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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 12, 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 February 1, 1998, relating to the Empire
Funding Home Loan Owner Trust 1998-2, Home Loan Asset Backed Notes, Series
1998-2)
PAINEWEBBER MORTGAGE ACCEPTANCE CORPORATION IV
- --------------------------------------------------------------------------------
Delaware 06-1204982
- --------------------------------------------------------------------------------
(State of Incorporation) (I.R.S. Employer Identification No.)
1285 Avenue of the Americas
New York, New York 10019
- --------------------------------------------------------------------------------
Address of principal executive offices (Zip Code)
(212) 713-2000
- --------------------------------------------------------------------------------
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 1998-2, Home Loan Asset
Backed Notes, Series 1998-2
<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 16, 1998
By: /s/ Barbara Dawson
-----------------------
Barbara 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 1998-2, Home
Loan Asset Backed Notes, Series 1998-2
PAINEWEBBER INCORPORATED
PRELIMINARY BACKGROUND INFORMATION
EMPIRE FUNDING HOME LOAN OWNER TRUST 1998-2
DISCLAIMER
- --------------------------------------------------------------------------------
The information included herein is produced and provided exclusively by
PaineWebber Incorporated ('PW') as underwriter for the Empire Funding Home Loan
Owner Trust 1998-2, 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>
DESCRIPTION OF LOANS
Characteristics of the pool of Initial Loans as of 5/31/98. A Pre-Funding
Account will be established in the approximate amount of $[99,925,288].
Total Number of Initial Loans: 5,947
Current Principal Balance: $200,074,712
Average Loan Balance: $33,643
WA Loan Rate: 13.74%
WA Original Term (months): 246
WA Remaining Term (months): 243
WA Seasoning (months): 3
WA FICO Score: 682
WA Debt-to-Income 34.46%
WA Original Combined LTV
(Mortgage Loans Only): 117.53%
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 12.
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 $56,691,000 Float (d) 0.80 07/98 10/99 1.33 4/08 AAA/AAA/AAA
A-2 $56,150,000 Fixed 2.00 10/99 02/01 1.42 4/12 AAA/AAA/AAA
A-3 $24,267,000 Fixed 3.00 02/01 10/01 0.75 1/14 AAA/AAA/AAA
A-4 $36,189,000 Fixed 4.00 10/01 10/03 2.08 2/19 AAA/AAA/AAA
A-5 $23,090,500 Fixed 8.78 10/03 12/09 6.25 9/24 AAA/AAA/AAA
A-6 $19,500,000 Fixed 8.58 07/03 12/09 6.50 9/24 AAA/AAA/AAA
A-IO $30,300,000(e) Fixed - - - - 9/24 AAAr/AAA/AAA
M-1 $30,300,000 Fixed 7.94 08/02 12/09 7.42 9/24 AA/AA/AA
M-2 $21,967,500 Fixed 7.94 08/02 12/09 7.42 9/24 A/A/A
B-1 $25,755,000 Not Publicly Offered
B-2 $9,090,000 Not Publicly Offered
</TABLE>
Notes:
(a) 100% Prepayment Assumption: 0% CPR in month 1, ramping up to 16% in month
15. On and after month 15, 16% 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 0.__ % and (ii) 12.00%.
(e) Notional balance for the first 26 months will equal the Class M-1 Class
principal balance and will be zero thereafter.
Pricing Speed: 0% CPR, increasing to 16% over 15 months.
Payment Date: The 25th 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 22, 1998]
Cut-off Date: The close of business on May 31, 1998.
Because the bonds will be settling flat, only
approximately 30% of the collateral interest
payments collected during June will be
deposited into the Trust, the remaining 70%
will be retained by Empire.
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 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) 12.00% (the rate described in
this clause (y), the "A-1 Cap").
<PAGE>
DESCRIPTION OF SECURITIES
Title of Securities: Empire Funding Home Loan Owner Trust 1998-2
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 [1.46%] of the
Original Pool Principal Balance.
Transferor/Servicer: Empire Funding Corp.
Lead Underwriter: PaineWebber Incorporated
Co-Underwriter: Merrill Lynch & Co.
