance for Premium Loans 302,569,478.03
Scheduled Principal 358,674.25
Unscheduled Principal 4,659,094.21
Required Overcollateralized Amount 0.00
Overcollateralized Increase Amount 0.00
Overcollateralized Reduction Amount 0.00
Specified O/C Amount 4,830,000.00
Overcollateralized Amount 4,830,000.00
Overcollateralized Deficiency Amount 0.00
Base Overcollateralization Amount 0.00
Extra Principal Distribution Amount 0.00
Excess Cash Amount 492,794.68
- -------------------------------------------------------------------------------
Group F Curtailments $29,665.32
Group A Curtailments $1,184.44
Delinquency Reimbursement Amount $935,567.52
Servicer Reimbursement Amount $148,748.23
- --------------------------------------------------------------------------------
B-50
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 1999-2
- -----------------------------------------------------------------------------------------------------------------
Group 1 2 Total
Collateral Description Mixed Fixed Mixed ARM Fixed & Mixed ARM
Weighted Average Coupon Rate 9.869303 10.295259 9.918315
Weighted Average Net Rate 9.354303 9.780259 9.418314
Weighted Average Maturity 295.00 335.00 0.00
Record Date 05/31/2001 05/31/2001 05/31/2001
Principal And Interest Constant 2,577,585.03 323,378.52 2,900,963.55
Beginning Loan Count 3,394 430 3,824
Loans Paid In Full 41 9 50
Ending Loan Count 3,353 421 3,774
Beginning Scheduled Balance 272,195,384.68 35,391,861.81 307,587,246.49
Ending Scheduled Balance 268,020,791.23 34,548,686.80 302,569,478.03
Scheduled Principal 338,936.06 19,738.19 358,674.25
Unscheduled Principal 3,835,657.39 823,436.82 4,659,094.21
Scheduled Interest 2,238,648.97 303,640.33 2,542,289.30
Servicing Fee 113,414.74 14,746.61 128,161.35
Master Servicing Fee 0.00 0.00 0.00
Trustee Fee 0.00 0.00 0.00
FRY Amount 0.00 0.00 0.00
Special Hazard Fee 0.00 0.00 0.00
Other Fee 3,402.44 442.40 3,844.84
Pool Insurance Fee 0.00 0.00 0.00
Spread 1 0.00 0.00 0.00
Spread 2 0.00 0.00 0.00
Spread 3 0.00 0.00 0.00
Net Interest 2,121,831.79 288,451.32 2,410,283.11
Realized Loss Amount 60,268.73 0.00 60,268.73
Cumulative Realized Loss 900,774.27 133,978.89 1,034,753.16
Percentage of Cumulative Losses 0.00 0.00 0.00
- -----------------------------------------------------------------------------------------------------------------
B-51
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 1999-3
Certificateholder Distribution Summary
- ------------------------------------------------------------------------------------------------------------------------------
Certificate Certificate Beginning Current Ending
Class Pass-Through Certificate Interest Principal Realized Certificate
Class CUSIP Description Rate Balance Distribution Distribution Loss Balance
- ------------------------------------------------------------------------------------------------------------------------------
A-1F 24763LFU9 SEN 7.46200 % 300,231,793.99 1,866,941.37 7,356,374.00 0.00 292,875,419.99
A-2F 24763LFV7 SEN 7.56100 % 23,539,118.26 148,316.06 576,762.89 0.00 22,962,355.37
IOF 24763LFW5 SEN 6.00000 % 0.00 463,500.00 0.00 0.00 0.00
A-1A 24763LFX3 SEN 4.53250 % 107,658,258.72 420,188.69 2,637,876.57 0.00 105,020,382.15
M-1 24763LFY1 MEZ 7.60000 % 44,450,000.00 281,516.67 0.00 0.00 44,450,000.00
M-2 24763LFZ8 MEZ 7.60000 % 24,850,000.00 157,383.33 0.00 0.00 24,850,000.00
B 24763LGA2 JUN 7.60000 % 29,750,000.00 188,416.67 0.00 0.00 29,750,000.00
BIO DFH993BIO JUN 0.00000 % 0.00 629,466.71 0.00 0.00 0.00
P DFH99300P SEN 0.00000 % 0.00 93,154.49 0.00 0.00 0.00
R-1 DFH9903R1 JUN 0.00000 % 0.00 0.00 0.00 0.00 0.00
R-2 DFH9903R2 JUN 0.00000 % 0.00 0.00 0.00 0.00 0.00
R-3 DFH9903R3 JUN 0.00000 % 0.00 0.00 0.00 0.00 0.00
- ------------------------------------------------------------------------------------------------------------------------------
Totals 530,479,170.97 4,248,883.99 10,571,013.46 0.00 519,908,157.51
- ------------------------------------------------------------------------------------------------------------------------------
[RESTUBBED TABLE]
- -----------------------------------------
Cumulative
Total Realized
Class Distribution Losses
- -----------------------------------------
A-1F 9,223,315.37 0.00
A-2F 725,078.95 0.00
IOF 463,500.00 0.00
A-1A 3,058,065.26 0.00
M-1 281,516.67 0.00
M-2 157,383.33 0.00
B 188,416.67 0.00
BIO 629,466.71 0.00
P 93,154.49 0.00
R-1 0.00 0.00
R-2 0.00 0.00
R-3 0.00 0.00
- -----------------------------------------
Totals 14,819,897.45 0.00
- -----------------------------------------
All distributions required by the Pooling and Servicing Agreement have been
calculated by the Certificate Administrator on behalf of the Trustee.
B-52
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 1999-3
Principal Distribution Statement
- ------------------------------------------------------------------------------------------------------------------------
Original Beginning Scheduled Unscheduled Total
Face Certificate Principal Principal Realized Principal
Class Amount Balance Distribution Distribution Accretion Loss (1) Reduction
- ------------------------------------------------------------------------------------------------------------------------
A-1F 418,160,000.00 300,231,793.99 387,496.47 6,968,877.53 0.00 0.00 7,356,374.00
A-2F 32,790,000.00 23,539,118.26 30,380.94 546,381.95 0.00 0.00 576,762.89
IOF 0.00 0.00 0.00 0.00 0.00 0.00 0.00
A-1A 150,000,000.00 107,658,258.72 59,706.33 2,578,170.24 0.00 0.00 2,637,876.57
M-1 44,450,000.00 44,450,000.00 0.00 0.00 0.00 0.00 0.00
M-2 24,850,000.00 24,850,000.00 0.00 0.00 0.00 0.00 0.00
B 29,750,000.00 29,750,000.00 0.00 0.00 0.00 0.00 0.00
BIO 0.00 0.00 0.00 0.00 0.00 0.00 0.00
P 100.00 0.00 0.00 0.00 0.00 0.00 0.00
R-1 0.00 0.00 0.00 0.00 0.00 0.00 0.00
R-2 0.00 0.00 0.00 0.00 0.00 0.00 0.00
R-3 0.00 0.00 0.00 0.00 0.00 0.00 0.00
- ------------------------------------------------------------------------------------------------------------------------
Totals 700,000,100.00 530,479,170.97 477,583.74 10,093,429.72 0.00 0.00 10,571,013.46
- ------------------------------------------------------------------------------------------------------------------------
[RESTUBBED TABLE]
- ---------------------------------------------------------------
Ending Ending Total
Certificate Certificate Principal
Class Balance Percentage Distribution
- ---------------------------------------------------------------
A-1F 292,875,419.99 0.70039081 7,356,374.00
A-2F 22,962,355.37 0.70028531 576,762.89
IOF 0.00 0.00000000 0.00
A-1A 105,020,382.15 0.70013588 2,637,876.57
M-1 44,450,000.00 1.00000000 0.00
M-2 24,850,000.00 1.00000000 0.00
B 29,750,000.00 1.00000000 0.00
BIO 0.00 0.00000000 0.00
P 0.00 0.00000000 0.00
R-1 0.00 0.00000000 0.00
R-2 0.00 0.00000000 0.00
R-3 0.00 0.00000000 0.00
- ---------------------------------------------------------------
Totals 519,908,157.51 0.74272583 10,571,013.46
- ---------------------------------------------------------------
(1) Amount Does Not Include Excess Special Hazard, Bankruptcy, or Fraud Losses
Unless Otherwise Disclosed. Please Refer to the Prospectus Supplement for a
Full Descript
B-53
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 1999-3
Principal Distribution Factors Statement
- -----------------------------------------------------------------------------------------------------------------------------
Original Beginning Scheduled Unscheduled Total
Face Certificate Principal Principal Realized Principal
Class (2) Amount Balance Distribution Distribution Accretion Loss (3) Reduction
- -----------------------------------------------------------------------------------------------------------------------------
A-1F 418,160,000.00 717.98305431 0.92667034 16.66557665 0.00000000 0.00000000 17.59224699
A-2F 32,790,000.00 717.87490881 0.92653065 16.66306648 0.00000000 0.00000000 17.58959713
IOF 0.00 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
A-1A 150,000,000.00 717.72172480 0.39804220 17.18780160 0.00000000 0.00000000 17.58584380
M-1 44,450,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
M-2 24,850,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
B 29,750,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
BIO 0.00 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
P 100.00 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
R-1 0.00 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
R-2 0.00 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
R-3 0.00 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
- -----------------------------------------------------------------------------------------------------------------------------
- ---------------------------------------------------------------------------
Ending Ending Total
Certificate Certificate Principal
Class (2) Balance Percentage Distribution
- ---------------------------------------------------------------------------
A-1F 700.39080732 0.70039081 17.59224699
A-2F 700.28531168 0.70028531 17.58959713
IOF 0.00000000 0.00000000 0.00000000
A-1A 700.13588100 0.70013588 17.58584380
M-1 1000.00000000 1.00000000 0.00000000
M-2 1000.00000000 1.00000000 0.00000000
B 1000.00000000 1.00000000 0.00000000
BIO 0.00000000 0.00000000 0.00000000
P 0.00000000 0.00000000 0.00000000
R-1 0.00000000 0.00000000 0.00000000
R-2 0.00000000 0.00000000 0.00000000
R-3 0.00000000 0.00000000 0.00000000
- ---------------------------------------------------------------------------
(2) All classes are per $1,000 denomination.
(3) Amount Does Not Include Excess Special Hazard, Bankruptcy, or Fraud Losses
Unless Otherwise Disclosed. Please Refer to the Prospectus Supplement for a
Full Description.
B-54
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 1999-3
Interest Distribution Statement\
- -----------------------------------------------------------------------------------------------------------------------------------
Beginning Payment of
Original Current Certificate/ Current Unpaid Current Non-Supported
Face Certificate Notional Accrued Interest Interest Interest
Class Amount Rate Balance Interest Shortfall Shortfall Shortfall
- -----------------------------------------------------------------------------------------------------------------------------------
A-1F 418,160,000.00 7.46200% 300,231,793.99 1,866,941.37 0.00 0.00 0.00
A-2F 32,790,000.00 7.56100% 23,539,118.26 148,316.06 0.00 0.00 0.00
IOF 0.00 6.00000% 92,700,000.00 463,500.00 0.00 0.00 0.00
A-1A 150,000,000.00 4.53250% 107,658,258.72 420,188.69 0.00 0.00 0.00
M-1 44,450,000.00 7.60000% 44,450,000.00 281,516.67 0.00 0.00 0.00
M-2 24,850,000.00 7.60000% 24,850,000.00 157,383.33 0.00 0.00 0.00
B 29,750,000.00 7.60000% 29,750,000.00 188,416.67 0.00 0.00 0.00
BIO 0.00 0.00000% 0.00 0.00 0.00 0.00 0.00
P 100.00 0.00000% 0.00 0.00 0.00 0.00 0.00
R-1 0.00 0.00000% 0.00 0.00 0.00 0.00 0.00
R-2 0.00 0.00000% 0.00 0.00 0.00 0.00 0.00
R-3 0.00 0.00000% 0.00 0.00 0.00 0.00 0.00
- -----------------------------------------------------------------------------------------------------------------------------------
Totals 700,000,100.00 3,526,262.79 0.00 0.00 0.00
- -----------------------------------------------------------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Remaining Ending
Total Unpaid Certificate/
Realized Interest Interest Notional
Class Loss(4) Distribution Shortfall Balance
- --------------------------------------------------------------------------------
A-1F 0.00 1,866,941.37 0.00 292,875,419.99
A-2F 0.00 148,316.06 0.00 22,962,355.37
IOF 0.00 463,500.00 0.00 92,700,000.00
A-1A 0.00 420,188.69 0.00 105,020,382.15
M-1 0.00 281,516.67 0.00 44,450,000.00
M-2 0.00 157,383.33 0.00 24,850,000.00
B 0.00 188,416.67 0.00 29,750,000.00
BIO 0.00 629,466.71 0.00 0.00
P 0.00 93,154.49 0.00 0.00
R-1 0.00 0.00 0.00 0.00
R-2 0.00 0.00 0.00 0.00
R-3 0.00 0.00 0.00 0.00
- --------------------------------------------------------------------------------
Totals 0.00 4,248,883.99 0.00
- --------------------------------------------------------------------------------
(4) Amount Does Not Include Excess Special Hazard, Bankruptcy, or Fraud Losses
Unless Otherwise Disclosed. Please Refer to the Prospectus Supplement for a
Full Description.
B-55
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 1999-3
Interest Distribution Factors Statement
Original Current Beginning Current Payment of Current
Class (5) Face Certificate Certificate/ Accrued Unpaid Interest
Amount Rate Notional Interest Interest Shortfall
Balance Shortfall
- ------------------------------------------------------------------------------------------------------------------------------
A-1F 418,160,000.00 7.46200% 717.98305431 4.46465795 0.00000000 0.00000000
A-2F 32,790,000.00 7.56100% 717.87490881 4.52321013 0.00000000 0.00000000
IOF 0.00 6.00000% 463.03696304 2.31518482 0.00000000 0.00000000
A-1A 150,000,000.00 4.53250% 717.72172480 2.80125793 0.00000000 0.00000000
M-1 44,450,000.00 7.60000% 1000.00000000 6.33333341 0.00000000 0.00000000
M-2 24,850,000.00 7.60000% 1000.00000000 6.33333320 0.00000000 0.00000000
B 29,750,000.00 7.60000% 1000.00000000 6.33333345 0.00000000 0.00000000
BIO 0.00 0.00000% 0.00000000 0.00000000 0.00000000 0.00000000
P 100.00 0.00000% 0.00000000 0.00000000 0.00000000 0.00000000
R-1 0.00 0.00000% 0.00000000 0.00000000 0.00000000 0.00000000
R-2 0.00 0.00000% 0.00000000 0.00000000 0.00000000 0.00000000
R-3 0.00 0.00000% 0.00000000 0.00000000 0.00000000 0.00000000
Non-Supported Total Remaining Ending
Class (5) Interest Realized Interest Unpaid Certificate/
Shortfall Loss (6) Distribution Interest Notional
Shortfall Balance
- --------------------------------------------------------------------------------------------------------
A-1F 0.00000000 0.00000000 4.46465795 0.00000000 700.39080732
A-2F 0.00000000 0.00000000 4.52321013 0.00000000 700.28531168
IOF 0.00000000 0.00000000 2.31518482 0.00000000 463.03696304
A-1A 0.00000000 0.00000000 2.80125793 0.00000000 700.13588100
M-1 0.00000000 0.00000000 6.33333341 0.00000000 1000.00000000
M-2 0.00000000 0.00000000 6.33333320 0.00000000 1000.00000000
B 0.00000000 0.00000000 6.33333345 0.00000000 1000.00000000
BIO 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
P 0.00000000 0.00000000 31544.90000000 0.00000000 0.00000000
R-1 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
R-2 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
R-3 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
(5) All classes are per $1,000 denomination
(6) Amount Does Not Include Excess Special Hazard, Bankruptcy, or Fraud
Losses Unless Otherwise Disclosed. Please Refer to the Prospectus
Supplement for a Full Description.
Certificateholder Component Statement
Component Beginning Ending Beginning Ending Ending
Pass-Through Notional Notional Component Component Component
Class Rate Balance Balance Balance Balance Percentage
- ----------------------------------------------------------------------------------------------------------------------
MBIA 1,200.00000% 0.00 0.00 0.00 0.00 0.00000000%
OC 0.00000% 0.00 0.00 9,800,000.00 9,800,000.00 0.00000000%
SEN 0.00000% 0.00 0.00 0.00 0.00 0.00000000%
B-56
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 1999-3
Certificateholder Account Statement
- --------------------------------------------------------------------------------
CERTIFICATE ACCOUNT
Beginning Balance 0.00
Deposits
Payments of Interest and Principal 12,476,831.58
Liquidations, Insurance Proceeds, Reserve Funds 0.00
Proceeds from Repurchased Loans 0.00
Other Amounts (Servicer Advances) 2,864,994.14
Realized Losses (291,184.04)
-------------
Total Deposits 15,050,641.68
Withdrawals
Reimbursement for Servicer Advances 0.00
Payment of Service Fee 230,744.23
Payment of Interest and Principal 14,819,897.45
-------------
Total Withdrawals (Pool Distribution Amount) 15,050,641.68
Ending Balance 0.00
=============
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PREPAYMENT/CURTAILMENT INTEREST SHORTFALL
Total Prepayment/Curtailment Interest Shortfall 0.00
Servicing Fee Support 0.00
-------------
Non-Supported Prepayment/Curtailment Interest Shortf 0.00
=============
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SERVICING FEES
Gross Servicing Fee 225,116.05
Trustee Fee - Wells Fargo Bank, N.A 5,627.89
Supported Prepayment/Curtailment Interest Shortfall 0.00
-------------
Net Servicing Fee 230,743.94
=============
- --------------------------------------------------------------------------------
Beginning Current Current Ending
Account Type Balance Withdrawals Deposits Balance
- --------------------------------------------------------------------------------------
Net Rate Cap Fund 10,000.00 0.00 0.00 10,000.00
Reserve Fund 0.00 0.00 0.00 0.00
Class P Deposit 0.00 0.00 0.00 0.00
Reserve Fund 0.00 0.00 0.00 0.00
Libor Carryover Fund 10,000.00 0.00 0.00 10,000.00
Financial Guaranty 0.00 0.00 0.00 0.00
B-57
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 1999-3
Loan Status Stratification/Credit Enhancement Statement
DELINQUENT BANKRUPTCY FORECLOSURE
- ---------------------------------------------------------------------------------------------------------------------
No. of Principal No. of Principal No. of Principal
Loans Balance Loans Balance Loans Balance
0-29 Days 147 10,784,852.37 0-29 Days 2 145,525.55
30 Days 668 50,811,928.37 30 Days 35 2,168,349.24 30 Days 1 176,699.72
60 Days 212 16,221,215.97 60 Days 19 1,303,100.28 60 Days 32 2,790,011.49
90 Days 96 6,311,569.53 90 Days 13 936,454.32 90 Days 24 1,892,056.21
120 Days 101 6,786,187.01 120 Days 74 5,501,403.40 120 Days 360 24,928,330.58
150 Days 0 0.00 150 Days 0 0.00 150 Days 0 0.00
180+ Days 0 0.00 180+ Days 0 0.00 180+ Days 0 0.00
-------- ------------- -------- ------------- -------- -------------
1,077 80,130,900.88 288 20,694,159.61 419 29,932,623.55
No. of Principal No. of Principal No. of Principal
Loans Balance Loans Balance Loans Balance
0-29 Days 2.066929% 2.033172% 0-29 Days 0.028121% 0.027435%
30 Days 9.392576% 9.579122% 30 Days 0.492126% 0.408780% 30 Days 0.014061% 0.033312%
60 Days 2.980877% 3.058042% 60 Days 0.267154% 0.245662% 60 Days 0.449944% 0.525976%
90 Days 1.349831% 1.189864% 90 Days 0.182790% 0.176541% 90 Days 0.337458% 0.356693%
120 Days 1.420135% 1.279340% 120 Days 1.040495% 1.037131% 120 Days 5.061867% 4.699517%
150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000%
-------- ------------- -------- ------------- -------- -------------
5.143420% 15.106367% 4.049494% 3.901286% 5.891451% 5.642932%
REO Total
- ---------------------------------------------------------------------------
No. of Principal No. of Principal
Loans Balance Loans Balance
0-29 Days 0 0.00 0-29 Days 149 10,930,377.92
30 Days 0 0.00 30 Days 704 53,156,977.33
60 Days 0 0.00 60 Days 263 20,314,327.74
90 Days 0 0.00 90 Days 133 9,140,080.06
120 Days 93 5,259,267.60 120 Days 628 42,475,188.59
150 Days 0 0.00 150 Days 0 0.00
180+ Days 0 0.00 180+ Days 0 0.00
-- ------------ ----- --------------
93 5,259,267.60 1,877 136,016,951.64
No. of Principal No. of Principal
Loans Balance Loans Balance
0-29 Days 0.000000% 0.000000% 0-29 Days 2.095051% 2.060607%
30 Days 0.000000% 0.000000% 30 Days 9.898763% 10.021213%
60 Days 0.000000% 0.000000% 60 Days 3.697975% 3.829680%
90 Days 0.000000% 0.000000% 90 Days 1.870079% 1.723098%
120 Days 1.307649% 0.991483% 120 Days 8.830146% 8.007470%
150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000%
--------- --------- ---------- ----------
1.307649% 0.991483% 26.392013% 25.642068%
(7) The 120 Day category for delinquent, bankruptcy, foreclosure, and REO
contains loans that are 120 days or more delinquent.
