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: August 14, 1997
(Date of earliest event reported)
Commission File No. 333-30939
PAINEWEBBER MORTGAGE ACCEPTANCE CORPORATION IV (as depositor under the Sale and
Servicing Agreement, dated as of August 1, 1997, relating to the Empire Funding
Home Loan Owner Trust 1997-3, Home Loan Asset Backed Notes, Series 1997-3)
PAINEWEBBER MORTGAGE ACCEPTANCE CORPORATION IV
- --------------------------------------------------------------------------------
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
- --------------------------------------------------------------------------------
(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.
-2-
<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
Empire Funding Home Loan Owner
Trust 1997-3, Home Loan Asset
Backed Notes, Series 1997-3
-3-
<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
August 14, 1997
By: /s/ Barbara J. Dawson
--------------------------------------------
Barbara J. Dawson
Senior Vice President
-4-
<PAGE>
INDEX TO EXHIBITS
Paper (P) or
Exhibit No. Description Electronic (E)
- ----------- ----------- --------------
(99) Computational Materials E
prepared by PaineWebber Incorporated
in connection with Empire Funding
Home Loan Owner Trust 1997-3, Home
Loan Asset Backed Notes, Series 1997-3
-5-
393 50
39312 ^99991006
EMPIRE HOME LOAN OWNER TRUST 1997-3
PAINEWEBBER INCORPORATED
PRELIMINARY BACKGROUND INFORMATION
EMPIRE HOME LOAN OWNER TRUST 1997-3
DISCLAIMER
The information included herein is produced and provided exclusively by
PaineWebber Incorporated (!PW!) as underwriter for the Empire Home Loan Owner
Trust 1997-3, and not by or as agent for Empire Funding Corporation or any of
its affiliates (collectively, the (!Transferor!). The Transferor has not
prepared, reviewed or participated in the preparation hereof, 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.
<PAGE>
EMPIRE HOME LOAN OWNER TRUST 1997-3
DISCLAIMER (CONTINUED)
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.
<PAGE>
EMPIRE HOME LOAN OWNER TRUST 1997-3
PRICING INFORMATION
Approx. Avg. Principal First Last Ratings
Class Size(1,000) Price Life Window Prin Prin S&P/Duff
- -------------------------------------------------------------------------------
A-1 Notes: [$17,215] 100.5 0.35 7 1 7 AAA/AAA
A-2 Notes: [$29,968] 101.0 1.00 11 7 17 AAA/AAA
A-3 Notes: [$32,492] 101.5 2.00 15 17 31 AAA/AAA
A-4 Notes: [$21,015] 101.5 3.00 11 31 41 AAA/AAA
A-5 Notes: [$24,232] 101.5 4.00 18 41 58 AAA/AAA
A-6 Notes: [$20,550] 102.0 7.00 61 58 118 AAA/AAA
A-7 Notes: [$12,852] 102.0 13.60 146 118 263 AAA/AAA
M-1 Notes: [$33,806] 101.0 9.23 198 54 251 AA/AA
M-2 Notes: [$14,086] 100.0 9.20 180 54 233 A/A
B-1 Notes: [$13,522] 100.0 9.14 168 54 221 BBB/BBB
NOT OFFERED PUBLICLY
B-2 Notes: [$5,634] --- 9.00 143 54 196 BB/BB
<PAGE>
EMPIRE HOME LOAN OWNER TRUST 1997-3
PRICING INFORMATION (CONTINUED)
Pricing Speed: 3% CPR, increasing to 14% CPR over 12 months
First Distribution Date: September 25, 1997
Settlement Date: On or about August 21, 1997
Cut-off Date: July 31, 1997
Payment Delay: 24 Days
Interest Payment: 30/360
Payment Terms: Monthly
<PAGE>
EMPIRE HOME LOAN OWNER TRUST 1997-3
DESCRIPTION OF SECURITIES
Title of Securities: EMPIRE HOME LOAN OWNER TRUST 1997-3
Offered Notes: Class A-1 through A-7 Notes (the !Class A Notes! or
!Senior Notes!), Class M-1 and Class M-2 Notes (the
!Mezzanine Notes!) and Class B-1 Notes (the !Class B-1
Notes!, and together with the Senior Notes and Mezzanine
Notes, the !Notes!).
