<PAGE>
8-K
Current Report
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 (Date of earliest event reported): March 3, 1999
DEUTSCHE MORTGAGE & ASSET RECEIVING CORPORATION
(Exact name of registrant as specified in its charter)
DELAWARE 333-08328 04-3310019
(State or other Jurisdiction (Commission (I.R.S. Employer
Incorporation) File Number) Identification Number)
---------------------
31 West 52nd Street
New York, New York 10019
(principal executive offices)
(212) 469-5000
<PAGE>
Item 5. OTHER EVENTS
- ---------------------
Description of the Certificates
Deutsche Mortgage & Asset Receiving Corporation (the "Depositor") will
cause to be filed with the Securities and Exchange Commission (the "Commission")
pursuant to the Commission's Rule 424 a Prospectus Supplement and the Prospectus
filed as part of Registration Statement, File No. 333-08328, in connection with
the Depositor's issuance of a series of certificates, entitled Commercial
Mortgage Pass-Through Certificates, Series COMM 1999-1 (the "Certificates"), to
be issued pursuant to a pooling and servicing agreement among the Depositor,
AMRESCO Services, L.P. as master servicer, Banc One Mortgage Capital Markets LLP
as special servicer, LaSalle National Bank, as Trustee and ABN AMRO Bank, N.V.,
as fiscal agent.
Computational Materials
Deutsche Bank Securities as Underwriter of certain of the Certificates
(the "Underwriter") has provided certain prospective purchasers of the Class A1,
Class A2, Class B, Class C, Class D, Class E and Class F Certificates
(collectively, the "Offered Certificates") with certain yield tables and other
computational materials, collateral term sheets and structural term sheets (the
"Computational Materials") in written form, which Computational Materials are in
the nature of data tables and term sheet information relating to the assets of
the trust fund in which the Certificates represent beneficial ownership, the
structure of the Certificates and terms of certain classes of Certificates, and
the hypothetical characteristics and hypothetical performance of certain classes
and Certificates based on collateral information provided by German American
Capital Corporation and/or Banc One Mortgage Capital Markets, LLC and under
certain assumptions and scenarios.
Item 7. FINANCIAL STATEMENTS AND EXHIBITS
- ------------------------------------------
(a) Not applicable
(b) Not applicable
(c) Exhibits
EXHIBIT NO. 99 DESCRIPTION
- --------------------------
Computational Materials (as defined in Item 5) that have been provided
by the Underwriter to certain prospective purchasers of the Offered
Certificates.
1
<PAGE>
SIGNATURES
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 thereunto duly authorized.
Dated: March 3, 1999
DEUTSCHE MORTGAGE & ASSET RECEIVING CORPORATION
By: Delores A. Bitar
-------------------------
Name: Delores A. Bitar
Title: Vice President
2
<PAGE>
SIGNATURES
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 thereunto duly authorized.
Dated: March 3, 1999
DEUTSCHE MORTGAGE & ASSET RECEIVING CORPORATION
By: Delores A. Bitar
-------------------------------
Name: Delores A. Bitar
Title: Vice President
<PAGE>
Deutsche Bank Securities CHO Model
Price / Yield Report
Bond Id COMM 99-1 Al
Bond Name :Al (AAA/Aaa2 31.0%)
Original Balance :181,453,000.00 Current Balance : 181,453,000.00
Original Coupon :6.145000% Current Coupon : 6.145000%
Deal Description :COMM 99-1 (RED) TO CALL
Orig. Cutoff Date :3/1/99 Dated Date : 3/1/99
Settlement Date :3/16/99 First Payment Date : 4/15/99
Prepay Method :CPR
Scenario :Lockout YM only
<TABLE>
<CAPTION>
Market Levels :TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
:4.6800 4.6800 4.6800 4.8810 5.0330 5.0970 5.4280 5.4900 5.9648
</TABLE>
Report Generated :Tue Feb 23 14:31:38 1999
0.0
99.499000 6.289
99.624000 6.258
99.749000 6.227
99.874000 6.196
99.999000 6.166
100.124000 6.135
100.249000 6.104
100.374000 6.074
100.499000 6.043
100.624000 6.013
100.749000 5.982
100.874000 5.952
100.999000 5.921
101.124000 5.891
101.249000 5.861
101.374000 5.831
101.499000 5.801
Ave Life 5.002
Ave Cashflow 4.568
Mod Dur 4.065
Window 4/99-2/08
Sprd/Avl 101.0/av
Sprd/AvCf 103.2/av
Sprd/Tsy 101.0/5.0
Bond Loss 0.00
Coll Loss 0.00
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material") , is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1 A2
Bond Name : A2 (AAA/Aaa2 31.0%)
Original Balance : 723,242,000.00 Current Balance : 723,242,000.00
Original Coupon : 6.455000% Current Coupon : 6.455000%
Deal Description : COMM 99-1 (RED) TO CALL
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout YM only
<TABLE>
<CAPTION>
Market Levels TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6800 4.6800 4.6800 4.8810 5.0330 5.0970 5.4280 5.4900 5.9648
Report Generated : Tue Feb 23 14:31:38 1999
</TABLE>
0.0
100.493500 6.433
100.618500 6.415
100.743500 6.396
100.868500 6.378
100.993500 6.360
101.118500 6.342
101.243500 6.324
101.368500 6.305
101.493500 6.287
101.618500 6.269
101.743500 6.251
101.868500 6.233
101.993500 6.215
102.118500 6.197
102.243500 6.179
102.368500 6.162
102.493500 6.144
Ave Life 9.247
Ave Cashflow 7.534
Mod Dur 6.795
Window 2/08-9/08
Sprd/Avl 120.0/av
Sprd/AvCf 122.2/av
Sprd/Tsy 120.3/9.O
Bond Loss 0.00
Coll Loss 0.00
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material") , is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CHO Model
Price / Yield Report
<TABLE>
<S> <C> <C> <C>
Bond Id : COMM 99-1 A3
Bond Name : B (AA/Aa2 26.25%)
Original Balance : 62,280,000.00 Current Balance : 62,280,000.00
Original Coupon : 6.552000% Current Coupon : 6.552000%
Deal Description : COMM 99-1 (RED) TO CALL
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout YM Only
</TABLE>
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6800 4.6800 4.6800 4.8810 5.0330 5.0970 5.4280 5.4900 5.9648
Report Generated : Tue Feb 23 14:31:39 1999
</TABLE>
0.0
100.494OOO 6.534
100.619000 6.516
100.744000 6.498
100.869000 6.480
100.994000 6.462
101.119000 6.445
101.244000 6.427
101.369000 6.409
101.494000 6.391
101.619000 6.374
101.744000 6.356
101.869000 6.338
101.994000 6.321
102.119000 6.303
102.244000 6.285
102.369000 6.268
102.494000 6.250
Ave Life 9.554
Ave Cashflow 7.730
Mod Dur 6.928
Window 9/08-10/08
Sprd/Avl 130.0/av
Sprd/AvCf 132.3/av
Sprd/Tsy 130.1/9.5
Bond Loss 0.00
Coll Loss 0-0
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended for
use by the addressee only, and may not be provided to any third party other than
the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1 A4
Bond Name : C (AA/Aa3 24.50%)
Original Balance : 22,945,000.00 Current Balance : 22,945,000.00
Original Coupon : 6.612000% Current Coupon : 6.612000%
Deal Description : COMM 99-1 (RED) TO CALL
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout YM only
:
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6800 4.6800 4.6800 4.8810 5.0330 5.0970 5.4280 5.4900 5.9648
Report Generated : Tue Feb 23 14:31:39 1999
</TABLE>
0.0
100.499600 6.594
100.624600 6.577
100.749600 6.559
100.874600 6.541
100.999600 6.523
101.124600 6.505
101.249600 6.487
101.374600 6.469
101.499600 6.452
101.624600 6.434
101.749600 6.416
101.874600 6.399
101.999600 6.381
102.124600 6.363
102.249600 6.346
102.374600 6.328
102.499600 6.311
Ave Life 9.581
Ave Cashflow 7.738
Mod Dur 6.923
Window 10/08-10/08
Sprd/Avl 136.0/av
Sprd/AvCf 138.4/av
Sprd/Tsy 136.1/9.5
Bond Loss 0.00
Coll Loss 0.00
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended for
use by the addressee only, and may not be provided to any third party other than
the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1 A5
Bond Name : D (A/A2 19.75%)
Original Balance : 62,280,000.00 Current Balance : 62,280,000.00
Original Coupon : 6.701000% Current Coupon : 6.701000%
Deal Description : COMM 99-1 (RED) TO CALL
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout YM only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY1OY TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6800 4.6800 4.6600 4.8810 5.0330 5.0970 5.4280 5.4900 5.9648
Report Generated : Tue 23 14:31:39 1999
</TABLE>
0.0
100.499200 6.685
100.624200 6.667
100.749200 6.649
100.874200 6.631
100.999200 6.613
101.124200 6.595
101.249200 6.577
101.374200 6.559
101.499200 6.542
101.624200 6.524
101.749200 6.506
101.874200 6.488
101.999200 6.471
102.124200 6.453
102.249200 6.435
102.374200 6.418
102.499200 6.400
Ave Life 9.581
Ave Cashflow 7.723
Mod Dur 6.894
Window 10/08-10/08
Sprd/Avl 145.0/av
Sprd/AvCf 147.4/av
Sprd/Tsy 145.1/9.5
Bond Loss 0.00
Coll Loss 0.00
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended for
use by the addressee only, and may not be provided to any third party other than
the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1 A6
Bond Type : WAC
Bond Name : E (BBB/Baa2 13.5%)
Original Balance : 81,947,000.00 Current Balance : 81,947,000.00
Original Coupon : 7.238795% Current Coupon : 7.238795%
Deal Description : COMM 99-1 (RED) TO CALL
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout YM only
<TABLE>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6800 4.6800 4.6800 4.8810 5.0330 5.0970 5.4280 5.4900 5.9648
Report Generated : Tue Feb 23 14:31:39 1999
</TABLE>
0.0
97.576200 7.594
97.701200 7.575
97.826200 7.556
97.951200 7.537
98.076200 7.517
98.201200 7.498
98.326200 7.479
98.451200 7.461
98.576200 7.442
98.701200 7.423
98.826200
98.951200 7.385
99.076200 7.366
99.201200 7.348
99.326200 7.329
99.451200 7.310
99.576200 7.291
Ave Life 9.581
Ave Cashflow 7.647
Mod Dur 6.690
Window 10/08-10/08
Sprd/Avl 235.0/av
Sprd/AvCf 237.5/av
Sprd/TSY 235.1/9.5
Bond Loss 0.00
Coll Loss 0.00
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended for
use by the addressee only, and may not be provided to any third party other than
the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
DEUTSCHE BANK SECURITIES CMO MODEL
PRICE / YIELD Report
Bond Id : COMM 99-1 A7
Bond Type : WAC
Bond Name : F (BBB-/Baa3 12.00%)
Original Balance : 19,668,000.00 Current Balance : 19,668,000.00
Original Coupon : 7.238795% Current Coupon : 7.238795%
Deal Description : COMM 99-1 (RED) TO CALL
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4115/99
Prepay Method : CPR
Scenario : Lockout YM only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6800 4.6800 4.6800 4.8810 5.0330 5.0970 5.4280 5.4900 5.9648
Report Generated : Tue Feb 23 14:31:39 1999
</TABLE>
0.0
90.334300 8.760
90.459300 8.739
90.584300 8.717
90.709300 8.696
90.834300 8.675
90.959300 8.654
91.084300 8.633
91.209300 8.613
91.334300 8.592
91.459300 8.571
91.584300 8.550
91.709300 8.529
91.834300 8.508
91.959300 8.488
92.084300 8.467
92.209300 8.446
92.334300 8.426
Ave Life 9.581
Ave Cashflow 7.647
Mod Dur 6.538
Window 10/08-10/08
Sprd/Avl 350.0/av
Sprd/AvCf 352.5/av
Sprd/Tsy 350.1/9.5
Bond Loss 0.00
Coll Loss 0.00
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended for
use by the addressee only, and may not be provided to any third party other than
the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
DEUTSCHE BANK SECURITIES CMO Model
Price / Yield Report
Bond Id : COMM 99-IX X
Bond Type : WACIO
Bond Name : X (AAA/AAA I0)
Original Balance : 1,311,153,572.99 Current Balance : 1,311,153,572.99
Original Coupon : 0.844112 % Current Coupon : 0.844112 %
Deal Description : COMM 99-1 (RED) TO CALL
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout YM only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6800 4.6800 4.6800 4.8810 5.0330 5.0970 5.4280 5.4900 5.9648
Report Generated Tue Feb 23 14:35:02 1999
</TABLE>
0.0 100.0
3.973000 12.776 12.512
4.035500 12.334 12.066
4.098000 11.903 11.631
4.160500 11.482 11.207
4.223000 11.072 10.793
4.285500 10.670 10.389
4.348000 10.279 9.994
4.410500 9.896 9.607
4.473000 9.521 9.230
4.535500 9.155 8.860
4.598000 8.796 8.498
4.660500 8.445 8.144
4.723000 8.101 7.798
4.785500 7.765 7.458
4.848000 7.435 7.125
4.910500 7.112 6.799
4.973000 6.794 6.479
Ave Life 8.801 8.637
Ave Cashflow 4.609 4.528
Mod Dur 3.743 3.711
Window 4/99-2/11 4/99-2/11
Sprd/Avl 443.9/av 415.0/av
Sprd/AvCf 450.8/av 422.0/av
Sprd/Tsy 443.7/9.0 415.2/8.5
Bond Loss 0.00 0.00
Coll Loss 0.00 0.00
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended for
use by the addressee only, and may not be provided to any third party other than
the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1 X
Bond Type : WACIO
Bond Name : X (AAA/AAA I0)
Original Balance : 1,311,125,920,05 Current Balance : 1,311,125,920.05
Original Coupon : 0.933146 % Current Coupon : 0.933146 %
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay method : CPR
Scenario Lockout YM only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6280 4.6280 4.6280 4.7730 4.7960 4.9100 5.3460 5.4900 5.9648
</TABLE>
Report Generated Wed Feb 17 18:44:15 1999
<TABLE>
<CAPTION>
0.0 100.0 DEF2 DEF3 DEF4 DEF7 DEF8 S7D2
<S> <C> <C> <C> <C> <C> <C> <C> <C>
4.436156 12.532 12.252 11.339 10.788 10.241 8.579 8.067 11.060
4.498656 12.135 11.852 10.937 10.384 9.835 8.166 7.652 10.655
4.561156 11.747 11.460 10.544 9.989 9.438 7.762 7.246 10.258
4.623656 11.367 11.077 10.160 9.603 9.050 7.367 6.849 9.870
4.686156 10.995 10.702 9.784 9.225 8.670 6.980 6.461 9.491
4.748656 10.632 10.335 9.415 8.855 8.298 6.602 6.081 9.119
4.811156 10.275 9.976 9.054 8.492 7.933 6.231 5.708 8.755
4.873656 9.926 9.624 8.701 8.137 7.577 5.868 5.344 8.398
4.936156 9.585 9.279 8.355 7.789 7.227 5.513 4.987 8.049
4.998656 9.249 8.941 8.016 7.448 6.884 5.164 4.637 7.706
5.061156 8.921 8.609 7.683 7.114 6.548 4.822 4.293 7.370
5.123656 8.598 8.284 7.357 6.786 6.219 4.487 3.957 7.041
5.186156 8.282 7.965 7.037 6.465 5.896 4.159 3.627 6.718
5.248656 7.972 7.652 6.722 6.149 5.579 3.836 3.303 6.401
5.311156 7.667 7.344 6.414 5.839 5.268 3.520 2.985 6.089
5.373656 7.368 7.042 6.111 5.535 4.962 3.209 2.673 5.784
5.436156 7.075 6.746 5.814 5.237 4.662 2.904 2.367 5.483
Ave Life 8.801 8.637 8.430 8.263 8.102 7.649 7.508 8.284
Ave Cashflow 4.571 4.486 4.392 4.319 4.246 4.019 3.957 4.309
Mod Dur 3.711 3.678 3.666 3.648 3.630 3.569 3.553 3.631
Window 4/99-2/11 4/99-2/11 4/99-1/09 4/99-1/09 4/99-1/09 4/99-1/09 4/99-1/09 4/99-12/08
Sprd/Avl 470.2/av 440.0/av 348.1/av 291.9/av 236.0/av 65.6/av 13.3/av 317.8/av
Sprd/AvCf 479.2/av 448.7/av 356.4/av 299.9/av 243.7/av 72.4/av 19.9/av 325.8/av
Sprd/Tsy 469.7/9.0 440.3/8.5 347.9/8.5 291.4/8.5 236.3/8.0 66.0/7.5 13.4/7.5 317.3/8.5
Bond Loss 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 0.00 52077330.76 76060606.32 98756268.89 159696401.82 177809358.82 52077330.76
S7D3 S7D4 S7D7 S7D8
<C> <C> <C> <C>
10.507 9.966 8.340 7.832
10.100 9.556 7.923 7.414
9.701 9.155 7.516 7.004
9.311 8.763 7.118 6.604
8.929 8.380 6.728 6.212
8.556 8.004 6.346 5.829
8.190 7.637 5.972 5.454
7.832 7.276 5.606 5.086
7.480 6.924 5.248 4.726
7.136 6.578 4.896 4.373
6.799 6.238 4.552 4.027
6.468 5.906 4.214 3.687
6.143 5.579 3.882 3.354
5.824 5.259 3.557 3.028
5.511 4.945 3.238 2.707
5.204 4.636 2.924 2.392
4.902 4.333 2.616 2.083
8.126 7.973 7.544 7.409
4.236 4.166 3.955 3.894
3.613 3.596 3.539 3.523
4/99-10/08 4/99-10/08 4/99-10/08 4/99-10/08
261.3/av 206.0/av 39.4/av -12.5/av
269.0/av 213.4/av 46.0/av -6.2/av
261.6/8.0 205.9/8.0 39.5/7.5-12 -12.7/7.5
0.00 0.00 0.00 0.00
76060606.32 98756268.89 159696401.82 177809358.82
</TABLE>
DEF2 : 2% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF3 : 3% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF4 : 4% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF7 : 7% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF8 : 8% CDR after 24 mo, 65% recovery, 12 mos. lag
S7D2 : 100% CPR after LO YM; 2% CDR after 24 mo, 65% recovery, 12 mos. lag
S7D3 : 100% CPR after LO YM; 3% CDR after 24 mo, 65% recovery, 12 mos. lag
S7D4 : 100% CPR after LO YM; 4% CDR after 24 mo, 65% recovery, 12 mos. lag
S7D7 : 100% CPR after LO YM; 7% CDR after 24 mo, 65% recovery, 12 mos. lag
S7D8 : 100% CPR after LO YM; 8% CDR after 24 mo, 65% recovery, 12 mos. lag
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended for
use by the addressee only, and may not be provided to any third party other than
the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche BANK SECURITIES CMO Model
PRICE / YIELD REPORT
Bond Id : COMM 99-1 X
Bond Type : WACIO
Bond Name : X (AAA/AAA IO)
Original Balance : 1,311,125,920.05 Current Balance : 1,311,125,920.05
Original Coupon : 0.933146 % Current Coupon : 0.933146%
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout YM only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6280 4.6280 4.6280 4.7730 4.7960 4.9100 5.3460 5.4900 5.9648
Report Generated : Wed Feb 17 14:32:23 1999
</TABLE>
<TABLE>
<CAPTION>
0.0 100.0 DEFT DEF3 DEF4 S7D2 S7D3 S7D4
<S> <C> <C> <C> <C> <C> <C> <C> <C>
4.436156 12.532 12.252 11.339 10.788 10.241 11.060 10.507 9.966
4.498656 12.135 11.852 10.937 10.384 9.835 10.655 10.100 9.556
4.561156 11.741 11.460 10.544 9.989 9.438 10.258 9.701 9.155
4.623656 11.367 11.077 10.160 9.603 9.050 9.870 9.311 8.763
4.686156 10.995 10.702 9.784 9.225 8.670 9.491 8.929 8.380
4.748656 10.632 10.335 9.415 8.855 8.298 9.119 8.556 8.004
4.811156 10.275 9.976 9.054 8.492 7.933 8.755 8.190 7.637
4.873656 9.926 9.624 8.701 8.137 8.398 7.832 7.276
4.936156 9.585 9.279 8.355 7.789 7.227 8.049 7.480 6.924
4.998656 9.249 8.941 8.016 7.448 6.884 7.706 7.136 6.578
5.061156 8.921 8.609 7.683 7.114 6.548 7.370 6.799 6.238
5.123656 8.598 8.284 7.357 6.786 6.219 7.041 6.468 5.906
5.186156 8.282 7.965 7.037 6.465 5.896 6.718 6.143 5.579
5.248656 7.972 7.652 6.722 6.149 5.579 6.401 5.824 5.259
5.311156 7.667 7.344 6.414 5.839 5.268 6.089 5.511 4.945
5.373656 7.368 7.042 6.111 5.535 4.962 5.784 5.204 4.636
5.436156 7.075 6.746 5.814 5.237 4.662 5.483 4.902 4.333
Ave Life 8.801 8.637 8.430 8.263 8.102 8.284 8.126 7.973
Ave Cashflow 4.571 4.486 4.392 4.319 4.246 4.309 4.236 4.166
Mod Dur 3.711 3.678 3.666 3.648 3.630 3.631 3.613 3,596
Window 4/99-2/11 4/99-2/11 4/99-1/09 4/99-1/09 4/99-1/09 4/99-12/08 4/99-10/08 4/99-10/08
Sprd/Avl 470.2/av 440.0/av 348.1/av 291.9/av 236.0/av 317.8/av 261.3/av 206.0/av
Sprd/AvCf 479.2/av 448.7/av 356.4/av 299.9/av 243.7/av 325.8/av 269.0/av 213.4/av
Sprd/Tsy 469.7/9.0 440.3/8.5 347.9/8.5 291.4/8.5 236.3/8.0 317.3/8.5 261.6/8.0 205.9/8.0
Bond Loss 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 0.00 52077330.76 76060606.32 98756268.89 52077330.76 76060606.32 98756268.89
</TABLE>
DEF2 2% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF3 3% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF4 4% CDR after 24 mo, 65% recovery, 12 mos. lag
S7D2 100% CPR after LO YM; 2% CDR after 24 mo, 65% recovery, 12 mos. lag
S7D3 100% CPR after LO YM; 3% CDR after 24 mo, 65% recovery, 12 mos. lag
S7D4 100% CPR after LO YM; 4% CDR after 24 mo, 65% recovery, 12 mos. lag
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1 X
Bond Type : WACIO
Bond Name : X (AAA/AAA IO)
Original Balance : 1,311,125,920.05 Current Balance : 1,311,125,920.05
Original Coupon : 0.933146 % Current Coupon : 0.933146%
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout YM only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6280 4.6280 4.6280 4.7730 4.7960 4.9100 5.3460 5.4900 5.9648
Report Generated : Thu Feb 11 09:39:05 1999
</TABLE>
0.0 25.0 50.0 75.0 100.0
2-31 25.684 25.675 25.662 25.643 25.502
3-07 22.735 22.724 22.710 22.689 22.533
3-15 20.161 20.149 20.134 20.111 19.941
3-23 17.887 17.874 17.858 17.833 17.650
3-31 15.858 15.844 15.827 15.801 15.605
4-07 14.031 14.017 13.998 13.970 13.764
4-15 12.374 12.359 12.339 12.310 12.092
4-23 10.860 10.844 10.824 10.794 10.566
4-31 9.470 9.454 9.432 9.401 9.163
5-07 8.186 8.169 8.148 8.114 7.868
5-15 6.996 6.978 6.956 6.921 6.667
5-23 5.887 5.869 5.845 5.810 5.547
5-31 4.850 4.832 4.808 4.771 4.501
6-07 3.878 3.859 3.834 3.797 3.519
6-15 2.963 2.944 2.918 2.880 2.595
6-23 2.100 2.080 2.054 2.015 1.724
6-31 1.284 1.263 1.237 1.197 0.899
Ave Life 8.826 8.818 8.807 8.790 8.661
Ave Cashflow 4.619 4.615 4.609 4.600 4.533
Mod Dur 3.741 3.740 3-737 3.734 3.708
Window 4/99-11/18 4/99-11/18 4/99-11/18 4/99-11/18 4/99-9/18
Sprd/Avl 458.7/av 457.1/av 455.0/av 451.8/av 428.4/av
Sprd/AvCf 467.7/av 466.1/av 463.9/av 460.8/av 437.1/av
Sprd/Tsy 458.3/9.0 456.6/9.0 454.5/9.0 451.3/9.0 428.8/8.5
Bond Loss 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 0.00 0.00 0.00 0.00
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential,
is intended for use by the addressee only, and may not be provided to any third
party other than the addressee's legal, tax, financial and/or accounting
advisors for the purposes of evaluating such material. Prospective investors are
advised to read carefully, and should rely solely on, the final prospectus and
prospectus supplement (the "Final Prospectus") related to the securities (the
"Securities") in making their investment decisions. The material does not
include all relevant information relating to the Securities described therein,
particularly with respect to the risk and special considerations associated with
an investment in the Securities. All information contained herein is
preliminary, supersedes any information previously provided, and it is
anticipated that it will change further. Any information contained herein will
be more fully described in and will be fully superseded by the Final Prospectus.
Although the information contained in the material is based on sources the
Underwriter(s) believe(s) to be reliable, the Underwriter(s) make(s) no
representation or warranty that such information is accurate or complete. Such
information should not be viewed as projections, forecasts, predictions, or
opinions with respect to value. Prior to making any investment decision, a
prospective investor shall receive and fully review the Final Prospectus.
NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION OF AN OFFER
TO BUY ANY SECURITIES. The Underwriter(s) may hold long or short positions in or
buy and sell Securities or related securities, or perform for or solicit
investment banking services from, any company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1 X
BOND TYPE : WACIO
Bond Name : X (AAA/AAA IO)
Original Balance : 1,311,125,920.05 Current Balance : 1,311,125,920.05
Original Coupon : 0.933146 % Current Coupon : 0.933146 %
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/l/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6280 4.6280 4.6280 4.7730 4.7960 4.9100 5.3460 5.4900 5.9648
Report Generated : Thu Feb 11 10:01:37 1999
</TABLE>
0.0 25.O 50.0 75.0 100.0
4-15 12.374 12.420 12.436 12.429 12.247
4-17 11.983 12.026 12.041 12.033 11.846
4-19 11.600 11.642 11.655 11.645 11.455
4-21 11.226 11.265 11.277 11.266 11.071
4-23 10.860 10.897 10.907 10.895 10.697
4-25 10.502 10.537 10.545 10.532 10.330
4-27 10.151 10.184 10.190 10.176 9.970
4-29 9.807 9.838 9.843 9.828 9.618
4-31 9.470 9.499 9.503 9.486 9.273
5-01 9.140 9.166 9.169 9.151 8.935
5-03 8.816 8.841 8.842 8.823 8.603
5-05 8.498 8.521 8.521 8.501 8.278
5-07 8.186 8.208 8.206 8.185 7.959
5-09 7.881 7.900 7.897 7.876 7.646
5-11 7.580 7.598 7.594 7.571 7.339
5-13 7.285 7.301 7.296 7.273 7.037
5-15 6.996 7.010 7.004 6.979 6.741
Ave Life 8.826 8.764 8.730 8.703 8.565
Ave Cashflow 4.619 4.594 4.583 4.574 4.510
Mod Dur 3.741 3.719 3.704 3.692 3.654
Window 4/99-11/18 4/99-11/18 4/99-11/18 4/99-11/18 4/99-9/18
Sprd/Avl 458.7/av 461.7/av 462.2/av 460.6/av 439.6/av
Sprd/AvCf 467.7/av 470.6/av 471.0/av 469.3/av 448 1/av
Sprd/Tsy 458.3/9.0 461.2/9.0 462.7/8.5 461.0/8.5 439.7/8.5
Bond Loss 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 0.00 0.00 0.00 0.00
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO MODEL
PRICE / YIELD REPORT
Bond Id : COMM 99-1 X
Bond Type : WACIO
Bond Name : X (AAA/AAA IO)
Original Balance : 1,311,125,920.05 Current Balance : 1,311,125,920,05
Original Coupon : 0.933146 % Current Coupon : 0.933146 %
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 6.6280 6.6280 6.6280 6.7730 6.7960 6.9100 7.3460 5.4900 5.9648
</TABLE>
Report Generated : Wed Feb 17 13:10:05 1999
0.0 25.0 50.0 75.0 100.0
4-15 12.374 12.271 12.208 12.154 11.909
4-17 11.983 11.879 11.815 11.761 11.513
4-19 11.600 11.496 11.431 11.376 11.126
4-21 11.226 11.120 11.055 11.000 10.746
4-23 10.860 10.753 10.687 10.631 10.375
4-25 10.502 10.394 10.327 10.271 10.012
4-27 10.151 10.042 9.975 9.917 9.656
4-29 9.807 9.697 9.629 9.571 9.308
4-31 9.470 9.359 9.291 9.232 8.966
5-01 9.140 9.028 8.959 8.900 8.631
5-03 8.816 8.703 8.633 8.574 8.303
5-05 8.498 8.384 8.314 8.255 7.981
5-07 8.186 8.072 8.001 7.941 7.665
5-09 7.881 7.765 7.694 7.633 7.355
5-11 7.580 7.464 7.392 7.331 7.051
5-13 7.285 7.168 7.096 7.035 6.752
5-15 6.996 6.878 6.805 6.743 6.459
Ave Life 8.826 8.764 8.730 8.703 8.565
Ave cashflow 4.619 4.594 4.583 4.574 4.510
Mod Dur 3.741 3.730 3.724 3.718 3.691
Window 4/99-11/18 4/99-11/18 4/99-11/18 4/99-11/18 4/99-9/18
Sprd/Avl 258.7/av 247.7/av 240.9/av 235.2/av 208.9/av
Sprd/AvCf 267.7/av 256.6/av 249.8/av 244.0/av 217.4/av
Sprd/TSY 258.3/9.0 247.2/9.0 241.5/8.5 235.7/8.5 209.0/8.5
Bond LOSS 0.00 0.00 0.00 0.00 0.00
Coll LOSS 0.00 0.00 0.00 0.00 0.00
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and
confidential, is intended for use by the addressee only, and may not be provided
to any third party other than the addressee's legal, tax, financial and/or
accounting advisors for the purposes of evaluating such material. Prospective
investors are advised to read carefully, and should rely solely on, the final
prospectus and prospectus supplement (the "Final Prospectus") related to the
securities (the "Securities") in making their investment decisions. The material
does not include all relevant information relating to the Securities described
therein, particularly with respect to the risk and special considerations
associated with an investment in the Securities. All information contained
herein is preliminary, supersedes any information previously provided, and it is
anticipated that it will change further. Any information contained herein will
be more fully described in and will be fully superseded by the Final Prospectus.
Although the information contained in the material is based on sources the
Underwriter(s) believe(s) to be reliable, the Underwriter(s) make(s) no
representation or warranty that such information is accurate or complete. Such
information should not be viewed as projections, forecasts, predictions, or
opinions with respect to value. Prior to making any investment decision, a
prospective investor shall receive and fully review the Final Prospectus.
NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION OF AN OFFER
TO BUY ANY SECURITIES. The Underwriter(s) may hold long or short positions in or
buy and sell Securities or related securities, or perform for or solicit
investment banking services from, any company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1 X
Bond Type : WACIO
Bond Name : X (AAA/AAA IO)
Original Balance : 1,311,125,920.05 Current Balance : 1,311,125,920.05
Original Coupon : 0.933146 % Current Coupon : 0.933146 %
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout YM and penalty (greater than) 3.0%
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6280 4.6280 4.6280 4.7730 4.7960 4.9100 5.3460 5.4900 5.9648
</TABLE>
Report Generated Wed Feb 17 12:25:22 1999
0.0 DELL1 DELL2
4-15 12.374 11.255 10.156
4-17 11.983 10.864 9.765
4-19 11.600 10.482 9.383
4-21 11.226 10.108 9.009
4-23 10.860 9.742 8.644
4-25 10.502 9.384 8.286
4-27 10.151 9.033 7.935
4-29 9.807 8.689 7.592
4-31 9.470 8.353 7.255
5-01 9.140 8.023 6.925
5-03 8.816 7.699 6.602
5-05 8.498 7.381 6.285
5-07 8.186 7.070 5.974
5-09 7.881 6.764 5.668
5-11 7.580 6.464 5.369
5-13 7.285 6.170 5.074
5-15 6.996 5.880 4.785
Ave Life 8.826 8.512 8.213
Ave Cashflow 4.619 4.516 4.416
Mod Dur 3.741 3.743 3.747
Window 4/99-11/18 4/99-11/18 4/99-11/18
Sprd/Avl 458.7/av 347.7/av 238.6/av
Sprd/AvCf 467.7/av 356.0/av 246.4/av
Sprd/Tsy 458.3/9.0 347.7/8.5 239.1/8.0
Bond Loss 0.00 0.00 0.00
Coll Loss 0.00 35255220.51 68009620.91
DELL1 1% CDR, 12 mos. lag, 65% recovery, PI Adv
DELL2 2% CDR, 12 mos, lag, 65% recovery, PI Adv
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1 A2
Bond Name : A2 (AAA/Aaa2 31.0%)
Original Balance : 723,242,000.00 Current Balance : 723,242,000.00
Original Coupon : 6.292000 % Current Coupon : 6.292000 %
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout YM and penalty (greater than)3.0%
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6280 4.6280 4.6280 4.7730 4.7960 4.9100 5.3460 5.4900 5.9648
</TABLE>
Report Generated Tue Feb 16 15:57:45 1999
<TABLE>
<CAPTION>
0.0 KOC_0 KOC_25 KOC_50 KOC_75 KOC_100
<S> <C> <C> <C> <C> <C> <C>
99-16 6.413 6.415 6.415 6.415 6.415 6.415
99-24 6.376 6.376 6.376 6.376 6.376 6.376
100-00 6.339 6.337 6.337 6.337 6.337 6.337
100-08 6.303 6.299 6.299 6.299 6.299 6.298
100-16 6.266 6.260 6.260 6.260 6.260 6.259
100-24 6.230 6.222 6.222 6.222 6.222 6.220
101-00 6.194 6.184 6.184 6.184 6.183 6.181
101-08 6.158 6.146 6.146 6.146 6.145 6.143
101-16 6.122 6.108 6.108 6.108 6.107 6.104
101-24 6.086 6.070 6.070 6.070 6.069 6.066
102-00 6.050 6.033 6.033 6.032 6.032 6.028
102-08 6.015 5.995 5.995 5.995 5.994 5.990
102-16 5.979 5.958 5.958 5.957 5.957 5.952
102-24 5.944 5.921 5.920 5.920 5.919 5.914
103-00 5.909 5.883 5.883 5.883 5.882 5.876
103-08 5.873 5.846 5.846 5.845 5.845 5.839
103-16 5.838 5.809 5.809 5.808 5.808 5.801
Ave Life 9.247 8.665 8.656 8.644 8.628 8.502
Ave Cashflow 7.562 7.181 7.174 7.166 7.153 7.061
Mod Dur 6.846 6.496 6.491 6.485 6.475 6.406
Window 2/08-9/08 12/03-10/08 12/03-10/08 12/03-9/08 12/03-9/08 12/03-7/08
Sprd/Avl 122.9/av 122.9/av 122.9/av 122.9/av 122.9/av 122.9/av
Sprd/AvCf 126.7/av 126.2/av 126.2/av 126.2/av 126.2/av 126.1/av
Sprd/Tsy 123.5/9.0 123.2/8.5 123.2/8.5 123.2/8.5 123.2/8.5 122.9/8.5
Bond Loss 0.00 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 144733711.30 144733711.30 144733711.30 144733711.30 144733711.30
</TABLE>
KOC_0 Lockout YM only, 0% CPR 4% CDR 40% Loss Severity 12 Month Lag
KOC_25 Lockout YM only, 25% CPR 4% CDR 40% Loss Severity 12 Month Lag
KOC_50 Lockout YM only, 50% CPR 4% CDR 40% Loss Severity 12 Month Lag
KOC_75 Lockout YM only, 75% CPR 4% CDR 40% Loss Severity 12 Month Lag
KOC_100 Lockout YM only, 100% CPR 4% CDR 40% Loss Severity 12 Month Lag
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is
intended for use by the addressee only, and may not be provided to any third
party other than the addressee's legal, tax, financial and/or accounting
advisors for the purposes of evaluating such material. Prospective investors are
advised to read carefully, and should rely solely on, the final prospectus and
prospectus supplement (the "Final Prospectus") related to the securities (the
"Securities") in making their investment decisions. The material does not
include all relevant information relating to the Securities described therein,
particularly with respect to the risk and special considerations associated with
an investment in the Securities. All information contained herein is
preliminary, supersedes any information previously provided, and it is
anticipated that it will change further. Any information contained herein will
be more fully described in and will be fully superseded by the Final Prospectus.
Although the information contained in the material is based on sources the
Underwriter(s) believe(s) to be reliable, the Underwriter(s) make(s) no
representation or warranty that such information is accurate or complete. Such
information should not be viewed as projections, forecasts, predictions, or
opinions with respect to value. Prior to making any investment decision, a
prospective investor shall receive and fully review the Final Prospectus.
NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION OF AN OFFER
TO BUY ANY SECURITIES. The Underwriter(s) may hold long or short positions in or
buy and sell Securities or related securities, or perform for or solicit
investment banking services from, any company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
PRICE / YIELD REPORT
Bond Id : COMM 99-1 A3
Bond Name : B (AA/Aa2 26,25%)
Original Balance : 62,278,000.00 Current Balance : 62,278,000.00
Original coupon : 6.412000 % Current Coupon : 6.412000 %
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout YM and penalty (greater than)3.0%
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6280 4.6280 4.6280 4.7730 4.7960 4.9100 5.3460 5.4900 5.9648
</TABLE>
Report Generated Tue Feb 16 15:57:45 1999
<TABLE>
<CAPTION>
0.0 KOC_0 KOC_25 KOC_50 KOC_75 KOC_100
<S> <C> <C> <C> <C> <C> <C> <C>
99-16 6.534 6.534 6.534 6.534 6.534 6.535
99-24 6.498 6.498 6.498 6.498 6.498 6.498
100-00 6.462 6.462 6.462 6.462 6.462 6.462
100-08 6.427 6.427 6.427 6.427 6.427 6.426
100-16 6.391 6.391 6.391 6.391 6.391 6.390
100-24 6.355 6.356 6.356 6.355 6.355 6.354
101-00 6.320 6.320 6.320 6.320 6.320 6.318
101-08 6.284 6.285 6.285 6.285 6.284 6.282
101-16 6.249 6.250 6.250 6.249 6.249 6.246
101-24 6.214 6.214 6.214 6.214 6.214 6.211
102-00 6.179 6.179 6.179 6.179 6.179 6.175
102-08 6.144 6.145 6.145 6.144 6.144 6.140
102-16 6.109 6.110 6.110 6.109 6.109 6.105
102-24 6.074 6.075 6.075 6.075 6.074 6.069
103-00 6.040 6.041 6.041 6.040 6.039 6.034
103-08 6.005 6.006 6.006 6.006 6.005 5.999
103-16 5.971 5.972 5.972 5.971 5.971 5.965
Ave Life 9.554 9.581 9.581 9.571 9.551 9.407
Ave Cashflow 7.754 7.773 7.773 7.766 7.752 7.652
Mod Dur 6.974 6.988 6.988 6.982 6.972 6.895
Window 9/08-10/08 10/08-10/08 10/08-10/08 9/08-10/08 9/08-10/08 7/08-8/08
Sprd/Avl 134.9/av 134.9/av 134.9/av 134.9/av 134.9/.v 135.0/av
Sprd/AvCf 139.0/av 139.0/av 139.0/av 139.0/av 139.0/av 139.0/av
Sprd/Tsy 135.0/9.5 135.1/9.5 135.1/9.5 135.1/9.5 135.0/9.5 134.8/9.5
Bond Loss 0.00 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 144733711.30 144733711.30 144733711.30 144733711.30 144733711.30
</TABLE>
KOC_0 Lockout YM only, 0% CPR 4% CDR 40% Loss Severity 12 Month Lag
KOC_25 Lockout YM only,25% CPR 4% CDR 40% Loss Severity 12 month Lag
KOC_50 Lockout YM only,50% CPR 4% CDR 40% Loss Severity 12 Month Lag
KOC_75 Lockout YM only,75% CPR 4% CDR 40% Loss Severity 12 Month Lag
KOC_100 Lockout YM only,100% CPR 4% CDR 40% Loss Severity 12 Month Lag
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended for
use by the addressee only, and may not be provided to any third party other than
the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
DEUTSCHE/BANC ONE FUSION DEAL - RED HERRING
Lehman Brothers ------ Corporate Bond Equivalent Yield Table -----
Page 1
Wed, 17 Feb 1999, 15:23:52
Bond Class X 0.933 FIXED CPN
Current Balance $1,311,125,920.05
<TABLE>
<CAPTION>
0.00% CPR 25.00% CPR 50.00% CPR 75.00% CPR 100.00% CPR
----------------- ----------------- ----------------- ------------------- -------------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur
----------- --------- ---- --------- ----- --------- ----- --------- ----- --------- ----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
4-14 12.523 3.48 12.508 3.48 12.489 3.48 12.460 3.47 12.243 3.45
4-15 12.324 12.309 12.289 12.260 12.042
4-16 12.126 12.111 12.092 12.062 11.843
4-17 11.931 11.916 11.896 11.867 11.646
4-18 11.738 11.723 11.703 11.673 11.452
4-19 11.548 3.55 11.532 3.55 11.512 3.55 11.482 3.55 11.259 3.52
4-20 11.359 11.343 11.323 11.293 11.069
4-21 11.172 11.157 11.136 11.106 10.881
4-22 10.987 10.972 10.951 10.921 10.694
4-23 10.805 10.789 10.768 10.738 10.510
4-24 10.624 3.63 10.608 3.63 10.587 3.62 10.557 3.62 10.328 3.60
4-25 10.445 10.429 10.408 10.377 10.147
4-26 10.268 10.252 10.231 10.200 9.968
4-27 10.093 10.076 10.056 10.024 9.791
4-28 9.919 9.903 9.882 9.850 9.616
4-29 9.747 3.70 9.731 3.70 9.710 3.69 9.678 3.69 9.443 3.67
4-30 9.577 9.561 9.540 9.508 9.272
4-31 9.409 9.392 9.371 9.339 9.102
5-00 9.242 9.226 9.204 9.172 8.934
5-01 9.077 9.061 9.039 9.007 8.767
5-02 8.914 3.77 8.897 3.76 8.876 3.76 8.843 3.76 8.602 3.73
5-03 8.752 8.735 8.713 8.681 8.439
5-04 8.592 8.575 8.553 8.520 8.277
5-05 8.433 8.416 8.394 8.361 8.117
5-06 8.276 8.259 8.237 8.203 7.958
5-07 8.120 3.83 8.103 3.83 8.081 3.83 8.047 3.82 7.801 3.80
5-08 7.965 7.948 7.926 7.893 7.645
5-09 7.812 7.795 7.773 7.739 7.491
5-10 7.661 7.644 7.621 7.588 7.338
5-11 7.511 7.493 7.471 7.437 7.186
5-12 7.362 3.90 7.345 3.89 7.322 3.89 7.288 3.89 7.036 3.86
5-13 7.215 7.197 7.174 7.140 6.887
5-14 7.068 7.051 7.028 6.994 6.740
5-15 6.924 6.906 6.883 6.849 6.593
5-16 6.780 6.762 6.739 6.705 6.448
Average Life 8.80 8.79 8.78 8.77 8.64
First Pay 04/15/99 04/15/99 04/15/99 04/15/99 04/15/99
Last Pay 02/15/11 02/15/11 02/15/11 02/15/11 02/15/11
</TABLE>
1y 2Y 3Y 5Y 10y 30Y Price to Call
4,628 4.773 4.781 4.796 4.910 5.346
SPEEDS APPLIED AT THE END OF YM PERIOD
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 14 days, Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 3/16/99 settlement date.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matterst, including but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or the underlying assets, the
information contained in the Offering Document).
<PAGE>
DEUTSCHE/BANC ONE FUSION DEAL - RED HERRING
------ CORPORATE BOND EQUIVALENT YIELD TABLE ------
Lehman Brothers Page 1
Wed, 17 Feb 1999, 15:29:53
Bond Class X 0.933 FIXED CPN
Current Balance $1,311,125,920.05
<TABLE>
<CAPTION>
0.00% CPR 25.00% CPR 50.00% CPR 75.00% CPR 100.00% CPR
----------------- ----------------- ----------------- ----------------- ----------------
1.000% DEF 1.000% DEF 1.000% DEF 1.000% DEF 1.000% DEF
------------ ------------ ------------ ------------ -----------
65.0% REC 65.0% REC 65.0% REC 65.0% REC 65.0% REC
----------- ---------- ---------- ---------- ---------
12 MONTH LAG 12 MONTH LAG 12 MONTH LAG 12 MONTH LAG 12 MONTH LAG
--------------- --------------- --------------- --------------- ---------------
PRICE CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur CBE Yield Dur
----------- --------- ----- --------- ----- --------- ----- --------- ----- --------- -----
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
4-14 11.364 3.47 11.350 3.47 11.332 3.47 11.302 3.47 11.078 3.44
4-15 11.164 11.150 11.132 11.102 10.877
4-16 10.966 10.953 10.934 10.904 10.677
4-17 10.771 10.757 10.738 10.708 10.480
4-18 10.578 10.564 10.545 10.515 10.285
4-19 10.386 3.55 10.372 3.55 10.354 3.54 10.323 3.54 10.092 3.52
4-20 10.197 10.183 10.164 10.134 9.901
4-21 10.010 9.996 9.977 9.946 9.713
4-22 9.825 9.811 9.792 9.761 9.526
4-23 9.642 9.628 9.609 9.577 9.341
4-24 9.461 3.62 9.446 3.62 9.427 3.62 9.396 3.61 9.158 3.59
4-25 9.282 9.267 9.248 9.216 8.977
4-26 9.104 9.090 9.070 9.038 8.798
4-27 8.929 8.914 8.894 8.862 8.621
4-28 8.755 8.740 8.720 8.688 8.446
4-29 8.583 3.69 8.568 3,69 8.548 3.69 8.516 3.68 8.272 3.66
4-30 8.412 8.398 8.378 8.345 8.100
4-31 8.244 8.229 8.209 8.176 7.930
5-00 8.077 8.062 8.042 8.009 7.761
5-01 7.911 7.896 7.876 7.843 7.594
5-02 7.748 3.76 7.733 3.76 7.712 3.76 7.679 3.75 7.429 3.72
5-03 7.586 7.570 7.550 7.517 7.265
5-04 7.425 7.410 7.389 7.356 7.103
5-05 7.266 7.251 7.230 7.196 6.943
5-06 7.108 7.093 7.072 7.038 6.783
5-07 6.952 3.83 6.937 3.82 6.916 3.82 6.882 3.82 6.626 3.79
5-08 6.798 6.782 6.761 6.727 6.470
5-09 6.644 6.629 6.608 6.574 6.315
5-10 6.493 6.477 6.456 6.421 6.162
5-11 6.342 6.326 6.305 6.271 6.010
5-12 6.193 3.89 6.177 3.89 6.156 3.89 6.121 3.88 5.859 3.85
5-13 6.045 6.029 6.008 5.973 5.710
5-14 5.899 5.883 5.862 5.827 5.562
5-15 5.754 5.738 5.716 5.681 5.416
5-16 5.610 5.594 5.572 5.537 5.271
Average Life 8.48 8.47 8.46 8.44 8.33
First Pay 04/15/99 04/15/99 04/15/99 04/15/99 04/15/99
Last Pay 08/15/09 08/15/09 08/15/09 08/15/09 08/15/09
Collateral Loss: 35255220.51 (2.69) 35255220.51 (2.69) 35255220.51 (2.69) 35255220.51 (2.69) 35255054.63 (2.69)
Agg. Bond Loss : 0.00 0.00 0.00 0.00 0.00
</TABLE>
1Y 2Y 3Y 5Y 10Y 30Y Price to Call
4.628 4.773 4.781 4.796 4.910 5.346
SPEEDS APPLIED AT THE END OF YM PERIOD
1% CDR APPLIED IMMEDIATELY, 65% RECOVERY, 12 MONTHS LAG
Notes: All yields and durations are based on MONTHLY payments of interest with
an interest free delay of 14 days, Duration, First Pay, Average Life, and
Maturity are stated in years reflecting a 3/16/99 settlement date.
This information does not constitute either an offer to sell or a solicitation
of an offer to buy any of the securities referred to herein. Offers to sell and
solicitations of offers to buy the securities are made only by, and this
information must be read in conjunction with, the final Prospectus Supplement
and the related Prospectus or, if not registered under the securities laws, the
final Offering Memorandum (the "Offering Document"). Information contained
herein does not purport to be complete and is subject to the same qualifications
and assumptions, and should be considered by investors only in the light of the
same warnings, lack of assurances and representations and other precautionary
matters, as disclosed in the Offering Document. Information regarding the
underlying assets has been provided by the issuer of the securities or an
affiliate thereof and has not been independently verified by Lehman Brothers
Inc. or any affiliate. The analyses contained herein have been prepared and
disseminated by Lehman Brothers Inc. and the contents and accuracy thereof have
not been reviewed by the issuer. This information was prepared on the basis of
certain assumptions (including, in certain cases, assumptions specified by the
recipient hereof) regarding payments, interest rates, weighted average lives and
weighted average loan age, losses and other matterst, including but not limited
to, the assumptions described in the Offering Document. Lehman Brothers Inc.,
and any of its affiliates, make no representation or warranty as to the actual
rate or timing of payments on any of the underlying assets or the payments or
yield on the securities. This information supersedes any prior versions hereof
and will be deemed to be superseded by any subsequent versions (including, with
respect to any description of the securities or the underlying assets, the
information contained in the Offering Document).
