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: June 19, 1998
(Date of earliest event reported)
Commission File No. 333-51375
PAINEWEBBER MORTGAGE ACCEPTANCE CORPORATION IV (as depositor under the Sale and
Servicing Agreement, dated as of June 1, 1998, relating to the DiTech Home Loan
Owner Trust 1998-1, Home Loan Asset Backed Notes, Series 1998-1)
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,
Structural Term Sheets and Collateral Term Sheets (each 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") as modified by a no-action letter
(the "First PSA No-Action Letter") issued by the staff of the
Commission on May 27, 1994 to the Public Securities Association (the
"PSA") and as further modified by a no-action letter (the "Second PSA
No-Action Letter,") prepared by PaineWebber Incorporated, which are
hereby filed pursuant to such letters.
<PAGE>
ITEM 7. Financial Statements and Exhibits
---------------------------------
(c) Exhibits
Item 601(a)
of Regulation S-K
Exhibit No. Description
- ----------------- ------------------------------------------------
(99) Computational Materials, Structural
Term Sheets and Collateral Term Sheets
prepared by PaineWebber Incorporated in
connection with DiTech Home Loan Owner
Trust 1998-1, Home Loan Asset Backed Notes,
Series 1998-1
<PAGE>
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.
PAINEWEBBER MORTGAGE ACCEPTANCE
CORPORATION IV
June 23, 1998
By: /s/Barabra Dawson
-----------------------------
Name: Barabra Dawson
Title: Senior Vice President
<PAGE>
INDEX TO EXHIBITS
Paper (P) or
Exhibit No. Description Electronic (E)
- ----------- ----------- --------------
(99) Computational Materials, Structural E
Term Sheets and Collateral Term Sheets
prepared by PaineWebber Incorporated
in connection with DiTech Home Loan
Owner Trust 1998-1, Home Loan Asset
Backed Notes, Series 1998-1
PAINEWEBBER INCORPORATED
PRELIMINARY BACKGROUND INFORMATION
DITECH HOME LOAN OWNER TRUST 1998-1
DISCLAIMER
- ------------------------------------------------------------------------------
The information included herein is produced and provided exclusively by
PaineWebber Incorporated ('PW') as underwriter for the DiTech Home Loan Owner
Trust 1998-1, and not by or as agent for DiTech 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.
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PaineWebber
<PAGE>
DESCRIPTION OF LOANS
Characteristics of the pool of Initial Loans as of 5/31/98. A Pre-Funding
Account will be established of approximately [$53,886,095].
Total Number of Initial Loans: 3,572
Current Principal Balance: $196,113,905
Average Loan Balance: $54,903
WA Loan Rate: 12.58%
WA Original Term (months): 270
WA Remaining Term (months): 268
WA Seasoning (months): 3
WA FICO Score: 699
WA Debt-to-Income 41.25%
WA Original Combined LTV : 111.72%
% Second Lien Position 99.29%
% Prepayment Penalty 73.75%
WA Superior Lien Balance $141,057
WA Age of Borrower(a) 43
WA Years at Present Job(a) 9.31
% Salaried(a) 93.04%
WA Time in Residence(a) 6.21
% Married(a) 81.04%
WA Number of Dependents(a) .58
WA Monthly Borrower Income $6,621
WA Monthly Disposable Income $3,975
(a) This information is based solely on information provided by the borrower in
the borrower application.
As of the Cut-Off Date, none of the loans were more than 30 days late.
Note: Additional information regarding the Initial Loans can be found
starting on page 10.
PRICING INFORMATION (TO 10% CALL) (a)
<TABLE>
- --------------------------------------------------------------------------------------------------------------------------
<CAPTION>
First Final Principal Expected
Approximate WAL Principal Principal Window Stated Ratings
Class Size (b) Coupon (c) (Years) Payment Payment (Years) Maturity (S&P/Fitch/Duff)
- ---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 $52,265,000 Float(d) 0.85 07/98 01/00 1.58 11/09 AAA/AAA/AAA
A-2 $57,770,000 Fixed 2.50 01/00 01/02 2.08 11/14 AAA/AAA/AAA
A-3 $22,585,000 Fixed 4.00 01/02 12/02 1.00 01/17 AAA/AAA/AAA
A-4 $32,387,000 Fixed 7.00 12/02 06/09 6.58 05/22 AAA/AAA/AAA
A-5 $13,380,500 Fixed 12.70 06/09 08/11 2.25 09/29 AAA/AAA/AAA
M-1 $27,009,375 Fixed 9.02 02/03 08/11 8.58 09/29 AA/AA/AA
M-2 $16,959,375 Fixed 9.02 02/03 08/11 8.58 09/29 A/A/A
B-1 $21,356,250 Fixed 9.02 02/03 08/11 8.58 09/29 BBB-/BBB/BBB
B-2 $7,537,500 Not Publicly Offered
- ---------------------------------------------------------------------------------------------------------------------
</TABLE>
Notes: (a) 100% Prepayment Assumption: 0% CPR in month 1, ramping up to 14%
in month 15. On and after month 15, 14% CPR.