Underwriter: PaineWebber Incorporated
Depositor: PaineWebber Mortgage Acceptance Corporation IV
Transferor/Servicer: Empire Funding Corp.
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%, as well as
unsecured loans, representing 1.70% of the Original Pool
Principal Balance.
<PAGE>
EMPIRE HOME LOAN OWNER TRUST 1997-3
DESCRIPTION OF SECURITIES (CONTINUED)
Owner Trustee: Wilmington Trust Company
Co-owner Trustee and
Indenture Trustee: U.S. Bank National Association, d/b/a
First Bank National Association
Securities Offered: Only the Class A, Class M-1, Class M-2 and
Class B-1 Notes are being offered pursuant to the
prospectus. Neither the Class B-2 Notes nor the Residual
Interest Certificates are being offered hereby.
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.
Denominations: The Notes are issueable in minimum denominations of an
original amount of $25,000 and multiples of $1,000
thereafter.
<PAGE>
EMPIRE HOME LOAN OWNER TRUST 1997-3
DESCRIPTION OF SECURITIES (CONTINUED)
Pricing Assumption: 3% CPR, increasing to 14% CPR over 12 months
Interest Accrual
Period: Interest will accrue at a fixed rate during the month
prior to the month of the related distribution date
based on a 30/360 year.
Distribution Date: The 25th day of each month (or, if any such date is not
a business day, the next business day
thereafter)commencing on September 25, 1997.
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-2 Notes and the lower-rated classes of Notes
to receive interest and principal, respectively.
<PAGE>
EMPIRE HOME LOAN OWNER TRUST 1997-3
DESCRIPTION OF SECURITIES (CONTINUED)
Excess Interest: The weighted average coupon rate 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 and distributions on the Notes on each
Distribution Date.
<PAGE>
EMPIRE HOME LOAN OWNER TRUST 1997-3
DESCRIPTION OF SECURITIES (CONTINUED)
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 Step Down Date, the Overcollateralization Target
Amount equals the greater of (a) [4.50]% of the original
balance of the loans as of the Cut-off Dates and (b) the
Net Delinquency Calculation Amount. On and after the
Step Down Date, the Overcollateralization Target Amount
equals the greater of (a)[9.00]% of the current
principal balance of the loans and (b) the Net
Delinquency Calculation Amount, subject to a floor of
[0.50]% of the original balance of the loans as of the
Cut-Off Dates (the !Overcollateralization Floor!).
<PAGE>
EMPIRE HOME LOAN OWNER TRUST 1997-3
DESCRIPTION OF SECURITIES (CONTINUED)
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 Offered Notes, and the rights of the Residual
Interest Certificate to receive payments on each
Distribution Date will be subordinate to those of the
Notes.
<PAGE>
EMPIRE HOME LOAN OWNER TRUST 1997-3
DESCRIPTION OF SECURITIES (CONTINUED)
Subordination
(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 Offered Notes, and the rights of the Residual
Interest Certificate to receive payments on each
Distribution Date will be subordinate to those of the
Notes.
<PAGE>
EMPIRE HOME LOAN OWNER TRUST 1997-3
DESCRIPTION OF SECURITIES (CONTINUED)
Step Down Date: The step down date means the first Distribution Date
occurring after August 2000 in which the balance of the
Senior Notes equals the Senior Optimal Balance.
Net Delinquency
Calculation Amount: With respect to any Distribution Date, the
excess, if any, of (x) the product of 2.5 and the Six
Month Rolling Delinquency Average over (y) the aggregate
amounts of Excess Spread for the three preceding
Distribution Dates.
<PAGE>
EMPIRE HOME LOAN OWNER TRUST 1997-3
DESCRIPTION OF SECURITIES (CONTINUED)
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)
---------- -------------- ----------- --------------
Class A Notes 29.75% 4.50% 59.50% 9.00%
Class M-1 Notes 14.75% 4.50% 29.50% 9.00%
Class M-2 Notes 8.50% 4.50% 17.00% 9.00%
Class B-1 Notes 2.50% 4.50% 5.00% 9.00%
- -----------------------------------------------------------------------------
(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.