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
<TABLE>
<S> <C> <C> <C>
Bond Id : COMM 99-1-UP X
Bond Type : WACIO
Bond Name : X (AAA/AAA IO)
Original Balance : 1,311,125,920.05 Current Balance : 1,311,125,920.05
Original Coupon : 0.933146 % Current Coupon : 0.933146 %
Deal Description : COMM 99-1 (RED) To CALL
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout only
</TABLE>
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSYO1Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 7.6280 7.6280 7.6280 7.7730 7.7960 7.9100 8.3460 5.4900 5.9648
</TABLE>
Report Generated Wed Feb 17 16:58:38 1999
0.0 25.0 50.0 75.0 100.0
4.436156 12.532 12.352 12.248 12.170 11.896
4.498656 12.135 11.955 11.850 11.772 11.496
4.561156 11.747 11.566 11.461 11.382 11.104
4.623656 11.367 11.185 11.080 11.001 10.721
4.686156 10.995 10.813 10.708 10.628 10.346
4.748656 10.632 10.448 10.343 10.263 9.979
4.811156 10.275 10.091 9.986 9.906 9.619
4.873656 9.926 9.742 9.636 9.556 9.267
4.936156 9.585 9.399 9.293 9.213 8.922
4.998656 9.249 9.063 8.957 8.877 8.584
5.061156 8.921 8.734 8.628 8.547 8.252
5.123656 8.598 8.411 8.304 8.224 7.927
5.186156 8.282 8.094 7.987 7.906 7.608
5.248656 7.972 7.784 7.676 7.595 7.294
5.311156 7.667 7.478 7.371 7.290 6.987
5.373656 7.368 7.179 7.071 6.990 6.685
5.436156 7.075 6.884 6.777 6.695 6.389
Ave Life 8.801 8.737 8.703 8.676 8.539
Ave Cashflow 4.571 4.542 4.531 4.521 4.458
Mod Dur 3.711 3.704 3.702 3.699 3.677
Window 4/99-2/11 4/99-11/10 4/99-11/10 4/99-11/10 4/99-11/10
Sprd/Avl 170.2/av 151.8/av 141.3/av 133.3/av 104.5/av
Sprd/AvCf 179.2/av 160.7/av 150.1/av 142.1/av 113.0/av
Sprd/Tsy 169.7/9.0 152.3/8.5 141.7/8.5 133.7/8.5 104.6/8.5
Bond Loss 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 0.00 0.00 0.00 0.00
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended for
use by the addressee only, and may not be provided to any third party other than
the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
<TABLE>
<S> <C> <C> <C>
Bond Id : COMM 99-1 X
Bond Type : WACIO
Bond Name : X (AAA/AAA IO)
Original Balance : 1,311,125,920.05 Current Balance : 1,311,125,920.05
Original Coupon : 0.933146 % Current Coupon : 0.933146%
Deal Description : COMM 99-1 (RED) TO CALL
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout YM only
</TABLE>
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6280 4.6280 4.6280 4.7730 4.7960 4.9100 5.3460 5.4900 5.9648
</TABLE>
Report Generated Wed Feb 17 16:54:17 1999
0.0 DEF1A DEF2A DEF3A DEF4A
4.436156 12.532 11.542 10.593 9.678 8.766
4.498656 12.135 11.143 10.193 9.278 8.365
4.561156 11.747 10.754 9.803 8.886 7.973
4.623656 11.367 10.373 9.421 8.504 7.589
4.686156 10.995 10.000 9.047 8.129 7.214
4.748656 10.632 9.635 8.681 7.763 6.847
4.811156 10.275 9.277 8.323 7.404 6.487
4.873656 9.926 8.927 7.972 7.052 6.135
4.936156 9.585 8.584 7.628 6.708 5.790
4.998656 9.249 8.247 7.291 6.370 5.452
5.061156 8.921 7.918 6.960 6.039 5.120
5.123656 8.598 7.594 6.636 5.715 4.795
5.186156 8.282 7.277 6.318 5.396 4.476
5.248656 7.972 6.965 6.006 5.084 4.163
5.311156 7.667 6.660 5.700 4.777 3.856
5.373656 7.368 6.360 5.399 4.476 3.554
5.436156 7.075 6.065 5.103 4.180 3.258
Ave Life 8.801 8.513 8.245 7.995 7.755
Ave Cashflow 4.571 4.457 4.359 4.270 4.180
Mod Dur 3.711 3.698 3.690 3.684 3.678
Window 4/99-2/11 4/99-9/09 4/99-1/09 4/99-1/09 4/99-1/09
Sprd/Avl 470.2/av 370.8/av 275.8/av 184.4/av 93.1/av
Sprd/AvCf 479.2/av 379.2/av 283.7/av 191.7/av 100.0/av
Sprd/Tsy 469.7/9.0 370.8/8.5 276.3/8.0 184.3/8.0 92.6/8.0
Bond Loss 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 28154552.75 54441525.28 78970763.59 101846479.68
DEF1A 1% CDR after 12 mo, 70% recovery, 6 mos. lag
DEF2A 2% CDR after 12 mo, 70% recovery, 6 mos. lag
DEF3A 3% CDR after 12 mo, 70% recovery, 6 mos. lag
DEF4A 4% CDR after 12 mo, 70% recovery, 6 mos. lag
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended for
use by the addressee only, and may not be provided to any third party other than
the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
<TABLE>
<S> <C> <C> <C>
Bond Id : COMM 99-1 X
Bond Type : WACIO
Bond Name : X (AAA/AAA IO)
Original Balance : 1,311,125,920.05 Current Balance : 1,311,125,920.05
Original Coupon : 0.885946 % Current Coupon : 0.885946 %
Deal Description : COMM 99-1 (RED) TO CALL
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout YM and penalty (greater than)3.0%
</TABLE>
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6800 4.6800 4.6800 4.8810 4.9120 4.9840 5.3170 5.4900 5.9648
</TABLE>
Report Generated Fri Feb 19 12:50:23 1999
<TABLE>
<CAPTION>
0.0 DEF1E DEF2E DEF3E DEF4E DEF5E DEF6E DEF7E
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
4-06 12.644 11.828 11.040 10.286 9.534 8.778 8.014 7.240
4-08 12.224 11.405 10.616 9.860 9.107 8.349 7.583 6.806
4-10 11.813 10.992 10.201 9.444 8.689 7.930 7.162 6.383
4-12 11.411 10.588 9.796 9.037 8.281 7.520 6.750 5.970
4-14 11.019 10.194 9.400 8.640 7.883 7.120 6.349 5.566
4-16 10.635 9.808 9.013 8.252 7.493 6.729 5.956 5.171
4-18 10.260 9.431 8.634 7.872 7.112 6.346 5.571 4.785
4-20 9.893 9.062 8.264 7.500 6.739 5.972 5.196 4.408
4-22 9.533 8.701 7.901 7.137 6.374 5.606 4.828 4.038
4-24 9.182 8.347 7.546 6.780 6.017 5.247 4.468 3.676
4-26 8.837 8.001 7.198 6.432 5.667 4.896 4.115 3.322
4-28 8.499 7.661 6.858 6.090 5.324 4.552 3.770 2.975
4-30 8.168 7.329 6.524 5.755 4.988 4.215 3.431 2.635
5-00 7.843 7.003 6.196 5.427 4.659 3.884 3.099 2.302
5-02 7.525 6.683 5.875 5.105 4.336 3.560 2.774 1.975
5-04 7.213 6.369 5.560 4.789 4.019 3.242 2.455 1.654
5-06 6.906 6.061 5.251 4.479 3.708 2.931 2.142 1.340
Ave Life 8.801 8.548 8.311 8.091 7.878 7.674 7.478 7.289
Ave Cashflow 4.576 4.471 4.379 4.297 4.214 4.130 4.043 3.955
Mod Dur 3.720 3.702 3.687 3.676 3.664 3.651 3.635 3.619
Window 4/99-2/11 4/99-10/09 4/99-1/09 4/99-1/09 4/99-1/09 4/99-1/09 4/99-1/09 4/99-1/09
Sprd/Avl 456.7/av 373.8/av 294.1/av 218.0/av 142.1/av 65.5/av -12.0/av -90.7/av
Sprd/AvCf 462.6/av 373.9/av 299.5/av 223.2/av 147.0/av 70.3/av -7.4/av -86.3/av
Sprd/Tsy 456.4/9.0 373.9/85 293.9/8.5 218.1/8.0 141.9/8.0 65.8/7.5 -12.0/7.5
- -489.9/6.5
Bond Loss 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 26568094.63 51491021.81 74858174.01 96754742.71 117261893.22 136456932.21 154413468.27
DEF8E DEF9E DEF1OE DEF11E DEF12E DEF13E
<C> <C> <C> <C> <C> <C>
6.491 5.790 5.124 4.485 3.868 3.272
6.056 5.353 4.687 4.047 3.430 2.833
5.631 4.927 4.260 3.620 3.002 2.405
5.216 4.511 3.843 3.203 2.585 1.987
4.810 4.105 3.436 2.795 2.177 1.578
4.414 3.708 3.038 2.397 1.778 1.179
4.027 3.319 2.649 2.008 1.388 0.789
3.648 2.940 2.269 1.627 1.007 0.408
3.277 2.568 1.897 1.254 0.634 0.034
2.914 2.204 1.532 0.889 0.269 -0.331
2.558 1.848 1.176 0.532 -0.089 -0.689
2.210 1.499 0.826 0.182 -0.439 -1.039
1.869 1.157 0.484 -0.160 -0.781 -1.382
1.534 0.822 0.148 -0.496 -1.117 -1.718
1.206 0.493 -0.181 -0.825 -1.447 -2.047
0.885 0.171 -0.503 -1.148 -1.770 -2.370
0.569 -0.145 -0.820 -1.465 -2.087 -2.687
7.107 6.932 6.764 6.602 6.447 6.297
3.876 3.808 3.747 3.691 3.637 3.586
3.605 3.597 3.592 3.589 3.586 3.583
4/99-1/09 4/99-1/09 4/99-1/09 4/99-1/09 4/99-1/09 4/99-1/09
-166.6/av -237.2/av -304.1/av -368.1/av -429.9/av -489.6/av
-162.4/av -233.2/av -300.2/av -364.4/av -426.4/av -486.3/av
166.4/7.0 -237.3/7.0 -304.4/7.0 -368.0/6.5 -430.0/6.5 -489.9/6.5
0.00 0.00 0.00 0.00 0.00 0.00
171201565.96 186887893.54 201535864.89 215205775.71 227954934.41 239837787.91
</TABLE>
DEF1E 1% CDR after 12 mo, 70% recovery, 12 mos. lag
DEF2E 2% CDR after 12 mo, 70% recovery, 12 mos. lag
DEF3E 3% CDR after 12 mo, 70% recovery, 12 mos. lag
DEF4E 4% CDR after 12 mo, 70% recovery, 12 mos. lag
DEF5E 5% CDR after 12 mo, 70% recovery, 12 mos. lag
DEF6E 6% CDR after 12 mo, 70% recovery, 12 mos. lag
DEF7E 7% CDR after 12 mo, 70% recovery, 12 mos. lag
DEF8E 8% CDR after 12 mo, 70% recovery, 12 mos. lag
DEF9E 9% CDR after 12 mo, 70% recovery, 12 mos. lag
DEF10E 10% CDR after 12 mo, 70% recovery, 12 mos. lag
DEF11E 11% CDR after 12 mo, 70% recovery, 12 mos. lag
DEF12E 12% CDR after 12 mo, 70% recovery, 12 mos. lag
DEF13E 13% CDR after 12 mo, 70% recovery, 12 mos. lag
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
<TABLE>
<S> <C> <C> <C>
Bond Id : COMM 99-1 X
Bond Type : WACIO
Bond Name : X (AAA/AAA IO)
Original Balance : 1,311,125,920.05 Current Balance : 1,311,125,920.05
Original Coupon : 0.885946 % Current Coupon : 0.885946 %
Deal Description : COMM 99-1 (RED) TO CALL
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout YM and penalty (greater than) 3.0%
</TABLE>
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSYO1Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6800 4.6800 4.6800 4.8810 4.9120 4.9840 5.3170 5.4900 5.9648
</TABLE>
Report Generated Fri Feb 19 09:44:22 1999
<TABLE>
<CAPTION>
0.0 DO_50 DI_50 D2_50 D3_50 D4_50 D5_50 DO_100
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
4-06 12.644 12.610 11.790 10.994 10.226 9.459 8.683 12.365
4-08 12.224 12.189 11.367 10.569 9.800 9,030 8.253 11.940
4-10 11.813 11.778 10.954 10.153 9.383 8.612 7.833 11.526
4-12 11.411 11.376 10.550 9.748 8.976 8.203 7.423 11.121
4-14 11.019 10.983 10.155 9.351 8.578 7.804 7.022 10.725
4-16 10.635 10.599 9.769 8.964 8.189 7.414 6.630 10.338
4-18 10.260 10.224 9.391 8.584 7.809 7.032 6.246 9.959
4-20 9.893 9.856 9.022 8.213 7.436 6.658 5.871 9.589
4-22 9.533 9.496 8.660 7.850 7.072 6.293 5.504 9.226
4-24 9.182 9.144 8.306 7.495 6.715 5.935 5.145 8.871
4-26 8.837 8.799 7.959 7.147 6.366 5.584 4.793 8.523
4-28 8.499 8.461 7.619 6.805 6.024 5.241 4.448 8.182
4-30 8.168 8.129 7.286 6.471 5.688 4.904 4.110 7.848
5-00 7.843 7.804 6.960 6.143 5.360 4.574 3.779 7.521
5-02 7.525 7.485 6.639 5.822 5,037 4.251 3.454 7.199
5-04 7.213 7.173 6.325 5.506 4.721 3.933 3.135 6.884
5-06 6.906 6.866 6.017 5.197 4.410 3.622 2.823 6.575
Ave Life 8.801 8.782 8.530 8.295 8.075 7.864 7.661 8.637
Ave Cashflow 4.576 4.565 4.460 4.367 4.282 4.197 4.110 4.491
Mod Dur 3.720 3.716 3.697 3.682 3.670 3.657 3.642 3.687
window 4/99-2/11 4/99-2/11 4/99-10/09 4/99-1/09 4/99-1/09 4/99-1/09 4/99-1/09 4/99-2/11
Sprd/Avl 456.7/av 453.0/av 369.7/av 289.1/av 211.6/av 134.0/av 55.4/av 426.2/av
Sprd/AvCf 462.6/av 458.9/av 375.4/av 294.5/av 216.8/av 138.9/av 60.1/av 431.9/av
Sprd/Tsy 456.4/9.0 452.7/9.0 369.8/8.5 288.8/8.5 211.7/8.0 133.8/8.0 55.6/7.5 426.4/8.5
Bond Loss 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 0.00 30996099.62 60072839.65 87334510.94 112880503.20 136805509.01 0.00
D2-100 D3_100 D4_100 D5_100
<C> <C> <C> <C>
10.738 9.970 9.207 8.441
10.309 9.539 8.775 8.008
9.891 9.119 8.353 7.584
9.482 8.709 7.941 7.170
9.082 8.307 7.538 6.766
8.691 7.915 7.145 6.371
8.308 7.531 6.760 5.984
7.934 7.156 6.383 5.606
7.568 6.788 6.014 5.236
7.209 6.429 5.653 4.873
6.858 6.076 5.299 4.518
6.514 5.731 4.953 4.170
6.177 5.392 4.613 3.830
5.846 5.060 4.280 3.495
5.521 4.735 3.954 3.168
5.203 4.416 3.633 2.846
4.891 4.102 3.319 2.531
8.168 7.957 7.754 7.559
4.291 4.208 4.126 4.043
3.650 3.638 3.625 3.612
4/99-11/08 4/99-10/08 4/99-10/08 4/99-10/08
261.0/av 183.4/av 106.2/av 28.7/av
266.3/av 188.5/av 111.1/av 33.4/av
261.3/8.0 183.3/8.0 105.9/8.0 28.8/7.5
0.00 0.00 0.00 0.00
60072839.65 87334510.94 112880503.20 136805509.01
</TABLE>
DO_50 50% CPR after LO YM; 0% CDR after 12 mo, 65% recovery, 12 mos. lag
DI_50 50% CPR after LO YM; 1% CDR after 12 mo, 65% recovery, 12 mos. lag
D2_50 50% CPR after LO YM; 2% CDR after 12 mo, 65% recovery, 12 mos. lag
D3_50 50% CPR after LO YM; 3% CDR after 12 mo, 65% recovery, 12 mos. lag
D4_50 50% CPR after LO YM; 4% CDR after 12 mo, 65% recovery, 12 mos. lag
D5_50 50% CPR after LO YM; 0% CDR after 12 mo, 65% recovery, 12 mos. lag
DO_100 100% CPR after LO YM; 0% CDR after 12 mo, 65% recovery, 12 mos. lag
D2_100 100% CPR after LO YM; 2% CDR after 12 mo, 65% recovery, 12 mos. lag
D3_100 100% CPR after LO YM; 3% CDR after 12 mo, 65% recovery, 12 mos. lag
D4_100 100% CPR after LO YM; 4% CDR after 12 mo, 65% recovery, 12 mos. lag
D5_100 100% CPR after LO YM; 0% CDR after 12 mo, 65% recovery, 12 mos. lag
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended for
use by the addressee only, and may not be provided to any third party other than
the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1 A5
Bond Name : D (A/A2 19.75%)
Original Balance : 62,278,000.00 Current Balance : 62,278,0O0.00
Original Coupon : 6.608000 % Current Coupon : 6.608000 %
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout only
<TABLE>
<CAPTION>
Market Levels : TSY03 TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6800 4.6800 4.6800 4.8810 4.9120 4.9840 5.3170 5.4900 5.9648
</TABLE>
Report Generated Thu Feb 18 11:56:19 1999
0.0 100.0 E1
99-16 6.735 6.735 6.733
99-24 6.699 6.699 6.699
100-00 6.662 6.662 6.665
100-08 6.626 6.625 6.631
100-16 6.590 6.589 6.598
100-24 6.554 6.553 6.564
101-00 6.519 6.516 6.531
101-08 6.483 6.480 6.498
101-16 6.448 6.444 6.465
101-24 6.412 6.408 6.432
102-00 6.377 6.373 6.399
102-08 6.342 6.337 6.366
102-16 6.307 6.301 6.333
102-24 6.272 6.266 6.301
103-00 6.237 6.231 6.268
103-08 6.202 6.196 6.236
103-16 6.167 6.160 6.203
Ave Life 9.581 9.414 10.581
Ave Cashflow 7.739 7.624 8.420
Mod Dur 6.924 6.837 7.428
Window 10/08-10/08 8/08-8/08 10/09-10/09
Sprd/Avl 147.0/av 146.9/av 147.1/av
Sprd/AvCf 149.6/a v 149.5/av 150.3/av
Sprd/Tsy 147.1/9.5 146.8/9.5 147.2/10.5
Bond Loss 0.00 0.00 0.00
Coll Loss 0.00 0.00 0.00
E1: Maturity Date are extended by 1 year
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is
intended for use by the addressee only, and may not be provided to any third
party other than the addressee's legal, tax, financial and/or accounting
advisors for the purposes of evaluating such material. Prospective investors are
advised to read carefully, and should rely solely on, the final prospectus and
prospectus supplement (the "Final Prospectus") related to the securities (the
"Securities") in making their investment decisions. The material does not
include all relevant information relating to the Securities described therein,
particularly with respect to the risk and special considerations associated with
an investment in the Securities. All information contained herein is
preliminary, supersedes any information previously provided, and it is
anticipated that it will change further. Any information contained herein will
be more fully described in and will be fully superseded by the Final Prospectus.
Although the information contained in the material is based on sources the
Underwriter(s) believe(s) to be reliable, the Underwriter(s) make(s) no
representation or warranty that such information is accurate or complete. Such
information should not be viewed as projections, forecasts, predictions, or
opinions with respect to value. Prior to making any investment decision, a
prospective investor shall receive and fully review the Final Prospectus.
NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION OF AN OFFER
TO BUY ANY SECURITIES. The Underwriter(s) may hold long or short positions in or
buy and sell Securities or related securities, or perform for or solicit
investment banking services from, any company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1 A6
Bond Type : WAC
Bond Name : E (BBB/Baa2 13.5%)
Original Balance : 81,945,000.00 Current Balance : 81,945,000.00
Original Coupon : 7.238434% Current Coupon : 7.238434%
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6800 4.6800 4.6800 4.8810 4.9120 4.9840 5.3170 5.4900 5.9648
</TABLE>
Report Generated Thu Feb 18 11:56:19 1999
0.0 100.0 E1
97-28 7.548 7.550 7.529
98-04 7.510 7.512 7.493
98-12 7.472 7.474 7.458
98-20 7.434 7.435 7.423
98-28 7.396 7.397 7.387
99-04 7.359 7.359 7.352
99-12 7.321 7.322 7.317
99-20 7.284 7.284 7.282
99-28 7.247 7.246 7.248
100-04 7.210 7.209 7.213
100-12 7.173 7.172 7.178
100-20 7.136 7.134 7.144
100-28 7.099 7.097 7.110
101-04 7.062 7.060 7.075
101-12 7.026 7.024 7.041
101-20 6.990 6.987 7.007
101-28 6.953 6.950 6.973
Ave Life 9.581 9.459 10.581
Ave Cashflow 7.647 7.565 8.316
Mod Dur 6.716 6.657 7.188
Window 10/08-10/08 08/08-9/08 10/09-10/09
Sprd/Avl 226.9/av 227.0/av 225.4/av
Sprd/AvCf 229.7/av 229.7/av 228.8/av
Sprd/Tsy 227.0/9.5 227.0/9.5 225.5/10.5
Bond Loss 0.00 0.00 0.00
Coll Loss 0.00 0.00 0.00
E1: Maturity Date are extended by 1 year
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1 A7
Bond Type : WAC
Bond Name : F (BBB-/Baa3 12.00%)
Original Balance : 19,667,000.00 Current Balance : 19,667,000.00
Original Coupon : 7.238434 % Current Coupon : 7.238434%
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
4/15/99 :
Prepay Method : CPR
Scenario : Lockout only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6800 4.6800 4.6800 4.8810 4.9120 4.9840 5.3170 5.4900 5.9648
</TABLE>
Report Generated Thu Feb 18 11:56:19 1999
0.0 100.0 E1
91-14 8.574 8.579 8.489
91-22 8.533 8.537 8.450
91-30 8.491 8.495 8.411
92-06 8.450 8.454 8.373
92-14 8.409 8.413 8.334
92-22 8.368 8.372 8.296
92-30 8.327 8.331 8.257
93-06 8.286 8.290 8.219
93-14 8.246 8.249 8.181
93-22 8.205 8.209 8.144
93-30 8.165 8.168 8.106
94-06 8.125 8.128 8.068
94-14 8.085 8.088 8.031
94-22 8.045 8.048 7.994
94-30 8.005 8.008 7.956
95-06 7.965 7.968 7.919
95-14 7.926 7.929 7.882
Ave Life 9.581 9.543 10.581
Ave Cashflow, 7.647 7.622 8.316
Mod Dur 6.584 6.567 7.037
Window 10/08-10/08 9/08-10/08 10/09-10/09
Sprd/Avl 326.8/av 327.2/av 318.8/av
Sprd/AvCf 329.5/av 329.9/av 322.2/av
Sprd/Tsy 326.9/9.5 327.2/9.5 318.9/10.5
Bond Loss 0.00 0.00 0.00
Coll Loss 0.00 0.00 0.00
E1: Maturity Date are extended by 1 year
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is
intended for use by the addressee only, and may not be provided to any third
party other than the addressee's legal, tax, financial and/or accounting
advisors for the purposes of evaluating such material. Prospective investors are
advised to read carefully, and should rely solely on, the final prospectus and
prospectus supplement (the "Final Prospectus") related to the securities (the
"Securities") in making their investment decisions. The material does not
include all relevant information relating to the Securities described therein,
particularly with respect to the risk and special considerations associated with
an investment in the Securities. All information contained herein is
preliminary, supersedes any information previously provided, and it is
anticipated that it will change further. Any information contained herein will
be more fully described in and will be fully superseded by the Final Prospectus.
Although the information contained in the material is based on sources the
Underwriter(s) believe(s) to be reliable, the Underwriter(s) make(s) no
representation or warranty that such information is accurate or complete. Such
information should not be viewed as projections, forecasts, predictions, or
opinions with respect to value. Prior to making any investment decision, a
prospective investor shall receive and fully review the Final Prospectus.
NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION OF AN OFFER
TO BUY ANY SECURITIES. The Underwriter(s) may hold long or short positions in or
buy and sell Securities or related securities, or perform for or solicit
investment banking services from, any company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1 X
Bond Type : WACIO
Bond Name : X (AAA/AAA IO)
Original Balance : 1,311,125,920.05 Current Balance : 1,311,125,920.05
Original Coupon : 0.885946 % Current Coupon : 0.885946%
Deal Description : COMM 99-1 (RED) TO CALL
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout YM only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.7100 4.7100 4.7100 4.9430 4.9500 5.0400 5.3600 5.4900 5.9648
</TABLE>
Report Generated Mon Feb 22 15:00:23 1999
0.0 100.0 DEF3P DEF5P DEF7P
4-06 12.644 12.365 10.957 9.890 8.809
4-08 12.224 11.940 10.528 9.457 8.372
4-10 11.813 11.526 10.110 9.035 7.944
4-12 11.411 11.121 9.702 8.622 7.527
4-14 11.019 10.725 9.303 8.219 7.119
4-16 10.635 10.338 8.913 7.825 6.720
4-18 10.260 9.959 8.531 7.439 6.330
4-20 9.893 9.589 8.158 7.062 5.949
4-22 9.533 9.226 7.792 6.693 5.575
4-24 9.182 8.871 7.434 6.332 5.210
4-26 8.837 8.523 7.084 5.978 4.852
4-28 8.499 8.182 6.740 5.631 4.501
4-30 8.168 7.848 6.404 5.291 4.157
5-00 7.843 7.521 6.074 4.958 3.820
5-02 7.525 7.199 5.750 4.631 3.490
5-04 7.213 6.884 5.433 4.310 3.166
5-06 6.906 6.575 5.121 3.996 2.848
Ave Life 8.801 8.637 8.263 7.946 7.649
Ave Cashflow 4.576 4.491 4.330 4.186 4.038
Mod Dur 3.720 3.687 3.658 3.622 3.581
Window 4/99-2/11 4/99-2/11 4/99-1/09 4/99-1/09 4/99-1/09
Sprd/Avl 451.5/av 421.1/av 278.3/av 169.0/av 57.8/av
Sprd/AvCf 458.4/av 427.7/av 284.4/av 174.5/av 62.8/av
Sprd/Tsy 451.1/9.0 421.3/8.5 277.9/8.5 168.9/8.0 58.0/7.5
Bond Loss 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 0.00 76060606.32 120223331.8 159696401.82
DEF3P 3% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF5P 5% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF7P 7% CDR after 24 mo, 65% recovery, 12 mos. lag
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is
intended for use by the addressee only, and may not be provided to any third
party other than the addressee's legal, tax, financial and/or accounting
advisors for the purposes of evaluating such material. Prospective investors are
advised to read carefully, and should rely solely on, the final prospectus and
prospectus supplement (the "Final Prospectus") related to the securities (the
"Securities") in making their investment decisions. The material does not
include all relevant information relating to the Securities described therein,
particularly with respect to the risk and special considerations associated with
an investment in the Securities. All information contained herein is
preliminary, supersedes any information previously provided, and it is
anticipated that it will change further. Any information contained herein will
be more fully described in and will be fully superseded by the Final Prospectus.