(b) Subject to a permitted variance of 5%
(c) Coupon will be increased by [0.50%] for each payment after the
Initial Call Date.
(d) The lesser of (i) One-Month LIBOR plus [ %] and (ii) [11 %].
<PAGE>
PRICING INFORMATION (Continued)
Pricing Speed: 0% CPR, increasing to 14% over 15 months.
Payment Date: The 15th of each month or, if such day is not a
Business Day, the next succeeding Business Day,
commencing in July 1998.
Settlement Date: On or about [June 30, 1998]
Cut-off
Date: The close of business on May 31, 1998. Because the
bonds will be settling flat, only approximately
15% of the collateral interest payments collected
during June will be deposited into the Trust, the
remaining 85% will be retained by DiTech.
Payment Delay: With the exception of the Class A-1 Notes, 14
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
Payment Date (from and including the Closing Date
until the end of the month prior to the month of
the related distribution in the case of the first
Payment Date) based on a 30/360 day 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) [11]% (the rate described
in this clause (y), the "A-1 Cap").
DESCRIPTION OF SECURITIES
Title of Securities: DiTech Home Loan Owner Trust 1998-1
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%.
Transferor/Servicer: DiTech Funding Corporation
Lead Underwriter: PaineWebber Incorporated
Depositor: PaineWebber Mortgage Acceptance Corporation IV
<PAGE>
DESCRIPTION OF SECURITIES (Continued)
Indenture Trustee
and Grantor Trustee: The Bank of New York
Owner Trustee: Bankers Trust (Delaware)
Offering: Public shelf offering - a prospectus and
prospectus supplement will be distributed after
pricing.
Offered Notes: Class A-1 through A-5 Notes (together, the 'Senior
Notes'), Class M-1 and Class M-2 Notes (the
'Mezzanine Notes') and the 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 publicly.
Form of Offering: Book-Entry form, same-day funds through DTC for
all of the Notes.
Denominations: The Notes are issuable in minimum denominations of
an original amount of $25,000 and multiples of
$1,000 thereafter.
Pre-Funding Account: On the Closing Date, approximately [$53,886,095]
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) [September 30, 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
the servicing fee, the trustee fee, and the
weighted average pass through rate on the Notes,
thus generating excess interest collections which
will be available to fund payments on the Notes on
each Payment Date.
<PAGE>
DESCRIPTION OF SECURITIES (Continued)
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.
Undercollateralization: On the Closing Date, the aggregate principal
balance of the Notes will exceed the sum of the
Initial Pool Principal Balance and the Original
Pre-Funding Amount by approximately [0.50%]. The
application of Excess Spread, if available, to
reduce the principal balance of the Notes is
intended first to eliminate such
undercollateralization and then to create the
overcollateralization described in the preceding
paragraph.
Net Delinquency
Calculation Amount: With respect to any Payment Date, the excess, if
any, of (x) the product of [1.7] 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.
<PAGE>
DESCRIPTION OF SECURITIES (Continued)
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 the rights of the Senior
Noteholders to receive interest and/or principal,
the rights of the Class M-2 Noteholders to receive
payments of principal on each Payment Date will be
subordinate to the rights of the Senior
Noteholders and the Class M-1 Noteholders to
receive interest and/or principal, the rights of
the Class B-1 Noteholders to receive payments of
principal on each Payment Date will be subordinate
to the rights of the Senior Noteholders and
Mezzanine Noteholders to receive interest and/or
principal, the rights of the Class B-2 Noteholders
to receive payments of principal on each Payment
Date will be subordinate to the rights of the
holders of the Offered Notes to receive interest
and/or principal and the rights of the Residual
Interest Certificateholders to receive
distributions on each Payment Date will be
subordinate to the rights of the Noteholders to
receive interest and/or principal.
