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: December 10, 1997
(Date of earliest event reported)
Commission File No. 333-40467
PAINEWEBBER MORTGAGE ACCEPTANCE CORPORATION IV (as depositor under the Sale and
Servicing Agreement, dated as of December 1, 1997, relating to the Empire
Funding Home Loan Owner Trust 1997-5, Home Loan Asset Backed Notes, Series
1997-5)
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 Empire Funding Home Loan Owner
Trust 1997-5, Home Loan Asset Backed
Notes, Series 1997-5
<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
December 12, 1997
By: /s/ Joseph Piscina
------------------
Joseph Piscina
Director
<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 1997-5, Home
Loan Asset Backed Notes, Series 1997-5
EMPIRE HOME LOAN OWNER TRUST 1997-5
PAINEWEBBER INCORPORATED
PRELIMINARY BACKGROUND INFORMATION
EMPIRE HOME LOAN OWNER TRUST 1997-5
DISCLAIMER
The information included herein is produced and provided exclusively by
PaineWebber Incorporated ('PW') as underwriter for the Empire Home Loan Owner
Trust 1997-5, and not by or as agent for Empire Funding Corp. 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.
<PAGE>
THE INFORMATION CONTAINED HEREIN WILL BE SUPERSEDED BY THE DESCRIPTION OF THE
COLLATERAL CONTAINED IN THE PROSPECTUS SUPPLEMENT.
DESCRIPTION OF INITIAL LOANS AS OF THE STATISTIC CALCULATION DATE
Approximate characteristics of the pool of Initial Loans identified as of
11/30/97. Loans equal to approximately $180.0 Million will be delivered on the
Closing Date. With Pre-Funding, the total deal size will be approx. $240
Million.
Total Number of Loans: 4,866
Initial Principal Balance: $154,484,603
Average Loan Balance: $31,748
WA Loan Rate: 14.276%
Range of Loan Rates: 9.990%-18.500%
WA Remaining Term (months) 243
Range of Remaining Terms: 23-300
WA Seasoning (months): 1
Range of Seasoning: 0-13
WA Original Term (months): 243
Range of Original Terms: 24-300
WA FICO Score: 672.10
WA Combined LTV: 117.09%
% of Second Liens 98.52%
% Owner Occupied 100.00%
Geographic concentration: CA 29.76%
(as a Percentage of Loan Type) MD 5.97%
MO 5.66%
(States not listed account for less than 5% of the aggregate principal balance
of the category)
Note: A more detailed description of the Initial Loans as of the Statistical
Calculation Date can be found starting on page 11.
EMPIRE HOME LOAN OWNER TRUST 1997-5
TRANSACTION SUMMARY (a)
Est. Est. Expected
Approx. Est. Prin. Prin. Ratings
Size WAL Lockout Window Stated (S&P/Fitch/
Notes (000's) Coupon (Years) (Years) (Years) Maturity Duff)
- ----- ------- ------ ------- ------- ---------------- -----
Class A-1 $59,910 Float(b) 1.00 0.00 1.92 8/25/09 AAA/AAA/AAA
Class A-2 $61,590 Fixed 3.00 1.84 2.42 5/25/14 AAA/AAA/AAA
Class A-3 $16,490 Fixed 4.93 4.17 2.08 4/25/16 AAA/AAA/AAA
Class A-4 $25,210 Fixed(c) 10.00 6.17 6.58 4/25/24 AAA/AAA/AAA
Class A-4 IO $25,210(d)Fixed - - - 2/25/24 AAA/AAA/AAA
Class M-1 $36,600 Fixed(c) 8.85 4.50 8.25 4/25/24 AA/AA/AA
Class M-2 $17,400 Fixed(c) 8.85 4.50 8.25 4/25/24 A/A/A
Class B-1 $15,600 Fixed(c) 8.85 4.50 8.25 4/25/24 BBB/BBB/BBB
Class B-2 $7,200 Not Offered
Notes: (a) 100% Prepayment Assumption: 3.0% CPR in month 1, and an additional
1.0% per annum in each month thereafter until month 12. On and
after month 12, 14% CPR. To 10% Optional Call.
