SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 8-K
CURRENT REPORT
Pursuant to Section 13 or 15(d) of the
Securities Exchange Act of 1934
Date of Report:October 21, 1997
(Date of earliest event reported)
Commission File No. 333-35653
PAINEWEBBER MORTGAGE ACCEPTANCE CORPORATION IV (as depositor under the Sale and
Servicing Agreement, dated as of October 1, 1997, relating to the DiTech Home
Loan Owner Trust 1997-1, Home Loan Asset Backed Notes, Series 1997-1)
PAINEWEBBER MORTGAGE ACCEPTANCE CORPORATION IV
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Delaware 06-1204982
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(State of Incorporation) (I.R.S. Employer Identification No.)
1285 Avenue of the Americas
New York, New York 10019
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Address of principal executive offices (Zip Code)
(212) 713-2000
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Registrant's Telephone Number, including area code
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(Former name, former address and former fiscal
year, if changed since last report)
<PAGE>
ITEM 5. Other Events
------------
Attached as an exhibit are the Computational Materials (as defined
in the no-action letter dated May 20, 1994 issued by the Securities and
Exchange Commission to Kidder, Peabody Acceptance Corporation-I,
Kidder, Peabody & Co. Incorporated and Kidder Structured Asset
Corporation (the "Kidder Letter")) prepared by PaineWebber
Incorporated, which are hereby filed pursuant to such letter.
<PAGE>
ITEM 7. Financial Statements and Exhibits
---------------------------------
(c) Exhibits
Item 601(a)
of Regulation S-K
Exhibit No. Description
- ----------- -----------
(99) Computational Materials prepared by
PaineWebber Incorporated in connection
with DiTech Home Loan Owner Trust
1997-1, Home Loan Asset Backed Notes,
Series 1997-1
<PAGE>
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.
PAINEWEBBER MORTGAGE ACCEPTANCE
CORPORATION IV
October 21, 1997
By: /s/ Barbara J. Dawson
----------------------------------
Barbara J. Dawson
Senior Vice President
<PAGE>
INDEX TO EXHIBITS
-----------------
Paper (P) or
Exhibit No. Description Electronic (E)
- ----------- ----------- --------------
(99) Computational Materials E
prepared by PaineWebber Incorporated
in connection with DiTech
Home Loan Owner Trust 1997-1, Home
Loan Asset Backed Notes, Series 1997-1
<PAGE>
PAINEWEBBER INCORPORATED
PRELIMINARY BACKGROUND INFORMATION
DITECH HOME LOAN OWNER TRUST 1997-1
DISCLAIMER
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The information included herein is produced and provided exclusively by
PaineWebber Incorporated ('PW') as underwriter for the DiTech Home Loan Owner
Trust 1997-1, and not by or as agent for DiTech Funding Corporation or any of
its affiliates (collectively, the 'Transferor'). The Transferor has not reviewed
or participated in the preparation hereof, and is not responsible for the
accuracy hereof and has not authorized the dissemination hereof. The analysis in
this report is accurate to the best of PW's knowledge and is based on
information provided by the Transferor. PW makes no representations as to the
accuracy of such information provided by the Transferor.
The information herein is preliminary, and will be superseded by the applicable
prospectus supplement and prospectus and by any other information subsequently
filed with the Securities and Exchange Commission.
All opinions and conclusions in this report reflect PW's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PW does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in this analysis. The decision to adopt
any strategy remains your responsibility. PW (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to herein, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PW may make a market in the securities referred to
herein. Neither the information nor the opinions expressed shall be construed to
be, or constitute, an offer to sell or buy or a solicitation of an offer to sell
or buy any securities, commodities or derivative instruments mentioned herein.
Finally, PW has not addressed the legal, accounting and tax implications of the
analysis with respect to you and PW strongly urges you to seek advice from your
counsel, accountant and tax advisor.
