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: May 20, 1998
(Date of earliest event reported)
Commission File No. 333-40467
PAINEWEBBER MORTGAGE ACCEPTANCE CORPORATION IV (as depositor under the Sale and
Servicing Agreement, dated as of May 1, 1998, relating to the Master Financial
Asset Securitization Trust 1998-2, Home Loan Asset Backed Notes, Series 1998-2)
PAINEWEBBER MORTGAGE ACCEPTANCE CORPORATION IV
- --------------------------------------------------------------------------------
Delaware 06-1204982
- ----------------------------------------- ------------------------------------
(State of Incorporation) (I.R.S. Employer Identification No.)
1285 Avenue of the Americas
New York, New York 10019
- ----------------------------------------- ------------------------------------
Address of principal executive offices (Zip Code)
(212) 713-2000
- --------------------------------------------------------------------------------
Registrant's Telephone Number, including area code
- --------------------------------------------------------------------------------
(Former name, former address and former fiscal year,
if changed since last report)
<PAGE>
ITEM 5. Other Events
------------
Attached as an exhibit are the Computational Materials, Structural
Term Sheets and Collateral Term Sheets (each as defined in the
no-action letter dated May 20, 1994 issued by the Securities and
Exchange Commission to Kidder, Peabody Acceptance Corporation-I,
Kidder, Peabody & Co. Incorporated and Kidder Structured Asset
Corporation (the "Kidder Letter") as modified by a no-action letter
(the "First PSA No-Action Letter") issued by the staff of the
Commission on May 27, 1994 to the Public Securities Association (the
"PSA") and as further modified by a no-action letter (the "Second PSA
No-Action Letter,") prepared by PaineWebber Incorporated, which are
hereby filed pursuant to such letters.
<PAGE>
ITEM 7. Financial Statements and Exhibits
---------------------------------
(c) Exhibits
Item 601(a)
of Regulation S-K
Exhibit No. Description
- ----------------- -----------
(99) Computational Materials, Structural
Term Sheets and Collateral Term Sheets
prepared by PaineWebber Incorporated in
connection with Master Financial Asset
Securitization Trust 1998-2,
Home Loan Asset Backed Notes,
Series 1998-2
<PAGE>
Pursuant to the requirements of the Securities Exchange Act of 1934, the
registrant has duly caused this report to be signed on its behalf by the
undersigned hereunto duly authorized.
PAINEWEBBER MORTGAGE ACCEPTANCE
CORPORATION IV
May ---, 1998
By: /s/Joseph Piscina
----------------
Joseph Piscina
Director
<PAGE>
INDEX TO EXHIBITS
Paper (P) or
Exhibit No. Description Electronic (E)
- ----------- ----------- ----------------
(99) Computational Materials, Structural E
Term Sheets and Collateral Term Sheets
prepared by PaineWebber Incorporated
in connection with Master Financial
Asset Securitization Trust 1998-2, Home
Loan Asset Backed Notes, Series 1998-2
PAINEWEBBER INCORPORATED
PRELIMINARY BACKGROUND INFORMATION
MASTER FINANCIAL ASSET SECURITIZATION TRUST 1998-2
DISCLAIMER
- --------------------------------------------------------------------------------
The information included herein is produced and provided exclusively by
PaineWebber Incorporated ('PW') as underwriter for the Master Financial Asset
Securitization Trust 1998-2, and not by or as agent for Master Financial, Inc.
or any of its affiliates (collectively, the 'Transferor'). The Transferor has
not prepared, reviewed or participated in the preparation hereof, is not
responsible for the accuracy hereof and has not authorized the dissemination
hereof. The analysis in this report is accurate to the best of PW's knowledge
and is based on information provided by the Transferor. PW makes no
representations as to the accuracy of such information provided by the
Transferor. The information herein is preliminary, and will be superseded by the
applicable prospectus supplement and prospectus and by any other information
subsequently filed with the Securities and Exchange Commission.
All opinions and conclusions in this report reflect PW's judgment as of this
date and are subject to change. All analyses are based on certain assumptions
noted herein and different assumptions could yield substantially different
results. You are cautioned that there is no universally accepted method for
analyzing financial instruments. You should review the assumptions; there may be
differences between these assumptions and your actual business practices.
Further, PW does not guarantee any results and there is no guarantee as to the
liquidity of the instruments involved in this analysis. The decision to adopt
any strategy remains your responsibility. PW (or any of its affiliates) or their
officers, directors, analysts or employees may have positions in securities,
commodities or derivative instruments thereon referred to herein, and may, as
principal or agent, buy or sell such securities, commodities or derivative
instruments. In addition, PW may make a market in the securities referred to
herein. Neither the information nor the opinions expressed shall be construed to
be, or constitute, an offer to sell or buy or a solicitation of an offer to sell
or buy any securities, commodities or derivative instruments mentioned herein.
Finally, PW has not addressed the legal, accounting and tax implications of the
analysis with respect to you and PW strongly urges you to seek advice from your
counsel, accountant and tax advisor.
- --------------------------------------------------------------------------------
<PAGE>
MASTER FINANCIAL ASSET SECURITIZATION TRUST 1998-2
- --------------------------------------------------------------------------------
THIS PAGE MUST BE ACCOMPANIED BY A DISCLAIMER. IF YOU DID NOT RECEIVE SUCH A
DISCLAIMER, PLEASE CONTACT YOUR PAINEWEBBER INCORPORATED FINANCIAL ADVISOR
IMMEDIATELY
- --------------------------------------------------------------------------------
DESCRIPTION OF LOANS
Characteristics of the pool of Initial Loans as of 4/30/98. A Pre-Funding
Account will be established in the amount of $51,747,311.
Total Number of Initial Loans: 5,026
Current Principal Balance: $163,252,689
Average Loan Balance: $32,482
WA Loan Rate: 13.70%
WA Original Term (months): 235
WA Remaining Term (months): 232
WA Seasoning (months): 4
WA FICO Score: 680
WA Debt-to-Income 38.70%
WA Original Combined LTV: 113.73%
% of Second Liens: 99.37%
% Owner Occupied: 99.92%
% FHA Title I: 1.84%
As of the Cut-Off Date, 99.84% of the loans were not more than 30 days late and
100% of the loans were not more than 60 days late.
Note: Additional information regarding the Initial Loans can be found starting
on page 11.
<PAGE>
<TABLE>
<CAPTION>
PRICING INFORMATION (TO 10% CALL) (a)
- --------------------------------------------------------------------------------------------------------------------------
First Final Principal Expected
Approximate WAL Principal Principal Window Stated Ratings
Class Size Coupon (Years) Payment Payment (Years) Maturity (Moody's/Fitch/Duff)
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 $74,260,000 Float (b)(c) 1.20 06/98 10/00 2.42 09/09 Aaa/AAA/AAA
A-2 $32,072,000 Fixed (c) 3.00 10/00 01/02 1.33 10/12 Aaa/AAA/AAA
A-3 $28,084,000 Fixed (c) 5.00 01/02 12/05 4.00 11/18 Aaa/AAA/AAA
A-4 $17,589,000 Fixed (c) 10.16 12/05 12/09 4.08 08/24 Aaa/AAA/AAA
A-4 IO $17,589,000 Fixed (d)(c) - - - - - Aaa/AAA/AAA
M-1 $21,715,000 Fixed (c) 7.95 07/02 12/09 7.50 08/24 Aa2/AA/AA
M-2 $19,543,500 Fixed (c) 7.95 07/02 12/09 7.50 08/24 A2/A/A
B-1 $17,372,000 Fixed (c) 7.95 07/02 12/09 7.50 08/24 Baa3/BBB/BBB
B-2 $6,514,500 Not Publicly Offered
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
Notes:(a) 100% Prepayment Assumption: 2% CPR in month 1, and an additional
0.929% per annum in each month thereafter until month 15. On and after
month 15, 15% CPR.
(b) The lesser of (i) One-Month LIBOR plus 0.__ % and (ii) the weighted
average Coupon Rate of the Loans, less [1.25]% per annum.
(c) Coupon will be increased by [0.50%] for each payment after the Initial
Call Date.
(d) Notional balance for the first 26 months will equal the Class A-4
Class principal balance and will be zero thereafter.
Pricing Speed: 2% CPR, increasing to 15% over 15 months.
Payment Date: The 20th of each month or, if such day is not a Business
Day, the next succeeding Business Day, commencing in June
1998.
Settlement Date: On or about [May 28, 1998]
Cut-off Date: The close of business on April 30, 1998. Because the bonds
will be settling flat, only 50% of the collateral interest
payments collected during May will be deposited into the
Trust.
Payment Delay: With the exception of the Class A-1 Notes, 19 Days. With
respect to the Class A-1 Notes, 0 days.
Payment Terms: Monthly
Interest Accrual With the exception of the Class A-1 Notes, interest will
Period: accrue on the Notes at a fixed rate during the month prior
to the month of the related Payment Date (from and including
the Closing Date until the end of the month prior to the
month of the related distribution in the case of the first
Payment Date) based on a 30/360 day year. With respect to
the Class A-1 Notes, interest will accrue from and including
the preceding Payment Date (or from and including the
Closing Date in the case of the first Payment Date) to and
including the day prior to the current Payment Date at the
Class A-1 Note Interest Rate on an Actual/360 day basis. The
"Class A-1 Note Interest Rate" will be equal to the lesser
of (x) with respect to any Payment Date, One-Month LIBOR
plus 0._% per annum and (y) the weighted average interest
rate on the loans, less [1.25]% per annum (the rate
described in this clause (y), the "Available Funds Cap").
<PAGE>
DESCRIPTION OF SECURITIES
Title of Securities: Master Financial Asset Securitization
Trust 1998-2
Underlying: The Notes will be secured, in part, by debt
Collateral consolidation, home improvement, and other primarily
second lien home equity loans, with combined loan to
value ratios generally in excess of 100%.
Transferor/Servicer: Master Financial, Inc.
Lead Underwriters: PaineWebber Incorporated
Co-Underwriters: Deutsche Morgan Grenfell, Inc. Residential Funding
Securities Corporation
Depositor: PaineWebber Mortgage Acceptance Corporation IV
Owner Trustee: Wilmington Trust Company
Indenture Trustee: The Bank of New York
Offering: Public shelf offering - a prospectus and prospectus
supplement will be distributed after pricing.
Offered Notes: Class A-1 through A-4 Notes and Class A-4 IO
Notes (together, the 'Senior Notes'), Class M-1 and
Class M-2 Notes (the 'Mezzanine Notes') and Class B-1
Notes (together with the Senior Notes, the Mezzanine
Notes, and the Class B-2 Notes, the 'Notes'). The Class
B-2 Notes and the Residual Interest Certificates are
NOT being offered publicly.
Class A-4 IO Note: The Class A-4 IO Notional Balance will be equal to
the Class A-4 Note Balance for each Payment Date up to
and including [July 20, 2000] (for the first 26 payment
dates). After such Payment Date, the Notional Balance
shall be zero. The fixed rate coupon on the Class A-4
IO is expected to be [6.320%]. The Class A-4 IO will
have no principal balance and will not be entitled to
distributions of principal.
Form of Offering: Book-Entry form, same-day funds through DTC for all of
the Notes.
Denominations: The Notes are issueable in minimum denominations of
an original amount of $25,000 and multiples of $1,000
thereafter.
<PAGE>
DESCRIPTION OF SECURITIES (Continued)
Pre-Funding Account: On the Closing Date, approximately [$51,747,311] will
be deposited in an account (the "Pre-Funding Account"),
which account is in the name of the Indenture Trustee
and is part of the Grantor Trust and will be used to
acquire Subsequent Loans. During the Pre-Funding Period
(as defined below), the amount on deposit in the
Pre-Funding Account (net of investment earnings
thereon) (the "Pre-Funding Amount") will be reduced by
the amount thereof used to purchase Subsequent Loans in
accordance with the Grantor Trust Agreement. The
"Pre-Funding Period" is the period commencing on the
Closing Date and ending generally on the earlier to
occur of (i) the date on which the amount on deposit in
the Pre-Funding Account (net of investment earnings
thereon) is less than $50,000 and (ii) [August 28,
1998].
Credit Enhancement: Credit enhancement with respect to the Offered Notes
will be provided by (1) Excess Interest, (2)
Overcollateralization and (3) the subordination of the
rights of holders of the Residual Interest Certificate,
the Class B-2 Notes and the lower-rated classes of
Offered Notes to receive interest and principal,
respectively.
Excess Interest: The weighted average coupon rate on the loans is
generally expected to be higher than the sum of the
servicing fee (including the trustee fees) and the
weighted average pass through rate on the Notes, thus
generating excess interest collections which will be
available to fund payments on the Notes on each Payment
Date.