EMPIRE HOME LOAN OWNER TRUST 1997-5
TRANSACTION SUMMARY (a) (Continued)
(b) The lesser of (i) One-Month LIBOR plus 0.__ % and (ii) the weighted
average Coupon Rate of the Loans, less [0.758]% per annum.
(c) Coupon will be increased by [0.50%] for each payment after the
Initial Call Date.
(d) Notional balance for the first 26 months will equal the Class A-4
Class principal balance and will be zero thereafter.
Pricing Speed: 3% CPR, increasing to 14% over 12 months.
Payment Date: The 25th of each month or, if such day is not a
Business Day, the next succeeding Business Day,
commencing in January 1998.
Settlement Date: On or about [December 22, 1997]
Cut-off Date: The close of business on November 30, 1997.
Statistic Calculation
Date: The statistical information presented herein and in the
Prospectus Supplement concerning the Initial Loans is
based on the characteristics of a portion of the
Initial Loans identified as of November 30, 1997 (the
"Statistic Calculation Date"). Empire expects that the
actual aggregate balance of the Initial Loans as of the
Cut-off Date (to be identified prior to the Closing
Date) will equal approximately $[180.0] Million.
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
Title of Securities: Empire Home Loan Owner Trust 1997-5
Interest Accrual With the exception of the Class A-1 Notes, interest
Period: will accrue on the Notes at a fixed rate during the
month prior to the month of the related Payment 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 and including 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, less
[0.758]% per annum (the rate described in this clause
(y), the "Available Funds Cap").
Offered Notes: Class A-1 through A-4 Notes and Class A-4 IO Notes
(together, the 'Senior Notes'), Class M-1 and Class M-
2 Notes (the 'Mezzanine Notes') and Class B-1 Notes
(together with the Senior Notes, the Mezzanine Notes,
and the Class B-2 Notes, the 'Notes'). The Class B-2
Notes and the Residual Interest Certificates are NOT
being offered hereby.
Class A-4 IO Note: The Class A-4 IO Notional Balance will be equal to the
Class A-4 Note Balance for each Payment Date up to and
including [February 25, 2000] (for the first 26 payment
dates). After such Payment Date, the Notional Balance
shall be zero. The fixed rate coupon on the Class A-4
IO is expected to be [6.0%]. The Class A-4 IO will have
no principal balance and will not be entitled to
distributions of principal.
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.
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.
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 approximately [1.47%] of
the Original Pool Principal Balance.
Pre-Funding Account: On the Closing Date, [$60.0] Million 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 Grantor 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-Funding Amount") will be reduced by the
amount thereof used to purchase Subsequent Loans in
accordance with the Grantor Trust 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 (net of investment earnings
thereon) is less than $50,000 and (ii) [March 22,
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
Offered 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 payments on the Notes on each Payment
Date.
Overcollateralization: Excess Interest will be applied, to the extent
available, to make accelerated payments of principal to
the Notes then entitled to receive payments of
principal; such application will cause the aggregate
principal balance of the Notes to amortize more rapidly
than the loans. Prior to the Stepdown Date, the
Overcollateralization Target Amount equals the greater
of (a) [4.00%] of the sum of the Original Pool
Principal Balance and the Original Pre-Funding Amount
(the "Maximum Collateral Amount") 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 Maximum Collateral
Amount (the 'Overcollateralization Floor')or greater
than the outstanding Class Principal Balances of the
Notes.
Subordination: The rights of the Class M-1 Noteholders to receive
payments of interest on each Payment Date will be
subordinate to those of the Senior Noteholders, the
rights of the Class M-2 Noteholders to receive payments
of interest on each Payment Date will be subordinate to
those of the Senior Noteholders and the Class M-1
Noteholders, the rights of the Class B-1 Noteholders to
receive payments of interest on each Payment Date will
be subordinate to those of the Senior Noteholders and
Mezzanine Noteholders, the rights of the Class B-2
Noteholders to receive Payments of interest on each
Payment Date will be subordinate to those of the
holders of the Offered Notes, and the rights of the
Residual Interest Certificateholders to receive
distributions on each Payment Date will be subordinate
to those of the Noteholders.