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PaineWebber
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<PAGE>
-----------------------------------
DITECH HOME LOAN OWNER TRUST 1997-1
-----------------------------------
PRICING INFORMATION
<TABLE>
<CAPTION>
Ratings:
Approx. Avg. Prin. First Last Final S&P/Fitch
Class Size(000s) Price Life Window Prin Prin Mat. Duff
- ------------------ ----------------- ---------- ----------- ----------- ---------- -------- ------------ ---------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 Notes: [$24,636] 100.0 0.80 20 1 20 04/09 AAA/AAA
A-2 Notes: [$22,945] 100.0 2.50 23 20 42 04/13 AAA/AAA
A-3 Notes: [$24,897] 100.0 5.00 57 42 98 08/18 AAA/AAA
A-4 Notes: [$13,622] 100.0 13.10 183 98 280 01/24 AAA/AAA
M-1 Notes: [$17,700] 100.0 10.73 209 63 271 01/24 AA/AA
M-2 Notes: [$7,200] 100.0 10.71 195 63 257 01/24 A/A
NOT OFFERED PUBLICLY
B-1 Notes: [$6,300] --- 10.64 183 63 245 01/24 BBB/BBB
B-2 Notes: [$2,700] --- 10.49 160 63 222 01/24 BB/BB
</TABLE>
DESCRIPTION OF SECURITIES
Title of Securities: DiTech Home Loan Owner Trust 1997-1
Underwriter: PaineWebber Incorporated
Depositor: PaineWebber Mortgage Acceptance Corporation
IV
Transferor/Servicer: DiTech Funding Corporation
Owner Trustee: Bankers Trust (Delaware)
Indenture Trustee: The Bank of New York
Offering: Public shelf offering - a prospectus and
prospectus supplement will be distributed
after pricing.
Form of Offering: Book-Entry form, same-day funds through DTC
for all of the Notes.
Offered Notes: The Class A-1 through A-4 Notes (the 'Class A
Notes' or 'Senior Notes') and Class M-1 and
Class M-2 Notes (the 'Mezzanine Notes', and
together with the Class A Notes and the Class
B Notes (defined below), the 'Notes') are
being offered pursuant to the prospectus.
The Class B-1 Notes, The Class B-2 Notes
(together, the 'Class B Notes') and the
Residual Interest Certificates are NOT being
offered hereby.
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THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT
RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER
INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
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PaineWebber
<PAGE>
-----------------------------------
DITECH HOME LOAN OWNER TRUST 1997-1
-----------------------------------
DESCRIPTION OF SECURITIES (Continued)
Denominations: The Notes are issueable in minimum
denominations of an original amount of
$25,000 and multiples of $1,000 thereafter.
Underlying Collateral: The Notes will be secured, in
part, by debt consolidation, home
improvement, and other primarily second lien
home equity loans, with combined loan to
value ratios generally in excess of 100%.
Pricing Speed: 2% CPR, increasing to 12% CPR over 12 months
First Distribution Date: November 17, 1997
Settlement Date: On or about October 29, 1997
Cut-off Date: The close of business on September 30, 1997
Distribution Date: The 15th day of each month (or, if any such
date is not a business day, the next business
day thereafter) commencing in November 1997.
Payment Terms: Monthly
Interest Accrual Period: With the exception of the Class A-1 Notes,
interest will accrue on the Notes at a fixed
rate during the month prior to the month of
the related Distribution Date based on a
30/360 year. With respect to the Class A-1
Notes, interest will accrue from and
including the preceding Payment Date (or from
the Closing Date in the case of the first
Payment Date) to and including the day prior
to the current Payment Date at the Class A-1
Note Interest Rate on an Actual/360 day
basis. The "Class A-1 Note Interest Rate"
will be equal to the lesser of (x) with
respect to any Payment Date, One-Month LIBOR
plus [%] per annum and (y) the weighted
average interest rate on the loans of Home
Loan Rate, less 0.7675% per annum (the rate
described in this clause (y), the "Available
Funds Cap").
Pre-Funding Account: On the Closing Date, $30,873,168 will be
deposited in an account (the "Pre-Funding
Account"), which account is in the name of
the Indenture Trustee and is part of the
Trust and will be used to acquire Subsequent
Loans. During the Pre-Funding Period (as
defined below), the amount on deposit in the
Pre-Funding Account (net of investment
earnings thereon) (the "Pre-Funded Amount")
will be reduced by the amount thereof used to
purchase Subsequent Loans in accordance with
the Sale and Servicing Agreement. The
"Pre-Funding Period" is the period commencing
on the Closing Date and ending generally on
the earlier to occur of (i) the date on which
the amount on deposit in the Pre-Funding
Account is less than $50,000 and (ii) January
28, 1998.
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THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT
RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER
INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
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PaineWebber
<PAGE>
-----------------------------------
DITECH HOME LOAN OWNER TRUST 1997-1
-----------------------------------
-----------------------------------
DESCRIPTION OF SECURITIES (Continued)
Credit Enhancement: Credit enhancement with respect to the
Offered Notes will be provided by (1) Excess
Interest, (2) Overcollateralization and (3)
the subordination of the rights of holders of
the Residual Interest Certificate, the Class
B Notes and the lower-rated classes of
Offered Notes to receive interest and
principal, respectively.