Current Period Realized Loss - Includes Interest Shortfall 0.00
Cumulative Realized Losses - Includes Interest Shortfall 1,372,414.79
Current Period Class A Insufficient Funds 0.00
Principal Balance of Contaminated Properties 0.00
Periodic Advance 2,864,994.14
B-58
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 1999-3
Delinquency Status By Group
DELINQUENT BANKRUPTCY FORECLOSURE
- ---------------------------------------------------------------------------------------------------------------------
2 No. of Principal No. of Principal No. of Principal
Loans Balance Loans Balance Loans Balance
0-29 Days 114 8,361,340.98 0-29 Days 2 145,525.55
30 Days 511 38,749,485.46 30 Days 23 1,320,688.43 30 Days 1 176,699.72
60 Days 156 11,934,083.40 60 Days 11 804,672.63 60 Days 24 2,341,895.74
90 Days 73 4,351,812.92 90 Days 6 297,620.41 90 Days 16 849,673.72
120 Days 66 4,302,079.42 120 Days 48 3,557,891.66 120 Days 253 16,875,760.40
150 Days 0 0.00 150 Days 0 0.00 150 Days 0 0.00
180+ Days 0 0.00 180+ Days 0 0.00 180+ Days 0 0.00
--- ------------- --- ------------- --- -------------
806 59,337,461.20 202 14,342,214.11 296 20,389,555.13
0-29 Days 2.099834% 2.180740% 0-29 Days 0.036839% 0.037955%
30 Days 9.412415% 10.106338% 30 Days 0.423651% 0.344452% 30 Days 0.018420% 0.046085%
60 Days 2.873457% 3.112554% 60 Days 0.202616% 0.209868% 60 Days 0.442070% 0.610795%
90 Days 1.344631% 1.135006% 90 Days 0.110518% 0.077623% 90 Days 0.294714% 0.221605%
120 Days 1.215693% 1.122035% 120 Days 0.884141% 0.927941% 120 Days 4.660158% 4.401404%
150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000%
---------- ---------- --------- --------- --------- ---------
14.846196% 15.475933% 3.720759% 3.740624% 5.452201% 5.317844%
REO Total
- ---------------------------------------------------------------------------
No. of Principal No. of Principal
Loans Balance Loans Balance
0-29 Days 0 0.00 0-29 Days 116 8,506,866.53
30 Days 0 0.00 30 Days 535 40,246,873.61
60 Days 0 0.00 60 Days 191 15,080,651.77
90 Days 0 0.00 90 Days 95 5,499,107.05
120 Days 69 3,742,941.72 120 Days 436 28,478,673.20
150 Days 0 0.00 150 Days 0 0.00
180+ Days 0 0.00 180+ Days 0 0.00
-- ------------ ----- -------------
69 3,742,941.72 1,373 97,812,172.16
0-29 Days 0.000000% 0.000000% 0-29 Days 2.136673% 2.218694%
30 Days 0.000000% 0.000000% 30 Days 9.854485% 10.496875%
60 Days 0.000000% 0.000000% 60 Days 3.518143% 3.933218%
90 Days 0.000000% 0.000000% 90 Days 1.749862% 1.434234%
120 Days 1.270952% 0.976205% 120 Days 8.030945% 7.427585%
150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000%
-------- -------- --------- ---------
1.270952% 0.976205% 25.290109% 25.510606%
DELINQUENT BANKRUPTCY FORECLOSURE
- ---------------------------------------------------------------------------------------------------------------------
3 No. of Principal No. of Principal No. of Principal
Loans Balance Loans Balance Loans Balance
0-29 Days 0 0.00 0-29 Days 0 0.00
30 Days 0 0.00 30 Days 0 0.00 30 Days 0 0.00
60 Days 0 0.00 60 Days 0 0.00 60 Days 0 0.00
90 Days 0 0.00 90 Days 0 0.00 90 Days 0 0.00
120 Days 0 0.00 120 Days 0 0.00 120 Days 0 0.00
150 Days 0 0.00 150 Days 0 0.00 150 Days 0 0.00
180+ Days 0 0.00 180+ Days 0 0.00 180+ Days 0 0.00
-------- -------- -------- -------- -------- --------
0 0.00 0 0.00 0 0.00
0-29 Days 0.000000% 0.000000% 0-29 Days 0.000000% 0.000000%
30 Days 0.000000% 0.000000% 30 Days 0.000000% 0.000000% 30 Days 0.000000% 0.000000%
60 Days 0.000000% 0.000000% 60 Days 0.000000% 0.000000% 60 Days 0.000000% 0.000000%
90 Days 0.000000% 0.000000% 90 Days 0.000000% 0.000000% 90 Days 0.000000% 0.000000%
120 Days 0.000000% 0.000000% 120 Days 0.000000% 0.000000% 120 Days 0.000000% 0.000000%
150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000%
-------- -------- -------- -------- -------- --------
0.000000% 0.000000% 0.000000% 0.000000% 0.000000% 0.000000%
REO Total
- ---------------------------------------------------------------------------
No. of Principal No. of Principal
Loans Balance Loans Balance
0-29 Days 0 0.00 0-29 Days 0 0.00
30 Days 0 0.00 30 Days 0 0.00
60 Days 0 0.00 60 Days 0 0.00
90 Days 0 0.00 90 Days 0 0.00
120 Days 0 0.00 120 Days 0 0.00
150 Days 0 0.00 150 Days 0 0.00
180+ Days 0 0.00 180+ Days 0 0.00
-------- -------- -------- --------
0 0.00 0 0.00
0-29 Days 0.000000% 0.000000% 0-29 Days 0.000000% 0.000000%
30 Days 0.000000% 0.000000% 30 Days 0.000000% 0.000000%
60 Days 0.000000% 0.000000% 60 Days 0.000000% 0.000000%
90 Days 0.000000% 0.000000% 90 Days 0.000000% 0.000000%
120 Days 0.000000% 0.000000% 120 Days 0.000000% 0.000000%
150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000%
-------- -------- -------- --------
0.000000% 0.000000% 0.000000% 0.000000%
B-59
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 1999-3
DELINQUENT BANKRUPTCY FORECLOSURE
- ---------------------------------------------------------------------------------------------------------------------
4 No. of Principal No. of Principal No. of Principal
Loans Balance Loans Balance Loans Balance
0-29 Days 33 2,423,511.39 0-29 Days 0 0.00
30 Days 157 12,062,442.91 30 Days 12 847,660.81 30 Days 0 0.00
60 Days 56 4,287,132.57 60 Days 8 498,427.65 60 Days 8 448,115.75
90 Days 23 1,959,756.61 90 Days 7 638,833.91 90 Days 8 1,042,382.49
120 Days 35 2,484,107.59 120 Days 26 1,943,511.74 120 Days 107 8,052,570.18
150 Days 0 0.00 150 Days 0 0.00 150 Days 0 0.00
180+ Days 0 0.00 180+ Days 0 0.00 180+ Days 0 0.00
--- ------------- -- ------------ --- ------------
271 20,793,439.68 86 6,351,945.50 123 9,543,068.42
0-29 Days 2.247956% 2.087256% 0-29 Days 0.000000% 0.000000%
30 Days 10.694823% 10.388812% 30 Days 0.817439% 0.730050% 30 Days 0.000000% 0.000000%
60 Days 3.814714% 3.692305% 60 Days 0.544959% 0.429272% 60 Days 0.544959% 0.385941%
90 Days 1.566757% 1.687846% 90 Days 0.476839% 0.550197% 90 Days 0.544959% 0.897755%
120 Days 2.384196% 2.139444% 120 Days 1.771117% 1.673855% 120 Days 7.288828% 6.935298%
150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000%
--------- --------- -------- -------- -------- --------
18.460490% 17.908407% 5.858311% 5.470630% 8.378747% 8.218994%
REO Total
- ----------------------------------------------------------------------------
No. of Principal No. of Principal
Loans Balance Loans Balance
0-29 Days 0 0.00 0-29 Days 33 2,423,511.39
30 Days 0 0.00 30 Days 169 12,910,103.72
60 Days 0 0.00 60 Days 72 5,233,675.97
90 Days 0 0.00 90 Days 38 3,640,973.01
120 Days 24 1,516,325.88 120 Days 192 13,996,515.39
150 Days 0 0.00 150 Days 0 0.00
180+ Days 0 0.00 180+ Days 0 0.00
-- ------------ --- -------------
24 1,516,325.88 504 38,204,779.48
0-29 Days 0.000000% 0.000000% 0-29 Days 2.247956% 2.087256%
30 Days 0.000000% 0.000000% 30 Days 11.512262% 11.118862%
60 Days 0.000000% 0.000000% 60 Days 4.904632% 4.507518%
90 Days 0.000000% 0.000000% 90 Days 2.588556% 3.135798%
120 Days 1.634877% 1.305940% 120 Days 13.079019% 12.054537%
150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000%
-------- -------- --------- ---------
1.634877% 1.305940% 34.332425% 32.903971%
B-60
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 1999-3
- --------------------------------------------------------------------------------
COLLATERAL STATEMENT
Collateral Description Mixed Fixed & Arm
Weighted Average Gross Coupon 10.445319%
Weighted Average Net Coupon 9.945320%
Weighted Average Pass-Through Rate 9.932820%
Weighted Average Maturity (Stepdown Calculation) 341
Beginning Scheduled Collateral Loan Count 7,232
Number of Loans Paid in Full 120
Ending Scheduled Collateral Loan Count 7,112
Beginning Scheduled Collateral Balance 540,279,170.97
Ending Scheduled Collateral Balance 529,708,157.51
Ending Actual Collateral Balance at 31-May-2001 530,444,543.08
Monthly P&I Constant 5,180,407.51
Ending Scheduled Balance for Premium Loans 529,708,157.51
Scheduled Principal 477,583.74
Unscheduled Principal 10,093,429.72
Required Overcollateralized Amount 0.00
Overcollateralized Increase Amount 0.00
Overcollateralized Reduction Amount 0.00
Specified O/C Amount 9,800,000.00
Overcollateralized Amount 9,800,000.00
Overcollateralized Deficiency Amount 0.00
Base Overcollateralization Amount 0.00
Extra Principal Distribution Amount 0.00
Excess Cash Amount 920,650.75
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Group F Curtailments $44,977.83
Group A Curtailments $4,881.61
Delinquency Reimbursement Amount $1,897,489.05
Servicing Advance Reimbursement $182,009.27
- --------------------------------------------------------------------------------
B-61
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 1999-3
Group 2 3 4 Total
Collateral Description Fixed 30 Year Fixed 30 Year Mixed ARM Mixed Fixed & Arm
Weighted Average Coupon Rate 10.413198 11.015840 10.400548 10.445319
Weighted Average Net Rate 9.900698 10.503340 9.888048 9.945320
Weighted Average Maturity (3.00) (3.00) (3.00) 341.00
Record Date 05/31/2001 05/31/2001 05/31/2001 05/31/2001
Principal And Interest Constant 3,798,773.82 305,263.16 1,076,370.53 5,180,407.51
Beginning Loan Count 5,532 217 1,483 7,232
Loans Paid In Full 103 2 15 120
Ending Loan Count 5,429 215 1,468 7,112
Beginning Scheduled Balance 391,718,307.98 31,259,636.05 117,301,226.94 540,279,170.97
Ending Scheduled Balance 382,844,190.12 30,889,184.21 115,974,783.18 529,708,157.51
Scheduled Principal 399,573.53 18,303.88 59,706.33 477,583.74
Unscheduled Principal 8,474,544.33 352,147.96 1,266,737.43 10,093,429.72
Scheduled Interest 3,399,200.29 286,959.28 1,016,664.20 4,702,823.77
Servicing Fee 163,215.97 13,024.85 48,875.51 225,116.33
Master Servicing Fee 0.00 0.00 0.00 0.00
Trustee Fee 4,080.40 325.62 1,221.89 5,627.91
FRY Amount 0.00 0.00 0.00 0.00
Special Hazard Fee 0.00 0.00 0.00 0.00
Other Fee 0.00 0.00 0.00 0.00
Pool Insurance Fee 0.00 0.00 0.00 0.00
Spread 1 0.00 0.00 0.00 0.00
Spread 2 0.00 0.00 0.00 0.00
Spread 3 0.00 0.00 0.00 0.00
Net Interest 3,231,903.92 273,608.81 966,566.80 4,472,079.53
Realized Loss Amount 105,824.85 0.00 185,359.19 291,184.04
Cumulative Realized Loss 874,664.11 0.00 497,750.68 1,372,414.79
Percentage of Cumulative Losses 0.00 0.00 0.00 0.00
B-62
EXHIBIT R
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 2000-1
Certificateholder Distribution Summary
Certificate Certificate Beginning
Class Pass-Through Certificate Interest
Class CUSIP Description Rate Balance Distribution
- ---------------------------------------------------------------------------------------------------------
A-1F 24763LGB0 SEN SEQ 7.38000% 25,600,907.28 157,445.58
A-2F 24763LGC8 SEN SEQ 7.58000% 22,700,000.00 143,388.33
A-3F 24763LGD6 SEN SEQ 7.69000% 30,300,000.00 194,172.50
A-4F 24763LGE4 SEN SEQ 7.94000% 15,300,000.00 101,235.00
A-5F 24763LGF1 SEN SEQ 8.09000% 14,900,000.00 100,450.83
A-6F 24763LGG9 SEN 7.87000% 10,000,000.00 65,583.33
IOF 24763LGH7 SEN IO 6.40000% 0.00 226,666.67
A-1A 24763LGJ3 SEN 4.38250% 52,519,803.72 198,200.26
M-1 24763LGK0 MEZ 8.09000% 16,500,000.00 111,237.50
M-2 24763LGL8 MEZ 8.09000% 11,375,000.00 76,686.46
B 24763LGM6 SUB 8.09000% 10,625,000.00 71,630.21
BIO DFH001BIO SUB IO 0.00000% 0.00 0.00
P DFH00001P PO 0.00000% 100.00 53,235.91
R-1 DFH0002R1 RES 0.00000% 0.00 0.00
R-2 DFH0002R2 RES 0.00000% 0.00 0.00
R-3 DFH0002R3 RES 0.00000% 0.00 0.00
- ----------------------------------------------------------------------------------------------------------
Totals 209,820,811.00 1,499,932.58
Current Ending Cumulative
Principal Realized Certificate Total Realized
Class Distribution Loss Balance Distribution Losses
- ----------------------------------------------------------------------------------------------------------
A-1F 3,328,278.72 0.00 22,272,628.55 3,485,724.30 0.00
A-2F 0.00 0.00 22,700,000.00 143,388.33 0.00
A-3F 0.00 0.00 30,300,000.00 194,172.50 0.00
A-4F 0.00 0.00 15,300,000.00 101,235.00 0.00
A-5F 0.00 0.00 14,900,000.00 100,450.83 0.00
A-6F 0.00 0.00 10,000,000.00 65,583.33 0.00
IOF 0.00 0.00 0.00 226,666.67 0.00
A-1A 1,471,373.83 0.00 51,048,429.89 1,669,574.09 0.00
M-1 0.00 0.00 16,500,000.00 111,237.50 0.00
M-2 0.00 0.00 11,375,000.00 76,686.46 0.00
B 0.00 0.00 10,625,000.00 71,630.21 0.00
BIO 0.00 0.00 0.00 0.00 0.00
P 0.00 0.00 100.00 53,235.91 0.00
R-1 0.00 0.00 0.00 0.00 0.00
R-2 0.00 0.00 0.00 0.00 0.00
R-3 0.00 0.00 0.00 0.00 0.00
- ----------------------------------------------------------------------------------------------------------
Totals 4,799,652.55 0.00 205,021,158.44 6,299,585.13 0.00
All distributions required by the Pooling and Servicing Agreement have been
calculated by the Certificate Administrator on behalf of the Trustee.
B-63
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 2000-1
Principal Distribution Statement
Original Beginning Scheduled Unscheduled
Face Certificate Principal Principal
Class Amount Balance Distribution Distribution Accretion
- ------------------------------------------------------------------------------------------------------------------
A-1F 53,300,000.00 25,600,907.28 159,425.57 3,168,853.15 0.00
A-2F 22,700,000.00 22,700,000.00 0.00 0.00 0.00
A-3F 30,300,000.00 30,300,000.00 0.00 0.00 0.00
A-4F 15,300,000.00 15,300,000.00 0.00 0.00 0.00
A-5F 14,900,000.00 14,900,000.00 0.00 0.00 0.00
A-6F 10,000,000.00 10,000,000.00 0.00 0.00 0.00
IOF 0.00 0.00 0.00 0.00 0.00
A-1A 65,000,000.00 52,519,803.72 25,605.81 1,445,768.02 0.00
M-1 16,500,000.00 16,500,000.00 0.00 0.00 0.00
M-2 11,375,000.00 11,375,000.00 0.00 0.00 0.00
B 10,625,000.00 10,625,000.00 0.00 0.00 0.00
BIO 0.00 0.00 0.00 0.00 0.00
P 100.00 100.00 0.00 0.00 0.00
R-1 0.00 0.00 0.00 0.00 0.00
R-2 0.00 0.00 0.00 0.00 0.00
R-3 0.00 0.00 0.00 0.00 0.00
- ------------------------------------------------------------------------------------------------------------------
Totals 250,000,100.00 209,820,811.00 185,031.38 4,614,621.17 0.00
Total Ending Ending Total
Realized Principal Certificate Certificate Principal
Class Loss (1) Reduction Balance Percentage Distribution
- ------------------------------------------------------------------------------------------------------------------
A-1F 0.00 3,328,278.72 22,272,628.55 0.41787296 3,328,278.72
A-2F 0.00 0.00 22,700,000.00 1.00000000 0.00
A-3F 0.00 0.00 30,300,000.00 1.00000000 0.00
A-4F 0.00 0.00 15,300,000.00 1.00000000 0.00
A-5F 0.00 0.00 14,900,000.00 1.00000000 0.00
A-6F 0.00 0.00 10,000,000.00 1.00000000 0.00
IOF 0.00 0.00 0.00 0.00000000 0.00
A-1A 0.00 1,471,373.83 51,048,429.89 0.78536046 1,471,373.83
M-1 0.00 0.00 16,500,000.00 1.00000000 0.00
M-2 0.00 0.00 11,375,000.00 1.00000000 0.00
B 0.00 0.00 10,625,000.00 1.00000000 0.00
BIO 0.00 0.00 0.00 0.00000000 0.00
P 0.00 0.00 100.00 1.00000000 0.00
R-1 0.00 0.00 0.00 0.00000000 0.00
R-2 0.00 0.00 0.00 0.00000000 0.00
R-3 0.00 0.00 0.00 0.00000000 0.00
- ------------------------------------------------------------------------------------------------------------------
Totals 0.00 4,799,652.55 205,021,158.44 0.82008431 4,799,652.55
(1) Amount Does Not Include Excess Special Hazard, Bankruptcy, or Fraud
Losses Unless Otherwise Disclosed. Please Refer to the Prospectus
Supplement for a Full Descript
B-64
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 2000-1
Principal Distribution Factors Statement
Original Beginning Scheduled Unscheduled
Face Certificate Principal Principal
Class(2) Amount Balance Distribution Distribution Accretion
- ------------------------------------------------------------------------------------------------------------------
A-1F 53,300,000.00 480.31720976 2.99109887 59.45315478 0.00000000
A-2F 22,700,000.00 1000.00000000 0.00000000 0.00000000 0.00000000
A-3F 30,300,000.00 1000.00000000 0.00000000 0.00000000 0.00000000
A-4F 15,300,000.00 1000.00000000 0.00000000 0.00000000 0.00000000
A-5F 14,900,000.00 1000.00000000 0.00000000 0.00000000 0.00000000
A-6F 10,000,000.00 1000.00000000 0.00000000 0.00000000 0.00000000
IOF 0.00 0.00000000 0.00000000 0.00000000 0.00000000
A-1A 65,000,000.00 807.99698031 0.39393554 22.24258492 0.00000000
M-1 16,500,000.00 1000.00000000 0.00000000 0.00000000 0.00000000
M-2 11,375,000.00 1000.00000000 0.00000000 0.00000000 0.00000000
B 10,625,000.00 1000.00000000 0.00000000 0.00000000 0.00000000
BIO 0.00 0.00000000 0.00000000 0.00000000 0.00000000
P 100.00 1000.00000000 0.00000000 0.00000000 0.00000000
R-1 0.00 0.00000000 0.00000000 0.00000000 0.00000000
R-2 0.00 0.00000000 0.00000000 0.00000000 0.00000000
R-3 0.00 0.00000000 0.00000000 0.00000000 0.00000000
- ------------------------------------------------------------------------------------------------------------------
Total Ending Ending Total
Realized Principal Certificate Certificate Principal
Class Loss (3) Reduction Balance Percentage Distribution
- ------------------------------------------------------------------------------------------------------------------
A-1F 0.00000000 62.44425366 417.87295591 0.41787296 62.44425366
A-2F 0.00000000 0.00000000 1000.00000000 1.00000000 0.00000000
A-3F 0.00000000 0.00000000 1000.00000000 1.00000000 0.00000000
A-4F 0.00000000 0.00000000 1000.00000000 1.00000000 0.00000000
A-5F 0.00000000 0.00000000 1000.00000000 1.00000000 0.00000000
A-6F 0.00000000 0.00000000 1000.00000000 1.00000000 0.00000000
IOF 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
A-1A 0.00000000 22.63652046 785.36045985 0.78536046 22.63652046
M-1 0.00000000 0.00000000 1000.00000000 1.00000000 0.00000000
M-2 0.00000000 0.00000000 1000.00000000 1.00000000 0.00000000
B 0.00000000 0.00000000 1000.00000000 1.00000000 0.00000000
BIO 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
P 0.00000000 0.00000000 1000.00000000 1.00000000 0.00000000
R-1 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
R-2 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
R-3 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
- ------------------------------------------------------------------------------------------------------------------
(2) All classes are per 1,000 denomination.