Overcollateralization: Excess Interest will be applied, to the extent
available, to make accelerated payments of principal to
the Notes then entitled to receive payments of
principal; such application will cause the aggregate
principal balance of the Notes to amortize more rapidly
than the loans. Prior to the Stepdown Date, the
Overcollateralization Target Amount equals the greater
of (a) [3.50%] of the sum of the Original Pool
Principal Balance and the Original Pre-Funding Amount
(the "Maximum Collateral Amount") and (b) the Net
Delinquency Calculation Amount. On and after the
Stepdown Date, the Overcollateralization Target Amount
equals the greater of (a) [7.00%] of the Pool Principal
Balance as of the end of the related Due Period and (b)
the Net Delinquency Calculation Amount. The
Overcollateralization Target Amount will not in any
event be less than [0.50%] of the Maximum Collateral
Amount (the `Overcollateralization Floor') or greater
than the outstanding Class Principal Balances of the
Notes.
Undercollateralization: On the Closing Date, the aggregate principal balance of
the Notes will exceed the sum of the Initial Pool
Principal Balance and the Original Pre-Funding Amount
by approximately 1%. The application of Excess Spread,
if available, to reduce the principal balance of the
Notes is intended first to eliminate such
undercollateralization and then to create the
overcollateralization described in the preceding
paragraph.
<PAGE>
DESCRIPTION OF SECURITIES (Continued)
Net Delinquency
Calculation Amount: With respect to any Payment Date, the excess, if any,
of (x) the product of [1.7] and the Six Month Rolling
Delinquency Average over (y) the aggregate amounts of
Excess Spread for the three preceding Payment Dates.
The Net Delinquency Calculation Amount may be removed
if the Rating Agencies no longer require it. The Rating
Agencies must confirm that the original ratings
assigned will not be downgraded or withdrawn as a
result of such change. After such change the Net
Delinquency Calculation Amount would be deemed to be
zero for all future calculations.
Subordination: The rights of the Class M-1 Noteholders to receive
payments of interest on each Payment Date will be
subordinate to those of the Senior Noteholders, the
rights of the Class M-2 Noteholders to receive payments
of interest on each Payment Date will be subordinate to
those of the Senior Noteholders and the Class M-1
Noteholders, the rights of the Class B-1 Noteholders to
receive payments of interest on each Payment Date will
be subordinate to those of the Senior Noteholders and
Mezzanine Noteholders, the rights of the Class B-2
Noteholders to receive payments of interest on each
Payment Date will be subordinate to those of the
holders of the Offered Notes, and the rights of the
Residual Interest Certificateholders to receive
distributions on each Payment Date will be subordinate
to those of the Noteholders.
The rights of the Class M-1 Noteholders to receive
payments of principal on each Payment Date will be
subordinate to those of the Senior Noteholders, the
rights of the Class M-2 Noteholders to receive payments
of principal on each Payment Date will be subordinate
to those of the Senior Noteholders and the Class M-1
Noteholders, the rights of the Class B-1 Noteholders to
receive payments of principal on each Payment Date will
be subordinate to those of the Senior Noteholders and
Mezzanine Noteholders, the rights of the Class B-2
Noteholders to receive payments of principal on each
Payment Date will be subordinate to those of the
holders of the Offered Notes, and the rights of the
Residual Interest Certificateholders to receive
distributions on each Payment Date will be subordinate
to those of the Noteholders.
<PAGE>
DESCRIPTION OF SECURITIES (Continued)
Stepdown Date: The Stepdown Date means the first Payment Date
occurring after [May 20, 2001] as to which the
aggregate Class Principal Balance of the Senior Notes
will be able to be reduced to the excess of (i) the
Pool Principal Balance as of the preceding
Determination Date over (ii) the greater of (a) the sum
of (1) approximately [60.60]% of the Pool Principal
Balance as of the preceding Determination Date and (2)
the Overcollateralization Target Amount for such
Payment Date and (b) [0.50%] of the Maximum Collateral
Amount.
Summary of Subordination & Overcollateralization Target Amounts:
<TABLE>
<CAPTION>
Initial Before After After
Expected Stepdown Stepdown Stepdown
Subord.(a) O/C Target (b) Subord. (c) O/C Target (d)
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Senior Notes 30.00% 3.50% 60.60% 7.00%
Class M-1 Notes 20.00% 3.50% 40.40% 7.00%
Class M-2 Notes 11.00% 3.50% 22.22% 7.00%
Class B-1 Notes 3.00% 3.50% 6.06% 7.00%
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) The initial amount of subordination for each class as of the Closing Date
as a percentage of the notes.
(b) The Overcollateralization Target Amount prior to the Stepdown Date.
(c) The expected subordination for each class on the Stepdown Date as a
percentage of the then current collateral balance.
(d) The Overcollateralization Target Amount on and after the Stepdown Date as a
percentage of the current collateral balance, but at no time less than the
Overcollateralization Floor.
<PAGE>
DESCRIPTION OF SECURITIES (Continued)
Payment and Distribution
Priorities: (1) interest to the holders of the Senior Notes;
(2) interest to the holders of the Class M-1 Notes;
(3) interest to the holders of the Class M-2 Notes;
(4) interest to the holders of the Class B-1 Notes;
(5) interest to the holders of the Class B-2 Notes;
(6) sequentially to pay principal to the holders of
the Class A-1, Class A-2, Class A-3, and Class
A-4, in that order until the respective Class
Principal Balances thereof are reduced to zero,
the amount necessary to reduce the aggregate Class
Principal Balance of the Senior Notes (excluding
the Class A-4 IO Notes) to the Senior Optimal
Principal Balance; provided, however, that on each
Payment Date occurring on or after any reduction
of the Class Principal Balances of the Class M and
Class B Notes to zero through the application of
Allocable Loss Amounts, payment shall be made
among the remaining Senior Notes (excluding the
Class A-4 IO) pro rata and not sequentially;
(7) sequentially, to the holders of the Class M-1 and
the Class M-2 Notes, in that order, until the
Class Principal Balances thereof are reduced to
the Optimal Principal Balance, respectively;
(8) sequentially, to the holders of the Class B-1
Notes and the Class B-2 Notes, in that order,
until the Class Principal Balances thereof are
reduced to the Optimal Principal Balance;
(9) sequentially to the Class M-1 Notes and the Class
M-2 Notes, in that order, until their respective
Loss Reimbursement Deficiencies, if any, have been
paid in full;
(10) sequentially, to the Class B-1 Notes and the Class
B-2 Notes, in that order, until the applicable
Loss Reimbursement Deficiencies, if any, has been
paid in full; and
(11) any remaining amounts to the holders of the
Residual Interest Certificates.
<PAGE>
DESCRIPTION OF SECURITIES (Continued)
Application of Allocable
Loss Amounts: In the event that on any Payment Date after the
Undercollateralization Amount has been reduced to zero
(a) the aggregate of the Class Principal balances of
all Classes of Notes on any Payment Date (after giving
effect to all payments on such date) exceeds (b) the
sum of the Pool Principal Balance and the Pre-Funding
Amount, each as of the end of the immediately preceding
Due Period (such excess, an "Allocable Loss Amount"),
such Allocable Loss Amount will be applied,
sequentially, in reduction of the Class Principal
Balances of the Class B-2 Notes, the Class B-1 Notes,
the Class M-2 Notes and the Class M-1 Notes, in that
order, until the respective Class Principal Balances
thereof have been reduced to zero. On each Payment Date
prior to the Payment Date on which the Initial
Undercollateralization Amount is reduced to zero, the
Allocable Loss Amount will be zero. Allocable Loss
Amounts will not be applied in reduction of the Class
Principal Balance of any Class of Senior Notes.
Allocable Loss Amounts applied to any applicable Class
of Offered Notes will entitle such Class to
reimbursement (such entitlement, a "Loss Reimbursement
Deficiency") in accordance with the payment priorities
specified hererin until the earlier of (x) the payment
in full of such amount, and (y) the applicable Maturity
Date.
Optional Termination: The holders of an aggregate percentage interest in the
Residual Interest Certificates in excess of 50% may, at
their option, effect an early termination of the
Grantor Trust on or after any Payment Date on which the
Pool Principal Balance declines to 10% or less of the
Maximum Collateral Amount, by purchasing all of the
Loans at a price equal to or greater than the
Termination Price.
Servicing/Other Fees: The collateral is subject to certain fees, including a
servicing fee and trustee fees of [1.25]% per annum
payable monthly; provided, however, that so long as the
required Over-collateralization amount equals the Net
Delinquency Calculation Amount, the Servicing Fee shall
be equal to [0.75]% per annum.
Advancing by Servicer: There is no required advancing of delinquent principal
or interest by the Servicer or Trustee.
<PAGE>
DESCRIPTION OF SECURITIES (Continued)
Tax Considerations: The issuer will be an Owner Trust. The Offered Notes
will be characterized as debt for federal income tax
purposes.
ERISA Considerations: In general, the Offered Notes will be ERISA eligible.
However, investors should consult with their counsel
with respect to the consequences under ERISA and the
Internal Revenue Code of the Plan's acquisition and
ownership of such certificates.
SMMEA Eligibility: NONE of the Notes will be SMMEA-eligible.
Prospectus: The Offered Notes are being offered pursuant to a
Prospectus which includes a Prospectus Supplement
(together, the 'Prospectus'). Complete information with
respect to the Offered Notes and the collateral is
contained in the Prospectus. The material presented
herein is qualified in its entirety by the information
appearing in the Prospectus. To the extent that the
foregoing is inconsistent with the Prospectus, the
Prospectus shall govern in all respects. Sales of the
Offered Notes may not be consummated unless the
purchaser has received the Prospectus.