Excess Interest: The weighted average coupon on the loans is
generally expected to be higher than the sum
of (a) the servicing fee, (b) trustee fees,
and (c) the weighted average pass through
rate on the Notes, thus generating excess
interest collections which will be available
to fund payments on the Notes on each
Distribution Date.
Overcollateralization: Excess Interest is applied, to the extent
available, to make accelerated payments of
principal to the Notes then entitled to
receive distributions of principal; such
application will cause the aggregate
principal balance of the Notes to amortize
more rapidly than the loans, thus increasing
the Overcollateralization Amount. Prior to
the Stepdown Date, the Overcollateralization
Target Amount equals the greater of (a)
[4.00]% of the sum of the original balance of
the loans as of the Cut-off Date and the
original pre-funded amount and (b) the Net
Delinquency Calculation Amount. On and after
the Step Down Date, the Overcollateralization
Target Amount equals the greater of (a)
[8.00]% of the current principal balance of
the loans and (b) the Net Delinquency
Calculation Amount, subject to a floor of
[0.50]% of the sum of the original balance of
the loans as of the Cut-off Date and the
original pre-funded amount (the
'Overcollateralization Floor').
Subordination: The rights of the Class M-1 Notes to receive
payments of interest on each Distribution
Date will be subordinate to those of the
Senior Notes, the rights of the Class M-2
Notes to receive payments of interest on each
Distribution Date will be subordinate to
those of the Senior Notes and the Class M-1
Notes, the rights of the Class B-1 Notes to
receive payments of interest on each
Distribution Date will be subordinate to
those of the Senior Notes and Mezzanine
Notes, the rights of the Class B-2 Notes to
receive distributions of interest on each
Distribution Date will be subordinate to
those of the Class A Notes, Mezzanine Notes
and Class B-1 Notes, and the rights of the
Residual Interest Certificate to receive
payments on each Distribution Date will be
subordinate to those of the Notes.
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THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT
RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER
INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
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PaineWebber
<PAGE>
-----------------------------------
DITECH HOME LOAN OWNER TRUST 1997-1
-----------------------------------
DESCRIPTION OF SECURITIES (Continued)
The rights of the Class M-1 Notes to receive
payments of principal on each Payment Date
will be subordinate to those of the Senior
Notes, the rights of the Class M-2 Notes to
receive payments of principal on each
Distribution Date will be subordinate to
those of the Senior Notes and the Class M-1
Notes, the rights of the Class B-1 Notes to
receive payments of principal on each
Distribution Date will be subordinate to
those of the Senior Notes and Mezzanine
Notes, the rights of the Class B-2 Notes to
receive distributions of principal on each
Distribution Date will be subordinate to
those of the Class A Notes, Mezzanine Notes
and Class B-1 Notes, and the rights of the
Residual Interest Certificate to receive
payments on each Distribution Date will be
subordinate to those of the Notes.
Stepdown Date: The Stepdown Date means the first
Distribution Date occurring after the October
2000 payment date as to which: (1) the Pool
Principal Balance has been reduced to 50% of
the sum of the Original Pool Principal
Balance and the Original Pre-Funded Amount;
(2) the Net Delinquency Calculation Amount is
less than [4.0]% of the sum of the Original
Pool Principal Balance and the Original Pre-
Funded Amount; and (3) the aggregate Class
Principal Balance of the Senior Notes will be
able to be reduced to the excess of (i) the
Pool Principal Balance as of the preceding
Determination Date over (ii) the greater of
(a) the sum of (1) [56.5%] of the Pool
Principal Balance as of the preceding
Determination Date and (2) the
Overcollateralization Target Amount for such
Distribution Date and (b) [0.50%] of the sum
of the Original Pool Principal Balance and
the Original Pre-Funded Amount.
Net Delinquency
Calculation Amount: With respect to any Distribution Date, the
excess, if any, of (x) the product of [1.5]
and the Six Month Rolling Delinquency Average
over (y) the aggregate amounts of Excess
Spread for the three preceding Distribution
Dates. The Net Delinquency Calculation Amount
may be removed after the Closing Date if the
Rating Agencies no longer require it. After
such event the Net Delinquency Calculation
Amount will be deemed to be zero for all
future calculations.
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THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT
RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER
INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
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PaineWebber
<PAGE>
-----------------------------------
DITECH HOME LOAN OWNER TRUST 1997-1
-----------------------------------
DESCRIPTION OF SECURITIES (Continued)
-----------------------------------
<TABLE>
<CAPTION>
Summary of Subordination & Overcollateralization Target Amounts:
Initial Before After After
Expected Step Down Step Down Step Down
Subord.(a) O/C Amount (b) Subord. (c) O/C Amount (d)
- ----------------------------- ---------------- ------------------------ -------------------- -------------------------
<S> <C> <C> <C> <C>
Class A Notes 28.25% 4.00% 56.50% 8.00%
Class M-1 Notes 13.50% 4.00% 27.00% 8.00%
Class M-2 Notes 7.50% 4.00% 15.00% 8.00%
Class B-1 Notes 2.25% 4.00% 4.50% 8.00%
- ----------------------------- ---------------- ------------------------ -------------------- -------------------------
</TABLE>
(a) The initial amount of subordination for each class as of the Closing Date.