<PAGE>
EMPIRE HOME LOAN OWNER TRUST 1997-3
DESCRIPTION OF SECURITIES (CONTINUED)
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 B-2 Notes;
(6) sequentially to the Class A-1, Class A-2, Class A-3,
Class A-4, Class A-5, Class A-6 and Class A-7 in that
order until the respective Class Principal Balances
thereof 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 Class M and Class B Notes to zero
through 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.
<PAGE>
EMPIRE HOME LOAN OWNER TRUST 1997-3
DESCRIPTION OF SECURITIES (CONTINUED)
Payment and Distribution
Priorities (Continued): (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) sequentially to the Class M-1 Notes and the Class
M-2 Notes, in that order, until their respective Loss
Reimbursement Deficiencies, if any, have been paid in
full;
(12) to the Class B-1 Notes and the Class B-2 Notes, in
that order, until the applicable Loss Reimbursement
Deficiencies, if any, has been paid in full; and
(13) any remaining amounts to the holders of the
Residual Interest Certificates.
<PAGE>
EMPIRE HOME LOAN OWNER TRUST 1997-3
DESCRIPTION OF SECURITIES (CONTINUED)
Application of Applicable
Loss Amounts: Realized losses will be absorbed first by Excess
Interest and the reduction of the Over-collateralization
Amount. Following the reduction of any
Overcollateralization Amount to zero, any Allocable Loss
Amounts will be applied in reduction of (1) the Class
B-2 Notes until the Class B-2 Notes have been reduced to
zero; (2) the Class B-1 Notes until the Class B-1 Notes
have been reduced to zero; (3) the Class M-2 Notes until
the Class M-2 Notes have been reduced to zero; and (4)
the Class M-1 Notes until the Class M-1 Notes have been
reduced to zero. The Senior Notes will not be reduced
for any Allocable Loss Amounts. Any Allocable Loss
Amounts with respect to the Notes will entitle such
class to receive reimbursement for such amounts as
described under !Payment and Distribution Priorities!
above.
<PAGE>
EMPIRE HOME LOAN OWNER TRUST 1997-3
DESCRIPTION OF SECURITIES (CONTINUED)
Optional Termination: The Servicer, may, at its option, effect an early
redemption of the Notes on or after any Payment Date on
which the pool principal balance is less than or equal
to 15% of the Original Pool Balance, in which case the
Indenture Trustee will be directed to SELL all of the
Loans to a person UNAFFILIATED with the Servicer. In
addition, the Servicer, may, at its option, effect an
early redemption of the Notes on or after a Payment Date
on which the Principal Pool Balance is less than or
equal to 10% of the Original Pool Balance by providing
for payments of the Notes.
Servicing/Other Fees: The collateral is subject to certain fees, including a
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.
<PAGE>
EMPIRE HOME LOAN OWNER TRUST 1997-3
DESCRIPTION OF SECURITIES (CONTINUED)
Tax Considerations: The trust will be a 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.
<PAGE>
EMPIRE HOME LOAN OWNER TRUST 1997-3
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.
<PAGE>
EMPIRE HOME LOAN OWNER TRUST 1997-3
DESCRIPTION OF INITIAL HOME LOANS AS OF THE CUT-OFF DATE
Number of Loans 7,096
Current Balance $225,371,558
Average Balance $31,760
Minimum Balance $408
Maximum Balance $84,782
Wtd Average Coupon 14.0718%
Original Term 239
Seasoning 1
Original Loan-To-Value 115%
The sums and percentages in the following tables may not equal the totals shown
due to rounding.
