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 14, 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 Empire Funding
Home Loan Owner Trust 1997-4, Home Loan Asset Backed Notes, Series 1997-4)
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.
<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
1997-4, Home Loan Asset
Backed Notes, Series 1997-4
<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 16, 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 Empire Funding
Home Loan Owner Trust 1997-4, Home
Loan Asset Backed Notes, Series 1997-4
<PAGE>
EMPIRE HOME LOAN OWNER TRUST 1997-4
PAINEWEBBER INCORPORATED
PRELIMINARY BACKGROUND INFORMATION
EMPIRE HOME LOAN OWNER TRUST 1997-4
DISCLAIMER
The information included herein is produced and provided exclusively by
PaineWebber Incorporated ('PW') as underwriter for the Empire Home Loan Owner
Trust 1997-4, 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.
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.
EMPIRE HOME LOAN OWNER TRUST 1997-4
PRICING INFORMATION
Approx. Avg. Principal First Last Ratings
Class Size(1,000) Price Life Window Prin Prin S&P/Duff
- -----------------------------------------------------------------------------
A-1 Notes: 60,010 100 0.80 18 11/97 4/99 AAA/AAA
A-2 Notes: 71,136 101 2.44 25 4/99 4/01 AAA/AAA
A-3 Notes: 29,688 101 4.00 13 4/01 4/02 AAA/AAA
A-4 Notes: 32,313 101 7.00 72 4/02 3/08 AAA/AAA
A-5 Notes: 15,353 102 14.18 134 3/08 4/19 AAA/AAA
M-1 Notes: 45,000 101 9.42 191 5/02 3/18 AA/AA
M-2 Notes: 19,500 100 9.39 178 5/02 2/17 A/A
B-1 Notes: 18,000 100 9.34 168 5/02 4/16 BBB/BBB
NOT PUBLICLY OFFERED
X-1 Notes 300,000(notional)
B-2 Notes 9,000
Pricing Speed: 3% CPR, increasing to 14% over 12 months
Distribution Date: The 25th of each month or, if such day is not a Business
Day, the next succeeding Business Day, commencing in
November 1997.
Settlement Date: On or about October 23, 1997
Cut-off Date: The close of business on September 30, 1997
Payment Delay: With the exception of the Class A-1 Notes, 24 Days.
With respect to the Class A-1 Notes, 0 days.
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
0._% per annum and (y) the weighted average interest
rate on the loans of Home Loan Rate, less 1.208% per
annum (the rate described in this clause (y), the
"Available Funds Cap").
The Class X-1 Note Interest Rate will be equal to 0.45%.
The Class X-1 Note Notional Balance will equal the
aggregate Note Balances.
Title of Securities: EMPIRE HOME LOAN OWNER TRUST 1997-4
Offered Notes: Class A-1 through A-5 Notes (the 'Class A Notes' and,
together with the Class X-1 Notes the '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, the Mezzanine Notes, and
the Class B-2 Notes, the 'Notes').
Securities Offered: Only the Class A, Class M-1, Class M-2 and
Class B-1 Notes are being offered pursuant to the
prospectus. The Class B-2 Notes, Class X-1 Notes, and
the Residual Interest Certificates are NOT 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.
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 1.1% of the Original Pool
Principal Balance.
Owner Trustee: Wilmington Trust Company
Indenture Trustee: U.S. Bank National Association, d/b/a
First Bank National Association
Underwriter: PaineWebber Incorporated
Depositor: PaineWebber Mortgage Acceptance Corporation IV
Transferor/Servicer: Empire Funding Corp.
Pre-Funding Account On the Closing Date, $60,463,340 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 23, 1998.
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.
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.
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
Original Pool Principal Balance and (b) the Net
Delinquency Calculation Amount. On and after the
Stepdown Date, the Overcollateralization Target Amount
equals the greater of (a) [8.00%] of the Pool Principal
Balance as of the end of the related Due Period and (b)
the Net Delinquency Calculation Amount. The
Overcollateralization Target Amount will not in any
event be less than [0.50%] of the sum of the Original
Pool Balance Amount and the Original Pre-Funded
Amount(the 'Overcollateralization Floor') or greater
than the outstanding Class Principal Balances of the
Notes.