The rights of the Class M-1 Noteholders to receive
payments of principal on each Payment Date will be
subordinate to those of the Senior Noteholders, the
rights of the Class M-2 Noteholders to receive payments
of principal on each Payment Date will be subordinate
to those of the Senior Noteholders and the Class M-1
Noteholders, the rights of the Class B-1 Noteholders to
receive payments of principal on each Payment Date will
be subordinate to those of the Senior Noteholders and
Mezzanine Noteholders, the rights of the Class B-2
Noteholders to receive payments of principal on each
Payment Date will be subordinate to those of the
holders of the Offered Notes, and the rights of the
Residual Interest Certificateholders to receive
distributions on each Payment Date will be subordinate
to those of the Noteholders.
Net Delinquency
Calculation Amount: With respect to any Payment 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 Payment Dates.
The Net Delinquency Calculation Amount may be removed
if the Rating Agencies no longer require it. The Rating
Agencies must confirm that the original ratings
assigned will not be downgraded or withdrawn as a
result of such change. After such change the Net
Delinquency Calculation Amount would be deemed to be
zero for all future calculations.
Stepdown Date: The Stepdown Date means the first Payment Date
occurring after December 2000 as to which: (1) the Pool
Principal Balance has been reduced to 50% of the
Maximum Collateral Amount; (2) the Net Delinquency
Calculation Amount is less than [4.0]% of the Maximum
Collateral 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) [64.0]% of the
Pool Principal Balance as of the preceding
Determination Date and (2) the Overcollateralization
Target Amount for such Payment Date and (b) [0.50%] of
the Maximum Collateral Amount.
SUMMARY OF SUBORDINATION & OVERCOLLATERALIZATION TARGET AMOUNTS:
Initial Before After After
Expected Stepdown Stepdown Stepdown
Subord.(a) O/C Target (b) Subord. (c) O/C Target (d)
---------- -------------- ----------- --------------
Senior Notes 32.00% 4.00% 64.00% 8.00%
Class M-1 Notes 16.75% 4.00% 33.50% 8.00%
Class M-2 Notes 9.50% 4.00% 19.00% 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 Class B-2 Notes;
(6) sequentially to pay principal to the holders of the
Class A-1, Class A-2, Class A-3, and Class A-4, 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 A- 4 IO Notes) to the
Senior Optimal Principal Balance; provided, however,
that on each Payment Date occurring on or after any
reduction of the Class Principal Balances of the Class
M and Class B Notes to zero through the application of
Allocable Loss Amounts, payment shall be made among the
remaining Senior Notes (excluding the Class A-4 IO) pro
rata and not sequentially;
(7) 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;
(8) sequentially, to the holders of the Class B-1 Notes
and the Class B-2 Notes, in that order, until the Class
Principal Balances thereof are reduced to the Optimal
Principal Balance;
(9) 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;
(10) sequentially, 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
(11) 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 Overcollateralization
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 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 Class Principal
Balances of the Senior Notes will not be reduced by 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 occurrence of the applicable
Maturity 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
Grantor Trust on or after any Payment Date on which the
Pool Principal Balance declines to 10% or less of the
Maximum Collateral 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 [.75]% per annum payable monthly, and
trustee fees (equal to [0.008]% per annum).
Advancing by Servicer: There is no required advancing of delinquent principal
or interest by the Servicer or Trustee.
Tax Considerations: The issuer will be an Owner Trust. The Offered 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.