(3) Amount Does Not Include Excess Special Hazard, Bankruptcy, or Fraud
Losses Unless Otherwise Disclosed. Please Refer to the Prospectus
Supplement for a Full Descript
B-65
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 2000-1
Interest Distribution Statement
Original Current Beginning Current Payment of Current
Class Face Certificate Certificate/ Accrued Unpaid Interest
Amount Rate Notional Interest Interest Shortfall
Balance Shortfall
- ------------------------------------------------------------------------------------------------------------------------------
A-1F 53,300,000.00 7.38000% 25,600,907.28 157,445.58 0.00 0.00
A-2F 22,700,000.00 7.58000% 22,700,000.00 143,388.33 0.00 0.00
A-3F 30,300,000.00 7.69000% 30,300,000.00 194,172.50 0.00 0.00
A-4F 15,300,000.00 7.94000% 15,300,000.00 101,235.00 0.00 0.00
A-5F 14,900,000.00 8.09000% 14,900,000.00 100,450.83 0.00 0.00
A-6F 10,000,000.00 7.87000% 10,000,000.00 65,583.33 0.00 0.00
IOF 0.00 6.40000% 42,500,000.00 226,666.67 0.00 0.00
A-1A 65,000,000.00 4.38250% 52,519,803.72 198,200.26 0.00 0.00
M-1 16,500,000.00 8.09000% 16,500,000.00 111,237.50 0.00 0.00
M-2 11,375,000.00 8.09000% 11,375,000.00 76,686.46 0.00 0.00
B 10,625,000.00 8.09000% 10,625,000.00 71,630.21 0.00 0.00
BIO 0.00 0.00000% 0.00 0.00 0.00 0.00
P 100.00 0.00000% 100.00 0.00 0.00 0.00
R-1 0.00 0.00000% 0.00 0.00 0.00 0.00
R-2 0.00 0.00000% 0.00 0.00 0.00 0.00
R-3 0.00 0.00000% 0.00 0.00 0.00 0.00
- ------------------------------------------------------------------------------------------------------------------------------
Totals 250,000,100.00 1,446,696.67 0.00 0.00 0.00
Non-Supported Total Remaining Ending
Class Interest Realized Interest Unpaid Certificate/
Shortfall Loss (4) Distribution Interest Notional
Shortfall Balance
- --------------------------------------------------------------------------------------------------------
A-1F 0.00 0.00 157,445.58 0.00 22,272,628.55
A-2F 0.00 0.00 143,388.33 0.00 22,700,000.00
A-3F 0.00 0.00 194,172.50 0.00 30,300,000.00
A-4F 0.00 0.00 101,235.00 0.00 15,300,000.00
A-5F 0.00 0.00 100,450.83 0.00 14,900,000.00
A-6F 0.00 0.00 65,583.33 0.00 10,000,000.00
IOF 0.00 0.00 226,666.67 0.00 37,000,000.00
A-1A 0.00 0.00 198,200.26 0.00 51,048,429.89
M-1 0.00 0.00 111,237.50 0.00 16,500,000.00
M-2 0.00 0.00 76,686.46 0.00 11,375,000.00
B 0.00 0.00 71,630.21 0.00 10,625,000.00
BIO 0.00 0.00 0.00 0.00 0.00
P 0.00 0.00 53,235.91 0.00 100.00
R-1 0.00 0.00 0.00 0.00 0.00
R-2 0.00 0.00 0.00 0.00 0.00
R-3 0.00 0.00 0.00 0.00 0.00
- --------------------------------------------------------------------------------------------------------
Totals 0.00 0.00 1,499,932.58 0.00
(4) Amount Does Not Include Excess Special Hazard, Bankruptcy, or Fraud
Losses Unless Otherwise Disclosed. Please Refer to the Prospectus
Supplement for a Full Description.
B-66
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 2000-1
Interest Distribution Factors Statement
Original Current Beginning Current Payment of Current
Class (5) Face Certificate Certificate/ Accrued Unpaid Interest
Amount Rate Notional Interest Interest Shortfall
Balance Shortfall
- ------------------------------------------------------------------------------------------------------------------------------
A-1F 53,300,000.00 7.38000% 480.31720976 2.95395084 0.00000000 0.00000000
A-2F 22,700,000.00 7.58000% 1000.00000000 6.31666652 0.00000000 0.00000000
A-3F 30,300,000.00 7.69000% 1000.00000000 6.40833333 0.00000000 0.00000000
A-4F 15,300,000.00 7.94000% 1000.00000000 6.61666667 0.00000000 0.00000000
A-5F 14,900,000.00 8.09000% 1000.00000000 6.74166644 0.00000000 0.00000000
A-6F 10,000,000.00 7.87000% 1000.00000000 6.55833300 0.00000000 0.00000000
IOF 0.00 6.40000% 696.72131148 3.71584705 0.00000000 0.00000000
A-1A 65,000,000.00 4.38250% 807.99698031 3.04923477 0.00000000 0.00000000
M-1 16,500,000.00 8.09000% 1000.00000000 6.74166667 0.00000000 0.00000000
M-2 11,375,000.00 8.09000% 1000.00000000 6.74166681 0.00000000 0.00000000
B 10,625,000.00 8.09000% 1000.00000000 6.74166682 0.00000000 0.00000000
BIO 0.00 0.00000% 0.00000000 0.00000000 0.00000000 0.00000000
P 100.00 0.00000% 1000.00000000 0.00000000 0.00000000 0.00000000
R-1 0.00 0.00000% 0.00000000 0.00000000 0.00000000 0.00000000
R-2 0.00 0.00000% 0.00000000 0.00000000 0.00000000 0.00000000
R-3 0.00 0.00000% 0.00000000 0.00000000 0.00000000 0.00000000
Non-Supported Total Remaining Ending
Class (5) Interest Realized Interest Unpaid Certificate/
Shortfall Loss (6) Distribution Interest Notional
Shortfall Balance
- --------------------------------------------------------------------------------------------------------
A-1F 0.00000000 0.00000000 2.95395084 0.00000000 417.87295591
A-2F 0.00000000 0.00000000 6.31666652 0.00000000 1000.00000000
A-3F 0.00000000 0.00000000 6.40833333 0.00000000 1000.00000000
A-4F 0.00000000 0.00000000 6.61666667 0.00000000 1000.00000000
A-5F 0.00000000 0.00000000 6.74166644 0.00000000 1000.00000000
A-6F 0.00000000 0.00000000 6.55833300 0.00000000 1000.00000000
IOF 0.00000000 0.00000000 3.71584705 0.00000000 606.55737705
A-1A 0.00000000 0.00000000 3.04923477 0.00000000 785.36045985
M-1 0.00000000 0.00000000 6.74166667 0.00000000 1000.00000000
M-2 0.00000000 0.00000000 6.74166681 0.00000000 1000.00000000
B 0.00000000 0.00000000 6.74166682 0.00000000 1000.00000000
BIO 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
P 0.00000000 0.00000000 32359.10000000 0.00000000 1000.00000000
R-1 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
R-2 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
R-3 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
- --------------------------------------------------------------------------------------------------------
(5) All classes are per 1,000 denomination
(6) Amount Does Not Include Excess Special Hazard, Bankruptcy, or Fraud
Losses Unless Otherwise Disclosed. Please Refer to the Prospectus
Supplement for a Full Description.
Certificateholder Component Statement
Component Beginning Ending Beginning Ending Ending
Pass-Through Notional Notional Component Component Component
Class Rate Balance Balance Balance Balance Percentage
- ----------------------------------------------------------------------------------------------------------------------
OC 0.00000% 0.00 0.00 3,535,543.82 3,911,596.72 0.00000000%
FSA 0.08000% 171,320,710.99 166,521,058.44 0.00 0.00 78.73336096%
B-67
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 2000-1
Certificateholder Account Statement
- --------------------------------------------------------------------------------
CERTIFICATE ACCOUNT
Beginning Balance 0.00
Deposits
Payments of Interest and Principal 5,273,578.53
Liquidations, Insurance Proceeds, Reserve Funds 0.00
Proceeds from Repurchased Loans 0.00
Other Amounts (Servicer Advances) 1,130,771.69
Realized Losses 0.00
------------
Total Deposits 6,404,350.22
Withdrawals
Reimbursement for Servicer Advances 0.00
Payment of Service Fee 104,765.09
Payment of Interest and Principal 6,299,585.13
------------
Total Withdrawals (Pool Distribution Amount) 6,404,350.22
Ending Balance 0.00
============
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PREPAYMENT/CURTAILMENT INTEREST SHORTFALL
Total Prepayment/Curtailment Interest Shortfall 0.00
Servicing Fee Support 0.00
------------
Non-Supported Prepayment/Curtailment Interest Shortf 0.00
============
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SERVICING FEES
Gross Servicing Fee 88,898.78
Trustee Fee - Wells Fargo Bank, N.A 4,444.89
Supported Prepayment/Curtailment Interest Shortfall 0.00
------------
Net Servicing Fee 93,343.67
============
- --------------------------------------------------------------------------------
Beginning Current Current Ending
Account Type Balance Withdrawals Deposits Balance
- --------------------------------------------------------------------------------------
Reserve Fund 10,000.00 0.00 0.00 10,000.00
Reserve Fund 10,000.00 0.00 0.00 10,000.00
B-68
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 2000-1
Loan Status Stratification/Credit Enhancement Statement
DELINQUENT BANKRUPTCY FORECLOSURE
- ---------------------------------------------------------------------------------------------------------------------
No. of Principal No. of Principal No. of Principal
Loans Balance Loans Balance Loans Balance
0-29 Days 58 4,469,328.38 0-29 Days 3 144,862.83
30 Days 241 18,121,632.44 30 Days 12 826,253.96 30 Days 0 0.00
60 Days 92 6,218,424.00 60 Days 5 391,687.16 60 Days 4 485,464.44
90 Days 35 2,105,669.61 90 Days 9 547,475.08 90 Days 8 554,634.30
120 Days 41 2,986,895.00 120 Days 31 2,025,318.81 120 Days 148 10,485,373.77
150 Days 0 0.00 150 Days 0 0.00 150 Days 0 0.00
180+ Days 0 0.00 180+ Days 0 0.00 180+ Days 0 0.00
--- ------------- --- ------------ --- -------------
409 29,432,621.05 115 8,260,063.39 163 11,670,335.34
No. of Principal No. of Principal No. of Principal
Loans Balance Loans Balance Loans Balance
0-29 Days 2.062589% 2.137065% 0-29 Days 0.106686% 0.069268%
30 Days 8.570413% 8.665083% 30 Days 0.426743% 0.395084% 30 Days 0.000000% 0.000000%
60 Days 3.271693% 2.973417% 60 Days 0.177809% 0.187290% 60 Days 0.142248% 0.232131%
90 Days 1.244666% 1.006852% 90 Days 0.320057% 0.261782% 90 Days 0.284495% 0.265205%
120 Days 1.458037% 1.428221% 120 Days 1.102418% 0.968431% 120 Days 5.263158% 5.013711%
150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000%
-------- --------- -------- -------- -------- --------
4.544808% 14.073573% 4.089616% 3.949652% 5.796586% 5.580316%
REO Total
- ----------------------------------------------------------------------------
No. of Principal No. of Principal
Loans Balance Loans Balance
0-29 Days 0 0.00 0-29 Days 61 4,614,191.21
30 Days 1 44,629.69 30 Days 254 18,992,516.09
60 Days 0 0.00 60 Days 101 7,095,575.60
90 Days 0 0.00 90 Days 52 3,207,778.99
120 Days 16 677,975.26 120 Days 236 16,175,562.84
150 Days 0 0.00 150 Days 0 0.00
180+ Days 0 0.00 180+ Days 0 0.00
-- ---------- --- -------------
17 722,604.95 704 50,085,624.73
0-29 Days 0.000000% 0.000000% 0-29 Days 2.169275% 2.206333%
30 Days 0.035562% 0.021340% 30 Days 9.032717% 9.081507%
60 Days 0.000000% 0.000000% 60 Days 3.591750% 3.392837%
90 Days 0.000000% 0.000000% 90 Days 1.849218% 1.533839%
120 Days 0.568990% 0.324182% 120 Days 8.392603% 7.734546%
150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000%
-------- -------- --------- ---------
0.604552% 0.345523% 25.035562% 23.949062%
(7) The 120 Day category for delinquent, bankruptcy, foreclosure, and REO
contains loans that are 120 days or more delinquent.
Current Period Realized Loss - Includes Interest Shortfall 0.00
Cumulative Realized Losses - Includes Interest Shortfall 264,332.75
Current Period Class A Insufficient Funds 0.00
Principal Balance of Contaminated Properties 0.00
Periodic Advance 0.00
B-69
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 2000-1
Delinquency Status By Group
DELINQUENT BANKRUPTCY FORECLOSURE
- ----------------------------------------------------------------------------------------------------------------------
1 No. of Principal No. of Principal No. of Principal
Loans Balance Loans Balance Loans Balance
0-29 Days 38 2,791,499.59 0-29 Days 2 82,168.97
30 Days 176 12,721,743.03 30 Days 4 194,462.02 30 Days 0 0.00
60 Days 61 4,373,134.25 60 Days 3 194,813.87 60 Days 3 400,875.69
90 Days 26 1,565,945.01 90 Days 7 416,079.60 90 Days 7 367,785.53
120 Days 30 2,003,850.75 120 Days 19 1,190,208.77 120 Days 102 7,040,803.24
150 Days 0 0.00 150 Days 0 0.00 150 Days 0 0.00
180+ Days 0 0.00 180+ Days 0 0.00 180+ Days 0 0.00
--- ------------- -- ------------ --- ------------
293 20,664,673.04 71 4,787,063.85 114 7,891,633.43
0-29 Days 1.784038% 1.801584% 0-29 Days 0.093897% 0.053030%
30 Days 8.262911% 8.210388% 30 Days 0.187793% 0.125502% 30 Days 0.000000% 0.000000%
60 Days 2.863850% 2.822343% 60 Days 0.140845% 0.125729% 60 Days 0.140845% 0.258718%
90 Days 1.220657% 1.010633% 90 Days 0.328638% 0.268530% 90 Days 0.328638% 0.237362%
120 Days 1.408451% 1.293250% 120 Days 0.892019% 0.768140% 120 Days 4.788732% 4.544010%
150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000%
--------- --------- -------- -------- -------- --------
13.755869% 13.336614% 3.333333% 3.089486% 5.352113% 5.093120%
REO Total
- ---------------------------------------------------------------------------
No. of Principal No. of Principal
Loans Balance Loans Balance
0-29 Days 0 0.00 0-29 Days 40 2,873,668.56
30 Days 1 44,629.69 30 Days 181 12,960,834.74
60 Days 0 0.00 60 Days 67 4,968,823.81
90 Days 0 0.00 90 Days 40 2,349,810.14
120 Days 9 398,658.02 120 Days 160 10,633,520.78
150 Days 0 0.00 150 Days 0 0.00
180+ Days 0 0.00 180+ Days 0 0.00
-- ---------- --- -------------
10 443,287.71 488 33,786,658.03
0-29 Days 0.000000% 0.000000% 0-29 Days 1.877934% 1.854615%
30 Days 0.046948% 0.028803% 30 Days 8.497653% 8.364693%
60 Days 0.000000% 0.000000% 60 Days 3.145540% 3.206791%
90 Days 0.000000% 0.000000% 90 Days 1.877934% 1.516526%
120 Days 0.422535% 0.257287% 120 Days 7.511737% 6.862686%
150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000%
-------- -------- --------- ---------
0.469484% 0.286090% 22.910798% 21.805310%
DELINQUENT BANKRUPTCY FORECLOSURE
- ----------------------------------------------------------------------------------------------------------------------
2 No. of Principal No. of Principal No. of Principal
Loans Balance Loans Balance Loans Balance
0-29 Days 20 1,677,828.79 0-29 Days 1 62,693.86
30 Days 65 5,399,889.41 30 Days 8 631,791.94 30 Days 0 0.00
60 Days 31 1,845,289.75 60 Days 2 196,873.29 60 Days 1 84,588.75
90 Days 9 539,724.60 90 Days 2 131,395.48 90 Days 1 186,848.77
120 Days 11 983,044.25 120 Days 12 835,110.04 120 Days 46 3,444,570.53
150 Days 0 0.00 150 Days 0 0.00 150 Days 0 0.00
180+ Days 0 0.00 180+ Days 0 0.00 80+ Days 0 0.00
--- ------------ -- ------------ -- ------------
116 8,767,948.01 44 3,472,999.54 49 3,778,701.91
0-29 Days 2.932551% 3.096365% 0-29 Days 0.146628% 0.115699%
30 Days 9.530792% 9.965278% 30 Days 1.173021% 1.165946% 30 Days 0.000000% 0.000000%
60 Days 4.545455% 3.405408% 60 Days 0.293255% 0.363322% 60 Days 0.146628% 0.156105%
90 Days 1.319648% 0.996040% 90 Days 0.293255% 0.242485% 90 Days 0.146628% 0.344822%
120 Days 1.612903% 1.814168% 120 Days 1.759531% 1.541162% 120 Days 6.744868% 6.356816%
150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000%
--------- --------- -------- -------- -------- --------
17.008798% 16.180894% 6.451613% 6.409280% 7.184751% 6.973442%
REO Total
- ----------------------------------------------------------------------------
No. of Principal No. of Principal
Loans Balance Loans Balance
0-29 Days 0 0.00 0-29 Days 21 1,740,522.65
30 Days 0 0.00 30 Days 73 6,031,681.35
60 Days 0 0.00 60 Days 34 2,126,751.79
90 Days 0 0.00 90 Days 12 857,968.85
120 Days 7 279,317.24 120 Days 76 5,542,042.06
150 Days 0 0.00 150 Days 0 0.00
180+ Days 0 0.00 180+ Days 0 0.00
- ---------- --- -------------
7 279,317.24 216 16,298,966.70
0-29 Days 0.000000% 0.000000% 0-29 Days 3.079179% 3.212064%
30 Days 0.000000% 0.000000% 30 Days 10.703812% 11.131224%
60 Days 0.000000% 0.000000% 60 Days 4.985337% 3.924834%
90 Days 0.000000% 0.000000% 90 Days 1.759531% 1.583347%
120 Days 1.026393% 0.515469% 120 Days 11.143695% 10.227615%
150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000%
-------- -------- --------- ---------
1.026393% 0.515469% 31.671554% 30.079084%
B-70
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 2000-1
- --------------------------------------------------------------------------------
COLLATERAL STATEMENT
Collateral Description Mixed Fixed & Arm
Weighted Average Gross Coupon 10.841098%
Weighted Average Net Coupon 10.341097%
Weighted Average Pass-Through Rate 10.316097%
Weighted Average Maturity (Stepdown Calculation) 345
Beginning Scheduled Collateral Loan Count 2,859
Number of Loans Paid in Full 47
Ending Scheduled Collateral Loan Count 2,812
Beginning Scheduled Collateral Balance 213,356,354.81
Ending Scheduled Collateral Balance 208,932,755.16
Ending Actual Collateral Balance at 31-May-2001 209,133,969.81
Monthly P&I Constant 2,112,545.74
Ending Scheduled Balance for Premium Loans 208,932,755.16
Scheduled Principal 185,031.38
Unscheduled Principal 4,238,568.27
Required Overcollateralized Amount 0.00
Overcollateralized Increase Amount 376,052.90
Overcollateralized Reduction Amount 0.00
Specified O/C Amount 4,625,000.00
Overcollateralized Amount 3,911,596.72
Overcollateralized Deficiency Amount 1,089,456.18
Base Overcollateralization Amount 0.00
Extra Principal Distribution Amount 376,052.90
Excess Cash Amount 376,052.90
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Interest Advance Recoveries $ 744,726.99
Servicing Advance Recoveries $ 54,794.85
- --------------------------------------------------------------------------------
B-71
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 2000-1
- -------------------------------------------------------------------------------------------------------
Group 1 2 Total
Collateral Description Mixed Fixed Mixed ARM Mixed Fixed & Arm
Weighted Average Coupon Rate 10.914116 10.632835 10.841098
Weighted Average Net Rate 10.389116 10.107835 10.341097
Weighted Average Maturity 345.00 345.00 345.00
Record Date 05/31/2001 05/31/2001 05/31/2001
Principal And Interest Constant 1,596,188.35 516,357.39 2,112,545.74
Beginning Loan Count 2,163 696 2,859
Loans Paid In Full 33 14 47
Ending Loan Count 2,130 682 2,812
Beginning Scheduled Balance 157,971,133.90 55,385,220.91 213,356,354.81
Ending Scheduled Balance 154,787,403.33 54,145,351.83 208,932,755.16
Scheduled Principal 159,425.57 25,605.81 185,031.38
Unscheduled Principal 3,024,305.00 1,214,263.27 4,238,568.27
Scheduled Interest 1,436,762.78 490,751.58 1,927,514.36
Servicing Fee 65,821.31 23,077.17 88,898.48
Master Servicing Fee 0.00 0.00 0.00
Trustee Fee 3,291.07 1,153.86 4,444.93
FRY Amount 0.00 0.00 0.00
Special Hazard Fee 0.00 0.00 0.00
Other Fee 0.00 0.00 0.00
Pool Insurance Fee 0.00 0.00 0.00
Spread 1 0.00 0.00 0.00
Spread 2 0.00 0.00 0.00
Spread 3 0.00 0.00 0.00
Net Interest 1,367,650.40 466,520.55 1,834,170.95
Realized Loss Amount 0.00 0.00 0.00
Cumulative Realized Loss 256,865.62 7,467.13 264,332.75
Percentage of Cumulative Losses 0.00 0.00 0.00
- -------------------------------------------------------------------------------------------------------
B-72
EXHIBIT S
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 2000-2
Certificateholder Distribution Summary
Certificate Certificate Beginning
Class Pass-Through Certificate Interest
Class CUSIP Description Rate Balance Distribution
- ---------------------------------------------------------------------------------------------------------
A_1F 24763LGN4 SEN 7.79000% 36,001,496.51 233,709.71
A_2F 24763LGP9 SEN 7.82000% 14,502,000.00 94,504.70
A_3F 24763LGQ7 SEN 7.98000% 41,519,000.00 276,101.35
A_4F 24763LGR5 SEN 8.22000% 10,953,000.00 75,028.05
A_5F 24763LGS3 SEN 8.36000% 20,327,000.00 141,611.43
A_6F 24763LGT1 SEN 7.97000% 21,000,000.00 139,475.00
IOF 24763LGU8 SEN 7.00000% 0.00 268,333.33
A_1A 24763LGV6 SEN 4.44250% 55,245,653.37 211,341.48
M_1 24763LGW4 MEZ 8.36000% 16,500,000.00 114,950.00
M_2 24763LGX2 MEZ 8.36000% 11,344,000.00 79,029.87
B 24763LGY0 JUN 8.36000% 12,375,000.00 86,212.50
BIO DFH002BIO JUN 0.00000% 0.00 68.61
OC DFH0002OC JUN 0.00000% 2,975,380.57 0.00
R_1 DFH0002R1 JUN 0.00000% 0.00 0.00
R_2 DFH0002R2 RES 0.00000% 0.00 0.00
R_3 DFH0002R3 RES 0.00000% 0.00 0.00
- ---------------------------------------------------------------------------------------------------------
Totals 242,742,530.45 1,720,366.03
Current Ending Cumulative
Principal Realized Certificate Total Realized
Class Distribution Loss Balance Distribution Losses
- ----------------------------------------------------------------------------------------------------------
A_1F 5,800,560.03 0.00 30,200,936.49 6,034,269.74 0.00
A_2F 0.00 0.00 14,502,000.00 94,504.70 0.00
A_3F 0.00 0.00 41,519,000.00 276,101.35 0.00
A_4F 0.00 0.00 10,953,000.00 75,028.05 0.00
A_5F 0.00 0.00 20,327,000.00 141,611.43 0.00
A_6F 0.00 0.00 21,000,000.00 139,475.00 0.00
IOF 0.00 0.00 0.00 268,333.33 0.00
A_1A 2,220,722.00 0.00 53,024,931.37 2,432,063.48 0.00
M_1 0.00 0.00 16,500,000.00 114,950.00 0.00
M_2 0.00 0.00 11,344,000.00 79,029.87 0.00
B 0.00 0.00 12,375,000.00 86,212.50 0.00
BIO 0.00 0.00 0.00 68.61 0.00
OC 0.00 0.00 3,359,456.11 0.00 0.00
R_1 0.00 0.00 0.00 0.00 0.00
R_2 0.00 0.00 0.00 0.00 0.00
R_3 0.00 0.00 0.00 0.00 0.00
- ----------------------------------------------------------------------------------------------------------
Totals 8,021,282.03 0.00 235,105,323.97 9,741,648.06 0.00
All distributions required by the Pooling and Servicing Agreement have been
calculated by the Certificate Administrator on behalf of the Trustee.