<PAGE>
DESCRIPTION OF INITIAL LOANS AS OF CUT-OFF DATE
Aggregate Field Description Count Balance Pool%
State Name Alaska 32 1,406,342 0.86
Arizona 133 5,308,183 3.25
Arkansas 16 499,548 0.31
California 985 43,622,276 26.72
Colorado 94 3,823,988 2.34
Connecticut 61 2,573,471 1.58
Delaware 30 492,914 0.30
District of Columbia 21 391,493 0.24
Florida 162 6,107,170 3.74
Georgia 1 24,963 0.02
Hawaii 14 652,195 0.40
Idaho 39 1,349,014 0.83
Illinois 4 162,610 0.10
Indiana 138 3,288,177 2.01
Iowa 26 958,522 0.59
Kansas 69 2,460,529 1.51
Kentucky 31 1,034,974 0.63
Louisiana 31 1,123,757 0.69
Maine 5 180,425 0.11
Maryland 797 16,010,875 9.81
Massachusetts 34 1,475,349 0.90
Michigan 199 7,676,657 4.70
Minnesota 54 2,041,362 1.25
Mississippi 5 168,709 0.10
Missouri 77 2,578,788 1.58
Montana 15 470,511 0.29
Nebraska 14 461,740 0.28
Nevada 105 4,178,032 2.56
New Hampshire 18 680,696 0.42
New Jersey 2 49,681 0.03
New Mexico 24 870,830 0.53
New York 94 3,785,283 2.32
North Carolina 96 3,756,511 2.30
North Dakota 1 6,873 0.00
Ohio 118 4,485,180 2.75
Oklahoma 58 2,061,640 1.26
Oregon 77 3,075,928 1.88
Pennsylvania 483 10,624,172 6.51
Puerto Rico 1 6,135 0.00
Rhode Island 16 530,326 0.32
South Carolina 40 1,256,157 0.77
Tennessee 69 2,336,090 1.43
Texas 11 172,728 0.11
Utah 35 1,570,305 0.96
Virginia 472 8,292,663 5.08
Washington 169 7,039,186 4.31
West Virginia 1 41,418 0.03
Wisconsin 45 1,854,425 1.14
Wyoming 4 233,892 0.14
------ ----------- ------
5,026 $163,252,689 100.00%
<PAGE>
DESCRIPTION OF INITIAL LOANS AS OF CUT-OFF DATE
Aggregate Field Description Count Balance Pool%
Current Balance 0K+ to 10K 919 5,863,302 3.59
10K+ to 20K 662 9,696,043 5.94
20K+ to 30K 921 23,805,558 14.58
30K+ to 40K 916 32,290,752 19.78
40K+ to 50K 786 36,770,302 22.52
50K+ to 60K 308 17,139,784 10.50
60K+ to 70K 238 15,535,699 9.52
70K+ to 80K 190 14,147,383 8.67
80K+ to 90K 32 2,718,901 1.67
90K+ to 100K 54 5,284,964 3.24
------ ----------- ------
5,026 $163,252,689 100.00%
Aggregate Field Description Count Balance Pool%
Current Rate 8+ - 9% 4 54,863 0.03
9+ - 10% 36 895,884 0.55
10+ - 11% 84 1,596,435 0.98
11+ - 12% 484 15,330,083 9.39
12+ - 13% 1,733 47,392,552 29.03
13+ - 14% 1,217 44,374,022 27.18
14+ - 15% 854 32,608,298 19.97
15+ - 16% 469 16,474,783 10.09
16+ - 17% 128 3,973,996 2.43
17+ - 18% 13 434,703 0.27
18+ - 19% 4 117,073 0.07
------ ----------- ------
5,026 $163,252,689 100.00%
Aggregate Field Description Count Balance Pool%
Lien Type First Lien 10 408,970 0.25
Second Lien 4,986 162,223,991 99.37
Third Lien 30 619,728 0.38
------ ----------- ------
5,026 $163,252,689 100.00%
<PAGE>
DESCRIPTION OF INITIAL LOANS AS OF CUT-OFF DATE
Aggregate Field Description Count Balance Pool%
Orig. Combined LTV 30+% to 35% 3 86,451 0.05
35+% to 40% 3 54,241 0.03
40+% to 45% 3 80,371 0.05
45+% to 50% 3 93,966 0.06
50+% to 55% 8 185,923 0.11
55+% to 60% 6 174,894 0.11
60+% to 65% 5 112,925 0.07
65+% to 70% 12 177,753 0.11
70+% to 75% 16 326,477 0.20
75+% to 80% 38 872,396 0.53
80+% to 85% 68 1,171,034 0.72
85+% to 90% 151 2,616,196 1.60
90+% to 95% 267 4,488,311 2.75
95+% to100% 426 8,168,245 5.00
100+% to 105% 560 13,345,573 8.17
105+% to 110% 595 17,514,091 10.73
110+% to 115% 662 22,953,755 14.06
115+% to 120% 758 29,524,120 18.08
120+% to 125% 1,374 59,305,849 36.33
125.01% and greater 68 2,000,117 1.23
------ ----------- ------
5,026 $163,252,689 100.00%
Aggregate Field Description Count Balance Pool%
Seasoning 1 mo. or less 1,656 68,650,379 42.05
2 to 12 mos. 2,180 85,041,817 52.09
13 to 24 mos. 290 3,342,278 2.05
25 to 36 mos. 478 4,070,978 2.49
37 to 48 mos. 383 2,003,216 1.23
49 to 60 mos. 37 113,086 0.07
61 to 72 mos. 2 30,936 0.02
------ ----------- ------
5,026 $163,252,689 100.00%
Aggregate Field Description Count Balance Pool%
Remaining Term 1 to 30 mos. 688 4,060,858 2.49
31 to 60 mos. 539 5,852,727 3.59
61 to 90 mos. 17 336,781 0.21
91 to 120 mos. 204 6,336,945 3.88
121 to 150 mos. 5 167,273 0.10
151 to 180 mos. 1,168 41,911,331 25.67
181 to 210 mos. 3 71,807 0.04
211 to 240 mos. 821 32,580,207 19.96
271 to 300 mos. 1,581 71,934,761 44.06
------ ----------- ------
5,026 $163,252,689 100.00%
DESCRIPTION OF INITIAL LOANS AS OF CUT-OFF DATE
Aggregate Field Description Count Balance Pool%
Original Term 1 mos. to 119 mos. 1,245 10,326,234 6.33
120 mos. to 179 mos. 207 6,399,057 3.92
180 mos. to 239 mos. 1,168 41,974,556 25.71
240 mos. to 299 mos. 825 32,618,081 19.98
300 mos. to 360 mos. 1,581 71,934,761 44.06
------ ----------- ------
5,026 $163,252,689 100.00%
Aggregate Field Description Count Balance Pool%
Credit Risk - Range to 619 29 605,412 0.37
620 to 639 591 15,842,806 9.70
640 to 659 939 31,282,989 19.16
660 to 679 1,013 37,568,939 23.01
680 to 699 907 33,700,111 20.64
700 to 719 702 24,037,058 14.72
720 to 739 413 11,643,260 7.13
740 to 759 226 5,265,913 3.23
760 to 779 150 2,192,785 1.34
780 to 799 38 856,435 0.52
800 and greater 18 256,980 0.16
------ ----------- ------
5,026 $163,252,689 100.00%
Aggregate Field Description Count Balance Pool%
Debt-to-Income Ratio Up to 20.00 75 1,936,664 1.19
20.01 to 25.00 192 5,802,248 3.55
25.01 to 30.00 473 14,595,863 8.94
30.01 to 35.00 884 26,292,276 16.11
35.01 to 40.00 1,238 36,143,553 22.14
40.01 to 45.00 1,390 45,575,413 27.92
45.01 to 50.00 664 27,794,861 17.03
50.01 to 55.00 97 4,528,077 2.77
55.01 and greater 13 583,734 0.36
------ ----------- ------
5,026 $163,252,689 100.00%
<PAGE>
The Following Tables Run To Call:
<TABLE>
<CAPTION>
% of Prepayment Assumption
CLASS A-1 0% 50% 75% 100% 125% 150%
- --------------- ----------- ------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE 4.99 1.86 1.44 1.20 1.04 0.93
FIRST PRINCIPAL PAY 06/98 06/98 06/98 06/98 06/98 06/98
LAST PRINCIPAL PAY 10/07 05/02 05/01 10/00 05/00 02/00
WINDOW (YEARS) 9.42 4.00 3.00 2.42 2.00 1.75
</TABLE>
<TABLE>
<CAPTION>
% of Prepayment Assumption
CLASS A-2 0% 50% 75% 100% 125% 150%
- --------------- ----------- ------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE 10.95 4.98 3.74 3.00 2.51 2.17
YIELD @ 100.000 6.42% 6.38% 6.36% 6.34% 6.32% 6.30%
DURATION 7.68 4.15 3.24 2.66 2.26 1.97
FIRST PRINCIPAL PAY 10/07 05/02 05/01 10/00 05/00 02/00
LAST PRINCIPAL PAY 11/10 06/04 12/02 01/02 06/01 01/01
WINDOW (MONTHS) 3.17 2.17 1.67 1.33 1.17 1.00
</TABLE>
<TABLE>
<CAPTION>
% of Prepayment Assumption
CLASS A-3 0% 50% 75% 100% 125% 150%
- --------------- ----------- ------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE 15.25 8.01 6.21 5.00 4.16 3.55
YIELD @ 100.000 6.72% 6.69% 6.68% 6.67% 6.65% 6.64%
DURATION 9.28 6.00 4.92 4.11 3.52 3.06
FIRST PRINCIPAL PAY 11/10 06/04 12/02 01/02 06/01 01/01
LAST PRINCIPAL PAY 11/17 12/09 07/07 12/05 09/04 10/03
WINDOW (MONTHS) 7.08 5.58 4.67 4.00 3.33 2.83
</TABLE>
<TABLE>
<CAPTION>
% of Prepayment Assumption
CLASS A-4 0% 50% 75% 100% 125% 150%
- --------------- ----------- ------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE 22.03 15.19 12.19 10.16 8.56 7.36
YIELD @ 100.000 7.14% 7.13% 7.13% 7.12% 7.12% 7.11%
DURATION 10.88 9.03 7.92 7.02 6.22 5.56
FIRST PRINCIPAL PAY 11/17 12/09 07/07 12/05 09/04 10/03
LAST PRINCIPAL PAY 07/21 07/15 02/12 12/09 02/08 10/06
WINDOW (MONTHS) 3.75 5.67 4.67 4.08 3.50 3.08
</TABLE>
<PAGE>
The Following Tables Run To Call:
<TABLE>
<CAPTION>
% of Prepayment Assumption
CLASS M-1 0% 50% 75% 100% 125% 150%
- --------------- ----------- ------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE 19.39 12.13 9.64 7.95 6.66 5.71
YIELD @ 100.000 7.30% 7.29% 7.28% 7.27% 7.26% 7.25%
DURATION 10.08 7.68 6.61 5.75 5.04 4.47
FIRST PRINCIPAL PAY 11/11 03/05 08/03 07/02 11/01 06/01
LAST PRINCIPAL PAY 07/21 07/15 02/12 12/09 02/08 10/06
WINDOW (MONTHS) 9.75 10.42 8.58 7.50 6.33 5.42
</TABLE>
<TABLE>
<CAPTION>
% of Prepayment Assumption
CLASS M-2 0% 50% 75% 100% 125% 150%
- --------------- ----------- ------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE 19.39 12.13 9.64 7.95 6.66 5.71
YIELD @ 100.000 7.61% 7.60% 7.59% 7.58% 7.57% 7.56%
DURATION 9.84 7.55 6.51 5.68 4.99 4.43
FIRST PRINCIPAL PAY 11/11 03/05 08/03 07/02 11/01 06/01
LAST PRINCIPAL PAY 07/21 07/15 02/12 12/09 02/08 10/06
WINDOW (MONTHS) 9.75 10.42 8.58 7.50 6.33 5.42
</TABLE>
<TABLE>
<CAPTION>
% of Prepayment Assumption
CLASS B-1 0% 50% 75% 100% 125% 150%
- --------------- ----------- ------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE 19.39 12.13 9.64 7.95 6.66 5.71
YIELD @ 100.000 8.56% 8.55% 8.54% 8.53% 8.52% 8.51%
DURATION 9.17 7.17 6.23 5.47 4.83 4.30
FIRST PRINCIPAL PAY 11/11 03/05 08/03 07/02 11/01 06/01
LAST PRINCIPAL PAY 07/21 07/15 02/12 12/09 02/08 10/06
WINDOW (MONTHS) 9.75 10.42 8.58 7.50 6.33 5.42
</TABLE>
<PAGE>
The Following Tables Run To Maturity:
<TABLE>
<CAPTION>
% of Prepayment Assumption
CLASS A-4 0% 50% 75% 100% 125% 150%
- --------------- ----------- ------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE 22.39 16.48 13.75 11.56 9.84 8.49
YIELD @ 100.000 7.14% 7.15% 7.16% 7.16% 7.16% 7.16%
DURATION 10.95 9.36 8.40 7.53 6.76 6.08
FIRST PRINCIPAL PAY 11/17 12/09 07/07 12/05 09/04 10/03
LAST PRINCIPAL PAY 04/23 10/22 12/21 03/20 10/17 09/15
WINDOW (MONTHS) 5.50 12.92 14.50 14.33 13.17 12.00
</TABLE>
<TABLE>
<CAPTION>
% of Prepayment Assumption
CLASS M-1 0% 50% 75% 100% 125% 150%
- --------------- ----------- ------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE 19.57 12.77 10.42 8.64 7.30 6.27
YIELD @ 100.000 7.30% 7.30% 7.30% 7.30% 7.29% 7.29%
DURATION 10.11 7.84 6.85 6.00 5.31 4.73
FIRST PRINCIPAL PAY 11/11 03/05 08/03 07/02 11/01 06/01
LAST PRINCIPAL PAY 03/23 07/22 05/21 02/19 11/16 08/14
WINDOW (MONTHS) 11.42 17.42 17.83 16.67 15.08 13.25
</TABLE>
<TABLE>
<CAPTION>
% of Prepayment Assumption
CLASS M-2 0% 50% 75% 100% 125% 150%
- --------------- ----------- ------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE 19.57 12.76 10.40 8.61 7.27 6.24
YIELD @ 100.000 7.61% 7.61% 7.61% 7.60% 7.60% 7.59%
DURATION 9.87 7.70 6.74 5.92 5.24 4.67
FIRST PRINCIPAL PAY 11/11 03/05 08/03 07/02 11/01 06/01
LAST PRINCIPAL PAY 03/23 03/22 08/20 02/18 10/15 07/13
WINDOW (MONTHS) 11.42 17.08 17.08 15.67 14.00 12.17
</TABLE>
<TABLE>
<CAPTION>
% of Prepayment Assumption
CLASS B-1 0% 50% 75% 100% 125% 150%
- --------------- ----------- ------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE 19.56 12.71 10.32 8.54 7.19 6.17
YIELD @ 100.000 8.56% 8.56% 8.55% 8.55% 8.54% 8.53%
DURATION 9.20 7.29 6.41 5.66 5.02 4.50
FIRST PRINCIPAL PAY 11/11 03/05 08/03 07/02 11/01 06/01
LAST PRINCIPAL PAY 01/23 07/21 04/19 10/16 04/14 01/12
WINDOW (MONTHS) 11.25 16.42 15.75 14.33 12.50 10.67
</TABLE>
<PAGE>
- --------------------------------------------------------------------------------
MASTER FINANCIAL ASSET SECURITIZATION TRUST 1998-2
The information herein has been provided solely by Residential Funding
Securities Corporation ("RFSC"). Neither the issuer of the Notes nor any of its
affiliates makes any representation as to the accuracy and completeness of this
information, which supersedes all information previously provided by RFSC
contained in any collateral term sheets and/or any computational materials
relating to the pool. This information is preliminary and will be superseded by
the descriptions in the applicable prospectus supplement and by any other
information subsequently filed with the Securities and Exchange Commission
- --------------------------------------------------------------------------------
DESCRIPTION OF LOANS
Characteristics of the pool of Initial Loans as of 4/30/98. A Pre-Funding
Account will be established in the amount of $51,747,311.
Total Number of Initial Loans: 5,026
Current Principal Balance: $163,252,689
Average Loan Balance: $32,482
WA Loan Rate: 13.70%
WA Original Term (months): 235
WA Remaining Term (months): 232
WA Seasoning (months): 4
WA FICO Score: 680
WA Debt-to-Income 38.70%
WA Original Combined LTV: 113.73%
% of Second Liens: 99.37%
% Owner Occupied: 99.92%
% FHA Title I: 1.84%
As of the Cut-Off Date, 99.84% of the loans were not more than 30 days late and
100% of the loans were not more than 60 days late.