(b) The Overcollateralization Target Amount prior to the Step Down Date.
(c) The expected subordination for each class on the Step Down Date.
(d) The Overcollateralization Target Amount on and after the Step Down Date
as a percentage of the current collateral balance, but at no time less
than the Overcollateralization Floor.
Payment and Distribution
Priorities: (1) interest to the holders of the Senior
Notes; (2) interest to the holders of the
Class M-1 Notes; (3) interest to the holders
of the Class M-2 Notes; (4) interest to the
holders of the Class B-1 Notes; (5) interest
to the holders of the Class B-2 Notes; (6)
sequentially to the Class A-1, Class A-2,
lass A-3 and Class A-4 in that order until
the respective Class Principal Balances
hereof are reduced to zero, the amount
necessary to reduce the aggregate of the
Senior Notes to the Senior Optimal Principal
Balance; provided, however, that on each
Distribution Date occurring on or after any
reduction of the Mezzanine Notes and Class B
Notes to zero due to the allocation of
Allocable loss Amount, distributions shall be
made among the remaining Senior Notes pro
rata and not sequentially; (7) to the Class
M-1 Notes the amount necessary to reduce the
Class M-1 Notes to the Class M-1 Optimal
Principal Balance; (8) to the Class M-2 Notes
the amount necessary to reduce the Class M-2
Notes to the Class M-2 Optimal Principal
Balance;(9) to the Class B-1 Notes the amount
necessary to reduce the Class B-1 Notes to
the Class B-1 Optimal Principal Balance; (10)
to the Class B-2 Notes the amount necessary
to reduce the Class B-2 Notes to the Class
B-2 Optimal Principal Balance; (11) to the
Class M-1 Notes, Class M-2 Notes, Class B-1
Notes and Class B-2 Notes, in that order,
until their respective Loss Reimbursement
Deficiencies, if any, have been paid in full,
and; (12) any remaining amounts to the
holders of the Residual Interest
Certificates.
- --------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT
RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER
INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
- --------------------------------------------------------------------------------
PaineWebber
<PAGE>
-----------------------------------
DITECH HOME LOAN OWNER TRUST 1997-1
-----------------------------------
DESCRIPTION OF SECURITIES (Continued)
Application of Applicable
Loss Amounts: Realized losses will be absorbed first by
Excess Interest and the reduction of the
Overcollateralization Amount. Following the
reduction of any , any Allocable Loss Amounts
will be applied in reduction of the Class
Principal Balances of the Class B-2 Notes,
the Class B-1 Notes, the Class M-2 Notes and
the Class M-1 Notes, in that order, until
their respective Class Principal Balances
have been reduced to zero. The Senior Notes
will not be reduced for any Allocable Loss
Amounts. The reduction of the Class Principal
Balance of any applicable class of Offered
Notes by the application of any Allocable
Loss Amounts entitles such class to
reimbursement in an amount equal to its Loss
Reimbursement Deficiency in accordance with
the payment priorities specified herein until
the earlier of (x) the payment in full of
such amount and (y) the Final Scheduled
Distribution Date.
Optional Termination: The holders of an aggregate percentage
interest in the Residual Interest
Certificates in excess of 50% may, at their
option, effect an early termination of the
Trust on or after any Distribution Date on
which the Pool Principal Balance declines to
10% or less of the sum of the Original Pool
Principal Balance and the Original Pre-Funded
Amount, by purchasing all of the Loans at a
price equal to or greater than the
Termination Price.
Servicing/Other Fees: The collateral is subject to certain fees,
including servicing fee of 0.75% per annum
payable monthly, and trustee fees.
Advancing by Servicer: There is no required advancing of delinquent
principal or interest by the servicer or
trustees.
Tax Considerations: The trust will be an Owner Trust. The Notes
will be characterized as debt for federal
income tax purposes.
ERISA Considerations: In general, the Offered Notes
will be ERISA eligible. However, investors
should consult with their counsel with
respect to the consequences under ERISA and
the Internal Revenue Code of the Plan's
acquisition and ownership of such
certificates.
SMMEA Eligibility: NONE of the Notes will be SMMEA-eligible.