B-73
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 2000-2
Principal Distribution Statement
Original Beginning Scheduled Unscheduled
Face Certificate Principal Principal
Class Amount Balance Distribution Distribution Accretion
- ------------------------------------------------------------------------------------------------------------------
A_1F 61,480,000.00 36,001,496.51 195,146.68 5,605,413.35 0.00
A_2F 14,502,000.00 14,502,000.00 0.00 0.00 0.00
A_3F 41,519,000.00 41,519,000.00 0.00 0.00 0.00
A_4F 10,953,000.00 10,953,000.00 0.00 0.00 0.00
A_5F 20,327,000.00 20,327,000.00 0.00 0.00 0.00
A_6F 21,000,000.00 21,000,000.00 0.00 0.00 0.00
IOF 0.00 0.00 0.00 0.00 0.00
A_1A 65,000,000.00 55,245,653.37 24,871.41 2,195,850.59 0.00
M_1 16,500,000.00 16,500,000.00 0.00 0.00 0.00
M_2 11,344,000.00 11,344,000.00 0.00 0.00 0.00
B 12,375,000.00 12,375,000.00 0.00 0.00 0.00
BIO 0.00 0.00 0.00 0.00 0.00
OC 0.00 2,975,380.57 0.00 0.00 0.00
R_1 0.00 0.00 0.00 0.00 0.00
R_2 0.00 0.00 0.00 0.00 0.00
R_3 0.00 0.00 0.00 0.00 0.00
- ------------------------------------------------------------------------------------------------------------------
Totals 275,000,000.00 242,742,530.45 220,018.09 7,801,263.94 0.00
Total Ending Ending Total
Realized Principal Certificate Certificate Principal
Class Loss (1) Reduction Balance Percentage Distribution
- ------------------------------------------------------------------------------------------------------------------
A_1F 0.00 5,800,560.03 30,200,936.49 0.49123189 5,800,560.03
A_2F 0.00 0.00 14,502,000.00 1.00000000 0.00
A_3F 0.00 0.00 41,519,000.00 1.00000000 0.00
A_4F 0.00 0.00 10,953,000.00 1.00000000 0.00
A_5F 0.00 0.00 20,327,000.00 1.00000000 0.00
A_6F 0.00 0.00 21,000,000.00 1.00000000 0.00
IOF 0.00 0.00 0.00 0.00000000 0.00
A_1A 0.00 2,220,722.00 53,024,931.37 0.81576817 2,220,722.00
M_1 0.00 0.00 16,500,000.00 1.00000000 0.00
M_2 0.00 0.00 11,344,000.00 1.00000000 0.00
B 0.00 0.00 12,375,000.00 1.00000000 0.00
BIO 0.00 0.00 0.00 0.00000000 0.00
OC 0.00 0.00 3,359,456.11 0.00000000 0.00
R_1 0.00 0.00 0.00 0.00000000 0.00
R_2 0.00 0.00 0.00 0.00000000 0.00
R_3 0.00 0.00 0.00 0.00000000 0.00
- ------------------------------------------------------------------------------------------------------------------
Totals 0.00 8,021,282.03 235,105,323.97 0.85492845 8,021,282.03
(1) Amount Does Not Include Excess Special Hazard, Bankruptcy, or Fraud
Losses Unless Otherwise Disclosed. Please Refer to the Prospectus
Supplement for a Full Descript
B-74
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 2000-2
Principal Distribution Factors Statement
Original Beginning Scheduled Unscheduled
Face Certificate Principal Principal
Class (2) Amount Balance Distribution Distribution Accretion
- ------------------------------------------------------------------------------------------------------------------
A_1F 61,480,000.00 585.58061988 3.17414899 91.17458279 0.00000000
A_2F 14,502,000.00 1000.00000000 0.00000000 0.00000000 0.00000000
A_3F 41,519,000.00 1000.00000000 0.00000000 0.00000000 0.00000000
A_4F 10,953,000.00 1000.00000000 0.00000000 0.00000000 0.00000000
A_5F 20,327,000.00 1000.00000000 0.00000000 0.00000000 0.00000000
A_6F 21,000,000.00 1000.00000000 0.00000000 0.00000000 0.00000000
IOF 0.00 0.00000000 0.00000000 0.00000000 0.00000000
A_1A 65,000,000.00 849.93312877 0.38263708 33.78231677 0.00000000
M_1 16,500,000.00 1000.00000000 0.00000000 0.00000000 0.00000000
M_2 11,344,000.00 1000.00000000 0.00000000 0.00000000 0.00000000
B 12,375,000.00 1000.00000000 0.00000000 0.00000000 0.00000000
BIO 0.00 0.00000000 0.00000000 0.00000000 0.00000000
OC 0.00 0.00000000 0.00000000 0.00000000 0.00000000
R_1 0.00 0.00000000 0.00000000 0.00000000 0.00000000
R_2 0.00 0.00000000 0.00000000 0.00000000 0.00000000
R_3 0.00 0.00000000 0.00000000 0.00000000 0.00000000
Total Ending Ending Total
Realized Principal Certificate Certificate Principal
Class (2) Loss (3) Reduction Balance Percentage Distribution
- ------------------------------------------------------------------------------------------------------------------
A_1F 0.00000000 94.34873178 491.23188826 0.49123189 94.34873178
A_2F 0.00000000 0.00000000 1000.00000000 1.00000000 0.00000000
A_3F 0.00000000 0.00000000 1000.00000000 1.00000000 0.00000000
A_4F 0.00000000 0.00000000 1000.00000000 1.00000000 0.00000000
A_5F 0.00000000 0.00000000 1000.00000000 1.00000000 0.00000000
A_6F 0.00000000 0.00000000 1000.00000000 1.00000000 0.00000000
IOF 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
A_1A 0.00000000 34.16495385 815.76817492 0.81576817 34.16495385
M_1 0.00000000 0.00000000 1000.00000000 1.00000000 0.00000000
M_2 0.00000000 0.00000000 1000.00000000 1.00000000 0.00000000
B 0.00000000 0.00000000 1000.00000000 1.00000000 0.00000000
BIO 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
OC 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
R_1 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
R_2 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
R_3 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
(2) All classes are per 1,000 denomination.
(3) Amount Does Not Include Excess Special Hazard, Bankruptcy, or Fraud
Losses Unless Otherwise Disclosed. Please Refer to the Prospectus
Supplement for a Full Descript
B-75
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 2000-2
Interest Distribution Statement
Original Current Beginning Current Payment of Current
Class Face Certificate Certificate/ Accrued Unpaid Interest
Amount Rate Notional Interest Interest Shortfall
Balance Shortfall
- ------------------------------------------------------------------------------------------------------------------------------
A_1F 61,480,000.00 7.79000% 36,001,496.51 233,709.71 0.00 0.00
A_2F 14,502,000.00 7.82000% 14,502,000.00 94,504.70 0.00 0.00
A_3F 41,519,000.00 7.98000% 41,519,000.00 276,101.35 0.00 0.00
A_4F 10,953,000.00 8.22000% 10,953,000.00 75,028.05 0.00 0.00
A_5F 20,327,000.00 8.36000% 20,327,000.00 141,611.43 0.00 0.00
A_6F 21,000,000.00 7.97000% 21,000,000.00 139,475.00 0.00 0.00
IOF 0.00 7.00000% 46,000,000.00 268,333.33 0.00 0.00
A_1A 65,000,000.00 4.44250% 55,245,653.37 211,341.48 0.00 0.00
M_1 16,500,000.00 8.36000% 16,500,000.00 114,950.00 0.00 0.00
M_2 11,344,000.00 8.36000% 11,344,000.00 79,029.87 0.00 0.00
B 12,375,000.00 8.36000% 12,375,000.00 86,212.50 0.00 0.00
BIO 0.00 0.00000% 0.00 0.00 0.00 0.00
OC 0.00 0.00000% 2,975,380.57 0.00 0.00 0.00
R_1 0.00 0.00000% 0.00 0.00 0.00 0.00
R_2 0.00 0.00000% 0.00 0.00 0.00 0.00
R_3 0.00 0.00000% 0.00 0.00 0.00 0.00
- ------------------------------------------------------------------------------------------------------------------------------
Totals 275,000,000.00 1,720,297.42 0.00 0.00
Non-Supported Total Remaining Ending
Class Interest Realized Interest Unpaid Certificate/
Shortfall Loss (4) Distribution Interest Notional
Shortfall Balance
- --------------------------------------------------------------------------------------------------------
A_1F 0.00 0.00 233,709.71 0.00 30,200,936.49
A_2F 0.00 0.00 94,504.70 0.00 14,502,000.00
A_3F 0.00 0.00 276,101.35 0.00 41,519,000.00
A_4F 0.00 0.00 75,028.05 0.00 10,953,000.00
A_5F 0.00 0.00 141,611.43 0.00 20,327,000.00
A_6F 0.00 0.00 139,475.00 0.00 21,000,000.00
IOF 0.00 0.00 268,333.33 0.00 41,000,000.00
A_1A 0.00 0.00 211,341.48 0.00 53,024,931.37
M_1 0.00 0.00 114,950.00 0.00 16,500,000.00
M_2 0.00 0.00 79,029.87 0.00 11,344,000.00
B 0.00 0.00 86,212.50 0.00 12,375,000.00
BIO 0.00 0.00 68.61 0.00 0.00
OC 0.00 0.00 0.00 0.00 3,359,456.11
R_1 0.00 0.00 0.00 0.00 0.00
R_2 0.00 0.00 0.00 0.00 0.00
R_3 0.00 0.00 0.00 0.00 0.00
- --------------------------------------------------------------------------------------------------------
Totals 0.00 0.00 1,720,366.03 0.00
(4) Amount Does Not Include Excess Special Hazard, Bankruptcy, or Fraud
Losses Unless Otherwise Disclosed. Please Refer to the Prospectus
Supplement for a Full Description.
B-76
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 2000-2
Interest Distribution Factors Statement
Original Current Beginning Current Payment of Current
Class (5) Face Certificate Certificate/ Accrued Unpaid Interest
Amount Rate Notional Interest Interest Shortfall
Balance Shortfall
- ------------------------------------------------------------------------------------------------------------------------------
A_1F 61,480,000.00 7.79000% 585.58061988 3.80139411 0.00000000 0.00000000
A_2F 14,502,000.00 7.82000% 1000.00000000 6.51666667 0.00000000 0.00000000
A_3F 41,519,000.00 7.98000% 1000.00000000 6.65000000 0.00000000 0.00000000
A_4F 10,953,000.00 8.22000% 1000.00000000 6.85000000 0.00000000 0.00000000
A_5F 20,327,000.00 8.36000% 1000.00000000 6.96666650 0.00000000 0.00000000
A_6F 21,000,000.00 7.97000% 1000.00000000 6.64166667 0.00000000 0.00000000
IOF 0.00 7.00000% 786.32478632 4.58689453 0.00000000 0.00000000
A_1A 65,000,000.00 4.44250% 849.93312877 3.25140738 0.00000000 0.00000000
M_1 16,500,000.00 8.36000% 1000.00000000 6.96666667 0.00000000 0.00000000
M_2 11,344,000.00 8.36000% 1000.00000000 6.96666696 0.00000000 0.00000000
B 12,375,000.00 8.36000% 1000.00000000 6.96666667 0.00000000 0.00000000
BIO 0.00 0.00000% 0.00000000 0.00000000 0.00000000 0.00000000
OC 0.00 0.00000% 0.00000000 0.00000000 0.00000000 0.00000000
R_1 0.00 0.00000% 0.00000000 0.00000000 0.00000000 0.00000000
R_2 0.00 0.00000% 0.00000000 0.00000000 0.00000000 0.00000000
R_3 0.00 0.00000% 0.00000000 0.00000000 0.00000000 0.00000000
Non-Supported Total Remaining Ending
Class (5) Interest Realized Interest Unpaid Certificate/
Shortfall Loss (6) Distribution Interest Notional
Shortfall Balance
- --------------------------------------------------------------------------------------------------------
A_1F 0.00000000 0.00000000 3.80139411 0.00000000 491.23188826
A_2F 0.00000000 0.00000000 6.51666667 0.00000000 1000.00000000
A_3F 0.00000000 0.00000000 6.65000000 0.00000000 1000.00000000
A_4F 0.00000000 0.00000000 6.85000000 0.00000000 1000.00000000
A_5F 0.00000000 0.00000000 6.96666650 0.00000000 1000.00000000
A_6F 0.00000000 0.00000000 6.64166667 0.00000000 1000.00000000
IOF 0.00000000 0.00000000 4.58689453 0.00000000 700.85470085
A_1A 0.00000000 0.00000000 3.25140738 0.00000000 815.76817492
M_1 0.00000000 0.00000000 6.96666667 0.00000000 1000.00000000
M_2 0.00000000 0.00000000 6.96666696 0.00000000 1000.00000000
B 0.00000000 0.00000000 6.96666667 0.00000000 1000.00000000
BIO 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
OC 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
R_1 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
R_2 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
R_3 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
(5) All classes are per 1,000 denomination
(6) Amount Does Not Include Excess Special Hazard, Bankruptcy, or Fraud
Losses Unless Otherwise Disclosed. Please Refer to the Prospectus
Supplement for a Full Description.
Certificateholder Component Statement
Component Beginning Ending Beginning Ending Ending
Pass-Through Notional Notional Component Component Component
Class Rate Balance Balance Balance Balance Percentage
- ----------------------------------------------------------------------------------------------------------------------
FSA 0.08000% 199,548,149.88 191,526,867.86 0.00 0.00 81.57681749%
B-77
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 2000-2
Certificateholder Account Statement
- --------------------------------------------------------------------------------
CERTIFICATE ACCOUNT
Beginning Balance 0.00
Deposits
Payments of Interest and Principal 7,933,974.68
Liquidations, Insurance Proceeds, Reserve Funds 0.00
Proceeds from Repurchased Loans 0.00
Other Amounts (Servicer Advances) 1,897,908.95
Realized Losses 0.00
------------
Total Deposits 9,831,883.63
Withdrawals
Reimbursement for Servicer Advances 0.00
Payment of Service Fee 90,235.57
Payment of Interest and Principal 9,741,648.06
------------
Total Withdrawals (Pool Distribution Amount) 9,831,883.63
Ending Balance 0.00
============
- --------------------------------------------------------------------------------
PREPAYMENT/CURTAILMENT INTEREST SHORTFALL
Total Prepayment/Curtailment Interest Shortfall 29,267.50
------------
Servicing Fee Support 29,267.50
------------
Non-Supported Prepayment/Curtailment Interest Shortf 0.00
============
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SERVICING FEES
Gross Servicing Fee 101,142.72
Trustee Fee- Wells Fargo 5,057.14
Supported Prepayment/Curtailment Interest Shortfall 29,267.50
------------
Net Servicing Fee 76,932.36
============
- --------------------------------------------------------------------------------
Beginning Current Current Ending
Account Type Balance Withdrawals Deposits Balance
- --------------------------------------------------------------------------------------
Net Rate Cap Fund 10,000.00 34.30 34.30 10,000.00
LIBOR Carryover Fund 10,000.00 34.31 34.31 10,000.00
B-78
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 2000-2
Loan Status Stratification/Credit Enhancement Statement
DELINQUENT BANKRUPTCY FORECLOSURE
- ----------------------------------------------------------------------------------------------------------------------
No. of Principal No. of Principal No. of Principal
Loans Balance Loans Balance Loans Balance
0-29 Days 7 810,459.48 0-29 Days 5 288,446.41
30 Days 186 13,225,340.12 30 Days 0 0.00 30 Days 0 0.00
60 Days 75 5,186,359.37 60 Days 2 134,990.68 60 Days 5 488,694.13
90 Days 35 2,235,437.25 90 Days 1 132,812.83 90 Days 15 1,370,254.62
120 Days 31 1,756,170.35 120 Days 41 2,732,034.28 120 Days 174 12,553,894.63
150 Days 0 0.00 150 Days 0 0.00 150 Days 0 0.00
180+ Days 0 0.00 180+ Days 0 0.00 180+ Days 0 0.00
--- ------------ -- ------------ --- ------------
327 22,403,307.09 51 3,810,297.27 199 14,701,289.79
- ----------------------------------------------------------------------------------------------------------------------
No. of Principal No. of Principal No. of Principal
Loans Balance Loans Balance Loans Balance
0-29 Days 0.218750% 0.344482% 0-29 Days 0.156250% 0.122603%
30 Days 5.812500% 5.621366% 30 Days 0.000000% 0.000000% 30 Days 0.000000% 0.000000%
60 Days 2.343750% 2.204437% 60 Days 0.062500% 0.057377% 60 Days 0.156250% 0.207717%
90 Days 1.093750% 0.950162% 90 Days 0.031250% 0.056451% 90 Days 0.468750% 0.582420%
120 Days 0.968750% 0.746452% 120 Days 1.281250% 1.161238% 120 Days 5.437500% 5.335971%
150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000%
-------- -------- -------- -------- -------- --------
0.218750% 9.522416% 1.593750% 1.619548% 6.218750% 6.248711%
REO Total
- -----------------------------------------------------------------------------
No. of Principal No. of Principal
Loans Balance Loans Balance
0-29 Days 0 0.00 0-29 Days 12 1,098,905.89
30 Days 0 0.00 30 Days 186 13,225,340.12
60 Days 0 0.00 60 Days 82 5,810,044.18
90 Days 1 90,716.84 90 Days 52 3,829,221.54
120 Days 20 805,202.02 120 Days 266 17,847,301.28
150 Days 0 0.00 150 Days 0 0.00
180+ Days 0 0.00 180+ Days 0 0.00
-- ---------- --- -------------
21 895,918.86 598 41,810,813.01
No. of Principal No. of Principal
Loans Balance Loans Balance
0-29 Days 0.000000% 0.000000% 0-29 Days 0.375000% 0.467085%
30 Days 0.000000% 0.000000% 30 Days 5.812500% 5.621366%
60 Days 0.000000% 0.000000% 60 Days 2.562500% 2.469531%
90 Days 0.031250% 0.038559% 90 Days 1.625000% 1.627592%
120 Days 0.625000% 0.342247% 120 Days 8.312500% 7.585908%
150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000%
-------- -------- --------- ---------
0.656250% 0.380806% 18.687500% 17.771481%
(7) The 120 day category for delinquent, bankruptcy, foreclosures, and REO
contains that are 120 days or more delinquent.