Note: Additional information regarding the Initial Loans can be found starting
on page 10.
<PAGE>
PRICING INFORMATION (TO 10% CALL) (a)
<TABLE>
<CAPTION>
First Final Principal Expected
Approximate WAL Principal Principal Window Stated Ratings
Class Size Coupon (Years) Payment Payment (Years) Maturity (Moody's/Fitch/Duff)
----- ---- ------ ------- ------- ------- ------- -------- --------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 $74,260,000 Float(b)(c)1.20 06/98 10/00 2.42 09/09 Aaa/AAA/AAA
A-2 $32,072,000 Fixed(c) 3.00 10/00 01/02 1.33 10/12 Aaa/AAA/AAA
A-3 $28,084,000 Fixed(c) 5.00 01/02 12/05 4.00 11/18 Aaa/AAA/AAA
A-4 $17,589,000 Fixed(c) 10.16 12/05 12/09 4.08 08/24 Aaa/AAA/AAA
A-4 IO $17,589,000(d) Fixed(c) - - - - - Aaa/AAA/AAA
M-1 $21,715,000 Fixed(c) 7.95 07/02 12/09 7.50 08/24 Aa2/AA/AA
M-2 $19,543,500 Fixed(c) 7.95 07/02 12/09 7.50 08/24 A2/A/A
B-1 $17,372,000 Fixed(c) 7.95 07/02 12/09 7.50 08/24 Baa3/BBB/BBB
B-2 $6,514,500 Not Publicly Offered
</TABLE>
Notes:
(a) 100% Prepayment Assumption: 2% CPR in month 1, and an additional 0.929% per
annum in each month thereafter until month 15. On and after month 15, 15%
CPR.
(b) The lesser of (i) One-Month LIBOR plus 0.__ % and (ii) the weighted average
Coupon Rate of the Loans, less [1.25]% per annum.
(c) Coupon will be increased by [0.50%] for each payment after the Initial Call
Date.
(d) Notional balance for the first 26 months will equal the Class A-4 Class
principal balance and will be zero thereafter. Pricing Speed: 2% CPR,
increasing to 15% over 15 months.
Payment Date: The 20th of each month or, if such day is not a
Business Day, the next succeeding Business Day,
commencing in June 1998.
Settlement Date: On or about [May 28, 1998]
Cut-off Date: The close of business on April 30, 1998. Because the
bonds will be settling flat, only 50% of the collateral
interest payments collected during May will be
deposited into the Trust.
Payment Delay: With the exception of the Class A-1 Notes, 19 Days.
With respect to the Class A-1 Notes, 0 days.
Payment Terms: Monthly
Interest Accrual
Period: With the exception of the Class A-1 Notes, interest
will accrue on the Notes at a fixed rate during the
month prior to the month of the related Payment Date
(from and including the Closing Date until the end of
the month prior to the month of the related
distribution in the case of the first Payment Date)
based on a 30/360 day year. With respect to the Class
A-1 Notes, interest will accrue from and including the
preceding Payment Date (or from and including the
Closing Date in the case of the first Payment Date) to
and including the day prior to the current Payment Date
at the Class A-1 Note Interest Rate on an Actual/360
day basis. The "Class A-1 Note Interest Rate" will be
equal to the lesser of (x) with respect to any Payment
Date, One-Month LIBOR plus 0._% per annum and (y) the
weighted average interest rate on the loans, less
[1.25]% per annum (the rate described in this clause
(y), the "Available Funds Cap").
<PAGE>
DESCRIPTION OF SECURITIES
Title of Securities: Master Financial Asset Securitization Trust 1998-2
Underlying Collateral: The Notes will be secured, in part, by debt
consolidation, home improvement, and other primarily
second lien home equity loans, with combined loan to
value ratios generally in excess of 100%.
Transferor/Servicer: Master Financial, Inc.
Lead Underwriters: PaineWebber Incorporated
Co-Underwriters: Deutsche Morgan Grenfell, Inc.
Residential Funding Securities Corporation
Depositor: PaineWebber Mortgage Acceptance Corporation IV
Owner Trustee: Wilmington Trust Company
Indenture Trustee: The Bank of New York
Offering: Public shelf offering - a prospectus and prospectus
supplement will be distributed after pricing.
Offered Notes: Class A-1 through A-4 Notes and Class A-4 IO Notes
(together, the 'Senior Notes'), Class M-1 and Class M-2
Notes (the 'Mezzanine Notes') and Class B-1 Notes
(together with the Senior Notes, the Mezzanine Notes,
and the Class B-2 Notes, the 'Notes'). The Class B-2
Notes and the Residual Interest Certificates are NOT
being offered publicly.
Class A-4 IO Note : The Class A-4 IO Notional Balance will be equal to the
Class A-4 Note Balance for each Payment Date up to and
including [July 20, 2000] (for the first 26 payment
dates). After such Payment Date, the Notional Balance
shall be zero. The fixed rate coupon on the Class A-4
IO is expected to be [6.320%]. The Class A-4 IO will
have no principal balance and will not be entitled to
distributions of principal.
Form of Offering: Book-Entry form, same-day funds through DTC for all of
the Notes.
Denominations: The Notes are issueable in minimum denominations of an
original amount of $25,000 and multiples of $1,000
thereafter.
<PAGE>
DESCRIPTION OF SECURITIES (Continued)
Pre-Funding Account: On the Closing Date, approximately [$51,747,311] will
be deposited in an account (the "Pre-Funding Account"),
which account is in the name of the Indenture Trustee
and is part of the Grantor Trust and will be used to
acquire Subsequent Loans. During the Pre-Funding Period
(as defined below), the amount on deposit in the
Pre-Funding Account (net of investment earnings
thereon) (the "Pre-Funding Amount") will be reduced by
the amount thereof used to purchase Subsequent Loans in
accordance with the Grantor Trust Agreement. The
"Pre-Funding Period" is the period commencing on the
Closing Date and ending generally on the earlier to
occur of (i) the date on which the amount on deposit in
the Pre-Funding Account (net of investment earnings
thereon) is less than $50,000 and (ii) [August 28,
1998].
Credit Enhancement: Credit enhancement with respect to the Offered Notes
will be provided by (1) Excess Interest, (2)
Overcollateralization and (3) the subordination of the
rights of holders of the Residual Interest Certificate,
the Class B-2 Notes and the lower-rated classes of
Offered Notes to receive interest and principal,
respectively.
Excess Interest: The weighted average coupon rate on the loans is
generally expected to be higher than the sum of the
servicing fee (including the trustee fees) and the
weighted average pass through rate on the Notes, thus
generating excess interest collections which will be
available to fund payments on the Notes on each Payment
Date.
Overcollateralization: Excess Interest will be applied, to the extent
available, to make accelerated payments of principal to
the Notes then entitled to receive payments of
principal; such application will cause the aggregate
principal balance of the Notes to amortize more rapidly
than the loans. Prior to the Stepdown Date, the
Overcollateralization Target Amount equals the greater
of (a) [3.50%] of the sum of the Original Pool
Principal Balance and the Original Pre-Funding Amount
(the "Maximum Collateral Amount") and (b) the Net
Delinquency Calculation Amount. On and after the
Stepdown Date, the Overcollateralization Target Amount
equals the greater of (a) [7.00%] of the Pool Principal
Balance as of the end of the related Due Period and (b)
the Net Delinquency Calculation Amount. The
Overcollateralization Target Amount will not in any
event be less than [0.50%] of the Maximum Collateral
Amount (the `Overcollateralization Floor') or greater
than the outstanding Class Principal Balances of the
Notes.
Undercollateralization: On the Closing Date, the aggregate principal balance of
the Notes will exceed the sum of the Initial Pool
Principal Balance and the Original Pre-Funding Amount
by approximately 1%. The application of Excess Spread,
if available, to reduce the principal balance of the
Notes is intended first to eliminate such
undercollateralization and then to create the
overcollateralization described in the preceding
paragraph.
Net Delinquency
Calculation Amount: With respect to any Payment Date, the excess, if any,
of (x) the product of [1.7] and the Six Month Rolling
Delinquency Average over (y) the aggregate amounts of
Excess Spread for the three preceding Payment Dates.
The Net Delinquency Calculation Amount may be removed
if the Rating Agencies no longer require it. The Rating
Agencies must confirm that the original ratings
assigned will not be downgraded or withdrawn as a
result of such change. After such change the Net
Delinquency Calculation Amount would be deemed to be
zero for all future calculations.
Subordination: The rights of the Class M-1 Noteholders to receive
payments of interest on each Payment Date will be
subordinate to those of the Senior Noteholders, the
rights of the Class M-2 Noteholders to receive payments
of interest on each Payment Date will be subordinate to
those of the Senior Noteholders and the Class M-1
Noteholders, the rights of the Class B-1 Noteholders to
receive payments of interest on each Payment Date will
be subordinate to those of the Senior Noteholders and
Mezzanine Noteholders, the rights of the Class B-2
Noteholders to receive payments of interest on each
Payment Date will be subordinate to those of the
holders of the Offered Notes, and the rights of the
Residual Interest Certificateholders to receive
distributions on each Payment Date will be subordinate
to those of the Noteholders.
The rights of the Class M-1 Noteholders to receive
payments of principal on each Payment Date will be
subordinate to those of the Senior Noteholders, the
rights of the Class M-2 Noteholders to receive payments
of principal on each Payment Date will be subordinate
to those of the Senior Noteholders and the Class M-1
Noteholders, the rights of the Class B-1 Noteholders to
receive payments of principal on each Payment Date will
be subordinate to those of the Senior Noteholders and
Mezzanine Noteholders, the rights of the Class B-2
Noteholders to receive payments of principal on each
Payment Date will be subordinate to those of the
holders of the Offered Notes, and the rights of the
Residual Interest Certificateholders to receive
distributions on each Payment Date will be subordinate
to those of the Noteholders.
<PAGE>
DESCRIPTION OF SECURITIES (Continued)
Stepdown Date: The Stepdown Date means the first Payment Date
occurring after [May 20, 2001] as to which the
aggregate Class Principal Balance of the Senior Notes
will be able to be reduced to the excess of (i) the
Pool Principal Balance as of the preceding
Determination Date over (ii) the greater of (a) the sum
of (1) approximately [60.60]% of the Pool Principal
Balance as of the preceding Determination Date and (2)
the Overcollateralization Target Amount for such
Payment Date and (b) [0.50%] of the Maximum Collateral
Amount.
Summary of Subordination & Overcollateralization Target Amounts:
<TABLE>
<CAPTION>
Initial Before After After
Expected Stepdown Stepdown Stepdown
Subord.(a) O/C Target (b) Subord. (c) O/C Target (d)
---------- -------------- ----------- --------------
<S> <C> <C> <C> <C>
Senior Notes 30.00% 3.50% 60.60% 7.00%
Class M-1 Notes 20.00% 3.50% 40.40% 7.00%
Class M-2 Notes 11.00% 3.50% 22.22% 7.00%
Class B-1 Notes 3.00% 3.50% 6.06% 7.00%
</TABLE>
(a) The initial amount of subordination for each class as of the Closing Date
as a percentage of the notes.
(b) The Overcollateralization Target Amount prior to the Stepdown Date.
(c) The expected subordination for each class on the Stepdown Date as a
percentage of the then current collateral balance.
(d) The Overcollateralization Target Amount on and after the Stepdown Date as a
percentage of the current collateral balance, but at no time less than the
Overcollateralization Floor.
<PAGE>
DESCRIPTION OF SECURITIES (Continued)
Payment and Distribution
Priorities: (1) interest to the holders of the Senior Notes;
(2) interest to the holders of the Class M-1 Notes;
(3) interest to the holders of the Class M-2 Notes;
(4) interest to the holders of the Class B-1 Notes;
(5) interest to the holders of the Class B-2 Notes;
(6) sequentially to pay principal to the holders of the
Class A-1, Class A-2, Class A-3, and Class A-4, in that
order until the respective Class Principal Balances
thereof are reduced to zero, the amount necessary to
reduce the aggregate Class Principal Balance of the
Senior Notes (excluding the Class A-4 IO Notes) to the
Senior Optimal Principal Balance; provided, however,
that on each Payment Date occurring on or after any
reduction of the Class Principal Balances of the Class
M and Class B Notes to zero through the application of
Allocable Loss Amounts, payment shall be made among the
remaining Senior Notes (excluding the Class A-4 IO) pro
rata and not sequentially;
(7) sequentially, to the holders of the Class M-1 and
the Class M-2 Notes, in that order, until the Class
Principal Balances thereof are reduced to the Optimal
Principal Balance, respectively;
(8) sequentially, to the holders of the Class B-1 Notes
and the Class B-2 Notes, in that order, until the Class
Principal Balances thereof are reduced to the Optimal
Principal Balance;
(9) sequentially to the Class M-1 Notes and the Class
M-2 Notes, in that order, until their respective Loss
Reimbursement Deficiencies, if any, have been paid in
full; (10) sequentially, to the Class B-1 Notes and the
Class B-2 Notes, in that order, until the applicable
Loss Reimbursement Deficiencies, if any, has been paid
in full; and (11) any remaining amounts to the holders
of the Residual Interest Certificates.
