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: April 21, 1999
(Date of earliest event reported)
Commission File No. 333-61785
PAINEWEBBER MORTGAGE ACCEPTANCE CORPORATION IV (as depositor under the Sale and
Servicing Agreement, dated as of April 1, 1999, relating to the Empire Funding
Home Loan Owner Trust 1999-1, Home Loan Asset Backed Notes, Series 1999-1)
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 certain Structural Term Sheets, Collateral
Term Sheets and 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") 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") issued by the
staff of the Commission on March 9, 1995 to the PSA) 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) Structural Term Sheets, Collateral
Term Sheets and Computational
Materials prepared by PaineWebber
Incorporated in connection with
Empire Funding Home Loan Owner
Trust 1999-1, Home Loan Asset
Backed Notes, Series 1999-1
<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
April 22, 1999
By: /s/ Barbara J. Dawson
----------------------------------------
Name: Barbara J. Dawson
Title: Senior Vice President
<PAGE>
INDEX TO EXHIBITS
Paper (P) or
Exhibit No. Description Electronic (E)
- ----------- ----------- --------------
(99) Structural Term Sheets, Collateral E
Term Sheets and Computational Materials
prepared by PaineWebber Incorporated
in connection with Empire Funding
Home Loan Owner Trust 1999-1, Home
Loan Asset Backed Notes, Series 1999-1
Amended
PAINEWEBBER INCORPORATED
PRELIMINARY BACKGROUND INFORMATION
EMPIRE FUNDING HOME LOAN OWNER TRUST 1999-1
DISCLAIMER
- --------------------------------------------------------------------------------
The information included herein is produced and provided exclusively by
PaineWebber Incorporated ('PW') as underwriter for the Empire Funding Home Loan
Owner Trust 1999-1, 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>
- --------------------------------------------------------------------------------
EMPIRE FUNDING HOME LOAN OWNER TRUST 1999-1 Amended
- --------------------------------------------------------------------------------
DESCRIPTION OF INITIAL LOANS AS OF THE STATISTICAL CALCULATION DATE:
Approximate characteristics of the pool of Initial Loans identified as of March
31, 1999. Loans equal to approximately $250 Million will be delivered on the
Closing Date.
Total Number of Initial Loans: 6,249
Current Principal Balance: 224,324,303
Average Loan Balance: 35,898
WA Loan Rate: 13.53%
WA Original Term (months): 240
WA Remaining Term (months): 233
WA Seasoning (months): 7
WA FICO Score: 685
WA Debt-to-Income 37.32
WA Original Combined LTV 118.53%
As of the Statistical Calculation Date, none of the Initial Loans were 60 or
more days late. Approximately 1.22% of the Initial Loans were 30 to 59 days late
as of the Statistical Calculation Date
Note: Additional information regarding the Initial Loans as of the Statistical
Calculation Date can be found starting on page 8.
- --------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
- --------------------------------------------------------------------------------
PaineWebber
<PAGE>
PRICING INFORMATION (TO 10% CALL) (a)
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
First Final
Principal Principal Principal Expected
Approximate WAL Payment Payment Window Stated Ratings
Class Size (b) Coupon (c) (Years) (Yrs) (Yrs) (Yrs) Maturity (S&P/Duff)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 59,749,000 Float (d) 0.78 0.08 1.50 1.50 03/25/09 AAA/AAA
A-2 35,032,000 Fixed 2.00 1.50 2.50 1.08 09/25/11 AAA/AAA
A-3 29,161,000 Fixed 3.00 2.50 3.50 1.08 04/25/13 AAA/AAA
A-4 30,168,000 Fixed 5.00 3.50 7.83 4.42 11/25/19 AAA/AAA
A-5 15,890,000 Fixed 10.09 7.83 11.08 3.33 05/25/30 AAA/AAA
M-1 28,125,000 Fixed 7.58 3.92 11.08 7.25 05/25/30 AA/AA
M-2 16,250,000 Fixed 7.58 3.92 11.08 7.25 05/25/30 A/A
B-1 19,375,000 Fixed 7.58 3.92 11.08 7.25 05/25/30 BBB-/BBB-
B-2 16,250,000 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%.
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 May
1999.