Depositor: PaineWebber Mortgage Acceptance Corporation
IV
Indenture Trustee U.S. Bank National Association, d/b/a
and Grantor Trustee: First Bank National Association
Owner Trustee: Wilmington Trust Company
Offering: Public shelf offering - a prospectus and
prospectus supplement will be distributed
after pricing.
Offered Notes: Class A-1 through A-6 Notes and Class A-IO
Notes (together, the 'Senior Notes'), Class
M-1 and Class M-2 Notes (the 'Mezzanine
Notes' and, together with the Senior Notes,
the Class B-1 Notes, and the Class B-2 Notes,
the 'Notes'). The Class B-1 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 (except the Class A-IO Notes which
will be issued in minimum denominations of
$1,000,000) are issueable in minimum
denominations of an original amount of
$25,000 and multiples of $1,000 thereafter.
<PAGE>
Class A-6 Principal
Distribution Amount: An amount equal to (without regard to any
amounts otherwise distributable to the Class
A-6 Notes) $0 through [June 2003] and,
thereafter, an amount equal to the lesser of
(a) the product of (i) a fraction, the
numerator of which is the principal balance
of the Class A-6 Notes immediately prior to
such Payment Date and the denominator of
which is the aggregate principal balance of
the Senior Notes (other than the Class A-IO
Notional Balance) and (ii) the amount
available for distribution (after
distributions of interest have been made) up
to the excess of the aggregate principal
balance of the Senior Notes immediately prior
to such Payment Date over the Senior Optimal
Principal Balance, if any, and (b) the
outstanding principal balance of the Class
A-6 Notes.
Class A-IO Note : The Class A-IO will have no principal balance
and will not be entitled to distributions of
principal. The Class A-IO Notional Balance
will be equal to the Class M-1 Note Balance
for each Payment Date up to and including
[August 25, 2000] (for the first 26 payment
dates). After such Payment Date, the Class
A-IO Notional Balance shall be zero.
Notwithstanding the foregoing, the Class A-IO
Notes will be entitled to receive interest
that would have been paid to such class
absent each reduction of the Class A-IO
Notional Balance prior to [August 25, 2000]
after all other payment priorities but prior
to the residual certificate. The fixed rate
coupon on the Class A-IO is expected to be
[5.09%].
Pre-Funding Account: On the Closing Date, approximately
$[99,925,288] 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 22, 1998].
<PAGE>
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, the Class B-1 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.
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)
[3.50%] 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) [7.00%] 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
1%. 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>
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
holders of the Offered Notes, 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 Class B-1 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 (other than the holders of
the Class A-IO Notes), 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 (other than the holders of the
Class A-IO Notes) 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 holders of the Offered Notes
(other than the holders of the Class A-IO
Notes) and the 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 (other than the
holders of the Class A-IO Notes) and the
Class B-1 Notes, and the rights of the
Residual Interest Certificateholders to
receive distributions on each Payment Date
will be subordinate to those of the
Noteholders.
Stepdown Date: The Stepdown Date means the first Payment
Date occurring after [June 25, 2001] 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 [58.075]% 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>
Summary of Subordination & Overcollateralization Target Amounts:
<TABLE>
<CAPTION>
Initial Before After After
Expected Stepdown Stepdown Stepdown
Subord. (a) O/C Target (b) Subord. (c) O/C Target (d)
<S> <C> <C> <C> <C>
Senior Notes 28.75% 3.50% 58.075% 7.00%
Class M-1 Notes 18.75% 3.50% 37.875% 7.00%
Class M-2 Notes 11.50% 3.50% 23.230% 7.00%
Class B-1 Notes 3.00% 3.50% 6.060% 7.00%
</TABLE>
(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>
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;
(7) principal to the Class A Notes (other
than the Class A-IO) as follows: (i) to the
Class A-6 Notes an amount equal to the Class
A-6 Principal Distribution Amount and, (ii)
sequentially to pay principal to the holders
of the Class A-1, Class A-2, Class A-3, Class
A-4, Class A-5, and the Class A-6 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 in clauses (i) and (ii)
above;
(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 Notes and the Class B-2 Notes, in that
order, until the Class Principal Balances
thereof are reduced to the Optimal Principal
Balance;
(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) 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;
(12) to the Class A-IO Notes, interest that
would have been distributable thereon but for
the reduction of the Class A-IO Notional
Balance thereof prior to [August 25, 2000].
