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 20, 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
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(State of Incorporation) (I.R.S. Employer Identification No.)
1285 Avenue of the Americas
New York, New York 10019
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(Address of principal executive offices) (Zip Code)
(212) 713-2000
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(Registrant's Telephone Number, including area code)
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(Former name, former address and former fiscal year,
if changed since last report)
<PAGE>
ITEM 5. Other Events
Attached as an exhibit are 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 21, 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
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.
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<PAGE>
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EMPIRE FUNDING HOME LOAN OWNER TRUST 1999-1
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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.
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THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY.
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PaineWebber
<PAGE>
PRICING INFORMATION (TO 10% CALL) (a)
<TABLE>
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<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
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<FN>
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%.
</FN>
</TABLE>
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
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 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
and Grantor Trustee: U.S. Bank National Association, d/b/a 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.
<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.
<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) [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.
<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.
<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 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%
- --------------------------------------------------------------------------------
(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.
<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.
<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.
<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.
<PAGE>
DESCRIPTION OF INITIAL LOANS AS OF STATISTICAL CALCULATION DATE
Aggregate Field Description Count Balance$ Pool%
--------------- ----------- ----- -------- -----
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 $224,324,303 100%
Aggregate Field Description Count Balance$ Pool%
--------------- ----------- ----- -------- -----
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 $224,324,303 100%
Aggregate Field Description Count Balance$ Pool%
--------------- ----------- ----- -------- -----
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 $224,324,303 100%
<PAGE>
DESCRIPTION OF INITIAL LOANS AS OF STATISTICAL CALCULATION DATE
Aggregate Field Description Count Balance$ Pool%
--------------- ----------- ----- -------- -----
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 $224,324,303 100%
Aggregate Field Description Count Balance$ Pool%
--------------- ----------- ----- -------- -----
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 $224,324,303 100%
Aggregate Field Description Count Balance$ Pool%
--------------- ----------- ----- -------- -----
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 $224,324,303 100%
Aggregate Field Description Count Balance$ Pool%
--------------- ----------- ----- -------- -----
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 $224,324,303 100%
<PAGE>
DESCRIPTION OF INITIAL LOANS AS OF STATISTICAL CALCULATION DATE
Aggregate Field Description Count Balance$ Pool%
--------------- ----------- ----- -------- -----
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%
<PAGE>
DESCRIPTION OF INITIAL LOANS AS OF STATISTICAL CALCULATION DATE
Aggregate Field Description Count Balance$ Pool%
--------------- ----------- ----- -------- -----
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 $224,324,303 100%
Aggregate Field Description Count Balance$ Pool%
--------------- ----------- ----- -------- -----
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 $224,324,303 100%
Aggregate Field Description Count Balance$ Pool%
--------------- ----------- ----- -------- -----
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%
<PAGE>
THE FOLLOWING TABLE RUNS TO CALL:
% of Prepayment Assumption
--------------------------------------------------------
CLASS A-1 0% 50% 75% 100% 125% 150%
--------- -- --- --- ---- ---- ----
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
% of Prepayment Assumption
--------------------------------------------------------
CLASS A-2 0% 50% 75% 100% 125% 150%
--------- -- --- --- ---- ---- ----
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
% of Prepayment Assumption
--------------------------------------------------------
CLASS A-3 0% 50% 75% 100% 125% 150%
--------- -- --- --- ---- ---- ----
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
% of Prepayment Assumption
--------------------------------------------------------
CLASS A-4 0% 50% 75% 100% 125% 150%
--------- -- --- --- ---- ---- ----
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
% of Prepayment Assumption
--------------------------------------------------------
CLASS A-5 0% 50% 75% 100% 125% 150%
--------- -- --- --- ---- ---- ----
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
<PAGE>
THE FOLLOWING TABLE RUNS TO CALL (Continued):
% of Prepayment Assumption
--------------------------------------------------------
CLASS M-1 0% 50% 75% 100% 125% 150%
--------- -- --- --- ---- ---- ----
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
% of Prepayment Assumption
--------------------------------------------------------
CLASS M-2 0% 50% 75% 100% 125% 150%
--------- -- --- --- ---- ---- ----
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
% of Prepayment Assumption
--------------------------------------------------------
CLASS B-1 0% 50% 75% 100% 125% 150%
--------- -- --- --- ---- ---- ----
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
<PAGE>
THE FOLLOWING TABLE RUNS TO MATURITY:
% of Prepayment Assumption
--------------------------------------------------------
CLASS A-1 0% 50% 75% 100% 125% 150%
--------- -- --- --- ---- ---- ----
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
% of Prepayment Assumption
--------------------------------------------------------
CLASS A-2 0% 50% 75% 100% 125% 150%
--------- -- --- --- ---- ---- ----
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
% of Prepayment Assumption
--------------------------------------------------------
CLASS A-3 0% 50% 75% 100% 125% 150%
--------- -- --- --- ---- ---- ----
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
% of Prepayment Assumption
--------------------------------------------------------
CLASS A-4 0% 50% 75% 100% 125% 150%
--------- -- --- --- ---- ---- ----
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
% of Prepayment Assumption
--------------------------------------------------------
CLASS A-5 0% 50% 75% 100% 125% 150%
--------- -- --- --- ---- ---- ----
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
<PAGE>
THE FOLLOWING TABLE RUNS TO MATURITY (Continued):
% of Prepayment Assumption
--------------------------------------------------------
CLASS M-1 0% 50% 75% 100% 125% 150%
--------- -- --- --- ---- ---- ----
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
% of Prepayment Assumption
--------------------------------------------------------
CLASS M-2 0% 50% 75% 100% 125% 150%
--------- -- --- --- ---- ---- ----
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
% of Prepayment Assumption
--------------------------------------------------------
CLASS B-1 0% 50% 75% 100% 125% 150%
--------- -- --- --- ---- ---- ----
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