<PAGE>
DESCRIPTION OF SECURITIES (Continued)
Application of Allocable
Loss Amounts: In the event that on any Payment Date after the
Undercollateralization Amount has been reduced to zero
(a) the aggregate of the Class Principal balances of
all Classes of Notes on any Payment Date (after giving
effect to all payments on such date) exceeds (b) the
sum of the Pool Principal Balance and the Pre-Funding
Amount, each as of the end of the immediately preceding
Due Period (such excess, an "Allocable Loss Amount"),
such Allocable Loss Amount will be applied,
sequentially, in reduction of the Class Principal
Balances of the Class B-2 Notes, the Class B-1 Notes,
the Class M-2 Notes and the Class M-1 Notes, in that
order, until the respective Class Principal Balances
thereof have been reduced to zero. On each Payment Date
prior to the Payment Date on which the Initial
Undercollateralization Amount is reduced to zero, the
Allocable Loss Amount will be zero. Allocable Loss
Amounts will not be applied in reduction of the Class
Principal Balance of any Class of Senior Notes.
Allocable Loss Amounts applied to any applicable Class
of Offered Notes will entitle such Class to
reimbursement (such entitlement, a "Loss Reimbursement
Deficiency") in accordance with the payment priorities
specified hererin until the earlier of (x) the payment
in full of such amount, and (y) the applicable Maturity
Date.
Optional Termination: The holders of an aggregate percentage interest in the
Residual Interest Certificates in excess of 50% may, at
their option, effect an early termination of the
Grantor Trust on or after any Payment Date on which the
Pool Principal Balance declines to 10% or less of the
Maximum Collateral Amount, by purchasing all of the
Loans at a price equal to or greater than the
Termination Price.
Servicing/Other Fees: The collateral is subject to certain fees, including a
servicing fee and trustee fees of [1.25]% per annum
payable monthly; provided, however, that so long as the
required Over-collateralization amount equals the Net
Delinquency Calculation Amount, the Servicing Fee shall
be equal to [0.75]% per annum.
Advancing by Servicer: There is no required advancing of delinquent principal
or interest by the Servicer or Trustee.
<PAGE>
DESCRIPTION OF SECURITIES (Continued)
Tax Considerations: The issuer will be an Owner Trust. The Offered Notes
will be characterized as debt for federal income tax
purposes.
ERISA Considerations: In general, the Offered Notes will be ERISA eligible.
However, investors should consult with their counsel
with respect to the consequences under ERISA and the
Internal Revenue Code of the Plan's acquisition and
ownership of such certificates.
SMMEA Eligibility: NONE of the Notes will be SMMEA-eligible.
Prospectus: The Offered Notes are being offered pursuant to a
Prospectus which includes a Prospectus Supplement
(together, the 'Prospectus'). Complete information with
respect to the Offered Notes and the collateral is
contained in the Prospectus. The material presented
herein is qualified in its entirety by the information
appearing in the Prospectus. To the extent that the
foregoing is inconsistent with the Prospectus, the
Prospectus shall govern in all respects. Sales of the
Offered Notes may not be consummated unless the
purchaser has received the Prospectus.
<PAGE>
DESCRIPTION OF INITIAL LOANS AS OF CUT-OFF DATE
Aggregate Field Description Count Balance Pool%
State Name Alaska 32 1,406,342 0.86
Arizona 133 5,308,183 3.25
Arkansas 16 499,548 0.31
California 985 43,622,276 26.72
Colorado 94 3,823,988 2.34
Connecticut 61 2,573,471 1.58
Delaware 30 492,914 0.30
District of Columbia 21 391,493 0.24
Florida 162 6,107,170 3.74
Georgia 1 24,963 0.02
Hawaii 14 652,195 0.40
Idaho 39 1,349,014 0.83
Illinois 4 162,610 0.10
Indiana 138 3,288,177 2.01
Iowa 26 958,522 0.59
Kansas 69 2,460,529 1.51
Kentucky 31 1,034,974 0.63
Louisiana 31 1,123,757 0.69
Maine 5 180,425 0.11
Maryland 797 16,010,875 9.81
Massachusetts 34 1,475,349 0.90
Michigan 199 7,676,657 4.70
Minnesota 54 2,041,362 1.25
Mississippi 5 168,709 0.10
Missouri 77 2,578,788 1.58
Montana 15 470,511 0.29
Nebraska 14 461,740 0.28
Nevada 105 4,178,032 2.56
New Hampshire 18 680,696 0.42
New Jersey 2 49,681 0.03
New Mexico 24 870,830 0.53
New York 94 3,785,283 2.32
North Carolina 96 3,756,511 2.30
North Dakota 1 6,873 0.00
Ohio 118 4,485,180 2.75
Oklahoma 58 2,061,640 1.26
Oregon 77 3,075,928 1.88
Pennsylvania 483 10,624,172 6.51
Puerto Rico 1 6,135 0.00
Rhode Island 16 530,326 0.32
South Carolina 40 1,256,157 0.77
Tennessee 69 2,336,090 1.43
Texas 11 172,728 0.11
Utah 35 1,570,305 0.96
Virginia 472 8,292,663 5.08
Washington 169 7,039,186 4.31
West Virginia 1 41,418 0.03
Wisconsin 45 1,854,425 1.14
Wyoming 4 233,892 0.14
------ ----------- ------
5,026 $163,252,689 100.00%
DESCRIPTION OF INITIAL LOANS AS OF CUT-OFF DATE
Aggregate Field Description Count Balance Pool%
Current Balance 0K+ to 10K 919 5,863,302 3.59
10K+ to 20K 662 9,696,043 5.94
20K+ to 30K 921 23,805,558 14.58
30K+ to 40K 916 32,290,752 19.78
40K+ to 50K 786 36,770,302 22.52
50K+ to 60K 308 17,139,784 10.50
60K+ to 70K 238 15,535,699 9.52
70K+ to 80K 190 14,147,383 8.67
80K+ to 90K 32 2,718,901 1.67
90K+ to 100K 54 5,284,964 3.24
------ ----------- ------
5,026 $163,252,689 100.00%
Aggregate Field Description Count Balance Pool%
Current Rate 8+ - 9% 4 54,863 0.03
9+ - 10% 36 895,884 0.55
10+ - 11% 84 1,596,435 0.98
11+ - 12% 484 15,330,083 9.39
12+ - 13% 1,733 47,392,552 29.03
13+ - 14% 1,217 44,374,022 27.18
14+ - 15% 854 32,608,298 19.97
15+ - 16% 469 16,474,783 10.09
16+ - 17% 128 3,973,996 2.43
17+ - 18% 13 434,703 0.27
18+ - 19% 4 117,073 0.07
------ ----------- ------
5,026 $163,252,689 100.00%
Aggregate Field Description Count Balance Pool%
Lien Type First Lien 10 408,970 0.25
Second Lien 4,986 162,223,991 99.37
Third Lien 30 619,728 0.38
------ ----------- ------
5,026 $163,252,689 100.00%
<PAGE>
DESCRIPTION OF INITIAL LOANS AS OF CUT-OFF DATE
Aggregate Field Description Count Balance Pool%
Orig. Combined LTV 30+% to 35% 3 86,451 0.05
35+% to 40% 3 54,241 0.03
40+% to 45% 3 80,371 0.05
45+% to 50% 3 93,966 0.06
50+% to 55% 8 185,923 0.11
55+% to 60% 6 174,894 0.11
60+% to 65% 5 112,925 0.07
65+% to 70% 12 177,753 0.11
70+% to 75% 16 326,477 0.20
75+% to 80% 38 872,396 0.53
80+% to 85% 68 1,171,034 0.72
85+% to 90% 151 2,616,196 1.60
90+% to 95% 267 4,488,311 2.75
95+% to100% 426 8,168,245 5.00
100+% to 105% 560 13,345,573 8.17
105+% to 110% 595 17,514,091 10.73
110+% to 115% 662 22,953,755 14.06
115+% to 120% 758 29,524,120 18.08
120+% to 125% 1,374 59,305,849 36.33
125.01% and greater 68 2,000,117 1.23
------ ----------- ------
5,026 $163,252,689 100.00%
Aggregate Field Description Count Balance Pool%
Seasoning 1 mo. or less 1,656 68,650,379 42.05
2 to 12 mos. 2,180 85,041,817 52.09
13 to 24 mos. 290 3,342,278 2.05
25 to 36 mos. 478 4,070,978 2.49
37 to 48 mos. 383 2,003,216 1.23
49 to 60 mos. 37 113,086 0.07
61 to 72 mos. 2 30,936 0.02
------ ----------- ------
5,026 $163,252,689 100.00%
Aggregate Field Description Count Balance Pool%
Remaining Term 1 to 30 mos. 688 4,060,858 2.49
31 to 60 mos. 539 5,852,727 3.59
61 to 90 mos. 17 336,781 0.21
91 to 120 mos. 204 6,336,945 3.88
121 to 150 mos. 5 167,273 0.10
151 to 180 mos. 1,168 41,911,331 25.67
181 to 210 mos. 3 71,807 0.04
211 to 240 mos. 821 32,580,207 19.96
271 to 300 mos. 1,581 71,934,761 44.06
------ ----------- ------
5,026 $163,252,689 100.00%
DESCRIPTION OF INITIAL LOANS AS OF CUT-OFF DATE
Aggregate Field Description Count Balance Pool%
Original Term 1 mos. to 119 mos. 1,245 10,326,234 6.33
120 mos. to 179 mos. 207 6,399,057 3.92
180 mos. to 239 mos. 1,168 41,974,556 25.71
240 mos. to 299 mos. 825 32,618,081 19.98
300 mos. to 360 mos. 1,581 71,934,761 44.06
------ ----------- ------
5,026 $163,252,689 100.00%
Aggregate Field Description Count Balance Pool%
Credit Risk - Range to 619 29 605,412 0.37
620 to 639 591 15,842,806 9.70
640 to 659 939 31,282,989 19.16
660 to 679 1,013 37,568,939 23.01
680 to 699 907 33,700,111 20.64
700 to 719 702 24,037,058 14.72
720 to 739 413 11,643,260 7.13
740 to 759 226 5,265,913 3.23
760 to 779 150 2,192,785 1.34
780 to 799 38 856,435 0.52
800 and greater 18 256,980 0.16
------ ----------- ------
5,026 $163,252,689 100.00%
Aggregate Field Description Count Balance Pool%
Debt-to-Income Ratio Up to 20.00 75 1,936,664 1.19
20.01 to 25.00 192 5,802,248 3.55
25.01 to 30.00 473 14,595,863 8.94
30.01 to 35.00 884 26,292,276 16.11
35.01 to 40.00 1,238 36,143,553 22.14
40.01 to 45.00 1,390 45,575,413 27.92
45.01 to 50.00 664 27,794,861 17.03
50.01 to 55.00 97 4,528,077 2.77
55.01 and greater 13 583,734 0.36
------ ----------- ------
5,026 $163,252,689 100.00%
<PAGE>
The Following Tables Run To Call:
<TABLE>
<CAPTION>
% of Prepayment Assumption
CLASS A-1 0% 50% 75% 100% 125% 150%
- --------------- ----------- ------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE 4.99 1.86 1.44 1.20 1.04 0.93
FIRST PRINCIPAL PAY 06/98 06/98 06/98 06/98 06/98 06/98
LAST PRINCIPAL PAY 10/07 05/02 05/01 10/00 05/00 02/00
WINDOW (YEARS) 9.42 4.00 3.00 2.42 2.00 1.75
</TABLE>
<TABLE>
<CAPTION>
% of Prepayment Assumption
CLASS A-2 0% 50% 75% 100% 125% 150%
- --------------- ----------- ------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE 10.95 4.98 3.74 3.00 2.51 2.17
YIELD @ 100.000 6.42% 6.38% 6.36% 6.34% 6.32% 6.30%
DURATION 7.68 4.15 3.24 2.66 2.26 1.97
FIRST PRINCIPAL PAY 10/07 05/02 05/01 10/00 05/00 02/00
LAST PRINCIPAL PAY 11/10 06/04 12/02 01/02 06/01 01/01
WINDOW (MONTHS) 3.17 2.17 1.67 1.33 1.17 1.00
</TABLE>
<TABLE>
<CAPTION>
% of Prepayment Assumption
CLASS A-3 0% 50% 75% 100% 125% 150%
- --------------- ----------- ------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE 15.25 8.01 6.21 5.00 4.16 3.55
YIELD @ 100.000 6.72% 6.69% 6.68% 6.67% 6.65% 6.64%
DURATION 9.28 6.00 4.92 4.11 3.52 3.06
FIRST PRINCIPAL PAY 11/10 06/04 12/02 01/02 06/01 01/01
LAST PRINCIPAL PAY 11/17 12/09 07/07 12/05 09/04 10/03
WINDOW (MONTHS) 7.08 5.58 4.67 4.00 3.33 2.83
</TABLE>
<TABLE>
<CAPTION>
% of Prepayment Assumption
CLASS A-4 0% 50% 75% 100% 125% 150%
- --------------- ----------- ------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE 22.03 15.19 12.19 10.16 8.56 7.36
YIELD @ 100.000 7.14% 7.13% 7.13% 7.12% 7.12% 7.11%
DURATION 10.88 9.03 7.92 7.02 6.22 5.56
FIRST PRINCIPAL PAY 11/17 12/09 07/07 12/05 09/04 10/03
LAST PRINCIPAL PAY 07/21 07/15 02/12 12/09 02/08 10/06
WINDOW (MONTHS) 3.75 5.67 4.67 4.08 3.50 3.08
</TABLE>
<PAGE>
The Following Tables Run To Call:
<TABLE>
<CAPTION>
% of Prepayment Assumption
CLASS M-1 0% 50% 75% 100% 125% 150%