(13) any remaining amounts to the holders of
the Residual Interest Certificates.
<PAGE>
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 [1.00]%
per annum payable monthly and trustee's 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.
<PAGE>
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 CUT-OFF DATE
Aggregate Field
State
Description Count Balance$ Pool%
----------- ----- -------- -----
California 698 25,824,818 12.91
Michigan 397 15,010,696 7.50
Missouri 452 14,089,247 7.04
Illinois 308 10,856,702 5.43
Maryland 227 9,231,320 4.61
Arizona 263 9,009,685 4.50
North Carolina 269 8,436,034 4.22
Minnesota 203 7,880,097 3.94
Florida 233 7,476,129 3.74
Indiana 221 7,359,282 3.68
Virginia 194 6,553,500 3.28
Georgia 182 6,219,059 3.11
Pennsylvania 177 5,666,168 2.83
Kansas 161 4,965,461 2.48
Kentucky 159 4,963,378 2.48
Washington 118 4,427,922 2.21
Colorado 119 4,189,827 2.09
Iowa 119 4,063,159 2.03
Nevada 96 3,788,165 1.89
South Carolina 106 3,454,758 1.73
Wisconsin 103 3,426,819 1.71
Oklahoma 113 3,032,018 1.52
Mississippi 72 2,568,289 1.28
Nebraska 70 2,408,181 1.20
Ohio 74 2,241,292 1.12
Louisiana 74 2,160,570 1.08
Utah 51 1,901,991 0.95
Oregon 51 1,800,570 0.90
Tennessee 72 1,762,256 0.88
Arkansas 53 1,727,424 0.86
Texas 189 1,687,107 0.84
Connecticut 40 1,484,302 0.74
New Mexico 43 1,417,503 0.71
Idaho 37 1,333,589 0.67
Hawaii 20 929,609 0.46
New Jersey 20 921,574 0.46
Alaska 21 849,567 0.42
Wyoming 22 768,471 0.38
Maine 25 755,150 0.38
New Hampshire 18 698,844 0.35
New York 19 692,727 0.35
Massachusetts 16 564,873 0.28
District of Columbia 10 390,729 0.20
Delaware 9 307,684 0.15
West Virginia 9 301,311 0.15
Montana 6 232,110 0.12
Rhode Island 5 178,292 0.09
North Dakota 1 24,583 0.01
Alabama 1 21,958 0.01
South Dakota 1 19,909 0.01
------ ----------- ------
5,947 $200,074,712 100.00%
<TABLE>
<CAPTION>
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
<S> <C> <C> <C> <C>
Current Balance $10,000 or less 339 2,108,734 1.05
$10,000.01 - $20,000 773 12,816,621 6.41
$20,000.01 - $30,000 1,707 44,321,174 22.15
$30,000.01 - $40,000 1,572 55,056,811 27.52
$40,000.01 - $50,000 747 34,491,139 17.24
$50,000.01 - $60,000 408 22,789,599 11.39
$60,000.01 - $70,000 240 15,724,049 7.86
$70,000.01 - $80,000 123 9,163,661 4.58
$80,000.01 or greater 38 3,602,923 1.80
------ ----------- ------
5,947 $200,074,712 100.00%
</TABLE>
<TABLE>
<CAPTION>
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
<S> <C> <C> <C> <C>
Current Rate 10.001% - 10.500% 1 32,977 0.02
10.501% - 11.000% 45 1,809,967 0.90
11.001% - 11.500% 258 10,056,298 5.03
11.501% - 12.000% 642 25,690,213 12.84
12.001% - 12.500% 457 15,142,461 7.57
12.501% - 13.000% 939 32,007,184 16.00