Settlement Date: On or about [April 28, 1999].
Cut-off Date: The close of business on March 31, 1999. Because the bonds
will be settling flat, only approximately 30% of the
collateral interest payments collected during April 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 With the exception of the Class A-1 Notes, interest will
Period: 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").
- --------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
- --------------------------------------------------------------------------------
PaineWebber
<PAGE>
DESCRIPTION OF SECURITIES
Title of
Securities: Empire Funding Home Loan Owner Trust 1999-1
Underlying
Collateral: The Notes will be secured, in part, by debt consolidation,
home improvement, and other primarily second lien home
equity mortgage loans, with combined loan to value ratios
generally in excess of 100%. Approximately 0.35% of the
Notes will be secured by first lien manufactured housing
loans.
Statistical
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 March 31, 1999 (the "Statistical
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 $[250] Million.
Transferor/
Sub-Servicer: Empire Funding Corp.
Servicer: ContiMortgage Corporation.
Additional
Transferors: ContiMortgage Corporation
California Lending Group, Inc., d/b/a United Lending Group.
Master/"Hot"
Back-Up Servicer: Norwest Bank Minnesota, National Association.
Lead Underwriter: PaineWebber Incorporated.
Co-Underwriter: Bear Stearns.
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-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 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 issueable in minimum denominations of an
original amount of $25,000 and multiples of $1,000
thereafter.
- --------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
- --------------------------------------------------------------------------------
PaineWebber
<PAGE>
DESCRIPTION OF SECURITIES (Continued)
Recent Developments On April 16, 1999, Empire Funding and ContiFinancial
Corporation and its affiliates (collectively, "Conti")
agreed that Empire Funding would exchange or swap certain
assets in full satisfaction of all of the outstanding
indebtedness owed to Conti and the reconveyance by Conti of
its entire ownership interest in Empire Funding's parent,
Empire Funding Holding Corporation ("EFHC"), which includes
49% of the common stock of EFHC owned by Conti. Upon
completion of this transaction, Empire Funding's Chairman
and CEO, Jim Isaacs, will own 100% of EFHC.
The assets being exchanged by Empire Funding primarily
consist of the assets that as of the agreement date had been
pledged to secure the outstanding indebtedness owed to
Conti, including, but not limited to certain loans, certain
interests in residual interests from prior securitization
transactions, and certain current servicing rights from its
servicing portfolio. In connection with the exchange of loan
servicing rights, Empire, as the subservicer, will continue
to service the underlying HLTV loans and receive a portion
of the servicing fee under a subservicing arrangement with
Conti.
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 master servicing
fee, the servicing fee, the sub-servicing fee, the trustee
fee, and the interest rate on the Notes, thus generating
excess interest collections which will be available to fund
payments on the Notes on each Payment Date.
- --------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
- --------------------------------------------------------------------------------
PaineWebber
<PAGE>
DESCRIPTION OF SECURITIES (Continued)
Over-
collateralization: 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 the Original Pool Principal
Balance and (b) the Net Delinquency Calculation Amount. On
and after the Stepdown Date, the Overcollateralization
Target Amount equals the greater of (a) [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 Original Pool Principal Balance
(the `Overcollateralization Floor') or greater than the
outstanding Class Principal Balances of the Notes.
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.
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 the 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.
- --------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
- --------------------------------------------------------------------------------
PaineWebber
<PAGE>
DESCRIPTION OF SECURITIES (Continued)
Subordination
(Continued): 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 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, 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 [April 25, 2002] 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 [64.00]% 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 Original Pool Principal Balance.
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 Original
Pool Principal Balance, by purchasing all of the Loans at a
price equal to or greater than the Termination Price.
- --------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
- --------------------------------------------------------------------------------
PaineWebber
<PAGE>
DESCRIPTION OF SECURITIES (Continued)
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 32.00% 3.50% 64.00% 7.00%
Class M-1 Notes 20.75% 3.50% 41.50% 7.00%
Class M-2 Notes 14.25% 3.50% 28.50% 7.00%
Class B-1 Notes 6.50% 3.50% 13.00% 7.00%
- ------------------------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) The initial amount of subordination for each class as of the Closing Date
as a percentage of original collateral balance.