Although the information contained in the material is based on sources the
Underwriter(s) believe(s) to be reliable, the Underwriter(s) make(s) no
representation or warranty that such information is accurate or complete. Such
information should not be viewed as projections, forecasts, predictions, or
opinions with respect to value. Prior to making any investment decision, a
prospective investor shall receive and fully review the Final Prospectus.
NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION OF AN OFFER
TO BUY ANY SECURITIES. The Underwriter(s) may hold long or short positions in or
buy and sell Securities or related securities, or perform for or solicit
investment banking services from, any company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1 A1
Bond Name : A1 (AAA/Aaa2 31.0%)
Original Balance : 181,434,000.00 Current Balance : 181,434,000.00
Original Coupon : 6.055000 % Current Coupon : 6.055000 %
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6800 4.6800 4.6800 4.8810 4.9120 4.9840 5.3170 5.4900 5.9648
</TABLE>
Report Generated Thu Feb 18 10:29:57 1999
0.0 25.0 50.0 75.0 100.0
98-16 6.446 6.550 6.602 6.631 6.662
98-24 6.384 6.483 6.534 6.561 6.592
99-00 6.321 6.417 6.466 6.492 6.521
99-08 6.259 6.351 6.398 6.423 6.451
99-16 6.197 6.286 6.330 6.355 6.381
99-24 6.135 6.221 6.263 6.286 6.312
100-00 6.074 6.156 6.196 6.218 6.242
100-08 6.013 6.091 6.130 6.150 6.173
100-16 5.952 6.026 6.063 6.083 6.104
100-24 5.891 5.962 5.997 6.016 6.036
101-00 5.830 5.898 5.931 5.949 5.967
101-08 5.770 5.834 5.865 5.882 5.899
101-16 5.710 5.770 5.800 5.815 5.831
101-24 5.650 5.707 5.734 5.749 5.764
102-00 5.590 5.643 5.669 5.683 5.696
102-08 5.531 5.580 5.605 5.617 5.629
102-16 5.472 5.518 5.540 5.551 5.562
Ave Life 5.000 4.668 4.518 4.440 4,357
Ave Cashflow 4.572 4.284 4.157 4.093 4.029
Mod Dur 4.075 3.848 3.740 3.679 3.609
Window 4/99-2/08 4/99-7/07 4/99-6/07 4/99-5/07 4/99-5/07
Sprd/Avl 104.0/av 111.8/av 115.6/av 117.7/av 119.9/av
Sprd/AvCf 104.4/av 112.2/av 116.0/av 118.0/av 120.2/av
Sprd/Tsy 104.0/5.0 111.9/4.5 115.6/4.5 117.6/4.5 119.7/4.5
Bond Loss 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 0.00 0.00 0.00 0.00
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1 A2
Bond Name : A2 (AAA/Aaa2 31.0%)
Original Balance : 723,242,000.00 Current Balance : 723,242,000.00
Original Coupon : 6.332000 % Current Coupon : 6.332000 %
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6800 4.6800 4.6800 4.8810 4.9120 4.9840 5.3170 5.4900 5.9648
Report Generated : Thu Feb 18 10:29:58 1999
</TABLE>
0.0 25.0 50.0 75.0 100.0
99-16 6.453 6.454 6.454 6.454 6.454
99-24 6.417 6.417 6.417 6.417 6.417
100-00 6.380 6.380 6.380 6.380 6.379
100-08 6.343 6.343 6.343 6.343 6.342
100-16 6.307 6.307 6.307 6.306 6.305
100-24 6.271 6.270 6.270 6.270 6.268
101-00 6.234 6.234 6.234 6.233 6.231
101-08 6.198 6.198 6.198 6.197 6.194
101-16 6.162 6.162 6.161 6.161 6.157
101-24 6.126 6.126 6.125 6.125 6.121
102-00 6.091 6.090 6.089 6.089 6.084
102-08 6.055 6.054 6.054 6.053 6.048
102-16 6.019 6.019 6.018 6.017 6.012
102-24 5.984 5.983 5.982 5.981 5.976
103-00 5.949 5.948 5.947 5.946 5.940
103-08 5.913 5.912 5.912 5.910 5.904
103-16 5.878 5.877 5.876 5.875 5.868
Ave Life 9.247 9.222 9.202 9.179 9.016
Ave Cashflow, 7.555 7.537 7.524 7.507 7.393
Mod Dur 6.833 6.819 6.809 6.796 6.706
Window 2/08-9/08 7/07-9/08 6/07-9/08 5/07-9/08 5/07-7/08
Sprd/Avl 118.9/av 118.9/av 118.9/av 118.9/av 118.8/av
Sprd/AvCf 121.3/av 121.3/av 121.3/av 121.3/av 121.1/av
Sprd/Tsy 119.3/9.0 119.2/9.0 119.2/9.0 119.1/9.0 118.8/9.0
Bond Loss 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 0.00 0.00 0.00 0.00
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1 A3
Bond Name : B (AA/Aa2 26.25%)
Original Balance : 62,278,000.00 Current Balance : 62,278,000.00
Original Coupon : 6.450000 % Current Coupon : 6.450000 %
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6800 4.6800 4.6800 4.8810 4.9120 4.9840 5.3170 5.4900 5.9648
</TABLE>
Report Generated Thu Feb 18 10:29:58 1999
0.0 25.0 50.0 75.0 100.0
99-16 6.573 6.573 6.573 6.573 6.574
99-24 6.537 6.537 6.537 6.537 6.537
100-00 6.501 6.501 6.501 6.501 6.501
100-08 6.465 6.465 6.465 6.465 6.464
100-16 6.429 6.429 6.429 6.429 6.428
100-24 6.394 6.394 6.393 6.393 6.392
101-00 6.358 6.358 6.358 6.357 6.355
101-08 6.323 6.323 6.322 6.322 6.319
101-16 6.287 6.287 6.287 6.286 6.284
101-24 6.252 6.252 6.251 6.251 6.248
102-00 6.217 6.217 6.216 6.216 6.212
102-08 6.182 6.182 6.181 6.180 6.177
102-16 6.147 6.147 6.146 6.145 6.141
102-24 6.112 6.112 6.111 6.110 6.106
103-00 6.078 6.077 6.076 6.076 6.070
103-08 6.043 6.042 6.042 6.041 6.035
103-16 6.009 6.008 6.007 6.006 6.000
Ave Life 9.554 9.539 9.519 9.497 9.354
Ave Cashflow 7.748 7.737 7.724 7.708 7.609
Mod Dur 6.961 6.953 6.943 6.931 6.854
Window 9/08-10/08 9/08-10/08 9/08-10/08 9/08-9/08 7/08-8/08
Sprd/Avl 131.0/av 131.0/av 131.0/av 131.0/av 130.9/av
Sprd/AvCf 133.6/av 133.6/av 133.6/av 133.5/av 133.4/av
Sprd/Tsy 131.1/9.5 131.0/9.5 131.0/9.5 131.0/9.5 130.7/9.5
Bond Loss 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 0.00 0.00 0.00 0.00
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is
intended for use by the addressee only, and may not be provided to any third
party other than the addressee's legal, tax, financial and/or accounting
advisors for the purposes of evaluating such material. Prospective investors are
advised to read carefully, and should rely solely on, the final prospectus and
prospectus supplement (the "Final Prospectus") related to the securities (the
"Securities") in making their investment decisions. The material does not
include all relevant information relating to the Securities described therein,
particularly with respect to the risk and special considerations associated with
an investment in the Securities. All information contained herein is
preliminary, supersedes any information previously provided, and it is
anticipated that it will change further. Any information contained herein will
be more fully described in and will be fully superseded by the Final Prospectus.
Although the information contained in the material is based on sources the
Underwriter(s) believe(s) to be reliable, the Underwriter(s) make(s) no
representation or warranty that such information is accurate or complete. Such
information should not be viewed as projections, forecasts, predictions, or
opinions with respect to value. Prior to making any investment decision, a
prospective investor shall receive and fully review the Final Prospectus.
NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION OF AN OFFER
TO BUY ANY SECURITIES. The Underwriter(s) may hold long or short positions in or
buy and sell Securities or related securities, or perform for or solicit
investment banking services from, any company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1 A4
Bond Name : C (AA/Aa3 24.50%)
Original Balance : 22,944,000.00 Current Balance : 22,944,000.00
Original Coupon : 6.509000 % Current Coupon : 6.509000 %
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSYO1Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6800 4.6800 4.6800 4.8810 4.9120 4.9840 5.3170 5.4900 5.9648
</TABLE>
Report Generated Thu Feb 18 10:29:58 1999
0.0 25.0 50.0 75.0 100.0
99-16 6.634 6.634 6.634 6.634 6.634
99-24 6.597 6.597 6.597 6.597 6.597
100-00 6,561 6.561 6.561 6.561 6.561
100-08 6.525 6.525 6.525 6.525 6.525
100-16 6.490 6.490 6.490 6.490 6.488
100-24 6.454 6.454 6.454 6.454 6.452
101-00 6.418 6.418 6.418 6.418 6.416
101-08 6.383 6.383 6.383 6.383 6.380
101-16 6.348 6.348 6.348 6.347 6.344
101-24 6.312 6.312 6.312 6.312 6.309
102-00 6.277 6.277 6.277 6.277 6.273
102-08 6.242 6.242 6.242 6.242 6.238
102-16 6.207 6.207 6.207 6.207 6.202
102-24 6.172 6.172 6.172 6.172 6.167
103-00 6.138 6.138 6.138 6.137 6.132
103-08 6.103 6.103 6.103 6.102 6.097
103-16 6.068 6.068 6.068 6.068 6.062
Ave Life 9.581 9.581 9.581 9.562 9.414
Ave Cashflow 7.756 7.756 7.756 7.743 7.641
Mod Dur 6.956 6.956 6.956 6.946 6.868
Window 10/08-10/08 10/08-10/081 0/08-10/08 9/08-10/08 8/08-8/08
Sprd/Avl 137.0/av 137.0/av 137.0/av 136.9/av 136.9/av
Sprd/AvCf 139.6/av 139.6/av 139.6/av 139.6/av 139.4/av
Sprd/Tsy 137.1/9.5 137.1/9.5 137.1/9.5 137.0/9.5 136.8/9.5
Bond Loss 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 0.00 0.00 0.00 0.00
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1 A5
Bond Name : D (A/A2 19.75%)
Original Balance : 62,278,000.00 Current Balance : 62,278,000,00
Original Coupon : 6.608000 % Current Coupon : 6.608000 %
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSYO1Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6800 4.6800 4.6800 4.8810 4.9120 4.9840 5.3170 5.4900 5.9648
</TABLE>
Report Generated Thu Feb 18 10:29:58 1999
0.0 25.0 50.0 75.0 100.0
99-16 6.735 6.735 6.735 6.735 6.735
99-24 6.699 6.699 6.699 6.699 6.699
100-00 6.662 6.662 6.662 6.662 6.662
100-08 6.626 6.626 6.626 6.626 6.625
100-16 6.590 6.590 6.590 6.590 6.589
100-24 6.554 6.554 6.554 6.554 6.553
101-00 6.519 6.519 6.519 6.519 6.516
101-08 6.483 6.483 6.483 6.483 6.480
101-16 6.448 6.448 6.448 6.448 6.444
101-24 6.412 6.412 6.412 6.412 6.408
102-00 6.377 6.377 6.377 6.377 6.373
102-08 6.342 6.342 6.342 6.342 6.337
102-16 6.307 6.307 6.307 6.307 6.301
102-24 6.272 6.272 6.272 6.272 6.266
103-00 6.237 6.237 6.237 6.237 6.231
103-08 6.202 6.202 6.202 6.202 6.196
103-16 6.167 6.167 6.167 6.167 6.160
Ave Life 9.581 9.581 9.581 9.581 9.414
Ave Cashflow 7.739 7.739 7.739 7.739 7.624
Mod Dur 6.924 6.924 6.924 6.924 6.837
Window 10/08-10/08 10/08-10/08 10/08-10/08 10/08-10/08 8/08-8/08
Sprd/Avl 147.0/av 147.0/av 147.0/av 147.0/av 146.9/av
Sprd/AvCf 149.6/av 149.6/av 149.6/av 149.6/av 149.5/av
Sprd/Tsy 147.1/9.5 147.1/9.5 147.1/9.5 147.1/9.5 146.8/9.5
Bond Loss 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 0.00 0.00 0.00 0.00
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), privileged and confidential, is
intended for use by the addressee only, and may not be provided to any third
party other than the addressee's legal, tax, financial and/or accounting
advisors for the purposes of evaluating such material. Prospective investors are
advised to read carefully, and should rely solely on, the final prospectus and
prospectus supplement (the "Final Prospectus") related to the securities (the
"Securities") in making their investment decisions. The material does not
include all relevant information relating to the Securities described therein,
particularly with respect to the risk and special considerations associated with
an investment in the Securities. All information contained herein is
preliminary, supersedes any information previously provided, and it is
anticipated that it will change further. Any information contained herein will
be more fully described in and will be fully superseded by the Final Prospectus.
Although the information contained in the material is based on sources the
Underwriter(s) believe(s) to be reliable, the Underwriter(s) make(s) no
representation or warranty that such information is accurate or complete. Such
information should not be viewed as projections, forecasts, predictions, or
opinions with respect to value. Prior to making any investment decision, a
prospective investor shall receive and fully review the Final Prospectus.
NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO SELL OR SOLICITATION OF AN OFFER
TO BUY ANY SECURITIES. The Underwriter(s) may hold long or short positions in or
buy and sell Securities or related securities, or perform for or solicit
investment banking services from, any company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1 A6
Bond Type : WAC
Bond Name : E (BBB/Baa2 13.5%)
Original Balance : 81,945,000.00 Current Balance : 81,945,000.00
Original Coupon : 7.238434 % Current Coupon : 7.238434 %
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
:4.6800 4.6800 4.6800 4.8810 4.9120 4.9840 5.3170 5.4900 5.9648
</TABLE>
Report Generated Thu Feb 18 10:29:59 1999
0.0 25.0 50.0 75.0 100.0
97-28 7.548 7.547 7.547 7.547 7.550
98-04 7.510 7.509 7.509 7.509 7.512
98-12 7.472 7.471 7.471 7.471 7.474
98-20 7.434 7.433 7.433 7.433 7.435
98-28 7.396 7.395 7.395 7.395 7.397
99-04 7.359 7.358 7.358 7.358 7.359
99-12 7.321 7.320 7.320 7.320 7.322
99-20 7.284 7.283 7.283 7.283 7.284
99-28 7.247 7.246 7.246 7.246 7.246
100-04 7.210 7.209 7.208 7.208 7.209
100-12 7.173 7.172 7.171 7.171 7.172
100-20 7.136 7.135 7.135 7.135 7.134
100-28 7.099 7.098 7.098 7.098 7.097
101-04 7.062 7.062 7.061 7.061 7.060
101-12 7.026 7.025 7.025 7.025 7.024
101-20 6.990 6.989 6.988 6.988 6.987
101-28 6.953 6.952 6.952 6.952 6.950
Ave Life 9.581 9.581 9.581 9.581 9.459
Ave Cashflow 7.647 7.647 7.647 7.647 7.565
Mod Dur 6.716 6.716 6.716 6.716 6.657
Window 10/08-10/08 10/08-10/0810/08-10/08 10/08-10/08 8/08-9/08
Sprd/Avl 226.9/av 226.8/av 226.8/av 226.8/av 227.0/av
Sprd/AvCf 229.7/av 229.6/av 229.5/av 229.5/av 229.7/av
Sprd/Tsy 227.0/9.5 226.9/9.5 226.9/9.5 226.9/9.5 227.0/9.5
Bond Loss 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 0.00 0.00 0.00 0.00
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1 A7
Bond Type : WAC
Bond Name : F (BBB-/Baa3 12.00%)
Original Balance : 19,667,000.00 Current Balance : 19,667,000.00
Original Coupon : 7.238434 % Current Coupon : 7.238434 %
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6800 4.6800 4.6800 4.8810 4.9120 4.9840 5.3170 5.4900 5.9648
</TABLE>
Report Generated Thu Feb 18 10:29:59 1999
0.0 25.0 50.0 75.0 100.0
91-14 8.574 8.573 8.573 8.573 8.579
91-22 8.533 8.532 8.531 8.531 8.537
91-30 8.491 8.490 8.490 8.490 8.495
92-06 8.450 8.449 8.449 8.449 8.454
92-14 8.409 8.408 8.407 8.407 8.413
92-22 8.368 8.367 8.366 8.366 8.372
92-30 8.327 8.326 8.326 8.326 8.331
93-06 8.286 8.285 8.285 8.285 8.290
93-14 8.246 8.245 8.244 8.244 8.249
93-22 8.205 8.204 8.204 8.204 8.209
93-30 8.165 8.164 8.164 8.164 8.168
94-06 8.125 8.124 8.123 8.123 8.128
94-14 8.085 8.084 8.083 8.083 8.088
94-22 8.045 8.044 8.044 8.043 8.048
94-30 8.005 8.004 8.004 8.004 8.008
95-06 7.965 7.965 7.964 7.964 7.968
95-14 7.926 7.925 7.925 7.925 7.929
Ave Life 9.581 9.581 9.581 9.581 9.543
Ave Cashflow 7.647 7.647 7.647 7.647 7.622
Mod Dur 6.584 6.584 6.584 6.584 6.567
Window 10/08-10/08 10/08-10/08 10/08-10/08 10/08-10/08 9/08-10/08
Sprd/Avl 326.8/av 326.7/av 326.6/av 326.6/av 327.2/av
Sprd/AvCf 329.5/av 329.5/av 329.4/av 329.4/av 329.9/av
Sprd/Tsy 326.9/9.5 326.8/9.5 326.8/9.5 326.7/9.5 327.2/9.5
Bond Loss 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 0.00 0.00 0.00 0.00
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
<TABLE>
<S> <C> <C> <C>
Bond Id : COMM 99-1 X
Bond Type : WACIO
Bond Name : X (AAA/AAA IO)
Original Balance : 1,311,125,920.05 Current Balance : 1,311,125,920.05
Original Coupon : 0.885946 % Current Coupon : 0.885946 %
Deal Description : COMM 99-1 (RED) TO CALL
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout only
</TABLE>
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6800 4.6800 4.6800 4.8810 4.9120 4.9840 5.3170 5.4900 5.9648
</TABLE>
Report Generated Thu Feb 18 10:46:46 1999
0.0 25.0 50.0 75.0 100.0
4-06 12.644 12.685 12.701 12.695 12.513
4-08 12.224 12.261 12.276 12.268 12.082
4-10 11.813 11.848 11.861 11.852 11.661
4-12 11.411 11.444 11.455 11.445 11.250
4-14 11.019 11.049 11.059 11.047 10.848
4-16 10.635 10.663 10.671 10.658 10.455
4-18 10.260 10.286 10.292 10,278 10.071
4-20 9.893 9.916 9.921 9.906 9.695
4-22 9.533 9.555 9.558 9.541 9.327
4-24 9.182 9.200 9.202 9.185 8.966
4-26 8.837 8.854 8.854 8.835 8.613
4-28 8.499 8.514 8.513 8.493 8.268
4-30 8.168 8.181 8.179 8.157 7.929
5-00 7.843 7.854 7.851 7.828 7.596
5-02 7.525 7.534 7.529 7.506 7.271
5-04 7.213 7.220 7.214 7.189 6.951
5-06 6.906 6.911 6.904 6.879 6.637
Ave Life 8.801 8.737 8.703 8.676 8.539
Ave Cashflow 4.576 4.548 4.536 4.527 4.463
Mod Dur 3.720 3.697 3.682 3.670 3.633
Window 4/99-2/11 4/99-11/10 4/99-11/10 4/99-11/10 4/99-11/10
Sprd/Avl 456.7/av 458.9/av 459.3/av 457.6/av 436.4/av
Sprd/AvCf 462.6/av 464.7/av 465.1/av 463.4/av 442.0/av
Sprd/Tsy 456.4/9.0 459.2/8.5 459.6/8.5 457.9/8.5 436.4/8.5
Bond Loss 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 0.00 0.00 0.00 0.00
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1_DEF A1
Bond Name : Al (AAA/Aaa2 31.0%)
Original Balance : 181,434,000.00 Current Balance : 181,434,000.00
Original Coupon : 6.055000 % Current Coupon : 6.055000 %
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout YM and penalty (greater than)3.0%
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSYO1Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6800 4.6800 4.6800 4.8810 4.9120 4.9840 5.3170 5.4900 5.9648
</TABLE>
Report Generated Thu Feb 18 10:33:12 1999
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
0.0 DEF1 DEF2 DEF3 DEF4 DEF5
98-16 6.446 6.478 6.502 6.521 6.537 6.549
98-24 6.384 6.409 6.428 6.444 6.456 6.466
99-00 6.321 6.340 6.355 6.367 6.376 6.383
99-08 6.259 6.272 6.282 6.290 6.296 6.301
99-16 6.197 6.204 6.209 6.213 6.216 6.219
99-24 6.135 6.136 6.136 6.136 6.136 6.137
100-00 6.074 6.068 6.064 6.060 6.057 6.055
100-08 6.013 6.001 5.991 5.984 5.978 5.974
100-16 5.952 5.934 5.920 5.908 5.900 5.892
100-24 5.891 5.867 5.848 5.833 5.821 5.811
101-00 5.830 5.800 5.776 5.758 5.743 5.731
101-08 5.770 5.734 5.705 5.683 5.665 5.651
101-16 5.710 5.668 5.634 5.608 5.587 5.571
101-24 5.650 5.602 5.564 5.534 5.510 5.491
102-00 5.590 5.536 5.493 5.460 5.433 5.411
102-08 5.531 5.470 5.423 5.386 5.356 5.332
102-16 5.472 5.405 5.353 5.312 5.279 5.253
Ave Life 5.000 4.438 4.080 3.838 3.665 3.536
Ave Cashflow 4.572 4.075 3.758 3.543 3.389 3.274
Mod Dur 4.075 3.703 3.456 3.284 3.158 3.063
Window 4/99-2/08 4/99-11/06 4/99-12/05 4/99-5/05 4/99-11/04 4/99-7/04
Sprd/Avl 104.0/av 102.8/av 101.7/av 100.8/av 100.1/av 99.5/av
Sprd/AvCf 104.4/av 103.1/av 102.0/av 101.2/av 100.4/av 99.8/av
Sprd/Tsy 104.0/5.0 102.7/4.5 101.8/4.01 00.7/4.0 100.3/3.5 99.6/3.5
Bond Loss 0.00 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 26745068.60 52077330.76 76060606.32 98756268.89 120223331.83
</TABLE>
DEF1 1% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF2 2% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF3 3% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF4 4% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF5 5% CDR after 24 mo, 65% recovery, 12 mos. lag
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1_DEF A2
Bond Name : A2 (AAA/Aaa2 31.0%)
Original Balance : 723,242,000.00 Current Balance : 723,242,000.00
Original Coupon : 6.332000 % Current Coupon : 6.332000 %
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout YM and penalty (greater than)3.0%
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6800 4.6800 4.6800 4.8810 4.9120 4.9840 5.3170 5.4900 5.9648
</TABLE>
Report Generated Thu Feb 18 10:33:12 1999
<TABLE>
<CAPTION>
0.0 DEF1 DEF2 DEF3 DEF4 DEF5
<S> <C> <C> <C> <C> <C> <C>
99-16 6.453 6.454 6.454 6.454 6.455 6.455
99-24 6.417 6.417 6.417 6.417 6.417 6.417
100-00 6.380 6.380 6.380 6.379 6.379 6.378
100-08 6.343 6.343 6.342 6.342 6.341 6.340
100-16 6.307 6.306 6.306 6.304 6.303 6.302
100-24 6.271 6.270 6.269 6.267 6.265 6.263
101-00 6.234 6.234 6.232 6.230 6.228 6.225
101-08 6.198 6.197 6.195 6.193 6.190 6.188
101-16 6.162 6.161 6.159 6.156 6.153 6.150
101-24 6.126 6.125 6.123 6.119 6.116 6.112
102-00 6.091 6.089 6.086 6.083 6.079 6.075
102-08 6.055 6.053 6.050 6.046 6.042 6.037