13.001% - 13.500% 352 12,985,914 6.49
13.501% - 14.000% 1,133 37,696,175 18.84
14.001% - 14.500% 262 9,444,192 4.72
14.501% - 15.000% 612 19,708,403 9.85
15.001% - 15.500% 216 6,895,365 3.45
15.501% - 16.000% 497 14,256,892 7.13
16.001% - 16.500% 219 5,982,093 2.99
16.501% - 17.000% 225 6,012,811 3.01
17.001% - 17.500% 23 709,984 0.35
17.501% - 18.000% 46 1,133,575 0.57
18.001% - 18.500% 18 472,588 0.24
18.501% - 19.000% 1 22,632 0.01
19.501% - 20.000% 1 14,990 0.01
------ ----------- ------
5,947 $200,074,712 100.00%
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
<S> <C> <C> <C> <C>
Original Term 0 - 30 9 30,699 0.02
31 - 60 129 749,986 0.37
61 - 90 73 621,623 0.31
91 - 120 483 9,933,580 4.96
121 - 150 96 2,471,975 1.24
151 - 180 1,339 43,011,678 21.50
181 - 210 2 60,394 0.03
211 - 240 1,532 53,194,938 26.59
241 - 270 1 39,815 0.02
271 - 300 2,283 89,960,025 44.96
------ ----------- ------
5,947 $200,074,712 100.00%
</TABLE>
<TABLE>
<CAPTION>
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
<S> <C> <C> <C> <C>
Remaining Term 0 - 30 9 30,699 0.02
31 - 60 129 749,986 0.37
61 - 90 73 621,623 0.31
91 - 120 483 9,933,580 4.96
121 - 150 96 2,471,975 1.24
151 - 180 1,339 43,011,678 21.50
181 - 210 2 60,394 0.03
211 - 240 1,532 53,194,938 26.59
241 - 270 1 39,815 0.02
271 - 300 2,283 89,960,025 44.96
------ ----------- ------
5,947 $200,074,712 100.00%
</TABLE>
<TABLE>
<CAPTION>
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
<S> <C> <C> <C> <C>
Seasoning Less than one 1,199 37,590,303 18.79
1 - 3 3,555 120,586,507 60.27
4 - 6 1,057 37,224,087 18.61
7 - 9 107 3,604,390 1.80
10 or greater 29 1,069,426 0.53
------ ----------- ------
5,947 $200,074,712 100.00%
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
<S> <C> <C> <C> <C>
Lien Type First Lien 10 340,544 0.17
Second Lien 5,548 196,785,625 98.36
Third Lien 1 26,157 0.01
Unsecured 388 2,922,385 1.46
------ ----------- ------
5,947 $200,074,712 100.00%
</TABLE>
<TABLE>
<CAPTION>
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
<S> <C> <C> <C> <C>
Credit Risk - By 20 620 to 639 552 14,790,361 7.39
640 to 659 1,259 37,357,402 18.67
660 to 679 1,063 37,955,033 18.97
680 to 699 1,423 52,377,096 26.18
700 to 719 1,011 38,210,794 19.10
720 to 739 324 11,116,678 5.56
740 to 759 151 4,246,116 2.12
760 to 779 113 3,034,347 1.52
780 to 799 35 636,010 0.32
800 to 819 15 318,953 0.16
840 to 859 1 31,920 0.02
------ ----------- ------
5,947 $200,074,712 100.00%
</TABLE>
<TABLE>
<CAPTION>
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
<S> <C> <C> <C> <C>
Debt-to-Income Ratio 20.00 or less 254 6,256,338 3.13
20.01 to 25.00 587 17,545,668 8.77
25.01 to 30.00 998 31,234,453 15.61