(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.
- --------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
- --------------------------------------------------------------------------------
PaineWebber
<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) principal to the Class A Notes as follows:
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 above;
(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.
- --------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
- --------------------------------------------------------------------------------
PaineWebber
<PAGE>
DESCRIPTION OF SECURITIES (Continued)
Application of Allocable
Loss Amounts: In the event that on any Payment Date (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, 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. 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 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 Original Pool
Principal Balance, 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 master servicing fee, a servicing fee,
and a sub-servicing fee equal to [1.00]% in the
aggregate as well as a trustee's fees equal to
[0.0080]% per annum.
Advancing by Servicer: There is no required advancing of delinquent
principal or interest by the Master Servicer, the
Servicer, the Sub-servicer, or Indenture Trustee.
- --------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
- --------------------------------------------------------------------------------
PaineWebber
<PAGE>
DESCRIPTION OF SECURITIES (Continued)
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.
- --------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
- --------------------------------------------------------------------------------
PaineWebber
<PAGE>
DESCRIPTION OF INITIAL LOANS AS OF STATISTICAL CALCULATION DATE
<TABLE>
<CAPTION>
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
<S> <C> <C> <C> <C>
Transferor Empire Funding Corp. 5,479 196,598,187 87.64
ContiMortgage Corp. 425 15,398,996 6.86
United Lending Group 345 12,327,120 5.50
------ ----------- ------
6,249 $224,324,303 100%
<CAPTION>
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
<S> <C> <C> <C> <C>
Current Balance $10,000 or less 39 333,809 0.15
$10,000.01 - $20,000 719 12,124,727 5.40
$20,000.01 - $30,000 1,828 46,437,705 20.70
$30,000.01 - $40,000 1,820 63,285,352 28.21
$40,000.01 - $50,000 895 40,436,315 18.03
$50,000.01 - $60,000 363 20,035,753 8.93
$60,000.01 - $70,000 305 19,805,902 8.83
$70,000.01 - $80,000 210 15,587,100 6.95
$80,000.01 or greater 70 6,277,639 2.80
------ ----------- ------
6,249 $224,324,303 100%
<CAPTION>
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
<S> <C> <C> <C> <C>
Current Rate 7.000% and less 1 34,307 0.02
9.501% - 10.000% 3 92,131 0.04
10.001% - 10.500% 5 183,902 0.08
10.501% - 11.000% 127 5,577,664 2.49
11.001% - 11.500% 369 15,868,331 7.07
11.501% - 12.000% 625 26,181,651 11.67
12.001% - 12.500% 311 12,768,629 5.69
12.501% - 13.000% 1,236 46,669,682 20.80
13.001% - 13.500% 616 23,666,326 10.55
13.501% - 14.000% 534 19,437,283 8.66
14.001% - 14.500% 359 11,423,238 5.09
14.501% - 15.000% 837 27,879,770 12.43
15.001% - 15.500% 217 6,472,927 2.89
15.501% - 16.000% 453 13,249,667 5.91