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THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT
RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER
INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
- --------------------------------------------------------------------------------
PaineWebber
<PAGE>
-----------------------------------
DITECH HOME LOAN OWNER TRUST 1997-1
-----------------------------------
DESCRIPTION OF SECURITIES (Continued)
Prospectus: The Offered Notes are being offered pursuant
to a Prospectus which includes a Prospectus
Supplement (together, the 'Prospectus').
Complete information with respect to the
Offered Notes and the collateral is contained
in the Prospectus. The material presented
herein is qualified in its entirety by the
information appearing in the Prospectus. To
the extent that the foregoing is inconsistent
with the Prospectus, the Prospectus shall
govern in all respects. Sales of the Offered
Notes may not be consummated unless the
purchaser has received the Prospectus.
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THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT
RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER
INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
- --------------------------------------------------------------------------------
PaineWebber
<PAGE>
-----------------------------------
DITECH HOME LOAN OWNER TRUST 1997-1
-----------------------------------
DESCRIPTION OF INITIAL HOME EQUITY LOANS AS OF THE CUT-OFF DATE
Number of Loans 2,132
Current Balance $89,126,832
Average Balance $41,804
Minimum Balance $13,414
Maximum Balance $149,933
Wtd. Average Coupon 13.355%
Wtd. Average Original Term 265
Wtd. Average Remaining Term 263
Wtd. Average Seasoning 2
Wtd. Average Combined Loan-To-Value 110.1%
Wtd. Average DTI Ratio 40.1%
Wtd. Average Credit Score 689
Percentage of Loans with Prepayment Penalties 65.8%
The sums and percentages in the following tables may not equal the totals shown
due to rounding.
<TABLE>
<CAPTION>
Aggregate Field
Original Balance Description Count Balance Pool%
<S> <C> <C> <C> <C> <C>
$10,000.01 - $20,000 167 2,909,489 3.3
$20,000.01 - $30,000 549 14,620,525 16.4
$30,000.01 - $40,000 544 19,315,175 21.7
$40,000.01 - $50,000 400 18,666,287 20.9
$50,000.01 - $60,000 164 9,229,771 10.4
$60,000.01 - $70,000 114 7,446,972 8.4
$70,000.01 - $80,000 107 8,013,935 9.0
$80,000.01 - $90,000 18 1,579,693 1.8
$90,000.01 - $100,000 53 5,271,715 5.9
$100,000.01 - $110,000 3 325,661 0.4
$110,000.01 - $120,000 2 239,837 0.3
$120,000.01 - $130,000 5 621,758 0.7
$130,000.01 - $140,000 1 136,400 0.2
$140,000.01 - $150,000 5 749,609 0.8
----- ---------- -----
TOTAL 2,132 89,126,832 100.0
- --------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT
RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER
INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
- --------------------------------------------------------------------------------
PaineWebber
<PAGE>
-----------------------------------
DITECH HOME LOAN OWNER TRUST 1997-1
-----------------------------------
DESCRIPTION OF INITIAL HOME EQUITY LOANS AS OF
THE CUT-OFF DATE (Continued)
Aggregate Field
Current Balance Description Count Balance Pool%
<S> <C> <C> <C> <C> <C>
$10,000.01 - $20,000 167 2,909,489 3.3
$20,000.01 - $30,000 549 14,595,547 16.4
$30,000.01 - $40,000 543 19,290,175 21.6
$40,000.01 - $50,000 401 18,716,264 21.0
$50,000.01 - $60,000 165 9,281,177 10.4
$60,000.01 - $70,000 114 7,446,972 8.4
$70,000.01 - $80,000 106 7,962,528 8.9
$80,000.01 - $90,000 18 1,579,693 1.8
$90,000.01 - $100,000 53 5,271,715 5.9