Stepdown Date: The Stepdown Date means the first Payment Date
occurring after the [June 2001] Payment Date as to
which 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) approximately [58.29]% 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.
<PAGE>
DESCRIPTION OF SECURITIES (Continued)
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 29.000% 4.00% 58.2900% 8.00%
Class M-1 Notes 18.250% 4.00% 36.6825% 8.00%
Class M-2 Notes 11.500% 4.00% 23.1150% 8.00%
Class B-1 Notes 3.000% 4.00% 6.0300% 8.00%
- ------------------------------------------------------------------------------
(a) The initial amount of subordination for each class as of the Closing Date
as a percentage of the Notes.
(b) The Overcollateralization Target Amount prior to the Stepdown Date.
(c) The expected subordination for each class on the Stepdown Date as a
percentage of the then current collateral balance.
(d) The Overcollateralization Target Amount on and after the Stepdown Date as a
percentage of the then current collateral balance, but at no time less than
the Overcollateralization Floor.
<PAGE>
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 Class 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 the 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
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 pro rata and not in accordance
with the payment priorities set forth
herein;
(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;
(11) any remaining amounts to the holders of the
Residual Interest Certificates.
<PAGE>
DESCRIPTION OF SECURITIES (Continued)
Application of Allocable
Loss Amounts: In the event that on any Payment Date after the
Undercollateralization Amount has been reduced to
zero (a) the aggregate of the Class Principal
balances of all Classes of Notes on any Payment
Date (after giving effect to all payments on such
date) exceeds (b) the sum of the Pool Principal
Balance and the Pre-Funding Amount, each as of the
end of the immediately preceding Due Period (such
excess, an "Allocable Loss Amount"), such
Allocable Loss Amount will be applied,
sequentially, 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 the respective Class
Principal Balances thereof have been reduced to
zero. On each Payment Date prior to the Payment
Date on which the Initial Undercollateralization
Amount is reduced to zero, the Allocable Loss
Amount will be zero. Allocable Loss Amounts will
not be applied in reduction of the Class Principal
Balance of any Class of Senior Notes. Allocable
Loss Amounts applied to any applicable Class of
Offered Notes will entitle such Class to
reimbursement (such entitlement, a "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 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 equal to [0.75]% per
annum payable monthly and trustee's fees equal to
0.01% 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
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>
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>
DESCRIPTION OF INITIAL LOANS AS OF CUT-OFF DATE
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
State California 1,817 107,217,348 54.67
Florida 150 8,256,422 4.21
Arizona 111 6,159,433 3.14
New York 100 4,982,676 2.54
Virginia 96 4,743,068 2.42
Washington 66 3,429,101 1.75
Georgia 65 3,302,051 1.68
Maryland 64 3,105,006 1.58
Pennsylvania 63 2,940,254 1.50
North Carolina 60 2,927,292 1.49
Alabama 61 2,811,212 1.43
Illinois 60 2,787,945 1.42
Colorado 49 2,740,968 1.40
Michigan 59 2,713,518 1.38
Hawaii 39 2,610,471 1.33
Kansas 45 2,197,303 1.12
Massachusetts 39 2,022,533 1.03
Nevada 34 1,947,850 0.99
Missouri 41 1,928,863 0.98
Ohio 44 1,844,286 0.94
Wisconsin 29 1,591,128 0.81
Indiana 31 1,586,707 0.81
Minnesota 29 1,543,370 0.79
Louisiana 25 1,527,062 0.78
Tennessee 27 1,422,517 0.73
Arkansas 30 1,377,701 0.70
New Mexico 21 1,332,846 0.68