- --------------- ----------- ------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE 19.39 12.13 9.64 7.95 6.66 5.71
YIELD @ 100.000 7.30% 7.29% 7.28% 7.27% 7.26% 7.25%
DURATION 10.08 7.68 6.61 5.75 5.04 4.47
FIRST PRINCIPAL PAY 11/11 03/05 08/03 07/02 11/01 06/01
LAST PRINCIPAL PAY 07/21 07/15 02/12 12/09 02/08 10/06
WINDOW (MONTHS) 9.75 10.42 8.58 7.50 6.33 5.42
</TABLE>
<TABLE>
<CAPTION>
% of Prepayment Assumption
CLASS M-2 0% 50% 75% 100% 125% 150%
- --------------- ----------- ------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE 19.39 12.13 9.64 7.95 6.66 5.71
YIELD @ 100.000 7.61% 7.60% 7.59% 7.58% 7.57% 7.56%
DURATION 9.84 7.55 6.51 5.68 4.99 4.43
FIRST PRINCIPAL PAY 11/11 03/05 08/03 07/02 11/01 06/01
LAST PRINCIPAL PAY 07/21 07/15 02/12 12/09 02/08 10/06
WINDOW (MONTHS) 9.75 10.42 8.58 7.50 6.33 5.42
</TABLE>
<TABLE>
<CAPTION>
% of Prepayment Assumption
CLASS B-1 0% 50% 75% 100% 125% 150%
- --------------- ----------- ------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE 19.39 12.13 9.64 7.95 6.66 5.71
YIELD @ 100.000 8.56% 8.55% 8.54% 8.53% 8.52% 8.51%
DURATION 9.17 7.17 6.23 5.47 4.83 4.30
FIRST PRINCIPAL PAY 11/11 03/05 08/03 07/02 11/01 06/01
LAST PRINCIPAL PAY 07/21 07/15 02/12 12/09 02/08 10/06
WINDOW (MONTHS) 9.75 10.42 8.58 7.50 6.33 5.42
</TABLE>
<PAGE>
The Following Tables Run To Maturity:
<TABLE>
<CAPTION>
% of Prepayment Assumption
CLASS A-4 0% 50% 75% 100% 125% 150%
- --------------- ----------- ------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE 22.39 16.48 13.75 11.56 9.84 8.49
YIELD @ 100.000 7.14% 7.15% 7.16% 7.16% 7.16% 7.16%
DURATION 10.95 9.36 8.40 7.53 6.76 6.08
FIRST PRINCIPAL PAY 11/17 12/09 07/07 12/05 09/04 10/03
LAST PRINCIPAL PAY 04/23 10/22 12/21 03/20 10/17 09/15
WINDOW (MONTHS) 5.50 12.92 14.50 14.33 13.17 12.00
</TABLE>
<TABLE>
<CAPTION>
% of Prepayment Assumption
CLASS M-1 0% 50% 75% 100% 125% 150%
- --------------- ----------- ------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE 19.57 12.77 10.42 8.64 7.30 6.27
YIELD @ 100.000 7.30% 7.30% 7.30% 7.30% 7.29% 7.29%
DURATION 10.11 7.84 6.85 6.00 5.31 4.73
FIRST PRINCIPAL PAY 11/11 03/05 08/03 07/02 11/01 06/01
LAST PRINCIPAL PAY 03/23 07/22 05/21 02/19 11/16 08/14
WINDOW (MONTHS) 11.42 17.42 17.83 16.67 15.08 13.25
</TABLE>
<TABLE>
<CAPTION>
% of Prepayment Assumption
CLASS M-2 0% 50% 75% 100% 125% 150%
- --------------- ----------- ------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE 19.57 12.76 10.40 8.61 7.27 6.24
YIELD @ 100.000 7.61% 7.61% 7.61% 7.60% 7.60% 7.59%
DURATION 9.87 7.70 6.74 5.92 5.24 4.67
FIRST PRINCIPAL PAY 11/11 03/05 08/03 07/02 11/01 06/01
LAST PRINCIPAL PAY 03/23 03/22 08/20 02/18 10/15 07/13
WINDOW (MONTHS) 11.42 17.08 17.08 15.67 14.00 12.17
</TABLE>
<TABLE>
<CAPTION>
% of Prepayment Assumption
CLASS B-1 0% 50% 75% 100% 125% 150%
- --------------- ----------- ------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE 19.56 12.71 10.32 8.54 7.19 6.17
YIELD @ 100.000 8.56% 8.56% 8.55% 8.55% 8.54% 8.53%
DURATION 9.20 7.29 6.41 5.66 5.02 4.50
FIRST PRINCIPAL PAY 11/11 03/05 08/03 07/02 11/01 06/01
LAST PRINCIPAL PAY 01/23 07/21 04/19 10/16 04/14 01/12
WINDOW (MONTHS) 11.25 16.42 15.75 14.33 12.50 10.67
</TABLE>
Deutsche Morgan Grenfell@
- --------------------------------------------------------------------------------
MASTER FINANCIAL ASSET SECURITIZATION TRUST 1998-2
- --------------------------------------------------------------------------------
This Structural Term Sheet, Collateral Term Sheet, or Computational Materials,
as appropriate (the "material"), was prepared solely by the Underwriter(s), 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
information. 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. This material does not include all relevant information
relating to the Securities described herein, particularly with respect to the
risk and special considerations associated with an investment in the Securities.
All information contained herein is preliminary and it is anticipated that such
information will change. Any information contained herein will be more fully
described in, and will be fully superseded by the preliminary prospectus
supplement and 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.
DESCRIPTION OF LOANS
Characteristics of the pool of Initial Loans as of 4/30/98. A Pre-Funding
Account will be established in the amount of $51,747,311.
Total Number of Initial Loans: 5,026
Current Principal Balance: $163,252,689
Average Loan Balance: $32,482
WA Loan Rate: 13.70%
WA Original Term (months): 235
WA Remaining Term (months): 232
WA Seasoning (months): 4
WA FICO Score: 680
WA Debt-to-Income 38.70%
WA Original Combined LTV: 113.73%
% of Second Liens: 99.37%
% Owner Occupied: 99.92%
% FHA Title I: 1.84%
As of the Cut-Off Date, 99.84% of the loans were not more than 30 days late and
100% of the loans were not more than 60 days late.
Note: Additional information regarding the Initial Loans can be found starting
on page 10.
<PAGE>
<TABLE>
<CAPTION>
PRICING INFORMATION (TO 10% CALL) (a)
- --------------------------------------------------------------------------------------------------------------------------
First Final Principal Expected
Approximate WAL PrincipalPrincipal Window Stated Ratings
Class Size Coupon (Years) Payment Payment (Years) Maturity (Moody's/Fitch/Duff)
- --------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
A-1 $74,260,000 Float (b)(c) 1.20 06/98 10/00 2.42 09/09 Aaa/AAA/AAA
A-2 $32,072,000 Fixed (c) 3.00 10/00 01/02 1.33 10/12 Aaa/AAA/AAA
A-3 $28,084,000 Fixed (c) 5.00 01/02 12/05 4.00 11/18 Aaa/AAA/AAA
A-4 $17,589,000 Fixed (c) 10.16 12/05 12/09 4.08 08/24 Aaa/AAA/AAA
A-4 IO $17,589,000(d) Fixed (c) - - - - - Aaa/AAA/AAA
M-1 $21,715,000 Fixed (c) 7.95 07/02 12/09 7.50 08/24 Aa2/AA/AA
M-2 $19,543,500 Fixed (c) 7.95 07/02 12/09 7.50 08/24 A2/A/A
B-1 $17,372,000 Fixed (c) 7.95 07/02 12/09 7.50 08/24 Baa3/BBB/BBB
B-2 $6,514,500 Not Publicly Offered
- --------------------------------------------------------------------------------------------------------------------------
</TABLE>
Notes:(a) 100% Prepayment Assumption: 2% CPR in month 1, and an additional
0.929% per annum in each month thereafter until month 15. On and after
month 15, 15% CPR.
(b) The lesser of (i) One-Month LIBOR plus 0.__ % and (ii) the weighted
average Coupon Rate of the Loans, less [1.25]% per annum.
(c) Coupon will be increased by [0.50%] for each payment after the Initial
Call Date.
(d) Notional balance for the first 26 months will equal the Class A-4
Class principal balance and will be zero thereafter.
Pricing Speed: 2% CPR, increasing to 15% over 15 months.
Payment Date: The 20th of each month or, if such day is not a
Business Day, the next succeeding Business Day,
commencing in June 1998.
Settlement Date: On or about [May 28, 1998]
Cut-off Date: The close of business on April 30, 1998. Because the
bonds will be settling flat, only 50% of the collateral
interest payments collected during May will be
deposited into the Trust.
Payment Delay: With the exception of the Class A-1 Notes, 19 Days.
With respect to the Class A-1 Notes, 0 days.
Payment Terms: Monthly
Interest Accrual With the exception of the Class A-1 Notes, interest
will accrue on the Notes at a Period: fixed rate during
the month prior to the month of the related Payment
Date (from and including the Closing Date until the end
of the month prior to the month of the related
distribution in the case of the first Payment Date)
based on a 30/360 day year. With respect to the Class
A-1 Notes, interest will accrue from and including the
preceding Payment Date (or from and including the
Closing Date in the case of the first Payment Date) to
and including the day prior to the current Payment Date
at the Class A-1 Note Interest Rate on an Actual/360
day basis. The "Class A-1 Note Interest Rate" will be
equal to the lesser of (x) with respect to any Payment
Date, One-Month LIBOR plus 0._% per annum and (y) the
weighted average interest rate on the loans, less
[1.25]% per annum (the rate described in this clause
(y), the "Available Funds Cap"). DESCRIPTION OF
SECURITIES
Title of Securities: Master Financial Asset Securitization Trust 1998-2
Underlying Collateral: The Notes will be secured, in part, by debt
consolidation, home improvement, and other primarily
second lien home equity loans, with combined loan to
value ratios generally in excess of 100%.
Transferor/Servicer: Master Financial, Inc.
Lead Underwriters: PaineWebber Incorporated
Co-Underwriters: Deutsche Morgan Grenfell, Inc. Residential Funding
Securities Corporation
Depositor: PaineWebber Mortgage Acceptance Corporation IV
Owner Trustee: Wilmington Trust Company
Indenture Trustee: The Bank of New York
Offering: Public shelf offering - a prospectus and prospectus
supplement will be distributed after pricing.
Offered Notes: Class A-1 through A-4 Notes and Class A-4 IO Notes
(together, the 'Senior Notes'), Class M-1 and Class M-2
Notes (the 'Mezzanine Notes') and Class B-1 Notes
(together with the Senior Notes, the Mezzanine Notes,
and the Class B-2 Notes, the 'Notes'). The Class B-2
Notes and the Residual Interest Certificates are NOT
being offered publicly.
Class A-4 IO Note : The Class A-4 IO Notional Balance will be equal to the
Class A-4 Note Balance for each Payment Date up to and
including [July 20, 2000] (for the first 26 payment
dates). After such Payment Date, the Notional Balance
shall be zero. The fixed rate coupon on the Class A-4
IO is expected to be [6.320%]. The Class A-4 IO will
have no principal balance and will not be entitled to
distributions of principal.
Form of Offering: Book-Entry form, same-day funds through DTC for all of
the Notes.
Denominations: The Notes are issueable in minimum denominations of an
original amount of $25,000 and multiples of $1,000
thereafter.
<PAGE>
DESCRIPTION OF SECURITIES (Continued)
Pre-Funding Account: On the Closing Date, approximately [$51,747,311] will
be deposited in an account (the "Pre-Funding Account"),
which account is in the name of the Indenture Trustee
and is part of the Grantor Trust and will be used to
acquire Subsequent Loans. During the Pre-Funding Period
(as defined below), the amount on deposit in the
Pre-Funding Account (net of investment earnings
thereon) (the "Pre-Funding Amount") will be reduced by
the amount thereof used to purchase Subsequent Loans in
accordance with the Grantor Trust Agreement. The
"Pre-Funding Period" is the period commencing on the
Closing Date and ending generally on the earlier to
occur of (i) the date on which the amount on deposit in
the Pre-Funding Account (net of investment earnings
thereon) is less than $50,000 and (ii) [August 28,
1998].