102-16 6.019 6.018 6.014 6.010 6.005 6.000
102-24 5.984 5.982 5.978 5.974 5.968 5.963
103-00 5.949 5.946 5.943 5.937 5.932 5.925
103-08 5.913 5.911 5.907 5.901 5.895 5.889
103-16 5.878 5.876 5.871 5.865 5.859 5.852
Ave Life 9.247 9.195 9.097 8.975 8.843 8.704
Ave Cashflow 7.555 7.519 7.454 7.374 7.287 7.196
Mod Dur 6.833 6.804 6.747 6.676 6.596 6.513
Window 2/08-9/08 11/06-9/08 12/05-9/08 5/05-9/08 11/04-9/08 7/04-9/08
Sprd/Avl 118.9/av 118.9/av 118.8/av 118.7/av 118.6/av 118.4/av
Sprd/AvCf 121.3/av 121.3/av 121.2/av 121.0/av 120.8/av 120.6/av
Sprd/Tsy 119.3/9.0 119.2/9.0 118.9/9.0 118.7/9.0 118.4/9.0 118.7/8.5
Bond Loss 0.00 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 26745068.60 52077330.76 76060606.32 98756268.89 120223331.83
</TABLE>
DEF1 1% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF2 2% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF3 3% CDR after 24 mo, 65% recovery,12 mos. lag
DEF4 4% CDR after 24 mo, 65% recovery,12 mos. lag
DEF5 5% CDR after 24 mo, 65% recovery,12mos. lag
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1_DEF A3
Bond Name : B (AA/Aa2 26.25%)
Original Balance : 62,278,000.00 Current Balance : 62,278,000.00
Original Coupon : 6.450000 % Current Coupon : 6.450000 %
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout YM and penalty 3.0%
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6800 4.6800 4.6800 4.8810 4.9120 4.9840 5.3170 5.4900 5.9648
</TABLE>
Report Generated Thu Feb 18 10:33:12 1999
<TABLE>
<CAPTION>
0.0 DEF1 DEF2 DEF3 DEF4 DEF5
<S> <C> <C> <C> <C> <C> <C>
99-16 6.573 6.573 6.573 6.573 6.573 6.573
99-24 6.537 6.537 6.537 6.537 6.537 6.537
100-00 6.501 6.501 6.501 6.501 6.501 6.501
100-08 6.465 6.465 6.465 6.465 6.465 6.465
100-16 6.429 6.429 6.430 6.430 6.430 6.430
100-24 6.394 6.394 6.394 6.394 6.394 6.394
101-00 6.358 6.358 6.358 6.358 6.358 6.358
101-08 6.323 6.323 6.323 6.323 6.323 6.323
101-16 6.287 6.287 6.288 6.288 6.288 6.288
101-24 6.252 6.252 6.252 6.252 6.252 6.252
102-00 6.217 6.217 6.217 6.217 6.217 6.217
102-08 6.182 6.182 6.182 6.182 6.182 6.182
102-16 6.147 6.147 6.147 6.147 6.147 6.147
102-24 6.112 6.112 6.112 6.113 6.113 6.113
103-00 6.078 6.078 6.078 6.078 6.078 6.078
103-08 6.043 6.043 6.043 6.043 6.043 6.044
103-16 6.009 6.009 6.009 6.009 6.009 6.009
Ave Life 9.554 9.557 9.559 9.562 9.564 9.566
Ave Cashflow 7.748 7.750 7.751 7.753 7.755 7.756
Mod Dur 6.961 6.963 6.964 6.965 6.966 6.968
Window 9/08-10/08 9/08-10/08 9/08-10/08 9/08-10/08 9/08-10/08 9/08-10/08
Sprd/Avl 131.0/av 131.0/av 131.0/av 131.0/av 131.0/av 131.0/av
Sprd/AvCf 133.6/av 133.6/av 133.6/av 133.6/av 133.6/av 133.6/av
Sprd/Tsy 131.1/9.5 131.1/9.5 131.1/9.5 131.1/9.5 131.1/9.5 131.1/9.5
Bond Loss 0.00 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 26745068.60 52077330.76 76060606.32 98756268.89 120223331.83
</TABLE>
DEF1 1% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF2 2% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF3 3% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF4 4% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF5 5% CDR after 24 mo, 65% recovery, 12 mos. lag
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1_DEF A4
Bond Name : C (AA/Aa3 24.50%)
Original Balance : 22,944,000.00 Current Balance : 22,944,000.00
Original Coupon : 6.509000 % Current Coupon : 6.509000 %
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout YM and penalty (greater than)3.0%
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6800 4.6800 4.6800 4.8810 4.9120 4.9840 5.3170 5.4900 5.9648
</TABLE>
Report Generated Thu Feb 18 10:33:13 1999
<TABLE>
<CAPTION>
0.0 DEF1 DEF2 DEF3 DEF4 DEF5
<S> <C> <C> <C> <C> <C> <C>
99-16 6.634 6.634 6.634 6.634 6.634 6.634
99-24 6.597 6.597 6.597 6.597 6.597 6.597
100-00 6.561 6.561 6.561 6.561 6.561 6.561
100-08 6.525 6.525 6.525 6.525 6.525 6.525
100-16 6.490 6.490 6.490 6.490 6.490 6.490
100-24 6.454 6.454 6.454 6.454 6.454 6.454
101-00 6.418 6.418 6.418 6.418 6.418 6.418
101-08 6.383 6.383 6.383 6.383 6.383 6.383
101-16 6.348 6.348 6.348 6.348 6.348 6.348
101-24 6.312 6.312 6.312 6.312 6.312 6.312
102-00 6.277 6.277 6.277 6.277 6.277 6.277
102-08 6.242 6.242 6.242 6.242 6.242 6.242
102-16 6.207 6.207 6.207 6.207 6.207 6.207
102-24 6.172 6.172 6.172 6.172 6.172 6.172
103-00 6.138 6.138 6.138 6.138 6.138 6.138
103-08 6.103 6.103 6.103 6.103 6.103 6.103
103-16 6.068 6.068 6.068 6.068 6.068 6.068
Ave Life 9.581 9.581 9.581 9.581 9.581 9.581
Ave Cashflow 7.756 7.756 7.756 7.756 7.756 7.756
Mod Dur 6.956 6.956 6.956 6.956 6.956 6.956
Window 10/08-10/08 10/08-10/08 10/08-10/08 10/08-10/08 10/08-10/08 10/08-10/08
Sprd/Avl 137.0/av 137.0/av 137.0/av 137.0/av 137.0/av 137.0/av
Sprd/AvCf 139.6/av 139.6/av 139.6/av 139.6/av 139.6/av 139.6/av
Sprd/Tsy 137.1/9.5 137.1/9.5 137.1/9.5 137.1/9.5 137.1/9.5 137.1/9.5
Bond Loss 0.00 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 26745068.60 52077330.76 76060606.32 98756268.89 120223331.83
</TABLE>
DEF1 1% CDR after 24 mo, 65% recovery,12 mos. lag
DEF2 2% CDR after 24 mo, 65% recovery,12 mos. lag
DEF3 3% CDR after 24 mo, 65% recovery,12 mos. lag
DEF4 4% CDR after 24 mo, 65% recovery,12 mos. lag
DEF5 5% CDR after 24 mo, 65% recovery,12mos. lag
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank SECURITIES CMO MODel
Price / Yield Report
Bond Id : COMM 99-1_DEF A5
Bond Name : D (A/A2 19.75%)
Original Balance : 62,278,000.00 Current Balance : 62,278,000.00
Original Coupon : 6.608000 % Current Coupon : 6.608000 %
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout YM and penalty (greater than)3.0%
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6800 4.6800 4.6800 4.8810 4.9120 4.9840 5.3170 5.4900 5.9648
</TABLE>
Report Generated Thu Feb 18 10:33:13 1999
<TABLE>
<CAPTION>
0.0 DEF1 DEF2 DEF3 DEF4 DEF5
<S> <C> <C> <C> <C> <C> <C>
99-16 6.735 6.735 6.735 6.735 6.735 6.735
99-24 6.699 6.699 6.699 6.699 6.699 6.699
100-00 6.662 6.662 6.662 6.662 6.662 6.662
100-08 6.626 6.626 6.626 6.626 6.626 6.626
100-16 6.590 6.590 6.590 6.590 6.590 6.590
100-24 6.554 6.554 6.554 6.554 6.554 6.554
101-00 6.519 6.519 6.519 6.519 6.519 6.519
101-08 6.483 6.483 6.483 6.483 6.483 6.483
101-16 6.448 6.448 6.448 6.448 6.448 6.448
101-24 6.412 6.412 6.412 6.412 6.412 6.412
102-00 6.377 6.377 6.377 6.377 6.377 6.377
102-08 6.342 6.342 6.342 6.342 6.342 6.342
102-16 6.307 6.307 6.307 6.307 6.307 6.307
102-24 6.272 6.272 6.272 6.272 6.272 6.272
103-00 6.237 6.237 6.237 6.237 6.237 6.237
103-08 6.202 6.202 6.202 6.202 6.202 6.202
103-16 6.167 6.167 6.167 6.167 6.167 6.167
Ave Life 9.581 9.581 9.581 9.581 9.581 9.581
Ave Cashflow 7.739 7.739 7.739 7.739 7.739 7.739
Mod Dur 6.924 6.924 6.924 6.924 6.924 6.924
Window 10/08-10/08 10/08-10/08 10/08-10/08 10/08-10/08 10/08-10/08 10/08-10/08
Sprd/Avl 147.0/av 147.0/av 147.0/av 147.0/av 147.0/av 147.0/av
Sprd/AvCf 149.6/av 149.6/av 149.6/av 149.6/av 149.6/av 149.6/av
Sprd/Tsy 147.1/9.5 147.1/9.5 147.1/9.5 147.1/9.5 147.1/9.5 147.1/9.5
Bond Loss 0.00 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 26745068.60 52077330.76 76060606.32 98756268.89 120223331.83
</TABLE>
DEF1 1% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF2 2% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF3 3% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF4 4% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF5 5% CDR after 24 mo, 65% recovery, 12 mos. lag
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1_DEF A6
Bond Type : WAC
Bond Name : E (BBB/Baa2 13.5%)
Original Balance : 81,945,000.00 Current Balance : 81,945,000.00
Original Coupon : 7.238434 % Current Coupon : 7.238434%
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout YM and penalty (greater than)3.0%
<TABLE>
<CAPTION>
Market Levels : TSY03H TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6800 4.6800 4.6800 4.8810 4.9120 4.9840 5.3170 5.4900 5.9648
</TABLE>
Report Generated Thu Feb 18 10:33:13 1999
<TABLE>
<CAPTION>
0.0 DEF1 DEF2 DEF3 DEF4 DEFS
<S> <C> <C> <C> <C> <C> <C> <C>
97-28 7.548 7.548 7.548 7.548 7.548 7.548
98-04 7.510 7.510 7.510 7.510 7.510 7.510
98-12 7.472 7.472 7.472 7.472 7.472 7.472
98-20 7.434 7.434 7.434 7.434 7.435 7.435
98-28 7.396 7.396 7.396 7.397 7.397 7.397
99-04 7.359 7.359 7.359 7.359 7.359 7.360
99-12 7.321 7.321 7.321 7.322 7.322 7.322
99-20 7.284 7.284 7.284 7.284 7.285 7.285
99-28 7.247 7.247 7.247 7.247 7.248 7.248
100-04 7.210 7.210 7.210 7.210 7.211 7.211
100-12 7.173 7.173 7.173 7.173 7.174 7.174
100-20 7.136 7.136 7.136 7.137 7.137 7.138
100-28 7.099 7.099 7.099 7.100 7.100 7.101
101-04 7.062 7.062 7.063 7.063 7.064 7.064
101-12 7.026 7.026 7.026 7.027 7.027 7.028
101-20 6.990 6.990 6.990 6.990 6.991 6.992
101-28 6.953 6.953 6.954 6.954 6.955 6.956
Ave Life 9.581 9.581 9.585 9.600 9.615 9.629
Ave Cashflow 7.647 7.647 7.650 7.660 7.670 7.680
Mod Dur 6.716 6.716 6.718 6.726 6.733 6.740
Window 10/08-10/08 10/08-10/08 10/08-11/08 10/08-11/08 10/08-11/08 10/08-11/08
Sprd/Avl 226.9/av 226.9/av 226.9/av 226.9/av 226.9/av 226.9/av
Sprd/AvCf 229.7/av 229.7/av 229.7/av 229.7/av 229.7/av 229.7/av
Sprd/Tsy 227.0/9.5 227.0/9.5 227.0/9.5 227.1/9.5 227.1/9.5 227.1/9.5
Bond Loss 0.00 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 26745068.60 52077330.76 76060606.32 98756268.89 120223331.83
</TABLE>
DEF1 1% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF2 2% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF3 3% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF4 4% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF5 5% CDR after 24 mo, 65% recovery, 12 mos. lag
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1_DEF A7
Bond Type : WAC
Bond Name : F (BBB-/Baa3 12.00%)
Original Balance : 19,667,000.00 Current Balance : 19,667,000.00
Original Coupon : 7.238434 % Current Coupon : 7.238434 %
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout YM and penalty (greater than)3.0%
<TABLE>
<CAPTION>
Market Levels TSY03M TSY06M TSYO1Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6800 4.6800 4.6800 4.8810 4.9120 4.9840 5.3170 5.4900 5.9648
</TABLE>
Report Generated Thu Feb 18 10:33:14 1999
<TABLE>
<CAPTION>
0.0 DEF1 DEF2 DEF3 DEF4 DEF5
<S> <C> <C> <C> <C> <C> <C>
91-14 8.574 8.572 8.568 8.568 8.568 8.562
91-22 8.533 8.530 8.527 8.527 8.527 8.521
91-30 8.491 8.489 8.486 8.486 8.486 8.480
92-06 8.450 8.448 8.445 8.445 8.445 8.439
92-14 6.409 8.407 8.404 8.404 8.404 8.399
92-22 8.368 8.366 8.363 8.363 8.363 8.358
92-30 8.327 8.325 8.323 8.323 8.322 8.318
93-06 8.286 8.285 8.282 8.282 8.282 8.277
93-14 8.246 8.244 8.242 8.242 8.242 8.237
93-22 8.205 8.204 8.201 8.202 8.201 8.197
93-30 8.165 8.163 8.161 8.161 8.161 8.158
94-06 8.125 8.123 8.122 8.122 8.121 8.118
94-14 8.085 8.083 8.082 8.082 8.082 8.078
94-22 8.045 8.044 8.042 8.042 8.042 8.039
94-30 8.005 8.004 8.003 8.003 8.003 7.999
95-06 7.965 7.965 7.963 7.963 7.963 7.960
95-14 7.926 7.925 7.924 7.924 7.924 7.921
Ave Life 9.581 9.614 9.664 9.664 9.666 9.739
Ave Cashflow 7.647 7.670 7.703 7.703 7.705 7.755
Mod Dur 6.584 6.599 6.623 6.623 6.624 6.658
Window 10/08-10/08 10/08-11/08 11/08-11/08 11/08-11/08 11/08-12/08 11/08-12/08
Sprd/Avl 326.8/av 326.6/av 326.3/av 326.3/av 326.2/av 325.7/av
Sprd/AvCf 329.5/av 329.4/av 329.1/av 329.1/av 329.1/av 328.6/av
Sprd/Tsy 326.9/9.5 326.7/9.5 326.5/9.5 326.5/9.5 326.5/9.5 326.1/9.5
Bond Loss 0.00 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 26745068.60 52077330.76 76060606.32 98756268.89 120223331.83
</TABLE>
DEF1 1% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF2 2% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF3 3% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF4 4% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF5 5% CDR after 24 mo, 65% recovery, 12 mos. lag
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CHO Model
Price / Yield Report
<TABLE>
<S> <C> <C> <C>
Bond Id : COMM 99-1_DEF X
Bond Type : WACIO
Bond Name : X (AAA/AAA IO)
Original Balance : 1,311,125,920.05 Current Balance : 1,311,125,920.05
Original Coupon : 0.885946 % Current Coupon : 0.885946 %
Deal Description : COMM 99-1 (RED) TO CALL
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout YM and penalty (greater than)3.0%
</TABLE>
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSYO1Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6800 4.6800 4.6800 4.8810 4.9120 4.9840 5.3170 5.4900 5.9648
</TABLE>
Report Generated Thu Feb 18 10:51:37 1999
<TABLE>
<CAPTION>
0.0 DEF1 DEF2 DEF3 DEF4 DEF5
<S> <C> <C> <C> <C> <C> <C>
4-06 12.644 12.059 11.491 10.957 10.425 9.890
4-08 12.224 11.635 11.065 10.528 9.994 9.457
4-10 11.813 11.222 10.649 10.110 9.574 9.035
4-12 11.411 10.818 10.243 9.702 9.164 8.622
4-14 11.019 10.423 9.846 9.303 8.763 8.219
4-16 10.635 10.036 9.457 8.913 8.371 7.825
4-18 10.260 9.659 9.078 8.531 7.987 7.439
4-20 9.893 9.289 8.706 8.158 7.612 7.062
4-22 9.533 8.927 8.342 7.792 7.245 6.693
4-24 9.182 8.573 7.986 7.434 6.885 6.332
4-26 8.837 8.226 7.637 7.084 6.533 5.978
4-28 8.499 7.886 7.295 6.740 6.188 5.631
4-30 8.168 7.553 6.960 6.404 5.850 5.291
5-00 7.843 7.227 6.631 6.074 5.518 4.958
5-02 7.525 6.906 6.309 5.750 5.193 4.631
5-04 7.213 6.592 5.993 5.433 4.874 4.310
5-06 6.906 6.283 5.683 5.121 4.561 3.996
Ave Life 8.801 8.610 8.430 8.263 8.102 7.946
Ave Cashflow 4.576 4.484 4.401 4.330 4.259 4.186
Mod Dur 3.720 3.696 3.675 3.658 3.641 3.622
Window 4/99-2/11 4/99-11/09 4/99-1/09 4/99-1/09 4/99-1/09 4/99-1/09
Sprd/Avl 456.7/av 396.4/av 338.1/av 283.3/av 228.8/av 173.9/av
Sprd/AvCf 462.6/av 402.1/av 343.6/av 288.7/av 234.0/av 178.9/av
Sprd/Tsy 456.4/9.0 396.5/8.5 338.0/8.5 283.0/8.5 229.0/8.0 173.8/8.0
Bond Loss 0.00 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 26745068.60 52077330.76 76060606.32 98756268.89 120223331.83
</TABLE>
DEF1 1% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF2 2% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF3 3% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF4 4% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF5 5% CDR after 24 mo, 65% recovery, 12 mos. lag
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1 A1
Bond Name : A1 (AAA/Aaa2 31.0%)
Original Balance : 181,434,000.00 Current Balance : 181,434,000.00
Original Coupon : 6.055000 % Current Coupon : 6.055000 %
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout YM only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6800 4.6800 4.6800 4.8810 4.9120 4.9840 5.3170 5.4900 5.9648
</TABLE>
Report Generated Thu Feb 18 10:27:27 1999
<TABLE>
<CAPTION>
0.0 25.0 50.0 75.0 100.0
<S> <C> <C> <C> <C> <C>
98-16 6.446 6.446 6.446 6.446 6.447
98-24 6.384 6.384 6.384 6.384 6.384
99-00 6.321 6.321 6.321 6.321 6.322
99-08 6.259 6.259 6.259 6.259 6.259
99-16 6.197 6.197 6.197 6.197 6.197
99-24 6.135 6.135 6.135 6.135 6.135
100-00 6.074 6.074 6.074 6.074 6.074
100-08 6.013 6.013 6.013 6.013 6.013
100-16 5.952 5.952 5.952 5.952 5.951
100-24 5.891 5.891 5.891 5.891 5.891
101-00 5.830 5.830 5.830 5.830 5.830
101-08 5.770 5.770 5.770 5.770 5.769
101-16 5.710 5.710 5.710 5.710 5.709
101-24 5.650 5.650 5.650 5.650 5.649
102-00 5.590 5.590 5.590 5.590 5.589
102-08 5.531 5.531 5.531 5.531 5.530
102-16 5.472 5.472 5.471 5.471 5.470
Ave Life 5.000 4.998 4.996 4.995 4.986
Ave Cashflow 4.572 4.570 4.568 4.567 4.559
Mod Dur 4.075 4.074 4.073 4.072 4.067
Window 4/99-2/08 4/99-1/08 4/99-1/08 4/99-12/07 4/99-10/07
Sprd/Avl 104.0/av 104.0/av 104.0/av 104.0/av 104.0/av
Sprd/AvCf 104.4/av 104.4/av 104.4/av 104.4/av 104.4/av
Sprd/Tsy 104.0/5.0 104.0/5.0 104.0/5.0 104.0/5.0 103.9/5.0
Bond Loss 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 0.00 0.00 0.00 0.00
</TABLE>
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1 A2
Bond Name : A2 (AAA/Aaa2 31.0%)
Original Balance : 723,242,000.00 Current Balance : 723,242,000.00
Original Coupon : 6.332000 % Current Coupon : 6.332000 %
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout YM only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6800 4.6800 4.6800 4.8810 4.9120 4.9840 5.3170 5.4900 5.9648
</TABLE>
Report Generated Thu Feb 18 10:27:27 1999
0.0 25.0 50.0 75.0 100.0
99-16 6.453 6.454 6.454 6.454 6.454
99-24 6.417 6.417 6.417 6.417 6.417
100-00 6.380 6.380 6.380 6.380 6.379
100-08 6.343 6.343 6.343 6.343 6.342
100-16 6.307 6.307 6.307 6.307 6.305
100-24 6.271 6.270 6.270 6.270 6.268
101-00 6.234 6.234 6.234 6.234 6.231
101-08 6.198 6.198 6.198 6.197 6.194
101-16 6.162 6.162 6.162 6.161 6.158
101-24 6.126 6.126 6.126 6.125 6.121
102-00 6.091 6.090 6.090 6.089 6.085
102-08 6.055 6.055 6.054 6.053 6.048
102-16 6.019 6.019 6.018 6.018 6.012
102-24 5.984 5.983 5.983 5.982 5.976
103-00 5.949 5.948 5.948 5.947 5.940
103-08 5.913 5.913 5.912 5.911 5.904
103-16 5.878 5.878 5.877 5.876 5.669
Ave Life 9.247 9.236 9.220 9.197 9.030
Ave Cashflow 7.555 7.547 7.536 7.520 7.403
Mod Dur 6.833 6.827 6.819 6.806 6.714
Window 2/08-9/08 1/08-9/08 1/08-9/08 12/07-9/08 10/07-7/08
Sprd/Avl 118.9/av 118.9/av 118.9/av 118.9/av 118.8/av
Sprd/AvCf 121.3/av 121.3/av 121.3/av 121.3/av 121.1/av
Sprd/Tsy 119.3/9.0 119.2/9.0 119.2/9.0 119.2/9.0 118.8/9.0
Bond Loss 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 0.00 0.00 0.00 0.00
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CHO Model
Price / Yield Report
Bond Id : COMM 99-1 A3
Bond Name : B (AA/Aa2 26.25%)
Original Balance : 62,278,000.00 Current Balance : 62,278,000.00
Original Coupon : 6.450000 % Current Coupon : 6.450000 %
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout YM only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6800 4.6800 4.6800 4.8810 4.9120 4.9840 5.3170 5.4900 5.9648
</TABLE>
Report Generated Thu Feb 18 10:27:28 1999
<TABLE>
<CAPTION>
0.0 25.0 50.0 75.0 100.0
<S> <C> <C> <C> <C> <C>
99-16 6.573 6.573 6.573 6.573 6.574
99-24 6.537 6.537 6.537 6.537 6.537
100-00 6.501 6.501 6.501 6.501 6.501
100-08 6.465 6.465 6.465 6.465 6.464
100-16 6.429 6.429 6.429 6.429 6.428
100-24 6.394 6.394 6.393 6.393 6.392
101-00 6.358 6.358 6.358 6.357 6.355
101-08 6.323 6.323 6.322 6.322 6.319
101-16 6.287 6.287 6.287 6.286 6.284
101-24 6.252 6.252 6.251 6.251 6.248
102-00 6.217 6.217 6.216 6.216 6.212
102-08 6.182 6.182 6.181 6.180 6.177
102-16 6.147 6.147 6.146 6.145 6.141
102-24 6.112 6.112 6.111 6.110 6.106
103-00 6.078 6.077 6.076 6.076 6.071
103-08 6.043 6.043 6.042 6.041 6.035
103-16 6.009 6.008 6.007 6.006 6.000
Ave Life 9.554 9.540 9.521 9.497 9.355
Ave Cashflow 7.748 7.738 7.725 7.708 7.610
Mod Dur 6.961 6.954 6.943 6.931 6.855
Window 9/08-10/08 9/08-10/08 9/08-10/08 9/08-9/08 7/08-8/08
Sprd/Avl 131.0/av 131.0/av 131.0/av 131.0/av 130.9/av
Sprd/AvCf 133.6/av 133.6/av 133.6/av 133.5/av 133.4/av
Sprd/Tsy 131.1/9.5 131.0/9.5 131.0/9.5 131.0/9.5 130.7/9.5
Bond Loss 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 0.00 0.00 0.00 0.00
</TABLE>
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1 A4
Bond Name : C (AA/Aa3 24.50%)
Original Balance : 22,944,000.00 Current Balance : 22,944,000.00
Original Coupon : 6.509000 % Current Coupon : 6.509000 %
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout YM only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6800 4.6800 4.6800 4.8810 4.9120 4.9840 5.3170 5.4900 5.9648
</TABLE>
Report Generated Thu Feb 18 10:27:28 1999
0.0 25.0 50.0 75.0 100.0
99-16 6.634 6.634 6.634 6.634 6.634
99-24 6.597 6.597 6.597 6.597 6.597
100-00 6.561 6.561 6.561 6.561 6.561
100-08 6.525 6.525 6.525 6.525 6.525
100-16 6.490 6.490 6.490 6.490 6.488