Alaska 22 1,330,393 0.68
Oklahoma 32 1,295,093 0.66
Connecticut 23 1,100,538 0.56
Kentucky 25 1,051,378 0.54
Oregon 20 1,018,945 0.52
Utah 17 968,287 0.49
Maine 17 944,936 0.48
Idaho 21 938,417 0.48
Montana 15 835,409 0.43
Mississippi 18 739,808 0.38
Iowa 16 706,635 0.36
Nebraska 12 601,046 0.31
New Hampshire 14 559,054 0.29
West Virginia 10 549,495 0.28
<PAGE>
DESCRIPTION OF INITIAL LOANS AS OF CUT-OFF DATE (continued)
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
State (continued): South Carolina 12 476,916 0.24
South Dakota 9 441,457 0.23
Delaware 10 434,068 0.22
Vermont 10 373,400 0.19
Rhode Island 6 249,300 0.13
North Dakota 3 197,856 0.10
Wyoming 4 167,600 0.09
District of Columbia 1 84,945 0.04
------ ----------- ------
3,572 $196,113,905 100.00%
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
Current Balance $10,000.01 - $20,000 222 3,844,386 1.96
$20,000.01 - $30,000 556 14,759,075 7.53
$30,000.01 - $40,000 619 22,165,408 11.30
$40,000.01 - $50,000 560 26,114,140 13.32
$50,000.01 - $60,000 416 23,376,429 11.92
$60,000.01 - $70,000 280 18,436,848 9.40
$70,000.01 - $80,000 254 19,206,119 9.79
$80,000.01 - $90,000 288 24,452,048 12.47
$90,000.01 - $100,000 126 12,209,059 6.23
$100,000.01 - $110,000 48 5,068,882 2.58
$110,000.01 - $120,000 45 5,211,202 2.66
$120,000.01 - $130,000 88 10,967,790 5.59
$130,000.01 - $140,000 11 1,482,582 0.76
$140,000.01 - $150,000 59 8,819,937 4.50
------ ----------- ------
3,572 $196,113,905 100.00%
<PAGE>
DESCRIPTION OF INITIAL LOANS AS OF CUT-OFF DATE (continued)
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
Current Rate 8.001% - 8.500% 30 1,364,724 0.70
8.501% - 9.000% 42 2,190,685 1.12
9.001% - 9.500% 195 9,648,696 4.92
9.501% - 10.000% 221 11,896,605 6.07
10.001% - 10.500% 156 7,782,467 3.97
10.501% - 11.000% 149 7,828,733 3.99
11.001% - 11.500% 199 11,109,460 5.66
11.501% - 12.000% 346 19,168,057 9.77
12.001% - 12.500% 403 22,233,364 11.34
12.501% - 13.000% 385 23,359,210 11.91
13.001% - 13.500% 409 23,126,850 11.79
13.501% - 14.000% 361 22,564,397 11.51
14.001% - 14.500% 224 12,405,228 6.33
14.501% - 15.000% 248 11,749,275 5.99
15.001% - 15.500% 58 3,133,918 1.60
15.501% - 16.000% 71 3,836,355 1.96
16.001% - 16.500% 41 1,678,531 0.86
16.501% - 17.000% 15 524,551 0.27
17.001% - 17.500% 13 369,033 0.19
17.501% - 18.000% 6 143,764 0.07
------ ----------- ------
3,572 $196,113,905 100.00%
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
Lien Priority First Lien 21 1,391,101 0.71
Second Lien 3,551 194,722,805 99.29
------ ----------- ------
3,572 $196,113,905 100.00%
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
Seasoning Less than one 409 23,343,650 11.90
1-3 2,179 121,045,502 61.72
4-6 961 50,537,789 25.77
7 or greater 23 1,186,964 0.61
------ ----------- ------
3,572 $196,113,905 100.00%
<PAGE>
DESCRIPTION OF INITIAL LOANS AS OF CUT-OFF DATE (continued)
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
Remaining Term 91 - 120 11 490,731 0.25
151 - 180 876 38,319,391 19.54
211 - 240 327 19,022,249 9.70
271 - 300 2,356 138,204,349 70.47
330 - 360 2 77,186 0.04
------ ----------- ------
3,572 $196,113,905 100.00%
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
Original Term 91 - 120 11 490,731 0.25
151 - 180 876 38,319,391 19.54
211 - 240 327 19,022,249 9.70
271 - 300 2,356 138,204,349 70.47
330 - 360 2 77,186 0.04
------ ----------- ------
3,572 $196,113,905 100.00%
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
Credit Risk 620 to 639 28 840,170 0.43
640 to 659 271 9,529,694 4.86
660 to 679 886 49,339,410 25.16
680 to 699 792 48,779,761 24.87
700 to 719 650 37,545,889 19.14
720 to 739 528 28,607,412 14.59
740 to 759 271 14,086,881 7.18
760 to 779 114 5,912,133 3.01
780 to 799 30 1,428,820 0.73
800 to 819 2 43,736 0.02
------ ----------- ------
3,572 $196,113,905 100.00%
<PAGE>