16.001% - 16.500% 333 9,032,038 4.03
16.501% - 17.000% 124 3,348,383 1.49
17.001% - 17.500% 54 1,228,754 0.55
17.501% - 18.000% 32 888,890 0.40
18.001% - 18.500% 6 128,098 0.06
18.501% - 19.000% 7 192,631 0.09
------ ----------- ------
6,249 $224,324,303 100%
</TABLE>
- --------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
- --------------------------------------------------------------------------------
PaineWebber
<PAGE>
DESCRIPTION OF INITIAL LOANS AS OF STATISTICAL CALCULATION DATE
<TABLE>
<CAPTION>
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
<S> <C> <C> <C> <C>
Lien Type First Lien 58 2,158,279 0.96
Second Lien 6,190 222,161,548 99.04
Third Lien 1 4,476 0.00
------ ----------- ------
6,249 $224,324,303 100%
<CAPTION>
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
<S> <C> <C> <C> <C>
Original Combined LTV Up to 100.00% 3 42,766 0.02
100.01% to 105.00% 338 10,106,207 4.51
105.01% to 110.00% 692 22,075,022 9.84
110.01% to 115.00% 1,040 34,982,407 15.59
115.01% to 120.00% 1,242 44,706,853 19.93
120.01% to 125.00% 2,898 111,118,010 49.53
125.01% or greater 36 1,293,037 0.58
------ ----------- ------
6,249 $224,324,303 100%
<CAPTION>
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
<S> <C> <C> <C> <C>
Credit Risk - By 20 619 or less 132 3,919,783 1.75
620 to 639 620 17,223,751 7.68
640 to 659 1,147 34,487,089 15.37
660 to 679 1,066 37,923,247 16.91
680 to 699 1,338 54,870,689 24.46
700 to 719 966 38,196,225 17.03
Greater than 719 980 37,703,520 16.81
------ ----------- ------
6,249 $224,324,303 100%
<CAPTION>
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
<S> <C> <C> <C> <C>
Debt-to-Income Ratio 20.00 or less 93 2,813,154 1.25
20.01 to 25.00 267 8,272,883 3.69
25.01 to 30.00 582 19,155,270 8.54
30.01 to 35.00 1,359 47,109,095 21.00
35.01 to 40.00 2,076 73,621,282 32.82
40.01 to 45.00 1,618 64,583,158 28.79
45.01 to 50.00 234 7,965,349 3.55
Greater than 50.00 20 804,113 0.36
------ ----------- ------
6,249 $224,324,303 100%
</TABLE>
- --------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
- --------------------------------------------------------------------------------
PaineWebber
<PAGE>
DESCRIPTION OF INITIAL LOANS AS OF STATISTICAL CALCULATION DATE
<TABLE>
<CAPTION>
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
<S> <C> <C> <C> <C>
State California 570 22,219,789 9.91
Illinois 436 17,161,187 7.65
Maryland 370 15,014,544 6.69
Florida 434 14,674,807 6.54
Pennsylvania 410 14,615,091 6.52
Indiana 351 11,690,298 5.21
North Carolina 280 9,951,663 4.44
Ohio 296 9,002,415 4.01
Georgia 241 8,612,982 3.84
Missouri 252 8,195,928 3.65
Colorado 196 7,707,879 3.44
Arizona 226 7,206,291 3.21
Michigan 187 6,478,378 2.89
South Carolina 147 5,209,499 2.32
Washington 127 5,099,437 2.27
Wisconsin 139 5,018,844 2.24
Virginia 144 4,812,674 2.15
Kentucky 134 4,596,587 2.05
Kansas 127 4,132,708 1.84
Oklahoma 118 4,000,426 1.78
Utah 113 3,990,279 1.78
Nevada 104 3,824,942 1.71
New Jersey 88 3,277,485 1.46
Minnesota 72 2,671,322 1.19
Iowa 68 2,452,140 1.09
Nebraska 66 2,434,101 1.09
Louisiana 72 2,349,740 1.05
New Mexico 56 2,245,043 1.00
Tennessee 63 1,893,373 0.84
Oregon 47 1,886,764 0.84
New York 46 1,877,331 0.84
Idaho 44 1,602,837 0.71
Connecticut 36 1,463,131 0.65