<PAGE>
DESCRIPTION OF INITIAL LOANS AS OF STATISTIC CALCULATION DATE
Aggregate Field Description Count Balance Pool%
Geographic Distribution Alabama 10 287,547 0.19
Alaska 18 713,377 0.46
Arizona 255 7,629,884 4.94
Arkansas 16 563,959 0.37
California 1240 45,976,484 29.76
Colorado 158 4,919,561 3.18
Connecticut 14 423,237 0.27
Delaware 6 255,514 0.17
District of Columbia 10 370,785 0.24
Florida 216 5,670,791 3.67
Georgia 145 4,385,039 2.84
Hawaii 15 600,938 0.39
Idaho 33 1,087,505 0.70
Illinois 150 4,951,377 3.21
Indiana 125 3,605,432 2.33
Iowa 50 1,588,648 1.03
Kansas 132 4,118,777 2.67
Kentucky 56 1,592,556 1.03
Louisiana 57 1,437,189 0.93
Maine 12 329,100 0.21
Maryland 256 9,228,630 5.97
Massachusetts 9 327,483 0.21
Michigan 139 4,886,740 3.16
Minnesota 148 5,579,491 3.61
Mississippi 26 474,251 0.31
Missouri 306 8,748,968 5.66
Montana 6 223,113 0.14
Nebraska 49 1,423,668 0.92
Nevada 83 2,841,736 1.84
New Hampshire 1 39,989 0.03
New Jersey 15 573,569 0.37
New Mexico 47 1,824,047 1.18
New York 16 594,650 0.38
North Carolina 216 6,063,103 3.92
Ohio 14 360,473 0.23
Oklahoma 86 1,904,168 1.23
Oregon 53 1,407,061 0.91
Pennsylvania 107 3,294,296 2.13
Rhode Island 3 88,574 0.06
South Carolina 107 3,098,753 2.01
South Dakota 1 35,000 0.02
Tennessee 67 1,563,802 1.01
Texas 91 617,335 0.40
Utah 59 1,934,990 1.25
Virginia 106 3,493,364 2.26
Washington 119 2,779,884 1.80
West Virginia 2 62,436 0.04
Wisconsin 12 411,404 0.27
Wyoming 4 95,930 0.06
----- ----------- ----
4,866 $154,484,603 100.00%
Aggregate Field Description Count Balance Pool%
Cut-Off Date Balance $10,000 or less 321 1,798,755 1.16
$10,000.01 - $20,000 674 11,222,130 7.26
$20,000.01 - $30,000 1308 34,119,386 22.09
$30,000.01 - $40,000 1601 56,317,879 36.46
$40,000.01 - $50,000 564 26,488,389 17.15
$50,000.01 - $60,000 240 13,635,535 8.83
$60,000.01 - $70,000 113 7,481,965 4.84
$70,000.01 - $80,000 42 3,120,795 2.02
$80,000.01 or greater 3 299,768 0.19
----- ----------- ----
4,866 $154,484,603 100.00%
Aggregate Field Description Count Balance Pool%
Loan Rates 9.501% - 10.000% 1 41,811 0.03
10.501% - 11.000% 42 1,596,993 1.03
11.001% - 11.500% 47 1,951,533 1.26
11.501% - 12.000% 180 6,577,032 4.26
12.001% - 12.500% 206 7,889,475 5.11
12.501% - 13.000% 754 20,746,868 13.43
13.001% - 13.500% 377 13,517,421 8.75
13.501% - 14.000% 751 24,215,355 15.67
14.001% - 14.500% 370 12,763,669 8.26
14.501% - 15.000% 789 25,863,308 16.74
15.001% - 15.500% 314 9,691,100 6.27
15.501% - 16.000% 564 16,281,233 10.54
16.001% - 16.500% 201 5,823,423 3.77
16.501% - 17.000% 222 6,150,619 3.98
17.001% - 17.500% 14 423,202 0.27
17.501% - 18.000% 31 872,581 0.56
18.001% - 18.500% 3 78,978 0.05
----- ----------- ----
4,866 $154,484,603 100.00%
Aggregate Field Description Count Balance Pool%