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 Class
X-2 Notes, and the rights of the Residual Interest
Certificate to receive payments on each Distribution
Date will be subordinate to those of the Notes.
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.
Net Delinquency With respect to any Distribution Date, the excess, if
Calculation Amount: any, of (x) the product of [X.X] 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.
Stepdown Date: The Stepdown Date means the first Distribution Date
occurring after October 2000 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) [61.0]% 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.
Summary of Subordination & Overcollateralization Target Amounts:
Initial Before After After
Expected Stepdown Stepdown Stepdown
Subord.(a) O/C Amount (b) Subord. (c) O/C Amount (d)
---------- -------------- ----------- --------------
Class A Notes 30.50% 4.00% 61.00% 8.00%
Class M-1 Notes 15.50% 4.00% 31.00% 8.00%
Class M-2 Notes 9.00% 4.00% 18.00% 8.00%
Class B-1 Notes 3.00% 4.00% 6.00% 8.00%
- -----------------------------------------------------------------------------
(a) The initial amount of subordination for each class as of the Closing Date.
(b) The Overcollateralization Target Amount prior to the Stepdown Date.
(c) The expected subordination for each class on the Stepdown Date.
(d) The Overcollateralization Target Amount on and after the Stepdown 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 B-2 Notes;
(6) sequentially to pay principal to the holders of the
Class A-1, Class A-2, Class A-3, Class A-4, and
Class A-5, in that order until the respective Class
Principal Balances thereof are reduced to zero, the
amount necessary to reduce the aggregate Class Principal
Balance of the Senior Notes (excluding the Class X-1
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 application of
Allocable loss Amount, distributions shall be made among
the remaining Senior Notes pro rata (excluding the Class
X-1 Notes) and not sequentially.
Payment and Distribution
Priorities (Continued): (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) sequentially, to the holders of the Class M-1 and
the Class M-2 Notes, in that order, until the Class
Principal Balances thereof are reduced to the Optimal
Principal Balance, respectively. (9) sequentially, to
the holders of the Class B-1 and the Class B-2 Notes, in
that order, until the Class Principal Balances thereof
are reduced to the Optimal Principal Balance,
respectively. (10) 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; (11) 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 (12) any remaining amounts to the holders
of the Residual Interest Certificates.
Application of Allocable
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 the Class
Principal Balances of the Class B-2, 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 Class Principal
Balances of the Senior Notes will not be reduced for any
application of 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 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.
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.
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.
Pool Level Detail
Number of Loans 7,565
Current Balance $239,536,659.74
Average Balance $31,663.80
Minimum Balance $65.49
Maximum Balance $99,925.23
Wtd Average Coupon 14.3568%
Original Term 242
Seasoning 1
Stated Remaining Term 241
Original Loan-To-Value 114.34%
Current Loan-To-Value 114.18%
Average FICO 672
Average Debt-to-Income 35.96%
Note: All of the above summary information ignores ZERO values, the weighted
averages may not reflect all loans in the pool.