Current Period Realized Loss -
Includes Interest Shortfall 0.00 Principal Balance of Contaminated Properties 0.00
Cumulative Realized Losses -
Includes Interest Shortfall 0.00 Periodic Advance 1,897,908.95
Current Period Class A
Insufficient Funds 0.00
B-79
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 2000-2
Delinquency Status By Group
DELINQUENT BANKRUPTCY FORECLOSURE
- ----------------------------------------------------------------------------------------------------------------------
1 No. of Principal No. of Principal No. of Principal
Loans Balance Loans Balance Loans Balance
0-29 Days 4 382,760.49 0-29 Days 1 43,792.32
30 Days 129 8,367,812.30 30 Days 0 0.00 30 Days 0 0.00
60 Days 58 4,330,774.83 60 Days 1 15,530.19 60 Days 3 292,283.06
90 Days 25 1,618,653.87 90 Days 1 132,812.83 90 Days 10 591,565.71
120 Days 29 1,247,780.20 120 Days 24 1,363,239.81 120 Days 115 8,001,221.86
150 Days 0 0.00 150 Days 0 0.00 150 Days 0 0.00
180+ Days 0 0.00 180+ Days 0 0.00 180+ Days 0 0.00
--- ------------- -- ------------ --- ------------
241 15,565,021.20 30 1,894,343.32 129 8,928,862.95
0-29 Days 0.159490% 0.214320% 0-29 Days 0.039872% 0.024521%
30 Days 5.143541% 4.685409% 30 Days 0.000000% 0.000000% 30 Days 0.000000% 0.000000%
60 Days 2.312600% 2.424941% 60 Days 0.039872% 0.008696% 60 Days 0.119617% 0.163659%
90 Days 0.996810% 0.906337% 90 Days 0.039872% 0.074366% 90 Days 0.398724% 0.331237%
120 Days 1.156300% 0.698673% 120 Days 0.956938% 0.763322% 120 Days 4.585327% 4.480143%
150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000%
-------- -------- -------- -------- -------- --------
9.609250% 8.715360% 1.196172% 1.060704% 5.143541% 4.999560%
REO Total
- ----------------------------------------------------------------------------
1 No. of Principal No. of Principal
Loans Balance Loans Balance
0-29 Days 0 0.00 0-29 Days 5 426,552.81
30 Days 0 0.00 30 Days 129 8,367,812.30
60 Days 0 0.00 60 Days 62 4,638,588.08
90 Days 0 0.00 90 Days 36 2,343,032.41
120 Days 14 518,579.26 120 Days 182 11,130,821.13
150 Days 0 0.00 150 Days 0 0.00
180+ Days 0 0.00 180+ Days 0 0.00
--- ------------- --- -------------
14 518,579.26 414 26,906,806.73
0-29 Days 0.000000% 0.000000% 0-29 Days 0.199362% 0.238841%
30 Days 0.000000% 0.000000% 30 Days 5.143541% 4.685409%
60 Days 0.000000% 0.000000% 60 Days 2.472089% 2.597296%
90 Days 0.000000% 0.000000% 90 Days 1.435407% 1.311940%
120 Days 0.558214% 0.290369% 120 Days 7.256778% 6.232508%
150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000%
-------- -------- --------- ---------
0.558214% 0.290369% 16.507177% 15.065993%
DELINQUENT BANKRUPTCY FORECLOSURE
- ----------------------------------------------------------------------------------------------------------------------
2 No. of Principal No. of Principal No. of Principal
Loans Balance Loans Balance Loans Balance
0-29 Days 3 427,698.99 0-29 Days 4 244,654.09
30 Days 57 4,857,527.82 30 Days 0 0.00 30 Days 0 0.00
60 Days 17 855,584.54 60 Days 1 119,460.49 60 Days 2 196,411.07
90 Days 10 616,783.38 90 Days 0 0.00 90 Days 5 778,688.91
120 Days 2 508,390.15 120 Days 17 1,368,794.47 120 Days 59 4,552,672.77
150 Days 0 0.00 150 Days 0 0.00 150 Days 0 0.00
180+ Days 0 0.00 180+ Days 0 0.00 180+ Days 0 0.00
--- ------------- -- ------------ --- ------------
86 6,838,285.89 21 1,915,953.95 70 5,772,426.84
0-29 Days 0.433526% 0.754636% 0-29 Days 0.578035% 0.431670%
30 Days 8.236994% 8.570671% 30 Days 0.000000% 0.000000% 30 Days 0.000000% 0.000000%
60 Days 2.456647% 1.509602% 60 Days 0.144509% 0.210777% 60 Days 0.289017% 0.346550%
90 Days 1.445087% 1.088259% 90 Days 0.000000% 0.000000% 90 Days 0.722543% 1.373927%
120 Days 0.289017% 0.897009% 120 Days 2.456647% 2.415115% 120 Days 8.526012% 8.032781%
150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000%
-------- -------- -------- -------- -------- --------
12.427746% 12.065540% 3.034682% 3.380528% 10.115607% 10.184928%
REO Total
- ----------------------------------------------------------------------------
2 No. of Principal No. of Principal
Loans Balance Loans Balance
0-29 Days 0 0.00 0-29 Days 7 672,353.08
30 Days 0 0.00 30 Days 57 4,857,527.82
60 Days 0 0.00 60 Days 20 1,171,456.10
90 Days 1 90,716.84 90 Days 16 1,486,189.13
120 Days 6 286,622.76 120 Days 84 6,716,480.15
150 Days 0 0.00 150 Days 0 0.00
180+ Days 0 0.00 180+ Days 0 0.00
--- ------------- --- -------------
7 377,339.60 184 14,904,006.28
0-29 Days 0.000000% 0.000000% 0-29 Days 1.011561% 1.186307%
30 Days 0.000000% 0.000000% 30 Days 8.236994% 8.570671%
60 Days 0.000000% 0.000000% 60 Days 2.890173% 2.066929%
90 Days 0.144509% 0.160062% 90 Days 2.312139% 2.622247%
120 Days 0.867052% 0.505720% 120 Days 12.138728% 11.850625%
150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000%
-------- -------- --------- ---------
1.011561% 0.665782% 26.589595% 26.296778%
B-80
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 2000-2
COLLATERAL STATEMENT
Collateral Description Fixed & Mixed ARM
Weighted Average Gross Coupon 10.993752%
Weighted Average Net Coupon 10.468754%
Weighted Average Pass-Through Rate 10.468754%
Weighted Average Maturity (Stepdown Calculation) 348
Beginning Scheduled Collateral Loan Count 3,286
Number of Loans Paid in Full 86
Ending Scheduled Collateral Loan Count 3,200
Beginning Scheduled Collateral Balance 242,742,530.45
Ending Scheduled Collateral Balance 235,105,323.97
Ending Actual Collateral Balance at 31-May-2001 235,269,152.69
Monthly P&I Constant 2,443,894.13
Ending Scheduled Balance for Premium Loans 235,105,323.97
Scheduled Principal 220,018.09
Unscheduled Principal 7,417,188.39
Required Overcollateralized Amount 0.00
Overcollateralized Increase Amount 384,075.54
Overcollateralized Reduction Amount 0.00
Specified O/C Amount 4,468,750.00
Overcollateralized Amount 3,359,456.11
Overcollateralized Deficiency Amount 1,493,369.43
Base Overcollateralization Amount 0.00
Extra Principal Distribution Amount 384,075.54
Excess Cash Amount 384,075.54
Group F Curtailment $80,371.57
Group A Curtailment $4,160.74
B-81
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 2000-2
Group 1 2 Total
Collateral Description Fixed 30 Year 6 Month LIBOR ARM Fixed & Mixed ARM
Weighted Average Coupon Rate 11.009609 10.943381 10.993752
Weighted Average Net Rate 10.484609 10.418381 10.468754
Weighted Average Maturity 300.00 348.00 348.00
Record Date 05/31/2001 05/31/2001 05/31/2001
Principal And Interest Constant 1,889,019.47 554,874.66 2,443,894.13
Beginning Loan Count 2,577 709 3,286
Loans Paid In Full 69 17 86
Ending Loan Count 2,508 692 3,200
Beginning Scheduled Balance 184,624,851.69 58,117,678.76 242,742,530.45
Ending Scheduled Balance 178,465,533.57 56,639,790.40 235,105,323.97
Scheduled Principal 195,146.68 24,871.41 220,018.09
Unscheduled Principal 5,964,171.44 1,453,016.95 7,417,188.39
Scheduled Interest 1,693,872.79 530,003.25 2,223,876.04
Servicing Fee 76,927.02 24,215.70 101,142.72
Master Servicing Fee 0.00 0.00 0.00
Trustee Fee 3,846.35 1,210.79 5,057.14
FRY Amount 0.00 0.00 0.00
Special Hazard Fee 0.00 0.00 0.00
Other Fee 0.00 0.00 0.00
Pool Insurance Fee 0.00 0.00 0.00
Spread 1 0.00 0.00 0.00
Spread 2 0.00 0.00 0.00
Spread 3 0.00 0.00 0.00
Net Interest 1,613,099.42 504,576.76 2,117,676.18
Realized Loss Amount 0.00 0.00 0.00
Cumulative Realized Loss 0.00 0.00 0.00
Percentage of Cumulative Losses 0.00 0.00 0.00
B-82
EXHIBIT T
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 2000-3
Certificateholder Distribution Summary
Certificate Certificate Beginning
Class Pass-Through Certificate Interest Principal
Class CUSIP Description Rate Balance Distribution Distribution
A_1F 24763LGZ7 SEN 7.26000% 30,188,248.69 182,638.90 3,418,807.40
A_2F 24763LHA1 SEN 7.17000% 12,000,000.00 71,700.00 0.00
A_3F 24763LHB9 SEN 7.31000% 29,000,000.00 176,658.33 0.00
A_4F 24763LHC7 SEN 7.61000% 8,000,000.00 50,733.33 0.00
A 5F 24763LHD5 SEN 7.89000% 17,500,000.00 115,062.50 0.00
A 6F 24763LHE3 SEN 7.51000% 12,000,000.00 75,100.00 0.00
IOF 24763LHF0 SEN 9.20000% 0.00 334,266.67 0.00
A_1A 24763LHG8 SEN 4.37250% 49,608,744.23 186,787.26 1,560,451.51
M_1 24763LHH6 MEZ 7.89000% 9,500,000.00 62,462.50 0.00
M_2 24763LHJ2 MEZ 7.89000% 8,500,000.00 55,887.50 0.00
B 24763LHK9 JUN 7.89000% 6,500,000.00 42,737.50 0.00
BIO DFH003BIO JUN 0.00000% 0.00 0.00 0.00
R_1 DFH0003R1 SEN 0.00000% 0.00 0.00 0.00
R_2 DFH0003R2 SEN 0.00000% 0.00 0.00 0.00
R_3 DFH0003R3 SEN 0.00000% 0.00 0.00 0.00
P DFH00003P JUN 0.00000% 100.00 133,821.33 0.00
Totals 182,797,092.92 1,487,855.82 4,979,258.91
Current Ending Cumulative
Realized Certificate Total Realized
Class Loss Balance Distribution Losses
A_1F 0.00 26,769,441.29 3,601,446.30 0.00
A_2F 0.00 12,000,000.00 71,700.00 0.00
A_3F 0.00 29,000,000.00 176,658.33 0.00
A_4F 0.00 8,000,000.00 50,733.33 0.00
A 5F 0.00 17,500,000.00 115,062.50 0.00
A 6F 0.00 12,000,000.00 75,100.00 0.00
IOF 0.00 0.00 334,266.67 0.00
A_1A 0.00 48,048,292.72 1,747,238.77 0.00
M_1 0.00 9,500,000.00 62,462.50 0.00
M_2 0.00 8,500,000.00 55,887.50 0.00
B 0.00 6,500,000.00 42,737.50 0.00
BIO 0.00 0.00 0.00 0.00
R_1 0.00 0.00 0.00 0.00
R_2 0.00 0.00 0.00 0.00
R_3 0.00 0.00 0.00 0.00
P 0.00 100.00 133,821.33 0.00
Totals 0.00 177,817,834.01 6,467,114.73 0.00
All distributions required by the Pooling and Servicing Agreement have been
calculated by the Certificate Administrator on behalf of the Trustee.
B-83
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 2000-3
Principal Distribution Statement
Original Beginning Scheduled Unscheduled
Face Certificate Principal Principal
Class Amount Balance Distribution Distribution Accretion
A_1F 42,000,000.00 30,188,248.69 126,346.42 3,292,460.98 0.00
A_2F 12,000,000.00 12,000,000.00 0.00 0.00 0.00
A_3F 29,000,000.00 29,000,000.00 0.00 0.00 0.00
A_4F 8,000,000.00 8,000,000.00 0.00 0.00 0.00
A_5F 17,500,000.00 17,500,000.00 0.00 0.00 0.00
A_6F 12,000,000.00 12,000,000.00 0.00 0.00 0.00
IOF 0.00 0.00 0.00 0.00 0.00
A_1A 55,000,000.00 49,608,744.23 19,471.01 1,540,980.50 0.00
M_1 9,500,000.00 9,500,000.00 0.00 0.00 0.00
M_2 8,500,000.00 8,500,000.00 0.00 0.00 0.00
B 6,500,000.00 6,500,000.00 0.00 0.00 0.00
BIO 0.00 0.00 0.00 0.00 0.00
P 100.00 100.00 0.00 0.00 0.00
100.00 100.00 0.00 0.00 0.00
Totals 200,000,200.00 182,797,192.92 145,817.43 4,833,441.48 0.00
Total Ending Ending Total
Realized Principal Certificate Certificate Principal
Class Loss (1) Reduction Balance Percentage Distribution
A_1F 0.00 3,418,807.40 26,769,441.29 0.63736765 3,418,807.40
A_2F 0.00 0.00 12,000,000.00 1.00000000 0.00
A_3F 0.00 0.00 29,000,000.00 1.00000000 0.00
A_4F 0.00 0.00 8,000,000.00 1.00000000 0.00
A_5F 0.00 0.00 17,500,000.00 1.00000000 0.00
A_6F 0.00 0.00 12,000,000.00 1.00000000 0.00
IOF 0.00 0.00 0.00 0.00000000 0.00
A_1A 0.00 1,560,451.51 48,048,292.72 0.87360532 1,560,451.51
M_1 0.00 0.00 9,500,000.00 1.00000000 0.00
M_2 0.00 0.00 8,500,000.00 1.00000000 0.00
B 0.00 0.00 6,500,000.00 1.00000000 0.00
BIO 0.00 0.00 0.00 0.00000000 0.00
P 0.00 0.00 100.00 1.00000000 0.00
0.00 0.00 100.00 1.00000000 0.00
Totals 0.00 4,979,258.91 177,817,934.01 0.88908878 4,979,258.91
(1) Amount Does Not Include Excess Special Hazard, Bankruptcy, or Fraud
Losses Unless Otherwise Disclosed. Please Refer to the Prospectus
Supplement for a Full Descript
B-84
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 2000-3
Principal Distribution Factors Statement
Original Beginning Scheduled Unscheduled
Face Certificate Principal Principal Realized
Class (2) Amount Balance Distribution Distribution Accretion Loss (3)
A_1F 42,000,000.00 718.76782595 3.00824810 78.39192810 0.00000000 0.00000000
A_2F 12,000,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 0.00000000
A_3F 29,000,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 0.00000000
A_4F 8,000,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 0.00000000
A_5F 17,500,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 0.00000000
A_6F 12,000,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 0.00000000
IOF 0.00 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
A_1A 55,000,000.00 901.97716782 0.35401836 28.01782727 0.00000000 0.00000000
M_1 9,500,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 0.00000000
M_2 8,500,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 0.00000000
B 6,500,000.00 1000.00000000 0.00000000 0.00000000 0.00000000 0.00000000
BIO 0.00 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
R_1 0.00 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
R_2 0.00 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
R_3 0.00 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
P 100.00 1000.00000000 0.00000000 0.00000000 0.00000000 0.00000000
Total Ending Ending Total
Principal Certificate Certificate Principal
Class (2) Reduction Balance Percentage Distribution
A_1F 81.40017619 637.36764976 0.63736765 81.40017619
A_2F 0.00000000 1000.00000000 1.00000000 0.00000000
A_3F 0.00000000 1000.00000000 1.00000000 0.00000000
A_4F 0.00000000 1000.00000000 1.00000000 0.00000000
A_5F 0.00000000 1000.00000000 1.00000000 0.00000000
A_6F 0.00000000 1000.00000000 1.00000000 0.00000000
IOF 0.00000000 0.00000000 0.00000000 0.00000000
A_1A 28.37184564 873.60532218 0.87360532 28.37184564
M_1 0.00000000 1000.00000000 1.00000000 0.00000000
M_2 0.00000000 1000.00000000 1.00000000 0.00000000
B 0.00000000 1000.00000000 1.00000000 0.00000000
BIO 0.00000000 0.00000000 0.00000000 0.00000000
R_1 0.00000000 0.00000000 0.00000000 0.00000000
R_2 0.00000000 0.00000000 0.00000000 0.00000000
R_3 0.00000000 0.00000000 0.00000000 0.00000000
P 0.00000000 1000.00000000 1.00000000 0.00000000
(2) All classes are per $1,000 denomination.
(3) Amount Does Not Include Excess Special Hazard, Bankruptcy, or Fraud
Losses Unless Otherwise Disclosed. Please Refer to the Prospectus
Supplement for a Full Descript
B-85
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 2000-3
Interest Distribution Statement
Original Current Beginning Current Payment of Current
Class Face Certificate Certificate/ Accrued Unpaid Interest
Amount Rate Notional Interest Interest Shortfall
Balance Shortfall
- ---------------------------------------------------------------------------------------------------------------------
A_1F 42,000,000.00 7.26000% 30,188,248.69 182,638.90 0.00 0.00
A_2F 12,000,000.00 7.17000% 12,000,000.00 71,700.00 0.00 0.00
A_3F 29,000,000.00 7.31000% 29,000,000.00 176,658.33 0.00 0.00
A_4F 8,000,000.00 7.61000% 8,000,000.00 50,733.33 0.00 0.00
A_5F 17,500,000.00 7.89000% 17,500,000.00 115,062.50 0.00 0.00
A_6F 12,000,000.00 7.51000% 12,000,000.00 75,100.00 0.00 0.00
IOF 0.00 9.20000% 43,600,000.00 334,266.67 0.00 0.00
A_1A 55,000,000.00 4.37250% 49,608,744.23 186,787.26 0.00 0.00
M_1 9,500,000.00 7.89000% 9,500,000.00 62,462.50 0.00 0.00
M_2 8,500,000.00 7.89000% 8,500,000.00 55,887.50 0.00 0.00
B 6,500,000.00 7.89000% 6,500,000.00 42,737.50 0.00 0.00
BIO 0.00 0.00000% 0.00 0.00 0.00 0.00
R_1 0.00 0.00000% 0.00 0.00 0.00 0.00
R_2 0.00 0.00000% 0.00 0.00 0.00 0.00
R_3 0.00 0.00000% 0.00 0.00 0.00 0.00
P 100.00 0.00000% 100.00 0.00 0.00 0.00
Totals 200,000,100.00 1,354,034.49 0.00 0.00
Non-Supported Total Remaining Ending
Class Interest Realized Interest Unpaid Certificate/
Shortfall Loss (4) Distribution Interest Notional
Shortfall Balance
- -----------------------------------------------------------------------------------------------
A_1F 0.00 0.00 182,638.90 0.00 26,769,441.29
A_2F 0.00 0.00 71,700.00 0.00 12,000,000.00
A_3F 0.00 0.00 176,658.33 0.00 29,000,000.00
A_4F 0.00 0.00 50,733.33 0.00 8,000,000.00
A_5F 0.00 0.00 115,062.50 0.00 17,500,000.00
A_6F 0.00 0.00 75,100.00 0.00 12,000,000.00
IOF 0.00 0.00 334,266.67 0.00 38,400,000.00
A_1A 0.00 0.00 186,787.26 0.00 48,048,292.72
M_1 0.00 0.00 62,462.50 0.00 9,500,000.00
M_2 0.00 0.00 55,887.50 0.00 8,500,000.00
B 0.00 0.00 42,737.50 0.00 6,500,000.00
BIO 0.00 0.00 0.00 0.00 0.00
R_1 0.00 0.00 0.00 0.00 0.00
R_2 0.00 0.00 0.00 0.00 0.00
R_3 0.00 0.00 0.00 0.00 0.00
P 0.00 0.00 133,821.33 0.00 100.00
Totals 0.00 0.00 1,487,855.82 0.00
(4) Amount Does Not Include Excess Special Hazard, Bankruptcy, or Fraud
Losses Unless Otherwise Disclosed. Please Refer to the Prospectus
Supplement for a Full Description.
B-86
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 2000-3
Interest Distribution Factors Statement
Original Current Beginning Current Payment of Current
Class (5) Face Certificate Certificate/ Accrued Unpaid Interest
Amount Rate Notional Interest Interest Shortfall
Balance Shortfall
A_1F 42,000,000.00 7.26000% 718.76782595 4.34854524 0.00000000 0.00000000
A_2F 12,000,000.00 7.17000% 1000.00000000 5.97500000 0.00000000 0.00000000
A_3F 29,000,000.00 7.31000% 1000.00000000 6.09166655 0.00000000 0.00000000
A_4F 8,000,000.00 7.61000% 1000.00000000 6.34166625 0.00000000 0.00000000
A_5F 17,500,000.00 7.89000% 1000.00000000 6.57500000 0.00000000 0.00000000
A_6F 12,000,000.00 7.51000% 1000.00000000 6.25833333 0.00000000 0.00000000
IOF 0.00 9.20000% 893.44262295 6.84972684 0.00000000 0.00000000
A_1A 55,000,000.00 4.37250% 901.97716782 3.39613200 0.00000000 0.00000000
M_1 9,500,000.00 7.89000% 1000.00000000 6.57500000 0.00000000 0.00000000
M_2 8,500,000.00 7.89000% 1000.00000000 6.57500000 0.00000000 0.00000000
B 6,500,000.00 7.89000% 1000.00000000 6.57500000 0.00000000 0.00000000
BIO 0.00 0.00000% 0.00000000 0.00000000 0.00000000 0.00000000
R_1 0.00 0.00000% 0.00000000 0.00000000 0.00000000 0.00000000
R_2 0.00 0.00000% 0.00000000 0.00000000 0.00000000 0.00000000
R_3 0.00 0.00000% 0.00000000 0.00000000 0.00000000 0.00000000
P 100.00 0.00000% 1000.00000000 0.00000000 0.00000000 0.00000000
Non-Supported Total Remaining Ending
Class (5) Interest Realized Interest Unpaid Certificate/
Shortfall Loss (6) Distribution Interest Notional
Shortfall Balance
A_1F 0.00000000 0.00000000 4.34854524 0.00000000 637.36764976
A_2F 0.00000000 0.00000000 5.97500000 0.00000000 1000.00000000
A_3F 0.00000000 0.00000000 6.09166655 0.00000000 1000.00000000
A_4F 0.00000000 0.00000000 6.34166625 0.00000000 1000.00000000
A_5F 0.00000000 0.00000000 6.57500000 0.00000000 1000.00000000
A_6F 0.00000000 0.00000000 6.25833333 0.00000000 1000.00000000
IOF 0.00000000 0.00000000 6.84972684 0.00000000 786.88524590
A_1A 0.00000000 0.00000000 3.39613200 0.00000000 873.60532218
M_1 0.00000000 0.00000000 6.57500000 0.00000000 1000.00000000
M_2 0.00000000 0.00000000 6.57500000 0.00000000 1000.00000000
B 0.00000000 0.00000000 6.57500000 0.00000000 1000.00000000
BIO 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
R_1 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
R_2 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
R_3 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
P 0.00000000 0.00000000 38213.30000000 0.00000000 1000.00000000
(5) All classes are per $1,000 denomination
(6) Amount Does Not Include Excess Special Hazard, Bankruptcy, or Fraud
Losses Unless Otherwise Disclosed. Please Refer to the Prospectus
Supplement for a Full Description.