<PAGE>
EMPIRE HOME LOAN OWNER TRUST 1997-3
DESCRIPTION OF INITIAL HOME LOANS AS OF THE CUT-OFF DATE (CONTINUED)
Description Count Balance Pool%
State AK 78 2,978,500 1.3
AL 51 1,582,110 0.7
AR 19 632,501 0.3
AZ 335 9,491,173 4.2
CA 2408 89,917,243 39.9
CO 209 6,949,319 3.1
CT 16 485,357 0.2
DC 19 627,070 0.3
DE 15 454,766 0.2
FL 308 8,173,231 3.6
GA 268 7,909,697 3.5
HI 11 442,855 0.2
IA 17 433,419 0.2
ID 61 2,002,037 0.9
IL 141 4,292,339 1.9
IN 95 2,679,757 1.2
KS 19 448,276 0.2
KY 26 460,518 0.2
<PAGE>
EMPIRE HOME LOAN OWNER TRUST 1997-3
DESCRIPTION OF INITIAL HOME LOANS AS OF THE CUT-OFF DATE (CONTINUED)
Description Count Balance Pool%
State LA 59 1,449,755 0.6
MA 7 198,331 0.1
MD 448 15,755,997 7.0
ME 5 196,865 0.1
MI 77 1,740,337 0.8
MN 107 3,195,533 1.4
MO 162 4,303,035 1.9
MS 22 424,728 0.2
MT 11 335,383 0.2
NC 379 10,773,252 4.8
NE 6 48,070 0.0
NH 2 69,655 0.0
NJ 25 728,920 0.3
NM 41 1,302,113 0.6
NV 161 5,006,739 2.2
NY 26 834,859 0.4
<PAGE>
EMPIRE HOME LOAN OWNER TRUST 1997-3
DESCRIPTION OF INITIAL HOME LOANS AS OF THE CUT-OFF DATE (CONTINUED)
Description Count Balance Pool%
State OH 69 1,798,172 0.8
OK 94 2,106,708 0.9
OR 79 2,231,010 1.0
PA 190 5,374,408 2.4
RI 3 92,191 0.0
SC 189 5,495,293 2.4
TN 58 1,190,141 0.5
TX 155 1,011,612 0.5
UT 135 4,567,317 2.0
VA 261 8,704,580 3.9
VT 1 59,959 0.0
WA 203 5,581,524 2.5
WI 11 414,903 0.2
WV 7 203,870 0.1
WY 7 216,107 0.1
-----------------------------
Total 7096 225,371,558 100.0%
<PAGE>
EMPIRE HOME LOAN OWNER TRUST 1997-3
DESCRIPTION OF INITIAL HOME LOANS AS OF THE CUT-OFF DATE (CONTINUED)
Aggregate Field Description Count Balance Pool%
Current Balance $10,000 or less 543 3,062,746 1.4
$10,000.01 - $20,000 948 15,514,686 6.9
$20,000.01 - $30,000 1927 50,103,970 22.2
$30,000.01 - $40,000 2230 78,864,078 35.0
$40,000.01 - $50,000 774 36,177,294 16.1
$50,000.01 - $60,000 396 22,396,188 9.9
$60,000.01 - $70,000 186 12,393,977 5.5
$70,000.01 - $80,000 91 6,773,834 3.0
$80,000.01 - $90,000 1 84,782 0.0
-----------------------------
Total 7096 225,371,558 100.0%
<PAGE>
EMPIRE HOME LOAN OWNER TRUST 1997-3
DESCRIPTION OF INITIAL HOME LOANS AS OF THE CUT-OFF DATE (CONTINUED)
Aggregate Field Description Count Balance Pool%
Current Rate 8.501% - 9.000% 15 482,409 0.2
9.001% - 9.500% 1 47,099 0.0
9.501% - 10.000% 39 1,469,686 0.7
10.001% - 10.500% 17 689,557 0.3
10.501% - 11.000% 181 6,535,195 2.9
11.001% - 11.500% 65 2,619,097 1.2
11.501% - 12.000% 366 12,955,058 5.8
12.001% - 12.500% 233 8,213,711 3.6
12.501% - 13.000% 1097 30,398,353 13.5
13.001% - 13.500% 552 20,701,210 9.2
13.501% - 14.000% 1245 39,313,005 17.4
14.001% - 14.500% 633 21,230,330 9.4
14.501% - 15.000% 970 30,920,891 13.7
<PAGE>
EMPIRE HOME LOAN OWNER TRUST 1997-3
DESCRIPTION OF INITIAL HOME LOANS AS OF THE CUT-OFF DATE (CONTINUED)
Aggregate Field Description Count Balance Pool%
Current Rate 15.001% - 15.500% 412 12,742,615 5.7