$100,000.01 - $110,000 3 325,661 0.4
$110,000.01 - $120,000 2 239,837 0.3
$120,000.01 - $130,000 5 621,758 0.7
$130,000.01 - $140,000 1 136,400 0.2
$140,000.01 - $150,000 5 749,609 0.8
----- ---------- -----
TOTAL 2,132 89,126,832 100.0
</TABLE>
<TABLE>
<CAPTION>
Aggregate Field
Original Term Description Count Balance Pool%
<S> <C> <C> <C> <C> <C>
91 - 120 7 311,773 0.4
151 - 180 554 21,196,944 23.8
211 - 240 229 8,693,394 9.8
271 - 300 1,342 58,924,721 66.1
----- ---------- -----
TOTAL 2,132 89,126,832 100.0
</TABLE>
Aggregate Field
Season Description Count Balance Pool%
Less than one 233 10,134,900 11.4
1 - 3 1,573 66,753,027 74.9
4 - 6 326 12,238,903 13.7
----- ---------- -----
TOTAL 2,132 89,126,832 100.0
Aggregate Field
Lien Type Description Count Balance Pool%
First Lien 11 494,183 0.6
Second Lien 2,121 88,632,648 99.5
----- ---------- -----
TOTAL 2,132 89,126,832 100.0
Aggregate Field
Remain Term Description Count Balance Pool%
91 - 120 7 311,773 0.4
151 - 180 554 21,196,944 23.8
211 - 240 229 8,693,394 9.8
271 - 300 1,342 58,924,721 66.1
----- ---------- -----
TOTAL 2,132 89,126,832 100.0
- --------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT
RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER
INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
- --------------------------------------------------------------------------------
PaineWebber
<PAGE>
-----------------------------------
DITECH HOME LOAN OWNER TRUST 1997-1
-----------------------------------
<TABLE>
<CAPTION>
DESCRIPTION OF INITIAL HOME EQUITY LOANS AS OF
THE CUT-OFF DATE (Continued)
Aggregate Field
Property Type Description Count Balance Pool%
<S> <C> <C> <C> <C>
CONDO 99 3,491,246 3.9
NON-CONDO 2,033 85,635,585 96.1
----- ---------- -----
TOTAL 2,132 89,126,832 100.0
</TABLE>
<TABLE>
<CAPTION>
Aggregate Field
Current Rate Description Count Balance Pool%
<S> <C> <C> <C> <C> <C>
9.001% - 9.500% 43 1,720,517 1.9
9.501% - 10.000% 52 2,404,536 2.7
10.001% - 10.500% 61 3,137,652 3.5
10.501% - 11.000% 30 1,652,920 1.9
11.001% - 11.500% 94 4,187,162 4.7
11.501% - 12.000% 106 4,830,837 5.4
12.001% - 12.500% 154 6,896,712 7.7
12.501% - 13.000% 315 14,488,307 16.3
13.001% - 13.500% 253 11,210,870 12.6
13.501% - 14.000% 242 10,631,603 11.9
14.001% - 14.500% 267 10,504,417 11.8
14.501% - 15.000% 295 10,569,395 11.9
15.001% - 15.500% 110 3,532,201 4.0
15.501% - 16.000% 73 2,274,207 2.6
16.001% - 16.500% 18 527,534 0.6
16.501% - 17.000% 17 493,181 0.6
17.001% - 17.500% 1 34,771 0.0
17.501% - 18.000% 1 30,000 0.0
----- ---------- -----
TOTAL 2,132 89,126,832 100.0
</TABLE>
<TABLE>
<CAPTION>
Aggregate Field
Original LTV Accrual Description Count Balance Pool%
<S> <C> <C> <C> <C> <C>
20+% to 25% 1 16,992 0.0
25+% to 30% 1 23,700 0.0
45+% to 50% 2 42,430 0.1
55+% to 60% 5 185,808 0.2
70+% to 75% 10 491,932 0.6
75+% to 80% 12 521,535 0.6
80+% to 85% 23 916,824 1.0
85+% to 90% 116 4,466,368 5.0
90+% to 95% 113 4,547,343 5.1
95+% to 100% 207 8,316,510 9.3
100+% to 105% 223 8,862,445 9.9
105+% to 110% 259 10,408,051 11.7
110+% to 115% 332 14,286,499 16.0
115+% to 120% 321 13,205,973 14.8
120+% to 125% 494 22,335,350 25.1
125+% to 130% 10 380,127 0.4
130+% to 135% 3 118,939 0.1
----- ---------- -----
TOTAL 2,132 89,126,832 100.0
</TABLE>
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- --------------------------------------------------------------------------------
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<PAGE>
-----------------------------------
DITECH HOME LOAN OWNER TRUST 1997-1
-----------------------------------
<TABLE>
<CAPTION>
DESCRIPTION OF INITIAL HOME EQUITY LOANS AS OF