B-87
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 2000-3
Certificateholder Account Statement
- -----------------------------------------------------------------------------------
CERTIFICATE ACCOUNT
- -----------------------------------------------------------------------------------
Beginning Balance 0.00
Deposits
Payments of Interest and Principal 5,385,820.39
Liquidations, Insurance Proceeds, Reserve Funds 0.00
Proceeds from Repurchased Loans 0.00
Other Amounts (Servicer Advances) 1,155,429.67
Realized Losses 0.00
------------
Total Deposits 6,541,250.06
Withdrawals
Reimbursement for Servicer Advances 0.00
Payment of Service Fee 74,135.33
Payment of Interest and Principal 6,467,114.73
------------
Total Withdrawals (Pool Distribution Amount) 6,541,250.06
Ending Balance 0.00
============
- -----------------------------------------------------------------------------------
PREPAYMENT/CURTAILMENT INTEREST SHORTFALL
- -----------------------------------------------------------------------------------
Total Prepayment/Curtailment Interest Shortfall 17,897.66
Servicing Fee Support 17,897.66
------------
Non-Supported Prepayment/Curtailment Interest Shortfall 0.00
============
- -----------------------------------------------------------------------------------
SERVICING FEES
- -----------------------------------------------------------------------------------
Gross Servicing Fee 76,871.31
Trustee - Wells Fargo Bank N.A 4,608.55
Supported Prepayment/Curtailment Interest Shortfall 17,897.66
------------
Net Servicing Fee 63,582.20
============
- -----------------------------------------------------------------------------------
Beginning Current Current Ending
Account Type Balance Withdrawals Deposits Balance
- ------------------------------------------------------------------------------------------------------------
Net Rate Cap Fund 10,000.00 0.00 0.00 10,000.00
LIBOR Carryover Fund 10,000.00 0.00 0.00 10,000.00
B-88
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 2000-3
Loan Status Stratification/Credit Enhancement Statement
DELINQUENT BANKRUPTCY FORECLOSURE
- ----------------------------------------------------------------------------------------------------------------------
No. of Principal No. of Principal No. of Principal
Loans Balance Loans Balance Loans Balance
0-29 Days 7 447,659.09 0-29 Days 3 85,787.43
30 Days 151 9,686,134.65 30 Days 0 0.00 30 Days 1 87,123.90
60 Days 61 3,882,009.08 60 Days 2 75,167.02 60 Days 5 382,984.02
90 Days 20 1,451,664.97 90 Days 1 101,272.62 90 Days 14 1,432,204.34
120 Days 17 671,023.12 120 Days 10 608,882.03 120 Days 163 10,010,253.97
150 Days 0 0.00 150 Days 0 0.00 150 Days 0 0.00
180+ Days 0 0.00 180+ Days 0 0.00 180+ Days 0 0.00
--- ------------- -- ------------ --- -------------
249 15,690,831.82 20 1,232,980.76 186 11,998,353.66
REO Total
- -----------------------------------------------------------------------------
No. of Principal No. of Principal
Loans Balance Loans Balance
0-29 Days 0 0.00 0-29 Days 10 533,446.52
30 Days 0 0.00 30 Days 152 9,773,258.55
60 Days 0 0.00 60 Days 68 4,340,160.12
90 Days 0 0.00 90 Days 35 2,985,141.93
120 Days 5 334,061.41 120 Days 195 11,624,220.53
150 Days 0 0.00 150 Days 0 0.00
180+ Days 0 0.00 180+ Days 0 0.00
- ---------- --- -------------
5 334,061.41 460 29,256,227.65
DELINQUENT BANKRUPTCY FORECLOSURE
- ----------------------------------------------------------------------------------------------------------------------
No. of Principal No. of Principal No. of Principal
Loans Balance Loans Balance Loans Balance
0-29 Days 0.265152% 0.248967% 0-29 Days 0.113636% 0.047711%
30 Days 5.719697% 5.386983% 30 Days 0.000000% 0.000000% 30 Days 0.037879% 0.048454%
60 Days 2.310606% 2.158995% 60 Days 0.075758% 0.041804% 60 Days 0.189394% 0.212998%
90 Days 0.757576% 0.807349% 90 Days 0.037879% 0.056323% 90 Days 0.530303% 0.796526%
120 Days 0.643939% 0.373192% 120 Days 0.378788% 0.338632% 120 Days 6.174242% 5.567244%
150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000%
-------- -------- -------- -------- -------- --------
9.431818% 8.726520% 0.757576% 0.685727% 7.045455% 6.672933%
REO Total
- -----------------------------------------------------------------------------
No. of Principal No. of Principal
Loans Balance Loans Balance
0-29 Days 0.000000% 0.000000% 0-29 Days 0.378788% 0.296678%
30 Days 0.000000% 0.000000% 30 Days 5.757576% 5.435438%
60 Days 0.000000% 0.000000% 60 Days 2.575758% 2.413798%
90 Days 0.000000% 0.000000% 90 Days 1.325758% 1.660199%
120 Days 0.189394% 0.185790% 120 Days 7.386364% 6.464858%
150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000%
-------- -------- --------- ---------
0.189394% 0.185790% 17.424242% 16.270970%
(7) The 120 day category for delinquent, bankruptcy, foreclosure, and REO
contains loans that are 120 days or more delinquent.
Current Period Realized Loss -
Includes Interest Shortfall 0.00 Principal Balance of Contaminated Properties 0.00
Cumulative Realized Losses -
Includes Interest Shortfall 0.00 Periodic Advance 1,155,429.67
Current Period Class A Insufficient Funds 0.00
B-89
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 2000-3
Delinquency Status By Group
DELINQUENT BANKRUPTCY FORECLOSURE
- ----------------------------------------------------------------------------------------------------------------------
1 No. of Principal No. of Principal No. of Principal
Loans Balance Loans Balance Loans Balance
0-29 Days 5 273,623.77 0-29 Days 3 85,787.43
30 Days 99 6,142,977.50 30 Days 0 0.00 30 Days 1 87,123.90
60 Days 41 2,377,455.79 60 Days 2 75,167.02 60 Days 3 265,726.87
90 Days 16 1,184,426.31 90 Days 0 0.00 90 Days 10 858,117.37
120 Days 10 223,506.31 120 Days 5 310,172.75 120 Days 98 5,887,656.77
150 Days 0 0.00 150 Days 0 0.00 150 Days 0 0.00
180+ Days 0 0.00 180+ Days 0 0.00 180+ Days 0 0.00
--- ------------ -- ---------- --- ------------
166 9,928,365.91 12 658,963.54 115 7,184,412.34
0-29 Days 0.251762% 0.211343% 0-29 Days 0.151057% 0.066261%
30 Days 4.984894% 4.744738% 30 Days 0.000000% 0.000000% 30 Days 0.050352% 0.067293%
60 Days 2.064451% 1.836309% 60 Days 0.100705% 0.058058% 60 Days 0.151057% 0.205243%
90 Days 0.805639% 0.914832% 90 Days 0.000000% 0.000000% 90 Days 0.503525% 0.662796%
120 Days 0.503525% 0.172633% 120 Days 0.251762% 0.239572% 120 Days 4.934542% 4.547532%
150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000%
-------- -------- -------- -------- -------- --------
8.358510% 7.668511% 0.604230% 0.508973% 5.790534% 5.549126%
REO Total
- -----------------------------------------------------------------------------
No. of Principal No. of Principal
Loans Balance Loans Balance
0-29 Days 0 0.00 0-29 Days 8 359,411.20
30 Days 0 0.00 30 Days 100 6,230,101.40
60 Days 0 0.00 60 Days 46 2,718,349.68
90 Days 0 0.00 90 Days 26 2,042,543.68
120 Days 4 234,472.82 120 Days 117 6,655,808.65
150 Days 0 0.00 150 Days 0 0.00
180+ Days 0 0.00 180+ Days 0 0.00
- ---------- --- -------------
4 234,472.82 297 18,006,214.61
0-29 Days 0.000000% 0.000000% 0-29 Days 0.402820% 0.277603%
30 Days 0.000000% 0.000000% 30 Days 5.035247% 4.812031%
60 Days 0.000000% 0.000000% 60 Days 2.316213% 2.099610%
90 Days 0.000000% 0.000000% 90 Days 1.309164% 1.577628%
120 Days 0.201410% 0.181103% 120 Days 5.891239% 5.140840%
150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000%
-------- -------- --------- ---------
0.201410% 0.181103% 14.954683% 13.907713%
DELINQUENT BANKRUPTCY FORECLOSURE
- ----------------------------------------------------------------------------------------------------------------------
2 No. of Principal No. of Principal No. of Principal
Loans Balance Loans Balance Loans Balance
0-29 Days 2 174,035.32 0-29 Days 0 0.00
30 Days 52 3,543,157.15 30 Days 0 0.00 30 Days 0 0.00
60 Days 20 1,504,553.29 60 Days 0 0.00 60 Days 2 117,257.15
90 Days 4 267,238.66 90 Days 1 101,272.62 90 Days 4 574,086.97
120 Days 7 447,516.81 120 Days 5 298,709.28 120 Days 65 4,122,597.20
150 Days 0 0.00 150 Days 0 0.00 150 Days 0 0.00
180+ Days 0 0.00 180+ Days 0 0.00 180+ Days 0 0.00
-- ------------ - ---------- -- ------------
83 5,762,465.91 8 574,017.22 71 4,813,941.32
0-29 Days 0.305810% 0.345740% 0-29 Days 0.000000% 0.000000%
30 Days 7.951070% 7.038870% 30 Days 0.000000% 0.000000% 30 Days 0.000000% 0.000000%
60 Days 3.058104% 2.988960% 60 Days 0.000000% 0.000000% 60 Days 0.305810% 0.232944%
90 Days 0.611621% 0.530899% 90 Days 0.152905% 0.201189% 90 Days 0.611621% 1.140487%
120 Days 1.070336% 0.889041% 120 Days 0.764526% 0.593419% 120 Days 9.938838% 8.189991%
150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000%
--------- --------- -------- -------- --------- --------
12.691131% 11.447770% 1.223242% 1.140348% 10.856269% 9.563422%
REO Total
- -----------------------------------------------------------------------------
No. of Principal No. of Principal
Loans Balance Loans Balance
0-29 Days 0 0.00 0-29 Days 2 174,035.32
30 Days 0 0.00 30 Days 52 3,543,157.15
60 Days 0 0.00 60 Days 22 1,621,810.44
90 Days 0 0.00 90 Days 9 942,598.25
120 Days 1 99,588.59 120 Days 78 4,968,411.88
150 Days 0 0.00 150 Days 0 0.00
180+ Days 0 0.00 180+ Days 0 0.00
- --------- --- -------------
1 99,588.59 163 11,250,013.04
0-29 Days 0.000000% 0.000000% 0-29 Days 0.305810% 0.345740%
30 Days 0.000000% 0.000000% 30 Days 7.951070% 7.038870%
60 Days 0.000000% 0.000000% 60 Days 3.363914% 3.221904%
90 Days 0.000000% 0.000000% 90 Days 1.376147% 1.872575%
120 Days 0.152905% 0.197844% 120 Days 11.926606% 9.870294%
150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000%
-------- -------- --------- ---------
0.152905% 0.197844% 24.923547% 22.349383%
B-90
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 2000-3
COLLATERAL STATEMENT
Collateral Description Fixed & Mixed ARM
Weighted Average Gross Coupon 11.737372%
Weighted Average Net Coupon 11.236967%
Weighted Average Pass-Through Rate 11.206966%
Weighted Average Maturity (Stepdown Calculation) 352
Beginning Scheduled Collateral Loan Count 2,700
Number of Loans Paid in Full 60
Ending Scheduled Collateral Loan Count 2,640
Beginning Scheduled Collateral Balance 184,341,936.33
Ending Scheduled Collateral Balance 179,719,684.84
Ending Actual Collateral Balance at 31-May-2001 179,806,288.94
Monthly P&I Constant 2,082,713.62
Ending Scheduled Balance for Premium Loans 179,719,684.84
Required Overcollateralized Amount 0.00
Overcollateralized Increase Amount 357,007.43
Overcollateralized Reduction Amount 0.00
Specified O/C Amount 4,500,000.00
Overcollateralized Amount 1,901,850.82
Overcollateralized Deficiency Amount 2,955,156.61
Base Overcollateralization Amount 0.00
Extra Principal Distribution Amount 0.00
Excess Cash Amount 357,007.43
Curtailments Group F -$116,703.49
Curtailments Group A $527.83
Group F Prepayment Penalties $83,886.92
Group A Prepayment Penalties $49,934.41
B-91
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 2000-3
Group 1 2 Total
Collateral Description Mixed Fixed Mixed ARM Fixed & Mixed ARM
Weighted Average Coupon Rate 12.565268 12.719395 11.737372
Weighted Average Net Rate 12.034706 12.189395 11.236967
Weighted Average Maturity 200.00 350.00 352.00
Record Date 05/31/2001 05/31/2001 05/31/2001
Principal And Interest Constant 1,515,165.98 567,547.64 ,082,713.62
Beginning Loan Count 2,034 666 2,700
Loans Paid In Full 48 12 60
Ending Loan Count 1,986 654 2,640
Beginning Scheduled Balance 132,634,133.19 51,707,803.14 184,341,936.33
Ending Scheduled Balance 129,404,115.24 50,315,569.60 179,719,684.84
Scheduled Principal 126,346.42 19,471.01 145,817.43
Unscheduled Principal 3,103,671.53 1,372,762.53 4,476,434.06
Scheduled Interest 1,388,819.56 548,076.63 1,936,896.19
Servicing Fee 55,326.34 21,544.92 76,871.26
Master Servicing Fee 0.00 0.00 0.00
Trustee Fee 3,315.86 1,292.69 4,608.55
FRY Amount 0.00 0.00 0.00
Special Hazard Fee 0.00 0.00 0.00
Other Fee 0.00 0.00 0.00
Pool Insurance Fee 0.00 0.00 0.00
Spread 1 0.00 0.00 0.00
Spread 2 0.00 0.00 0.00
Spread 3 0.00 0.00 0.00
Net Interest 1,330,177.36 525,239.02 1,855,416.38
Realized Loss Amount 0.00 0.00 0.00
Cumulative Realized Loss 0.00 0.00 0.00
Percentage of Cumulative Losses 0.00 0.00 0.00
B-92
EXHIBIT U
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 2000-4
Certificateholder Distribution Summary
Certificate Certificate Beginning
Class Pass-Through Certificate Interest
Class CUSIP Description Rate Balance Distribution
- ---------------------------------------------------------------------------------------------------------
A 24763LHL7 SEN 7.06000% 94,138,878.81 553,850.40
IO 24763LHM5 IO 9.25000% 0.00 250,666.67
M-1 24763LHN3 MEZ 7.15000% 6,000,000.00 35,750.00
M-2 24763LHP8 MEZ 7.15000% 5,500,000.00 32,770.83
B 24763LHQ6 SUB 7.15000% 4,900,000.00 29,195.83
BIO DFH004BIO SUB 0.00000% 0.00 0.00
R-1 DFH0004R1 RES 0.00000% 0.00 0.00
R-2 DFH0004R2 RES 0.00000% 0.00 0.00
R-3 DFH0004R3 RES 0.00000% 0.00 0.00
P DFH00004P SEN 0.00000% 100.00 6,318.01
- ---------------------------------------------------------------------------------------------------------
Totals 110,538,978.81 908,551.74
Current Ending Cumulative
Principal Realized Certificate Total Realized
Class Distribution Loss Balance Distribution Losses
- ----------------------------------------------------------------------------------------------------------
A 3,428,331.92 0.00 90,710,546.88 3,982,182.32 0.00
IO 0.00 0.00 0.00 250,666.67 0.00
M-1 0.00 0.00 6,000,000.00 35,750.00 0.00
M-2 0.00 0.00 5,500,000.00 32,770.83 0.00
B 0.00 0.00 4,900,000.00 29,195.83 0.00
BIO 0.00 0.00 0.00 0.00 0.00
R-1 0.00 0.00 0.00 0.00 0.00
R-2 0.00 0.00 0.00 0.00 0.00
R-3 0.00 0.00 0.00 0.00 0.00
P 0.00 0.00 100.00 6,318.01 0.00
- ----------------------------------------------------------------------------------------------------------
Totals 3,428,331.92 0.00 107,110,646.88 4,336,883.66 0.00
All distributions required by the Pooling and Servicing Agreement have been
calculated by the Certificate Administrator on behalf of the Trustee.
B-93
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 2000-4
Principal Distribution Statement
Original Beginning Scheduled Unscheduled
Face Certificate Principal Principal
Class Amount Balance Distribution Distribution Accretion
- ------------------------------------------------------------------------------------------------------------------
A 98,600,000.00 94,138,878.81 74,564.55 3,353,767.37 0.00
IO 0.00 0.00 0.00 0.00 0.00
M-1 6,000,000.00 6,000,000.00 0.00 0.00 0.00
M-2 5,500,000.00 5,500,000.00 0.00 0.00 0.00
B 4,900,000.00 4,900,000.00 0.00 0.00 0.00
BIO 0.00 0.00 0.00 0.00 0.00
R-1 0.00 0.00 0.00 0.00 0.00
R-2 0.00 0.00 0.00 0.00 0.00
R-3 0.00 0.00 0.00 0.00 0.00
P 0.00 100.00 0.00 0.00 0.00
- ------------------------------------------------------------------------------------------------------------------
Totals 115,000,000.00 110,538,978.81 74,564.55 3,353,767.37 0.00
Total Ending Ending Total
Realized Principal Certificate Certificate Principal
Class Loss (1) Reduction Balance Percentage Distribution
- ------------------------------------------------------------------------------------------------------------------
A 0.00 3,428,331.92 90,710,546.88 0.91998526 3,428,331.92
IO 0.00 0.00 0.00 0.00000000 0.00
M-1 0.00 0.00 6,000,000.00 1.00000000 0.00
M-2 0.00 0.00 5,500,000.00 1.00000000 0.00
B 0.00 0.00 4,900,000.00 1.00000000 0.00
BIO 0.00 0.00 0.00 0.00000000 0.00
R-1 0.00 0.00 0.00 0.00000000 0.00
R-2 0.00 0.00 0.00 0.00000000 0.00
R-3 0.00 0.00 0.00 0.00000000 0.00
P 0.00 0.00 100.00 0.00000000 0.00
- ------------------------------------------------------------------------------------------------------------------
Totals 0.00 3,428,331.92 107,110,646.88 0.93139693 3,428,331.92
(1) Amount Does Not Include Excess Special Hazard, Bankruptcy, or Fraud
Losses Unless Otherwise Disclosed. Please Refer to the Prospectus
Supplement for a Full Descript
B-94
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 2000-4
Principal Distribution Factors Statement
Original Beginning Scheduled Unscheduled
Face Certificate Principal Principal
Class (2) Amount Balance Distribution Distribution Accretion
- ------------------------------------------------------------------------------------------------------------------
A 98,600,000.00 954.75536318 0.75623276 34.01386785 0.00000000
IO 0.00 0.00000000 0.00000000 0.00000000 0.00000000
M-1 6,000,000.00 1000.00000000 0.00000000 0.00000000 0.00000000
M-2 5,500,000.00 1000.00000000 0.00000000 0.00000000 0.00000000
B 4,900,000.00 1000.00000000 0.00000000 0.00000000 0.00000000
BIO 0.00 0.00000000 0.00000000 0.00000000 0.00000000
R-1 0.00 0.00000000 0.00000000 0.00000000 0.00000000
R-2 0.00 0.00000000 0.00000000 0.00000000 0.00000000
R-3 0.00 0.00000000 0.00000000 0.00000000 0.00000000
P 0.00 0.00000000 0.00000000 0.00000000 0.00000000
Total Ending Ending Total
Realized Principal Certificate Certificate Principal
Class (2) Loss (3) Reduction Balance Percentage Distribution
- ------------------------------------------------------------------------------------------------------------------
A 0.00000000 34.77010061 919.98526247 0.91998526 34.77010061
IO 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
M-1 0.00000000 0.00000000 1000.00000000 1.00000000 0.00000000
M-2 0.00000000 0.00000000 1000.00000000 1.00000000 0.00000000
B 0.00000000 0.00000000 1000.00000000 1.00000000 0.00000000
BIO 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
R-1 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
R-2 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
R-3 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
P 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
(2) All classes are per $1,000 denomination.
(3) Amount Does Not Include Excess Special Hazard, Bankruptcy, or Fraud
Losses Unless Otherwise Disclosed. Please Refer to the Prospectus
Supplement for a Full Descript
B-95
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 2000-4
Interest Distribution Statement
Original Current Beginning Current Payment of Current
Class Face Certificate Certificate/ Accrued Unpaid Interest
Amount Rate Notional Interest Interest Shortfall
Balance Shortfall
- ------------------------------------------------------------------------------------------------------------------------------
A 98,600,000.00 7.06000% 94,138,878.81 553,850.40 0.00 0.00
IO 0.00 9.25000% 32,518,919.00 250,666.67 0.00 0.00
M-1 6,000,000.00 7.15000% 6,000,000.00 35,750.00 0.00 0.00
M-2 5,500,000.00 7.15000% 5,500,000.00 32,770.83 0.00 0.00
B 4,900,000.00 7.15000% 4,900,000.00 29,195.83 0.00 0.00
BIO 0.00 0.00000% 0.00 0.00 0.00 0.00
R-1 0.00 0.00000% 0.00 0.00 0.00 0.00
R-2 0.00 0.00000% 0.00 0.00 0.00 0.00
R-3 0.00 0.00000% 0.00 0.00 0.00 0.00
P 0.00 0.00000% 100.00 0.00 0.00 0.00
- ------------------------------------------------------------------------------------------------------------------------------
Totals 115,000,000.00 902,233.73 0.00 0.00
Non-Supported Total Remaining Ending
Class Interest Realized Interest Unpaid Certificate/
Shortfall Loss (4) Distribution Interest Notional
Shortfall Balance
- --------------------------------------------------------------------------------------------------------
A 0.00 0.00 553,850.40 0.00 90,710,546.88
IO 0.00 0.00 250,666.67 0.00 32,518,919.00
M-1 0.00 0.00 35,750.00 0.00 6,000,000.00
M-2 0.00 0.00 32,770.83 0.00 5,500,000.00
B 0.00 0.00 29,195.83 0.00 4,900,000.00
BIO 0.00 0.00 0.00 0.00 0.00
R-1 0.00 0.00 0.00 0.00 0.00
R-2 0.00 0.00 0.00 0.00 0.00
R-3 0.00 0.00 0.00 0.00 0.00
P 0.00 0.00 6,318.01 0.00 100.00
- --------------------------------------------------------------------------------------------------------
Totals 0.00 0.00 908,551.74 0.00
(4) Amount Does Not Include Excess Special Hazard, Bankruptcy, or Fraud
Losses Unless Otherwise Disclosed. Please Refer to the Prospectus
Supplement for a Full Description.