100-24 6.454 6.454 6.454 6.454 6.452
101-00 6.418 6.418 6.418 6.418 6.416
101-08 6.383 6.383 6.383 6.383 6.380
101-16 6.348 6.348 6.348 6.347 6.344
101-24 6.312 6.312 6.312 6.312 6.309
102-00 6.277 6.277 6.277 6.277 6.273
102-08 6.242 6.242 6.242 6.242 6.238
102-16 6.207 6.207 6.207 6.207 6.202
102-24 6.172 6.172 6.172 6.172 6.167
103-00 6.138 6.138 6.138 6.137 6.132
103-08 6.103 6.103 6.103 6.102 6.097
103-16 6.068 6.068 6.068 6.068 6.062
Ave Life 9.581 9.581 9.581 9.566 9.414
Ave Cashflow 7.756 7.756 7.756 7.746 7.641
Mod Dur 6.956 6.956 6.956 6.948 6.868
Window 10/08-10/08 10/08-10/08 10/08-10/08 9/08-10/08 8/08-8/08
Sprd/Avl 137.0/av 137.0/av 137.0/av 136.9/av 136.9/av
Sprd/AvCf 139.6/av 139.6/av 139.6/av 139.6/av 139.4/av
Sprd/Tsy 137.1/9.5 137.1/9.5 137.1/9.5 137.0/9.5 136.8/9.5
Bond Loss 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 0.00 0.00 0.00 0.00
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1 A5
Bond Name : D (A/A2 19.75%)
Original Balance : 62,278,000.00 Current Balance : 62,278,000.00
Original Coupon : 6.608000 % Current Coupon : 6.608000 %
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout YM only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6800 4.6800 4.6800 4.8810 4.9120 4.9840 5.3170 5.4900 5.9648
</TABLE>
Report Generated Thu Feb 18 10:27:28 1999
0.0 25.0 50.0 75.0 100.0
99-16 6.735 6.735 6.735 6.735 6.735
99-24 6.699 6.699 6.699 6.699 6.699
100-00 6.662 6.662 6.662 6.662 6.662
100-08 6.626 6.626 6.626 6.626 6.625
100-16 6.590 6.590 6.590 6.590 6.589
100-24 6.554 6.554 6.554 6.554 6.553
101-00 6.519 6.519 6.519 6.519 6.516
101-08 6.483 6.483 6.483 6.483 6.480
101-16 6.448 6.448 6.448 6.448 6.444
101-24 6.412 6.412 6.412 6.412 6.408
102-00 6.377 6.377 6.377 6.377 6.373
102-08 6.342 6.342 6.342 6.342 6.337
102-16 6.307 6.307 6.307 6.307 6.301
102-24 6.272 6.272 6.272 6.272 6.266
103-00 6.237 6.237 6.237 6.237 6.231
103-08 6.202 6.202 6.202 6.202 6.196
103-16 6.167 6.167 6.167 6.167 6.160
Ave Life 9.581 9.581 9.581 9.581 9.414
Ave Cashflow 7.739 7.739 7.739 7.739 7.624
Mod Dur 6.924 6.924 6.924 6.924 6.837
Window 10/08-10/08 10/08-10/08 10/08-10/08 10/08-10/08 8/08-8/08
Sprd/Avl 147.0/av 147.0/av 147.0/av 147.0/av 146.9/av
Sprd/AvCf 149.6/av 149.6/av 149.6/av 149.6/av 149.5/av
Sprd/Tsy 147.1/9.5 147.1/9.5 147.1/9.5 147.1/9.5 146.8/9.5
Bond Loss 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 0.00 0.00 0.00 0.00
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1 A6
Bond Type : WAC
Bond Name : E (BBB/Baa2 13.5%)
Original Balance : 81,945,000.00 Current Balance : 81,945,000.00
Original Coupon : 7.238434 % Current Coupon : 7.238434 %
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
scenario : Lockout YM only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6800 4.6800 4.6800 4.8810 4.9120 4.9840 5.3170 5.4900 5.9648
</TABLE>
Report Generated : Thu Feb 18 10:27:29 1999
<TABLE>
<CAPTION>
0.0 25.0 50.0 75.0 100.0
<S> <C> <C> <C> <C> <C> <C>
97-28 7.548 7.548 7.548 7.548 7.552
98-04 7.510 7.510 7.510 7.510 7.514
98-12 7.472 7.472 7.472 7.472 7.475
98-20 7.434 7.434 7.434 7.435 7.437
98-28 7.396 7.396 7.397 7.397 7.399
99-04 7.359 7.359 7.359 7.359 7.361
99-12 7.321 7.321 7.322 7.322 7.324
99-20 7.284 7.284 7.284 7.284 7.286
99-28 7.247 7.247 7.247 7.247 7.248
100-04 7.210 7.210 7.210 7.210 7.211
100-12 7.173 7.173 7.173 7.173 7.174
100-20 7.136 7.136 7.136 7.136 7.136
100-28 7.099 7.099 7.099 7.100 7.099
101-04 7.062 7.063 7.063 7.063 7.062
101-12 7.026 7.026 7.026 7.026 7.025
101-20 6.990 6.990 6.990 6.990 6.989
101-28 6.953 6.953 6.954 6.954 6.952
Ave Life 9.581 9.581 9.581 9.581 9.459
Ave Cashflow 7.647 7.647 7.647 7.647 7.565
Mod Dur 6.716 6.716 6.716 6.716 6.656
Window 10/08-10/08 10/08-10/08 10/08-10/08 10/08-10/08 8/08-9/08
Sprd/Avl 226.9/av 226.9/av 226.9/av 226.9/av 227.2/av
Sprd/AvCf 229.7/av 229.7/av 229.7/av 229.7/av 229.9/av
Sprd/Tsy 227.0/9.5 227.0/9.5 227.0/9.5 227.0/9.5 227.1/9.5
Bond Loss 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 0.00 0.00 0.00 0.00
</TABLE>
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1 A7
Bond Type : WAC
Bond Name : F (BBB-/Baa3 12.00%)
Original Balance : 19,667,000.00 Current Balance : 19,667,000.00
Original Coupon : 7.238434 % Current Coupon : 7.238434 %
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout YM only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
4.6800 4.6800 4.6800 4.8810 4.9120 4.9840 5.3170 5.4900 5.9648
</TABLE>
Report Generated : Thu Feb 18 10:27:29 1999
0.0 25.0 50.0 75.0 100.0
91-14 8.574 8.574 8.574 8.575 8.581
91-22 8.533 8.533 8.533 8.533 8.539
91-30 8.491 8.491 8.491 8.492 8.497
92-06 8.450 8.450 8.450 8.450 8.456
92-14 8.409 8.409 8.409 8.409 8.415
92-22 8.368 8.368 8.368 8.368 8.374
92-30 8.327 8.327 8.327 8.327 8.333
93-06 8.286 8.286 8.286 8.287 8.292
93-14 8.246 8.246 8.246 8.246 8.251
93-22 8.205 8.205 8.205 8.206 8.211
93-30 8.165 8.165 8.165 8.165 8.170
94-06 8.125 8.125 8.125 8.125 8.130
94-14 8.085 8.085 8.085 8.085 8.090
94-22 8.045 8.045 8.045 8.045 8.050
94-30 8.005 8.005 8.005 8.005 8.010
95-06 7.965 7.966 7.966 7.966 7.970
95-14 7.926 7.926 7.926 7.926 7.931
Ave Life 9.581 9.581 9.581 9.581 9.545
Ave Cashflow 7.647 7.647 7.647 7.647 7.623
Mod Dur 6.584 6.584 6.584 6.584 6.567
Window 10/08-10/08 10/08-10/08 10/08-10/08 10/08-10/08 9/08-10/08
Sprd/Avl 326.8/av 326.8/av 326.8/av 326.8/av 327.4/av
Sprd/AvCf 329.5/av 329.6/av 329.6/av 329.6/av 330.1/av
Sprd/Tsy 326.9/9.5 326.9/9.5 326.9/9.5 326.9/9.5 327.4/9.5
Bond Loss 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 0.00 0.00 0.00 0.00
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1 X
Bond Type : WACIO
Bond Name : X (AAA/AAA IO)
Original Balance : 1,311,125,920.05 Current Balance : 1,311,125,920.05
Original Coupon : 0.885946 % Current Coupon : 0.885946 %
Deal Description : COMM 99-1 (RED) TO CALL
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario Lockout YM only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06H TSYO1Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
4.6800 4.6800 4.6800 4.8810 4.9120 4.9840 5.3170 5.4900 5.9648
</TABLE>
Report Generated : Thu Feb 18 10:44:54 1999
0.0 25.0 50.0 75.0 100.0
4-06 12.644 12.630 12.610 12.582 12.365
4-08 12.224 12.209 12.189 12.160 11.940
4-10 11.813 11.798 11.778 11.748 11.526
4-12 11.411 11.396 11.376 11.346 11.121
4-14 11.019 11.003 10.983 10.953 10.725
4-16 10.635 10.620 10.599 10.568 10.338
4-18 10.260 10.244 10.224 10.192 9.959
4-20 9.893 9.877 9.856 9.825 9.589
4-22 9.533 9.517 9.496 9.464 9.226
4-24 9.182 9.165 9.144 9.112 8.871
4-26 8.837 8.820 8.799 8.766 8.523
4-28 8.499 8.482 8.461 8.428 8.182
4-30 8.168 8.151 8.129 8.096 7.848
5-00 7.843 7.826 7.804 7.771 7.521
5-02 7.525 7.508 7.485 7.452 7.199
5-04 7.213 7.195 7.173 7.139 6.884
5-06 6.906 6.889 6.866 6.832 6.575
Ave Life 8.801 8.793 8.782 8.766 8.637
Ave Cashflow 4.576 4.571 4.565 4.556 4.491
Mod Dur 3.720 3.718 3.716 3.712 3.687
Window 4/99-2/11 4/99-2/11 4/99-2/11 4/99-2/11 4/99-2/11
Sprd/Avl 456.7/av 455.1/av 453.0/av 449.8/av 426.2/av
Sprd/AvCf 462.6/av 461.0/av 458.9/av 455.7/av 431.9/av
Sprd/Tsy 456.4/9.0 454.8/9.0 452.7/9.0 449.5/9.0 426.4/8.5
Bond Loss 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 0.00 0.00 0.00 0.00
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1 A1
Bond Name : A1 (AAA/Aaa2 31.0%)
Original Balance : 181,434,000.00 Current Balance : 181,434,000.00
Original Coupon : 5.950000 % Current Coupon : 5.950000 %
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSYO1Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
4.6280 4.6280 4.6280 4.7730 4.7960 4.9100 5.3460 5.4900 5.9648
</TABLE>
Report Generated : Thu Feb 11 09:43:19 1999
0.0 25.0 50.0 75.0 100.0
98-16 6.338 6.442 6.495 6.523 6.555
98-24 6.276 6.376 6.427 6.454 6.484
99-00 6.214 6.310 6.359 6.385 6.414
99-08 6.152 6.245 6.291 6.317 6.344
99-16 6.090 6.180 6.224 6.248 6.274
99-24 6.029 6.114 6.157 6.180 6.205
100-00 5.968 6.050 6.090 6.112 6.136
100-08 5.907 5.985 6.024 6.045 6.067
100-16 5.846 5.921 5.958 5.977 5.998
100-24 5.785 5.856 5.892 5.910 5.930
101-00 5.725 5.792 5.826 5.843 5.862
101-08 5.665 5.729 5.760 5.777 5.794
101-16 5.605 5.665 5.695 5.710 5.726
101-24 5.545 5.602 5.630 5.644 5.659
102-00 5.486 5.539 5.565 5.578 5.591
102-08 5.426 5.476 5.500 5.513 5.524
102-16 5.367 5.414 5.436 5.447 5.458
Ave Life 5.000 4.668 4.518 4.440 4.357
Ave Cashflow 4.577 4.289 4.162 4.098 4.033
Mod Dur 4.089 3.861 3.751 3.690 3.620
Window 4/99-2/08 4/99-7/07 4/99-6/07 4/99-5/07 4/99-5/07
Sprd/Avl 105.0/av 112.7/av 116.5/av 118.6/av 120.7/av
Sprd/AvCf 105.3/av 113.0/av 116.8/av 118.8/av 121.0/av
Sprd/Tsy 105.0/5.0 112.8/4.5 116.6/4.5 118.5/4.5 120.6/4.5
Bond Loss 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 0.00 0.00 0.00 0.00
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1 A2
Bond Name : A2 (AAA/Aaa2 31.0%)
Original Balance : 723,242,000.00 Current Balance : 723,242,000.00
Original Coupon : 6.292000 % Current Coupon : 6.292000 %
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6280 4.6280 4.6280 4.7730 4.7960 4.9100 5.3460 5.4900 5.9648
</TABLE>
Report Generated : Thu Feb 11 09:43:20 1999
0.0 25.0 50.0 75.0 100.0
99-16 6.413 6.413 6.413 6.413 6.413
99-24 6.376 6.376 6.376 6.376 6.376
100-00 6.339 6.339 6.339 6.339 6.339
100-08 6.303 6.303 6.303 6.302 6.301
100-16 6.266 6.266 6.266 6.266 6.264
100-24 6.230 6.230 6.230 6.229 6.227
101-00 6.194 6.194 6.193 6.193 6.190
101-08 6.158 6.157 6.157 6.157 6.154
101-16 6.122 6.121 6.121 6.120 6.117
101-24 6.086 6.086 6.085 6.084 6.081
102-00 6.050 6.050 6.049 6.049 6.044
102-08 6.015 6.014 6.013 6.013 6.008
102-16 5.979 5.979 5.978 5.977 5.972
102-24 5.944 5.943 5.942 5.941 5.936
103-00 5.909 5.908 5.907 5.906 5.900
103-08 5.873 5.872 5.872 5.871 5.864
103-16 5.838 5.837 5.836 5.835 5.828
Ave Life 9.247 9.222 9.202 9.179 9.016
Ave Cashflow 7.562 7.544 7.530 7.514 7.399
Mod Dur 6.846 6.832 6.821 6.808 6.718
Window 2/08-9/08 7/07-9/08 6/07-9/08 5/07-9/08 5/07-7/08
Sprd/Avl 122.9/av 122.9/av 122.9/av 122.9/av 122.9/av
Sprd/AvCf 126.7/av 126.7/av 126.7/av 126.7/av 126.6/av
Sprd/Tsy 123.5/9.0 123.4/9.0 123.4/9.0 123.3/9.0 123.0/9.0
Bond Loss 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 0.00 0.00 0.00 0.00
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1 A3
Bond Name : B (AA/Aa2 26.25%)
Original Balance : 62,278,000.00 Current Balance : 62,278,000.00
Original Coupon : 6.412000 % Current Coupon : 6.412000 %
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
4.6280 4.6280 4.6280 4.7730 4.7960 4.9100 5.3460 5.4900 5.9648
</TABLE>
Report Generated : Thu Feb 11 09:43:20 1999
0.0 25.0 50.0 75.0 100.0
99-16 6.534 6.534 6.535 6.535 6.535
99-24 6.498 6.498 6.498 6.498 6.498
100-00 6.462 6.462 6.462 6.462 6.462
100-08 6.427 6.426 6.426 6.426 6.425
100-16 6.391 6.391 6.391 6.390 6.389
100-24 6.355 6.355 6.355 6.355 6.353
101-00 6.320 6.320 6.319 6.319 6.317
101-08 6.284 6.284 6.284 6.283 6.281
101-16 6.249 6.249 6.248 6.248 6.245
101-24 6.214 6.214 6.213 6.213 6.209
102-00 6.179 6.178 6.178 6.177 6.174
102-08 6.144 6.143 6.143 6.142 6.138
102-16 6.109 6.109 6.108 6.107 6.103
102-24 6.074 6.074 6.073 6.072 6.068
103-00 6.040 6.039 6.038 6.038 6.032
103-08 6.005 6.005 6.004 6.003 5.997
103-16 5.971 5.970 5.969 5.968 5.962
Ave Life 9.554 9.539 9.519 9.497 9.354
Ave Cashflow 7.754 7.744 7.730 7.715 7.615
Mod Dur 6.974 6.965 6.955 6.943 6.866
Window 9/08-10/08 9/08-10/08 9/08-10/08 9/08-9/08 7/08-8/08
Sprd/Avl 134.9/av 134.9/av 134.9/av 134.9/av 135.0/av
Sprd/AvCf 139.0/av 139.0/av 139.0/av 139.0/av 139.0/av
Sprd/Tsy 135.0/9.5 135.0/9.5 135.0/9.5 134.9/9.5 134.7/9.5
Bond Loss 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 0.00 0.00 0.00 0.00
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COM 99-1 A4
Bond Name : C (AA/Aa3 24.50%)
Original Balance : 22,944,000.00 Current Balance : 22,944,000.00
Original Coupon : 6.452000 % Current Coupon : 6.452000 %
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSYO5Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
4.6280 4.6280 4.6280 4.7730 4.7960 4.9100 5.3460 5.4900 5.9648
</TABLE>
Report Generated : Thu Feb 11 09:43:20 1999
0.0 25.0 50.0 75.0 100.0
99-16 6.575 6.575 6.575 6.575 6.576
99-24 6.539 6.539 6.539 6.539 6.539
100-00 6.503 6.503 6.503 6.503 6.503
100-08 6.467 6.467 6.467 6.467 6.467
100-16 6.432 6.432 6.432 6.432 6.430
100-24 6.396 6.396 6.396 6.396 6.394
101-00 6.361 6.361 6.361 6.360 6.358
101-08 6.325 6.325 6.325 6.325 6.322
101-16 6.290 6.290 6.290 6.290 6.287
101-24 6.255 6.255 6.255 6.254 6.251
102-00 6.220 6.220 6.220 6.219 6.216
102-08 6.185 6.185 6.185 6.184 6.180
102-16 6.150 6.150 6.150 6.149 6.145
102-24 6.115 6.115 6.115 6.115 6.110
103-00 6.081 6.081 6.081 6.080 6.075
103-08 6.046 6.046 6.046 6.045 6.040
103-16 6.012 6.012 6.012 6.011 6.005
Ave Life 9.581 9.581 9.581 9.562 9.414
Ave Cashflow 7.766 7.766 7.766 7.753 7.650
Mod Dur 6.975 6.975 6.975 6.965 6.886
Window 10/08-10/08 10/08-10/08 10/08-10/08 9/08-10/08 8/08-8/08
Sprd/Avl 139.0/av 139.0/av 139.0/av 139.0/av 139.0/av
Sprd/AvCf 143.1/av 143.1/av 143.1/av 143.1/av 143.0/av
Sprd/Tsy 139.1/9.5 139.1/9.5 139.1/9.5 139.1/9.5 138.8/9.5
Bond Loss 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 0.00 0.00 0.00 0.00
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1 A5
Bond Name : D (A/A 19.75%)
Original Balance : 62,278,000.00 Current Balance : 62,278,000.00
Original Coupon : 6.709000 % Current Coupon : 6.709000 %
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
4.6280 4.6280 4.6280 4.7730 4.7960 4.9100 5.3460 5.4900 5.9648
</TABLE>
Report Generated : Thu Feb 11 09:43:21 1999
0.0 25.0 50.0 75.O 100.0
99-16 6.838 6.838 6.838 6.838 6.839
99-24 6.802 6.802 6.802 6.802 6.802
100-00 6.765 6.766 6.765 6.765 6.765
100-08 6.729 6.729 6.729 6.729 6.728
100-16 6.693 6.693 6.693 6.693 6.692
100-24 6.657 6.657 6.657 6.657 6.655
101-00 6.621 6.621 6.621 6.621 6.619
101-08 6.585 6.585 6.585 6.585 6.583
101-16 6.550 6.550 6.550 6.550 6.546
101-24 6.514 6.514 6.514 6.514 6.510
102-00 6.479 6.479 6.479 6.479 6.474
102-08 6.443 6.443 6.443 6.443 6.439
102-16 6.408 6.408 6.408 6.408 6.403
102-24 6.373 6.373 6.373 6.373 6.367
103-00 6.338 6.338 6.338 6.338 6.332
103-08 6.303 6.303 6.303 6.303 6.296
103-16 6.268 6.268 6.268 6.268 6.261
Ave Life 9.581 9.581 9.581 9.581 9.414
Ave Cashflow 7.722 7.722 7.722 7.722 7.607
Mod Dur 6.891 6.891 6.891 6.891 6.805
Window 10/08-10/08 10/08-10/08 10/08-10/08 10/08-10/08 8/08-8/08
Sprd/Avl 164.9/av 164.9/av 164.9/av 164.9/av 165.0/av
Sprd/AvCf 169.2/av 169.2/av 169.2/av 169.2/av 169.1/av
Sprd/Tsy 165.1/9.5 165.1/9.5 165.1/9.5 165.1/9.5 164.8/9.5
Bond Loss 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 0.00 0.00 0.00 0.00
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1 A6
Bond Type : WAC
Bond Name : E (BBB/Baa2 13.5%)
Original Balance : 81,945,000.00 Current Balance : 81,945,000.00
Original Coupon : 7.238434 % Current Coupon : 7.238434 %
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
4.6280 4.6280 4.6280 4.7730 4.7960 4.9100 5.3460 5.4900 5.9648
</TABLE>
Report Generated : Thu Feb 11 09:43:21 1999
0.0 25.0 50.0 75.0 100.0
95-29 7.852 7.851 7.851 7.851 7.857
96-05 7.813 7.812 7.812 7.812 7.818
96-13 7.774 7.773 7.773 7.773 7.779
96-21 7.735 7.734 7.734 7.734 7.739
96-29 7.697 7.696 7.695 7.695 7.700
97-05 7.658 7.657 7.657 7.657 7.661
97-13 7.620 7.619 7.618 7.618 7.623
97-21 7.581 7.580 7.580 7.580 7.584
97-29 7.543 7.542 7.542 7.542 7.545
98-05 7.505 7.504 7.504 7.504 7.507
98-13 7.467 7.466 7.466 7.466 7.469
98-21 7.429 7.428 7.428 7.428 7.431
98-29 7.392 7.391 7.390 7.390 7.393
99-05 7.354 7.353 7.353 7.353 7.355
99-13 7.317 7.316 7.315 7.315 7.317
99-21 7.279 7.278 7.278 7.278 7.279
99-29 7.242 7.241 7.241 7.241 7.242
Ave Life 9.581 9.581 9.581 9.581 9.459
Ave Cashflow 7.647 7.647 7.647 7.647 7.565
Mod Dur 6.677 6.677 6.677 6.677 6.618
Window 10/08-10/08 10/08-10/08 10/08-10/08 10/08-10/08 8/08-9/08
Sprd/Avl 264.3/av 264.2/av 264.2/av 264.1/av 264.8/av
Sprd/AvCf 268.7/av 268.6/av 268.6/av 268.6/av 269.1/av
Sprd/Tsy 264.5/9.5 264.4/9.5 264.3/9.5 264.3/9.5 264.7/9.5
Bond Loss 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 0.00 0.00 0.00 0.00
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1 A7
Bond Type : WAC
Bond Name : F (BBB-/Baa3 12.00%)
Original Balance : 19,667,000.00 Current Balance : 19,667,000.00
Original Coupon : 7.238434 % Current Coupon : 7.238434 %
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
4.6280 4.6280 4.6280 4.7730 4.7960 4.9100 5.3460 5.4900 5.9648
</TABLE>
Report Generated : Thu Feb 11 09:43:22 1999
0.0 25.0 50.0 75.0 100.0
89-20 8.880 8.879 8.879 8.879 8.886
89-28 8.838 8.837 8.836 8.836 8.843
90-04 8.795 8.794 8.794 8.794 8.800
90-12 8.753 8.752 8.751 8.751 8.758
90-20 8.710 8.710 8.709 8.709 8.715
90-28 8.668 8.667 8.667 8.667 8.673
91-04 8.626 8.626 8.625 8.625 8.631
91-12 8.585 8.584 8.583 8.583 8.589
91-20 8.543 8.542 8.542 8.542 8.547
91-28 8.502 8.501 8.500 8.500 8.506
92-04 8.460 8.459 8.459 8.459 8.464
92-12 8.419 8.418 8.418 8.418 8.423
92-20 8.378 8.377 8.377 8.377 8.382
92-28 8.337 8.336 8.336 8.336 8.341
93-04 8.296 8.295 8.295 8.295 8.300
93-12 8.256 8.255 8.254 8.254 8.259
93-20 8.215 8.214 8.214 8.214 8.219
Ave Life 9.581 9.581 9.581 9.581 9.543
Ave Cashflow 7.647 7.647 7.647 7.647 7.622
Mod Dur 6.544 6.544 6.544 6.545 6.527
Window 10/08-10/08 10/08-10/08 10/08-10/08 10/08-10/08 9/08-10/08
Sprd/Avl 364.3/av 364.2/av 364.1/av 364.1/av 364.8/av
Sprd/AvCf 368.7/av 368.6/av 368.5/av 368.5/av 369.2/av
Sprd/Tsy 364.4/9.5 364.4/9.5 364.3/9.5 364.3/9.5 364.9/9.5
Bond Loss 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 0.00 0.00 0.00 0.00
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1 X
Bond Type : WACIO
Bond Name : X (AAA/AAA IO)
Original Balance : 1,311,125,920.05 Current Balance : 1,311,125,920.05
Original Coupon : 0.933146 % Current Coupon : 0.933146 %
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSYO1Y TSY02Y TSYO5Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
4.6280 4.6280 4.6280 4.7730 4.7960 4.9100 5.3460 5.4900 5.9648
</TABLE>
Report Generated : Thu Feb 11 10:01:37 1999
0.0 25.0 50.0 75.0 100.0
4-15 12.374 12.420 12.436 12.429 12.247
4-17 11.983 12.026 12.041 12.033 11.846
4-19 11.600 11.642 11.655 11.645 11.455
4-21 11.226 11.265 11.277 11.266 11.071
4-23 10.860 10.897 10.907 10.895 10.697
4-25 10.502 10.537 10.545 10.532 10.330
4-27 10.151 10.184 10.190 10.176 9.970
4-29 9.807 9.838 9.843 9.828 9.618
4-31 9.470 9.499 9.503 9.486 9.273
5-01 9.140 9.166 9.169 9.151 8.935
5-03 8.816 8.841 8.842 8.823 8.603
5-05 8.498 8.521 8.521 8.501 8.278
5-07 8.186 8.208 8.206 8.185 7.959
5-09 7.881 7.900 7.897 7.876 7.646
5-11 7.580 7.598 7.594 7.571 7.339
5-13 7.285 7.301 7.296 7.273 7.037
5-15 6.996 7.010 7.004 6.979 6.741
Ave Life 8.826 8.764 8.730 8.703 8.565
Ave Cashflow 4.619 4.594 4.583 4.574 4.510
Mod Dur 3.741 3.719 3.704 3.692 3.654
Window 4/99-11/18 4/99-11/18 4/99-11/18 4/99-11/18 4/99-9/18
Sprd/Avl 458.7/av 461.7/av 462.2/av 460.6/av 439.6/av
Sprd/AvCf 467.7/av 470.6/av 471.0/av 469.3/av 448.1/av
Sprd/Tsy 458.3/9.0 461.2/9.0 462.7/8.5 461.0/8.5 439.7/8.5
Bond Loss 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 0.00 0.00 0.00 0.00
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1 A1
Bond Name : A1 (AAA/Aaa2 31.O%)
Original Balance : 181,434,OOO.00 Current Balance : 181,434,000.00
Original Coupon : 5.950000 % Current Coupon : 5.950000 %