30.01 to 35.00 1,389 45,613,110 22.80
35.01 to 40.00 1,800 62,215,794 31.10
40.01 to 45.00 829 33,133,178 16.56
45.01 to 50.00 83 3,826,097 1.91
Greater than 50.00 7 250,074 0.13
------ ----------- ------
5,947 $200,074,712 100.00%
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
<S> <C> <C> <C> <C>
Combined LTV Unsecured 388 2,922,385 1.46
95.01% to 100.00% 2 92,500 0.05
100.01% to 105.00% 469 14,203,966 7.10
105.01% to 110.00% 726 22,236,281 11.11
110.01% to 115.00% 941 31,068,948 15.53
115.01% to 120.00% 1,188 42,512,360 21.25
120.01% to 125.00% 2,220 86,493,263 43.23
125.01% or greater 13 545,009 0.27
------ ----------- ------
5,947 $200,074,712 100.00%
</TABLE>
<PAGE>
THE FOLLOWING TABLES RUN TO CALL:
<TABLE>
<CAPTION>
% of Prepayment Assumption
<S> <C> <C> <C> <C> <C> <C>
CLASS A-1 0% 50% 75% 100% 125% 150%
AVG LIFE 3.40 1.09 0.90 0.80 0.73 0.68
FIRST PAY 07/98 07/98 07/98 07/98 07/98 07/98
LAST PAY 11/05 07/00 01/00 10/99 09/99 07/99
WINDOW (YEARS) 7.42 2.08 1.58 1.33 1.25 1.08
</TABLE>
<TABLE>
<CAPTION>
% of Prepayment Assumption
<S> <C> <C> <C> <C> <C> <C>
CLASS A-2 0% 50% 75% 100% 125% 150%
AVG LIFE 10.02 3.27 2.45 2.00 1.72 1.52
YIELD @ 100.000 6.19% 6.11% 6.06% 6.03% 5.99% 5.96%
DURATION 7.28 2.88 2.22 1.84 1.59 1.42
FIRST PAY 11/05 07/00 01/00 10/99 09/99 07/99
LAST PAY 07/10 12/02 10/01 02/01 09/00 05/00
WINDOW (YEARS) 4.75 2.50 1.83 1.42 1.08 0.92
</TABLE>
<TABLE>
<CAPTION>
% of Prepayment Assumption
<S> <C> <C> <C> <C> <C> <C>
CLASS A-3 0% 50% 75% 100% 125% 150%
AVG LIFE 12.78 5.13 3.76 3.00 2.51 2.18
YIELD @ 100.000 6.23% 6.18% 6.15% 6.13% 6.10% 6.07%
DURATION 8.63 4.29 3.27 2.67 2.27 1.99
FIRST PAY 07/10 12/02 10/01 02/01 09/00 05/00
LAST PAY 11/11 04/04 08/02 10/01 03/01 11/00
WINDOW (YEARS) 1.42 1.42 0.92 0.75 0.58 0.58
</TABLE>
<TABLE>
<CAPTION>
% of Prepayment Assumption
<S> <C> <C> <C> <C> <C> <C>
CLASS A-4 0% 50% 75% 100% 125% 150%
AVG LIFE 16.19 7.78 5.25 4.00 3.32 2.84
YIELD @ 100.000 6.39% 6.36% 6.34% 6.31% 6.29% 6.27%
DURATION 9.85 5.95 4.34 3.44 2.92 2.53
FIRST PAY 11/11 04/04 08/02 10/01 03/01 11/00
LAST PAY 02/18 09/09 03/06 10/03 10/02 02/02
WINDOW (YEARS) 6.33 5.50 3.67 2.08 1.67 1.33
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
% of Prepayment Assumption
<S> <C> <C> <C> <C> <C> <C>
CLASS A-5 0% 50% 75% 100% 125% 150%
AVG LIFE 22.13 14.91 11.35 8.78 6.80 5.36
YIELD @ 100.000 6.85% 6.84% 6.83% 6.82% 6.80% 6.78%
DURATION 11.18 9.10 7.66 6.37 5.23 4.33
FIRST PAY 02/18 09/09 03/06 10/03 10/02 02/02
LAST PAY 08/21 07/15 02/12 12/09 02/08 09/06
WINDOW (YEARS) 3.58 5.92 6.00 6.25 5.42 4.67
</TABLE>
<TABLE>
<CAPTION>
% of Prepayment Assumption
<S> <C> <C> <C> <C> <C> <C>
CLASS A-6 0% 50% 75% 100% 125% 150%
AVG LIFE 13.22 9.66 9.32 8.58 7.76 7.10