B-96
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 2000-4
Interest Distribution Factors Statement
Original Current Beginning Current Payment of Current
Class (5) Face Certificate Certificate/ Accrued Unpaid Interest
Amount Rate Notional Interest Interest Shortfall
Balance Shortfall
- ------------------------------------------------------------------------------------------------------------------------------
A 98,600,000.00 7.06000% 954.75536318 5.61714402 0.00000000 0.00000000
IO 0.00 9.25000% 972.83312094 7.49892205 0.00000000 0.00000000
M-1 6,000,000.00 7.15000% 1000.00000000 5.95833333 0.00000000 0.00000000
M-2 5,500,000.00 7.15000% 1000.00000000 5.95833273 0.00000000 0.00000000
B 4,900,000.00 7.15000% 1000.00000000 5.95833265 0.00000000 0.00000000
BIO 0.00 0.00000% 0.00000000 0.00000000 0.00000000 0.00000000
R-1 0.00 0.00000% 0.00000000 0.00000000 0.00000000 0.00000000
R-2 0.00 0.00000% 0.00000000 0.00000000 0.00000000 0.00000000
R-3 0.00 0.00000% 0.00000000 0.00000000 0.00000000 0.00000000
P 0.00 0.00000% 0.00000000 0.00000000 0.00000000 0.00000000
Non-Supported Total Remaining Ending
Class (5) Interest Realized Interest Unpaid Certificate/
Shortfall Loss (6) Distribution Interest Notional
Shortfall Balance
- --------------------------------------------------------------------------------------------------------
A 0.00000000 0.00000000 5.61714402 0.00000000 919.98526247
IO 0.00000000 0.00000000 7.49892205 0.00000000 972.83312094
M-1 0.00000000 0.00000000 5.95833333 0.00000000 1000.00000000
M-2 0.00000000 0.00000000 5.95833273 0.00000000 1000.00000000
B 0.00000000 0.00000000 5.95833265 0.00000000 1000.00000000
BIO 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
R-1 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
R-2 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
R-3 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
P 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
(5) All classes are per $1,000 denomination
(6) Amount Does Not Include Excess Special Hazard, Bankruptcy, or Fraud
Losses Unless Otherwise Disclosed. Please Refer to the Prospectus
Supplement for a Full Description.
Certificate Component Statement
Component Beginning Ending Beginning Ending Ending
Pass-Through Notional Notional Component Component Component
Class Rate Balance Balance Balance Balance Percentage
- ---------------------------------------------------------------------------------------------------------------------------
OC 0.00000% 0.00 0.00 805,287.45 972,612.73 0.00000000%
FSA 0.10000% 0.00 0.00 0.00 0.00 0.00000000%
SUB 0.00000% 0.00 0.00 0.00 0.00 0.00000000%
B-97
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 2000-4
Certificateholder Account Statement
- --------------------------------------------------------------------------------
CERTIFICATE ACCOUNT
Beginning Balance 0.00
Deposits
Payments of Interest and Principal 3,803,196.08
Liquidations, Insurance Proceeds, Reserve Funds 0.00
Proceeds from Repurchased Loans 0.00
Other Amounts (Servicer Advances) 591,766.76
Realized Losses 0.00
-------------
Total Deposits 4,394,962.84
Withdrawals
Reimbursement for Servicer Advances 0.00
Payment of Service Fee 58,079.18
Payment of Interest and Principal 4,336,883.66
-------------
Total Withdrawals (Pool Distribution Amount) 4,394,962.84
Ending Balance 0.00
=============
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PREPAYMENT/CURTAILMENT INTEREST SHORTFALL
Total Prepayment/Curtailment Interest Shortfall 15,644.36
Servicing Fee Support 15,644.36
-------------
Non-Supported Prepayment/Curtailment Interest Shortf 0.00
=============
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SERVICING FEES
Gross Servicing Fee 60,311.42
Trustee Fee - Wells Fargo Bank, N.A. 5,567.21
Supported Prepayment/Curtailment Interest Shortfall 15,644.36
-------------
Net Servicing Fee 50,234.27
=============
- --------------------------------------------------------------------------------
Beginning Current Current Ending
Account Type Balance Withdrawals Deposits Balance
Reserve Fund 5,000.00 0.00 0.00 5,000.00
Reserve Fund 0.00 0.00 0.00 0.00
Financial Guaranty 0.00 0.00 0.00 0.00
B-98
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 2000-4
Loan Status Stratification/Credit Enhancement Statement
DELINQUENT BANKRUPTCY FORECLOSURE
- ---------------------------------------------------------------------------------------------------------------------
No. of Principal No. of Principal No. of Principal
Loans Balance Loans Balance Loans Balance
0-29 Days 0 0.00 0-29 Days 1 16,481.55
30 Days 129 7,728,334.94 30 Days 1 47,986.16 30 Days 0 0.00
60 Days 53 3,662,777.44 60 Days 0 0.00 60 Days 1 104,160.45
90 Days 20 1,145,796.49 90 Days 0 0.00 90 Days 13 1,052,036.10
120 Days 7 398,765.27 120 Days 0 0.00 120 Days 76 5,231,414.39
150 Days 0 0.00 150 Days 0 0.00 150 Days 0 0.00
180+ Days 0 0.00 180+ Days 0 0.00 180+ Days 0 0.00
--- ------------- -- ------------ --- ------------
209 12,935,674.14 1 47,986.16 91 6,404,092.49
No. of Principal No. of Principal No. of Principal
Loans Balance Loans Balance Loans Balance
0-29 Days 0.000000% 0.000000% 0-29 Days 0.061958% 0.015243%
30 Days 7.992565% 7.147507% 30 Days 0.061958% 0.044380% 30 Days 0.000000% 0.000000%
60 Days 3.283767% 3.387499% 60 Days 0.000000% 0.000000% 60 Days 0.061958% 0.096332%
90 Days 1.239157% 1.059683% 90 Days 0.000000% 0.000000% 90 Days 0.805452% 0.972970%
120 Days 0.433705% 0.368796% 120 Days 0.000000% 0.000000% 120 Days 4.708798% 4.838244%
150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000%
--------- --------- -------- -------- -------- --------
2.949195% 11.963485% 0.061958% 0.044380% 5.638166% 5.922789%
REO Total
- ---------------------------------------------------------------------------
No. of Principal No. of Principal
Loans Balance Loans Balance
0-29 Days 0 0.00 0-29 Days 1 16,481.55
30 Days 0 0.00 30 Days 130 7,776,321.10
60 Days 0 0.00 60 Days 54 3,766,937.89
90 Days 0 0.00 90 Days 33 2,197,832.59
120 Days 0 0.00 120 Days 83 5,630,179.66
150 Days 0 0.00 150 Days 0 0.00
180+ Days 0 0.00 180+ Days 0 0.00
-- ------------ --- -------------
0 0.00 301 19,387,752.79
No. of Principal No. of Principal
Loans Balance Loans Balance
0-29 Days 0.000000% 0.000000% 0-29 Days 0.061958% 0.015243%
30 Days 0.000000% 0.000000% 30 Days 8.054523% 7.191886%
60 Days 0.000000% 0.000000% 60 Days 3.345725% 3.483831%
90 Days 0.000000% 0.000000% 90 Days 2.044610% 2.032653%
120 Days 0.000000% 0.000000% 120 Days 5.142503% 5.207040%
150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000%
-------- -------- --------- ---------
0.000000% 0.000000% 18.649318% 17.930653%
(7) The 120 Day category for delinquent, bankruptcy, foreclosure, and REO
contains loans that are 120 days or more delinquent.
Current Period Realized Loss - Includes Interest Shortfall 0.00
Cumulative Realized Losses - Includes Interest Shortfall 0.00
Current Period Class A Insufficient Funds 0.00
Principal Balance of Contaminated Properties 0.00
Periodic Advance 591,766.76
B-99
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 2000-4
Delinquency Status By Group
DELINQUENT BANKRUPTCY FORECLOSURE
- ---------------------------------------------------------------------------------------------------------------------
1 No. of Principal No. of Principal No. of Principal
Loans Balance Loans Balance Loans Balance
0-29 Days 0 0.00 0-29 Days 0 0.00
30 Days 95 5,800,466.18 30 Days 1 47,986.16 30 Days 0 0.00
60 Days 38 2,427,397.60 60 Days 0 0.00 60 Days 1 104,160.45
90 Days 16 836,163.72 90 Days 0 0.00 90 Days 10 934,006.58
120 Days 6 374,797.71 120 Days 0 0.00 120 Days 52 3,779,020.83
150 Days 0 0.00 150 Days 0 0.00 150 Days 0 0.00
180+ Days 0 0.00 180+ Days 0 0.00 180+ Days 0 0.00
--- ------------- -- ------------ --- ------------
155 9,438,825.21 1 47,986.16 63 4,817,187.86
0-29 Days 0.000000% 0.000000% 0-29 Days 0.000000% 0.000000%
30 Days 6.914119% 6.282065% 30 Days 0.072780% 0.051970% 30 Days 0.000000% 0.000000%
60 Days 2.765648% 2.628939% 60 Days 0.000000% 0.000000% 60 Days 0.072780% 0.112809%
90 Days 1.164483% 0.905588% 90 Days 0.000000% 0.000000% 90 Days 0.727802% 1.011555%
120 Days 0.436681% 0.405916% 120 Days 0.000000% 0.000000% 120 Days 3.784571% 4.092784%
150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000%
--------- --------- -------- -------- -------- --------
11.280932% 10.222508% 0.072780% 0.051970% 4.585153% 5.217148%
REO Total
- ---------------------------------------------------------------------------
No. of Principal No. of Principal
Loans Balance Loans Balance
0-29 Days 0 0.00 0-29 Days 0 0.00
30 Days 0 0.00 30 Days 96 5,848,452.34
60 Days 0 0.00 60 Days 39 2,531,558.05
90 Days 0 0.00 90 Days 26 1,770,170.30
120 Days 0 0.00 120 Days 58 4,153,818.54
150 Days 0 0.00 150 Days 0 0.00
180+ Days 0 0.00 180+ Days 0 0.00
-- ------------ --- -------------
0 0.00 219 14,303,999.23
0-29 Days 0.000000% 0.000000% 0-29 Days 0.000000% 0.000000%
30 Days 0.000000% 0.000000% 30 Days 6.986900% 6.334035%
60 Days 0.000000% 0.000000% 60 Days 2.838428% 2.741747%
90 Days 0.000000% 0.000000% 90 Days 1.892285% 1.917143%
120 Days 0.000000% 0.000000% 120 Days 4.221252% 4.498700%
150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000%
-------- -------- --------- ---------
0.000000% 0.000000% 15.938865% 15.491626%
DELINQUENT BANKRUPTCY FORECLOSURE
- ---------------------------------------------------------------------------------------------------------------------
2 No. of Principal No. of Principal No. of Principal
Loans Balance Loans Balance Loans Balance
0-29 Days 0 0.00 0-29 Days 1 16,481.55
30 Days 34 1,927,868.76 30 Days 0 0.00 30 Days 0 0.00
60 Days 15 1,235,379.84 60 Days 0 0.00 60 Days 0 0.00
90 Days 4 309,632.77 90 Days 0 0.00 90 Days 3 118,029.52
120 Days 1 23,967.56 120 Days 0 0.00 120 Days 24 1,452,393.56
150 Days 0 0.00 150 Days 0 0.00 150 Days 0 0.00
180+ Days 0 0.00 180+ Days 0 0.00 180+ Days 0 0.00
--- ------------- -- ------------ --- ------------
54 3,496,848.93 0 0.00 28 1,586,904.63
0-29 Days 0.000000% 0.000000% 0-29 Days 0.416667% 0.104363%
30 Days 14.166667% 12.207452% 30 Days 0.000000% 0.000000% 30 Days 0.000000% 0.000000%
60 Days 6.250000% 7.822545% 60 Days 0.000000% 0.000000% 60 Days 0.000000% 0.000000%
90 Days 1.666667% 1.960625% 90 Days 0.000000% 0.000000% 90 Days 1.250000% 0.747374%
120 Days 0.416667% 0.151765% 120 Days 0.000000% 0.000000% 120 Days 10.000000% 9.196697%
150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000%
--------- --------- -------- -------- --------- ---------
22.500000% 22.142386% 0.000000% 0.000000% 11.666667% 10.048434%
REO Total
- ---------------------------------------------------------------------------
No. of Principal No. of Principal
Loans Balance Loans Balance
0-29 Days 0 0.00 0-29 Days 1 16,481.55
30 Days 0 0.00 30 Days 34 1,927,868.76
60 Days 0 0.00 60 Days 15 1,235,379.84
90 Days 0 0.00 90 Days 7 427,662.29
120 Days 0 0.00 120 Days 25 1,476,361.12
150 Days 0 0.00 150 Days 0 0.00
180+ Days 0 0.00 180+ Days 0 0.00
-- ------------ --- -------------
0 0.00 82 5,083,753.56
0-29 Days 0.000000% 0.000000% 0-29 Days 0.416667% 0.104363%
30 Days 0.000000% 0.000000% 30 Days 14.166667% 12.207452%
60 Days 0.000000% 0.000000% 60 Days 6.250000% 7.822545%
90 Days 0.000000% 0.000000% 90 Days 2.916667% 2.707999%
120 Days 0.000000% 0.000000% 120 Days 10.416667% 9.348462%
150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000% 180+ Days 0.000000% 0.000000%
-------- -------- --------- ---------
0.000000% 0.000000% 34.166667% 32.190820%
B-100
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 2000-4
- --------------------------------------------------------------------------------
COLLATERAL STATEMENT
Collateral Description Mixed Fixed & Arm
Weighted Average Gross Coupon 12.321607%
Weighted Average Net Coupon 11.671605%
Weighted Average Pass-Through Rate 11.611599%
Weighted Average Maturity (Stepdown Calculation) 319
Beginning Scheduled Collateral Loan Count 1,650
Number of Loans Paid in Full 36
Ending Scheduled Collateral Loan Count 1,614
Beginning Scheduled Collateral Balance 111,344,166.26
Ending Scheduled Collateral Balance 108,083,159.61
Ending Actual Collateral Balance at 31-May-2001 108,126,304.71
Monthly P&I Constant 1,217,847.10
Ending Scheduled Balance for Premium Loans 108,083,159.61
Scheduled Principal 74,564.55
Unscheduled Principal 3,186,442.10
Required Overcollateralized Amount 0.00
Overcollateralized Increase Amount 167,325.27
Overcollateralized Reduction Amount 0.00
Specified O/C Amount 2,587,500.00
Overcollateralized Amount 972,612.73
Overcollateralized Deficiency Amount 1,782,212.55
Base Overcollateralization Amount 0.00
Extra Principal Distribution Amount 0.00
Excess Cash Amount 167,325.27
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Curtailments $15,036.45
- --------------------------------------------------------------------------------
B-101
Delta Funding Corporation
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DFH Series 2000-4
Group 1 2 Total
Collateral Description Mixed Fixed Mixed ARM Mixed Fixed & Arm
Weighted Average Coupon Rate 12.311093 12.381743 12.321607
Weighted Average Net Rate 11.601093 11.671743 11.671605
Weighted Average Maturity 319.00 319.00 319.00
Record Date 05/31/2001 05/31/2001 05/31/2001
Principal And Interest Constant 1,041,305.74 176,541.36 1,217,847.10
Beginning Loan Count 1,403 247 1,650
Loans Paid In Full 29 7 36
Ending Loan Count 1,374 240 1,614
Beginning Scheduled Balance 94,773,616.15 16,570,550.11 111,344,166.26
Ending Scheduled Balance 92,297,079.08 15,786,080.53 108,083,159.61
Scheduled Principal 69,000.10 5,564.45 74,564.55
Unscheduled Principal 2,407,536.97 778,905.13 3,186,442.10
Scheduled Interest 972,305.64 170,976.91 1,143,282.55
Servicing Fee 51,335.71 8,975.71 60,311.42
Master Servicing Fee 0.00 0.00 0.00
Trustee Fee 4,738.68 828.53 5,567.21
FRY Amount 0.00 0.00 0.00
Special Hazard Fee 0.00 0.00 0.00
Other Fee 0.00 0.00 0.00
Pool Insurance Fee 0.00 0.00 0.00
Spread 1 0.00 0.00 0.00
Spread 2 0.00 0.00 0.00
Spread 3 0.00 0.00 0.00
Net Interest 916,231.25 161,172.67 1,077,403.92
Realized Loss Amount 0.00 0.00 0.00
Cumulative Realized Loss 0.00 0.00 0.00
Percentage of Cumulative Losses 0.00 0.00 0.00
B-102
Delta Funding Non-Performing Loan Trust EXHIBIT V
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DNT Series 2000-1
Certificateholder Distribution Summary
Certificate Certificate Beginning
Class Pass-Through Certificate Interest
Class CUSIP Description Rate Balance Distribution
- ---------------------------------------------------------------------------------------------------------
NOTES DNT00001A SEN 9.50000% 1,570,371.92 12,432.11
TRUSTCER DNT0001TC JUN 0.00000% 0.00 0.00
------------ ---------
Totals 1,570,371.92 12,432.11
Current Ending Cumulative
Principal Realized Certificate Total Realized
Class Distribution Loss Balance Distribution Losses
- ----------------------------------------------------------------------------------------------------------
NOTES 253,839.49 0.00 1,316,532.43 266,271.60 0.00
TRUSTCER 0.00 0.00 0.00 0.00 0.00
---------- ---- ------------ ---------- ----
Totals 253,839.49 0.00 1,316,532.43 266,271.60 0.00
All distributions required by the Pooling and Servicing Agreement have been
calculated by the Certificate Administrator on behalf of the Trustee.
B-103
Delta Funding Non-Performing Loan Trust
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DNT Series 2000-1
Principal Distribution Statement
Original Beginning Scheduled Unscheduled
Face Certificate Principal Principal
Class Amount Balance Distribution Distribution Accretion
- ------------------------------------------------------------------------------------------------------------------
NOTES 3,013,040.40 1,570,371.92 252,159.12 1,680.37 0.00
TRUSTCERT 0.00 0.00 0.00 0.00 0.00
------------ ------------ ---------- -------- ----
Totals 3,013,040.40 1,570,371.92 252,159.12 1,680.37 0.00
Total Ending Ending Total
Realized Principal Certificate Certificate Principal
Class Loss (1) Reduction Balance Percentage Distribution
- ------------------------------------------------------------------------------------------------------------------
NOTES 0.00 253,839.49 1,316,532.43 0.43694483 253,839.49
TRUSTCERT 0.00 0.00 0.00 0.00000000 0.00
---- ---------- ------------ ---------- ----------
Totals 0.00 253,839.49 1,316,532.43 0.43694483 253,839.49
(1) Amount Does Not Include Excess Special Hazard, Bankruptcy, or Fraud
Losses Unless Otherwise Disclosed. Please Refer to the Prospectus
Supplement for a Full Descript
B-104
Delta Funding Non-Performing Loan Trust
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DNT Series 2000-1
Principal Distribution Factors Statement
Original Beginning Scheduled Unscheduled
Face Certificate Principal Principal
Class Amount Balance Distribution Distribution Accretion
- ------------------------------------------------------------------------------------------------------------------
NOTES 3,013,040.40 521.19179019 83.68925953 0.55769913 0.00000000
TRUSTCERT 0.00 0.00000000 0.00000000 0.00000000 0.00000000
Total Ending Ending Total
Realized Principal Certificate Certificate Principal
Class Loss (3) Reduction Balance Percentage Distribution
- ------------------------------------------------------------------------------------------------------------------
NOTES 0.00000000 84.24695865 436.94483154 0.43694483 84.24695865
TRUSTCERT 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
(2) All Classes are per $1,000 denomination.
(3) Amount Does Not Include Excess Special Hazard, Bankruptcy, or Fraud
Losses Unless Otherwise Disclosed. Please Refer to the Prospectus
Supplement for a Full Descript
B-105
Delta Funding Non-Performing Loan Trust
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DNT Series 2000-1
Interest Distribution Statement
Original Current Beginning Current Payment of Current
Class Face Certificate Certificate/ Accrued Unpaid Interest
Amount Rate Notional Interest Interest Shortfall
Balance Shortfall
- ------------------------------------------------------------------------------------------------------------------------------
NOTES 3,013,040.40 9.50000% 1,570,371.92 12,432.11 0.00 0.00
TRUSTCE 0.00 0.00000% 0.00 0.00 0.00 0.00
------------ --------- ---- ----
Totals 3,013,040.40 12,432.11 0.00 0.00
Non-Supported Total Remaining Ending
Class Interest Realized Interest Unpaid Certificate/
Shortfall Loss (4) Distribution Interest Notional
Shortfall Balance
- --------------------------------------------------------------------------------------------------------
NOTES 0.00 0.00 12,432.11 0.00 1,316,532.43
TRUSTCE 0.00 0.00 0.00 0.00 0.00
---- ---- --------- ----
Totals 0.00 0.00 12,432.11 0.00
(4) Amount Does Not Include Excess Special Hazard, Bankruptcy, or Fraud
Losses Unless Otherwise Disclosed. Please Refer to the Prospectus
Supplement for a Full Description.
B-106
Delta Funding Non-Performing Loan Trust
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DNT Series 2000-1
Original Current Beginning Current Payment of Current
Class (5) Face Certificate Certificate/ Accrued Unpaid Interest
Amount Rate Notional Interest Interest Shortfall
Balance Shortfall
- ------------------------------------------------------------------------------------------------------------------------------
NOTES 3,013,040.40 9.50000% 521.19179019 4.12610133 0.00000000 0.00000000
TRUSTCER 0.00 0.00000% 0.00000000 0.00000000 0.00000000 0.00000000
Non-Supported Total Remaining Ending
Class (5) Interest Realized Interest Unpaid Certificate/
Shortfall Loss (4) Distribution Interest Notional
Shortfall Balance
- --------------------------------------------------------------------------------------------------------
NOTES 0.00000000 0.00000000 4.12610133 0.00000000 436.94483154
TRUSTCER 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000
(5) All Classes are per $1,000 denomination
(6) Amount Does Not Include Excess Special Hazard, Bankruptcy, or Fraud
Losses Unless Otherwise Disclosed. Please Refer to the Prospectus
Supplement for a Full Description.