Aggregate Field Description Count Balance($) Pool%
State Alabama 15 497,025.01 0.2
Alaska 88 3,467,372.54 1.5
Arizona 419 12,522,952.43 5.2
Arkansas 16 475,996.77 0.2
California 2249 82,254,163.83 34.3
Colorado 171 5,610,940.06 2.3
Connecticut 32 1,087,613.56 0.5
Delaware 11 416,814.08 0.2
District of Columbia 23 928,162.41 0.4
Florida 394 10,893,583.57 4.6
Georgia 288 8,565,766.29 3.6
Hawaii 32 1,375,118.95 0.6
Idaho 76 2,269,473.85 1.0
Illinois 169 4,940,832.30 2.1
Indiana 163 4,562,491.21 1.9
Iowa 80 2,359,085.41 1.0
Kansas 84 2,428,109.21 1.0
Kentucky 88 2,480,116.66 1.0
Louisiana 91 2,393,386.45 1.0
Maine 13 339,955.15 0.1
Maryland 451 15,544,518.65 6.5
Massachusetts 6 199,914.29 0.1
Michigan 173 5,181,169.69 2.2
Minnesota 147 4,962,438.67 2.1
Mississippi 28 553,287.39 0.2
Missouri 319 9,106,667.70 3.8
Montana 19 479,620.73 0.2
Nebraska 84 2,411,817.30 1.0
Nevada 114 3,786,307.80 1.6
New Hampshire 2 58,035.00 0.0
New Jersey 21 729,096.87 0.3
New Mexico 36 1,164,068.42 0.5
New York 27 853,662.65 0.4
North Carolina 345 9,738,938.42 4.1
Ohio 36 825,479.25 0.3
Oklahoma 86 1,793,786.85 0.8
Oregon 99 2,988,525.81 1.3
Pennsylvania 177 5,515,341.65 2.3
Rhode Island 1 30,992.06 0.0
South Carolina 175 5,098,087.28 2.1
Tennessee 77 1,888,415.02 0.8
Texas 126 901,138.17 0.4
Utah 125 4,027,347.02 1.7
Vermont 1 32,500.00 0.0
Virginia 172 5,635,221.80 2.4
Washington 182 5,253,503.90 2.2
West Virginia 6 136,002.51 0.1
Wisconsin 13 390,707.95 0.2
Wyoming 15 381,107.15 0.2
----- ------------- -----
7,565 $239,536,660 100.00%
Aggregate Field Description Count Balance($) Pool%
Original Balance $10,000 or less 431 2,538,407.95 1.1
$10,000.01 - $20,000 1084 17,930,962.61 7.5
$20,000.01 - $30,000 2097 54,342,071.73 22.7
$30,000.01 - $40,000 2520 88,687,450.35 37.0
$40,000.01 - $50,000 786 36,508,653.98 15.2
$50,000.01 - $60,000 411 23,258,131.72 9.7
$60,000.01 - $70,000 166 11,046,063.92 4.6
$70,000.01 - $80,000 69 5,124,992.25 2.1
$80,000.01 or greater 1 99,925.23 0.0
----- ------------- -----
7,565 $239,536,660 100.00%
Aggregate Field Description Count Balance($) Pool%
Current Balance $10,000 or less 434 2,557,433.45 1.1
$10,000.01 - $20,000 1083 17,921,937.11 7.5
$20,000.01 - $30,000 2100 54,458,098.94 22.7
$30,000.01 - $40,000 2518 88,648,251.08 37.0
$40,000.01 - $50,000 786 36,528,405.15 15.3
$50,000.01 - $60,000 409 23,158,552.61 9.7
$60,000.01 - $70,000 165 11,039,063.92 4.6
$70,000.01 - $80,000 69 5,124,992.25 2.1
$80,000.01 or greater 1 99,925.23 0.0
----- ------------- -----
7,565 $239,536,660 100.00%
Aggregate Field Description Count Balance($) Pool%
Current Rate 9.501% - 10.000% 9 195,718.09 0.1
10.001% - 10.500% 3 82,741.51 0.0
10.501% - 11.000% 92 3,336,367.69 1.4
11.001% - 11.500% 80 2,863,171.71 1.2
11.501% - 12.000% 263 8,927,630.65 3.7
12.001% - 12.500% 256 9,469,125.42 4.0