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout YM only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
4.6280 4.6280 4.6280 4.7730 4.7960 4.9100 5.3460 5.4900 5.9648
</TABLE>
Report Generated : Thu Feb 11 09:38:59 1999
0.0 25.0 50.0 75.0 100.0
98-16 6.338 6.339 6.339 6.339 6.339
98-24 6.276 6.276 6.276 6.276 6.277
99-00 6.214 6.214 6.214 6.214 6.214
99-08 6.152 6.152 6.152 6.152 6.152
99-16 6.090 6.090 6.090 6.090 6.090
99-24 6.029 6.029 6.029 6.029 6.029
100-00 5.968 5.968 5.968 5.968 5.967
100-08 5.907 5.907 5.906 5.906 5.906
100-16 5.846 5.846 5.846 5.846 5.845
100-24 5.785 5.785 5.785 5.785 5.785
101-00 5.725 5.725 5.725 5.725 5.724
101-08 5.665 5.665 5.664 5.664 5.664
101-16 5.605 5.605 5.605 5.604 5.604
101-24 5.545 5.545 5.545 5.545 5.544
102-00 5.486 5.485 5.485 5.485 5.484
102-08 5.426 5.426 5.426 5.426 5.425
102-16 5.367 5.367 5.367 5.367 5.366
Ave Life 5.000 4.998 4.996 4.995 4.986
Ave Cashflow 4.577 4.575 4.574 4.572 4.565
Mod Dur 4.089 4.088 4.087 4.086 4.081
Window 4/99-2/08 4/99-1/08 4/99-1/08 4/99-12/07 4/99-10/07
Sprd/Avl 105.0/av 105.0/av 105.0/av 105.0/av 104.9/av
Sprd/AvCf 105.3/av 105.3/av 105.3/av 105.3/av 105.3/av
Sprd/Tsy 105.0/5.0 105.0/5.0 105.0/5.0 105.0/5.0 104.9/5.0
Bond Loss 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 0.00 0.00 0.00 0.00
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1 A2
Bond Name : A2 (AAA/Aaa2 31.0%)
Original Balance : 723,242,000.00 Current Balance : 723,242,000.00
Original Coupon : 6.292000 % Current Coupon : 6.292000 %
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout YM only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
4.6280 4.6280 4.6280 4.7730 4.7960 4.9100 5.3460 5.4900 5.9648
</TABLE>
Report Generated : Thu Feb 11 09:39:00 1999
0.0 25.0 50.0 75.0 100.0
99-16 6.413 6.413 6.413 6.413 6.413
99-24 6.376 6.376 6.376 6.376 6.376
100-00 6.339 6.339 6.339 6.339 6.339
100-08 6.303 6.303 6.303 6.302 6.301
100-16 6.266 6.266 6.266 6.266 6.264
100-24 6.230 6.230 6.230 6.229 6.227
101-00 6.194 6.194 6.193 6.193 6.191
101-08 6.158 6.158 6.157 6.157 6.154
101-16 6.122 6.122 6.121 6.121 6.117
101-24 6.086 6.086 6.085 6.085 6.081
102-00 6.050 6.050 6.050 6.049 6.045
102-08 6.015 6.014 6.014 6.013 6.008
102-16 5.979 5.979 5.978 5.978 5.972
102-24 5.944 5.943 5.943 5.942 5.936
103-00 5.909 5.908 5.908 5.907 5.900
103-08 5.873 5.873 5.872 5.871 5.864
103-16 5.838 5.838 5.837 5.836 5.829
Ave Life 9.247 9.236 9.220 9.197 9.030
Ave Cashflow 7.562 7.553 7.543 7.526 7.409
Mod Dur 6.846 6.839 6.831 6.818 6.726
Window 2/08-9/08 1/08-9/08 1/08-9/08 12/07-9/08 10/07-7/08
Sprd/Avl 122.9/av 122.9/av 122.9/av 122.9/av 122.9/av
Sprd/AvCf 126.7/av 126.7/av 126.7/av 126.7/av 126.6/av
Sprd/Tsy 123.5/9.0 123.4/9.0 123.4/9.0 123.4/9.0 123.0/9.0
Bond Loss 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 0.00 0.00 0.00 0.00
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1 A3
Bond Name : B (AA/Aa2 26.25%)
Original Balance : 62,278,000.OO Current Balance : 62,278,000.00
Original Coupon : 6.412000 % Current Coupon : 6.412000 %
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout YM only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSYO1Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
4.6280 4.6280 4.6280 4.7730 4.7960 4.9100 5.3460 5.4900 5.9648
</TABLE>
Report Generated : Thu Feb 11 09:39:00 1999
0.0 25.0 50.0 75.0 100.0
99-16 6.534 6.534 6.535 6.535 6.535
99-24 6.498 6.498 6.498 6.498 6.498
100-00 6.462 6.462 6.462 6.462 6.462
100-08 6.427 6.426 6.426 6.426 6.425
100-16 6.391 6.391 6.391 6.390 6.389
100-24 6.355 6.355 6.355 6.355 6.353
101-00 6.320 6.320 6.319 6.319 6.317
101-08 6.284 6.284 6.284 6.283 6.281
101-16 6.249 6.249 6.248 6.248 6.245
101-24 6.214 6.214 6.213 6.213 6.209
102-00 6.179 6.178 6.178 6.177 6.174
102-08 6.144 6.143 6.143 6.142 6.138
102-16 6.109 6.109 6.108 6.107 6.103
102-24 6.074 6.074 6.073 6.072 6.068
103-00 6.040 6.039 6.038 6.038 6.033
103-08 6.005 6.005 6.004 6.003 5.997
103-16 5.971 5.970 5.969 5.968 5.962
Ave Life 9.554 9,540 9.521 9.497 9.355
Ave Cashflow 7.754 7.744 7.731 7.715 7.616
Mod Dur 6.974 6.966 6.956 6.943 6.867
Window 9/08-10/08 9/08-10/08 9/08-10/08 9/08-9/08 7/08-8/08
Sprd/Avl 134.9/av 134.9/av 134.9/av 134.9/av 135.0/av
Sprd/AvCf 139.0/av 139.0/av 139.0/av 139.0/av 139.0/av
Sprd/Tsy 135.0/9.5 135.0/9.5 135.0/9.5 134.9/9.5 134.7/9.5
Bond Loss 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 0.00 0.00 0.00 0.00
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1 A4
Bond Name : C (AA/Aa3 24.50%)
Original Balance : 22,944,000.00 Current Balance : 22,944,000.00
Original Coupon : 6.452000 % Current Coupon : 6.452000 %
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout YM only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSYO1Y TSY02Y TSYO5Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
4.6280 4.6280 4.6280 4.7730 4.7960 4.9100 5.3460 5.4900 5.9648
</TABLE>
Report Generated : Thu Feb 11 09:39:01 1999
0.0 25.0 50.0 75.0 100.0
99-16 6.575 6.575 6.575 6.575 6.576
99-24 6.539 6.539 6.539 6.539 6.539
100-00 6.503 6.503 6.503 6.503 6.503
100-08 6.467 6.467 6.467 6.467 6.467
100-16 6.432 6.432 6.432 6.432 6.430
100-24 6.396 6.396 6.396 6.396 6.394
101-00 6.361 6.361 6.361 6.360 6.358
101-08 6.325 6.325 6.325 6.325 6.322
101-16 6.290 6.290 6.290 6.290 6.287
101-24 6.255 6.255 6.255 6.254 6.251
102-00 6.220 6.220 6.220 6.219 6.216
102-08 6.185 6.185 6.185 6.184 6.180
102-16 6.150 6.150 6.150 6.149 6.145
102-24 6.115 6.115 6.115 6.115 6.110
103-00 6.081 6.081 6.081 6.080 6.075
103-08 6.046 6.046 6.046 6.045 6.040
103-16 6.012 6.012 6.012 6.011 6.005
Ave Life 9.581 9.581 9.581 9.566 9.414
Ave Cashflow 7.766 7.766 7.766 7.756 7.650
Mod Dur 6.975 6.975 6.975 6.967 6.886
Window 10/08-10/08 10/08-10/08 10/08-10/08 9/08-10/08 8/08-8/08
Sprd/Avl 139.0/av 139.0/av 139.0/av 139.0/av 139.0/av
Sprd/AvCf 143.1/av 143.1/av 143.1/av 143.1/av 143.0/av
Sprd/Tsy 139.1/9.5 139.1/9.5 139.1/9-5 139.1/9.5 138.8/9.5
Bond Loss 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 0.00 0.00 0.00 0.00
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1 A5
Bond Name : D (A/A 19.75%)
Original Balance : 62,278,000.00 Current Balance : 62,278,000.00
Original Coupon : 6.709000 % Current Coupon : 6.709000 %
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout YM only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6280 4.6280 4.6280 4.7730 4.7960 4.9100 5.3460 5.4900 5.9648
</TABLE>
Report Generated : Thu Feb 11 09:39:01 1999
0.0 25.0 50.0 75.0 100.0
99-16 6.838 6.838 6.838 6.838 6.839
99-24 6.802 6.802 6.802 6.802 6.802
100-00 6.765 6.765 6.765 6.765 6.765
100-08 6.729 6.729 6.729 6.729 6.728
100-16 6.693 6.693 6.693 6.693 6.692
100-24 6.657 6.657 6.657 6.657 6.655
101-00 6.621 6.621 6.621 6.621 6.619
101-08 6.585 6.585 6.585 6.585 6.583
101-16 6.550 6.550 6.550 6.550 6.546
101-24 6.514 6.514 6.514 6.514 6.510
102-00 6.479 6.479 6.479 6.479 6.474
102-08 6.443 6.443 6.443 6.443 6.439
102-16 6.408 6.408 6.408 6.408 6.403
102-24 6.373 6.373 6.373 6.373 6.367
103-00 6.338 6.338 6.338 6.338 6.332
103-08 6.303 6.303 6.303 6.303 6.296
103-16 6.268 6.268 6.268 6.268 6.261
Ave Life 9.581 9.581 9.581 9.581 9.414
Ave Cashflow 7.722 7.722 7.722 7.722 7.607
Mod Dur 6.891 6.891 6.891 6.891 6.805
Window 10/08-10/08 10/08-10/08 10/08-10/08 10/08-10/08 8/08-8/08
Sprd/Avl 164.9/av 164.9/av 164.9/av 164.9/av 165.0/av
Sprd/AvCf 169.2/av 169.2/av 169.2/av 169.2/av 169.1/av
Sprd/Tsy 165.1/9.5 165.1/9.5 165.1/9.5 165.1/9.5 164-8/9.5
Bond Loss 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 0.00 0.00 0.00 0.00
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1 A6
Bond Type : WAC
Bond Name : E (BBB/Baa2 13.5%)
Original Balance : 81,945,000.00 Current Balance : 81,945,000.00
Original Coupon : 7.238434 % Current Coupon : 7.238434 %
Deal Description : COMM 99-1(RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout YM only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6280 4.6280 4.6280 4.7730 4.7960 4.9100 5.3460 5.4900 5.9648
</TABLE>
Report Generated : Thu Feb 11 09:39:02 1999
0.0 25.0 50.0 75.0 100.0
95-29 7.852 7.852 7.853 7.853 7.859
96-05 7.813 7.813 7.813 7.814 7.820
96-13 7.774 7.774 7.774 7.775 7.780
96-21 7.735 7.735 7.736 7.736 7.741
96-29 7.697 7.697 7.697 7.697 7.702
97-05 7.658 7.658 7.658 7.659 7.663
97-13 7.620 7.620 7.620 7.620 7.625
97-21 7.581 7.581 7.582 7.582 7.586
97-29 7.543 7.543 7.543 7.544 7.547
98-05 7.505 7.505 7.505 7.506 7.509
98-13 7.467 7.467 7.467 7.468 7.471
98-21 7.429 7.429 7.430 7.430 7.433
98-29 7.392 7.392 7.392 7.392 7.394
99-05 7.354 7.354 7.354 7.355 7.357
99-13 7.317 7.317 7.317 7.317 7.319
99-21 7.279 7.279 7.280 7.280 7.281
99-29 7.242 7.242 7.242 7.243 7.244
Ave Life 9.581 9.581 9.581 9.581 9.459
Ave Cashflow 7.647 7.647 7.647 7.647 7.565
Mod Dur 6.677 6.677 6.677 6.677 6.618
Window 10/08-10/08 10/08-10/08 10/08-10/08 10/08-10/08 8/08-9/08
Sprd/Avl 264.3/av 264.3/av 264.3/av 264.3/av 265.0/av
Sprd/AvCf 268.7/av 268.7/av 268.7/av 268.7/av 269.3/av
Sprd/Tsy 264.5/9.5 264.5/9.5 264.5/9.5 264.5/9.5 264.9/9.5
Bond Loss 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 0.00 0.00 0.00 0.00
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1 A7
Bond Type : WAC
Bond Name : F (BBB-/Baa3 12.00%)
Original Balance : 19,667,000.00 Current Balance : 19,667,000.00
Original Coupon : 7.238434 % Current Coupon : 7.238434%
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout YM only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6280 4.6280 4.6280 4.7730 4.7960 4.9100 5.3460 5.4900 5.9648
</TABLE>
Report Generated : Thu Feb 11 09:39:02 1999
0.0 25.0 50.0 75.0 100.0
89-20 8.880 8.880 8.881 8.881 8.887
89-28 8.838 8.838 8.838 8.838 8.845
90-04 8.795 8.795 8.795 8.795 8.802
90-12 8.753 8.753 8.753 8.753 8.759
90-20 8.710 8.711 8.711 8.711 8.717
90-28 8.668 8.668 8.669 8.669 8.675
91-04 8.626 8.627 8.627 8.627 8.633
91-12 8.585 8.585 8.585 8.585 8.591
91-20 8.543 8.543 8.543 8.543 8.549
91-28 8.502 8.502 8.502 8.502 8.508
92-04 8.460 8.460 8.460 8.461 8.466
92-12 8.419 8.419 6.419 8.419 8.425
92-20 8.378 8.378 8.378 8.378 8.384
92-28 8.337 8.337 8.337 8.337 8.343
93-04 8.296 8.296 8.297 8.297 8.302
93-12 8.256 8.256 8.256 8.256 8.261
93-20 8.215 8.215 8.215 8.216 8.221
Ave Life 9.581 9.581 9.581 9.581 9.545
Ave Cashflow 7.647 7.647 7.647 7.647 7.623
Mod Dur 6.544 6.544 6.544 6.544 6.528
Window 10/08-10/08 10/08-10/08 10/08-10/08 10/08-10/08 9/08-10/08
Sprd/Avl 364.3/av 364.3/av 364.3/av 364.3/av 365.0/av
Sprd/AvCf 368.7/av 368.7/av 368.7/av 368.7/av 369.3/av
Sprd/Tsy 364.4/9.5 364.5/9.5 364.5/9.5 364.5/9.5 365.1/9.5
Bond Loss 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 0.00 0.00 0.00 0.00
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM99-1_DEF A1
Bond Name : A1 (AAA/Aaa2 31.0%)
Original Balance : 181,434,000.00 Current Balance : 181,434,000.00
Original Coupon : 5.950000 % Current Coupon : 5.950000 %
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6280 4.6280 4.6280 4.7730 4.7960 4.9100 5.3460 5.4900 5.9648
</TABLE>
Report Generated : Fri Feb 12 11:18:19 1999
<TABLE>
<CAPTION>
0.0 DEF1 DEF2 DEF3 DEF4 DEF5
<S> <C> <C> <C> <C> <C> <C>
98-16 6.338 6.370 6.395 6.414 6.430 6.442
98-24 6.276 6.301 6.321 6.337 6.349 6.359
99-00 6.214 6.233 6.248 6.260 6.269 6.277
99-08 6.152 6,165 6.175 6.183 6.189 6.194
99-16 6.090 6.097 6.102 6.106 6.109 6.112
99-24 6.029 6.029 6.030 6.030 6.030 6.030
100-00 5.968 5.962 5.957 5.954 5.951 5.949
100-08 5.907 5.895 5.885 5.878 5.872 5.868
100-16 5.846 5.828 5.814 5.803 5.794 5.787
100-24 5.785 5.761 5.742 5.727 5.716 5.706
101-00 5.725 5.695 5.671 5.652 5.638 5.626
101-08 5.665 5.628 5.600 5.578 5.560 5.545
101-16 5.605 5.562 5.529 5.503 5.482 5.466
101-24 5.545 5.497 5.459 5.429 5.405 5.386
102-00 5.486 5.431 5.389 5.355 5.328 5.307
102-08 5.426 5.366 5.318 5.281 5.252 5.228
102-16 5.367 5.301 5.249 5.208 5.175 5.149
Ave Life 5.000 4.438 4.080 3.838 3.665 3.536
Ave Cashflow 4.577 4.080 3.762 3.547 3.393 3.278
Mod Dur 4.089 3.714 3.465 3.293 3.166 3.071
Window 4/99-2/08 4/99-11/06 4/99-12/05 4/99-5/05 4/99-11/04 4/99-7/04
Sprd/Avl 105.0/av 103.6/av 102.5/av 101.6/av 100.8/av 100.2/av
Sprd/AvCf 105.3/av 103.9/av 102.7/av 101.8/av 101.0/av 100.4/av
Sprd/Tsy 105.0/5.0 103.6/4.5 102.5/4.0 101.4/4.0 100.9/3.5 100.2/3.5
Bond Loss 0.00 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 26745068.60 52077330.76 76060606.32 98756268.89 120223331.83
</TABLE>
DEF1: 1% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF2: 2% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF3; 3% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF4: 4% CDR after 24 mo, 65% recovery, 12 mos. lag
DEFS: 5% CDR after 24 mo, 65% recovery, 12 mos. lag
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM99-1_DEF A2
Bond Name : A2 (AAA/Aaa2 31.0%)
Original Balance : 723,242,000.00 Current Balance : 723,242,000.00
Original Coupon : 6.292000% Current Coupon : 6.292000%
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6280 4.6280 4.6280 4.7730 4.7960 4.9100 5.3460 5.4900 5.9648
</TABLE>
Report Generated : Fri Feb 12 11:18:20 1999
<TABLE>
<CAPTION>
0.0 DEF1 DEF2 DEF3 DEF4 DEF5
<S> <C> <C> <C> <C> <C> <C>
99-16 6.413 6.413 6.413 6.413 6.414 6.414
99-24 6.376 6.376 6.376 6.376 6.376 6.376
100-00 6.339 6.339 6.339 6.338 6.338 6.337
100-08 6.303 6.302 6.302 6.301 6.300 6.299
100-16 6.266 6.266 6.265 6.264 6.262 6.261
100-24 6.230 6.229 6.228 6.227 6.225 6.223
101-00 6.194 6.193 6.192 6.190 6.187 6.185
101-08 6.158 6.157 6.155 6.153 6.150 6.147
101-16 6.122 6.121 6.119 6.116 6.113 6.109
101-24 6.086 6.085 6.082 6.079 6.076 6.072
102-00 6.050 6.049 6.046 6.043 6.039 6.034
102-08 6.015 6.013 6.010 6.006 6.002 5.997
102-16 5.979 5.977 5.974 5.970 5.965 5.960
102-24 5.944 5.942 5.938 5.934 5.928 5.923
103-00 5.909 5.906 5.903 5.897 5.892 5.886
103-08 5.873 5.871 5.867 5.861 5.855 5.849
103-16 5.838 5.836 5.831 5.826 5.819 5.812
Ave Life 9.247 9.195 9.097 8.975 8.843 8.704
Ave Cashflow 7.562 7.526 7.460 7.380 7.293 7.202
Mod Dur 6.846 6.816 6.759 6.687 6.608 6.524
Window 2/08-9/08 11/06-9/08 12/05-9/08 5/05-9/08 11/04-9/08 7/04-9/08
Sprd/Avl 122.9/av 122.9/av 122.9/av 122.9/av 122.9/av 122.9/av
Sprd/AvCf 126.7/av 126.7/av 126.7/av 126.6/av 126.4/av 126.3/av
Sprd/Tsy 123.5/9.0 123.4/9.0 123.1/9.0 122.9/9.0 122.6/9.0 123.4/8.5
Bond Loss 0.00 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 26745068.60 52077330.76 76060606.32 98756268.89 120223331.83
</TABLE>
DEF1 : 1% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF2 : 2% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF3 : 3% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF4 : 4% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF5 : 5% CDR after 24 mo, 65% recovery, 12 mos. lag
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM99-1_DEF A3
Bond Name : B (AA/Aa2 26.25%)
Original Balance : 62,278,000.00 Current Balance : 62,278,000.00
Original Coupon : 6.412000 % Current Coupon : 6.412000
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6280 4.6280 4.6280 4.7730 4.7960 4.9100 5.3460 5.4900 5.9648
</TABLE>
Report Generated : Fri Feb 12 11:18:21 1999
<TABLE>
<CAPTION>
0.0 DEF1 DEF2 DEF3 DEF4 DEF5
<S> <C> <C> <C> <C> <C> <C>
99-16 6.534 6.534 6.534 6.534 6.534 6.534
99-24 6.498 6.498 6.498 6.498 6.498 6.498
100-00 6.462 6.462 6.462 6.462 6.462 6.462
100-08 6.427 6.427 6.427 6.427 6.427 6.427
100-16 6.391 6.391 6.391 6.391 6.391 6.391
100-24 6.355 6.355 6.355 6.355 6.355 6.355
101-00 6.320 6.320 6.320 6.320 6.320 6.320
101-08 6.284 6.284 6.284 6.284 6.284 6.285
101-16 6.249 6.249 6.249 6.249 6.249 6.249
101-24 6.214 6.214 6.214 6.214 6.214 6.214
102-00 6.179 6.179 6.179 6.179 6.179 6.179
102-08 6.144 6.144 6.144 6.144 6.144 6.144
102-16 6.109 6.109 6.109 6.109 6.109 6.109
102-24 6.074 6.074 6.074 6.075 6.075 6.075
103-00 6.040 6.040 6.040 6.040 6.040 6.040
103-08 6.005 6.005 6.005 6.005 6.005 6.006
103-16 5.971 5.971 5.971 5.971 5.971 5.971
Ave Life 9.554 9.557 9.559 9.562 9.564 9.566
Ave Cashflow 7.754 7.756 7.758 7.760 7.761 7.763
Mod Dur 6.974 6.975 6.976 6.978 6.979 6.980
Window 9/08-10/08 9/08-10/08 9/08-10/08 9/08-10/08 9/08-10/08 9/08-10/08
Sprd/Avl 134.9/av 134.9/av 134.9/av 134.9/av 134.9/av 134.9/av
Sprd/AvCf 139.0/av 139.0/av 139.0/av 139.0/av 139.0/av 139.0/av
Sprd/Tsy 135.0/9.5 135.0/9.5 135.1/9.5 135.1/9.5 135.1/9.5 135.1/9.5
Bond Loss 0.00 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 26745068.60 52077330.76 76060606.32 98756268.89 120223331.83
</TABLE>
DEF1 : 1% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF2 : 2% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF3 : 3% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF4 : 4% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF5 : 5% CDR after 24 mo, 65% recovery, 12 mos. lag
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM99-1_DEF A4
Bond Name : C (AA/Aa3 24.50%)
Original Balance : 22,944,000.00 Current Balance : 22,944,000.00
Original Coupon : 6.452000 % Current Coupon : 6.452000 %
Deal Description : COMM 99-1(RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6280 4.6280 4.6280 4.7730 4.7960 4.9100 5.3460 5.4900 5.9648
</TABLE>
Report Generated : Fri Feb 12 11:18:22 1999
<TABLE>
<CAPTION>
0.0 DEF1 DEF2 DEF3 DEF4 DEF5
<S> <C> <C> <C> <C> <C> <C>
99-16 6.575 6.575 6.575 6.575 6.575 6.575
99-24 6.539 6.539 6.539 6.539 6.539 6.539
100-00 6.503 6.503 6.503 6.503 6.503 6.503
100-08 6.467 6.467 6.467 6.467 6.467 6.467
100-16 6.432 6.432 6.432 6.432 6.432 6.432
100-24 6.396 6.396 6.396 6.396 6.396 6.396
101-00 6.361 6.361 6.361 6.361 6.361 6.361
101-08 6.325 6.325 6.325 6.325 6.325 6.325
101-16 6.290 6.290 6.290 6.290 6.290 6.290
101-24 6.255 6.255 6.255 6.255 6.255 6.255
102-00 6.220 6.220 6.220 6.220 6.220 6.220
102-08 6.185 6.185 6.185 6.185 6.185 6.185
102-16 6.150 6.150 6.150 6.150 6.150 6.150
102-24 6.115 6.115 6.115 6.115 6.115 6.115
103-00 6.081 6.081 6.081 6.081 6.081 6.081
103-08 6.046 6.046 6.046 6.046 6.046 6.046
103-16 6.012 6.012 6.012 6.012 6.012 6.012
Ave Life 9.581 9.581 9.581 9.581 9.581 9.581
Ave Cashflow 7.766 7.766 7.766 7.766 7.766 7.766
Mod Dur 6.975 6.975 6.975 6.975 6.975 6.975
Window 10/08-10/08 10/08-10/08 10/08-10/08 10/08-10/08 10/08-10/08 10/08-10/08
Sprd/Avl 139.0/av 139.0/av 139.0/av 139.0/av 139.0/av 139.0/av
Sprd/AvCf 143.1/av 143.1/av 143.1/av 143.1/av 143.1/av 143.1/av
Sprd/Tsy 139.1/9.5 139.1/9.5 139.1/9.5 139.1/9.5 139.1/9.5 139.1/9.5
Bond Loss 0.00 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 26745068.60 52077330.76 76060606.32 98756268.89 120223331.83
</TABLE>
DEF1 : 1% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF2 : 2% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF3 : 3% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF4 : 4% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF5 : 5% CDR after 24 mo, 65% recovery, 12 mos. lag
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM99-1_DEF A5
Bond Name : D (A/A 19.75%)
Original Balance : 62,278,000.00 Current Balance : 62,278,000.00
Original Coupon : 6.709000% Current Coupon : 6.709000 %
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6280 4.6280 4.6280 4.7730 4.7960 4.9100 5.3460 5.4900 5.9648
</TABLE>
Report Generated : Fri Feb 12 11:18:22 1999
<TABLE>
<CAPTION>
0.0 DEF1 DEF2 DEF3 DEF4 DEF5
<S> <C> <C> <C> <C> <C> <C>
99-16 6.838 6.838 6.838 6.838 6.838 6.838
99-24 6.802 6.802 6.802 6.802 6.802 6.802
100-00 6.765 6.765 6.765 6.765 6.765 6.765