Credit Enhancement: Credit enhancement with respect to the Offered Notes
will be provided by (1) Excess Interest, (2)
Overcollateralization and (3) the subordination of the
rights of holders of the Residual Interest Certificate,
the Class B-2 Notes and the lower-rated classes of
Offered Notes to receive interest and principal,
respectively.
Excess Interest: The weighted average coupon rate on the loans is
generally expected to be higher than the sum of the
servicing fee (including the trustee fees) and the
weighted average pass through rate on the Notes, thus
generating excess interest collections which will be
available to fund payments on the Notes on each Payment
Date.
Overcollateralization: Excess Interest will be applied, to the extent
available, to make accelerated payments of principal to
the Notes then entitled to receive payments of
principal; such application will cause the aggregate
principal balance of the Notes to amortize more rapidly
than the loans. Prior to the Stepdown Date, the
Overcollateralization Target Amount equals the greater
of (a) [3.50%] of the sum of the Original Pool
Principal Balance and the Original Pre-Funding Amount
(the "Maximum Collateral Amount") and (b) the Net
Delinquency Calculation Amount. On and after the
Stepdown Date, the Overcollateralization Target Amount
equals the greater of (a) [7.00%] of the Pool Principal
Balance as of the end of the related Due Period and (b)
the Net Delinquency Calculation Amount. The
Overcollateralization Target Amount will not in any
event be less than [0.50%] of the Maximum Collateral
Amount (the `Overcollateralization Floor') or greater
than the outstanding Class Principal Balances of the
Notes.
<PAGE>
DESCRIPTION OF SECURITIES (Continued)
Undercollateralization: On the Closing Date, the aggregate principal balance of
the Notes will exceed the sum of the Initial Pool
Principal Balance and the Original Pre-Funding Amount
by approximately 1%. The application of Excess Spread,
if available, to reduce the principal balance of the
Notes is intended first to eliminate such
undercollateralization and then to create the
overcollateralization described in the preceding
paragraph.
Net Delinquency
Calculation Amount: With respect to any Payment Date, the excess, if any,
of (x) the product of [1.7] and the Six Month Rolling
Delinquency Average over (y) the aggregate amounts of
Excess Spread for the three preceding Payment Dates.
The Net Delinquency Calculation Amount may be removed
if the Rating Agencies no longer require it. The Rating
Agencies must confirm that the original ratings
assigned will not be downgraded or withdrawn as a
result of such change. After such change the Net
Delinquency Calculation Amount would be deemed to be
zero for all future calculations.
Subordination: The rights of the Class M-1 Noteholders to receive
payments of interest on each Payment Date will be
subordinate to those of the Senior Noteholders, the
rights of the Class M-2 Noteholders to receive payments
of interest on each Payment Date will be subordinate to
those of the Senior Noteholders and the Class M-1
Noteholders, the rights of the Class B-1 Noteholders to
receive payments of interest on each Payment Date will
be subordinate to those of the Senior Noteholders and
Mezzanine Noteholders, the rights of the Class B-2
Noteholders to receive payments of interest on each
Payment Date will be subordinate to those of the
holders of the Offered Notes, and the rights of the
Residual Interest Certificateholders to receive
distributions on each Payment Date will be subordinate
to those of the Noteholders. The rights of the Class
M-1 Noteholders to receive payments of principal on
each Payment Date will be subordinate to those of the
Senior Noteholders, the rights of the Class M-2
Noteholders to receive payments of principal on each
Payment Date will be subordinate to those of the Senior
Noteholders and the Class M-1 Noteholders, the rights
of the Class B-1 Noteholders to receive payments of
principal on each Payment Date will be subordinate to
those of the Senior Noteholders and Mezzanine
Noteholders, the rights of the Class B-2 Noteholders to
receive payments of principal on each Payment Date will
be subordinate to those of the holders of the Offered
Notes, and the rights of the Residual Interest
Certificateholders to receive distributions on each
Payment Date will be subordinate to those of the
Noteholders.
<PAGE>
DESCRIPTION OF SECURITIES (Continued)
Stepdown Date: The Stepdown Date means the first Payment Date
occurring after [May 20, 2001] as to which the
aggregate Class Principal Balance of the Senior Notes
will be able to be reduced to the excess of (i) the
Pool Principal Balance as of the preceding
Determination Date over (ii) the greater of (a) the sum
of (1) approximately [60.60]% of the Pool Principal
Balance as of the preceding Determination Date and (2)
the Overcollateralization Target Amount for such
Payment Date and (b) [0.50%] of the Maximum Collateral
Amount.
Summary of Subordination & Overcollateralization Target Amounts:
<TABLE>
<CAPTION>
Initial Before After After
Expected Stepdown Stepdown Stepdown
Subord.(a) O/C Target (b) Subord. (c) O/C Target (d)
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Senior Notes 30.00% 3.50% 60.60% 7.00%
Class M-1 Notes 20.00% 3.50% 40.40% 7.00%
Class M-2 Notes 11.00% 3.50% 22.22% 7.00%
Class B-1 Notes 3.00% 3.50% 6.06% 7.00%
- -------------------------------------------------------------------------------------------------------------------
</TABLE>
(a) The initial amount of subordination for each class as of the Closing Date
as a percentage of the notes.
(b) The Overcollateralization Target Amount prior to the Stepdown Date.
(c) The expected subordination for each class on the Stepdown Date as a
percentage of the then current collateral balance.
(d) The Overcollateralization Target Amount on and after the Stepdown Date as a
percentage of the current collateral balance, but at no time less than the
Overcollateralization Floor.
<PAGE>
DESCRIPTION OF SECURITIES (Continued)
Payment and Distribution
Priorities: (1) interest to the holders of the Senior Notes;
(2) interest to the holders of the Class M-1 Notes;
(3) interest to the holders of the Class M-2 Notes;
(4) interest to the holders of the Class B-1 Notes;
(5) interest to the holders of the Class B-2 Notes;
(6) sequentially to pay principal to the holders of
the Class A-1, Class A-2, Class A-3, and Class
A-4, in that order until the respective Class
Principal Balances thereof are reduced to zero,
the amount necessary to reduce the aggregate Class
Principal Balance of the Senior Notes (excluding
the Class A-4 IO Notes) to the Senior Optimal
Principal Balance; provided, however, that on each
Payment Date occurring on or after any reduction
of the Class Principal Balances of the Class M and
Class B Notes to zero through the application of
Allocable Loss Amounts, payment shall be made
among the remaining Senior Notes (excluding the
Class A-4 IO) pro rata and not sequentially;
(7) sequentially, to the holders of the Class M-1 and
the Class M-2 Notes, in that order, until the
Class Principal Balances thereof are reduced to
the Optimal Principal Balance, respectively;
(8) sequentially, to the holders of the Class B-1
Notes and the Class B-2 Notes, in that order,
until the Class Principal Balances thereof are
reduced to the Optimal Principal Balance;
(9) sequentially to the Class M-1 Notes and the Class
M-2 Notes, in that order, until their respective
Loss Reimbursement Deficiencies, if any, have been
paid in full;
(10) sequentially, to the Class B-1 Notes and the Class
B-2 Notes, in that order, until the applicable
Loss Reimbursement Deficiencies, if any, has been
paid in full; and
(11) any remaining amounts to the holders of the
Residual Interest Certificates.
<PAGE>
DESCRIPTION OF SECURITIES (Continued)
Application of Allocable
Loss Amounts: In the event that on any Payment Date after the
Undercollateralization Amount has been reduced to zero
(a) the aggregate of the Class Principal balances of
all Classes of Notes on any Payment Date (after giving
effect to all payments on such date) exceeds (b) the
sum of the Pool Principal Balance and the Pre-Funding
Amount, each as of the end of the immediately preceding
Due Period (such excess, an "Allocable Loss Amount"),
such Allocable Loss Amount will be applied,
sequentially, in reduction of the Class Principal
Balances of the Class B-2 Notes, the Class B-1 Notes,
the Class M-2 Notes and the Class M-1 Notes, in that
order, until the respective Class Principal Balances
thereof have been reduced to zero. On each Payment Date
prior to the Payment Date on which the Initial
Undercollateralization Amount is reduced to zero, the
Allocable Loss Amount will be zero. Allocable Loss
Amounts will not be applied in reduction of the Class
Principal Balance of any Class of Senior Notes.
Allocable Loss Amounts applied to any applicable Class
of Offered Notes will entitle such Class to
reimbursement (such entitlement, a "Loss Reimbursement
Deficiency") in accordance with the payment priorities
specified hererin until the earlier of (x) the payment
in full of such amount, and (y) the applicable Maturity
Date.
Optional Termination: The holders of an aggregate percentage interest in the
Residual Interest Certificates in excess of 50% may, at
their option, effect an early termination of the
Grantor Trust on or after any Payment Date on which the
Pool Principal Balance declines to 10% or less of the
Maximum Collateral Amount, by purchasing all of the
Loans at a price equal to or greater than the
Termination Price.
Servicing/Other Fees: The collateral is subject to certain fees, including a
servicing fee and trustee fees of [1.25]% per annum
payable monthly; provided, however, that so long as the
required Over-collateralization amount equals the Net
Delinquency Calculation Amount, the Servicing Fee shall
be equal to [0.75]% per annum.
Advancing by Servicer: There is no required advancing of delinquent principal
or interest by the Servicer or Trustee.
<PAGE>
DESCRIPTION OF SECURITIES (Continued)
Tax Considerations: The issuer will be an Owner Trust. The Offered Notes
will be characterized as debt for federal income tax
purposes.
ERISA Considerations: In general, the Offered Notes will be ERISA eligible.
However, investors should consult with their counsel
with respect to the consequences under ERISA and the
Internal Revenue Code of the Plan's acquisition and
ownership of such certificates.
SMMEA Eligibility: NONE of the Notes will be SMMEA-eligible.
Prospectus: The Offered Notes are being offered pursuant to a
Prospectus which includes a Prospectus Supplement
(together, the 'Prospectus'). Complete information with
respect to the Offered Notes and the collateral is
contained in the Prospectus. The material presented
herein is qualified in its entirety by the information
appearing in the Prospectus. To the extent that the
foregoing is inconsistent with the Prospectus, the
Prospectus shall govern in all respects. Sales of the
Offered Notes may not be consummated unless the
purchaser has received the Prospectus.