DESCRIPTION OF INITIAL LOANS AS OF CUT-OFF DATE (continued)
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
Debt-to-Income 20.00 or less 38 2,000,268 1.02
Ratio
20.01 to 25.00 91 3,979,705 2.03
25.01 to 30.00 221 10,995,537 5.61
30.01 to 35.00 450 22,839,932 11.65
35.01 to 40.00 595 31,787,599 16.21
40.01 to 45.00 913 48,139,889 24.55
45.01 to 50.00 1,235 74,518,567 38.00
Greater than 50.00 29 1,852,407 0.94
------ ----------- ------
3,572 $196,113,905 100.00%
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
Prepayment Penalty No Prepayment Penalty 1,000 51,487,861 26.25
Prepayment Penalty 2,572 144,626,044 73.75
------ ----------- ------
3,572 $196,113,905 100.00%
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
Program Type Cash Out 3,348 188,472,783 96.10
Debt Consolidation 186 6,503,828 3.32
Home Improvement 38 1,137,295 0.58
------ ----------- ------
3,572 $196,113,905 100.00%
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
Superior Lien Zero 21 1,391,101 0.71
Balance
$50,000 or less 281 12,927,912 6.59
$50,000.01 - $100,000 1,161 55,004,721 28.05
$100,000.01 - 1,039 54,473,031 27.78
$150,000
$150,000.01 - 667 40,391,246 20.60
$200,000
$200,000.01 - 218 15,369,822 7.84
$250,000
$250,000.01 - 92 7,396,908 3.77
$300,000
$300,000.01 or 93 9,159,164 4.67
greater
------ ----------- ------
3,572 $196,113,905 100.00%
<PAGE>
DESCRIPTION OF INITIAL LOANS AS OF CUT-OFF DATE (continued)
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
Age of Borrower(a) 20 - 29 353 14,381,153 7.33
30 - 39 1,319 67,997,185 34.67
40 - 49 1,175 68,909,124 35.14
50 - 59 538 33,349,969 17.01
60 or greater 187 11,476,475 5.85
------ ----------- ------
3,572 $196,113,905 100.00%
(a) This information is based solely on information provided by the borrower in
the borrower application.
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
Years at Present 0.000 - 2.000 741 37,201,980 18.97
Job(a)
2.001 - 4.000 519 27,295,483 13.92
4.001 - 6.000 372 19,334,539 9.86
6.001 - 8.000 324 18,135,169 9.25
8.001 - 10.000 359 20,113,024 10.26
10.001 - 12.000 217 12,605,839 6.43
12.001 - 14.000 157 8,078,374 4.12
14.001 - 16.000 161 8,899,953 4.54
16.001 - 18.000 121 7,173,873 3.66
18.001 - 20.000 137 8,355,131 4.26
20.001 or greater 285 19,166,118 9.77
Other 30 1,318,216 0.67
Retired 149 8,436,207 4.30
------ ----------- ------
3,572 $196,113,905 100.00%
(a) This information is based solely on information provided by the borrower in
the borrower application.
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
Salaried vs. Salaried 3,385 182,471,932 93.04
Self Employed(a) Self Employed 187 13,641,973 6.96
------ ----------- ------
3,572 $196,113,905 100.00%
(a) This information is based solely on information provided by the borrower in
the borrower application.
<PAGE>
DESCRIPTION OF INITIAL LOANS AS OF CUT-OFF DATE (continued)
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
Time in 0.000 - 1.000 761 35,156,740 17.93
Residence(a)
1.001 - 2.000 549 27,701,890 14.13
2.001 - 3.000 373 19,296,195 9.84
3.001 - 4.000 315 17,241,897 8.79
4.001 - 5.000 254 14,651,072 7.47
5.001 - 6.000 192 10,628,238 5.42
6.001 - 7.000 168 10,476,191 5.34
7.001 - 8.000 179 11,055,424 5.64
8.001 - 9.000 129 8,358,739 4.26
9.001 - 10.000 135 7,846,280 4.00
10.001 - 11.000 89 6,095,672 3.11
11.001 - 12.000 76 4,428,128 2.26
12.001 - 13.000 39 2,497,142 1.27
13.001 or greater 313 20,680,297 10.55
------ ----------- ------
3,572 $196,113,905 100.00%
(a) This information is based solely on information provided by the borrower in
the borrower application.
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
Marital Status(a) Married 2,824 158,927,527 81.04
Not Married 748 37,186,378 18.96
------ ----------- ------
3,572 $196,113,905 100.00%
(a) This information is based solely on information provided by the borrower in
the borrower application.