15.501% - 16.000% 708 20,733,497 9.2
16.001% - 16.500% 248 7,603,266 3.4
16.501% - 17.000% 233 6,559,835 2.9
17.001% - 17.500% 22 657,198 0.3
17.501% - 18.000% 50 1,221,780 0.5
18.001% - 18.500% 5 178,907 0.1
18.501% - 19.000% 3 58,877 0.0
19.001% - 19.500% 1 39,972 0.0
-----------------------------
Total 7096 225,371,558 100.0%
<PAGE>
EMPIRE HOME LOAN OWNER TRUST 1997-3
DESCRIPTION OF INITIAL HOME LOANS AS OF THE CUT-OFF DATE (CONTINUED)
Aggregate Field Description Count Balance Pool%
Lien Type 1 32 763,306 0.3
2 6469 220,444,238 97.8
3 13 333,872 0.2
Unsecured 582 3,830,141 1.7
-----------------------------
Total 7096 225,371,558 100.0%
<PAGE>
EMPIRE HOME LOAN OWNER TRUST 1997-3
DESCRIPTION OF INITIAL HOME LOANS AS OF THE CUT-OFF DATE (CONTINUED)
Aggregate Field Description Count Balance Pool%
Combined LTV Unsecured 582 3,830,141 1.7
5.01% to 10.00% 2 13,714 0.0
15.01% to 20.00% 1 8,745 0.0
20.01% to 25.00% 1 27,500 0.0
25.01% to 30.00% 4 114,158 0.1
30.01% to 35.00% 8 200,686 0.1
35.01% to 40.00% 6 130,222 0.1
40.01% to 45.00% 4 109,335 0.1
45.01% to 50.00% 3 43,954 0.0
50.01% to 55.00% 1 25,000 0.0
55.01% to 60.00% 7 162,942 0.1
60.01% to 65.00% 12 244,769 0.1
65.01% to 70.00% 18 431,944 0.2
70.01% to 75.00% 10 212,445 0.1
75.01% to 80.00% 30 722,556 0.3
<PAGE>
EMPIRE HOME LOAN OWNER TRUST 1997-3
DESCRIPTION OF INITIAL HOME LOANS AS OF THE CUT-OFF DATE (CONTINUED)
Aggregate Field Description Count Balance Pool%
Combined LTV 80.01% to 85.00% 39 938,527 0.4
85.01% to 90.00% 74 1,719,934 0.8
90.01% to 95.00% 137 3,639,549 1.6
95.01% to 100.00% 356 9,697,109 4.3
100.01% to 105.00% 522 15,869,900 7.0
105.01% to 110.00% 807 25,818,636 11.5
110.01% to 115.00% 988 32,681,194 14.5
115.01% to 120.00% 1294 45,398,917 20.1
120.01% to 125.00% 2170 82,491,833 36.6
Greater than 125.00% 20 837,842 0.4
-----------------------------
Total 7096 225,371,558 100.0%
<PAGE>
EMPIRE HOME LOAN OWNER TRUST 1997-3
DESCRIPTION OF INITIAL HOME LOANS AS OF THE CUT-OFF DATE (CONTINUED)
Aggregate Field Description Count Balance Pool%
Season Less than 1 1639 51,604,940 22.9
1 - 3 5204 165,775,517 73.6
4 - 6 237 7,535,728 3.3
7 - 9 14 432,040 0.2
10 and Greater 2 23,331 0.0
-----------------------------
Total 7096 225,371,558 100.0%
<PAGE>
EMPIRE HOME LOAN OWNER TRUST 1997-3
DESCRIPTION OF INITIAL HOME LOANS AS OF THE CUT-OFF DATE (CONTINUED)
Aggregate Field Description Count Balance Pool%
Remain Term 0 - 30 19 55,609 0.0
31 - 60 235 1,589,524 0.7
61 - 90 152 1,184,617 0.5
91 - 120 513 9,269,622 4.1
121 - 150 52 1,089,201 0.5
151 - 180 1863 57,699,038 25.6
211 - 240 2099 71,603,607 31.8
271 - 300 2163 82,880,336 36.8
-----------------------------
Total 7096 225,371,558 100.0%
<PAGE>
EMPIRE HOME LOAN OWNER TRUST 1997-3
DESCRIPTION OF INITIAL HOME LOANS AS OF THE CUT-OFF DATE (CONTINUED)
Aggregate Field Description Count Balance Pool%
Orig Term 0 - 30 19 55,609 0.0