12.501% - 13.000% 1090 31,914,017.33 13.3
13.001% - 13.500% 528 19,539,901.55 8.2
13.501% - 14.000% 1134 37,150,942.79 15.5
14.001% - 14.500% 611 19,740,605.20 8.2
14.501% - 15.000% 1235 39,724,954.56 16.6
15.001% - 15.500% 481 15,132,947.79 6.3
15.501% - 16.000% 900 26,313,136.98 11.0
16.001% - 16.500% 468 13,705,947.29 5.7
Aggregate Field Description Count Balance($) Pool%
Current Rate (continued) 16.501% - 17.000% 333 9,184,098.48 3.8
17.001% - 17.500% 24 680,971.54 0.3
17.501% - 18.000% 37 938,030.74 0.4
18.001% - 18.500% 14 395,582.79 0.2
18.501% - 19.000% 5 165,782.69 0.1
19.001% - 19.500% 2 74,984.94 0.0
----- ------------- -----
7,565 $239,536,660 100.00%
Aggregate Field Description Count Balance($) Pool%
Lien Type First Lien 21 471,671.91 0.2
Second Lien 7103 235,723,064.97 98.4
Third Lien 22 639,212.66 0.3
Unsecured 419 2,702,710.20 1.1
----- ------------- -----
7,565 $239,536,660 100.00%
Aggregate Field Description Count Balance($) Pool%
Combined LTV Unsecured 419 2,702,710.20 1.1
5.01% to 10.00% 1 5,174.56 0.0
15.01% to 20.00% 2 17,533.32 0.0
20.01% to 25.00% 1 21,243.00 0.0
25.01% to 30.00% 5 102,118.70 0.0
30.01% to 35.00% 3 77,328.63 0.0
35.01% to 40.00% 6 146,537.38 0.1
40.01% to 45.00% 8 200,736.25 0.1
45.01% to 50.00% 5 115,409.77 0.1
50.01% to 55.00% 2 44,380.53 0.0
55.01% to 60.00% 9 213,816.40 0.1
60.01% to 65.00% 9 229,382.50 0.1
65.01% to 70.00% 8 200,597.83 0.1
70.01% to 75.00% 23 583,220.23 0.2
75.01% to 80.00% 34 874,485.29 0.4
80.01% to 85.00% 55 1,353,393.06 0.6
Aggregate Field Description Count Balance($) Pool%
Combined LTV (continued) 85.01% to 90.00% 108 2,752,896.99 1.2
90.01% to 95.00% 175 4,702,728.49 2.0
95.01% to 100.00% 322 8,499,996.02 3.6
100.01% to 105.00% 544 16,294,289.97 6.8
105.01% to 110.00% 802 25,141,951.90 10.5
110.01% to 115.00% 1148 37,174,681.43 15.5
115.01% to 120.00% 1450 49,397,889.25 20.6
120.01% to 125.00% 2418 88,348,490.30 36.9
125.01% or greater 8 335,667.74 0.1
----- ------------- -----
7,565 $239,536,660 100.00%
Aggregate Field Description Count Balance($) Pool%
Season Less than one 2922 92,634,011.30 38.7
1 - 3 4518 142,839,915.59 59.6
4 - 6 124 4,008,873.34 1.7
7 - 9 1 53,859.51 0.0
----- ------------- -----
7,565 $239,536,660 100.00%
Aggregate Field Description Count Balance($) Pool%
Remain Term 0 - 30 17 51,479.81 0.0
31 - 60 197 1,505,735.69 0.6
61 - 90 101 945,127.35 0.4
91 - 120 518 9,856,204.72 4.1
121 - 150 82 1,538,951.51 0.6
151 - 180 1747 52,848,528.14 22.1
181 - 210 2 33,031.92 0.0
211 - 240 2461 82,564,589.26 34.5
271 - 300 2440 90,193,011.34 37.7
----- ------------- -----
7,565 $239,536,660 100.00%
Aggregate Field Description Count Balance($) Pool%
Orig Term 0 - 30 17 51,479.81 0.0
31 - 60 197 1,505,735.69 0.6
61 - 90 101 945,127.35 0.4
91 - 120 517 9,840,252.34 4.1
121 - 150 83 1,554,903.89 0.7