100-08 6.729 6.729 6.729 6.729 6.729 6.729
100-16 6.693 6.693 6.693 6.693 6.693 6.693
100-24 6.657 6.657 6.657 6.657 6.657 6.657
101-00 6.621 6.621 6.621 6.621 6.621 6.621
101-08 6.585 6.585 6.585 6.585 6.585 6.585
101-16 6.550 6.550 6.550 6.550 6.550 6.550
101-24 6.514 6.514 6.514 6.514 6.514 6.514
102-00 6.479 6.479 6.479 6.479 6.479 6.479
102-08 6.443 6.443 6.443 6.443 6.443 6.443
102-16 6.408 6.408 6.408 6.408 6.408 6.408
102-24 6.373 6.373 6.373 6.373 6.373 6.373
103-00 6.338 6.338 6.338 6.338 6.338 6.338
103-08 6.303 6.303 6.303 6.303 6.303 6.303
103-16 6.268 6.268 6.268 6.268 6.268 6.268
Ave Life 9.581 9.581 9.581 9.581 9.581 9.581
Ave Cashflow 7.722 7.722 7.722 7.722 7.722 7.722
Mod Dur 6.891 6.891 6.891 6.891 6.891 6.891
Window 10/08-10/08 10/08-10/08 10/08-10/08 10/08-10/08 10/08-10/08 10/08-10/08
Sprd/Avl 164.9/av 164.9/av 164.9/av 164.9/av 164.9/av 164.9/av
Sprd/AvCf 169.2/av 169.2/av 169.2/av 169.2/av 169.2/av 169.2/av
Sprd/Tsy 165.1/9.5 165.1/9.5 165.1/9.5 165.1/9.5 165.1/9.5 165.1/9.5
Bond Loss 0.00 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 26745068.60 52077330.76 76060606.32 98756268.89 120223331.83
</TABLE>
DEF1 : 1% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF2 : 2% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF3 : 3% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF4 : 4% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF5 : 5% CDR after 24 mo, 65% recovery, 12 mos. lag
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM99-1_DEF A6
Bond Type : WAC
Bond Name : E (BBB/Baa2 13.5%)
Original Balance : 81,945,000.00 Current Balance : 81,945,000.00
Original Coupon : 7.238434 % Current Coupon : 7.238434%
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6280 4.6280 4.6280 4.7730 4.7960 4.9100 5.3460 5.4900 5.9648
</TABLE>
Report Generated : Fri Feb 12 11:18:23 1999
<TABLE>
<CAPTION>
0.0 DEF1 DEF2 DEF3 DEF4 DEF5
<S> <C> <C> <C> <C> <C> <C>
95-29 7.852 7.852 7.852 7.852 7.852 7.851
96-05 7.813 7.813 7.813 7.813 7.813 7.812
96-13 7.774 7.774 7.774 7.774 7.774 7.774
96-21 7.735 7.735 7.735 7.735 7.735 7.735
96-29 7.697 7.697 7.697 7.697 7.696 7.696
97-05 7.658 7.658 7.658 7.658 7.658 7.658
97-13 7.620 7.620 7.620 7.620 7.620 7.620
97-21 7.581 7.581 7.581 7.581 7.581 7.581
97-29 7.543 7.543 7.543 7.543 7.543 7.543
98-05 7.505 7.505 7.505 7.505 7.505 7.505
98-13 7.467 7.467 7.467 7.467 7.468 7.468
98-21 7.429 7.429 7.429 7.430 7.430 7.430
98-29 7.392 7.392 7.392 7.392 7.392 7.392
99-05 7.354 7.354 7.354 7.354 7.355 7.355
99-13 7.317 7.317 7.317 7.317 7.317 7.318
99-21 7.279 7.279 7.279 7.280 7.280 7.280
99-29 7.242 7.242 7.242 7.243 7.243 7.243
Ave Life 9.581 9.581 9.585 9.600 9.615 9.629
Ave Cashflow 7.647 7.647 7.650 7.660 7.670 7.680
Mod Dur 6.677 6.677 6.679 6.686 6.694 6.700
Window 10/08-10/08 10/08-10/08 10/08-11/08 10/08-11/08 10/08-11/08 10/08-11/08
Sprd/Avl 264.3/av 264.3/av 264.3/av 264.2/av 264.2/av 264.2/av
Sprd/AvCf 268.7/av 268.7/av 268.7/av 268.7/av 268.6/av 268.6/av
Sprd/Tsy 264.5/9.5 264.5/9.5 264.5/9.5 264.5/9.5 264.5/9.5 264.5/9.5
Bond Loss 0.00 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 26745068.60 52077330.76 76060606.32 98756268.89 120223331.83
</TABLE>
DEF1 : 1% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF2 : 2% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF3 : 3% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF4 : 4% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF5 : 5% CDR after 24 mo, 65% recovery, 12 mos. lag
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM99-1_DEF A7
Bond Type : WAC
Bond Name : F (BBB-/Baa3 12.00%)
Original Balance : 19,667,000.00 Current Balance : 19,667,000.00
Original Coupon : 7.238434 % Current Coupon : 7.238434 %
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6280 4.6280 4.6280 4.7730 4.7960 4.9100 5.3460 5.4900 5.9648
</TABLE>
Report Generated : Fri Feb 12 11:18:24 1999
<TABLE>
<CAPTION>
0.0 DEF1 DEF2 DEF3 DEF4 DEF5
<S> <C> <C> <C> <C> <C> <C>
89-20 8.880 8.877 8.873 8.873 8.873 8.865
89-28 8.838 8.835 8.830 8.830 8.830 8.823
90-04 8.795 8.792 8.788 8.788 8.788 8.781
90-12 8.753 8.750 8.746 8.746 8.746 8.739
90-20 8.710 8.708 8.704 8.704 8.704 8.697
90-28 8.668 8.666 8.662 8.662 8.662 8.655
91-04 8.626 8.624 8.620 8.620 8.620 8.614
91-12 8.585 8.582 8.579 8.579 8.579 8.573
91-20 8.543 8.541 8.537 8.537 8.537 8.531
91-28 8.502 8.499 8.496 8.496 8.496 8.490
92-04 8.460 8.458 8.455 8.455 8.455 8.450
92-12 8.419 8.417 8.414 8.414 8.414 8.409
92-20 8.378 8.376 8.373 8.373 8.373 8.368
92-28 8.337 8.335 8.333 8.333 8.333 8.328
93-04 8.296 8.295 8.292 8.292 8.292 8.288
93-12 8.256 8.254 8.252 8.252 8.252 8.247
93-20 8.215 8.214 8.212 8.212 8.211 8.207
Ave Life 9.581 9.614 9.664 9.664 9.666 9.739
Ave Cashflow 7.647 7.670 7.703 7.703 7.705 7.755
Mod Dur 6.544 6.560 6.583 6.583 6.584 6.618
Window 10/08-10/08 10/08-11/08 11/08-11/08 11/08-11/08 11/08-12/08 11/08-12/08
Sprd/Avl 364.3/av 364.0/av 363.5/av 363.5/av 363.5/av 362.7/av
Sprd/AvCf 368.7/av 368.4/av 368.0/av 368.0/av 368.0/av 367.3/av
Sprd/Tsy 364.4/9.5 364.2/9.5 363.9/9.5 363.9/9.5 363.9/9.5 363.3/9.5
Bond Loss 0.00 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 26745068.60 52077330.76 76060606.32 98756268.89 120223331.83
</TABLE>
DEF1 : 1% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF2 : 2% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF3 : 3% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF4 : 4% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF5 : 5% CDR after 24 mo, 65% recovery, 12 mos. lag
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
Bond Id : COMM 99-1_DEF X
Bond Type : WACIO
Bond Name : X (AAA/AAA IO)
Original Balance : 1,311,125,920.05 Current Balance : 1,311,125,920.05
Original Coupon : 0.933146 % Current Coupon : 0.933146 %
Deal Description : COMM 99-1 (RED)
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout only
<TABLE>
<CAPTION>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
: 4.6280 4.6280 4.6280 4.7730 4.7960 4.9100 5.3460 5.4900 5.9648
</TABLE>
Report Generated : Fri Feb 12 11:41:51 1999
<TABLE>
<CAPTION>
0.0 DEF1 DEF2 DEF3 DEF4 DEF5
<S> <C> <C> <C> <C> <C> <C>
4-15 12.374 11.796 11.233 10.678 10.128 9.574
4-17 11.983 11.403 10.838 10.281 9.728 9.173
4-19 11.600 11.019 10.452 9.893 9.338 8.780
4-21 11.226 10.643 10.074 9.513 8.957 8.396
4-23 10.860 10.275 9.704 9.142 8.583 8.021
4-25 10.502 9.915 9.342 8.778 8.218 7.653
4-27 10.151 9.562 8.988 8.422 7.860 7.293
4-29 9.807 9.216 8.641 8.073 7.509 6.941
4-31 9.470 8.878 8.300 7.731 7.165 6.595
5-01 9.140 8.546 7.967 7.396 6.829 6.257
5-03 8.816 8.220 7.640 7.068 6.498 5.925
5-05 8.498 7.901 7.319 6.745 6.175 5.599
5-07 8.186 7.588 7.005 6.429 5.857 5.280
5-09 7.881 7.281 6.696 6.119 5.545 4.966
5-11 7.580 6.979 6.393 5.815 5.239 4.659
5-13 7.285 6.683 6.095 5.516 4.939 4.357
5-15 6.996 6.392 5.803 5.222 4.644 4.060
Ave Life 8.826 8.644 8.469 8 299 8.135 7.976
Ave Cashflow 4.619 4.538 4.460 4.383 4.306 4.228
Mod Dur 3.741 3.723 3.706 3.688 3.669 3.650
Window 4/99-11/18 4/99-11/18 4/99-11/18 4/99-11/18 4/99-11/18 4/99-11/18
Sprd/Avl 458.7/av 399.9/av 342.5/av 286.0/av 229.8/av 173.1/av
Sprd/AvCf 467.7/av 408.5/av 350.8/av 294.0/av 237.5/av 180.5/av
Sprd/Tsy 458.3/9.0 400.2/8.5 342.5/8.5 285.5/8.5 230.1/8.0 173.1/8.0
Bond Loss 0.00 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 26745068.60 52077330.76 76060606.32 98756268.89 120223331.83
</TABLE>
DEF1 : 1% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF2 : 2% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF3 : 3% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF4 : 4% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF5 : 5% CDR after 24 mo, 65% recovery, 12 mos. lag
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended
for use by the addressee only, and may not be provided to any third party other
than the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that
such information is accurate or complete. Such information should not be viewed
as projections, forecasts, predictions, or opinions with respect to value. Prior
to making any investment decision, a prospective investor shall receive and
fully review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER
TO SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s)
may hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
<TABLE>
<CAPTION>
<S> <C> <C> <C>
Bond Id : COMM 99-1JP X
Bond Type : WACIO
Bond Name : X (AAA/AAA IO)
Original Balance : 1,311,153,572.99 Current Balance : 1,311,153,572.99
Original Coupon : 0.844112 % Current Coupon : 0.844112 %
Deal Description : COMM 99-1 (PRICE) TO CALL
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout YM only
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
: 4.6800 4.6800 4.6800 4.8810 5.0330 5.0970 5.4280 5.4900 5.9648
</TABLE>
Report Generated : Fri Feb 26 19:40:11 1999
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
0.0 100.0 DEF3P DEF5P DEF7P
3.973000 12.776 12.512 10.817 9.565 8.275
4.035500 12.334 12.066 10.366 9.108 7.811
4.098000 11.903 11.631 9.926 8.662 7.358
4.160500 11.482 11.207 9.496 8.227 6.917
4.223000 11.072 10.793 9.077 7.803 6.486
4.285500 10.670 10.389 8.668 7.388 6.065
4.348000 10.279 9.994 8.268 6.983 5.654
4.410500 9.896 9.607 7.877 6.588 5.252
* 4.473000 9.521 9.230 7.495 6.201 4.860
4.535500 9.155 8.860 7.121 5.822 4.476
4.598000 8.796 8.498 6.755 5.452 4.100
4.660500 8.445 8.144 6.397 5.089 3.732
4.723000 8.101 7.798 6.046 4.735 3.372
4.785500 7.765 7.458 5.703 4.387 3.019
4.848000 7.435 7.125 5.366 4.046 2.674
4.910500 7.112 6.799 5.037 3.713 2.335
4.973000 6.794 6.479 4.713 3.385 2.003
Ave Life 8.801 8.637 8.264 7.947 7.649
Ave Cashflow 4.609 4.528 4.316 4.145 3.964
Mod Dur 3.743 3.711 3.668 3.623 3.570
Window 4/99-2/11 4/99-2/11 4/99-1/09 4/99-1/09 4/99-1/09
Sprd/Avl 443.9/av 415.0/av 242.0/av 113.0/av -20.7/av
Sprd/AvCf 450.8/av 422.0/av 249.6/av 121.1/av -12.1/av
Sprd/Tsy 443.7/9.0 415.2/8.5 241.7/8.5 112.9/8.0 -20.5/7.5
Bond Loss 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 0.00 76064355.78 120229199.42 159704116.54
</TABLE>
DEF3P : 3% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF5P : 5% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF7P : 7% CDR after 24 mo, 65% recovery, 12 mos. lag
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended for
use by the addressee only, and may not be provided to any third party other than
the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
<TABLE>
<CAPTION>
<S> <C> <C> <C>
Bond Id : COMM 99-1JP X
Bond Type : WACIO
Bond Name : X (AAA/AAA IO)
Original Balance : 1,311,153,572.99 Current Balance : 1,311,153,572.99
Original Coupon : 0.844112 % Current Coupon : 0.844112 %
Deal Description : COMM 99-1 (PRICE) TO CALL
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout YM and penalty > 3.0%
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
: 4.6800 4.6800 4.6800 4.8810 5.0330 5.0970 5.4280 5.4900 5.9648
</TABLE>
Report Generated : Fri Feb 26 19:33:01 1999
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C>
0.0 DEF1JP DEF2JP DEF3JP DEF4JP DEF5JP DEF6JP
3.973000 12.776 12.688 10.915 10.037 9.157 8.264 7.353
4.035500 12.334 12.246 10.468 9.589 8.707 7.812 6.898
4.098000 11.903 11.814 10.032 9.151 8.268 7.371 6.454
4.160500 11.482 11.393 9.607 8.725 7.840 6.940 6.021
4.223000 11.072 10.982 9.192 8.308 7.421 6.520 5.599
4.285500 10.670 10.581 8.787 7.901 7.013 6.110 5.187
4.348000 10.279 10.188 8.391 7.504 6.614 5.709 4.784
4.410500 9.896 9.805 8.004 7.116 6.224 5.318 4.390
* 4.473000 9.521 9.430 7.625 6.736 5.843 4.935 4.005
4.535500 9.155 9.063 7.255 6.365 5.471 4.561 3.629
4.598000 8.796 8.704 6.893 6.002 5.106 4.194 3.261
4.660500 8.445 8.353 6.539 5.646 4.749 3.836 2.901
4.723000 8.101 8.009 6.192 5.298 4.400 3.485 2.548
4.785500 7.765 7.672 5.852 4.957 4.057 3.141 2.202
4.848000 7.435 7.341 5.518 4.622 3.722 2.804 1.864
4.910500 7.112 7.017 5.192 4.295 3.393 2.474 1.532
4.973000 6.794 6.700 4.872 3.974 3.071 2.151 1.207
Ave Life 8.801 8.783 8.301 8.075 7.858 7.650 7.450
Ave Cashflow 4.609 4.588 4.378 4.282 4.185 4.085 3.981
Mod Dur 3.743 3.739 3.705 3.693 3.679 3.662 3.643
Window 4/99-2/11 4/99-3/10 4/99-1/09 4/99-1/09 4/99-1/09 4/99-1/09 4/99-1/09
Sprd/Avl 443.9/av 434.8/av 255.0/av 166.4/av 77.4/av -13.2/av -105.9/av
Sprd/AvCf 450.8/av 441.8/av 262.4/av 174.0/av 85.2/av -5.2/av -97.6/av
Sprd/Tsy 443.7/9.0 434.6/9.0 254.8/8.5 166.5/8.0 77.2/8.0 -13.0/7.5 -106.0/7.5
Bond Loss 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 442376.10 52062637.87 75660230.13 97754651.75 118430037.78 137766459.72
</TABLE>
DEF1JP : 1% CDR after 11 mo, 70% recovery, 12 mos. lag
DEF2JP : 2% CDR after 11 mo, 70% recovery, 12 mos. lag
DEF3JP : 3% CDR after 11 mo, 70% recovery, 12 mos. lag
DEF4JP : 4% CDR after 11 mo, 70% recovery, 12 mos. lag
DEF5JP : 5% CDR after 11 mo, 70% recovery, 12 mos. lag
DEF6JP : 6% CDR after 11 mo, 70% recovery, 12 mos. lag
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended for
use by the addressee only, and may not be provided to any third party other than
the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
<TABLE>
<CAPTION>
<S> <C> <C> <C>
Bond Id : COMM 99-1JP X
Bond Type : WACIO
Bond Name : X (AAA/AAA IO)
Original Balance : 1,311,153,572.99 Current Balance : 1,311,153,572.99
Original Coupon : 0.844112 % Current Coupon : 0.844112 %
Deal Description : COMM 99-1 (PRICE) TO CALL
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout YM only
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
: 4.6800 4.6800 4.6800 4.8810 5.0330 5.0970 5.4280 5.4900 5.9648
</TABLE>
Report Generated : Fri Feb 26 19:40:11 1999
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C>
0.0 100.0 DEF3P DEF5P DEF7P
3.973000 12.776 12.512 10.817 9.565 8.275
4.035500 12.334 12.066 10.366 9.108 7.811
4.098000 11.903 11.631 9.926 8.662 7.358
4.160500 11.482 11.207 9.496 8.227 6.917
4.223000 11.072 10.793 9.077 7.803 6.486
4.285500 10.670 10.389 8.668 7.388 6.065
4.348000 10.279 9.994 8.268 6.983 5.654
4.410500 9.896 9.607 7.877 6.588 5.252
* 4.473000 9.521 9.230 7.495 6.201 4.860
4.535500 9.155 8.860 7.121 5.822 4.476
4.598000 8.796 8.498 6.755 5.452 4.100
4.660500 8.445 8.144 6.397 5.089 3.732
4.723000 8.101 7.798 6.046 4.735 3.372
4.785500 7.765 7.458 5.703 4.387 3.019
4.848000 7.435 7.125 5.366 4.046 2.674
4.910500 7.112 6.799 5.037 3.713 2.335
4.973000 6.794 6.479 4.713 3.385 2.003
Ave Life 8.801 8.637 8.264 7.947 7.649
Ave Cashflow 4.609 4.528 4.316 4.145 3.964
Mod Dur 3.743 3.711 3.668 3.623 3.570
Window 4/99-2/11 4/99-2/11 4/99-1/09 4/99-1/09 4/99-1/09
Sprd/Avl 443.9/av 4 15.0/av 242.0/av 113.0/av -20.7/av
Sprd/AvCf 450.8/av 4 22.0/av 249.6/av 121.1/av -12.1/av
Sprd/Tsy 443.7/9.0 4 15.2/8.5 241.7/8.5 112.9/8.0 -20.5/7.5
Bond Loss 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 0.00 76064355.78 120229199.42 159704116.54
</TABLE>
DEF3P : 3% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF5P : 5% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF7P : 7% CDR after 24 mo, 65% recovery, 12 mos. lag
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended for
use by the addressee only, and may not be provided to any third party other than
the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
<PAGE>
Deutsche Bank Securities CMO Model
Price / Yield Report
<TABLE>
<CAPTION>
<S> <C> <C> <C>
Bond Id : COMM 99-1 X
Bond Type : WACIO
Bond Name : X (AAA/AAA IO)
Original Balance : 1,311,153,572.99 Current Balance : 1,311,153,572.99
Original Coupon : 0.844112 % Current Coupon : 0.844112 %
Deal Description : COMM 99-1 (PRICE) TO CALL
Orig. Cutoff Date : 3/1/99 Dated Date : 3/1/99
Settlement Date : 3/16/99 First Payment Date : 4/15/99
Prepay Method : CPR
Scenario : Lockout YM and penalty > 3.0%
</TABLE>
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Market Levels : TSY03M TSY06M TSY01Y TSY02Y TSY05Y TSY10Y TSY30Y 1YRT 1MOT
: 4.6800 4.6800 4.6800 4.8810 5.0330 5.0970 5.4280 5.4900 5.9648
</TABLE>
Report Generated : Fri Feb 26 19:27:19 1999
<TABLE>
<CAPTION>
<S> <C> <C> <C> <C> <C> <C>
0.0 DEF1 DEF2 DEF3 DEF4 DEF5
3.973000 12.776 12.098 11.438 10.817 10.196 9.565
4.035500 12.334 11.653 10.990 10.366 9.742 9.108
4.098000 11.903 11.218 10.552 9.926 9.299 8.662
4.160500 11.482 10.794 10.125 9.496 8.867 8.227
4.223000 11.072 10.380 9.708 9.077 8.445 7.803
4.285500 10.670 9.976 9.301 8.668 8.033 7.388
4.348000 10.279 9.581 8.903 8.268 7.631 6.983
4.410500 9.896 9.195 8.515 7.877 7.238 6.588
* 4.473000 9.521 8.818 8.135 7.495 6.853 6.201
4.535500 9.155 8.448 7.763 7.121 6.477 5.822
4.598000 8.796 8.087 7.399 6.755 6.109 5.452
4.660500 8.445 7.733 7.043 6.397 5.749 5.089
4.723000 8.101 7.387 6.694 6.046 5.396 4.735
4.785500 7.765 7.048 6.353 5.703 5.051 4.387
4.848000 7.435 6.715 6.018 5.366 4.713 4.046
4.910500 7.112 6.389 5.690 5.037 4.381 3.713
4.973000 6.794 6.070 5.368 4.713 4.056 3.385
Ave Life 8.801 8.610 8.430 8.264 8.103 7.947
Ave Cashflow 4.609 4.499 4.400 4.316 4.232 4.145
Mod Dur 3.743 3.714 3.688 3.668 3.647 3.623
Window 4/99-2/11 4/99-11/09 4/99-1/09 4/99-1/09 4/99-1/09 4/99-1/09
Sprd/Avl 443.9/av 373.8/av 305.8/av 242.0/av 178.0/av 113.0/av
Sprd/AvCf 450.8/av 381.0/av 313.2/av 249.6/av 185.9/av 121.1/av
Sprd/Tsy 443.7/9.0 374.0/8.5 305.7/8.5 241.7/8.5 178.2/8.0 112.9/8.0
Bond Loss 0.00 0.00 0.00 0.00 0.00 0.00
Coll Loss 0.00 26746399.89 52079910.55 76064355.78 98761113.05 120229199.42
</TABLE>
DEF1 : 1% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF2 : 2% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF3 : 3% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF4 : 4% CDR after 24 mo, 65% recovery, 12 mos. lag
DEF5 : 5% CDR after 24 mo, 65% recovery, 12 mos. lag
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), is privileged and confidential, is intended for
use by the addressee only, and may not be provided to any third party other than
the addressee's legal, tax, financial and/or accounting advisors for the
purposes of evaluating such material. Prospective investors are advised to read
carefully, and should rely solely on, the final prospectus and prospectus
supplement (the "Final Prospectus") related to the securities (the "Securities")
in making their investment decisions. The material does not include all relevant
information relating to the Securities described therein, particularly with
respect to the risk and special considerations associated with an investment in
the Securities. All information contained herein is preliminary, supersedes any
information previously provided, and it is anticipated that it will change
further. Any information contained herein will be more fully described in and
will be fully superseded by the Final Prospectus. Although the information
contained in the material is based on sources the Underwriter(s) believe(s) to
be reliable, the Underwriter(s) make(s) no representation or warranty that such
information is accurate or complete. Such information should not be viewed as
projections, forecasts, predictions, or opinions with respect to value. Prior to
making any investment decision, a prospective investor shall receive and fully
review the Final Prospectus. NOTHING HEREIN SHOULD BE CONSIDERED AN OFFER TO
SELL OR SOLICITATION OF AN OFFER TO BUY ANY SECURITIES. The Underwriter(s) may
hold long or short positions in or buy and sell Securities or related
securities, or perform for or solicit investment banking services from, any
company mentioned herein.