Massachusetts 23 1,086,112 0.48
Texas 28 801,653 0.36
Hawaii 14 652,170 0.29
Delaware 21 625,584 0.28
New Hampshire 14 625,067 0.28
Mississippi 19 597,967 0.27
Rhode Island 14 587,420 0.26
West Virginia 13 404,119 0.18
Montana 7 299,097 0.13
Maine 7 255,553 0.11
Alaska 5 246,723 0.11
South Dakota 5 223,888 0.10
Arkansas 8 209,262 0.09
Wyoming 4 146,088 0.07
North Dakota 5 135,487 0.06
District of Columbia 2 58,201 0.03
------ ----------- ------
6,249 $224,324,303 100%
</TABLE>
- --------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
- --------------------------------------------------------------------------------
PaineWebber
<PAGE>
DESCRIPTION OF INITIAL LOANS AS OF STATISTICAL CALCULATION DATE
<TABLE>
<CAPTION>
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
<S> <C> <C> <C> <C>
Original Term (mos) 31 - 60 12 213,165 0.10
61 - 90 13 298,099 0.13
91 - 120 444 12,392,281 5.52
121 - 150 28 708,093 0.32
151 - 180 2,197 71,423,439 31.84
181 - 210 9 246,147 0.11
211 - 240 1,119 41,579,485 18.54
241 - 270 1 30,745 0.01
271 - 300 2,423 97,214,715 43.34
> 300 3 218,134 0.10
------ ----------- ------
6,249 $224,324,303 100%
<CAPTION>
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
<S> <C> <C> <C> <C>
Remaining Term (mos) 0 - 30 1 1,432 0.00
31 - 60 14 282,506 0.13
61 - 90 17 318,721 0.14
91 - 120 442 12,438,666 5.54
121 - 150 26 664,044 0.30
151 - 180 2,200 71,463,237 31.86
181 - 210 9 307,211 0.14
211 - 240 1,113 41,384,892 18.45
241 - 270 3 119,329 0.05
271 - 300 2,421 97,126,130 43.30
> 300 3 218,134 0.10
------ ----------- ------
6,249 $224,324,303 100%
<CAPTION>
Aggregate Field Description Count Balance$ Pool%
- --------------- ----------- ----- -------- -----
<S> <C> <C> <C> <C>
Seasoning (mos) Less than one 466 16,909,898 7.54
1 - 3 1,089 41,763,982 18.62
4 - 6 2,185 81,119,145 36.16
7 - 9 1,101 40,261,886 17.95
10 or greater 1,408 44,269,391 19.73
------ ----------- ------
6,249 $224,324,303 100%
</TABLE>
- --------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
- --------------------------------------------------------------------------------
PaineWebber
<PAGE>
THE FOLLOWING TABLE RUNS TO CALL:
<TABLE>
<CAPTION>
% of Prepayment Assumption
CLASS A-1 0% 50% 75% 100% 125% 150%
- --------------- ---------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE (YEARS) 4.15 1.22 0.94 0.78 0.68 0.60
FIRST PAY 05/99 05/99 05/99 05/99 05/99 05/99
LAST PAY 05/07 11/01 03/01 10/00 07/00 05/00
WINDOW (YEARS) 8.08 2.58 1.92 1.50 1.25 1.08
<CAPTION>
% of Prepayment Assumption
CLASS A-2 0% 50% 75% 100% 125% 150%
- --------------- ---------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE (YEARS) 9.57 3.44 2.52 2.00 1.67 1.44
YIELD @ 100.000 6.36% 6.28% 6.24% 6.19% 6.15% 6.11%
DURATION (YEARS) 7.00 3.01 2.27 1.83 1.55 1.34
FIRST PAY 05/07 11/01 03/01 10/00 07/00 05/00
LAST PAY 03/10 08/03 06/02 10/01 05/01 01/01
WINDOW (YEARS) 2.92 1.83 1.33 1.08 0.92 0.75
<CAPTION>
% of Prepayment Assumption
CLASS A-3 0% 50% 75% 100% 125% 150%
- --------------- ---------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE (YEARS) 11.76 5.20 3.81 3.00 2.47 2.11
YIELD @ 100.000 6.50% 6.46% 6.43% 6.40% 6.36% 6.33%
DURATION (YEARS) 8.04 4.30 3.30 2.66 2.23 1.92