<PAGE>
DESCRIPTION OF INITIAL LOANS AS OF CUT-OFF DATE
Aggregate Field Description Count Balance Pool%
State Name Alaska 32 1,406,342 0.86
Arizona 133 5,308,183 3.25
Arkansas 16 499,548 0.31
California 985 43,622,276 26.72
Colorado 94 3,823,988 2.34
Connecticut 61 2,573,471 1.58
Delaware 30 492,914 0.30
District of Columbia 21 391,493 0.24
Florida 162 6,107,170 3.74
Georgia 1 24,963 0.02
Hawaii 14 652,195 0.40
Idaho 39 1,349,014 0.83
Illinois 4 162,610 0.10
Indiana 138 3,288,177 2.01
Iowa 26 958,522 0.59
Kansas 69 2,460,529 1.51
Kentucky 31 1,034,974 0.63
Louisiana 31 1,123,757 0.69
Maine 5 180,425 0.11
Maryland 797 16,010,875 9.81
Massachusetts 34 1,475,349 0.90
Michigan 199 7,676,657 4.70
Minnesota 54 2,041,362 1.25
Mississippi 5 168,709 0.10
Missouri 77 2,578,788 1.58
Montana 15 470,511 0.29
Nebraska 14 461,740 0.28
Nevada 105 4,178,032 2.56
New Hampshire 18 680,696 0.42
New Jersey 2 49,681 0.03
New Mexico 24 870,830 0.53
New York 94 3,785,283 2.32
North Carolina 96 3,756,511 2.30
North Dakota 1 6,873 0.00
Ohio 118 4,485,180 2.75
Oklahoma 58 2,061,640 1.26
Oregon 77 3,075,928 1.88
Pennsylvania 483 10,624,172 6.51
Puerto Rico 1 6,135 0.00
Rhode Island 16 530,326 0.32
South Carolina 40 1,256,157 0.77
Tennessee 69 2,336,090 1.43
Texas 11 172,728 0.11
Utah 35 1,570,305 0.96
Virginia 472 8,292,663 5.08
Washington 169 7,039,186 4.31
West Virginia 1 41,418 0.03
Wisconsin 45 1,854,425 1.14
Wyoming 4 233,892 0.14
------ ----------- ------
5,026 $163,252,689 100.00%
<PAGE>
DESCRIPTION OF INITIAL LOANS AS OF CUT-OFF DATE
Aggregate Field Description Count Balance Pool%
Current Balance 0K+ to 10K 919 5,863,302 3.59
10K+ to 20K 662 9,696,043 5.94
20K+ to 30K 921 23,805,558 14.58
30K+ to 40K 916 32,290,752 19.78
40K+ to 50K 786 36,770,302 22.52
50K+ to 60K 308 17,139,784 10.50
60K+ to 70K 238 15,535,699 9.52
70K+ to 80K 190 14,147,383 8.67
80K+ to 90K 32 2,718,901 1.67
90K+ to 100K 54 5,284,964 3.24
------ ----------- ------
5,026 $163,252,689 100.00%
Aggregate Field Description Count Balance Pool%
Current Rate 8+ - 9% 4 54,863 0.03
9+ - 10% 36 895,884 0.55
10+ - 11% 84 1,596,435 0.98
11+ - 12% 484 15,330,083 9.39
12+ - 13% 1,733 47,392,552 29.03
13+ - 14% 1,217 44,374,022 27.18
14+ - 15% 854 32,608,298 19.97
15+ - 16% 469 16,474,783 10.09
16+ - 17% 128 3,973,996 2.43
17+ - 18% 13 434,703 0.27
18+ - 19% 4 117,073 0.07
------ ----------- ------
5,026 $163,252,689 100.00%
Aggregate Field Description Count Balance Pool%
Lien Type First Lien 10 408,970 0.25
Second Lien 4,986 162,223,991 99.37
Third Lien 30 619,728 0.38
------ ----------- ------
5,026 $163,252,689 100.00%
<PAGE>
DESCRIPTION OF INITIAL LOANS AS OF CUT-OFF DATE
Aggregate Field Description Count Balance Pool%
Orig. Combined LTV 30+% to 35% 3 86,451 0.05
35+% to 40% 3 54,241 0.03
40+% to 45% 3 80,371 0.05
45+% to 50% 3 93,966 0.06
50+% to 55% 8 185,923 0.11
55+% to 60% 6 174,894 0.11
60+% to 65% 5 112,925 0.07
65+% to 70% 12 177,753 0.11
70+% to 75% 16 326,477 0.20
75+% to 80% 38 872,396 0.53
80+% to 85% 68 1,171,034 0.72
85+% to 90% 151 2,616,196 1.60
90+% to 95% 267 4,488,311 2.75
95+% to100% 426 8,168,245 5.00
100+% to 105% 560 13,345,573 8.17
105+% to 110% 595 17,514,091 10.73
110+% to 115% 662 22,953,755 14.06
115+% to 120% 758 29,524,120 18.08
120+% to 125% 1,374 59,305,849 36.33
125.01% and greater 68 2,000,117 1.23
------ ----------- ------
5,026 $163,252,689 100.00%
Aggregate Field Description Count Balance Pool%
Seasoning 1 mo. or less 1,656 68,650,379 42.05
2 to 12 mos. 2,180 85,041,817 52.09
13 to 24 mos. 290 3,342,278 2.05
25 to 36 mos. 478 4,070,978 2.49
37 to 48 mos. 383 2,003,216 1.23
49 to 60 mos. 37 113,086 0.07
61 to 72 mos. 2 30,936 0.02
------ ----------- ------
5,026 $163,252,689 100.00%
Aggregate Field Description Count Balance Pool%
Remaining Term 1 to 30 mos. 688 4,060,858 2.49
31 to 60 mos. 539 5,852,727 3.59
61 to 90 mos. 17 336,781 0.21
91 to 120 mos. 204 6,336,945 3.88
121 to 150 mos. 5 167,273 0.10
151 to 180 mos. 1,168 41,911,331 25.67
181 to 210 mos. 3 71,807 0.04
211 to 240 mos. 821 32,580,207 19.96
271 to 300 mos. 1,581 71,934,761 44.06
------ ----------- ------
5,026 $163,252,689 100.00%
DESCRIPTION OF INITIAL LOANS AS OF CUT-OFF DATE
Aggregate Field Description Count Balance Pool%
Original Term 1 mos. to 119 mos. 1,245 10,326,234 6.33
120 mos. to 179 mos. 207 6,399,057 3.92
180 mos. to 239 mos. 1,168 41,974,556 25.71
240 mos. to 299 mos. 825 32,618,081 19.98
300 mos. to 360 mos. 1,581 71,934,761 44.06
------ ----------- ------
5,026 $163,252,689 100.00%
Aggregate Field Description Count Balance Pool%
Credit Risk - Range to 619 29 605,412 0.37
620 to 639 591 15,842,806 9.70
640 to 659 939 31,282,989 19.16
660 to 679 1,013 37,568,939 23.01
680 to 699 907 33,700,111 20.64
700 to 719 702 24,037,058 14.72
720 to 739 413 11,643,260 7.13
740 to 759 226 5,265,913 3.23
760 to 779 150 2,192,785 1.34
780 to 799 38 856,435 0.52
800 and greater 18 256,980 0.16
------ ----------- ------
5,026 $163,252,689 100.00%
Aggregate Field Description Count Balance Pool%
Debt-to-Income Ratio Up to 20.00 75 1,936,664 1.19
20.01 to 25.00 192 5,802,248 3.55
25.01 to 30.00 473 14,595,863 8.94
30.01 to 35.00 884 26,292,276 16.11
35.01 to 40.00 1,238 36,143,553 22.14
40.01 to 45.00 1,390 45,575,413 27.92
45.01 to 50.00 664 27,794,861 17.03
50.01 to 55.00 97 4,528,077 2.77
55.01 and greater 13 583,734 0.36
------ ----------- ------
5,026 $163,252,689 100.00%
<PAGE>
The Following Tables Run To Call:
<TABLE>
<CAPTION>
% of Prepayment Assumption
CLASS A-1 0% 50% 75% 100% 125% 150%
- --------------- ----------- ------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE 4.99 1.86 1.44 1.20 1.04 0.93
FIRST PRINCIPAL PAY 06/98 06/98 06/98 06/98 06/98 06/98
LAST PRINCIPAL PAY 10/07 05/02 05/01 10/00 05/00 02/00
WINDOW (YEARS) 9.42 4.00 3.00 2.42 2.00 1.75
</TABLE>
<TABLE>
<CAPTION>
% of Prepayment Assumption
CLASS A-2 0% 50% 75% 100% 125% 150%
- --------------- ----------- ------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE 10.95 4.98 3.74 3.00 2.51 2.17
YIELD @ 100.000 6.42% 6.38% 6.36% 6.34% 6.32% 6.30%
DURATION 7.68 4.15 3.24 2.66 2.26 1.97
FIRST PRINCIPAL PAY 10/07 05/02 05/01 10/00 05/00 02/00
LAST PRINCIPAL PAY 11/10 06/04 12/02 01/02 06/01 01/01
WINDOW (MONTHS) 3.17 2.17 1.67 1.33 1.17 1.00
</TABLE>
<TABLE>
<CAPTION>
% of Prepayment Assumption
CLASS A-3 0% 50% 75% 100% 125% 150%
- --------------- ----------- ------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE 15.25 8.01 6.21 5.00 4.16 3.55
YIELD @ 100.000 6.72% 6.69% 6.68% 6.67% 6.65% 6.64%
DURATION 9.28 6.00 4.92 4.11 3.52 3.06
FIRST PRINCIPAL PAY 11/10 06/04 12/02 01/02 06/01 01/01
LAST PRINCIPAL PAY 11/17 12/09 07/07 12/05 09/04 10/03
WINDOW (MONTHS) 7.08 5.58 4.67 4.00 3.33 2.83
</TABLE>
<TABLE>
<CAPTION>
% of Prepayment Assumption
CLASS A-4 0% 50% 75% 100% 125% 150%
- --------------- ----------- ------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE 22.03 15.19 12.19 10.16 8.56 7.36
YIELD @ 100.000 7.14% 7.13% 7.13% 7.12% 7.12% 7.11%
DURATION 10.88 9.03 7.92 7.02 6.22 5.56
FIRST PRINCIPAL PAY 11/17 12/09 07/07 12/05 09/04 10/03
LAST PRINCIPAL PAY 07/21 07/15 02/12 12/09 02/08 10/06
WINDOW (MONTHS) 3.75 5.67 4.67 4.08 3.50 3.08
</TABLE>
<TABLE>
<CAPTION>
<PAGE>
The Following Tables Run To Call:
% of Prepayment Assumption
CLASS M-1 0% 50% 75% 100% 125% 150%
- --------------- ----------- ------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE 19.39 12.13 9.64 7.95 6.66 5.71
YIELD @ 100.000 7.30% 7.29% 7.28% 7.27% 7.26% 7.25%
DURATION 10.08 7.68 6.61 5.75 5.04 4.47
FIRST PRINCIPAL PAY 11/11 03/05 08/03 07/02 11/01 06/01
LAST PRINCIPAL PAY 07/21 07/15 02/12 12/09 02/08 10/06
WINDOW (MONTHS) 9.75 10.42 8.58 7.50 6.33 5.42
</TABLE>
<TABLE>
<CAPTION>
% of Prepayment Assumption
CLASS M-2 0% 50% 75% 100% 125% 150%
- --------------- ----------- ------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE 19.39 12.13 9.64 7.95 6.66 5.71
YIELD @ 100.000 7.61% 7.60% 7.59% 7.58% 7.57% 7.56%
DURATION 9.84 7.55 6.51 5.68 4.99 4.43
FIRST PRINCIPAL PAY 11/11 03/05 08/03 07/02 11/01 06/01
LAST PRINCIPAL PAY 07/21 07/15 02/12 12/09 02/08 10/06
WINDOW (MONTHS) 9.75 10.42 8.58 7.50 6.33 5.42
</TABLE>
<TABLE>
<CAPTION>
% of Prepayment Assumption
CLASS B-1 0% 50% 75% 100% 125% 150%
- --------------- ----------- ------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE 19.39 12.13 9.64 7.95 6.66 5.71
YIELD @ 100.000 8.56% 8.55% 8.54% 8.53% 8.52% 8.51%
DURATION 9.17 7.17 6.23 5.47 4.83 4.30
FIRST PRINCIPAL PAY 11/11 03/05 08/03 07/02 11/01 06/01
LAST PRINCIPAL PAY 07/21 07/15 02/12 12/09 02/08 10/06
WINDOW (MONTHS) 9.75 10.42 8.58 7.50 6.33 5.42
</TABLE>
<TABLE>
<CAPTION>
<PAGE>
The Following Tables Run To Maturity:
% of Prepayment Assumption
CLASS A-4 0% 50% 75% 100% 125% 150%
- --------------- ----------- ------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE 22.39 16.48 13.75 11.56 9.84 8.49
YIELD @ 100.000 7.14% 7.15% 7.16% 7.16% 7.16% 7.16%
DURATION 10.95 9.36 8.40 7.53 6.76 6.08
FIRST PRINCIPAL PAY 11/17 12/09 07/07 12/05 09/04 10/03
LAST PRINCIPAL PAY 04/23 10/22 12/21 03/20 10/17 09/15
WINDOW (MONTHS) 5.50 12.92 14.50 14.33 13.17 12.00
</TABLE>
<TABLE>
<CAPTION>
% of Prepayment Assumption
CLASS M-1 0% 50% 75% 100% 125% 150%
- --------------- ----------- ------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE 19.57 12.77 10.42 8.64 7.30 6.27
YIELD @ 100.000 7.30% 7.30% 7.30% 7.30% 7.29% 7.29%
DURATION 10.11 7.84 6.85 6.00 5.31 4.73
FIRST PRINCIPAL PAY 11/11 03/05 08/03 07/02 11/01 06/01
LAST PRINCIPAL PAY 03/23 07/22 05/21 02/19 11/16 08/14
WINDOW (MONTHS) 11.42 17.42 17.83 16.67 15.08 13.25
</TABLE>
<TABLE>
<CAPTION>
% of Prepayment Assumption
CLASS M-2 0% 50% 75% 100% 125% 150%
- --------------- ----------- ------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE 19.57 12.76 10.40 8.61 7.27 6.24
YIELD @ 100.000 7.61% 7.61% 7.61% 7.60% 7.60% 7.59%
DURATION 9.87 7.70 6.74 5.92 5.24 4.67
FIRST PRINCIPAL PAY 11/11 03/05 08/03 07/02 11/01 06/01
LAST PRINCIPAL PAY 03/23 03/22 08/20 02/18 10/15 07/13
WINDOW (MONTHS) 11.42 17.08 17.08 15.67 14.00 12.17
</TABLE>
<TABLE>
<CAPTION>
% of Prepayment Assumption
CLASS B-1 0% 50% 75% 100% 125% 150%
- --------------- ----------- ------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
AVG LIFE 19.56 12.71 10.32 8.54 7.19 6.17
YIELD @ 100.000 8.56% 8.56% 8.55% 8.55% 8.54% 8.53%
DURATION 9.20 7.29 6.41 5.66 5.02 4.50
FIRST PRINCIPAL PAY 11/11 03/05 08/03 07/02 11/01 06/01
LAST PRINCIPAL PAY 01/23 07/21 04/19 10/16 04/14 01/12
WINDOW (MONTHS) 11.25 16.42 15.75 14.33 12.50 10.67
</TABLE>