31 - 60 234 1,545,396 0.7
61 - 90 153 1,228,745 0.6
91 - 120 512 9,234,689 4.1
121 - 150 52 1,089,201 0.5
151 - 180 1861 57,594,419 25.6
211 - 240 2100 71,658,393 31.8
271 - 300 2165 82,965,102 36.8
-----------------------------
Total 7096 225,371,558 100.0%
<PAGE>
EMPIRE HOME LOAN OWNER TRUST 1997-3
DESCRIPTION OF INITIAL HOME LOANS AS OF THE CUT-OFF DATE (CONTINUED)
Aggregate Field Description Count Balance Pool%
Credit Risk 520 to 540 1 29,937 0.0
540 to 560 4 66,086 0.0
560 to 580 9 255,181 0.1
580 to 600 13 289,525 0.1
600 to 620 103 2,888,848 1.3
620 to 640 1031 30,508,353 13.5
640 to 660 1570 49,241,198 21.9
660 to 680 1477 50,297,317 22.3
680 to 700 1162 40,309,493 17.9
700 to 720 857 29,056,060 12.9
720 to 740 428 12,821,307 5.7
740 to 760 231 5,565,774 2.5
760 to 780 132 2,971,924 1.3
780 to 800 56 909,151 0.4
800 to 820 18 144,550 0.1
820 and Greater 4 16,847 0.0
-----------------------------
Total 7096 225,371,558 100.0%
<PAGE>
EMPIRE HOME LOAN OWNER TRUST 1997-3
DESCRIPTION OF INITIAL HOME LOANS AS OF THE CUT-OFF DATE (CONTINUED)
Aggregate Field Description Count Balance Pool%
Debt to Income Ratio 20.00 and Less 226 4,561,251 2.0
20.01 to 25.00 417 11,331,669 5.0
25.01 to 30.00 864 26,003,364 11.5
30.01 to 35.00 1468 45,666,672 20.3
35.01 to 40.00 1742 56,487,390 25.1
40.01 to 45.00 1966 65,194,275 28.9
45.01 to 50.00 404 15,770,276 7.0
Greater than 50.00 9 356,658 0.2
-----------------------------
Total 7096 225,371,558 100.0%
<PAGE>
EMPIRE HOME LOAN OWNER TRUST 1997-3
BOND SENSITIVITY TO PREPAYMENT ASSUMPTIONS
% of Prepayment Assumption
CLASS A-1 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------
Ave Life(yrs) 0.77 0.43 0.38 0.35 0.32 0.30
Yield @ 100-16 7.72% 6.56% 6.25% 5.97% 5.69% 5.46%
Duration(yrs) 0.71 0.41 0.37 0.34 0.31 0.29
First Prin(mths) 1 1 1 1 1 1
Last Prin (mths) 27 9 8 7 6 6
Window (mths) 27 9 8 7 6 6
% of Prepayment Assumption
CLASS A-2 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------
Ave Life(yrs) 5.33 1.53 1.19 1.00 0.88 0.80
Yield @ 101-00 7.39% 6.68% 6.39% 6.15% 5.94% 5.76%
Duration(yrs) 4.19 1.40 1.10 0.94 0.83 0.76
First Prin(mths) 27 9 8 7 6 6
Last Prin(mths) 92 28 21 17 15 13
Window(mths) 66 20 14 11 10 8
<PAGE>
EMPIRE HOME LOAN OWNER TRUST 1997-3
BOND SENSITIVITY TO PREPAYMENT ASSUMPTIONS(CONTINUED)
% of Prepayment Assumption
CLASS A-3 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------
Ave Life(yrs ) 9.44 3.39 2.50 2.00 1.68 1.46
Yield @ 101-16 7.29% 6.90% 6.69% 6.49% 6.29% 6.11%
Duration(yrs) 6.58 2.90 2.21 1.81 1.54 1.35
First Prin(mths) 92 28 21 17 15 13
Last Prin(mths) 131 53 39 31 26 22
Window(mths) 40 26 19 15 12 10
% of Prepayment Assumption
CLASS A-4 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------
Ave Life(yrs) 11.73 5.14 3.79 3.00 2.49 2.13
Yield @ 101-16 7.23% 7.01% 6.87% 6.73% 6.59% 6.45%
Duration(yrs) 7.66 4.16 3.22 2.62 2.21 1.92
First Prin(mths) 131 53 39 31 26 22