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
Number of 0 2,517 136,949,764 69.83
Dependents(a) 1 385 21,295,178 10.86
2 451 24,757,562 12.62
3 166 9,799,208 5.00
More than 3 53 3,312,194 1.69
------ ----------- ------
3,572 $196,113,905 100.00%
(a) This information is based solely on information provided by the borrower in
the borrower application.
<PAGE>
DESCRIPTION OF INITIAL LOANS AS OF CUT-OFF DATE (continued)
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
Borrower Income $2,000 or less 53 1,418,268 0.72
(monthly) $2,000.01 - $3,000 315 10,912,817 5.56
$3,000.01 - $4,000 594 24,898,344 12.70
$4,000.01 - $5,000 677 33,393,450 17.03
$5,000.01 - $6,000 595 32,844,319 16.75
$6,000.01 - $7,000 468 27,542,408 14.04
$7,000.01 - $8,000 290 18,373,586 9.37
$8,000.01 - $9,000 204 14,641,775 7.47
$9,000.01 - $10,000 114 8,552,152 4.36
$10,000.01 or greater 262 23,536,786 12.00
------ ----------- ------
3,572 $196,113,905 100.00%
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
Disposable Income $2,000 or less 661 25,601,222 13.05
(monthly) $2,000.01 - $3,000 1,080 53,489,780 27.27
$3,000.01 - $4,000 803 45,289,013 23.09
$4,000.01 - $5,000 457 28,799,215 14.68
$5,000.01 - $6,000 236 16,105,015 8.21
$6,000.01 - $7,000 144 10,281,099 5.24
$7,000.01 - $8,000 70 5,836,882 2.98
$8,000.01 - $9,000 44 3,505,785 1.79
$9,000.01 - $10,000 22 1,921,593 0.98
$10,000.01 or greater 55 5,284,302 2.69
------ ----------- ------
3,572 $196,113,905 100.00%
<PAGE>
DESCRIPTION OF INITIAL LOANS AS OF CUT-OFF DATE (continued)
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
Combined LTV 20.01% to 25.00% 4 145,111 0.07
25.01% to 30.00% 3 94,168 0.05
30.01% to 35.00% 3 102,431 0.05
35.01% to 40.00% 5 357,811 0.18
40.01% to 45.00% 4 223,325 0.11
45.01% to 50.00% 5 326,744 0.17
50.01% to 55.00% 3 184,461 0.09
55.01% to 60.00% 5 196,715 0.10
60.01% to 65.00% 17 732,013 0.37
65.01% to 70.00% 13 748,323 0.38
70.01% to 75.00% 9 400,156 0.20
75.01% to 80.00% 27 1,386,210 0.71
80.01% to 85.00% 47 1,952,731 1.00
85.01% to 90.00% 110 4,794,410 2.44
90.01% to 95.00% 163 6,801,466 3.47
95.01% to 100.00% 277 12,908,609 6.58
100.01% to 105.00% 343 16,869,435 8.60
105.01% to 110.00% 405 20,788,571 10.60
110.01% to 115.00% 535 29,658,803 15.12
115.01% to 120.00% 604 34,885,079 17.79
120.01% to 125.00% 988 62,413,421 31.83
125.01% or greater 2 143,913 0.07
------ ----------- ------
3,572 $196,113,905 100.00%
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
Remittance Type Electronic Funds 3,206 175,990,050 89.74
Transfer
Non-Electronic Funds 366 20,123,855 10.26
Transfer ------ ----------- ------
3,572 $196,113,905 100.00%
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
Origination Method Correspondent(a) 882 60,547,735 30.87
Retail 2,618 131,596,824 67.10
Wholesale 72 3,969,347 2.02
------ ----------- ------
3,572 $196,113,905 100.00%
(a) All Correspondent business from one correspondent.