B-107
Delta Funding Non-Performing Loan Trust
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DNT Series 2000-1
Certificateholder Account Statement
- --------------------------------------------------------------------------------
CERTIFICATE ACCOUNT
Beginning Balance 0.00
Deposits
Payments of Interest and Principal 277,672.62
Liquidations, Insurance Proceeds, Reserve Funds 0.00
Proceeds from Repurchased Loans 0.00
Other Amounts (Servicer Advances) 0.00
Realized Losses (6,616.02)
-----------
Total Deposits 271,056.60
Withdrawals
Reimbursement for Servicer Advances 0.00
Payment of Service Fee 4,785.00
Payment of Interest and Principal 266,271.60
-----------
Total Withdrawals (Pool Distribution Amount) 271,056.60
Ending Balance 0.00
===========
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
PREPAYMENT/CURTAILMENT INTEREST SHORTFALL
Total Prepayment/Curtailment Interest Shortfall 0.00
Servicing Fee Support 0.00
-----------
Non-Supported Prepayment/Curtailment Interest Shortf 0.00
===========
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
SERVICING FEES
Gross Servicing Fee 2,160.00
Trustee - Wells Fargo Bank, N.A. 1,500.00
Trust Expenses 1,125.00
Owner Trustee Fee 0.00
Supported Prepayment/Curtailment Interest Shortfall 0.00
-----------
Net Servicing Fee 4,785.00
===========
- --------------------------------------------------------------------------------
B-108
Delta Funding Non-Performing Loan Trust
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DNT Series 2000-1
Loan Status Stratification/Credit Enhancement Statement
DELINQUENT BANKRUPTCY FORECLOSURE
- ---------------------------------------------------------------------------------------------------------------------
No. of Principal No. of Principal No. of Principal
Loans Balance Loans Balance Loans Balance
0-29 Days 1 46,418.92 0-29 Days 0 0.00
30 Days 3 254,546.51 30 Days 0 0.00 30 Days 0 0.00
60 Days 0 0.00 60 Days 0 0.00 60 Days 0 0.00
90 Days 0 0.00 90 Days 0 0.00 90 Days 0 0.00
120 Days 0 0.00 120 Days 1 19,579.06 120 Days 0 0.00
150 Days 0 0.00 150 Days 0 0.00 150 Days 0 0.00
180+ Days 0 0.00 180+ Days 6 732,267.30 180+ Days 12 2,092,432.86
--- ------------- -- ------------ --- ------------
3 254,546.51 8 798,265.28 12 2,092,432.86
0-29 Days 3.125000% 1.292853% 0-29 Days 0.000000% 0.000000%
30 Days 9.375000% 7.089592% 30 Days 0.000000% 0.000000% 30 Days 0.000000% 0.000000%
60 Days 0.000000% 0.000000% 60 Days 0.000000% 0.000000% 60 Days 0.000000% 0.000000%
90 Days 0.000000% 0.000000% 90 Days 0.000000% 0.000000% 90 Days 0.000000% 0.000000%
120 Days 0.000000% 0.000000% 120 Days 3.125000% 0.545313% 120 Days 0.000000% 0.000000%
150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000%
180+ Days 0.000000% 0.000000% 180+ Days 18.750000% 20.395002% 180+ Days 37.500000% 58.278136%
--------- --------- --------- --------- --------- ---------
9.375000% 7.089592% 25.000000% 2.233169% 7.500000% 8.278136%
REO Total
- ---------------------------------------------------------------------------
No. of Principal No. of Principal
Loans Balance Loans Balance
0-29 Days 0 0.00 0-29 Days 1 46,418.92
30 Days 0 0.00 30 Days 3 254,546.51
60 Days 0 0.00 60 Days 0 0.00
90 Days 0 0.00 90 Days 0 0.00
120 Days 0 0.00 120 Days 1 19,579.06
150 Days 0 0.00 150 Days 0 0.00
180+ Days 4 139,499.57 180+ Days 22 2,964,199.73
-- ------------ --- -------------
4 139,499.57 27 3,284,744.22
0-29 Days 0.000000% 0.000000% 0-29 Days 3.125000% 1.292853%
30 Days 0.000000% 0.000000% 30 Days 9.375000% 7.089592%
60 Days 0.000000% 0.000000% 60 Days 0.000000% 0.000000%
90 Days 0.000000% 0.000000% 90 Days 0.000000% 0.000000%
120 Days 0.000000% 0.000000% 120 Days 3.125000% 0.545313%
150 Days 0.000000% 0.000000% 150 Days 0.000000% 0.000000%
180+ Days 12.500000% 3.885322% 180+ Days 68.750000% 82.558460%
--------- -------- --------- ---------
12.500000% 3.885322% 84.375000% 91.486219%
(7) The 90 day category for delinquent, bankruptcy, foreclosures, and REO
may contain loans that are 90 days or more delinquent.
Current Period Realized Loss - Includes Interest Shortfall 0.00
Cumulative Realized Losses - Includes Interest Shortfall 275,154.16
Current Period Class A Insufficient Funds 0.00
Principal Balance of Contaminated Properties 0.00
Periodic Advance 0.00
B-109
Delta Funding Non-Performing Loan Trust
Mortgage Pass-Through Certificates
Record Date: 31-May-2001
Distribution Date: 15-Jun-2001
DNT Series 2000-1
- --------------------------------------------------------------------------------
COLLATERAL STATEMENT
Collateral Description Fixed Mixed & ARM & Balloon
Weighted Average Gross Coupon 3.309306%
Weighted Average Net Coupon 2.635845%
Weighted Average Pass-Through Rate 2.168165%
Weighted Average Maturity (Stepdown Calculation) 1
Beginning Scheduled Collateral Loan Count 33
Number of Loans Paid in Full 1
Ending Scheduled Collateral Loan Count 32
Beginning Scheduled Collateral Balance 3,848,779.62
Ending Scheduled Collateral Balance 3,590,425.17
Ending Actual Collateral Balance at 31-May-2001 3,590,425.17
Monthly P&I Constant 269,317.29
- --------------------------------------------------------------------------------
- --------------------------------------------------------------------------------
Reimbursed Servicer Advances $3,044.80
Reimbursed Escrow Advances $5,659.38
Interest on Taxes $0.00
- --------------------------------------------------------------------------------
B-110
PART II
INFORMATION NOT REQUIRED IN PROSPECTUS
Item 20. Indemnification of Directors and Officers
Our certificate of incorporation and Delta Funding Residual Management,
Inc.'s certificate of incorporation eliminate, to the fullest extent permitted
by the law of the State of Delaware, personal liability of directors to those
companies and their shareholders for monetary damages for breach of fiduciary
duty as directors.
Section 145(a) of the Delaware General Corporation Law, or DGCL, provides in
relevant part that "a corporation may indemnify any person who was or is a
party or is threatened to be made a party to any threatened, pending or
completed action, suit or proceeding, whether civil, criminal, administrative
or investigative (other than an action by or in the right of the corporation)
by reason of the fact that he is or was a director, officer, employee or agent
of the corporation, or is or was serving at the request of the corporation as
a director, officer, employee or agent of another corporation, partnership,
joint venture, trust or other enterprise, against expenses (including
attorneys' fees), judgments, fines and amounts paid in settlement actually and
reasonably incurred by him in connection with such action, suit or proceeding
if he acted in good faith and in a manner he reasonably believed to be in or
not opposed to the best interests of the corporation, and with respect to any
criminal action or proceeding, had no reasonable cause to believe his conduct
was unlawful."
With respect to derivative actions, Section 145(b) of the DGCL provides in
relevant part that "[a] corporation may indemnify any person who was or is a
party or is threatened to be made a party to any threatened, pending or
completed action or suit by or in the right of the corporation to procure a
judgment in its favor. . . [by reason of his service in one of the capacities
specified in the preceding sentence] against expenses (including attorneys'
fees) actually and reasonably incurred by him in connection with the defense
or settlement or such action or suit if he acted in good faith and in a manner
he reasonably believed to be in or not opposed to the best interests of the
corporation and except that no indemnification shall be made in respect of any
claim, issue or matter as to which such person shall have been adjudged to be
liable to the corporation unless and only to the extent that the Court of
Chancery or the court in which such action or suit was brought shall determine
upon application that, despite the adjudication of liability but in view of
all the circumstances of the case, such person is fairly and reasonably
entitled to indemnity for such expenses which the Court of Chancery or such
other court shall deem proper."
To the fullest extent permitted by applicable law, each of us and Delta
Funding Residual Management Inc. agrees to indemnify any of its respective
officers or directors for, and to hold each of them harmless against, any
loss, liability or expense incurred without negligence or bad faith on its
part, arising out of or in connection with his or her duties as an officer or
director formed pursuant to our or Delta Funding Residual Management's charter
documents, as the case may be, including the costs and expenses (including
reasonable legal fees and expenses) of defending him or herself against, or
investigating, any claim or liability in connection with the exercise or
performance of any of its powers or duties thereunder.
Delta Funding Residual Exchange Company, LLC's operating agreement
eliminates to the fullest extent permitted by the State of Delaware, the
personal liability of its managing member.
Section 18-108 of the Delaware Limited Liability Company Act provides that a
limited liability company may indemnify and hold harmless any manager from and
against any and all claims and demands whatsoever, subject to the standards
and restrictions, if any, as are set forth in its limited liability company
agreement.
Section 7 of Delta Funding Residual Exchange Company, LLC's operating
agreement, provides that neither the manager, nor any of its agents, partners,
employees, counsel or affiliates (other than professionals employed by Delta
Funding Residual Exchange Company, LLC who shall be held to the usual
standards of professional practice), shall be liable, responsible or
accountable in damages or otherwise to Delta Funding Residual Exchange
Company, LLC or any member for any action taken or failure to act (even if
such action or failure to act constituted negligence, other than gross
negligence, on such person's part) on behalf of Delta Funding Residual
Exchange Company, LLC unless such act or failure to act was fraudulent,
performed or omitted, in bad faith or constituted gross negligence.
II-1
Delta Funding Residual Exchange Company, LLC's operating agreement further
provides that Delta Funding Residual Exchange Company, LLC shall indemnify and
hold harmless the manager and each officer of Delta Funding Residual Exchange
Company, LLC and any of the manager's affiliates with respect to the following
activities as follows:
o Delta Funding Residual Exchange Company, LLC shall indemnify and hold
harmless, to the fullest extent permitted by law, each of the above
listed parties from and against any and all losses, claims, damages,
liabilities, expenses (including reasonable legal fees and expenses),
judgments, fines, settlements and other amounts arising from all claims,
demands, actions, suits or proceedings, whether civil, criminal,
administrative or investigative, in which the party may be involved, or
threatened to be involved, as a party or otherwise arising as a result of
such person's status as an indemnified party, regardless of whether the
party continues in such capacity at the time any such liability or
expense is paid or incurred, and regardless of whether any such action is
brought by a third party, a member, or by or in the name of Delta Funding
Residual Exchange Company, LLC; provided, however, no party shall be
indemnified under Delta Funding Residual Exchange Company, LLC's
operating agreement for any costs that proximately result from such
party's fraud, gross negligence or willful misconduct, or a material
breach of the Delta Funding Residual Exchange Company, LLC's operating
agreement.
o Delta Funding Residual Exchange Company, LLC shall pay or reimburse, to
the fullest extent allowed by law, in advance of the final disposition of
the proceeding, costs as incurred by the indemnified party in connection
with any; provided, however, that such indemnified party shall repay all
amounts received from Delta Funding Residual Exchange Company, LLC
pursuant to its operating agreement if it shall ultimately be determined
at the final disposition of the proceeding that such indemnified party is
not entitled to be indemnified by Delta Funding Residual Exchange
Company, LLC as authorized by its operating agreement.
o Delta Funding Residual Exchange Company, LLC shall pay or reimburse costs
incurred by an indemnified party in connection with such person's
appearance as a witness or other participation in a proceeding involving
or affecting Delta Funding Residual Exchange Company, LLC at a time when
the indemnified party is not a named defendant or respondent in the
proceeding.
o The managing member of Delta Funding Residual Exchange Company, LLC may
cause it to purchase and maintain insurance or other arrangements on
behalf of the indemnified parties and/or Delta Funding Residual Exchange
Company, LLC against any liability asserted against any indemnified party
and incurred by any indemnified party in such person's capacity as such
or arising out of the indemnified party's status in such capacity,
regardless of whether Delta Funding Residual Exchange Company, LLC would
have the power to indemnify the indemnified party against that liability
under Section 7 of its operating agreement, to the extent that such
insurance is available on commercially reasonable terms. An party shall
not be denied indemnification in whole or in part under the operating
agreement because the party had an interest in the transaction with
respect to which the indemnification applies if the transaction was
otherwise permitted by the terms of the operating agreement.
Item 21. Exhibits and Financial Statements and Schedules
(a) Exhibits
Number Exhibit
------ -------
3.1 Articles of Incorporation of Delta Financial Corporation.(1)
3.2 Bylaws of Delta Financial Corporation.(1)
3.3 Delta Funding Residual Exchange Company, LLC Amended and Restated Limited Liability Company Agreement.(2)
3.4 Delta Funding Residual Management, Inc. Certificate of Incorporation.(2)
3.5 Delta Funding Residual Management, Inc. Bylaws(2).
Certificate of Designations, Voting Powers, Preferences and Rights of The Series A Preferred Stock of Delta Financial
3.6 Corporation.(2)
II-2
Number Exhibit
------ -------
3.7 Reorganization and Exchange Agreement.(2)
4.1 Senior Notes Indenture, dated as of July 23, 1997, of Delta Financial Corporation.(3)
4.2 Senior Notes First Supplemental Indenture, dated as of August 1, 2000, of Delta Financial Corporation.(4)
4.3 Senior Notes Second Supplemental Indenture, dated as of October 16, 2000, of Delta Financial Corporation.(2)
4.4 Senior Notes Third Supplemental Indenture, dated as of November 20, 2000, of Delta Financial Corporation.(2)
4.5 Senior Notes Fourth Supplemental Indenture, dated as of December 21, 2000, of Delta Financial Corporation.(2)
4.6 Senior Secured Notes Indenture, dated as of December 21, 2000, of Delta Financial Corporation.(5)
4.7 Senior Secured Notes First Supplemental Indenture, dated as of January 11, 2001, of Delta Financial Corporation.(2)
4.8 Senior Secured Notes Second Supplemental Indenture, dated as of February 12, 2001, of Delta Financial Corporation.(2)
4.9 Senior Secured Notes Third Supplemental Indenture, dated as of March 16, 2001, of Delta Financial Corporation.(6)
4.10 Senior Secured Notes Fourth Supplemental Indenture, dated as of July , 2001, of Delta Financial Corporation.(7)
5.1 Legal Opinion of Stroock & Stroock & Lavan LLP.
10.1 Employment Agreement, dated October 1, 1996, between Delta Financial Corporation and Sidney A. Miller.(8)
10.2 Employment Agreement, dated October 1, 1996, between Delta Financial Corporation and Hugh Miller.(8)
10.3 Employment Agreement, dated October 1, 1996, between Delta Financial Corporation and Christopher Donnelly.(8)
10.4 Employment Agreement, dated March 4, 1997, between Delta Financial Corporation and Richard Blass.(8)
10.5 Lease Agreement between Delta Funding Corporation and the Tilles Investment Company.(8)
13.1 Annual Report of Delta Financial Corporation.(9)
23.1 Consent of KPMG LLP.
23.2 Consent of Stroock & Stroock & Lavan LLP (included in Exhibit 5.1).
24.1 Power of Attorney (included in the signature page).
99.1 Letter of Transmittal and Consent.
99.2 Letter to Holders of the Notes.
99.3 Letter to Broker, Dealers, Commercial Banks Trust Companies and Other Nominees.
99.4 Letter to Our Clients.
Delta Funding Residual Exchange Company, LLC Notice of Guaranteed Delivery Pursuant to the Prospectus Dated July 23,
99.5 2001.
- ---------------
(1) Incorporated by reference from Delta Financial Corporation's Registration
Statement on Form S-1 filed with the Commission on October 9, 1996 (File
No. 333-11289).
(2) Incorporated by reference from Delta Financial Corporation, Delta Funding
Residual Exchange Company, LLC and Delta Funding Residual Management,
Inc.'s Registration Statement on Form S-4 filed with the Commission on July
3, 2001 (File No. 333-60188).
(3) Incorporated by reference from Delta Financial Corporation's Current Report
on Form 8-K filed with the Commission on September 30, 1997 (File No. 1-
12109).
(4) Incorporated by reference from Delta Financial Corporation's Current Report
on Form 8-K filed with the Commission on August 1, 2001 (File No. 1-12109).
(5) Incorporated by reference from Delta Financial Corporation's Current Report
on Form 8-K filed with the Commission on January 10, 2001 (File No. 1-
12109).
(6) Incorporated by reference from Delta Financial Corporation's Current Report
on Form 8-K filed with the Commission on March 16, 2001 (File No. 1-12109).
(7) To be filed by amendment.
(8) Incorporated by reference from Delta Financial Corporation's Amendment to
Registration Statement on Form S-1/A filed with the Commission on July 18,
1997 (File No. 1-12109).
(9) Incorporated by reference from Delta Financial Corporation's Annual Report
on Form 10-K/A for the year ended December 31, 2000, filed with the
Commission on July 3, 2001 (File No. 1-12109).
II-3
Item 22. Undertakings
(a) Each of the undersigned registrants hereby undertakes:
(4) To file, during any period in which offers or sales are being
made, a post-effective amendment to this registration
statement:
(i) To include any prospectus required by Section 10(a)(3) of
the Securities Act of 1933;
(ii) To reflect in the prospectus any facts or events arising
after the effective date of the registration statement (or
the most recent post-effective amendment thereof) which,
individually or in the aggregate, represent a fundamental
change in the information set forth in the registration
statement. Notwithstanding the foregoing, any increase or
decrease in volume of securities offered (if the total
dollar value of securities offered would not exceed that
which was registered) and any deviation from the low or
high end of the estimated maximum offering range may be
reflected in the form of prospectus filed with the
Securities and Exchange Commission pursuant to Rule 424(b)
if, in the aggregate, the changes in volume and price
represent no more than 20 percent change in the maximum
aggregate offering price set forth in the "Calculation of
Registration Fee" table in the effective registration
statement;
(iii) To include any material information with respect to the
plan of distribution not previously disclosed in the
registration statement or any material change to such
information in the registration statement;
(5) That, for purposes of determining any liability under the
Securities Act of 1933, each filing of the registrants' annual
report pursuant to Section 13(a) or 15(d) of the Securities
Exchange Act of 1934 (and, where applicable, each filing of an
employee benefit plan's annual report pursuant to Section 15(d)
of the Securities Exchange Act of 1934) that is incorporated by
reference in the registration statement shall be deemed to be a
new registration statement relating to the securities offered
therein, and the offering of such securities at that time shall
be deemed to be the initial bona fide offering thereof;
(6) That, for the purpose of determining any liability under the
Securities Act of 1933, each such post-effective amendment
shall be deemed to be a new registration statement relating to
the securities offered therein, and the offering of such
securities at that time shall be deemed to be the initial bona
fide offering thereof; and
(7) To remove from registration by means of a post-effective
amendment any of the securities being registered which remain
unsold at the termination of the offering.
(b) Each of the undersigned Registrants hereby undertakes:
Insofar as indemnification for liabilities arising under the Securities
Act may be permitted to directors, officers and controlling persons of
the registrants pursuant to the foregoing provisions, or otherwise, the
registrants have been advised that in the opinion of the Securities and
Exchange Commission such indemnification is against public policy as
expressed in the Securities Act and is, therefore, unenforceable. In the
event that a claim for indemnification against such liabilities (other
than the payment by the registrants of expenses incurred or paid by a
director, officer or controlling person in the successful defense of any
action, suit or proceeding) is asserted by such director, officer or
controlling person in connection with the securities being registered,
the registrants will, unless in the opinion of its counsel the matter has
been settled by controlling precedent, submit to a court of appropriate
jurisdiction the question whether such indemnification by it is against
public policy as expressed in the Securities Act and will be governed by
the final adjudication of such issue.
(c) Each of the undersigned registrants hereby undertakes to respond to
requests for information that is incorporated by reference into the prospectus
pursuant to Item 4, 10(b), 11 or 13 of this form, within one business day of
receipt of such request, and to send the incorporated by first class mail or
equally prompt means. This includes information contained in documents filed
subsequent to the effective ate of the registration statement through the date
of responding to the request.
(d) Each of the undersigned registrants hereby undertakes to supply by
means of a post-effective amendment all information concerning a transaction,
and the company being acquired involved therein, that was not the subject of
and included in the registration statement when it became effective.
II-4
SIGNATURES
Pursuant to the requirements of the Securities Act of 1933, the Registrants
have duly caused Amendment No. 2 to this Registration Statement to be signed
on their behalf by the undersigned, thereunto duly authorized, in the City of
New York, State of New York, on July 18, 2001.
DELTA FINANCIAL CORPORATION
By: /s/ HUGH MILLER
----------------------------------------
Name: Hugh Miller
Title: President and Chief Executive
Officer
DELTA FUNDING RESIDUAL EXCHANGE COMPANY, LLC
By: Delta Financial Corporation
By: /s/ HUGH MILLER
----------------------------------------
Name: Hugh Miller
Title: President
DELTA FUNDING RESIDUAL MANAGEMENT, INC.
By: Delta Financial Corporation
By: /s/ HUGH MILLER
----------------------------------------
Name: Hugh Miller
Title: President and Chief Executive
Officer
II-5
POWER OF ATTORNEY
Each person whose signature appears below on this Registration Statement
hereby constitutes and appoints Hugh Miller and Marc Miller and each of them,
with full power to act without the other, his true and lawful attorney-in-fact
and agent, with full power of substitution and resubstitution, for him and in
his name, place and stead, in any and all capacities (until revoked in
writing) to sign any and all amendments to this Registration Statement
(including post-effective amendments and amendments thereto) and any
registration statement relating to the same offering as this Registration
Statement that is to be effective upon filing pursuant to Rule 462(b) under
the Securities Act of 1933, and to file the same, with all exhibits thereto,
and other documents in connection therewith, with the Securities and Exchange
Commission, granting unto said attorneys-in-fact and agents, and each of them,
full power and authority to do and perform each and every act and thing,
ratifying and confirming all that said attorneys-in-fact and agents or any of
them, or their or his substitute or substitutes, may lawfully do or cause to
be done by virtue hereof.
Pursuant to the requirements of the Securities Act of 1933, this
Registration Statement has been signed by the following persons in the
capacities and on the dates indicated:
Signature Title Date
--------- ----- -------
* Chairman of the Board July 18, 2001
- -------------------------------------------------------- of Directors
Sidney Miller
/s/ HUGH MILLER Chief Executive Officer, President and July 18, 2001
- -------------------------------------------------------- Director (Principal Executive Officer)
Hugh Miller
* Executive Vice President, Chief Financial July 18 2001
- -------------------------------------------------------- Officer and Director (Principal Financial
Richard Blass Officer)
* Director July 18, 2001
- --------------------------------------------------------
Arnold B. Pollard
* Director July 18, 2001
- --------------------------------------------------------
Martin D. Payson
* Director July 18, 2001
- --------------------------------------------------------
Margaret A. Williams
- ---------------
* Signed by Hugh Miller, as Attorney-in-fact
II-6