Last Prin(mths) 149 70 52 41 34 29
Window(mths) 19 18 14 11 9 8
<PAGE>
EMPIRE HOME LOAN OWNER TRUST 1997-3
BOND SENSITIVITY TO PREPAYMENT ASSUMPTIONS(CONTINUED)
% of Prepayment Assumption
CLASS A-5 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------
Ave Life(yrs) 13.23 6.79 5.06 4.00 3.30 2.81
Yield @ 101-16 7.24% 7.10% 7.00% 6.90% 6.79 6.68%
Duration (yrs) 8.24 5.20 4.11 3.37 2.85 2.47
First Prin (mths) 149 70 52 41 34 29
Last Prin(mths) 174 97 73 58 47 40
Window(mths) 26 28 22 18 14 12
% of Prepayment Assumption
CLASS A-6 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------
Ave Life(yrs) 17.65 10.91 8.67 7.00 5.80 4.92
Yield @ 102-00 7.41% 7.33% 7.27% 7.20% 7.12% 7.05%
Duration(yrs) 9.53 7.21 6.15 5.26 4.54 3.97
First Prin(mths) 174 97 73 58 47 40
Last Prin(mths) 243 168 141 118 98 84
Window(mths) 70 72 69 61 52 45
<PAGE>
EMPIRE HOME LOAN OWNER TRUST 1997-3
BOND SENSITIVITY TO PREPAYMENT ASSUMPTIONS(CONTINUED)
% of Prepayment Assumption
CLASS A-7 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------
Ave Life(yrs) 22.85 18.29 15.77 13.60 11.75 10.21
Yield @ 102-00 7.63% 7.60% 7.58% 7.56% 7.53% 7.50%
Duration(yrs) 10.51 9.51 8.81 8.10 7.41 6.77
First Prin(mths) 243 168 141 118 98 84
Last Prin(mths) 298 292 283 263 236 216
Window(mths) 56 125 143 146 139 133
% of Prepayment Assumption
CLASS M-1 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------
Ave Life(yrs) 19.33 13.39 11.06 9.23 7.82 6.72
Yield @ 101-00 7.55% 7.51% 7.49% 7.46% 7.43% 7.40%
Duration(yrs) 9.82 7.96 7.03 6.21 5.51 4.92
First Prin(mths) 166 90 68 54 44 37
Last Prin(mths) 297 289 276 251 227 204
Window(mths) 132 200 209 198 184 168
<PAGE>
EMPIRE HOME LOAN OWNER TRUST 1997-3
BOND SENSITIVITY TO PREPAYMENT ASSUMPTIONS(CONTINUED)
% of Prepayment Assumption
CLASS M-2 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------
Ave Life(yrs) 19.32 13.37 11.03 9.20 7.78 6.68
Yield @ 100-00 7.64% 7.63% 7.62% 7.61% 7.60% 7.59%
Duration(yrs) 9.77 7.93 7.00 6.18 5.48 4.89
First Prin(mths) 166 90 68 54 44 37
Last Prin(mths) 296 282 260 233 209 184
Window(mths) 131 193 193 180 166 148
% of Prepayment Assumption
CLASS B-1 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------
Ave Life(yrs) 19.32 13.33 10.97 9.14 7.72 6.62
Yield @ 100-00 7.99% 7.97% 7.96% 7.95% 7.94% 7.93%
Duration(yrs) 9.52 7.76 6.86 6.06 5.38 4.81
First Prin(mths) 166 90 68 54 44 37
Last Prin(mths) 295 273 245 221 195 169
Window(mths) 130 184 178 168 152 133
<PAGE>
EMPIRE HOME LOAN OWNER TRUST 1997-3
BOND SENSITIVITY TO PREPAYMENT ASSUMPTIONS(CONTINUED)
% of Prepayment Assumption
CLASS A-7(15% Call) 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------
Ave Life(yrs) 21.25 15.16 12.60 10.60 8.94 7.62
Yield @ 102-00 7.62% 7.58% 7.55% 7.51% 7.47% 7.42%
Duration(yrs) 10.23 8.72 7.86 7.05 6.29 5.60
First Prin(mths) 243 168 141 118 98 84
Last Prin(mths) 256 183 152 128 108 92