151 - 180 1747 52,848,528.14 22.1
181 - 210 2 33,031.92 0.0
211 - 240 2461 82,564,589.26 34.5
271 - 300 2440 90,193,011.34 37.7
----- ------------- -----
7,565 $239,536,660 100.00%
Aggregate Field Description Count Balance($) Pool%
Credit Risk 560 to 580 1 64,630.58 0.0
580 to 600 5 164,878.91 0.1
600 to 620 131 3,738,065.19 1.6
620 to 640 1286 37,241,085.92 15.6
640 to 660 1780 55,619,313.81 23.2
660 to 680 1624 55,358,217.52 23.1
680 to 700 1159 40,117,218.89 16.8
700 to 720 782 26,842,334.72 11.2
720 to 740 420 12,342,287.09 5.2
740 to 760 196 5,181,704.80 2.2
760 to 780 108 1,924,760.07 0.8
780 to 800 57 806,535.75 0.3
800 to 820 12 57,421.49 0.0
820 or greater 4 78,205.00 0.0
----- ------------- -----
7,565 $239,536,660 100.00%
Aggregate Field Description Count Balance($) Pool%
Debt to Income Ratio 20.00 or less 274 5,644,861.60 2.4
20.01 to 25.00 482 13,559,548.92 5.7
25.01 to 30.00 1001 30,299,025.46 12.7
30.01 to 35.00 1677 52,351,597.93 21.9
35.01 to 40.00 2072 67,757,416.95 28.3
40.01 to 45.00 1913 63,848,523.49 26.7
45.01 to 50.00 142 5,905,379.73 2.5
Greater than 50.00 4 170,305.66 0.1
----- ------------- -----
7,565 $239,536,660 100.00%
% of Prepayment Assumption
CLASS A-1 0% 50% 75% 100% 125% 150%
- -------------------------------------------------------------------
AVG LIFE 3.970 1.176 0.935 0.800 0.712 0.650
DURATION 3.309 1.097 0.881 0.758 0.677 0.619
FIRST PAY 11/97 11/97 11/97 11/97 11/97 11/97
LAST PAY 11/05 3/00 8/99 4/99 1/99 12/98
% of Prepayment Assumption
CLASS A-2 0% 50% 75% 100% 125% 150%
- -------------------------------------------------------------------
AVG LIFE 10.854 4.150 3.061 2.441 2.046 1.773
YIELD @ 101 6.9555% 6.7334% 6.6053% 6.4812% 6.3629% 6.2505%
DURATION 7.358 3.475 2.665 2.174 1.849 1.619
FIRST PAY 11/05 3/00 8/99 4/99 1/99 12/98
LAST PAY 10/10 10/03 3/02 4/01 9/00 4/00
% of Prepayment Assumption
CLASS A-3 0% 50% 75% 100% 125% 150%
- -------------------------------------------------------------------
AVG LIFE 13.829 6.835 5.066 4.000 3.305 2.819
YIELD @ 101 6.8933% 6.7863% 6.7108% 6.6326% 6.5544% 6.4767%
DURATION 8.657 5.288 4.150 3.394 2.871 2.490
FIRST PAY 10/10 10/03 3/02 4/01 9/00 4/00
LAST PAY 8/12 6/05 7/03 4/02 7/01 12/00
% of Prepayment Assumption
CLASS A-4 0% 50% 75% 100% 125% 150%
- -------------------------------------------------------------------
AVG LIFE 17.688 11.040 8.692 7.000 5.793 4.914
YIELD @ 101 7.1473% 7.0982% 7.0618% 7.0204% 6.9759% 6.9297%
DURATION 9.745 7.350 6.220 5.292 4.562 3.991
FIRST PAY 8/12 6/05 7/03 4/02 7/01 12/00
LAST PAY 11/17 1/13 5/10 3/08 7/06 4/05
EMPIRE HOME LOAN OWNER TRUST 1997-4
BOND SENSITIVITY TO PREPAYMENT ASSUMPTIONS
% of Prepayment Assumption
CLASS A-5 0% 50% 75% 100% 125% 150%
- -------------------------------------------------------------------
AVG LIFE 22.653 18.741 16.372 14.183 12.296 10.698