Lien Priority 1 1 14,739 0.01
2 4511 152,199,300 98.52
Unsecured 354 2,270,564 1.47
----- ----------- ----
4,866 $154,484,603 100.00%
Aggregate Field
Combined LTV Unsecured 354 2,270,564 1.47
25.01% to 30.00% 1 14,739 0.01
40.01% to 45.00% 3 67,983 0.04
45.01% to 50.00% 3 128,735 0.08
80.01% to 85.00% 2 26,481 0.02
85.01% to 90.00% 3 98,654 0.06
90.01% to 95.00% 3 101,857 0.07
95.01% to 100.00% 4 85,204 0.06
100.01% to 105.00% 394 12,015,902 7.78
105.01% to 110.00% 577 17,619,450 11.41
110.01% to 115.00% 737 23,368,670 15.13
115.01% to 120.00% 1040 35,632,590 23.07
120.01% to 125.00% 1735 62,652,351 40.56
125.01% or greater 10 401,426 0.26
----- ----------- ----
4,866 $154,484,603 100.00%
Aggregate Field Description Count Balance Pool%
Months Since Origination Less than one 2141 67,608,700 43.76
1 - 3 2635 84,155,853 54.48
4 - 6 84 2,566,642 1.66
7 - 9 5 144,804 0.09
10 or greater 1 8,605 0.01
----- ----------- ----
4,866 $154,484,603 100.00%
Aggregate Field Description Count Balance Pool%
Remaining Term 0 - 30 8 47,701 0.03
31 - 60 143 923,307 0.60
61 - 90 70 489,921 0.32
91 - 120 350 6,528,300 4.23
121 - 150 42 927,306 0.60
151 - 180 1127 33,743,727 21.84
211 - 240 1492 50,612,239 32.76
271 - 300 1634 61,212,102 39.62
----- ----------- ----
4,866 $154,484,603 100.00%
Aggregate Field Description Count Balance Pool%
Original Term 0 - 30 8 47,701 0.03
31 - 60 143 923,307 0.60
61 - 90 69 487,123 0.32
91 - 120 351 6,531,098 4.23
121 - 150 43 949,257 0.61
151 - 180 1126 33,721,776 21.83
211 - 240 1492 50,612,239 32.76
271 - 300 1634 61,212,102 39.62
----- ----------- ----
4,866 $154,484,603 100.00%
Aggregate Field Description Count Balance Pool%
Credit Score 560 to 579 1 9,981 0.01
580 to 599 3 48,830 0.03
600 to 619 27 920,670 0.60
620 to 639 786 23,249,715 15.05
640 to 659 1185 37,573,780 24.32
660 to 679 994 33,799,425 21.88
680 to 699 818 28,147,940 18.22
700 to 719 522 17,121,090 11.08
720 to 739 264 7,873,824 5.10
740 to 759 144 3,782,153 2.45
760 to 779 74 1,232,151 0.80
780 to 799 33 629,924 0.41
800 to 819 12 85,388 0.06
820 to 839 3 9,730 0.01
----- ----------- ----
4,866 $154,484,603 100.00%
Aggregate Field Description Count Balance Pool%
Debt to Income Ratio 20.00 or less 167 3,366,744 2.18
20.01 to 25.00 349 10,079,224 6.52
25.01 to 30.00 755 22,922,514 14.84
30.01 to 35.00 1055 33,886,580 21.94
35.01 to 40.00 1268 40,401,469 26.15
40.01 to 45.00 1198 40,744,099 26.37
45.01 to 50.00 74 3,083,973 2.00
----- ----------- ----
4,866 $154,484,603 100.00%
The Following Tables Run to Call:
% of Prepayment Assumption
CLASS A-1 0% 50% 75% 100% 125% 150%
Average Life (Yrs) 5.09 1.52 1.19 1.00 0.88 0.80
First Principal (Yrs) 0.08 0.08 0.08 0.08 0.08 0.08
Last Principal (Yrs) 9.75 3.17 2.33 1.92 1.58 1.42