THE CUT-OFF DATE (Continued)
Aggregate Field
State Description Count Balance Pool%
<S> <C> <C> <C> <C>
AK 14 666,391 0.8
AL 63 2,246,606 2.5
AR 3 142,959 0.2
AZ 32 1,437,891 1.6
CA 1,003 44,574,835 50.0
CO 18 681,408 0.8
CT 23 887,729 1.0
DC 1 29,924 0.0
DE 5 192,034 0.2
FL 98 4,258,539 4.8
GA 53 2,086,452 2.3
HI 8 389,291 0.4
IA 17 658,240 0.7
ID 4 128,936 0.1
IL 56 1,982,024 2.2
IN 38 1,442,760 1.6
KS 21 754,656 0.9
KY 22 823,839 0.9
LA 36 1,580,490 1.8
MA 31 1,196,375 1.3
MD 42 1,769,032 2.0
ME 21 984,735 1.1
MI 41 1,598,602 1.8
MN 17 679,634 0.8
MO 32 1,083,586 1.2
MS 15 521,329 0.6
MT 10 402,614 0.5
NC 45 1,837,119 2.1
ND 4 121,953 0.1
NE 7 227,627 0.3
NH 12 395,936 0.4
NM 13 546,378 0.6
NV 25 1,035,873 1.2
OH 1 39,972 0.0
OK 28 1,152,142 1.3
OR 10 356,032 0.4
PA 68 2,512,362 2.8
RI 6 157,710 0.2
SC 12 367,524 0.4
SD 3 117,844 0.1
TN 33 1,139,003 1.3
UT 22 779,584 0.9
VA 47 2,155,146 2.4
VT 8 321,293 0.4
WA 29 1,127,199 1.3
WI 23 982,496 1.1
WV 7 332,079 0.4
WY 5 220,628 0.3
---- --------- -----
TOTAL 2,132 89,126,832 100.0
</TABLE>
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THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT
RECEIVE SUCH A DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER
INCORPORATED FINANCIAL ADVISOR IMMEDIATELY.
- --------------------------------------------------------------------------------
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<PAGE>
-----------------------------------
DITECH HOME LOAN OWNER TRUST 1997-1
-----------------------------------
<TABLE>
<CAPTION>
DESCRIPTION OF INITIAL HOME EQUITY LOANS AS OF
THE CUT-OFF DATE (Continued)
Aggregate Field Description Count Balance Pool%
<S> <C> <C> <C> <C>
Debt to Income Ratio 20.00 and less 16 634,328 0.7
20.01 to 25.00 59 2,155,741 2.4
25.01 to 30.00 165 6,633,375 7.4
30.01 to 35.00 305 11,797,875 13.2
35.01 to 40.00 426 17,571,258 19.7
40.01 to 45.00 637 25,726,325 28.9
45.01 to 50.00 511 23,977,961 26.9
Greater than 50 13 629,966 0.7
----- ----- ---------- -----
TOTAL 2,132 89,126,832 100.0
Aggregate Field
Credit Risk - Range Description Count Balance Pool%
<S> <C> <C> <C> <C>
600 to 619 8 240,499 0.3
620 to 639 198 5,634,877 6.3
640 to 659 378 13,025,608 14.6
660 to 679 382 15,172,133 17.0
680 to 699 483 22,858,653 25.7
700 to 719 316 14,849,438 16.7
720 to 739 199 9,630,493 10.8
740 to 759 114 5,290,394 5.9
760 to 779 38 1,763,225 2.0
780 to 799 15 636,527 0.7
800 to 819 1 24,980 0.0
----- ---- ---------- -----
TOTAL 2,132 89,126,832 100.0
</TABLE>
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- --------------------------------------------------------------------------------
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<PAGE>
-----------------------------------
DITECH HOME LOAN OWNER TRUST 1997-1
-----------------------------------
BOND SENSITIVITY TO PREPAYMENT ASSUMPTIONS
% of Prepayment Assumption
<TABLE>
<CAPTION>
CLASS A-1 0% 50% 75% 100% 125% 150%
- --------------------------- -------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE 4.548 1.258 0.966 0.804 0.701 0.629
FIRST PAY 11/97 11/97 11/97 11/97 11/97 11/97
LAST PAY 2/07 7/00 11/99 6/99 3/99 1/99
WINDOW (MONTHS) 112 33 25 20 17 15
</TABLE>
% of Prepayment Assumption
<TABLE>
<CAPTION>
CLASS A-2 0% 50% 75% 100% 125% 150%
- --------------------------- -------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE 11.732 4.350 3.170 2.500 2.073 1.778
YIELD @ 100.000 6.669% 6.631% 6.609% 6.586% 6.565% 6.543%
DURATION 7.888 3.641 2.758 2.225 1.871 1.621
FIRST PAY 2/07 7/00 11/99 6/99 3/99 1/99
LAST PAY 8/11 11/03 3/02 4/01 9/00 4/00
WINDOW (MONTHS) 55 41 29 23 19 16
</TABLE>
% of Prepayment Assumption