YIELD @ 102 7.4430% 7.4335% 7.4267% 7.4122% 7.3948% 7.3717%
DURATION 10.642 9.783 9.123 8.418 7.720 7.058
FIRST PAY 11/17 1/13 5/10 3/08 7/06 4/05
LAST PAY 8/22 2/22 2/21 4/19 5/17 11/15
% of Prepayment Assumption
CLASS M-1 0% 50% 75% 100% 125% 150%
- -------------------------------------------------------------------
AVG LIFE 19.396 13.658 11.285 9.416 7.977 6.849
YIELD @ 101 7.3458% 7.3125% 7.2882% 7.2606% 7.2308% 7.1991%
DURATION 10.003 8.171 7.207 6.356 5.638 5.033
FIRST PAY 9/12 7/05 8/03 5/02 7/01 1/01
LAST PAY 8/22 10/21 6/20 3/18 10/16 1/15
% of Prepayment Assumption
CLASS M-2 0% 50% 75% 100% 125% 150%
- -------------------------------------------------------------------
AVG LIFE 19.392 13.637 11.248 9.393 7.945 6.814
YIELD @ 100 7.4348% 7.4238% 7.4157% 7.4065% 7.3966% 7.3860%
DURATION 9.961 8.136 7.172 6.326 5.607 5.002
FIRST PAY 9/12 7/05 8/03 5/02 7/01 1/01
LAST PAY 6/22 1/21 12/18 2/17 6/15 6/13
% of Prepayment Assumption
CLASS B-1 0% 50% 75% 100% 125% 150%
- -------------------------------------------------------------------
AVG LIFE 19.381 13.580 11.205 9.340 7.881 6.752
YIELD @ 100 7.7922% 7.7806% 7.7721% 7.7624% 7.7519% 7.7406%
DURATION 9.692 7.952 7.027 6.207 5.505 4.914
FIRST PAY 9/12 7/05 8/03 5/02 7/01 1/01
LAST PAY 4/22 3/20 10/17 4/16 4/14 4/12
% of Prepayment Assumption
CLASS A-5 (10% CALL) 0% 50% 75% 100% 125% 150%
- -------------------------------------------------------------------
AVG LIFE 21.783 17.200 14.410 12.206 10.345 8.879
YIELD @ 102 7.4323% 7.4058% 7.3800% 7.3503% 7.3148% 7.2756%
DURATION 10.484 9.422 8.577 7.778 6.995 6.298
FIRST PAY 11/17 1/13 5/10 3/08 7/06 4/05
LAST PAY 1/20 6/15 9/12 6/10 7/08 1/07
% of Prepayment Assumption
CLASS M-1 (10% CALL) 0% 50% 75% 100% 125% 150%
- -------------------------------------------------------------------
AVG LIFE 19.110 13.157 10.653 8.779 7.347 6.267
YIELD @ 101 7.3450% 7.3098% 7.2830% 7.2526% 7.2192% 7.1838%
DURATION 9.951 8.052 7.027 6.145 5.398 4.783
FIRST PAY 9/12 7/05 8/03 5/02 7/01 1/01
LAST PAY 1/20 6/15 9/12 6/10 7/08 1/07
% of Prepayment Assumption
CLASS M-2 (10% CALL) 0% 50% 75% 100% 125% 150%
- -------------------------------------------------------------------
AVG LIFE 19.110 13.157 10.653 8.779 7.347 6.267
YIELD @ 100 7.4346% 7.4229% 7.4140% 7.4040% 7.3929% 7.3812%
DURATION 9.911 8.023 7.003 6.125 5.380 4.768
FIRST PAY 9/12 7/05 8/03 5/02 7/01 1/01
LAST PAY 1/20 6/15 9/12 6/10 7/08 1/07
% of Prepayment Assumption
CLASS B-1 (10% Call) 0% 50% 75% 100% 125% 150%
- -------------------------------------------------------------------
AVG LIFE 19.110 13.157 10.653 8.779 7.347 6.267
YIELD @ 100 7.7919% 7.7798% 7.7705% 7.7600% 7.7484% 7.7361%
DURATION 9.647 7.857 6.878 6.029 5.307 4.710
FIRST PAY 9/12 7/05 8/03 5/02 7/01 1/01
LAST PAY 1/20 6/15 9/12 6/10 7/08 1/07