Window (Yrs) 9.75 3.17 2.33 1.92 1.58 1.42
% of Prepayment Assumption
CLASS A-2 0% 50% 75% 100% 125% 150%
Average Life (Yrs) 12.28 5.13 3.78 3.00 2.50 2.15
First Principal (Yrs) 9.75 3.17 2.33 1.92 1.58 1.42
Last Principal (Yrs) 14.58 7.25 5.33 4.25 3.50 3.00
Window (Yrs) 4.92 4.17 3.08 2.42 2.00 1.67
% of Prepayment Assumption
CLASS A-3 0% 50% 75% 100% 125% 150%
Average Life (Yrs) 15.69 8.33 6.24 4.93 4.07 3.46
First Principal (Yrs) 14.58 7.25 5.33 4.25 3.50 3.00
Last Principal (Yrs) 17.33 10.33 7.92 6.25 5.17 4.33
Window (Yrs) 2.83 3.17 2.67 2.08 1.75 1.42
% of Prepayment Assumption
CLASS A-4 0% 50% 75% 100% 125% 150%
Average Life (Yrs) 19.78 14.70 12.10 10.00 8.41 7.16
First Principal (Yrs) 17.33 10.33 7.92 6.25 5.17 4.33
Last Principal (Yrs) 21.58 17.75 15.17 12.75 10.92 9.33
Window (Yrs) 4.33 7.50 7.33 6.58 5.83 5.08
% of Prepayment Assumption
CLASS M-1 0% 50% 75% 100% 125% 150%
Average Life (Yrs) 18.94 13.30 10.79 8.85 7.42 6.32
First Principal (Yrs) 15.33 7.83 5.83 4.58 3.83 3.25
Last Principal (Yrs) 21.58 17.75 15.17 12.75 10.92 9.33
Window (Yrs) 6.33 10.00 9.42 8.25 7.17 6.17
% of Prepayment Assumption
CLASS M-2 0% 50% 75% 100% 125% 150%
Average Life (Yrs) 18.94 13.30 10.79 8.85 7.42 6.32
First Principal (Yrs) 15.33 7.83 5.83 4.58 3.83 3.25
Last Principal (Yrs) 21.58 17.75 15.17 12.75 10.92 9.33
Window (Yrs) 6.33 10.00 9.42 8.25 7.17 6.17
% of Prepayment Assumption
CLASS B-1 0% 50% 75% 100% 125% 150%
Average Life (Yrs) 18.94 13.30 10.79 8.85 7.42 6.32
First Principal (Yrs) 15.33 7.83 5.83 4.58 3.83 3.25
Last Principal (Yrs) 21.58 17.75 15.17 12.75 10.92 9.33
Window (Yrs) 6.33 10.00 9.42 8.25 7.17 6.17
The Following Tables Run to Maturity:
% of Prepayment Assumption
CLASS A-4 0% 50% 75% 100% 125% 150%
Average Life (Yrs) 20.27 15.32 12.89 10.86 9.25 7.96
First Principal (Yrs) 17.33 10.33 7.92 6.25 5.17 4.33
Last Principal (Yrs) 24.83 24.17 23.08 21.00 19.58 18.08
Window (Yrs) 7.58 13.92 15.25 14.83 14.50 13.83
% of Prepayment Assumption
CLASS M-1 0% 50% 75% 100% 125% 150%
Average Life (Yrs) 19.30 13.75 11.37 9.49 8.04 6.90
First Principal (Yrs) 15.33 7.83 5.83 4.58 3.83 3.25
Last Principal (Yrs) 24.83 23.83 22.42 20.25 19.00 17.42
Window (Yrs) 9.58 16.08 16.67 15.75 15.25 14.25
% of Prepayment Assumption
CLASS M-2 0% 50% 75% 100% 125% 150%
Average Life (Yrs) 19.30 13.73 11.34 9.47 8.01 6.87
First Principal (Yrs) 15.33 7.83 5.83 4.58 3.83 3.25
Last Principal (Yrs) 24.67 23.08 20.83 19.42 17.83 16.00
Window (Yrs) 9.42 15.33 15.08 14.92 14.08 12.83
% of Prepayment Assumption
CLASS B-1 0% 50% 75% 100% 125% 150%
Average Life (Yrs) 19.28 13.66 11.30 9.42 7.95 6.81
First Principal (Yrs) 15.33 7.83 5.83 4.58 3.83 3.25
Last Principal (Yrs) 24.50 22.00 19.92 18.58 16.67 14.67
Window (Yrs) 9.25 14.25 14.17 14.08 12.92 11.50