<TABLE>
<CAPTION>
CLASS A-3 0% 50% 75% 100% 125% 150%
- --------------------------- -------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE 16.135 8.456 6.338 5.000 4.108 3.479
YIELD @ 100.000 6.859% 6.844% 6.833% 6.822% 6.810% 6.798%
DURATION 9.469 6.171 4.940 4.070 3.446 2.981
FIRST PAY 8/11 11/03 3/02 4/01 9/00 4/00
LAST PAY 8/17 8/10 12/07 12/05 7/04 7/03
WINDOW (MONTHS) 73 82 70 57 47 40
</TABLE>
% of Prepayment Assumption
<TABLE>
<CAPTION>
CLASS A-4 0% 50% 75% 100% 125% 150%
- --------------------------- -------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE 22.238 17.786 15.308 13.105 11.259 9.752
YIELD @ 100.000 7.398% 7.400% 7.403% 7.407% 7.409% 7.409%
DURATION 10.619 9.526 8.755 7.964 7.220 6.549
FIRST PAY 8/17 8/10 12/07 12/05 7/04 7/03
LAST PAY 8/22 5/22 12/21 2/21 10/19 4/18
WINDOW (MONTHS) 61 142 169 183 184 178
</TABLE>
% of Prepayment Assumption
<TABLE>
<CAPTION>
CLASS M-1 0% 50% 75% 100% 125% 150%
- --------------------------- -------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE 20.836 15.262 12.765 10.735 9.131 7.862
YIELD @ 100.000 7.374% 7.369% 7.365% 7.361% 7.356% 7.350%
DURATION 10.327 8.694 7.759 6.906 6.166 5.534
FIRST PAY 7/14 9/06 6/04 1/03 2/02 6/01
LAST PAY 7/22 2/22 7/21 5/20 12/18 4/17
WINDOW (MONTHS) 97 186 206 209 203 191
</TABLE>
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- --------------------------------------------------------------------------------
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<PAGE>
-----------------------------------
DITECH HOME LOAN OWNER TRUST 1997-1
-----------------------------------
BOND SENSITIVITY TO PREPAYMENT ASSUMPTIONS (Continued)
% of Prepayment Assumption
<TABLE>
<CAPTION>
CLASS M-2 0% 50% 75% 100% 125% 150%
- ------------------------------- -------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE 20.833 15.248 12.738 10.705 9.093 7.818
YIELD @ 100.000 7.518% 7.512% 7.508% 7.504% 7.499% 7.493%
DURATION 10.208 8.610 7.689 6.848 6.116 5.489
FIRST PAY 7/14 9/06 6/04 1/03 2/02 6/01
LAST PAY 6/22 9/21 9/20 3/19 6/17 7/15
WINDOW (MONTHS) 96 181 196 195 185 170
</TABLE>
% of Prepayment Assumption
<TABLE>
<CAPTION>
CLASS A-4(10% Call) 0% 50% 75% 100% 125% 150%
- ------------------------------- -------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE 21.972 17.077 14.340 11.961 10.135 8.687
YIELD @ 100.000 7.395% 7.392% 7.389% 7.385% 7.381% 7.376%
DURATION 10.572 9.374 8.516 7.634 6.848 6.151
FIRST PAY 8/17 8/10 12/07 12/05 7/04 7/03
LAST PAY 1/21 6/17 11/14 3/12 3/10 7/08
WINDOW (MONTHS) 42 83 84 76 69 61
</TABLE>
% of Prepayment Assumption
<TABLE>
<CAPTION>
CLASS M-1(10% Call) 0% 50% 75% 100% 125% 150%
- ------------------------------- -------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE 20.668 14.813 12.156 10.020 8.430 7.203
YIELD @ 100.000 7.374% 7.369% 7.364% 7.359% 7.354% 7.348%
DURATION 10.298 8.600 7.612 6.702 5.936 5.288
FIRST PAY 7/14 9/06 6/04 1/03 2/02 6/01
LAST PAY 1/21 6/17 11/14 3/12 3/10 7/08
WINDOW (MONTHS) 79 130 126 111 98 86
</TABLE>
% of Prepayment Assumption
<TABLE>
<CAPTION>
CLASS M-2(10% Call) 0% 50% 75% 100% 125% 150%
- ------------------------------- -------------- -------------- -------------- -------------- -------------- --------------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE 20.668 14.813 12.156 10.020 8.430 7.203
YIELD @ 100.000 7.518% 7.512% 7.508% 7.503% 7.497% 7.491%
DURATION 10.180 8.521 7.550 6.655 5.900 5.259
FIRST PAY 7/14 9/06 6/04 1/03 2/02 6/01
LAST PAY 1/21 6/17 11/14 3/12 3/10 7/08
WINDOW (MONTHS) 79 130 126 111 98 86
</TABLE>
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<PAGE>