YIELD @ 100.000 6.56% 6.54% 6.54% 6.54% 6.54% 6.53%
DURATION 8.34 6.74 6.67 6.32 5.90 5.52
FIRST PAY 07/03 07/03 07/03 07/03 07/03 07/03
LAST PAY 08/21 07/15 02/12 12/09 02/08 09/06
WINDOW (YEARS) 18.17 12.08 8.67 6.50 4.67 3.25
</TABLE>
<TABLE>
<CAPTION>
% of Prepayment Assumption
<S> <C> <C> <C> <C> <C> <C>
CLASS M-1 0% 50% 75% 100% 125% 150%
AVG LIFE 19.75 12.35 9.72 7.94 6.61 5.63
YIELD @ 100.000 6.87% 6.86% 6.85% 6.84% 6.83% 6.82%
DURATION 10.54 7.99 6.80 5.86 5.09 4.48
FIRST PAY 01/13 07/05 09/03 08/02 11/01 07/01
LAST PAY 08/21 07/15 02/12 12/09 02/08 09/06
WINDOW (YEARS) 8.67 10.08 8.50 7.42 6.33 5.25
</TABLE>
<TABLE>
<CAPTION>
% of Prepayment Assumption
<S> <C> <C> <C> <C> <C> <C>
CLASS M-2 0% 50% 75% 100% 125% 150%
AVG LIFE 19.75 12.35 9.72 7.94 6.61 5.63
YIELD @ 100.000 7.33% 7.32% 7.31% 7.30% 7.28% 7.27%
DURATION 10.17 7.78 6.65 5.75 5.01 4.42
FIRST PAY 01/13 07/05 09/03 08/02 11/01 07/01
LAST PAY 08/21 07/15 02/12 12/09 02/08 09/06
WINDOW (YEARS) 8.67 10.08 8.50 7.42 6.33 5.25
</TABLE>
<PAGE>
THE FOLLOWING TABLES RUN TO MATURITY:
<TABLE>
<CAPTION>
% of Prepayment Assumption
<S> <C> <C> <C> <C> <C> <C>
CLASS A-5 0% 50% 75% 100% 125% 150%
AVG LIFE 22.49 16.02 12.48 9.63 7.43 5.75
YIELD @ 100.000 6.85% 6.85% 6.85% 6.84% 6.83% 6.81%
DURATION 11.26 9.41 8.03 6.70 5.51 4.52
FIRST PAY 02/18 09/09 03/06 10/03 10/02 02/02
LAST PAY 05/23 10/22 10/21 09/19 05/17 02/15
WINDOW (YEARS) 5.33 13.17 15.67 16.00 14.67 13.08
</TABLE>
<TABLE>
<CAPTION>
% of Prepayment Assumption
<S> <C> <C> <C> <C> <C> <C>
CLASS A-6 0% 50% 75% 100% 125% 150%
AVG LIFE 13.27 10.01 10.01 9.37 8.67 8.12
YIELD @ 100.000 6.56% 6.55% 6.56% 6.57% 6.57% 6.58%
DURATION 8.35 6.84 6.91 6.64 6.31 6.03
FIRST PAY 07/03 07/03 07/03 07/03 07/03 07/03
LAST PAY 05/23 10/22 10/21 09/19 05/17 02/15
WINDOW (YEARS) 19.92 19.33 18.33 16.25 13.92 11.67
</TABLE>
<TABLE>
<CAPTION>
% of Prepayment Assumption
<S> <C> <C> <C> <C> <C> <C>
CLASS M-1 0% 50% 75% 100% 125% 150%
AVG LIFE 19.93 12.97 10.46 8.59 7.21 6.16
YIELD @ 100.000 6.88% 6.87% 6.87% 6.86% 6.86% 6.85%
DURATION 10.57 8.16 7.04 6.11 5.36 4.75
FIRST PAY 01/13 07/05 09/03 08/02 11/01 07/01
LAST PAY 04/23 06/22 01/21 06/18 04/16 12/13
WINDOW (YEARS) 10.33 17.00 17.42 15.92 14.50 12.50
</TABLE>
<TABLE>
<CAPTION>
% of Prepayment Assumption
<S> <C> <C> <C> <C> <C> <C>
CLASS M-2 0% 50% 75% 100% 125% 150%
AVG LIFE 19.92 12.96 10.44 8.57 7.18 6.13
YIELD @ 100.000 7.34% 7.33% 7.33% 7.32% 7.31% 7.30%
DURATION 10.20 7.94 6.87 5.98 5.25 4.66
FIRST PAY 01/13 07/05 09/03 08/02 11/01 07/01
LAST PAY 03/23 01/22 02/20 07/17 03/15 12/12
WINDOW (YEARS) 10.25 16.58 16.50 15.00 13.42 11.50
</TABLE>
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