FIRST PAY 03/10 08/03 06/02 10/01 05/01 01/01
LAST PAY 11/11 05/05 10/03 10/02 03/02 09/01
WINDOW (YEARS) 1.75 1.83 1.42 1.08 0.92 0.75
<CAPTION>
% of Prepayment Assumption
CLASS A-4 0% 50% 75% 100% 125% 150%
- --------------- ---------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE (YEARS) 15.21 8.29 6.31 5.00 4.11 3.30
YIELD @ 100.000 6.74% 6.71% 6.69% 6.68% 6.66% 6.63%
DURATION (YEARS) 9.26 6.15 4.97 4.11 3.48 2.87
FIRST PAY 11/11 05/05 10/03 10/02 03/02 09/01
LAST PAY 11/18 04/11 12/08 02/07 10/05 09/04
WINDOW (YEARS) 7.08 6.00 5.25 4.42 3.67 3.08
<CAPTION>
% of Prepayment Assumption
CLASS A-5 0% 50% 75% 100% 125% 150%
- --------------- ---------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE (YEARS) 21.85 14.81 12.03 10.09 8.46 7.17
YIELD @ 100.000 7.33% 7.32% 7.31% 7.30% 7.29% 7.28%
DURATION (YEARS) 10.69 8.82 7.80 6.95 6.14 5.43
FIRST PAY 11/18 04/11 12/08 02/07 10/05 09/04
LAST PAY 12/21 06/15 04/12 05/10 08/08 03/07
WINDOW (YEARS) 3.17 4.25 3.42 3.33 2.92 2.58
</TABLE>
- --------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
- --------------------------------------------------------------------------------
PaineWebber
<PAGE>
THE FOLLOWING TABLE RUNS TO CALL (Continued):
<TABLE>
<CAPTION>
% of Prepayment Assumption
CLASS M-1 0% 50% 75% 100% 125% 150%
- --------------- ---------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE (YEARS) 18.76 11.66 9.25 7.58 6.30 5.45
YIELD @ 100.000 8.10% 8.08% 8.07% 8.06% 8.04% 8.03%
DURATION (YEARS) 9.35 7.22 6.21 5.39 4.70 4.22
FIRST PAY 05/12 12/05 04/04 03/03 06/02 09/02
LAST PAY 12/21 06/15 04/12 05/10 08/08 03/07
WINDOW (YEARS) 9.67 9.58 8.08 7.25 6.25 4.58
<CAPTION>
% of Prepayment Assumption
CLASS M-2 0% 50% 75% 100% 125% 150%
- --------------- ---------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE (YEARS) 18.76 11.66 9.25 7.58 6.30 5.38
YIELD @ 100.000 9.10% 9.08% 9.07% 9.06% 9.04% 9.02%
DURATION (YEARS) 8.71 6.85 5.94 5.19 4.55 4.05
FIRST PAY 05/12 12/05 04/04 03/03 06/02 07/02
LAST PAY 12/21 06/15 04/12 05/10 08/08 03/07
WINDOW (YEARS) 9.67 9.58 8.08 7.25 6.25 4.75
<CAPTION>
% of Prepayment Assumption
CLASS B-1 0% 50% 75% 100% 125% 150%
- --------------- ---------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE (YEARS) 18.76 11.66 9.25 7.58 6.30 5.36
YIELD @ 83.000 11.36% 11.92% 12.34% 12.79% 13.29% 13.81%
DURATION (YEARS) 7.78 6.27 5.48 4.80 4.22 3.76
FIRST PAY 05/12 12/05 04/04 03/03 06/02 06/02
LAST PAY 12/21 06/15 04/12 05/10 08/08 03/07
WINDOW (YEARS) 9.67 9.58 8.08 7.25 6.25 4.83
</TABLE>
- --------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
- --------------------------------------------------------------------------------
PaineWebber
<PAGE>
THE FOLLOWING TABLE RUNS TO MATURITY:
<TABLE>
<CAPTION>
% of Prepayment Assumption
CLASS A-1 0% 50% 75% 100% 125% 150%
- --------------- ---------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE (YEARS) 4.15 1.22 0.94 0.78 0.68 0.60
FIRST PAY 05/99 05/99 05/99 05/99 05/99 05/99
LAST PAY 05/07 11/01 03/01 10/00 07/00 05/00
WINDOW (YEARS) 8.08 2.58 1.92 1.50 1.25 1.08
<CAPTION>
% of Prepayment Assumption
CLASS A-2 0% 50% 75% 100% 125% 150%
- --------------- ---------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE (YEARS) 9.57 3.44 2.52 2.00 1.67 1.44