<PAGE>
THE FOLLOWING TABLES RUN TO CALL:
% of Prepayment Assumption
- ---------------------------------------------------------------------
CLASS A-1 0% 50% 75% 100% 125% 150%
- ---------------------------------------------------------------------
AVG LIFE 4.31 1.23 0.99 0.85 0.76 0.70
FIRST PAY 07/98 07/98 07/98 07/98 07/98 07/98
LAST PAY 07/07 01/01 05/00 01/00 11/99 09/99
WINDOW (YEARS) 9.08 2.58 1.92 1.58 1.42 1.25
- ---------------------------------------------------------------------
% of Prepayment Assumption
- ---------------------------------------------------------------------
CLASS A-2 0% 50% 75% 100% 125% 150%
- ---------------------------------------------------------------------
AVG LIFE 11.98 4.26 3.13 2.50 2.10 1.82
YIELD @ 100.000 6.30% 6.27% 6.24% 6.22% 6.21% 6.19%
DURATION 8.19 3.62 2.76 2.25 1.91 1.68
FIRST PAY 07/07 01/01 05/00 01/00 11/99 09/99
LAST PAY 11/12 08/04 12/02 01/02 06/01 01/01
WINDOW (YEARS) 5.42 3.67 2.67 2.08 1.67 1.42
- ---------------------------------------------------------------------
% of Prepayment Assumption
- ---------------------------------------------------------------------
CLASS A-3 0% 50% 75% 100% 125% 150%
- ---------------------------------------------------------------------
AVG LIFE 15.36 6.92 5.08 4.00 3.31 2.82
YIELD @ 100.000 6.56% 6.54% 6.53% 6.52% 6.50% 6.49%
DURATION 9.47 5.42 4.21 3.43 2.90 2.51
FIRST PAY 11/12 08/04 12/02 01/02 06/01 01/01
LAST PAY 01/15 03/06 03/04 12/02 03/02 08/01
WINDOW (YEARS) 2.25 1.67 1.33 1.00 0.83 0.67
- ---------------------------------------------------------------------
% of Prepayment Assumption
- ---------------------------------------------------------------------
CLASS A-4 0% 50% 75% 100% 125% 150%
- ---------------------------------------------------------------------
AVG LIFE 19.67 11.38 8.78 7.00 5.77 4.89
YIELD @ 100.000 6.91% 6.90% 6.90% 6.89% 6.88% 6.87%
DURATION 10.50 7.60 6.33 5.34 4.59 4.00
FIRST PAY 01/15 03/06 03/04 12/02 03/02 08/01
LAST PAY 05/21 02/15 11/11 06/09 08/07 03/06
WINDOW (YEARS) 6.42 9.00 7.75 6.58 5.50 4.67
- ---------------------------------------------------------------------
<PAGE>
THE FOLLOWING TABLES RUN TO CALL (continued):
% of Prepayment Assumption
- ---------------------------------------------------------------------
CLASS A-5 0% 50% 75% 100% 125% 150%
- ---------------------------------------------------------------------
AVG LIFE 23.48 18.64 15.29 12.70 10.67 9.11
YIELD @ 100.000 7.25% 7.25% 7.25% 7.24% 7.24% 7.24%
DURATION 11.06 10.00 9.03 8.10 7.24 6.50
FIRST PAY 05/21 02/15 11/11 06/09 08/07 03/06
LAST PAY 02/22 08/17 04/14 08/11 07/09 12/07
WINDOW (YEARS) 0.83 2.58 2.50 2.25 2.00 1.83
- ---------------------------------------------------------------------
% of Prepayment Assumption
- ---------------------------------------------------------------------
CLASS M-1 0% 50% 75% 100% 125% 150%
- ---------------------------------------------------------------------
AVG LIFE 21.14 13.99 11.10 9.02 7.50 6.37
YIELD @ 100.000 7.11% 7.10% 7.10% 7.09% 7.08% 7.08%
DURATION 10.68 8.48 7.32 6.34 5.54 4.90
FIRST PAY 05/15 07/06 06/04 02/03 05/02 10/01
LAST PAY 02/22 08/17 04/14 08/11 07/09 12/07
WINDOW (YEARS) 6.83 11.17 9.92 8.58 7.25 6.25
- ---------------------------------------------------------------------
% of Prepayment Assumption
- ---------------------------------------------------------------------
CLASS M-2 0% 50% 75% 100% 125% 150%
- ---------------------------------------------------------------------
AVG LIFE 21.14 13.99 11.10 9.02 7.50 6.37
YIELD @ 100.000 7.52% 7.51% 7.51% 7.50% 7.49% 7.49%
