The indicative capital structure of the Delta CDO PLC Series 2005-1 deal is:

Tranche        Ratings                            Size                              Average Life
(Moody's/S&P/Fitch)

Class A          Not Offered                      $2,101m                      8 yrs

Class B          Aaa/AAA/AAA                 $39.0m                        8 yrs

Class C          Aa2/AA/AA+                    $31.0m                        8 yrs

Class D          A1/A/A+                          $13.7m                        8 yrs

Equity            Not Offered                       $27.5m

Pricing date: 20/4/2005

Delta is structured as a synthetic CDO that gives investors exposure to pure ABS credit risk and removes a range of other risks found in comparable cash structures (e.g. available cap risk, FX risk, funding risk etc).  This highly innovative and cost efficient structure enables investors to gain exposure to a higher quality ABS portfolio than it would have been possible in a standard cash deal given the current market conditions.

Deutsche Bank will purchase the underlying portfolio from Wharton Asset Management on the closing date. In parallel, Deutsche will acquire protection on the mezzanine risk embedded in the USD 2.2 billion reference portfolio by entering in a series of portfolio credit swaps with the issuer, Delta CDO plc, a bankruptcy-remote Irish SPV. The issuer will then transfer this credit risk to investors by issuing three classes of rated Credit Linked Notes under the Delta CDO 2005-1 transaction.

Another innovative aspect of this transaction is that Wharton will have the flexibility to trade both in the cash ABS and CDS of ABS markets and take advantage of the future developments in the emerging CDS of ABS market.

Background notes: Wharton Asset Management is an established alternative investment management firm with more than 10 years' track-record. Wharton was established in 1993 as an investment advisor to a number of offshore total-return funds ranging from financial markets to real estate. The organization has evolved and all regulated business is now conducted through the FSA regulated UK entity.

Wharton has outstanding credentials in global ABS credit analysis, trading and risk management and has approximately USD 4.5bn ABS assets under management (before Delta) and has been investing in both the US and European ABS market since 1997. Currently, 75 per cent of Wharton's ABS assets under management are originated from the US.

Wharton's first ABS vehicle, the Y2K fund, was launched in September 1999 and has currently over USD 1.2bn ABS under management. Over the last three years Y2K had the second best Sharpe Ration of all European hedge funds.

Wharton has strong experience in managing ABS with a CDO and total-return leveraged framework. In addition to Y2K Finance and Delta CDO 2005-1, Wharton manages:

* H2 Finance Ltd - A EUR 1.5 billion high grade ABS CDO with an innovative market-value structure;
* G Square Finance Limited - A USD 1.25 billion high grade ABS CDO with total-return swap funding mechanism

Wharton has a multi-disciplinary approach, comprehensive talent and resources covering:
* ABS credit analysis, trading and structuring;
* Portfolio management;
* CDO structuring, management and administration;
* Operations and transaction management.