Window(mths) 14 16 12 11 11 9
% of Prepayment Assumption
CLASS M-1(15% Call) 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------
Ave Life(yrs) 18.75 12.26 9.92 8.16 6.82 5.80
Yield @ 101-00 7.55% 7.51% 7.48% 7.44% 7.41% 7.37%
Duration(yrs) 9.71 7.67 6.68 5.82 5.10 4.50
First Prin(mths) 166 90 68 54 44 37
Last Prin(mths) 256 183 152 128 108 92
Window(mths) 91 94 85 75 65 56
<PAGE>
EMPIRE HOME LOAN OWNER TRUST 1997-3
BOND SENSITIVITY TO PREPAYMENT ASSUMPTIONS(CONTINUED)
% of Prepayment Assumption
CLASS M-2(15% Call) 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------
Ave Life(yrs) 18.75 12.26 9.92 8.16 6.82 5.80
Yield @ 100-00 7.64% 7.62% 7.61% 7.60% 7.59% 7.58%
Duration(yrs) 9.67 7.65 6.66 5.81 5.08 4.48
First Prin(mths) 166 90 68 54 44 37
Last Prin(mths) 256 183 152 128 108 92
Window(mths) 91 94 85 75 65 56
% of Prepayment Assumption
CLASS B-1(15% Call) 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------
Ave Life(yrs) 18.75 12.26 9.92 8.16 6.82 5.80
Yield @ 100-00 7.99% 7.97% 7.96% 7.95% 7.94% 7.92%
Duration(yrs) 9.43 7.50 6.55 5.72 5.02 4.43
First Prin(mths) 166 90 68 54 44 37
Last Prin(mths) 256 183 152 128 108 92
Window(mths) 91 94 85 75 65 56
<PAGE>
EMPIRE HOME LOAN OWNER TRUST 1997-3
BOND SENSITIVITY TO PREPAYMENT ASSUMPTIONS(CONTINUED)
% of Prepayment Assumption
CLASS A-7(10% Call) 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------
Ave Life(yrs) 22.23 16.66 13.78 11.74 10.02 8.59
Yield @ 102-00 7.63% 7.59% 7.56% 7.53% 7.50% 7.46%
Duration(yrs) 10.41 9.15 8.27 7.51 6.78 6.10
First Prin(mths) 243 168 141 118 98 84
Last Prin(mths) 273 209 173 148 127 109
Window(yrs) 31 42 33 31 30 26
% of Prepayment Assumption
CLASS M-1(10% Call) 0% 50% 75% 100% 125% 150%
- ----------------------------------------------------------------
Ave Life(yrs) 19.10 12.81 10.35 8.58 7.21 6.15
Yield @ 101-00 7.55% 7.51% 7.48% 7.45% 7.42% 7.38%
Duration(yrs) 9.78 7.83 6.83 6.00 5.28 4.68
First Prin(mths) 166 90 68 54 44 37
Last Prin(mths) 273 209 173 148 127 109
Window(yrs) 108 120 106 95 84 73
<PAGE>
EMPIRE HOME LOAN OWNER TRUST 1997-3
BOND SENSITIVITY TO PREPAYMENT ASSUMPTIONS(CONTINUED)
% of Prepayment Assumption
CLASS M-2(10% Call) 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------
Ave Life(yrs) 19.10 12.81 10.35 8.58 7.21 6.15
Yield @ 100-00 7.64% 7.63% 7.62% 7.61% 7.59% 7.58%
Duration(yrs) 9.74 7.80 6.81 5.98 5.26 4.67
First Prin(mths) 166 90 68 54 44 37
Last Prin(mths) 273 209 173 148 127 109
Window(yrs) 108 120 106 95 84 73
% of Prepayment Assumption
CLASS B-1(10% Call) 0% 50% 75% 100% 125% 150%
- -----------------------------------------------------------------
Ave Life(yrs) 19.10 12.81 10.35 8.58 7.21 6.15
Yield @ 100-00 7.99% 7.97% 7.96% 7.95% 7.94% 7.93%
Duration(yrs) 9.49 7.65 6.69 5.89 5.20 4.61
First Prin(mths) 166 90 68 54 44 37
Last Prin(mths) 273 209 173 148 127 109
Window(yrs) 108 120 106 95 84 73