DURATION 10.33 8.27 7.16 6.23 5.45 4.83
FIRST PAY 05/15 07/06 06/04 02/03 05/02 10/01
LAST PAY 02/22 08/17 04/14 08/11 07/09 12/07
WINDOW (YEARS) 6.83 11.17 9.92 8.58 7.25 6.25
- ---------------------------------------------------------------------
% of Prepayment Assumption
- ----------------------------------------------------------------------
CLASS B-1 0% 50% 75% 100% 125% 150%
- ----------------------------------------------------------------------
AVG LIFE 21.14 13.99 11.10 9.02 7.50 6.37
YIELD @ 100.000 9.11% 9.10% 9.10% 9.09% 9.08% 9.07%
DURATION 9.13 7.52 6.61 5.81 5.13 4.57
FIRST PAY 05/15 07/06 06/04 02/03 05/02 10/01
LAST PAY 02/22 08/17 04/14 08/11 07/09 12/07
WINDOW (YEARS) 6.83 11.17 9.92 8.58 7.25 6.25
- ----------------------------------------------------------------------
<PAGE>
THE FOLLOWING TABLES RUN TO MATURITY:
% of Prepayment Assumption
- ---------------------------------------------------------------------
CLASS A-4 0% 50% 75% 100% 125% 150%
- ---------------------------------------------------------------------
AVG LIFE 19.67 11.38 8.78 7.00 5.77 4.89
YIELD @ 100.000 6.91% 6.90% 6.90% 6.89% 6.88% 6.87%
DURATION 10.50 7.60 6.33 5.34 4.59 4.00
FIRST PAY 01/15 03/06 03/04 12/02 03/02 08/01
LAST PAY 05/21 02/15 11/11 06/09 08/07 03/06
WINDOW (YEARS) 6.42 9.00 7.75 6.58 5.50 4.67
- ---------------------------------------------------------------------
% of Prepayment Assumption
- ---------------------------------------------------------------------
CLASS A-5 0% 50% 75% 100% 125% 150%
- ---------------------------------------------------------------------
AVG LIFE 23.86 20.32 17.56 15.03 12.87 11.10
YIELD @ 100.000 7.26% 7.27% 7.28% 7.29% 7.29% 7.30%
DURATION 11.13 10.38 9.64 8.84 8.05 7.32
FIRST PAY 05/21 02/15 11/11 06/09 08/07 03/06
LAST PAY 04/23 12/22 07/22 06/21 09/19 07/17
WINDOW (YEARS) 2.00 7.92 10.75 12.08 12.17 11.42
- ---------------------------------------------------------------------
% of Prepayment Assumption
- ---------------------------------------------------------------------
CLASS M-1 0% 50% 75% 100% 125% 150%
- ---------------------------------------------------------------------
AVG LIFE 21.26 14.52 11.82 9.75 8.18 6.99
YIELD @ 100.000 7.11% 7.11% 7.11% 7.11% 7.11% 7.11%
DURATION 10.71 8.61 7.52 6.58 5.81 5.16
FIRST PAY 05/15 07/06 06/04 02/03 05/02 10/01
LAST PAY 04/23 10/22 02/22 10/20 08/18 05/16
WINDOW (YEARS) 8.00 16.33 17.75 17.75 16.33 14.67
- ---------------------------------------------------------------------
% of Prepayment Assumption
- ---------------------------------------------------------------------
CLASS M-2 0% 50% 75% 100% 125% 150%
- ---------------------------------------------------------------------
AVG LIFE 21.26 14.51 11.80 9.73 8.16 6.96
YIELD @ 100.000 7.52% 7.52% 7.52% 7.52% 7.52% 7.51%
DURATION 10.35 8.39 7.35 6.45 5.70 5.07
FIRST PAY 05/15 07/06 06/04 02/03 05/02 10/01
LAST PAY 03/23 07/22 08/21 11/19 06/17 03/15
WINDOW (YEARS) 7.92 16.08 17.25 16.83 15.17 13.50
- ---------------------------------------------------------------------
% of Prepayment Assumption
- ----------------------------------------------------------------------
CLASS B-1 0% 50% 75% 100% 125% 150%
- ----------------------------------------------------------------------
AVG LIFE 21.25 14.49 11.75 9.66 8.09 6.90
YIELD @ 100.000 9.11% 9.11% 9.11% 9.11% 9.10% 9.10%
DURATION 9.14 7.60 6.74 5.97 5.31 4.76
FIRST PAY 05/15 07/06 06/04 02/03 05/02 10/01
LAST PAY 02/23 04/22 12/20 10/18 05/16 01/14
WINDOW (YEARS) 7.83 15.83 16.58 15.75 14.08 12.33
- ----------------------------------------------------------------------