YIELD @ 100.000 6.36% 6.28% 6.24% 6.19% 6.15% 6.11%
DURATION (YEARS) 7.00 3.01 2.27 1.83 1.55 1.34
FIRST PAY 05/07 11/01 03/01 10/00 07/00 05/00
LAST PAY 03/10 08/03 06/02 10/01 05/01 01/01
WINDOW (YEARS) 2.92 1.83 1.33 1.08 0.92 0.75
<CAPTION>
% of Prepayment Assumption
CLASS A-3 0% 50% 75% 100% 125% 150%
- --------------- ---------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE (YEARS) 11.76 5.20 3.81 3.00 2.47 2.11
YIELD @ 100.000 6.50% 6.46% 6.43% 6.40% 6.36% 6.33%
DURATION (YEARS) 8.04 4.30 3.30 2.66 2.23 1.92
FIRST PAY 03/10 08/03 06/02 10/01 05/01 01/01
LAST PAY 11/11 05/05 10/03 10/02 03/02 09/01
WINDOW (YEARS) 1.75 1.83 1.42 1.08 0.92 0.75
<CAPTION>
% of Prepayment Assumption
CLASS A-4 0% 50% 75% 100% 125% 150%
- --------------- ---------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE (YEARS) 15.21 8.29 6.31 5.00 4.11 3.30
YIELD @ 100.000 6.74% 6.71% 6.69% 6.68% 6.66% 6.63%
DURATION (YEARS) 9.26 6.15 4.97 4.11 3.48 2.87
FIRST PAY 11/11 05/05 10/03 10/02 03/02 09/01
LAST PAY 11/18 04/11 12/08 02/07 10/05 09/04
WINDOW (YEARS) 7.08 6.00 5.25 4.42 3.67 3.08
<CAPTION>
% of Prepayment Assumption
CLASS A-5 0% 50% 75% 100% 125% 150%
- --------------- ---------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE (YEARS) 22.31 16.38 13.73 11.54 9.79 8.39
YIELD @ 100.000 7.33% 7.34% 7.35% 7.34% 7.34% 7.34%
DURATION (YEARS) 10.77 9.23 8.34 7.48 6.70 6.01
FIRST PAY 11/18 04/11 12/08 02/07 10/05 09/04
LAST PAY 12/23 03/23 03/22 01/20 09/17 05/15
WINDOW (YEARS) 5.17 12.00 13.33 13.00 12.00 10.75
</TABLE>
- --------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
- --------------------------------------------------------------------------------
PaineWebber
<PAGE>
THE FOLLOWING TABLE RUNS TO MATURITY (Continued):
<TABLE>
<CAPTION>
% of Prepayment Assumption
CLASS M-1 0% 50% 75% 100% 125% 150%
- --------------- ---------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE (YEARS) 18.96 12.35 9.99 8.21 6.87 5.97
YIELD @ 100.000 8.10% 8.09% 8.09% 8.08% 8.07% 8.06%
DURATION (YEARS) 9.39 7.37 6.42 5.60 4.93 4.45
FIRST PAY 05/12 12/05 04/04 03/03 06/02 09/02
LAST PAY 11/23 12/22 08/21 02/19 10/16 06/14
WINDOW (YEARS) 11.58 17.08 17.42 16.00 14.42 11.83
<CAPTION>
% of Prepayment Assumption
CLASS M-2 0% 50% 75% 100% 125% 150%
- --------------- ---------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE (YEARS) 18.96 12.34 9.97 8.19 6.85 5.88
YIELD @ 100.000 9.10% 9.09% 9.09% 9.08% 9.07% 9.05%
DURATION (YEARS) 8.73 6.98 6.12 5.37 4.74 4.26
FIRST PAY 05/12 12/05 04/04 03/03 06/02 07/02
LAST PAY 10/23 07/22 09/20 02/18 08/15 05/13
WINDOW (YEARS) 11.50 16.67 16.50 15.00 13.25 10.92
<CAPTION>
% of Prepayment Assumption
CLASS B-1 0% 50% 75% 100% 125% 150%
- --------------- ---------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE (YEARS) 18.95 12.31 9.93 8.15 6.81 5.84
YIELD @ 83.000 11.36% 11.89% 12.28% 12.71% 13.18% 13.65%
DURATION (YEARS) 7.80 6.35 5.58 4.91 4.34 3.89
FIRST PAY 05/12 12/05 04/04 03/03 06/02 06/02
LAST PAY 09/23 02/22 10/19 03/17 08/14 07/12
WINDOW (YEARS) 11.42 16.25 15.58 14.08 12.25 10.17
</TABLE>
- --------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
- --------------------------------------------------------------------------------
PaineWebber
